1、卡尔曼策略

src/tqsdk_engine.py

@@ -1,11 +1,13 @@
 # filename: tqsdk_engine.py
 
 import asyncio
+import traceback
 from datetime import date, datetime, timedelta
 from typing import Literal, Type, Dict, Any, List, Optional
 import pandas as pd
 import uuid
 
+from src.common_utils import generate_strategy_identifier
 # 导入你提供的 core_data 中的类型
 from src.core_data import Bar, Order, Trade, PortfolioSnapshot
 
@@ -22,6 +24,7 @@ from tqsdk import (
     BacktestFinished,
 )
 
+from src.state_repo import MemoryStateRepository
 # 导入 TqsdkContext 和 BaseStrategy
 from src.tqsdk_context import TqsdkContext
 from src.strategies.base_strategy import Strategy  # 假设你的策略基类在此路径
@@ -36,15 +39,15 @@ class TqsdkEngine:
     """
 
     def __init__(
-        self,
-        strategy_class: Type[Strategy],
-        strategy_params: Dict[str, Any],
-        api: TqApi,
-        roll_over_mode: bool = False,  # 是否开启换月模式检测
-        symbol: str = None,
-        start_time: Optional[datetime] = None,
-        end_time: Optional[datetime] = None,
-        duration_seconds: int = 1,
+            self,
+            strategy_class: Type[Strategy],
+            strategy_params: Dict[str, Any],
+            api: TqApi,
+            roll_over_mode: bool = False,  # 是否开启换月模式检测
+            symbol: str = None,
+            start_time: Optional[datetime] = None,
+            end_time: Optional[datetime] = None,
+            duration_seconds: int = 1,
     ):
         """
         初始化 Tqsdk 回测引擎。
@@ -83,7 +86,8 @@ class TqsdkEngine:
         # )
 
         # 初始化上下文
-        self._context: TqsdkContext = TqsdkContext(api=self._api)
+        identifier = generate_strategy_identifier(strategy_class, strategy_params)
+        self._context: TqsdkContext = TqsdkContext(api=self._api, state_repository=MemoryStateRepository(identifier))
         # 实例化策略，并将上下文传递给它
         self._strategy: Strategy = self.strategy_class(
             context=self._context, **self.strategy_params
@@ -113,6 +117,8 @@ class TqsdkEngine:
         if roll_over_mode:
             self.quote = api.get_quote(self.symbol)
 
+        self.target_pos_dict = {}
+
         print("TqsdkEngine: 初始化完成。")
 
     @property
@@ -127,7 +133,6 @@ class TqsdkEngine:
         异步处理 Context 中排队的订单和取消请求。
         """
         # 处理订单
-        print(self._context.order_queue)
         while self._context.order_queue:
             order_to_send: Order = self._context.order_queue.popleft()
             print(f"Engine: 处理订单请求: {order_to_send}")
@@ -155,7 +160,23 @@ class TqsdkEngine:
             if "SHFE" in order_to_send.symbol:
                 tqsdk_offset = "OPEN"
 
-            try:
+            if "CLOSE" in order_to_send.direction:
+                current_positions = self._context.get_current_positions()
+                current_pos_volume = current_positions.get(order_to_send.symbol, 0)
+
+                target_volume = None
+                if order_to_send.direction == 'CLOSE_LONG':
+                    target_volume = current_pos_volume - order_to_send.volume
+                elif order_to_send.direction == 'CLOSE_SHORT':
+                    target_volume = current_pos_volume + order_to_send.volume
+
+                if target_volume is not None:
+                    if order_to_send.symbol not in self.target_pos_dict:
+                        self.target_pos_dict[order_to_send.symbol] = TargetPosTask(self._api, order_to_send.symbol)
+
+                    self.target_pos_dict[order_to_send.symbol].set_target_volume(target_volume)
+            else:
+                # try:
                 tq_order = self._api.insert_order(
                     symbol=order_to_send.symbol,
                     direction=tqsdk_direction,
@@ -181,42 +202,10 @@ class TqsdkEngine:
                     tq_order.insert_date_time, unit="ns", utc=True
                 )
 
-                # 等待订单状态更新（成交/撤销/报错）
-                # 在 Tqsdk 中，订单和成交是独立的，通常在 wait_update() 循环中通过 api.is_changing() 检查
-                # 这里为了模拟同步处理，直接等待订单状态最终确定
-                # 注意：实际回测中，不应在这里长时间阻塞，而应在主循环中持续 wait_update
-                # 为了简化适配，这里模拟即时处理，但可能与真实异步行为有差异。
-                # 更健壮的方式是在主循环中通过订单状态回调更新
-                # 这里我们假设订单会很快更新状态，或者在下一个 wait_update() 周期中被检测到
                 self._api.wait_update()  # 等待一次更新
-
-                # # 检查最终订单状态和成交
-                # if tq_order.status == "FINISHED":
-                #     # 查找对应的成交记录
-                #     for trade_id, tq_trade in self._api.get_trade().items():
-                #         if tq_trade.order_id == tq_order.order_id and tq_trade.volume > 0: # 确保是实际成交
-                #             # 创建 core_data.Trade 对象
-                #             trade = Trade(
-                #                 order_id=tq_trade.order_id,
-                #                 fill_time=tafunc.get_datetime_from_timestamp(tq_trade.trade_date_time) if tq_trade.trade_date_time else datetime.now(),
-                #                 symbol=order_to_send.symbol, # 使用 Context 中的 symbol
-                #                 direction=tq_trade.direction, # 实际成交方向
-                #                 volume=tq_trade.volume,
-                #                 price=tq_trade.price,
-                #                 commission=tq_trade.commission,
-                #                 cash_after_trade=self._api.get_account().available,
-                #                 positions_after_trade=self._context.get_current_positions(),
-                #                 realized_pnl=tq_trade.realized_pnl, # Tqsdk TqTrade 对象有 realized_pnl
-                #                 is_open_trade=tq_trade.offset == "OPEN",
-                #                 is_close_trade=tq_trade.offset in ["CLOSE", "CLOSETODAY", "CLOSEYESTERDAY"]
-                #             )
-                #             self.trade_history.append(trade)
-                #             print(f"Engine: 成交记录: {trade}")
-                #             break # 找到成交就跳出
-                # order_to_send.status = tq_order.status # 更新最终状态
-            except Exception as e:
-                print(f"Engine: 发送订单 {order_to_send.id} 失败: {e}")
-                # order_to_send.status = "ERROR"
+            #
+            # except Exception as e:
+            #     print(f"Engine: 发送订单 {order_to_send.id} 失败: {e}")
 
         # 处理取消请求
         while self._context.cancel_queue:
@@ -254,7 +243,7 @@ class TqsdkEngine:
                 price = quote.last_price
                 current_prices[symbol] = price
                 total_market_value += (
-                    price * qty * quote.volume_multiple
+                        price * qty * quote.volume_multiple
                 )  # volume_multiple 乘数
             else:
                 # 如果没有最新价格，使用最近的K线收盘价作为估算
@@ -267,11 +256,11 @@ class TqsdkEngine:
                     price = last_kline.close
                     current_prices[symbol] = price
                     total_market_value += (
-                        price * qty * self._api.get_instrument(symbol).volume_multiple
+                            price * qty * self._api.get_instrument(symbol).volume_multiple
                     )  # 使用 instrument 的乘数
 
         total_value = (
-            account.available + account.frozen_margin + total_market_value
+                account.available + account.frozen_margin + total_market_value
         )  # Tqsdk 的 balance 已包含持仓市值和冻结资金
         # Tqsdk 的 total_profit/balance 已经包含了所有盈亏和资金
 
@@ -344,8 +333,8 @@ class TqsdkEngine:
                 self._api.wait_update()
 
                 if self.roll_over_mode and (
-                    self._api.is_changing(self.quote, "underlying_symbol")
-                    or self._last_underlying_symbol != self.quote.underlying_symbol
+                        self._api.is_changing(self.quote, "underlying_symbol")
+                        or self._last_underlying_symbol != self.quote.underlying_symbol
                 ):
                     self._last_underlying_symbol = self.quote.underlying_symbol
 
@@ -355,9 +344,9 @@ class TqsdkEngine:
                     now_dt = now_dt.tz_convert(BEIJING_TZ)
 
                     if (
-                        self.now is not None
-                        and self.now.hour != 13
-                        and now_dt.hour == 13
+                            self.now is not None
+                            and self.now.hour != 13
+                            and now_dt.hour == 13
                     ):
                         self.main()
 
@@ -400,8 +389,8 @@ class TqsdkEngine:
         )
 
         if (
-            self.last_processed_bar is None
-            or self.last_processed_bar.datetime != kline_dt
+                self.last_processed_bar is None
+                or self.last_processed_bar.datetime != kline_dt
         ):
 
             # 设置当前 Bar 到 Context
@@ -410,9 +399,9 @@ class TqsdkEngine:
             # Tqsdk 的 is_changing 用于判断数据是否有变化，对于回测遍历 K 线，每次迭代都算作新 Bar
             # 如果 kline_row.datetime 与上次不同，则认为是新 Bar
             if (
-                self.roll_over_mode
-                and self.last_processed_bar is not None
-                and self._last_underlying_symbol != self.last_processed_bar.symbol
+                    self.roll_over_mode
+                    and self.last_processed_bar is not None
+                    and self._last_underlying_symbol != self.last_processed_bar.symbol
             ):
                 self._is_rollover_bar = True
                 print(
@@ -439,6 +428,8 @@ class TqsdkEngine:
             # 记录投资组合快照
             self._record_portfolio_snapshot(current_bar.datetime)
         else:
+            if current_bar.volume == 0:
+                return
             self.all_bars.append(current_bar)
 
             self.close_list.append(current_bar.close)