#!/usr/bin/env python3
"""
通过RPC执行回测 - 完整版
"""

import zmq
import json

# 策略代码
STRATEGY_CODE = '''
"""
单票固定比例止损策略 - vnpy CTA回测
"""

from vnpy_ctastrategy import (
    CtaTemplate, StopOrder, TickData, BarData, TradeData, OrderData, BarGenerator, ArrayManager
)
from vnpy.trader.constant import Direction, Offset

class SingleStockStopLossStrategy(CtaTemplate):
    """单票固定比例止损策略"""
    
    author = "关羽 (云长)"
    parameters = ["fast_window", "slow_window", "stop_loss_pct"]
    variables = ["fast_ma", "slow_ma", "cost_price", "in_position"]
    
    def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
        super().__init__(cta_engine, strategy_name, vt_symbol, setting)
        
        self.bg = BarGenerator(self.on_bar)
        self.am = ArrayManager(max(30, 100))
        
        self.fast_ma = 0.0
        self.slow_ma = 0.0
        self.cost_price = 0.0
        self.in_position = False
        
    def on_init(self):
        self.write_log(f"策略初始化，fast={self.fast_window}, slow={self.slow_window}, stop_loss={self.stop_loss_pct:.1%}")
        self.put_event()
        
    def on_bar(self, bar):
        self.am.update_bar(bar)
        
        if not self.am.inited:
            return
        
        self.fast_ma = self.am.sma(self.fast_window)
        self.slow_ma = self.am.sma(self.slow_window)
        
        have_signal = True
        if self.in_position and self.cost_price > 0:
            current_drawdown = (bar.close_price - self.cost_price) / self.cost_price
            
            if current_drawdown <= -self.stop_loss_pct:
                if self.pos > 0:
                    self.sell(bar.close_price, self.pos)
                    self.in_position = False
                    self.write_log(f"触发止损：成本{self.cost_price:.2f}，当前{bar.close_price:.2f}，回撤{current_drawdown:.1%}")
                have_signal = False
        
        if have_signal:
            if not self.in_position:
                if self.fast_ma > self.slow_ma:
                    self.buy(bar.close_price, 10000)
                    self.cost_price = bar.close_price
                    self.in_position = True
                    self.write_log(f"金叉开多：价格{bar.close_price:.2f}")
            else:
                if self.fast_ma < self.slow_ma:
                    if self.pos > 0:
                        self.sell(bar.close_price, self.pos)
                        self.in_position = False
                        self.write_log(f"死叉平仓：价格{bar.close_price:.2f}")
        
        self.put_event()
'''

print("=" * 80)
print("🚀 通过RPC执行回测")
print("=" * 80)

print(f"✅ 策略代码: {len(STRATEGY_CODE)} 字符")

# RPC请求
request = {
    "strategy_code": STRATEGY_CODE,
    "symbol": "510300.S.SSE",
    "interval": "1d",
    "start": 1609459200,
    "end": 1772515200,
    "capital": 1000000,
    "rate": 3e-5,
    "slippage": 0.002,
    "size": 10000,
    "pricetick": 0.001,
    "data_source": "sqlite"
}

print("\n请求配置:")
print(f"  标的: 510300.SSE")
print(f"  时间: 2021-01-01 ~ 2026-03-01")
print(f"  资金: 1,000,000")
print(f"  止损: 15%")

# 连接RPC
print(f"\n连接RPC: 127.0.0.1:8008")
context = zmq.Context()
socket = context.socket(zmq.REQ)
socket.setsockopt(zmq.LINGER, 0)
socket.connect("tcp://127.0.0.1:8008")
socket.setsockopt(zmq.RCVTIMEO, 30000)
socket.setsockopt(zmq.SNDTIMEO, 30000)

# 发送请求
print("\n发送请求...")
request_json = json.dumps(request)
socket.send_string(request_json)

print("✅ 请求已发送，等待响应...")

# 接收响应
try:
    response_json = socket.recv_string()
    response = json.loads(response_json)
    
    print("✅ 收到响应")
    
    if "error" in response:
        print(f"\n❌ 回测失败: {response['error']}")
        if "traceback" in response:
            print("\n错误堆栈:")
            print(response["traceback"])
    else:
        print("\n" + "=" * 80)
        print("回测结果:")
        print("=" * 80)
        
        if "statistics" in response:
            stats = response["statistics"]
            
            print(f"\n📊 绩效指标:")
            print(f"   总收益率: {stats.get('total_return', 0):.2%}")
            print(f"   年化收益率: {stats.get('annual_return', 0):.2%}")
            print(f"   最大回撤: {stats.get('max_drawdown', 0):.2%}")
            print(f"   夏普比率: {stats.get('sharpe_ratio', 0):.2f}")
            print(f"   卡玛比率: {stats.get('calmar_ratio', 0):.2f}")
            print(f"   总交易次数: {stats.get('total_trades', 0)}")
            print(f"   胜率: {stats.get('win_rate', 0):.2%}")
            print(f"   盈亏比: {stats.get('profit_loss_ratio', 0):.2f}")

        if "trades" in response:
            trades = response["trades"]
            print(f"\n📝 交易记录: 共 {len(trades)} 笔")
            
            for idx, trade in enumerate(trades[:20], 1):
                print(f"   {idx}. {trade.get('datetime')} {trade.get('direction')} {trade.get('symbol')} @ {trade.get('price'):.2f} × {trade.get('volume')}")
            
            if len(trades) > 20:
                print(f"   ... 还有 {len(trades) - 20} 笔")
        
        print("\n" + "=" * 80)
        print("✅ 回测执行完成!")
        print("=" * 80)

except zmq.error.Again:
    print("❌ 请求超时: RPC服务响应时间过长")
except Exception as e:
    print(f"❌ 接收响应失败: {e}")
    import traceback
    traceback.print_exc()

finally:
    socket.close()
    context.term()