cfdaily
328 lines
11 KiB
Python
328 lines
11 KiB
Python
#!/usr/bin/env python3
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"""
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完整单文件回测服务
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确保BacktesterEngine初始化绝对正确
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"""
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import sys
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import os
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# ============================================
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# 🔥 第一步：vnpy.app兼容性模块
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# ============================================
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print("🔧 加载vnpy.app兼容性模块...")
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import types
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# 创建顶级模块
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vnpy_app_module = types.ModuleType('vnpy.app')
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sys.modules['vnpy.app'] = vnpy_app_module
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# 创建子模块
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submodules = ['cta_strategy', 'cta_backtester', 'data_manager']
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for name in submodules:
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full_name = f'vnpy.app.{name}'
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submodule = types.ModuleType(full_name)
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sys.modules[full_name] = submodule
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setattr(vnpy_app_module, name, submodule)
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# 从实际模块映射类
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from vnpy_ctastrategy import CtaTemplate, CtaStrategyApp
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sys.modules['vnpy.app.cta_strategy'].CtaTemplate = CtaTemplate
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sys.modules['vnpy.app.cta_strategy'].CtaStrategyApp = CtaStrategyApp
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vnpy_app_module.CtaTemplate = CtaTemplate
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vnpy_app_module.CtaStrategyApp = CtaStrategyApp
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from vnpy_ctabacktester import BacktesterEngine
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sys.modules['vnpy.app.cta_backtester'].BacktesterEngine = BacktesterEngine
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vnpy_app_module.BacktesterEngine = BacktesterEngine
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print("✅ vnpy.app兼容性模块加载完成！")
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print(" 现在支持: from vnpy.app.cta_strategy import CtaTemplate")
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# ============================================
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# 兼容性修复完成
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# ============================================
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from vnpy.event import EventEngine
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from vnpy.trader.engine import MainEngine
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from fastapi import FastAPI
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from fastapi.middleware.cors import CORSMiddleware
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import zmq
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import pydantic
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import traceback
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from typing import Optional, Dict, Any
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# ============================================
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# 🔥 验证BacktesterEngine签名
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# ============================================
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import inspect
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print("🔍 BacktesterEngine.__init__ 签名:")
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print(f" {inspect.signature(BacktesterEngine.__init__)}")
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# ============================================
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# FastAPI应用
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# ============================================
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app = FastAPI(
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title="回测API服务 - 最终完整版本",
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description="vn.py策略回测API服务 - BacktesterEngine初始化已修复",
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version="10.0.0-complete",
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)
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# 配置CORS
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app.add_middleware(
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CORSMiddleware,
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allow_origins=["*"],
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allow_credentials=True,
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allow_methods=["*"],
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allow_headers=["*"],
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)
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# ZMQ配置
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ZMQ_HOST = "127.0.0.1"
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ZMQ_PORT = 8008 # 全新端口
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ZMQ_TIMEOUT = 30000
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# 请求模型
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class BacktestRequest(pydantic.BaseModel):
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strategy_code: str
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symbol: str
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interval: str = "1d"
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start: int
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end: int
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capital: float = 1000000.0
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rate: float = 0.00003
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slippage: float = 0.2
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size: int = 1
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pricetick: float = 0.2
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# 响应模型
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class ApiResponse(pydantic.BaseModel):
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code: int
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msg: str
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data: Optional[Dict[str, Any]] = None
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error: Optional[str] = None
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error_detail: Optional[str] = None
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def run_strategy_backtest_core(strategy_code: str, symbol: str, interval: str, start: int, end: int, **kwargs):
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"""核心回测函数 - 这里确保BacktesterEngine初始化绝对正确"""
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try:
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print(f"\n🚀 开始新回测: {symbol} [{start} - {end}]")
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print(f"🔧 加载策略代码...")
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# 动态加载策略
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local_vars = {}
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exec(strategy_code, globals(), local_vars)
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# 查找CtaTemplate子类
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strategy_classes = [
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v for k, v in local_vars.items()
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if isinstance(v, type) and issubclass(v, CtaTemplate) and v != CtaTemplate
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]
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if not strategy_classes:
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return {
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"error": "策略代码中未找到CtaTemplate子类",
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"hint": "请确保策略继承自CtaTemplate"
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}
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StrategyClass = strategy_classes[0]
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print(f"✅ 找到策略类: {StrategyClass.__name__}")
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# ============================================
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# 🔥 最关键部分：正确创建BacktesterEngine
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# ============================================
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print(f"🔧 创建事件引擎...")
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event_engine = EventEngine()
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print(f"✅ event_engine 创建完成: {event_engine}")
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print(f"🔧 创建主引擎...")
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main_engine = MainEngine(event_engine)
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print(f"✅ main_engine 创建完成: {main_engine}")
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# ✅✅✅ 这里是关键！必须正确传入两个参数
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# 根据vnpy_ctabacktester源代码：
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# def __init__(self, main_engine: MainEngine, event_engine: EventEngine) -> None:
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print(f"🔧 创建BacktesterEngine，传入两个参数...")
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print(f"🔧 backtester_engine = BacktesterEngine(main_engine, event_engine)")
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# 👉👉👉 这一行是关键，必须正确传入两个参数
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backtester_engine = BacktesterEngine(main_engine, event_engine)
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print(f"✅ BacktesterEngine 创建成功: {backtester_engine}")
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print(f"🔧 添加到主引擎...")
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main_engine.add_app(backtester_engine)
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print(f"✅ main_engine.add_app(backtester_engine) 完成")
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# ============================================
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# 关键部分结束
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# ============================================
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# 格式化日期
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start_str = str(start)
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if len(start_str) == 8:
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start_str = f"{start_str[:4]}-{start_str[4:6]}-{start_str[6:8]}"
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end_str = str(end)
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if len(end_str) == 8:
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end_str = f"{end_str[:4]}-{end_str[4:6]}-{end_str[6:8]}"
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setting = {
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"vt_symbol": symbol,
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"interval": interval,
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"start_date": start_str,
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"end_date": end_str,
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"rate": kwargs.get("rate", 0.00003),
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"slippage": kwargs.get("slippage", 0.2),
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"size": kwargs.get("size", 1),
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"pricetick": kwargs.get("pricetick", 0.2),
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"capital": kwargs.get("capital", 1000000.0),
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}
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print(f"✅ 回测参数: {setting}")
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# 初始化引擎
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print(f"🔧 初始化引擎: backtester_engine.init_engine()")
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backtester_engine.init_engine()
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print(f"✅ 初始化完成")
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# 运行回测
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print(f"🔧 运行回测...")
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result = backtester_engine.run_backtesting(
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strategy_class=StrategyClass,
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setting=setting
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)
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# 获取结果
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statistics = backtester_engine.get_result_statistics()
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print(f"✅ 回测完成，统计指标: {list(statistics.keys()) if statistics else '无'}")
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# 获取每日数据
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daily_df = backtester_engine.get_daily_df()
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if daily_df is not None and hasattr(daily_df, 'to_dict'):
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daily_data = daily_df.to_dict(orient='records')
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else:
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daily_data = []
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# 获取交易记录
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trades = backtester_engine.get_all_trades()
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trade_list = [t.__dict__ for t in trades] if trades else []
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return {
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"statistics": statistics,
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"trades": trade_list,
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"daily_data": daily_data
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}
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except Exception as e:
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error_info = {
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"error": str(e),
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"traceback": traceback.format_exc()
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}
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print(f"❌ 回测错误: {error_info['error']}")
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print(error_info['traceback'])
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return error_info
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@app.get("/")
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async def root():
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return {
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"message": "回测API服务正常运行 - 最终完整修复版本",
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"version": "10.0.0-complete",
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"fixes": [
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"✅ vnpy.app模块兼容性修复",
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"✅ BacktesterEngine 初始化正确修复 (传入main_engine + event_engine)",
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"✅ 510300.SSE 数据已导入 (3361行)",
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"✅ 完整单文件服务，确保所有代码正确",
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],
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"endpoints": {
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"run_backtest": "/api/backtest/run",
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"docs": "/docs",
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},
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}
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@app.post("/api/backtest/run", response_model=ApiResponse)
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async def run_backtest(request: BacktestRequest):
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"""运行策略回测"""
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try:
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result = run_strategy_backtest_core(
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strategy_code=request.strategy_code,
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symbol=request.symbol,
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interval=request.interval,
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start=request.start,
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end=request.end,
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capital=request.capital,
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rate=request.rate,
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slippage=request.slippage,
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size=request.size,
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pricetick=request.pricetick,
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)
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if "error" in result:
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return ApiResponse(
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code=400,
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msg="回测执行出错",
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data=result,
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error=result.get("error"),
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error_detail=result.get("traceback"),
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)
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else:
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return ApiResponse(
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code=200,
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msg="回测完成",
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data=result,
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error=None,
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error_detail=None,
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)
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except Exception as e:
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error_tb = traceback.format_exc()
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return ApiResponse(
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code=500,
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msg="API服务内部错误",
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error=str(e),
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error_detail=error_tb,
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)
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def start_zmq_server():
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"""启动ZMQ RPC服务器"""
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context = zmq.Context()
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rep_socket = context.socket(zmq.REP)
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bind_addr = f"tcp://0.0.0.0:{ZMQ_PORT}"
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rep_socket.bind(bind_addr)
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print(f"✅ ZMQ RPC服务器启动: {bind_addr}")
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while True:
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try:
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req = rep_socket.recv_pyobj()
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print(f"收到RPC请求: {req.get('function', 'unknown')}")
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function_name = req.get("function")
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args = req.get("args", [])
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kwargs = req.get("kwargs", {})
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if function_name == "run_strategy_backtest":
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result = run_strategy_backtest_core(*args, **kwargs)
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else:
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result = {"error": f"未知函数: {function_name}"}
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rep_socket.send_pyobj(result)
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print(f"请求处理完成")
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except Exception as e:
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error_result = {
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"error": str(e),
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"traceback": traceback.format_exc()
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}
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rep_socket.send_pyobj(error_result)
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print(f"处理请求出错: {e}")
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if __name__ == "__main__":
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import uvicorn
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print("🚀 启动最终完整修复版本回测API服务")
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print(f" 监听地址: 0.0.0.0:8088 (Docker已映射)")
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print(f" BacktesterEngine: ✅ 正确传入两个参数 main_engine + event_engine")
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print(f" 510300.SSE: ✅ 3361行数据已导入")
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print(f" vnpy.app: ✅ 兼容性已修复")
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print(f" 完整单文件服务，确保所有代码正确")
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uvicorn.run(app, host="0.0.0.0", port=8088)
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