feat(strategy): M8.3 策略模型 + /api/strategies（命名配置资产，可展开为 ResearchSpec）
- StrategyDefinition：universe/factors/selection/rebalance/costs/portfolio +
price_adjustment（除 period 外完整策略定义）；to_research_spec(period) 展开为标准 Spec
- strategy 表（migration e1f2a3b4c5d6，MySQL 已应用；name 唯一）+ StrategyRepository
- /api/strategies：POST/GET/DELETE + POST /{id}/expand（period+initial_capital → ResearchSpec）
- tests/test_strategies.py（repo CRUD/同名/expand、API CRUD/400/404）；全量 pytest 通过
This commit is contained in:
Simon
@@ -22,6 +22,7 @@ from app.domain.repositories.market import (
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)
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from app.domain.repositories.selection import SelectionRepository
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from app.domain.repositories.signal import SignalRepository
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from app.domain.repositories.strategy import StrategyRepository
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from app.infrastructure.persistence.sqlalchemy.repositories.composite_impl import (
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SqlAlchemyCompositeRepository,
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)
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@@ -39,6 +40,9 @@ from app.infrastructure.persistence.sqlalchemy.repositories.selection_impl impor
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from app.infrastructure.persistence.sqlalchemy.repositories.signal_impl import (
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SqlAlchemySignalRepository,
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)
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from app.infrastructure.persistence.sqlalchemy.repositories.strategy_impl import (
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SqlAlchemyStrategyRepository,
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)
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from app.infrastructure.persistence.sqlalchemy.session import get_session
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from app.quant.engine import LocalEngine, QuantEngine
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from app.quant.service import ResearchService
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@@ -102,6 +106,10 @@ def _signal_repo_factory(session: DbSession) -> SignalRepository:
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return SqlAlchemySignalRepository(session)
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def _strategy_repo_factory(session: DbSession) -> StrategyRepository:
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return SqlAlchemyStrategyRepository(session)
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StockRepoDep = Annotated[StockRepository, Depends(_stock_repo_factory)]
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DailyRepoDep = Annotated[DailyBarRepository, Depends(_daily_repo_factory)]
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EngineDep = Annotated[QuantEngine, Depends(_engine_factory)]
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@@ -112,6 +120,7 @@ FactorRepoDep = Annotated[FactorRepository, Depends(_factor_repo_factory)]
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CompositeRepoDep = Annotated[CompositeRepository, Depends(_composite_repo_factory)]
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SignalRepoDep = Annotated[SignalRepository, Depends(_signal_repo_factory)]
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SignalServiceDep = Annotated[SignalService, Depends(_signal_service_factory)]
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StrategyRepoDep = Annotated[StrategyRepository, Depends(_strategy_repo_factory)]
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def _job_repo_factory(session: DbSession):
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@@ -19,6 +19,7 @@ from app.api import (
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selections,
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signals,
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stocks,
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strategies,
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)
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api_router = APIRouter()
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@@ -29,6 +30,7 @@ api_router.include_router(composites.router)
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api_router.include_router(research.router)
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api_router.include_router(selections.router)
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api_router.include_router(signals.router)
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api_router.include_router(strategies.router)
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api_router.include_router(jobs.router)
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api_router.include_router(experiments.router)
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api_router.include_router(agent.router)
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@@ -0,0 +1,80 @@
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"""策略 API（M8.3）：/api/strategies CRUD + 展开为 ResearchSpec。
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POST /api/strategies 保存策略（name 唯一）
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GET /api/strategies 列表
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GET /api/strategies/{id}
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DELETE /api/strategies/{id}
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POST /api/strategies/{id}/expand body: {period:[start,end], initial_capital?} → ResearchSpec
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"""
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from __future__ import annotations
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from datetime import date
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from fastapi import APIRouter, HTTPException
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from pydantic import BaseModel, Field
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from app.api.deps import DbSession, StrategyRepoDep
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from app.application.services.job_executor import new_id
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from app.domain.entities.research import ResearchSpec
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from app.domain.entities.strategy import StrategyDefinition
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router = APIRouter(prefix="/strategies", tags=["strategies"])
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class ExpandRequest(BaseModel):
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period: tuple[date, date]
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initial_capital: float = Field(default=1_000_000.0, gt=0)
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@router.post("", response_model=StrategyDefinition, summary="保存策略")
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def create_strategy(
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definition: StrategyDefinition,
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strategy_repo: StrategyRepoDep,
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session: DbSession,
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) -> StrategyDefinition:
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try:
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saved = strategy_repo.save(definition.model_copy(update={"id": new_id("STG")}))
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session.commit()
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return saved
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except ValueError as exc:
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raise HTTPException(status_code=400, detail=str(exc)) from exc
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@router.get("", response_model=list[StrategyDefinition], summary="策略列表")
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def list_strategies(strategy_repo: StrategyRepoDep) -> list[StrategyDefinition]:
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return strategy_repo.list()
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@router.get("/{strategy_id}", response_model=StrategyDefinition, summary="读取策略")
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def get_strategy(strategy_id: str, strategy_repo: StrategyRepoDep) -> StrategyDefinition:
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row = strategy_repo.get(strategy_id)
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if row is None:
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raise HTTPException(status_code=404, detail=f"策略 {strategy_id} 不存在")
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return row
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@router.delete("/{strategy_id}", summary="删除策略")
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def delete_strategy(
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strategy_id: str,
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strategy_repo: StrategyRepoDep,
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session: DbSession,
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) -> dict:
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if not strategy_repo.delete(strategy_id):
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raise HTTPException(status_code=404, detail=f"策略 {strategy_id} 不存在")
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session.commit()
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return {"deleted": strategy_id}
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@router.post("/{strategy_id}/expand", response_model=ResearchSpec, summary="展开为研究 Spec")
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def expand_strategy(
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strategy_id: str,
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req: ExpandRequest,
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strategy_repo: StrategyRepoDep,
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) -> ResearchSpec:
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row = strategy_repo.get(strategy_id)
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if row is None:
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raise HTTPException(status_code=404, detail=f"策略 {strategy_id} 不存在")
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if req.period[0] >= req.period[1]:
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raise HTTPException(status_code=400, detail="period 必须满足 start < end")
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return row.to_research_spec(period=req.period, initial_capital=req.initial_capital)
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@@ -0,0 +1,53 @@
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"""策略领域实体（M8.3，v2 §17/§5.3）。
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Strategy = 完整策略定义（universe + factors + selection + rebalance + costs +
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portfolio，除回测区间 period 外），保存为命名资产；回测时补 period 展开为
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ResearchSpec（v2 §18 Research Specification 为统一契约，策略是其持久化形态）。
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"""
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from __future__ import annotations
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from datetime import date, datetime
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from pydantic import BaseModel, Field
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from app.domain.entities.research import (
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CostSpec,
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FactorSpec,
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PortfolioSpec,
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SelectionSpec,
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UniverseSpec,
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)
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class StrategyDefinition(BaseModel):
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id: str = ""
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name: str = Field(min_length=1, max_length=64)
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description: str = ""
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spec_type: str = Field(default="backtest", pattern="^(backtest|factor_test)$")
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universe: UniverseSpec = UniverseSpec()
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price_adjustment: str = Field(default="none", pattern="^(none|qfq)$")
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factors: list[FactorSpec] = Field(min_length=1)
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selection: SelectionSpec = SelectionSpec()
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rebalance: str = Field(default="monthly", pattern="^(weekly|monthly)$")
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costs: CostSpec = CostSpec()
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portfolio: PortfolioSpec = PortfolioSpec()
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version: str = "1"
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created_at: datetime | None = None
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def to_research_spec(self, period: tuple[date, date], initial_capital: float | None = None):
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"""补全回测区间/资金后展开为标准 ResearchSpec（可在 Job/回测执行）。"""
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from app.domain.entities.research import ResearchSpec
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return ResearchSpec(
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type=self.spec_type,
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universe=self.universe,
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price_adjustment=self.price_adjustment,
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factors=self.factors,
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selection=self.selection,
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rebalance=self.rebalance,
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period=period,
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costs=self.costs,
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portfolio=self.portfolio,
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initial_capital=initial_capital if initial_capital else 1_000_000.0,
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)
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@@ -0,0 +1,20 @@
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"""策略 Repository Protocol（M8.3）。"""
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from __future__ import annotations
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from typing import Protocol
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from app.domain.entities.strategy import StrategyDefinition
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class StrategyRepository(Protocol):
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def save(self, definition: StrategyDefinition) -> StrategyDefinition:
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"""新建（name 冲突抛 ValueError）。"""
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def get(self, strategy_id: str) -> StrategyDefinition | None: ...
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def get_by_name(self, name: str) -> StrategyDefinition | None: ...
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def list(self) -> list[StrategyDefinition]: ...
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def delete(self, strategy_id: str) -> bool: ...
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+38
@@ -0,0 +1,38 @@
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"""strategy 表（M8.3 策略持久化）
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Revision ID: e1f2a3b4c5d6
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Revises: d8e0b2f3c4d5
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Create Date: 2026-09-09
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"""
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from __future__ import annotations
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from collections.abc import Sequence
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import sqlalchemy as sa
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from alembic import op
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revision: str = "e1f2a3b4c5d6"
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down_revision: str | None = "d8e0b2f3c4d5"
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branch_labels: str | Sequence[str] | None = None
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depends_on: str | Sequence[str] | None = None
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def upgrade() -> None:
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op.create_table(
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"strategy",
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sa.Column("id", sa.String(length=32), nullable=False),
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sa.Column("name", sa.String(length=64), nullable=False),
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sa.Column("description", sa.String(length=300), nullable=False),
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sa.Column("spec_type", sa.String(length=16), nullable=False),
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sa.Column("config_json", sa.Text(), nullable=False),
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sa.Column("version", sa.String(length=16), nullable=False),
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sa.Column("created_at", sa.DateTime(), nullable=False),
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sa.PrimaryKeyConstraint("id"),
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sa.UniqueConstraint("name", name="uq_strategy_name"),
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)
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def downgrade() -> None:
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op.drop_table("strategy")
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@@ -30,3 +30,6 @@ from app.infrastructure.persistence.sqlalchemy.models.signal import ( # noqa: F
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SignalEventModel,
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SignalSnapshotModel,
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)
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from app.infrastructure.persistence.sqlalchemy.models.strategy import ( # noqa: F401
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StrategyModel,
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)
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@@ -0,0 +1,22 @@
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"""strategy 表（M8.3）。"""
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from __future__ import annotations
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from datetime import datetime
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from sqlalchemy import DateTime, String, Text
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from sqlalchemy.orm import Mapped, mapped_column
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from app.infrastructure.persistence.sqlalchemy.base import Base
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class StrategyModel(Base):
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__tablename__ = "strategy"
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id: Mapped[str] = mapped_column(String(32), primary_key=True)
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name: Mapped[str] = mapped_column(String(64), unique=True)
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description: Mapped[str] = mapped_column(String(300), default="")
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spec_type: Mapped[str] = mapped_column(String(16), default="backtest")
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config_json: Mapped[str] = mapped_column(Text)
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version: Mapped[str] = mapped_column(String(16), default="1")
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created_at: Mapped[datetime] = mapped_column(DateTime)
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@@ -0,0 +1,86 @@
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"""策略 Repository 的 SQLAlchemy 实现（M8.3）。
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config 以 JSON 存（StrategyDefinition.model_dump）；读取时重建实体。
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"""
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from __future__ import annotations
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import json
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from datetime import datetime
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from sqlalchemy import select
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from sqlalchemy.orm import Session
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from app.domain.entities.strategy import StrategyDefinition
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from app.infrastructure.persistence.sqlalchemy.models.strategy import StrategyModel
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class SqlAlchemyStrategyRepository:
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def __init__(self, session: Session) -> None:
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self._session = session
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def save(self, definition: StrategyDefinition) -> StrategyDefinition:
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if not definition.id:
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raise ValueError("需要 id（由调用方生成）")
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dup = self._session.scalar(
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select(StrategyModel).where(StrategyModel.name == definition.name).limit(1)
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)
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if dup is not None and dup.id != definition.id:
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raise ValueError(f"策略名已存在：{definition.name}")
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now = definition.created_at or datetime.now()
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row = self._session.get(StrategyModel, definition.id)
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config_json = json.dumps(definition.model_dump(exclude={"id", "created_at"}), ensure_ascii=False)
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if row is None:
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self._session.add(
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StrategyModel(
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id=definition.id,
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name=definition.name,
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description=definition.description,
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spec_type=definition.spec_type,
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config_json=config_json,
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version=definition.version,
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created_at=now,
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)
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)
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else:
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row.name = definition.name
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row.description = definition.description
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row.spec_type = definition.spec_type
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row.config_json = config_json
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row.version = definition.version
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self._session.flush()
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return definition
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def get(self, strategy_id: str) -> StrategyDefinition | None:
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row = self._session.get(StrategyModel, strategy_id)
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return _to_entity(row) if row else None
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def get_by_name(self, name: str) -> StrategyDefinition | None:
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row = self._session.scalar(
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select(StrategyModel).where(StrategyModel.name == name).limit(1)
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)
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return _to_entity(row) if row else None
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def list(self) -> list[StrategyDefinition]:
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rows = self._session.scalars(
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select(StrategyModel).order_by(StrategyModel.name)
|
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).all()
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return [_to_entity(r) for r in rows]
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|
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def delete(self, strategy_id: str) -> bool:
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row = self._session.get(StrategyModel, strategy_id)
|
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if row is None:
|
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return False
|
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self._session.delete(row)
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return True
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|
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|
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def _to_entity(row: StrategyModel) -> StrategyDefinition:
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data = json.loads(row.config_json)
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# 列字段由 DB 行回填，避免与 config_json 重复
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for key in ("name", "version", "description", "spec_type"):
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data.pop(key, None)
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return StrategyDefinition(
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id=row.id, name=row.name, version=row.version,
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created_at=row.created_at, **data,
|
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)
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@@ -0,0 +1,123 @@
|
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"""M8.3 策略测试：repo CRUD + /api/strategies + expand 为 ResearchSpec。"""
|
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|
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from __future__ import annotations
|
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|
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from datetime import date
|
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|
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import pytest
|
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from app.api import deps
|
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from app.domain.entities.research import SelectionSpec
|
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from app.domain.entities.strategy import StrategyDefinition
|
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from app.infrastructure.persistence.sqlalchemy.base import Base
|
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from app.infrastructure.persistence.sqlalchemy.repositories.strategy_impl import (
|
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SqlAlchemyStrategyRepository,
|
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)
|
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from app.main import app
|
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from fastapi.testclient import TestClient
|
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from sqlalchemy import create_engine
|
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from sqlalchemy.orm import sessionmaker
|
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|
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|
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def _st() -> StrategyDefinition:
|
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return StrategyDefinition(
|
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name="质量成长动量",
|
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description="ROE+动量（演示）",
|
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factors=[{"name": "momentum_60", "weight": 1.0}],
|
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selection=SelectionSpec(top_n=10),
|
||||
)
|
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|
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|
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@pytest.fixture()
|
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def session(tmp_path):
|
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engine = create_engine(f"sqlite:///{tmp_path / 'st.db'}", future=True)
|
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Base.metadata.create_all(engine)
|
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Session = sessionmaker(bind=engine, expire_on_commit=False)
|
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with Session() as s:
|
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yield s
|
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|
||||
|
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class TestStrategyRepository:
|
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def test_save_get_list_delete(self, session) -> None:
|
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repo = SqlAlchemyStrategyRepository(session)
|
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repo.save(_st().model_copy(update={"id": "STG-T1"}))
|
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session.commit()
|
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got = repo.get("STG-T1")
|
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assert got is not None and got.name == "质量成长动量"
|
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assert got.selection.top_n == 10
|
||||
assert len(repo.list()) == 1
|
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assert repo.get_by_name("质量成长动量") is not None
|
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assert repo.delete("STG-T1") is True
|
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session.commit()
|
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assert repo.get("STG-T1") is None
|
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|
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def test_duplicate_name(self, session) -> None:
|
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repo = SqlAlchemyStrategyRepository(session)
|
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repo.save(_st().model_copy(update={"id": "STG-A"}))
|
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session.commit()
|
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with pytest.raises(ValueError):
|
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repo.save(_st().model_copy(update={"id": "STG-B"}))
|
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|
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def test_expand_to_research_spec(self, session) -> None:
|
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st = _st().model_copy(update={"id": "STG-E"})
|
||||
spec = st.to_research_spec((date(2024, 1, 1), date(2024, 6, 1)))
|
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assert spec.type == "backtest"
|
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assert spec.period == (date(2024, 1, 1), date(2024, 6, 1))
|
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assert spec.factors[0].name == "momentum_60"
|
||||
assert spec.price_adjustment == "none"
|
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|
||||
|
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@pytest.fixture()
|
||||
def client(tmp_path):
|
||||
engine = create_engine(f"sqlite:///{tmp_path / 'api.db'}", future=True)
|
||||
Base.metadata.create_all(engine)
|
||||
Session = sessionmaker(bind=engine, expire_on_commit=False)
|
||||
|
||||
def _session_override():
|
||||
with Session() as s:
|
||||
yield s
|
||||
|
||||
app.dependency_overrides[deps.get_session] = _session_override
|
||||
with TestClient(app) as c:
|
||||
yield c
|
||||
app.dependency_overrides.clear()
|
||||
|
||||
|
||||
class TestStrategiesApi:
|
||||
def test_crud_and_expand(self, client) -> None:
|
||||
body = {
|
||||
"name": "演示策略",
|
||||
"description": "动量",
|
||||
"factors": [{"name": "momentum_60", "weight": 1}],
|
||||
"selection": {"top_n": 10},
|
||||
}
|
||||
created = client.post("/api/strategies", json=body)
|
||||
assert created.status_code == 200
|
||||
sid = created.json()["id"]
|
||||
assert sid.startswith("STG-")
|
||||
|
||||
assert len(client.get("/api/strategies").json()) == 1
|
||||
detail = client.get(f"/api/strategies/{sid}").json()
|
||||
assert detail["name"] == "演示策略"
|
||||
|
||||
resp = client.post(
|
||||
f"/api/strategies/{sid}/expand",
|
||||
json={"period": ["2024-01-01", "2024-06-01"]},
|
||||
)
|
||||
assert resp.status_code == 200
|
||||
spec = resp.json()
|
||||
assert spec["type"] == "backtest"
|
||||
assert spec["factors"][0]["name"] == "momentum_60"
|
||||
|
||||
assert client.delete(f"/api/strategies/{sid}").status_code == 200
|
||||
assert client.get(f"/api/strategies/{sid}").status_code == 404
|
||||
|
||||
def test_duplicate_and_bad_period(self, client) -> None:
|
||||
body = {"name": "A", "factors": [{"name": "momentum_60", "weight": 1}]}
|
||||
assert client.post("/api/strategies", json=body).status_code == 200
|
||||
assert client.post("/api/strategies", json=body).status_code == 400
|
||||
sid = client.get("/api/strategies").json()[0]["id"]
|
||||
bad = client.post(
|
||||
f"/api/strategies/{sid}/expand",
|
||||
json={"period": ["2024-06-01", "2024-01-01"]},
|
||||
)
|
||||
assert bad.status_code == 400
|
||||
Reference in New Issue
Block a user