Simon
37510c1b89
- domain/entities/replay.py：ReplayDay{top/events/counts}/ReplayResult 时间线
- ReplayService：universe.symbols 白名单必填（≤40）且重放交易日 ≤90（防全市场长任务）；
每个交易日以 <=as_of 数据经同一 signal/score 引擎生成帧
- POST /api/replays（边界校验）→ 时间线；供前端 Bar Replay 控件（v3 §20.6 阶段二）
- tests/test_replays.py：重放帧 == 回测 selection_history 逐调仓日一致；范围约束；
后段暴涨股不泄漏进早段帧（未来函数）；API 400/200；全量 pytest 通过
86 lines
3.2 KiB
Python
86 lines
3.2 KiB
Python
"""Bar Replay 服务（M9-6）：线性逐交易日重放选股+信号（as_of 语义）。
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- 范围约束：universe.symbols 必填（≤ 40 只）、重放交易日 ≤ 90 —— 避免全市场长任务
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- 每日计算只使用 <= as_of 数据（与 select/signal/回测同一引擎与口径）
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- ReplayDay.events 按 rank 升序；top 取前 N（意图排名，与回测 selection_history 对齐）
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"""
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from __future__ import annotations
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from datetime import date, timedelta
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import pandas as pd
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from app.domain.entities.replay import ReplayDay, ReplayResult, ReplayTop
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from app.domain.entities.selection import SelectionQuery
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from app.domain.entities.signal import SignalRules
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from app.domain.repositories.market import DailyBarRepository, StockRepository
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from app.quant.selection import factor_columns
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from app.quant.service import filter_stocks, load_daily_df
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from app.quant.signal import generate_signals
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MAX_SYMBOLS = 40
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MAX_DAYS = 90
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class ReplayService:
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def __init__(self, stock_repo: StockRepository, daily_repo: DailyBarRepository) -> None:
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self._stock_repo = stock_repo
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self._daily_repo = daily_repo
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def replay(
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self,
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query: SelectionQuery,
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rules: SignalRules,
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start: date,
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end: date,
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top_n: int = 5,
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) -> ReplayResult:
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symbols = list(query.universe.symbols or [])
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if not symbols:
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raise ValueError("Bar Replay 需要 universe.symbols 白名单（≤40 只），避免全市场长任务")
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if len(symbols) > MAX_SYMBOLS:
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raise ValueError(f"Bar Replay 白名单最多 {MAX_SYMBOLS} 只，当前 {len(symbols)}")
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stocks = filter_stocks(self._stock_repo.list(), query.universe, as_of=start)
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if not stocks:
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return ReplayResult(start=start, end=end, top_n=top_n)
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columns = sorted(factor_columns(query))
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daily = load_daily_df(
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self._daily_repo,
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symbols,
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start - timedelta(days=query.warmup_days),
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end,
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columns,
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adjust=query.price_adjustment,
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)
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if daily.empty:
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return ReplayResult(start=start, end=end, top_n=top_n)
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trading_days = sorted(
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pd.to_datetime(daily["trade_date"].unique())
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)
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days = [d for d in trading_days if start <= d.date() <= end]
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if len(days) > MAX_DAYS:
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raise ValueError(f"重放区间交易日 {len(days)} > 上限 {MAX_DAYS}，请缩短区间")
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out_days: list[ReplayDay] = []
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for d in days:
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res = generate_signals(daily, query, rules, as_of=d.date())
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top = [
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ReplayTop(symbol=e.symbol, score=e.score or 0.0)
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for e in res.events[:top_n]
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]
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out_days.append(
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ReplayDay(
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as_of=d.date(),
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top=top,
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events=res.events,
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counts={
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"buy": res.statistics.buy,
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"watch": res.statistics.watch,
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"sell": res.statistics.sell,
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},
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)
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)
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return ReplayResult(start=start, end=end, days=out_days, top_n=top_n)
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