按用户目标把原来「一个策略 = 全套参数」拆开(已确认的设计决策):
- 公共配置 GlobalConfig(全局唯一):佣金/印花税/滑点/最低佣金/复权口径/基准
- 选股策略 SelectionStrategy(原 StrategyDefinition 改名):只剩股票池+因子+条件,
不再持有 selection/rebalance/costs/portfolio/区间/资金
- 回测组合 BacktestCombo:引用若干选股策略 + 回测时才定的参数
(起始资金、持仓数 N、持仓天数区间 [Tmin,Tmax]、调仓时机 日/周/月、区间)
引擎(app/quant/combo_engine.py,新增):
- 多策略打分 = 并集 + Borda 秩和(各策略 1/名次 求和;不假设不同策略分值可比,
能容纳各策略股票池不同);抽出纯函数 borda_combine 便于单测
- 持仓天数区间 [Tmin,Tmax]:Tmax **每个交易日**强制了结(安全阀,月频下也不超期);
Tmin 仅在调仓日保护(掉出 TopN 但未满 Tmin 暂留,防频繁换手);调仓日为增量调仓
(只卖超期/掉队且满 Tmin 的,从 TopN 补买至 N 只,不主动减持以尊重 Tmin)
- 调仓时机 daily/weekly/monthly(local_engine.rebalance_dates 新增日频分支)
- 产出与旧 runner 同构的 BacktestResult,前端可视化无需改动;config_snapshot 固化
ComboRunSpec(组合+当时各策略定义+当时成本/复权)保证可复现
数据层:
- 新表 global_config(默认行:万三/hfq/最低佣金5元)、backtest_combo
- 迁移 b4c5d6e7f8a9:建两表 + 把存量 strategy.config_json 的回测参数键剥掉、
spec_type 收敛为 selection(已在真实 MariaDB 验证:STG-16BFBF08 清洗后只剩
universe/factors/conditions)
- 仓储 SqlAlchemyGlobalConfigRepository / SqlAlchemyComboRepository + Protocol
API:
- /api/config GET/PUT;/api/combos CRUD + /{id}/run + /run(kind=combo 异步 Job)
- job_executor 新增 combo 分支:取齐策略+读公共配置→ComboService.run,归档 kind
记 backtest(结果结构相同)
- /api/strategies 切到 SelectionStrategy,移除已废弃的 /{id}/expand
- strategy_doc.describe_strategy 支持 SelectionStrategy(只讲「怎么选」,如实声明
资金/持仓/调仓/成本/区间在回测组合里定)
旧的 ResearchSpec + /api/backtests 保留(因子测试与既有契约自检仍用),
作为底层 escape hatch;用户产品路径改为回测组合。
测试:新增 test_combo_engine(6)/test_combo_service(3)/test_combo_api(5),
改写 test_strategies/test_strategy_doc 适配新模型。全量 403 passed(原 388)。
232 lines
9.0 KiB
Python
232 lines
9.0 KiB
Python
"""API 依赖注入:Repository / 研究服务的装配点(composition root 的一部分)。
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路由层统一使用 Annotated 注入(FastAPI 推荐写法,配合 ruff B008 无冲突)。
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"""
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from __future__ import annotations
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from typing import Annotated
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from fastapi import Depends
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from sqlalchemy.orm import Session
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from app.application.services.chart_service import ChartService
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from app.application.services.replay_service import ReplayService
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from app.application.services.selection_service import SelectionService
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from app.application.services.signal_service import SignalService
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from app.domain.repositories.combo import ComboRepository, GlobalConfigRepository
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from app.domain.repositories.composite import CompositeRepository
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from app.domain.repositories.factor import FactorRepository
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from app.domain.repositories.index import IndexConstituentRepository
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from app.domain.repositories.jobs import ExperimentRepository, JobRepository
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from app.domain.repositories.market import (
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AdjustFactorRepository,
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DailyBarRepository,
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DailyBasicRepository,
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FinancialRepository,
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StockNameHistoryRepository,
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StockRepository,
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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.combo_impl import (
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SqlAlchemyComboRepository,
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SqlAlchemyGlobalConfigRepository,
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)
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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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from app.infrastructure.persistence.sqlalchemy.repositories.factor_impl import (
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SqlAlchemyFactorRepository,
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)
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from app.infrastructure.persistence.sqlalchemy.repositories.index_impl import (
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SqlAlchemyIndexConstituentRepository,
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)
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from app.infrastructure.persistence.sqlalchemy.repositories.market_impl import (
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SqlAlchemyAdjustFactorRepository,
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SqlAlchemyDailyBarRepository,
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SqlAlchemyDailyBasicRepository,
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SqlAlchemyFinancialRepository,
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SqlAlchemyStockNameHistoryRepository,
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SqlAlchemyStockRepository,
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)
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from app.infrastructure.persistence.sqlalchemy.repositories.selection_impl import (
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SqlAlchemySelectionRepository,
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)
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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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DbSession = Annotated[Session, Depends(get_session)]
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def _stock_repo_factory(session: DbSession) -> StockRepository:
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return SqlAlchemyStockRepository(session)
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def _daily_repo_factory(session: DbSession) -> DailyBarRepository:
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return SqlAlchemyDailyBarRepository(session)
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def _financial_repo_factory(session: DbSession) -> FinancialRepository:
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return SqlAlchemyFinancialRepository(session)
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def _adjust_repo_factory(session: DbSession) -> AdjustFactorRepository:
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return SqlAlchemyAdjustFactorRepository(session)
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def _daily_basic_repo_factory(session: DbSession) -> DailyBasicRepository:
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return SqlAlchemyDailyBasicRepository(session)
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def _chart_service_factory(
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stock_repo: Annotated[StockRepository, Depends(_stock_repo_factory)],
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daily_repo: Annotated[DailyBarRepository, Depends(_daily_repo_factory)],
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adj_repo: Annotated[AdjustFactorRepository, Depends(_adjust_repo_factory)],
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) -> ChartService:
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return ChartService(stock_repo, daily_repo, adj_repo)
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def _name_repo_factory(session: DbSession) -> StockNameHistoryRepository:
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"""名称变更历史仓储(StockNameHistoryRepository 实现)。"""
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return SqlAlchemyStockNameHistoryRepository(session)
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def _index_repo_factory(session: DbSession) -> IndexConstituentRepository:
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return SqlAlchemyIndexConstituentRepository(session)
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def _engine_factory() -> QuantEngine:
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return LocalEngine()
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def _service_factory(
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stock_repo: Annotated[StockRepository, Depends(_stock_repo_factory)],
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daily_repo: Annotated[DailyBarRepository, Depends(_daily_repo_factory)],
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engine: Annotated[QuantEngine, Depends(_engine_factory)],
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index_repo: Annotated[IndexConstituentRepository, Depends(_index_repo_factory)],
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basic_repo: Annotated[DailyBasicRepository, Depends(_daily_basic_repo_factory)],
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financial_repo: Annotated[FinancialRepository, Depends(_financial_repo_factory)],
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name_repo: Annotated[
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StockNameHistoryRepository, Depends(_name_repo_factory)
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] = None,
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) -> ResearchService:
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return ResearchService(
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stock_repo,
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daily_repo,
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engine,
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index_repo,
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basic_repo=basic_repo,
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financial_repo=financial_repo,
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name_repo=name_repo,
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)
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def _replay_service_factory(
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stock_repo: Annotated[StockRepository, Depends(_stock_repo_factory)],
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daily_repo: Annotated[DailyBarRepository, Depends(_daily_repo_factory)],
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index_repo: Annotated[IndexConstituentRepository, Depends(_index_repo_factory)],
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name_repo: Annotated[StockNameHistoryRepository, Depends(_name_repo_factory)],
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) -> ReplayService:
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return ReplayService(stock_repo, daily_repo, index_repo, name_repo=name_repo)
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def _signal_service_factory(
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stock_repo: Annotated[StockRepository, Depends(_stock_repo_factory)],
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daily_repo: Annotated[DailyBarRepository, Depends(_daily_repo_factory)],
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index_repo: Annotated[IndexConstituentRepository, Depends(_index_repo_factory)],
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name_repo: Annotated[StockNameHistoryRepository, Depends(_name_repo_factory)],
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) -> SignalService:
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return SignalService(stock_repo, daily_repo, index_repo, name_repo=name_repo)
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def _selection_service_factory(
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stock_repo: Annotated[StockRepository, Depends(_stock_repo_factory)],
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daily_repo: Annotated[DailyBarRepository, Depends(_daily_repo_factory)],
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financial_repo: Annotated[FinancialRepository, Depends(_financial_repo_factory)],
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index_repo: Annotated[IndexConstituentRepository, Depends(_index_repo_factory)],
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basic_repo: Annotated[DailyBasicRepository, Depends(_daily_basic_repo_factory)],
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name_repo: Annotated[StockNameHistoryRepository, Depends(_name_repo_factory)],
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) -> SelectionService:
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return SelectionService(
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stock_repo,
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daily_repo,
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financial_repo,
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index_repo,
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basic_repo=basic_repo,
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name_repo=name_repo,
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)
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def _selection_repo_factory(session: DbSession) -> SelectionRepository:
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return SqlAlchemySelectionRepository(session)
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def _factor_repo_factory(session: DbSession) -> FactorRepository:
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return SqlAlchemyFactorRepository(session)
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def _composite_repo_factory(session: DbSession) -> CompositeRepository:
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return SqlAlchemyCompositeRepository(session)
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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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def _global_config_repo_factory(session: DbSession) -> GlobalConfigRepository:
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return SqlAlchemyGlobalConfigRepository(session)
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def _combo_repo_factory(session: DbSession) -> ComboRepository:
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return SqlAlchemyComboRepository(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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ResearchServiceDep = Annotated[ResearchService, Depends(_service_factory)]
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SelectionServiceDep = Annotated[SelectionService, Depends(_selection_service_factory)]
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SelectionRepoDep = Annotated[SelectionRepository, Depends(_selection_repo_factory)]
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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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ReplayServiceDep = Annotated[ReplayService, Depends(_replay_service_factory)]
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ChartServiceDep = Annotated[ChartService, Depends(_chart_service_factory)]
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StrategyRepoDep = Annotated[StrategyRepository, Depends(_strategy_repo_factory)]
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GlobalConfigRepoDep = Annotated[GlobalConfigRepository, Depends(_global_config_repo_factory)]
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ComboRepoDep = Annotated[ComboRepository, Depends(_combo_repo_factory)]
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def _job_repo_factory(session: DbSession):
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from app.infrastructure.persistence.sqlalchemy.repositories.jobs_impl import (
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SqlAlchemyJobRepository,
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)
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return SqlAlchemyJobRepository(session)
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def _experiment_repo_factory(session: DbSession):
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from app.infrastructure.persistence.sqlalchemy.repositories.jobs_impl import (
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SqlAlchemyExperimentRepository,
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)
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return SqlAlchemyExperimentRepository(session)
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JobRepoDep = Annotated[JobRepository, Depends(_job_repo_factory)]
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ExperimentRepoDep = Annotated[ExperimentRepository, Depends(_experiment_repo_factory)]
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