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backend/app/backtest/broker.py

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+"""PaperBroker —— 回测中的虚拟撮合 / 账户。
+
+建模 A 股规则：
+  - 100 股整数手（1手=100股）
+  - T+1：当日买入次日才可卖（fast_mode 关闭此约束）
+  - 印花税（卖出）、过户费（双边）、佣金（万1 最低5元）、滑点
+  - 撮合价：以当根 bar 收盘价近似（阶段1 接 VWAP / 限价单）
+"""
+from __future__ import annotations
+
+from dataclasses import dataclass, field
+
+from ..commission import CostSchedule, DEFAULT, buy_cost, sell_cost
+from ..domain import Fill, Side
+
+LOT = 100  # A股 1 手 = 100 股
+
+
+@dataclass
+class PaperBroker:
+    initial_cash: float = 100000.0
+    schedule: CostSchedule = field(default_factory=lambda: DEFAULT)
+    enable_costs: bool = True
+    enable_t_plus_1: bool = True
+
+    cash: float = field(init=False)
+    holdings: float = 0.0   # 可卖数量
+    locked: float = 0.0     # 当日买入（T+1 锁定）
+    avg_price: float = 0.0
+    fills: list[Fill] = field(default_factory=list)
+
+    def __post_init__(self) -> None:
+        self.cash = self.initial_cash
+
+    @property
+    def position(self) -> float:
+        return self.holdings + self.locked
+
+    def equity(self, price: float) -> float:
+        return self.cash + self.position * price
+
+    @staticmethod
+    def _to_lots(qty: float) -> int:
+        return int(qty // LOT) * LOT
+
+    def buy_max(self, ts, price: float) -> Fill | None:
+        """用当前现金买尽可能多的整手。"""
+        if price <= 0:
+            return None
+        rate = (
+            self.schedule.commission_rate
+            + self.schedule.transfer_fee_rate
+            + self.schedule.slippage_rate
+        ) if self.enable_costs else 0.0
+        affordable_qty = self.cash / (price * (1 + rate))
+        qty = self._to_lots(affordable_qty)
+        if qty <= 0:
+            return None
+        return self._execute_buy(ts, price, qty)
+
+    def sell_all(self, ts, price: float) -> Fill | None:
+        """卖出全部可卖持仓（整手）。"""
+        qty = self._to_lots(self.holdings)
+        if qty <= 0:
+            return None
+        return self._execute_sell(ts, price, qty)
+
+    def _execute_buy(self, ts, price: float, qty: int) -> Fill:
+        if self.enable_costs:
+            fp, comm, tf = buy_cost(price, qty, self.schedule)
+        else:
+            fp, comm, tf = price, 0.0, 0.0
+        cost = fp * qty + comm + tf
+        prev_pos = self.position
+        new_pos = prev_pos + qty
+        self.avg_price = (self.avg_price * prev_pos + fp * qty) / new_pos if new_pos else 0.0
+        if self.enable_t_plus_1:
+            self.locked += qty
+        else:
+            self.holdings += qty
+        self.cash -= cost
+        f = Fill(ts=ts, side=Side.BUY, price=fp, qty=qty, commission=comm, transfer_fee=tf)
+        self.fills.append(f)
+        return f
+
+    def _execute_sell(self, ts, price: float, qty: int) -> Fill:
+        if self.enable_costs:
+            fp, comm, tf, sd = sell_cost(price, qty, self.schedule)
+        else:
+            fp, comm, tf, sd = price, 0.0, 0.0, 0.0
+        proceeds = fp * qty - comm - tf - sd
+        self.holdings -= qty
+        self.cash += proceeds
+        if self.position == 0:
+            self.avg_price = 0.0
+        f = Fill(ts=ts, side=Side.SELL, price=fp, qty=qty, commission=comm, stamp_duty=sd, transfer_fee=tf)
+        self.fills.append(f)
+        return f
+
+    def release_t_plus_1(self) -> None:
+        """每根 bar 结束时调用：当日锁定转为次日可卖。"""
+        if self.enable_t_plus_1:
+            self.holdings += self.locked
+            self.locked = 0.0