175 lines
8.1 KiB
Python
175 lines
8.1 KiB
Python
"""ORM 模型。
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Candle 表设计与 TimescaleDB hypertable 完全兼容：将来在目标 PG 库执行
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SELECT create_hypertable('candles', 'ts');
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即可升级为时序表 + Continuous Aggregates 多周期预聚合，无需改表结构。
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智能选股三表（stock_basic / market_daily / daily_snapshot）与回测 candles(qfq)
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完全隔离：选股用未复权日线按 trade_date 全市场批量落地，避免污染回测复权缓存。
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"""
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from datetime import datetime
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from sqlalchemy import BigInteger, Boolean, DateTime, Float, ForeignKey, Integer, String, UniqueConstraint
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from sqlalchemy.orm import Mapped, mapped_column, relationship
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from .db import Base
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def _utcnow() -> datetime:
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# naive UTC，避免 SQLite 存储时区带来的麻烦
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from datetime import timezone
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return datetime.now(timezone.utc).replace(tzinfo=None)
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class Candle(Base):
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__tablename__ = "candles"
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id: Mapped[int] = mapped_column(Integer, primary_key=True, autoincrement=True)
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symbol: Mapped[str] = mapped_column(String(16), index=True)
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timeframe: Mapped[str] = mapped_column(String(4), default="1d", index=True)
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ts: Mapped[datetime] = mapped_column(DateTime, index=True) # bar 开始时间
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open: Mapped[float] = mapped_column(Float)
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high: Mapped[float] = mapped_column(Float)
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low: Mapped[float] = mapped_column(Float)
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close: Mapped[float] = mapped_column(Float)
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volume: Mapped[float] = mapped_column(Float)
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__table_args__ = (
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UniqueConstraint("symbol", "timeframe", "ts", name="uq_candle_sym_tf_ts"),
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)
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class BacktestRun(Base):
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"""回测运行注册表（可复现/可审计/可回归对比的基础）。
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完整版应记录 策略版本 + 参数快照 + 数据快照（复权/数据源/库版本）+ 环境指纹 + 结果指纹。
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MVP 先落关键字段，结构就位。
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"""
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__tablename__ = "backtest_runs"
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id: Mapped[int] = mapped_column(Integer, primary_key=True, autoincrement=True)
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created_at: Mapped[datetime] = mapped_column(DateTime, default=_utcnow)
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symbol: Mapped[str] = mapped_column(String(16))
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strategy: Mapped[str] = mapped_column(String(64))
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timeframe: Mapped[str] = mapped_column(String(4), default="1d")
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params_json: Mapped[str] = mapped_column(String, default="{}")
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initial_cash: Mapped[float] = mapped_column(Float, default=100000.0)
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total_return: Mapped[float] = mapped_column(Float, default=0.0)
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max_drawdown: Mapped[float] = mapped_column(Float, default=0.0)
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sharpe: Mapped[float] = mapped_column(Float, default=0.0)
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num_trades: Mapped[int] = mapped_column(Integer, default=0)
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class StockBasic(Base):
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"""A股股票列表（stock_basic 快照；选股展示名称、排除 ST/退市/北交所的依据）。"""
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__tablename__ = "stock_basic"
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id: Mapped[int] = mapped_column(Integer, primary_key=True, autoincrement=True)
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ts_code: Mapped[str] = mapped_column(String(12), unique=True, index=True) # 000001.SZ
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symbol: Mapped[str] = mapped_column(String(10), index=True) # 000001
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name: Mapped[str] = mapped_column(String(32))
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area: Mapped[str | None] = mapped_column(String(32))
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industry: Mapped[str | None] = mapped_column(String(32))
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market: Mapped[str | None] = mapped_column(String(32)) # 主板/创业板/科创板/北交所
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exchange: Mapped[str] = mapped_column(String(8)) # SSE/SZSE/BSE
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list_status: Mapped[str] = mapped_column(String(2), index=True) # L上市 D退市 P暂停
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list_date: Mapped[str] = mapped_column(String(8), default="")
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delist_date: Mapped[str | None] = mapped_column(String(8))
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class MarketDaily(Base):
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"""全市场未复权日线（选股专用，与回测 candles(qfq) 隔离）。
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单位沿用 Tushare 原始：vol 手、amount 千元。
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"""
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__tablename__ = "market_daily"
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id: Mapped[int] = mapped_column(Integer, primary_key=True, autoincrement=True)
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trade_date: Mapped[datetime] = mapped_column(DateTime, index=True)
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ts_code: Mapped[str] = mapped_column(String(12), index=True)
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open: Mapped[float] = mapped_column(Float)
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high: Mapped[float] = mapped_column(Float)
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low: Mapped[float] = mapped_column(Float)
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close: Mapped[float] = mapped_column(Float)
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pre_close: Mapped[float] = mapped_column(Float)
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change: Mapped[float | None] = mapped_column(Float)
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pct_chg: Mapped[float | None] = mapped_column(Float) # 日涨跌幅 %
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vol: Mapped[float] = mapped_column(Float) # 手
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amount: Mapped[float] = mapped_column(Float) # 千元
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__table_args__ = (
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UniqueConstraint("ts_code", "trade_date", name="uq_mkt_code_date"),
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)
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class DailySnapshot(Base):
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"""每日指标快照（daily_basic）。total_mv/circ_mv 单位万元（Tushare 原始），API 层换算亿元。"""
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__tablename__ = "daily_snapshot"
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id: Mapped[int] = mapped_column(Integer, primary_key=True, autoincrement=True)
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trade_date: Mapped[datetime] = mapped_column(DateTime, index=True)
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ts_code: Mapped[str] = mapped_column(String(12), index=True)
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close: Mapped[float | None] = mapped_column(Float)
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turnover_rate: Mapped[float | None] = mapped_column(Float) # 换手率 %
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turnover_rate_f: Mapped[float | None] = mapped_column(Float) # 自由流通换手率 %
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volume_ratio: Mapped[float | None] = mapped_column(Float) # 量比
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pe: Mapped[float | None] = mapped_column(Float)
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pe_ttm: Mapped[float | None] = mapped_column(Float)
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pb: Mapped[float | None] = mapped_column(Float)
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total_mv: Mapped[float | None] = mapped_column(Float) # 总市值（万元）
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circ_mv: Mapped[float | None] = mapped_column(Float) # 流通市值（万元）
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__table_args__ = (
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UniqueConstraint("ts_code", "trade_date", name="uq_snap_code_date"),
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)
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class TradeCalendar(Base):
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"""交易日历缓存（trade_cal 拉取一次宽范围后本地维护，低积分 token 限频 1 次/小时）。"""
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__tablename__ = "trade_calendar"
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id: Mapped[int] = mapped_column(Integer, primary_key=True, autoincrement=True)
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trade_date: Mapped[str] = mapped_column(String(8), unique=True, index=True) # YYYYMMDD
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class User(Base):
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"""后台登录用户。系统不提供注册接口，只能通过服务器命令创建或改密。"""
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__tablename__ = "users"
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id: Mapped[int] = mapped_column(BigInteger, primary_key=True, autoincrement=True)
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username: Mapped[str] = mapped_column(String(64), unique=True)
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password_hash: Mapped[str] = mapped_column(String(255))
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password_algo: Mapped[str] = mapped_column(String(16), default="argon2id")
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is_active: Mapped[bool] = mapped_column(Boolean, default=True, index=True)
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failed_login_count: Mapped[int] = mapped_column(Integer, default=0)
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locked_until: Mapped[datetime | None] = mapped_column(DateTime(timezone=True))
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password_changed_at: Mapped[datetime] = mapped_column(DateTime(timezone=True))
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last_login_at: Mapped[datetime | None] = mapped_column(DateTime(timezone=True))
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created_at: Mapped[datetime] = mapped_column(DateTime(timezone=True))
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updated_at: Mapped[datetime] = mapped_column(DateTime(timezone=True))
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sessions: Mapped[list["AuthSession"]] = relationship(
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back_populates="user", cascade="all, delete-orphan"
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)
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class AuthSession(Base):
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"""服务端会话。数据库只保存随机 Token 的 SHA-256 摘要。"""
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__tablename__ = "auth_sessions"
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id: Mapped[int] = mapped_column(BigInteger, primary_key=True, autoincrement=True)
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user_id: Mapped[int] = mapped_column(
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BigInteger, ForeignKey("users.id", ondelete="CASCADE"), index=True
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)
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token_hash: Mapped[str] = mapped_column(String(64), unique=True)
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created_at: Mapped[datetime] = mapped_column(DateTime(timezone=True))
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expires_at: Mapped[datetime] = mapped_column(DateTime(timezone=True), index=True)
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last_seen_at: Mapped[datetime] = mapped_column(DateTime(timezone=True))
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revoked_at: Mapped[datetime | None] = mapped_column(DateTime(timezone=True), index=True)
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ip_address: Mapped[str | None] = mapped_column(String(45))
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user_agent: Mapped[str | None] = mapped_column(String(512))
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user: Mapped[User] = relationship(back_populates="sessions")
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