78 lines
1.9 KiB
Python
78 lines
1.9 KiB
Python
"""领域模型契约（单一事实源的载体）。
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MVP 第一周必须定稿的核心类型。回测引擎、指标、API、(未来的)前端类型化客户端
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都基于这些契约——保证"图表/回测/实盘"用同一套语义。
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注意：回测/图表的指标值由后端唯一计算（app.indicators），前端不另算。
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"""
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from __future__ import annotations
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from dataclasses import dataclass
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from datetime import datetime
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from enum import Enum
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class Side(str, Enum):
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BUY = "buy"
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SELL = "sell"
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class Timeframe(str, Enum):
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"""K 线周期。分钟级已预留（用户选了分钟级回测）。"""
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M1 = "1m"
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M5 = "5m"
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M15 = "15m"
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M30 = "30m"
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H1 = "1h"
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D1 = "1d"
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W1 = "1w"
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@dataclass(frozen=True)
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class Bar:
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"""一根 K 线（OHLCV + 时间戳）。复权标识后续扩展。"""
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ts: datetime
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open: float
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high: float
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low: float
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close: float
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volume: float
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@dataclass(frozen=True)
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class Signal:
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"""策略产生的交易信号（用于在图上标注买卖点）。"""
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ts: datetime
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side: Side
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price: float
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strength: float = 1.0
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@dataclass(frozen=True)
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class Fill:
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"""一笔成交（含费用明细）。回测中由 PaperBroker 产生。"""
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ts: datetime
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side: Side
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price: float
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qty: float
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commission: float = 0.0
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stamp_duty: float = 0.0 # 印花税（仅卖出）
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transfer_fee: float = 0.0 # 过户费（双边）
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@property
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def total_cost(self) -> float:
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return self.commission + self.stamp_duty + self.transfer_fee
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@dataclass
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class Position:
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"""持仓状态。T+1：locked_qty 为当日买入、次日才可卖的部分。"""
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symbol: str = ""
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holdings: float = 0.0 # 可卖数量
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locked: float = 0.0 # 当日买入（T+1 锁定）
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avg_price: float = 0.0
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@property
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def qty(self) -> float:
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return self.holdings + self.locked
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