58 lines
2.3 KiB
Python
58 lines
2.3 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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"""
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from datetime import datetime
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from sqlalchemy import DateTime, Float, Integer, String, UniqueConstraint
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from sqlalchemy.orm import Mapped, mapped_column
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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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