定版

config.yml

@@ -224,7 +224,7 @@ reports: # 报告模块相关
       - fixed-range-report # 固定区间收益报告
       - relative-range-report # 相对区间收益报告
 robo-executor: # 执行器相关
-  use: ${ROBO_EXECUTOR:backtest} # 执行哪个执行器，优先取系统环境变量ROBO_EXECUTOR的值，默认backtest
+  use: ${ROBO_EXECUTOR:real} # 执行哪个执行器，优先取系统环境变量ROBO_EXECUTOR的值，默认backtest
   sync-data: ${SYNC_DATA:off} # 是否开启同步资料数据
   backtest: # 回测执行器相关
     start-date: 2008-01-02 # 回测起始日期
@@ -233,7 +233,13 @@ robo-executor: # 执行器相关
     end-step: ${BACKTEST_END_STEP:4} # 回测从哪一步执行完成后结束执行 1:计算资产ewma；2:计算资产池；3:计算最优投组：4:计算再平衡信号以及持仓投组
     clean-up: on
   real: # 实盘执行器
-    start-date: 2022-11-01 # 实盘开始时间
+    start-date: 2008-01-02 # 实盘开始时间
+    include-date:
+      - 2023-02-18
+      - 2023-03-25
+      - 2023-06-17
+      - 2023-09-23
+      - 2008-01-05
 
 
 

portfolios/test_case.py

@@ -36,6 +36,10 @@ class PortfoliosTest(unittest.TestCase):
         report = reportor.load_report()
         self.logger.info(to_str(report))
 
+    @autowired(names={'hold': 'next-re'})
+    def test_clear(self, hold: PortfoliosHolder = None):
+        hold.clear()
+
 
 if __name__ == '__main__':
     unittest.main()

rebalance/ruler.py

@@ -56,7 +56,8 @@ class LevelRebalanceRuler(RebalanceRuler):
 
         last_signal = rrs.get_last_one(max_date=day, risk=risk)
         start = next_workday(last_signal['date'])
-        signals = {}
+        signals = rrs.get_list(min_date=last_re['date'], risk=risk, effective=False)
+        signals = {SignalType(x['type']): x for x in signals if SignalType(x['type']) is not SignalType.NONE and SignalType(x['type']).level > SignalType(last_re['type']).level}
         while start <= day:
             # 检查风控信号
             today_signals = {x.signal_type: x.get_signal(start, risk) for x in risk_signals if x.signal_type.level <= SignalType(last_re['type']).level}

rebalance/test_case.py

@@ -54,6 +54,10 @@ class RebalanceTest(unittest.TestCase):
         result = reportor.load_report()
         logger.info(to_str(result, show_line=10))
 
+    @autowired
+    def test_clear_signal(self, ruler: RebalanceRuler = None):
+        ruler.clear_signal()
+
 
 if __name__ == '__main__':
     unittest.main()

robo_executor.py

@@ -9,7 +9,7 @@ from typing import List
 import pandas as pd
 from py_jftech import (
     component, autowired, get_config, filter_weekend, asynchronized,
-    workday_range, format_date, prev_workday, parse_date
+    workday_range, format_date, prev_workday, parse_date, is_workday
 )
 
 from api import (
@@ -141,10 +141,11 @@ class BacktestExecutor(RoboExecutor):
 class RealExecutor(RoboExecutor):
 
     @autowired
-    def __init__(self, builder: PortfoliosBuilder = None, hold: PortfoliosHolder = None, syncs: List[DataSync] = None, ):
+    def __init__(self, builder: PortfoliosBuilder = None, hold: PortfoliosHolder = None, syncs: List[DataSync] = None, ruler: RebalanceRuler = None):
         self._builder = builder
         self._hold = hold
         self._syncs = syncs
+        self._ruler = ruler
         self._config = get_config(__name__)['real']
 
     @property
@@ -164,19 +165,27 @@ class RealExecutor(RoboExecutor):
                 logger.warning(f'get curt date from argv failure.', e)
         return dt.combine(dt.today().date(), dt.min.time())
 
+    @property
+    def include_date(self):
+        return [dt.combine(x, dt.min.time()) for x in self._config['include-date']]
+
     def start_exec(self):
         if self.is_sync_data:
             for sync in self._syncs:
                 sync.do_sync()
         date = self.curt_date
+        for date in pd.date_range(start='2008-01-17', end='2008-01-20'):
+            if is_workday(date) or date in self.include_date:
+                date = prev_workday(date)
                 for risk in PortfoliosRisk:
                     logger.info(f"start to build risk[{risk.name}] real for date[{format_date(date)}]".center(50, '-'))
                     now = dt.now()
                     # 因为每天都必须有NORMAL最优投组，不管用不用
-            self._builder.get_portfolios(prev_workday(date), risk)
+                    self._builder.get_portfolios(date, risk)
                     self._hold.build_hold_portfolio(date, risk)
+                    self._ruler.take_next_signal(date, risk)
                     # 如果当前持仓为风控投组，则还要计算风控投组，不管用不用
                     p_type = self._hold.get_portfolio_type(date, risk)
                     if p_type is not PortfoliosType.NORMAL:
-                self._builder.get_portfolios(prev_workday(date), p_type)
+                        self._builder.get_portfolios(date, risk, type=p_type)
                     logger.info(f"build risk[{risk.name}] real for date[{format_date(date)}] success, use[{(dt.now() - now).seconds}s]")