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feat: use realtime quotes in summaries

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This commit is contained in:
王鹏
2026-07-08 22:02:56 +08:00
parent 653ac46e9d
commit f8cd9a92ab
4 changed files with 112 additions and 4 deletions
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12
src/grid_trading/domain/calculations.py
View File

@@ -14,6 +14,7 @@ from grid_trading.domain.models import (
FeeRules,
Instrument,
PositionSummary,
QuoteSnapshot,
Trade,
TradeGroup,
TradeSide,
@@ -65,8 +66,10 @@ def calculate_positions(
*,
as_of: date,
instrument_cashflows: Mapping[int, Decimal] | None = None,
quote_snapshots: Mapping[int, QuoteSnapshot] | None = None,
) -> list[PositionSummary]:
cashflows = instrument_cashflows or {}
quotes = quote_snapshots or {}
instrument_by_id = {instrument.id: instrument for instrument in instruments if instrument.id is not None}
states: dict[int, dict[TradeGroup, _GroupState]] = defaultdict(
lambda: {group: _GroupState() for group in TradeGroup}
@@ -120,7 +123,11 @@ def calculate_positions(
remaining_cost = money(sum((state.cost for state in group_states.values()), Decimal("0")))
realized_pnl = money(sum((state.realized_pnl for state in group_states.values()), Decimal("0")))
grid_profit = money(group_states[TradeGroup.GRID].realized_pnl)
current_price, price_source = _resolve_current_price(instrument, last_trade_price.get(instrument.id))
current_price, price_source = _resolve_current_price(
instrument,
last_trade_price.get(instrument.id),
quotes.get(instrument.id),
)
market_value = money(current_price * Decimal(total_quantity)) if current_price is not None else None
floating_pnl = money(market_value - remaining_cost) if market_value is not None else None
available_quantity = max(0, total_quantity - today_buys[instrument.id])
@@ -203,7 +210,10 @@ def _validate_trade(trade: Trade) -> None:
def _resolve_current_price(
instrument: Instrument,
fallback_trade_price: Decimal | None,
quote_snapshot: QuoteSnapshot | None,
) -> tuple[Decimal | None, str]:
if quote_snapshot is not None:
return quote_snapshot.price, quote_snapshot.source
if instrument.manual_price is not None:
return instrument.manual_price, "manual"
if fallback_trade_price is not None:

26
src/grid_trading/services/trading_service.py
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@@ -19,18 +19,22 @@ from grid_trading.domain.models import (
FeeRules,
Instrument,
PositionSummary,
QuoteSnapshot,
StrategyOverride,
StrategyTemplate,
Trade,
TradeSide,
)
from grid_trading.market.tencent import TencentQuoteProvider
from grid_trading.storage.repositories import Repository
class TradingService:
def __init__(self, db_path: str | Path):
def __init__(self, db_path: str | Path, *, quote_provider=None):
self.repository = Repository(db_path)
self.repository.initialize()
self.quote_provider = quote_provider or TencentQuoteProvider()
self._quote_cache: dict[str, QuoteSnapshot] = {}
def close(self) -> None:
self.repository.close()
@@ -88,6 +92,12 @@ class TradingService:
def list_instruments(self) -> list[Instrument]:
return self.repository.list_instruments()
def refresh_quotes(self) -> dict[str, QuoteSnapshot]:
instruments = self.repository.list_instruments()
quotes = self.quote_provider.fetch_quotes(instruments)
self._quote_cache = quotes
return quotes
def get_default_strategy_template(self) -> StrategyTemplate:
self.ensure_defaults()
template = self.repository.get_default_strategy_template()
@@ -168,6 +178,7 @@ class TradingService:
trades,
as_of=as_of_date,
instrument_cashflows=self._instrument_cashflows(account.id),
quote_snapshots=self._quote_snapshots_by_instrument_id(instruments),
)
def get_account_summary(self, *, as_of: date | None = None) -> AccountSummary:
@@ -247,3 +258,16 @@ class TradingService:
if entry.instrument_id is not None:
totals[entry.instrument_id] += entry.amount
return dict(totals)
def _quote_snapshots_by_instrument_id(
self,
instruments: list[Instrument],
) -> dict[int, QuoteSnapshot]:
snapshots: dict[int, QuoteSnapshot] = {}
for instrument in instruments:
if instrument.id is None:
continue
quote = self._quote_cache.get(instrument.code)
if quote is not None:
snapshots[instrument.id] = quote
return snapshots

32
tests/test_calculations.py
View File

@@ -4,7 +4,7 @@ from decimal import Decimal
import pytest
from grid_trading.domain.calculations import CalculationError, calculate_positions, estimate_fees
from grid_trading.domain.models import FeeRules, Instrument, Trade, TradeGroup, TradeSide
from grid_trading.domain.models import FeeRules, Instrument, QuoteSnapshot, Trade, TradeGroup, TradeSide
def make_trade(
@@ -111,6 +111,36 @@ def test_t_plus_one_available_quantity_excludes_today_buys():
assert summary.available_quantity == 200
def test_quote_snapshot_overrides_manual_price_for_position_value():
today = date(2026, 7, 8)
instrument = Instrument(id=1, code="510300", name="沪深300ETF", manual_price=Decimal("3.90"))
trades = [
make_trade(
trade_id=1,
trade_date=today - timedelta(days=1),
side=TradeSide.BUY,
price="4.00",
quantity=1000,
trade_group=TradeGroup.BASE,
)
]
quotes = {
1: QuoteSnapshot(
symbol="sh510300",
code="510300",
name="沪深300ETF",
price=Decimal("4.12"),
source="tencent",
)
}
[summary] = calculate_positions([instrument], trades, as_of=today, quote_snapshots=quotes)
assert summary.current_price == Decimal("4.12")
assert summary.price_source == "tencent"
assert summary.market_value == Decimal("4120.00")
def test_sell_more_than_group_position_raises():
today = date(2026, 7, 8)
instrument = Instrument(id=1, code="159915", name="创业板ETF")

46
tests/test_services.py
View File

@@ -3,10 +3,24 @@ from decimal import Decimal
import pytest
from grid_trading.domain.models import Instrument, Trade, TradeGroup, TradeSide
from grid_trading.domain.models import Instrument, QuoteSnapshot, Trade, TradeGroup, TradeSide
from grid_trading.services.trading_service import TradingService
class FakeQuoteProvider:
def fetch_quotes(self, instruments):
return {
"510300": QuoteSnapshot(
symbol="sh510300",
code="510300",
name="沪深300ETF",
price=Decimal("4.12"),
source="tencent",
quote_time="20260708150000",
)
}
def test_service_creates_default_account_and_computes_summary(tmp_path):
service = TradingService(tmp_path / "grid.db")
service.ensure_defaults()
@@ -177,3 +191,33 @@ def test_service_rejects_historical_changes_that_break_future_sells(tmp_path):
with pytest.raises(ValueError, match="后续成交"):
service.delete_trade(buy.id)
def test_service_refresh_quotes_uses_realtime_price_in_summaries(tmp_path):
service = TradingService(tmp_path / "grid.db", quote_provider=FakeQuoteProvider())
service.ensure_defaults()
account = service.get_active_account()
instrument = service.add_instrument(
Instrument(id=None, code="510300", name="沪深300ETF", market="ETF", manual_price=Decimal("3.90"))
)
service.save_trade(
Trade(
id=None,
account_id=account.id,
instrument_id=instrument.id,
trade_date=date(2026, 7, 7),
side=TradeSide.BUY,
price=Decimal("4.00"),
quantity=1000,
trade_group=TradeGroup.BASE,
)
)
quotes = service.refresh_quotes()
[position] = service.get_position_summaries(as_of=date(2026, 7, 8))
summary = service.get_account_summary(as_of=date(2026, 7, 8))
assert quotes["510300"].price == Decimal("4.12")
assert position.current_price == Decimal("4.12")
assert position.price_source == "tencent"
assert summary.market_value == Decimal("4120.00")