Merge remote-tracking branch 'origin/main'
This commit is contained in:
boris
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||||
# 回报上下文、盘前意图与尚未提交的目标
|
||||
|
||||
2026-09-14。本轮已配套发布177，annotated tag `v2026.9.14.5`。Engine81acc54 / Service e81bf47 / Trading94f99d2；完整股票池Goal继续，不据本阶段关闭。
|
||||
|
||||
## 已复现问题
|
||||
|
||||
1. `on_process_event`总是收到`active_datetime=None`及空委托/成交数组。10:00账本已有100股，但Trade/PostMinute回调的成交数量仍为0；不能靠普通`on_minute`已修复就认为通知链也完整。
|
||||
2. 15:05盘后成交后，PreAfterTrading仍被标为15:00；跨日模式的PostOnDay又使用信号日描述执行日已发生的成交。
|
||||
3. BeforeTrading调度只处理订阅、账户和期货指令，剩余股票买卖/撤改意图没有后续消费。简单在开盘调用普通broker执行还会让旧挂单先成交再撤单。
|
||||
4. 合并完整目标时只追加权重会保留旧证券；更重要的是，不能先提交盘前旧组合，之后才计算同一窗口的新目标，否则T+1可能使错误买入无法纠正。
|
||||
5. 策略计算前的空broker调用也会恢复上一目标的未提交买入腿。反例中原持仓100股，09:30卖25股、13:00卖剩余75股；若此时先恢复旧买入，已经准备将新目标设为0%的策略仍会买入另一股票3000股。
|
||||
|
||||
## 本轮处理
|
||||
|
||||
- 事件通知显式携带当前可见的委托、成交与回调时钟，移动已完成记录后再通知，不按每个回调复制整段历史。上下文是通知时已完成批次的最新状态，不冒充每一历史通知发生瞬间的账本快照。
|
||||
- 信号计算回调保留信号日；账户/委托通知使用实际执行日与物理时钟。默认收盘和结算不早于已处理时刻及当前适用的盘后结束点，管理费回调沿用同一完成时钟。
|
||||
- 盘前撤改走明确的非撮合控制阶段，保持原订单ID和实际已成交量；该入口拒绝买卖目标，不会顺带撮合旧单。普通显式买卖按原配置窗口执行，后续回调读取撤改后的真实活动订单。
|
||||
- 盘前与集合竞价的显式命令保留各自批次及约束。纯完整组合（完整rebalance或单一StockPool/TargetPortfolioSmart）可以被更新的完整意图替换；空回调不等于清仓，显式空完整目标才清仓。被替换意图的旧买入限制不能污染新完整目标。
|
||||
- 尚未提交的完整目标保留到当前窗口日度策略算完；新执行意图优先，只有没有新执行意图时才使用前面的目标。已提交挂单可以先更新实际成交，但策略计算前不恢复旧的未提交买入腿，之后再由正常执行路径处理当前意图。
|
||||
- 订阅/账户/直接期货指令通知同样获得完成后的历史；本轮不改变期货成交、会话或费用规则。
|
||||
|
||||
## 回归证据
|
||||
|
||||
- 通知链：09:30为空、10:00/10:01均看到100股及1笔实际成交，Trade通知可找到相同订单。
|
||||
- 盘后：15:05成交后的默认收盘/结算和管理费通知不倒退；next-open保持独立信号日和执行日。
|
||||
- 盘前：09:00生成100股命令，分别只在09:30/13:00配置窗口成交；保留备注/诊断。跨日撤销原GTC订单后，新订单只成交100股，未让旧单先成交。
|
||||
- 完整目标：盘前A、集合竞价B、日度A或显式空目标，最终只采用有效最新目标；日度无新信号时保持B。显式逐股命令不会被目标合并丢弃。
|
||||
- 恢复顺序：开启正常旧恢复的单点负向对照确实多买3000股；恢复BeforeStrategy阶段后，只有原股票同一卖单的25+75股成交，无新增买入，最终持仓为空。
|
||||
- 本机Core834项通过（9项原有ignore），Trading613、最新main Runner446/API119通过。外部数据库及平台ignore不当作通过。
|
||||
|
||||
精确只读快照在Linux通过Core834及Trading613。旧二进制先独立归档，构建保持1GiB磁盘余量；本轮未再次删除缓存或业务文件。
|
||||
|
||||
## 发布与真实历史复验
|
||||
|
||||
已推送annotated tag `v2026.9.14.5`对应Engine `81acc5422878abc855fca72b35766ffad6159200`、Service `e81bf47806f5ac4ae4798bb5f5955a56638f754c`、Trading `94f99d20f49f6cd1810996706cb94f610c302385`。回测API/Runner于06:15:53 CST切换，五交易单元06:21:09切换，06:22实际运行文件和业务事实复核通过。
|
||||
|
||||
三组冻结合同共六次独立原生A/B，完整Canonical及equity/orders/trades/holdings逐行一致；再通过生产HTTP各提交一次，结果分别匹配原生候选，旧记录未改写：
|
||||
|
||||
| 案例 | 生产回测ID | 成交 / 持仓 | 期末权益 |
|
||||
| --- | --- | --- | ---: |
|
||||
| 手选优先四证券 | btr_req_44f1bb067559946ef22941a0c425ed53e47515e04b399e20 | 10 / 4 | 9706248.648662 |
|
||||
| 自动优先四证券 | btr_req_078f129ed46b55ba72b47605983a00ae3eef14b1995e1237 | 10 / 4 | 9706248.648662 |
|
||||
| 许总24只原v3 | btr_req_ef37b8ea403f489e4798d2878e0ef85966ace550f6b4f3c4 | 51 / 21 | 9685563.876924999 |
|
||||
|
||||
重复目标委托0。三条新记录各5个交易日事件落库，持久事件27/18/32条，唯一键计数分别相同；旧流式样本仍27条/5日。仍为原合同下的日终容量审计，不外推实时盘口成交能力；首次Source准备和后续快速返回也不作为性能优化证明。
|
||||
|
||||
API SHA `dea170902d77734d0a77c4da7dad71a70b33f76467e0608675dfbcc9d35d67fc`，Runner SHA `b1d93215deb275fbec6217c6b9afbf717d5649600716bf4f3a1bf5d1cfa69731`，运行实现身份 `fed10e9fa61836aa271921f5d58490054210d83da935cad5de11cfacab45c13e`。API发布目录`/srv/fidc/canonical/run/backtest-api/releases/callback-81acc54-7w1zx9fb`，回退目录`/srv/fidc/canonical/run/build/callback-rollback-j7oje2tz`；交易回退`holding-protection-rollback-czuric4r`。
|
||||
|
||||
六服务实际SHA与manifest吻合，新增ERROR0。3Paper/0Live、配置、旧活动单、3个未确认Paper预览、迁移、影子配置0及disabled未变；发布后Paper/Live新订单0，未发送真实通知、委托或撤单。Source d5/PID1700096与UI6a2/PID3089476未重启，研究/信号暂停不变。177维护中的Engine9a54156完整保留，实际构建使用81acc54/e81bf47及81acc54/94f99d2的只读Git快照。
|
||||
|
||||
原始回放/HTTP证据`/srv/fidc/canonical/run/research/stock-pool-callback-20260914/`；发布和最终审计`/tmp/fidc-callback-{candidate,api-release,trading-release,final-audit}-20260914.json`；非敏感汇总在`docs/evidence/callback-target-20260914/acceptance.json`。
|
||||
|
||||
## 继续范围
|
||||
|
||||
显式逐笔手工影子回放仍未完成，四类手工来源继续拒绝纯比例影子；原始撤单意图时刻不能用网关回报时刻冒充。还需继续检查会话外调度产生的未提交意图、完整阶段日历与其余参数/生命周期/适配器矩阵。Source冻结、研究/信号暂停、现有任务配置和真实路由不改。
|
||||
@@ -0,0 +1,191 @@
|
||||
{
|
||||
"verified_at": "2026-09-13T22:22:38.597836+00:00",
|
||||
"tag": "v2026.9.14.5",
|
||||
"processes": {
|
||||
"fidc-backtest-service-highmem177.service": {
|
||||
"pid": 3692551,
|
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"sha256": "dea170902d77734d0a77c4da7dad71a70b33f76467e0608675dfbcc9d35d67fc",
|
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"journal_since": "2026-09-13T22:15:53.225719+00:00",
|
||||
"journal_lines": 54,
|
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"error_lines": 0
|
||||
},
|
||||
"fidc-trading-control-highmem177.service": {
|
||||
"pid": 3697497,
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"sha256": "a8f62ba74caf7ce2f5ba9cc6f67f41c844dee3747852611051c8dfb7b36295a3",
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"journal_since": "2026-09-13T22:21:09.122548+00:00",
|
||||
"journal_lines": 5,
|
||||
"error_lines": 0
|
||||
},
|
||||
"fidc-market-data-highmem177.service": {
|
||||
"pid": 3697498,
|
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"sha256": "89395ab4c9e11274f171f4386f88949ce616fe45d15aae9a829216d53ed11db7",
|
||||
"journal_since": "2026-09-13T22:21:09.122548+00:00",
|
||||
"journal_lines": 5,
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||||
"error_lines": 0
|
||||
},
|
||||
"fidc-strategy-runtime-highmem177.service": {
|
||||
"pid": 3697688,
|
||||
"sha256": "041a0103d2c46c55221d169965ece9fdacee3905abc0d46edd9c8a2a86f6cd54",
|
||||
"journal_since": "2026-09-13T22:21:09.122548+00:00",
|
||||
"journal_lines": 5,
|
||||
"error_lines": 0
|
||||
},
|
||||
"fidc-paper-trading-highmem177.service": {
|
||||
"pid": 3697792,
|
||||
"sha256": "8460008f712810f7d3876b9f2274aef88f82d46cd33e1593dbd0361f6d158b75",
|
||||
"journal_since": "2026-09-13T22:21:09.122548+00:00",
|
||||
"journal_lines": 6,
|
||||
"error_lines": 0
|
||||
},
|
||||
"fidc-live-trading-highmem177.service": {
|
||||
"pid": 3697762,
|
||||
"sha256": "e89d6ba68655a5d4a164793ad67a9003cf2c49733063018497339930feafaac3",
|
||||
"journal_since": "2026-09-13T22:21:09.122548+00:00",
|
||||
"journal_lines": 6,
|
||||
"error_lines": 0
|
||||
}
|
||||
},
|
||||
"source": {
|
||||
"commit": "d5b682c6d097",
|
||||
"pid": 1700096,
|
||||
"loaded_at": "2026-09-12T03:57:06.665536+00:00",
|
||||
"source_stale": false,
|
||||
"loaded_server_sha256": "ef827ce6b95e0ea63047a0068af2677633716e0a5d63cf350de6c91a3413e352"
|
||||
},
|
||||
"source_checkouts": {
|
||||
"fidc-backtest-engine": {
|
||||
"head": "9a54156df94cfbf11a1e6335ec6ef5449bd6ac17",
|
||||
"runtime_commit": "81acc5422878abc855fca72b35766ffad6159200",
|
||||
"tracked_dirty": false
|
||||
},
|
||||
"fidc-backtest-service": {
|
||||
"head": "5ec8dc86d99736a0c0140440bd039d11e118c1c6",
|
||||
"runtime_commit": "e81bf47806f5ac4ae4798bb5f5955a56638f754c",
|
||||
"tracked_dirty": false
|
||||
},
|
||||
"fidc-trading-platform": {
|
||||
"head": "94f99d20f49f6cd1810996706cb94f610c302385",
|
||||
"runtime_commit": "94f99d20f49f6cd1810996706cb94f610c302385",
|
||||
"tracked_dirty": false
|
||||
},
|
||||
"omniquant": {
|
||||
"head": "6a2b2604b40505fa754453307c517fef60743426",
|
||||
"runtime_commit": "6a2b2604b40505fa754453307c517fef60743426",
|
||||
"tracked_dirty": false
|
||||
}
|
||||
},
|
||||
"ui_unchanged": {
|
||||
"commit": "6a2b2604b40505fa754453307c517fef60743426",
|
||||
"pid": 3089476
|
||||
},
|
||||
"http_cases": [
|
||||
{
|
||||
"name": "manual_first",
|
||||
"run_id": "btr_req_44f1bb067559946ef22941a0c425ed53e47515e04b399e20",
|
||||
"status": "succeeded",
|
||||
"canonical_sha256": "0830216850b64d6e83291e072b31a9989f179915ee3341a75a77c73d1f9081a3",
|
||||
"trade_count": 10,
|
||||
"holding_count": 4,
|
||||
"final_equity": 9706248.648662,
|
||||
"old_result_unchanged": true
|
||||
},
|
||||
{
|
||||
"name": "automatic_first",
|
||||
"run_id": "btr_req_078f129ed46b55ba72b47605983a00ae3eef14b1995e1237",
|
||||
"status": "succeeded",
|
||||
"canonical_sha256": "c75cabcc03760f415bb664d20060e81c620d7a0201dd348ea71f75c932571de7",
|
||||
"trade_count": 10,
|
||||
"holding_count": 4,
|
||||
"final_equity": 9706248.648662,
|
||||
"old_result_unchanged": true
|
||||
},
|
||||
{
|
||||
"name": "stock24",
|
||||
"run_id": "btr_req_ef37b8ea403f489e4798d2878e0ef85966ace550f6b4f3c4",
|
||||
"status": "succeeded",
|
||||
"canonical_sha256": "270b403542ab41290c3d6e027b89cdab24dd41a8e2851d8786b33daa51e0051f",
|
||||
"trade_count": 51,
|
||||
"holding_count": 21,
|
||||
"final_equity": 9685563.876924999,
|
||||
"old_result_unchanged": true
|
||||
}
|
||||
],
|
||||
"durable_events": [
|
||||
{
|
||||
"run_id": "btr_req_44f1bb067559946ef22941a0c425ed53e47515e04b399e20",
|
||||
"count": 27,
|
||||
"unique_keys": 27,
|
||||
"days": 5
|
||||
},
|
||||
{
|
||||
"run_id": "btr_req_078f129ed46b55ba72b47605983a00ae3eef14b1995e1237",
|
||||
"count": 18,
|
||||
"unique_keys": 18,
|
||||
"days": 5
|
||||
},
|
||||
{
|
||||
"run_id": "btr_req_ef37b8ea403f489e4798d2878e0ef85966ace550f6b4f3c4",
|
||||
"count": 32,
|
||||
"unique_keys": 32,
|
||||
"days": 5
|
||||
},
|
||||
{
|
||||
"run_id": "btr_req_a3c3dfe5cd81e27e565064a65665f561c60adebdc6c9c9b4",
|
||||
"count": 27,
|
||||
"unique_keys": 27,
|
||||
"days": 5
|
||||
}
|
||||
],
|
||||
"trading_state": {
|
||||
"paper": {
|
||||
"configuration": {
|
||||
"count": 3,
|
||||
"hash": "93f3224edef59c381164e0236529dacc"
|
||||
},
|
||||
"active": {
|
||||
"claims": 0,
|
||||
"orders": 0
|
||||
}
|
||||
},
|
||||
"live": {
|
||||
"configuration": {
|
||||
"count": 0,
|
||||
"hash": "d41d8cd98f00b204e9800998ecf8427e"
|
||||
},
|
||||
"active": {
|
||||
"claims": 0,
|
||||
"orders": 1,
|
||||
"today_orders": 0,
|
||||
"orders_hash": "d4b56fbf3a541a41a383ad4e48891bb8",
|
||||
"route_mode": "disabled"
|
||||
}
|
||||
}
|
||||
},
|
||||
"manual_facts_unchanged": {
|
||||
"paper": {
|
||||
"shadow_configurations": 0,
|
||||
"shadow_runs": 0,
|
||||
"manual_count": 3,
|
||||
"manual_hash": "82572901ac0b5fdb4d8b984f71e1763d",
|
||||
"migrations_hash": "21d711b2ee52d2d66a8be4e99b179190",
|
||||
"new_orders": 0
|
||||
},
|
||||
"live": {
|
||||
"shadow_configurations": 0,
|
||||
"shadow_runs": 0,
|
||||
"manual_count": 0,
|
||||
"manual_hash": "d41d8cd98f00b204e9800998ecf8427e",
|
||||
"migrations_hash": "610528d4f350309379c9398c4ea43f66",
|
||||
"new_orders": 0
|
||||
}
|
||||
},
|
||||
"broker_submission": false,
|
||||
"linux_core_tests": {
|
||||
"passed": 834,
|
||||
"failed": 0,
|
||||
"ignored": 9,
|
||||
"log": "/srv/fidc/canonical/run/fidc-private/evidence/callback-candidate-6qumwky7/linux-core-tests.log"
|
||||
},
|
||||
"scope": "Callback and pending-target release verification; historical simulation only. Full manual shadow replay remains incomplete.",
|
||||
"native_replays": 6
|
||||
}
|
||||
@@ -0,0 +1,258 @@
|
||||
{
|
||||
"verified_at": "2026-09-13T20:22:24.750379+00:00",
|
||||
"tag": "v2026.9.14.4",
|
||||
"processes": {
|
||||
"fidc-backtest-service-highmem177.service": {
|
||||
"pid": 3612875,
|
||||
"sha256": "4e9f142be0ae3f9ca8e1c126507d4a9905cde4b69859df4544472afd1bda1ff2",
|
||||
"journal_since": "2026-09-13T20:14:17.444770+00:00",
|
||||
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|
||||
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|
||||
},
|
||||
"fidc-trading-control-highmem177.service": {
|
||||
"pid": 3617963,
|
||||
"sha256": "cd587928591fef952f2e98b47aa338a1702def5edf016a7da9751296667f6674",
|
||||
"journal_since": "2026-09-13T20:19:57.821843+00:00",
|
||||
"journal_lines": 5,
|
||||
"error_lines": 0
|
||||
},
|
||||
"fidc-market-data-highmem177.service": {
|
||||
"pid": 3617964,
|
||||
"sha256": "2efb1d3ad7d510cf85e6047dd6d1981d0a30d768ff3d33c842adc52211002bdc",
|
||||
"journal_since": "2026-09-13T20:19:57.821843+00:00",
|
||||
"journal_lines": 5,
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"error_lines": 0
|
||||
},
|
||||
"fidc-strategy-runtime-highmem177.service": {
|
||||
"pid": 3618140,
|
||||
"sha256": "3d7f3f2e8756e7f3439075344fe9c8bc0b55df33e7e6f251282712274c00339d",
|
||||
"journal_since": "2026-09-13T20:19:57.821843+00:00",
|
||||
"journal_lines": 5,
|
||||
"error_lines": 0
|
||||
},
|
||||
"fidc-paper-trading-highmem177.service": {
|
||||
"pid": 3618260,
|
||||
"sha256": "0383b1d6cc7b3c48c6902dd7fd4760a38698c1916e0eaff63be26fe3f6b1a2ab",
|
||||
"journal_since": "2026-09-13T20:19:57.821843+00:00",
|
||||
"journal_lines": 6,
|
||||
"error_lines": 0
|
||||
},
|
||||
"fidc-live-trading-highmem177.service": {
|
||||
"pid": 3618246,
|
||||
"sha256": "583f52e204aeb416574ee17daa20cebed49e0659a194c81e8072a9249824e48e",
|
||||
"journal_since": "2026-09-13T20:19:57.821843+00:00",
|
||||
"journal_lines": 6,
|
||||
"error_lines": 0
|
||||
}
|
||||
},
|
||||
"source": {
|
||||
"commit": "d5b682c6d097",
|
||||
"pid": 1700096,
|
||||
"loaded_at": "2026-09-12T03:57:06.665536+00:00",
|
||||
"source_stale": false,
|
||||
"loaded_server_sha256": "ef827ce6b95e0ea63047a0068af2677633716e0a5d63cf350de6c91a3413e352"
|
||||
},
|
||||
"source_checkouts": {
|
||||
"fidc-backtest-engine": {
|
||||
"head": "9a54156df94cfbf11a1e6335ec6ef5449bd6ac17",
|
||||
"runtime_commit": "237ee15a518a668297959509daffc4b88995f310",
|
||||
"tracked_dirty": false
|
||||
},
|
||||
"fidc-backtest-service": {
|
||||
"head": "5ec8dc86d99736a0c0140440bd039d11e118c1c6",
|
||||
"runtime_commit": "e81bf47806f5ac4ae4798bb5f5955a56638f754c",
|
||||
"tracked_dirty": false
|
||||
},
|
||||
"fidc-trading-platform": {
|
||||
"head": "dab98e0cc09793df15b8c72841a6dc7e9a58a208",
|
||||
"runtime_commit": "dab98e0cc09793df15b8c72841a6dc7e9a58a208",
|
||||
"tracked_dirty": false
|
||||
},
|
||||
"omniquant": {
|
||||
"head": "6a2b2604b40505fa754453307c517fef60743426",
|
||||
"runtime_commit": "6a2b2604b40505fa754453307c517fef60743426",
|
||||
"tracked_dirty": false
|
||||
}
|
||||
},
|
||||
"ui_unchanged": {
|
||||
"commit": "6a2b2604b40505fa754453307c517fef60743426",
|
||||
"pid": 3089476
|
||||
},
|
||||
"http_cases": [
|
||||
{
|
||||
"name": "manual_first",
|
||||
"run_id": "btr_req_60612ec2af9f97df26a81c13448aec7d95b23a93f824c303",
|
||||
"status": "succeeded",
|
||||
"canonical_sha256": "0830216850b64d6e83291e072b31a9989f179915ee3341a75a77c73d1f9081a3",
|
||||
"trade_count": 10,
|
||||
"holding_count": 4,
|
||||
"final_equity": 9706248.648662,
|
||||
"old_result_unchanged": true
|
||||
},
|
||||
{
|
||||
"name": "automatic_first",
|
||||
"run_id": "btr_req_373da23c5ea5aaf4e59c38fbe37d663ae37731aeed8cc054",
|
||||
"status": "succeeded",
|
||||
"canonical_sha256": "c75cabcc03760f415bb664d20060e81c620d7a0201dd348ea71f75c932571de7",
|
||||
"trade_count": 10,
|
||||
"holding_count": 4,
|
||||
"final_equity": 9706248.648662,
|
||||
"old_result_unchanged": true
|
||||
},
|
||||
{
|
||||
"name": "stock24",
|
||||
"run_id": "btr_req_5bb965ea83e047c998ec16be656f40ec28a4e5d870aa6d74",
|
||||
"status": "succeeded",
|
||||
"canonical_sha256": "270b403542ab41290c3d6e027b89cdab24dd41a8e2851d8786b33daa51e0051f",
|
||||
"trade_count": 51,
|
||||
"holding_count": 21,
|
||||
"final_equity": 9685563.876924999,
|
||||
"old_result_unchanged": true
|
||||
}
|
||||
],
|
||||
"durable_events": [
|
||||
{
|
||||
"run_id": "btr_req_60612ec2af9f97df26a81c13448aec7d95b23a93f824c303",
|
||||
"count": 27,
|
||||
"unique_keys": 27,
|
||||
"days": 5
|
||||
},
|
||||
{
|
||||
"run_id": "btr_req_373da23c5ea5aaf4e59c38fbe37d663ae37731aeed8cc054",
|
||||
"count": 18,
|
||||
"unique_keys": 18,
|
||||
"days": 5
|
||||
},
|
||||
{
|
||||
"run_id": "btr_req_5bb965ea83e047c998ec16be656f40ec28a4e5d870aa6d74",
|
||||
"count": 32,
|
||||
"unique_keys": 32,
|
||||
"days": 5
|
||||
},
|
||||
{
|
||||
"run_id": "btr_req_a3c3dfe5cd81e27e565064a65665f561c60adebdc6c9c9b4",
|
||||
"count": 27,
|
||||
"unique_keys": 27,
|
||||
"days": 5
|
||||
}
|
||||
],
|
||||
"trading_state": {
|
||||
"paper": {
|
||||
"configuration": {
|
||||
"count": 3,
|
||||
"hash": "93f3224edef59c381164e0236529dacc"
|
||||
},
|
||||
"active": {
|
||||
"claims": 0,
|
||||
"orders": 0
|
||||
}
|
||||
},
|
||||
"live": {
|
||||
"configuration": {
|
||||
"count": 0,
|
||||
"hash": "d41d8cd98f00b204e9800998ecf8427e"
|
||||
},
|
||||
"active": {
|
||||
"claims": 0,
|
||||
"orders": 1,
|
||||
"today_orders": 0,
|
||||
"orders_hash": "d4b56fbf3a541a41a383ad4e48891bb8",
|
||||
"route_mode": "disabled"
|
||||
}
|
||||
}
|
||||
},
|
||||
"manual_facts_unchanged": {
|
||||
"paper": {
|
||||
"shadow_configurations": 0,
|
||||
"shadow_runs": 0,
|
||||
"manual_count": 3,
|
||||
"manual_hash": "82572901ac0b5fdb4d8b984f71e1763d",
|
||||
"migrations_hash": "21d711b2ee52d2d66a8be4e99b179190",
|
||||
"new_orders": 0
|
||||
},
|
||||
"live": {
|
||||
"shadow_configurations": 0,
|
||||
"shadow_runs": 0,
|
||||
"manual_count": 0,
|
||||
"manual_hash": "d41d8cd98f00b204e9800998ecf8427e",
|
||||
"migrations_hash": "610528d4f350309379c9398c4ea43f66",
|
||||
"new_orders": 0
|
||||
}
|
||||
},
|
||||
"broker_submission": false,
|
||||
"linux_core_tests": {
|
||||
"passed": 822,
|
||||
"failed": 0,
|
||||
"ignored": 9,
|
||||
"log": "/srv/fidc/canonical/run/fidc-private/evidence/clock-candidate-gqx8g70l/linux-core-tests.log"
|
||||
},
|
||||
"cleanup": {
|
||||
"apply": true,
|
||||
"deleted": [
|
||||
{
|
||||
"path": "/srv/fidc/canonical/build/holding-protection-stage-wywd2682/fidc-trading-platform/debug/incremental",
|
||||
"kind": "incremental_compiler_state",
|
||||
"bytes": 9553190912,
|
||||
"device": 2101,
|
||||
"inode": 39877787,
|
||||
"mtime_ns": 1789318996850462500,
|
||||
"links": 176,
|
||||
"size_bytes": 12288
|
||||
},
|
||||
{
|
||||
"path": "/srv/fidc/canonical/build/target-backtest/debug/incremental",
|
||||
"kind": "incremental_compiler_state",
|
||||
"bytes": 2103459840,
|
||||
"device": 2101,
|
||||
"inode": 29904450,
|
||||
"mtime_ns": 1789318494701447400,
|
||||
"links": 46,
|
||||
"size_bytes": 4096
|
||||
},
|
||||
{
|
||||
"path": "/srv/fidc/canonical/build/target-backtest/debug/deps/fidc_backtest_service-46310ff8aeeb4040",
|
||||
"kind": "superseded_test_binary",
|
||||
"bytes": 398401536,
|
||||
"device": 2101,
|
||||
"inode": 29934330,
|
||||
"mtime_ns": 1789117975169420000,
|
||||
"links": 1,
|
||||
"size_bytes": 399242488
|
||||
},
|
||||
{
|
||||
"path": "/srv/fidc/canonical/build/target-backtest/debug/deps/fidc_core-18c9b2429fdf6026",
|
||||
"kind": "superseded_test_binary",
|
||||
"bytes": 207015936,
|
||||
"device": 2101,
|
||||
"inode": 29918792,
|
||||
"mtime_ns": 1789166943885717800,
|
||||
"links": 1,
|
||||
"size_bytes": 207144208
|
||||
},
|
||||
{
|
||||
"path": "/srv/fidc/canonical/build/target-backtest/debug/deps/fidc_core-42f704a330411730",
|
||||
"kind": "superseded_test_binary",
|
||||
"bytes": 191205376,
|
||||
"device": 2101,
|
||||
"inode": 29933759,
|
||||
"mtime_ns": 1789117542401109800,
|
||||
"links": 1,
|
||||
"size_bytes": 191333360
|
||||
}
|
||||
],
|
||||
"reclaimed_allocated_bytes": 12453273600,
|
||||
"before": {
|
||||
"total": 1749269057536,
|
||||
"used": 1659299954688,
|
||||
"free": 1035599872
|
||||
},
|
||||
"after": {
|
||||
"total": 1749269057536,
|
||||
"used": 1647166930944,
|
||||
"free": 13168623616
|
||||
},
|
||||
"observed_free_change": 12133023744
|
||||
},
|
||||
"scope": "Intraday clock release verification; historical simulation only, not a performance or real broker liquidity acceptance.",
|
||||
"native_replays": 6
|
||||
}
|
||||
@@ -1,6 +1,6 @@
|
||||
# 日内时钟与手工回放前置问题
|
||||
|
||||
2026-09-14。本轮只有未提交的失败回归，未修改引擎实现，未部署。
|
||||
2026-09-14。本轮日内时钟与工作中算法单修复已配套发布177，annotated tag `v2026.9.14.4`。当前Engine237ee15 / Service e81bf47 / Trading dab98e0；完整手工影子回放尚未实现，不据本阶段关闭Goal。
|
||||
|
||||
## 已复现的精确反例
|
||||
|
||||
@@ -20,6 +20,51 @@
|
||||
|
||||
需覆盖当前/下一开盘、显式时间和默认收盘、限价/市价/算法单、部分成交及取消、股票池卖后续买、跨日/T+1、0%人工覆盖和恢复。已有真实回放与六类Canonical必须按各自合同核对，不能用收益接近或单个对照替代。
|
||||
|
||||
当前失败回归保留在`crates/fidc-core/src/engine.rs`未提交工作树，属于本任务，不删除、不忽略、不发布成绿色测试。下一步直接修复并扩充该回归，再进入逐笔手工回放；不要重新检查已完成的页头或流式消息。
|
||||
上述原失败回归已保留并修复：晚窗口执行与日度回调进入真实日内时钟，不再先写未来持仓。独立信号日及滞后执行的数据合同保留。仅有日内观察或待处理开盘目标时，未显式设时间的日线收盘回调才延至15:00；物理时钟与委托提交时点分离，不能把普通日线收盘撮合误变为15:05盘后委托。
|
||||
|
||||
## 本轮新增证据
|
||||
|
||||
- TWAP旧路径在13:00一次消费13:01、13:05报价，导致13:00观察到900股；现在逐时钟消费，同一父订单保留原始总量、已成交量、剩余金额、最低佣金余额和期限，不重新生成订单。
|
||||
- 分片时钟继续使用原算法窗口决定TWAP比例及深度约束，不把每个瞬时时钟当作新的不限量算法单；VWAP全局撮合也延续同一工作中订单。
|
||||
- 算法定量使用提交时已经可见的报价。改变当日后续收盘价不改变早先订单数量；真正缺报价明确失败，不读未来报价或日线价替代。
|
||||
- 当天已完成委托/成交记录及时移动到运行历史，后续分钟、日度与定时策略回调能读取；不逐分钟复制全部历史。
|
||||
- ETF下一开盘回退保留真实日线开盘价、3700股及原信号日，入账从早间预处理移到09:30事件；反例09:15原来可见3700股，修复后为0，09:31为3700且仅一笔ETF成交。不合成ETF分钟线。
|
||||
- 工作中算法单只预留真实可用现金；两个各10000元意图、15000元账户按顺序预留10000/5000，后续分别成交900/500股，先到订单不被后到订单的超额预留饿死。
|
||||
- 已验证部分成交后撤单、无末尾报价到期、T+1、IOC终止及原合同拒绝算法FOK/GTC；未新增不支持的有效期。
|
||||
- 同一TWAP与同步参考逐笔数量/价格/时间/订单ID/各项费用完全一致；VWAP逐时钟成交金额与总费用一致。最低佣金只扣一次，成交资金不超过冻结预算。
|
||||
|
||||
本机Core 822项通过、9项原有ignore；Trading工作区613项通过（外部PG等原有ignore未当通过）；最新main的Runner446/API119项通过。同期main风控候选d2aa16a已保留并组合回归。本机测试不代替177不可变构建与真实数据回放。
|
||||
|
||||
## 发布前置与剩余边界
|
||||
|
||||
177于03:46只读核对仍为3Paper/0Live，原配置与旧委托摘要不变，Source d5b682c6/PID1700096未变，真实路由disabled。SSD剩约1.6GiB；首次Linux测试在18.02秒触及1GiB余量保护并中止，只停止本次Cargo进程，未重启服务，保留`clock-candidate-cena8gz9/first-attempt.json`及日志，不能算测试通过。
|
||||
|
||||
初次把清理预览的`reclaimed_allocated_bytes=0`误读为没有候选；完整plan实际已有5项、12,453,273,600字节。正式工具引用/锁/身份复核后仅清理2处闲置debug增量缓存和3个过期测试可执行文件，保留最新测试、全部静态/共享库、release、源码、行情及结果，余量恢复13,168,623,616字节。收据位于`/srv/fidc/canonical/run/fidc-private/evidence/clock-default-cleanup-20260914-0422/`。暂拟的静态库清理选项未执行并已撤回；最终Service脚本5ec8dc8只明确区分计划量与实际回收量，保持原清理边界。
|
||||
|
||||
代码修复已推送Engine `237ee15a518a668297959509daffc4b88995f310`；官方复用审计确认target-backtest无运行引用，新一轮仍保留1GiB余量保护，并独立保存重建前的旧二进制及SHA。实际构建读取只读Git archive快照237ee15与生产Service e81bf47，不夹带尚未生产验收的并行缓存规划代码，不覆盖维护工作树。
|
||||
|
||||
Linux精确快照Core822、Trading613通过。首次配套优化构建276.06秒成功，但收据写入因/tmp的跨用户既有文件保护失败；改为原子替换收据后，重新核对同一快照/测试/制品，未把日志缺失或异常算通过。前一轮日志及旧二进制仍保留，最终收据`/tmp/fidc-clock-candidate-20260914.json`。
|
||||
|
||||
## 发布与真实合同验收
|
||||
|
||||
Engine `237ee15a518a668297959509daffc4b88995f310`、Service `e81bf47806f5ac4ae4798bb5f5955a56638f754c`、Trading `dab98e0cc09793df15b8c72841a6dc7e9a58a208`均有已推送annotated tag `v2026.9.14.4`。API/Runner于04:14:17 CST切换，五交易服务于04:19:57切换；04:22只读复验实际SHA、迁移、旧单及配置。
|
||||
|
||||
| 已冻结原合同 | 原生A/B | 生产HTTP | 成交 / 期末持仓 | 期末权益 |
|
||||
| --- | --- | --- | --- | ---: |
|
||||
| 手选优先四证券 | 完整Canonical及四类逐行导出相同 | btr_req_60612ec2af9f97df26a81c13448aec7d95b23a93f824c303 | 10 / 4 | 9706248.648662 |
|
||||
| 自动优先四证券 | 完整Canonical及四类逐行导出相同 | btr_req_373da23c5ea5aaf4e59c38fbe37d663ae37731aeed8cc054 | 10 / 4 | 9706248.648662 |
|
||||
| 许总24只原v3 | 完整Canonical及四类逐行导出相同 | btr_req_5bb965ea83e047c998ec16be656f40ec28a4e5d870aa6d74 | 51 / 21 | 9685563.876924999 |
|
||||
|
||||
共六次独立原生执行、三次持久幂等HTTP提交，旧请求/旧结果未改写。候选顺序、父订单及卖后续买合同保持；重复目标委托0。三条新记录各有5个交易日事件，持久事件总数27/18/32、唯一键数完全相等；旧流式样本仍27条/5日。上述数据来自原历史合同，仍属日终容量审计，不证明实时盘口容量；1秒样本与首轮12秒Source准备不作为性能提速证据。
|
||||
|
||||
API二进制SHA `4e9f142be0ae3f9ca8e1c126507d4a9905cde4b69859df4544472afd1bda1ff2`，Runner `8b98a2ae9a13899e87d9931162d1637de7e9ab81844c284e00135904cda7b0e4`，运行实现身份 `96cf0dcfcec94c6f7e2a9fc64ba8b8e8547b12c869ad6a61a0e492f6c76b5d57`。当前不可变API目录`/srv/fidc/canonical/run/backtest-api/releases/clock-237ee15-c37rs7zq`，回退目录`/srv/fidc/canonical/run/build/clock-rollback-7qnhgco7`；交易回退目录`holding-protection-rollback-dkd1njej`。
|
||||
|
||||
五交易服务逐一核对实际文件SHA与manifest，新增ERROR日志0；3Paper/0Live、配置、旧活动委托、3个未确认Paper预览、迁移、shadow配置0及disabled均未变化，发布后Paper/Live新订单0。Source d5/PID1700096、UI6a2/PID3089476未重启，研究/信号暂停保持。177维护中的Engine9a54156工作树完整保留，不把该未部署候选冒充本次运行代码；实际编译来自237/e81和237/dab只读快照。
|
||||
|
||||
完整原始回放与HTTP收据：`/srv/fidc/canonical/run/research/stock-pool-clock-20260914/`。发布/审计收据：`/tmp/fidc-clock-{api-release,trading-release,final-audit}-20260914.json`。非敏感汇总已归档`docs/evidence/intraday-clock-20260914/acceptance.json`。
|
||||
|
||||
## 下一步
|
||||
|
||||
通用process-event回调的完整时间/订单观察、盘前调度普通意图、显式手工委托/撤单回放和所有剩余参数矩阵继续跟踪，不以当前阶段声明完整Goal完成。下一轮直接处理这些缺口，不重新做已通过的金额、页头、流式及本轮三组回放；当前仍不解除手工影子拒绝门禁，不修改既有任务配置、Source冻结和研究/信号暂停。
|
||||
|
||||
Live取消请求另有待核对项：`CancelRequested`当前在网关返回后才持久化，不能不加说明就把回报时间当最初请求时间。完整手工回放需要验证并补齐真实意图/提交/成交/取消关联，当前生产手工影子仍保持明确拒绝纯比例模拟。
|
||||
|
||||
@@ -0,0 +1,35 @@
|
||||
# 手工成交观察回放：基础合同与当前断点
|
||||
|
||||
2026-09-14。本阶段只完成框架基础与本机验证，未接入Runner/API、未发布。生产最近已验收版本仍为v2026.9.14.5；完整Goal和手工影子回放均未完成。
|
||||
|
||||
## 已实现
|
||||
|
||||
`manual_execution`提供`fidc.observed-manual-executions/v1`严格合同及`ManualReplayCursor`。这是将已确认的手工成交事实作为外部输入，不是让回测券商独立重演其真实成交。
|
||||
|
||||
- 保留确认、提交、成交、观察和终态时间，声明秒/毫秒/微秒/纳秒精度；同秒报告只允许在其真实精度区间内与提交时间对应，不伪造纳秒。
|
||||
- 手工动作、审计事件、订单、券商订单、成交和`FillReceived`观察事件/序号均有唯一性与完整性校验。账户/运行身份及源合同摘要进入完整内容SHA；改价格、费用、身份或时间会使旧摘要失效。
|
||||
- 明确区分无须生成订单与有终态订单，拒绝不完整、未知、超量、状态不一致、超截止日期的数据。不将空订单列表直接当成功。
|
||||
- 金额输入使用十进制字符串，不先经过JSON浮点数。保留原价、原费用、原成交额；账本沿用既有微元精度，真实十进制金额在入口统一量化，并分开返回原值和账本值。
|
||||
- 游标按真实观察时间和已持久化事件序号前进，重入同一时点不会重复入账，时间倒退或越过证据截止时间会失败。
|
||||
- 资金、持仓及游标在一次advance中原子变更。资金不足、T+1、生命周期冲突或活动影子订单冲突不借股、不借款、不取消原订单，也不留下半笔状态。
|
||||
- 人工交易不是出入金，不更改现金流中性单位或初始资金；原始买卖账本入口继续使用原有计算，仅抽出可传固定金额的内部函数。
|
||||
|
||||
本机Core849项通过（9项原有ignore），其中15项新专项覆盖精度/摘要/关联/时间/顺序/无订单/部分撤单/原子失败/不重复和跨日出售。此结果不代表服务、完整影子请求或生产成交验收。
|
||||
|
||||
## 已核对的持久化入口
|
||||
|
||||
Paper `paper_manual_position_actions`保存确认、执行合同SHA、计划与order_ids；`paper_fills`及`paper_event_log.FillReceived`可以提供真实成交及观察事件序号。Live单证券动作在`live_manual_trade_intents`，逐笔事实在`live_broker_trade_facts`，对应`live_event_log.FillReceived`提供recorded_at和序号。事件序号表示持久化观察顺序，不冒充交易所执行顺序。
|
||||
|
||||
Live整仓的历史审计原来只有confirmation_hash，执行ID在另一个开始事件中；当前候选已将服务端生成的execution_id和所选account_id写入同一仓位审计详情，并校验非空ID和账户范围。旧历史仍只能依据原始审计/事件做唯一关联，不能猜测或重写。
|
||||
|
||||
费用仍需在读取层核对实际适配器合同：当前Paper账本收取commission+stamp_tax；Live事实的complete也按这两个已声明字段判定。不能仅凭complete名字断言其他费用不存在，不能以默认0补缺失。
|
||||
|
||||
## 必须继续，不能把本阶段当完成
|
||||
|
||||
1. 实现全部四类来源的权威PG读取、审计/动作/订单/成交/事件绑定与一致快照；未知/活动状态等待，不能变成空成功。
|
||||
2. 在API/Runner传递完整受控合同和源范围，补齐手工证券的历史资料/行情需求。当前没有任何运行入口调用此游标。
|
||||
3. 把观察事件与盘前、集合竞价、日度、分钟、收盘/结算阶段按完整时钟合并；跨交易日/会话外观察不可简单塞进on_minute或提前应用。
|
||||
4. 输出须区分外部人工成交与策略模拟成交，保留原始执行时间、观察时间、费用和实际投影时间线，不能宣称人工成交被独立验证。
|
||||
5. 完成两套隔离PG、真实引擎、完整HTTP和发布验证后，才可解除四类手工来源的纯比例影子拒绝门禁。
|
||||
|
||||
下一轮直接进行上述读取/引擎/结果链，不能重复15项基础用例或v2026.9.14.5固定三组回放替代集成。Source冻结、研究/信号暂停、现有3Paper/0Live与disabled不变；本轮无生产写入、真实订单或通知。
|
||||
Reference in New Issue
Block a user