feat: initial commit - EvoTraders project
量化交易多智能体系统，包含： - 分析师、投资组合经理、风险经理等智能体 - 股票分析、投资组合管理、风险控制工具 - React 前端界面 - FastAPI 后端服务 Co-Authored-By: Claude <noreply@anthropic.com>
This commit is contained in:
569
backend/services/gateway.py
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569
backend/services/gateway.py
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@@ -0,0 +1,569 @@
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# -*- coding: utf-8 -*-
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"""
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WebSocket Gateway for frontend communication
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"""
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import asyncio
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import json
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import logging
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from datetime import datetime
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from typing import Any, Callable, Dict, List, Optional, Set
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import websockets
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from websockets.server import WebSocketServerProtocol
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from backend.utils.msg_adapter import FrontendAdapter
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from backend.utils.terminal_dashboard import get_dashboard
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from backend.core.pipeline import TradingPipeline
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from backend.core.state_sync import StateSync
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from backend.services.market import MarketService
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from backend.services.storage import StorageService
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logger = logging.getLogger(__name__)
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class Gateway:
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"""WebSocket Gateway for frontend communication"""
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def __init__(
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self,
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market_service: MarketService,
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storage_service: StorageService,
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pipeline: TradingPipeline,
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state_sync: Optional[StateSync] = None,
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scheduler_callback: Optional[Callable] = None,
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config: Dict[str, Any] = None,
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):
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self.market_service = market_service
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self.storage = storage_service
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self.pipeline = pipeline
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self.scheduler_callback = scheduler_callback
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self.config = config or {}
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self.mode = self.config.get("mode", "live")
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self.is_backtest = self.mode == "backtest" or self.config.get(
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"backtest_mode",
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False,
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)
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self.state_sync = state_sync or StateSync(storage=storage_service)
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# self.state_sync.set_mode(self.is_backtest)
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self.state_sync.set_broadcast_fn(self.broadcast)
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self.pipeline.state_sync = self.state_sync
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self.connected_clients: Set[WebSocketServerProtocol] = set()
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self.lock = asyncio.Lock()
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self._backtest_task: Optional[asyncio.Task] = None
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self._backtest_start_date: Optional[str] = None
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self._backtest_end_date: Optional[str] = None
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self._dashboard = get_dashboard()
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self._market_status_task: Optional[asyncio.Task] = None
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# Session tracking for live returns
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self._session_start_portfolio_value: Optional[float] = None
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async def start(self, host: str = "0.0.0.0", port: int = 8766):
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"""Start gateway server"""
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logger.info(f"Starting gateway on {host}:{port}")
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# Initialize terminal dashboard
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self._dashboard.set_config(
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mode=self.mode,
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config_name=self.config.get("config_name", "default"),
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host=host,
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port=port,
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poll_interval=self.config.get("poll_interval", 10),
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mock=self.config.get("mock_mode", False),
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tickers=self.config.get("tickers", []),
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initial_cash=self.storage.initial_cash,
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start_date=self._backtest_start_date or "",
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end_date=self._backtest_end_date or "",
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)
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self._dashboard.start()
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self.state_sync.load_state()
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self.state_sync.update_state("status", "running")
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self.state_sync.update_state("server_mode", self.mode)
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self.state_sync.update_state("is_backtest", self.is_backtest)
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self.state_sync.update_state(
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"is_mock_mode",
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self.config.get("mock_mode", False),
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)
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# Load and display existing portfolio state if available
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summary = self.storage.load_file("summary")
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if summary:
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holdings = self.storage.load_file("holdings") or []
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trades = self.storage.load_file("trades") or []
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current_date = self.state_sync.state.get("current_date")
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self._dashboard.update(
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date=current_date or "-",
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status="running",
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portfolio=summary,
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holdings=holdings,
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trades=trades,
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)
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logger.info(
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"Loaded existing portfolio: $%s",
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f"{summary.get('totalAssetValue', 0):,.2f}",
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)
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await self.market_service.start(broadcast_func=self.broadcast)
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if self.scheduler_callback:
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await self.scheduler_callback(callback=self.on_strategy_trigger)
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# Start market status monitoring (only for live mode)
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if not self.is_backtest:
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self._market_status_task = asyncio.create_task(
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self._market_status_monitor(),
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)
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async with websockets.serve(
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self.handle_client,
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host,
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port,
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ping_interval=30,
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ping_timeout=60,
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):
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logger.info(
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f"Gateway started: ws://{host}:{port}, mode={self.mode}",
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)
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await asyncio.Future()
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@property
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def state(self) -> Dict[str, Any]:
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return self.state_sync.state
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async def handle_client(self, websocket: WebSocketServerProtocol):
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"""Handle WebSocket client connection"""
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async with self.lock:
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self.connected_clients.add(websocket)
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await self._send_initial_state(websocket)
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await self._handle_client_messages(websocket)
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async with self.lock:
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self.connected_clients.discard(websocket)
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async def _send_initial_state(self, websocket: WebSocketServerProtocol):
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state_payload = self.state_sync.get_initial_state_payload(
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include_dashboard=True,
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)
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# Include market status in initial state
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state_payload[
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"market_status"
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] = self.market_service.get_market_status()
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# Include live returns if session is active
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if self.storage.is_live_session_active:
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live_returns = self.storage.get_live_returns()
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if "portfolio" in state_payload:
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state_payload["portfolio"].update(live_returns)
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await websocket.send(
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json.dumps(
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{"type": "initial_state", "state": state_payload},
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ensure_ascii=False,
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default=str,
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),
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)
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async def _handle_client_messages(
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self,
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websocket: WebSocketServerProtocol,
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):
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try:
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async for message in websocket:
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data = json.loads(message)
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msg_type = data.get("type", "unknown")
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if msg_type == "ping":
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await websocket.send(
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json.dumps(
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{
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"type": "pong",
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"timestamp": datetime.now().isoformat(),
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},
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ensure_ascii=False,
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),
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)
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elif msg_type == "get_state":
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await self._send_initial_state(websocket)
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elif msg_type == "start_backtest":
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await self._handle_start_backtest(data)
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except websockets.ConnectionClosed:
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pass
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except json.JSONDecodeError:
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pass
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async def _handle_start_backtest(self, data: Dict[str, Any]):
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if not self.is_backtest:
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return
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dates = data.get("dates", [])
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if dates and self._backtest_task is None:
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task = asyncio.create_task(
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self._run_backtest_dates(dates),
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)
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task.add_done_callback(self._handle_backtest_exception)
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self._backtest_task = task
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async def broadcast(self, message: Dict[str, Any]):
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"""Broadcast message to all connected clients"""
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if not self.connected_clients:
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return
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message_json = json.dumps(message, ensure_ascii=False, default=str)
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async with self.lock:
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tasks = [
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self._send_to_client(client, message_json)
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for client in self.connected_clients.copy()
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]
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if tasks:
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await asyncio.gather(*tasks, return_exceptions=True)
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async def _send_to_client(
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self,
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client: WebSocketServerProtocol,
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message: str,
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):
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try:
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await client.send(message)
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except websockets.ConnectionClosed:
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async with self.lock:
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self.connected_clients.discard(client)
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async def _market_status_monitor(self):
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"""Periodically check and broadcast market status changes"""
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while True:
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try:
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await self.market_service.check_and_broadcast_market_status()
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# On market open, start live session tracking
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status = self.market_service.get_market_status()
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if (
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status["status"] == "open"
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and not self.storage.is_live_session_active
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):
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self.storage.start_live_session()
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summary = self.storage.load_file("summary") or {}
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self._session_start_portfolio_value = summary.get(
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"totalAssetValue",
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self.storage.initial_cash,
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)
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logger.info(
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"Session start portfolio: "
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f"${self._session_start_portfolio_value:,.2f}",
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)
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elif (
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status["status"] != "open"
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and self.storage.is_live_session_active
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):
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self.storage.end_live_session()
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self._session_start_portfolio_value = None
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# Update and broadcast live returns if session is active
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if self.storage.is_live_session_active:
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await self._update_and_broadcast_live_returns()
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await asyncio.sleep(60) # Check every minute
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except asyncio.CancelledError:
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break
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except Exception as e:
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logger.error(f"Market status monitor error: {e}")
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await asyncio.sleep(60)
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async def _update_and_broadcast_live_returns(self):
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"""Calculate and broadcast live returns for current session"""
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if not self.storage.is_live_session_active:
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return
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# Get current prices and calculate portfolio value
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prices = self.market_service.get_all_prices()
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if not prices or not any(p > 0 for p in prices.values()):
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return
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# Load current internal state to get baseline values
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state = self.storage.load_internal_state()
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# Get latest values from history (if available)
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equity_history = state.get("equity_history", [])
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baseline_history = state.get("baseline_history", [])
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baseline_vw_history = state.get("baseline_vw_history", [])
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momentum_history = state.get("momentum_history", [])
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current_equity = equity_history[-1]["v"] if equity_history else None
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current_baseline = (
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baseline_history[-1]["v"] if baseline_history else None
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)
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current_baseline_vw = (
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baseline_vw_history[-1]["v"] if baseline_vw_history else None
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)
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current_momentum = (
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momentum_history[-1]["v"] if momentum_history else None
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)
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# Update live returns with current values
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point = self.storage.update_live_returns(
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current_equity=current_equity,
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current_baseline=current_baseline,
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current_baseline_vw=current_baseline_vw,
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current_momentum=current_momentum,
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)
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# Broadcast if we have new data
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if point:
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live_returns = self.storage.get_live_returns()
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await self.broadcast(
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{
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"type": "team_summary",
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"equity_return": live_returns["equity_return"],
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"baseline_return": live_returns["baseline_return"],
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"baseline_vw_return": live_returns["baseline_vw_return"],
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"momentum_return": live_returns["momentum_return"],
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},
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)
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async def on_strategy_trigger(self, date: str):
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"""Handle trading cycle trigger"""
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logger.info(f"Strategy triggered for {date}")
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tickers = self.config.get("tickers", [])
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if self.is_backtest:
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await self._run_backtest_cycle(date, tickers)
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else:
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await self._run_live_cycle(date, tickers)
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async def _run_backtest_cycle(self, date: str, tickers: List[str]):
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"""Run backtest cycle with pre-loaded prices"""
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self.market_service.set_backtest_date(date)
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await self.market_service.emit_market_open()
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await self.state_sync.on_cycle_start(date)
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self._dashboard.update(date=date, status="Analyzing...")
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prices = self.market_service.get_open_prices()
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close_prices = self.market_service.get_close_prices()
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market_caps = self._get_market_caps(tickers, date)
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result = await self.pipeline.run_cycle(
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tickers=tickers,
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date=date,
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prices=prices,
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close_prices=close_prices,
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market_caps=market_caps,
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)
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await self.market_service.emit_market_close()
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settlement_result = result.get("settlement_result")
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self._save_cycle_results(result, date, close_prices, settlement_result)
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await self._broadcast_portfolio_updates(result, close_prices)
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await self._finalize_cycle(date)
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async def _run_live_cycle(self, date: str, tickers: List[str]):
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"""
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Run live cycle with real market timing.
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- Analysis runs immediately
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- Execution waits for market open
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(or uses current prices if already open)
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- Settlement waits for market close
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"""
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# Get actual trading date (might be next trading day if weekend)
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trading_date = self.market_service.get_live_trading_date()
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logger.info(
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f"Live cycle: triggered={date}, trading_date={trading_date}",
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)
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await self.state_sync.on_cycle_start(trading_date)
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self._dashboard.update(date=trading_date, status="Analyzing...")
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market_caps = self._get_market_caps(tickers, trading_date)
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# Run pipeline with async price callbacks
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result = await self.pipeline.run_cycle(
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tickers=tickers,
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date=trading_date,
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market_caps=market_caps,
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get_open_prices_fn=self.market_service.wait_for_open_prices,
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get_close_prices_fn=self.market_service.wait_for_close_prices,
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)
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close_prices = self.market_service.get_all_prices()
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settlement_result = result.get("settlement_result")
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self._save_cycle_results(
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result,
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trading_date,
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close_prices,
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settlement_result,
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)
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await self._broadcast_portfolio_updates(result, close_prices)
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await self._finalize_cycle(trading_date)
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async def _finalize_cycle(self, date: str):
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"""Finalize cycle: broadcast state and update dashboard"""
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summary = self.storage.load_file("summary") or {}
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# Include live returns if session is active
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if self.storage.is_live_session_active:
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live_returns = self.storage.get_live_returns()
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summary.update(live_returns)
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await self.state_sync.on_cycle_end(date, portfolio_summary=summary)
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holdings = self.storage.load_file("holdings") or []
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trades = self.storage.load_file("trades") or []
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leaderboard = self.storage.load_file("leaderboard") or []
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if leaderboard:
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await self.state_sync.on_leaderboard_update(leaderboard)
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self._dashboard.update(
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date=date,
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status="Running",
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portfolio=summary,
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holdings=holdings,
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trades=trades,
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)
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def _get_market_caps(
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self,
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tickers: List[str],
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date: str,
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) -> Dict[str, float]:
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"""
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Get market caps for tickers (stub implementation)
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Args:
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tickers: List of tickers
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date: Trading date
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Returns:
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Dict mapping ticker to market cap
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"""
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from ..tools.data_tools import get_market_cap
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market_caps = {}
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for ticker in tickers:
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try:
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market_cap = get_market_cap(ticker, date)
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if market_cap:
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market_caps[ticker] = market_cap
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else:
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market_caps[ticker] = 1e9
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except Exception:
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market_caps[ticker] = 1e9
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return market_caps
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async def _broadcast_portfolio_updates(
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self,
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result: Dict[str, Any],
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prices: Dict[str, float],
|
||||
):
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portfolio = result.get("portfolio", {})
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if portfolio:
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holdings = FrontendAdapter.build_holdings(portfolio, prices)
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if holdings:
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await self.state_sync.on_holdings_update(holdings)
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stats = FrontendAdapter.build_stats(portfolio, prices)
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if stats:
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await self.state_sync.on_stats_update(stats)
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executed_trades = result.get("executed_trades", [])
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if executed_trades:
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await self.state_sync.on_trades_executed(executed_trades)
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def _save_cycle_results(
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self,
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result: Dict[str, Any],
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date: str,
|
||||
prices: Dict[str, float],
|
||||
settlement_result: Optional[Dict[str, Any]] = None,
|
||||
):
|
||||
portfolio = result.get("portfolio", {})
|
||||
executed_trades = result.get("executed_trades", [])
|
||||
|
||||
# Extract baseline values from settlement result
|
||||
baseline_values = None
|
||||
if settlement_result:
|
||||
baseline_values = settlement_result.get("baseline_values")
|
||||
|
||||
if portfolio:
|
||||
self.storage.update_dashboard_after_cycle(
|
||||
portfolio=portfolio,
|
||||
prices=prices,
|
||||
date=date,
|
||||
executed_trades=executed_trades,
|
||||
baseline_values=baseline_values,
|
||||
)
|
||||
|
||||
async def _run_backtest_dates(self, dates: List[str]):
|
||||
self.state_sync.set_backtest_dates(dates)
|
||||
self._dashboard.update(days_total=len(dates), days_completed=0)
|
||||
|
||||
await self.state_sync.on_system_message(
|
||||
f"Starting backtest - {len(dates)} trading days",
|
||||
)
|
||||
|
||||
try:
|
||||
for i, date in enumerate(dates):
|
||||
self._dashboard.update(days_completed=i)
|
||||
await self.on_strategy_trigger(date=date)
|
||||
await asyncio.sleep(0.1)
|
||||
|
||||
await self.state_sync.on_system_message(
|
||||
f"Backtest complete - {len(dates)} days",
|
||||
)
|
||||
|
||||
# Update dashboard with final state
|
||||
summary = self.storage.load_file("summary") or {}
|
||||
self._dashboard.update(
|
||||
status="Complete",
|
||||
portfolio=summary,
|
||||
days_completed=len(dates),
|
||||
)
|
||||
self._dashboard.stop()
|
||||
self._dashboard.print_final_summary()
|
||||
except Exception as e:
|
||||
error_msg = f"Backtest failed: {type(e).__name__}: {str(e)}"
|
||||
logger.error(error_msg, exc_info=True)
|
||||
await self.state_sync.on_system_message(error_msg)
|
||||
self._dashboard.update(status=f"Failed: {str(e)}")
|
||||
self._dashboard.stop()
|
||||
raise
|
||||
finally:
|
||||
self._backtest_task = None
|
||||
|
||||
def _handle_backtest_exception(self, task: asyncio.Task):
|
||||
"""Handle exceptions from backtest task"""
|
||||
try:
|
||||
task.result()
|
||||
except asyncio.CancelledError:
|
||||
logger.info("Backtest task was cancelled")
|
||||
except Exception as e:
|
||||
logger.error(
|
||||
f"Backtest task failed with exception:{type(e).__name__}:{e}",
|
||||
exc_info=True,
|
||||
)
|
||||
|
||||
def set_backtest_dates(self, dates: List[str]):
|
||||
self.state_sync.set_backtest_dates(dates)
|
||||
if dates:
|
||||
self._backtest_start_date = dates[0]
|
||||
self._backtest_end_date = dates[-1]
|
||||
self._dashboard.days_total = len(dates)
|
||||
|
||||
def stop(self):
|
||||
self.state_sync.save_state()
|
||||
self.market_service.stop()
|
||||
if self._backtest_task:
|
||||
self._backtest_task.cancel()
|
||||
if self._market_status_task:
|
||||
self._market_status_task.cancel()
|
||||
self._dashboard.stop()
|
||||
Reference in New Issue
Block a user