refactor: 缠论引擎包化与 Web 分层（ECR-001）
将根目录引擎迁入 chanlun/ 并保留兼容 shim；拆分 TF_DF 与 web 服务； 前端模块化；strategies 改用 chanlun 导入；补充 ESS 文档与 golden 回归。 Co-authored-by: Cursor <cursoragent@cursor.com>
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jackyu66git
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#!/usr/bin/env python3
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"""生成 / 校验缠论流水线 golden（行为冻结基线）。"""
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from __future__ import annotations
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import argparse
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import json
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import sys
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from pathlib import Path
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import numpy as np
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import pandas as pd
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ROOT = Path(__file__).resolve().parents[1]
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if str(ROOT) not in sys.path:
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sys.path.insert(0, str(ROOT))
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def make_ohlcv(n: int = 400, seed: int = 42) -> pd.DataFrame:
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rng = np.random.default_rng(seed)
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dates = pd.date_range("2024-01-01", periods=n, freq="5min", tz="UTC")
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# 随机游走 + 波动，保证高低开收合法
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rets = rng.normal(0, 0.002, size=n)
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close = 100 * np.exp(np.cumsum(rets))
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open_ = np.roll(close, 1)
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open_[0] = close[0]
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spread = np.abs(rng.normal(0, 0.0015, size=n)) * close
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high = np.maximum(open_, close) + spread
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low = np.minimum(open_, close) - spread
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volume = rng.uniform(100, 1000, size=n)
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return pd.DataFrame(
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{
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"date": dates,
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"open": open_,
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"high": high,
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"low": low,
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"close": close,
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"volume": volume,
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}
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)
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def _enum_name(v):
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if v is None:
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return None
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name = getattr(v, "name", None)
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if name:
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return name
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s = str(v)
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return s.split(".")[-1] if "." in s else s
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def _t(obj, attr="time"):
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t = getattr(obj, attr, None)
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if t is None:
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return None
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if hasattr(t, "strftime"):
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return t.strftime("%Y-%m-%d %H:%M:%S")
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return str(t)
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def _f(v, nd=10):
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if v is None:
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return None
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try:
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return round(float(v), nd)
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except (TypeError, ValueError):
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return None
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def serialize_pipeline(tf) -> dict:
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bi_list = [
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{
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"idx": getattr(b, "idx", i),
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"dir": _enum_name(getattr(b, "dir", None)),
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"high": _f(b.get_high() if hasattr(b, "get_high") else getattr(b, "high", 0)),
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"low": _f(b.get_low() if hasattr(b, "get_low") else getattr(b, "low", 0)),
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"is_sure": bool(getattr(b, "is_sure", True)),
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"begin": _t(getattr(b, "begin_klc", None), "end_time")
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or _t(getattr(b, "begin_klc", None), "time"),
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"end": _t(getattr(b, "end_klc", None), "end_time")
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or _t(getattr(b, "end_klc", None), "time"),
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}
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for i, b in enumerate(getattr(tf, "bi_list", []) or [])
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]
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seg_list = [
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{
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"idx": getattr(s, "idx", i),
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"dir": _enum_name(getattr(s, "dir", None)),
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"is_sure": bool(getattr(s, "is_sure", True)),
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"high": _f(s.get_high()) if hasattr(s, "get_high") else None,
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"low": _f(s.get_low()) if hasattr(s, "get_low") else None,
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}
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for i, s in enumerate(getattr(tf, "seg_list", []) or [])
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]
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zs_list = [
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{
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"idx": getattr(z, "idx", i),
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"dir": _enum_name(getattr(z, "dir", None)),
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"zg": _f(getattr(z, "zg", 0) or 0),
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"zd": _f(getattr(z, "zd", 0) or 0),
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"is_sure": bool(getattr(z, "is_sure", True)),
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}
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for i, z in enumerate(getattr(tf, "zs_list", []) or [])
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]
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bsp_list = []
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for i, p in enumerate(getattr(tf, "bsp_list", []) or []):
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bsp_list.append(
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{
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"idx": getattr(p, "idx", i),
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"type": _enum_name(getattr(p, "type", None) or getattr(p, "bsp_type", None)),
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"dir": _enum_name(getattr(p, "dir", None)),
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"price": _f(getattr(p, "price", 0) or getattr(p, "val", 0) or 0),
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}
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)
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return {
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"counts": {
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"klu": len(getattr(tf, "klu_list", []) or []),
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"klc": len(getattr(tf, "klc_list", []) or []),
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"bi": len(bi_list),
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"seg": len(seg_list),
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"zs": len(zs_list),
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"bsp": len(bsp_list),
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},
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"bi_list": bi_list,
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"seg_list": seg_list,
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"zs_list": zs_list,
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"bsp_list": bsp_list,
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}
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def analyze_contract_keys() -> list:
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"""文档化 /api/analyze 主周期关键字段（契约冒烟用）。"""
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return sorted(
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[
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"timezone",
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"kline_data",
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"klc_list",
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"bi_list",
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"uncompleted_bi_list",
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"seg_list",
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"uncompleted_seg_list",
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"zs_list",
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"uncompleted_zs_list",
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"bi_zs_list",
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"bsp_list",
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"klc_fx_info",
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"macd",
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"chan_macd",
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"klc_trend",
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]
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)
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def run_pipeline(df: pd.DataFrame):
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"""与 web.analyze_chan 同序，避免依赖 TF_DF.__init__ 历史缺口。"""
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from chanlun import TF_DF
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chan = TF_DF()
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df = chan.add_indicators(df.copy())
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klu_list = chan.get_kl_data(df)
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klc_list = chan.get_klc_list(klu_list)
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bi_list = chan.cal_bi_list(klc_list)
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seg_list = chan.get_seg_list(bi_list)
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zs_list = chan.calculate_seg_zs(seg_list)
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bi_zs_list = chan.cal_bi_zs(seg_list)
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bsp_list = chan.find_all_bsp(bi_list, bi_zs_list) if bi_zs_list else []
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# 挂到伪对象供 serialize_pipeline 使用
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chan.klu_list = klu_list
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chan.klc_list = klc_list
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chan.bi_list = bi_list
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chan.seg_list = seg_list
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chan.zs_list = zs_list
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chan.bsp_list = bsp_list
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chan.bi_zs_list = bi_zs_list
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return chan
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def main():
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parser = argparse.ArgumentParser()
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parser.add_argument("--generate", action="store_true")
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parser.add_argument("--check", action="store_true")
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parser.add_argument(
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"--fixture-dir",
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type=Path,
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default=ROOT / "tests" / "fixtures",
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)
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args = parser.parse_args()
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args.fixture_dir.mkdir(parents=True, exist_ok=True)
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ohlcv_path = args.fixture_dir / "ohlcv_5m.csv"
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golden_path = args.fixture_dir / "golden_pipeline.json"
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keys_path = args.fixture_dir / "analyze_contract_keys.json"
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if args.generate:
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df = make_ohlcv()
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df.to_csv(ohlcv_path, index=False)
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# 与 --check 同一路径：经 CSV 往返，避免浮点路径差异
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df = pd.read_csv(ohlcv_path, parse_dates=["date"])
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tf = run_pipeline(df)
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payload = serialize_pipeline(tf)
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golden_path.write_text(json.dumps(payload, ensure_ascii=False, indent=2), encoding="utf-8")
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keys_path.write_text(json.dumps(analyze_contract_keys(), indent=2), encoding="utf-8")
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print(f"wrote {ohlcv_path}")
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print(f"wrote {golden_path} counts={payload['counts']}")
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return 0
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if args.check:
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df = pd.read_csv(ohlcv_path, parse_dates=["date"])
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tf = run_pipeline(df)
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actual = serialize_pipeline(tf)
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expected = json.loads(golden_path.read_text(encoding="utf-8"))
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if actual != expected:
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print("GOLDEN MISMATCH")
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print("expected counts", expected.get("counts"))
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print("actual counts", actual.get("counts"))
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diff_path = args.fixture_dir / "golden_pipeline.actual.json"
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diff_path.write_text(json.dumps(actual, ensure_ascii=False, indent=2), encoding="utf-8")
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print(f"wrote actual to {diff_path}")
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return 1
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print("GOLDEN OK", actual["counts"])
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return 0
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parser.print_help()
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return 2
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if __name__ == "__main__":
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raise SystemExit(main())
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