feat(engine): 新增 Python 策略引擎模块

- config/settings.py：Pydantic 解析 env.yaml
- data/db.py：asyncpg 连接池管理
- data/reader.py：KlineReader 只读查询 TimescaleDB
- data/models.py：KlineRecord 等 Pydantic 模型，镜像 TypeORM 实体
- example/test_db.py：数据库查询验证示例
- README.md：引擎架构文档

engine/config/__init__.py

@@ -0,0 +1,11 @@
+from engine.config.settings import (  # noqa: F401
+    DB_DSN,
+    DbConfig,
+    EnvConfig,
+    LoggingConfig,
+    RedisConfig,
+    db,
+    logging,
+    print_config_summary,
+    redis,
+)

engine/config/settings.py

@@ -0,0 +1,81 @@
+"""中心化配置模块 —— 读取项目根目录 env.yaml，Pydantic 校验导出强类型配置对象。"""
+
+from pathlib import Path
+from typing import Literal
+
+import yaml
+from pydantic import BaseModel, Field
+
+
+class DbConfig(BaseModel):
+    """TimescaleDB / PostgreSQL 连接参数"""
+
+    host: str = "localhost"
+    port: int = Field(default=5432, ge=1, le=65535)
+    name: str
+    user: str
+    password: str
+
+
+class RedisConfig(BaseModel):
+    """Redis 连接配置"""
+
+    url: str = "redis://localhost:6379"
+    publish_enabled: bool = True
+
+
+class LoggingConfig(BaseModel):
+    """日志配置"""
+
+    level: Literal["trace", "debug", "info", "warn", "error", "fatal"] = "info"
+    node_env: Literal["development", "production"] = "development"
+
+
+class EnvConfig(BaseModel):
+    """env.yaml 顶层结构"""
+
+    db: DbConfig
+    redis: RedisConfig
+    logging: LoggingConfig
+
+
+def _get_project_root() -> Path:
+    return Path(__file__).resolve().parent.parent.parent
+
+
+def _load_yaml_config() -> dict:
+    root = _get_project_root()
+    yaml_path = root / "env.yaml"
+
+    if not yaml_path.exists():
+        raise FileNotFoundError(
+            f"[config] 无法读取配置文件: {yaml_path}\n"
+            f"请确保项目根目录存在 env.yaml。"
+        )
+
+    with open(yaml_path, "r", encoding="utf-8") as f:
+        data = yaml.safe_load(f)
+
+    if data is None:
+        raise ValueError(f"[config] env.yaml 解析结果为空: {yaml_path}")
+
+    return data
+
+
+_raw = _load_yaml_config()
+_config = EnvConfig.model_validate(_raw)
+
+db = _config.db
+redis = _config.redis
+logging = _config.logging
+
+DB_DSN = f"postgresql://{db.user}:{db.password}@{db.host}:{db.port}/{db.name}"
+
+
+def print_config_summary() -> None:
+    """打印脱敏后的配置概要（不含密码明文）"""
+    print(f"[config] TimescaleDB: {db.user}@{db.host}:{db.port}/{db.name}")
+    print(
+        f"[config] Redis: {redis.url.replace('//', '//***@') if '@' in redis.url else redis.url}"
+    )
+    print(f"[config] Logging: level={logging.level}, env={logging.node_env}")

engine/data/__init__.py

@@ -0,0 +1,3 @@
+from engine.data.db import close_pool, get_pool  # noqa: F401
+from engine.data.models import KlineRecord, Signal, TradingPairInfo  # noqa: F401
+from engine.data.reader import KlineReader  # noqa: F401

engine/data/db.py

@@ -0,0 +1,28 @@
+"""asyncpg 连接池管理 —— engine 模块对 TimescaleDB 的唯一切入点。"""
+
+import asyncpg
+from engine.config.settings import DB_DSN, db as db_config
+
+_pool: asyncpg.Pool | None = None
+
+
+async def get_pool() -> asyncpg.Pool:
+    """获取或创建 asyncpg 连接池（懒初始化，复用）。"""
+    global _pool
+    if _pool is None:
+        _pool = await asyncpg.create_pool(
+            dsn=DB_DSN,
+            min_size=2,
+            max_size=10,
+            command_timeout=30,
+            server_settings={"default_transaction_read_only": "on"},
+        )
+    return _pool
+
+
+async def close_pool() -> None:
+    """关闭连接池（应用退出时调用）"""
+    global _pool
+    if _pool:
+        await _pool.close()
+        _pool = None

engine/data/models.py

@@ -0,0 +1,100 @@
+"""
+Python 数据模型 —— 镜像 data/db/entities/ 中的 TypeORM 实体。
+
+命名约定：
+  - 类名与 TypeORM 实体类名一致（Kline, Exchange, TradingPair）
+  - 字段名使用 Python snake_case，对应 TypeORM 的 camelCase / snake_case
+  - 所有模型使用 Pydantic，提供运行时校验 + IDE 智能提示
+"""
+
+from datetime import datetime
+from typing import Optional
+
+from pydantic import BaseModel, Field
+
+
+class KlineRecord(BaseModel):
+    """
+    K 线数据记录。
+
+    映射关系：
+        TypeORM Kline.time               → KlineRecord.time
+        TypeORM Kline.exchange           → KlineRecord.exchange
+        TypeORM Kline.symbol             → KlineRecord.symbol
+        TypeORM Kline.interval           → KlineRecord.interval
+        TypeORM Kline.open               → KlineRecord.open
+        TypeORM Kline.high               → KlineRecord.high
+        TypeORM Kline.low                → KlineRecord.low
+        TypeORM Kline.close              → KlineRecord.close
+        TypeORM Kline.volume             → KlineRecord.volume
+        TypeORM Kline.quote_volume       → KlineRecord.quote_volume
+        TypeORM Kline.taker_buy_base_vol → KlineRecord.taker_buy_base_vol
+        TypeORM Kline.taker_buy_quote_vol→ KlineRecord.taker_buy_quote_vol
+        TypeORM Kline.trade_count        → KlineRecord.trade_count
+        TypeORM Kline.is_closed          → KlineRecord.is_closed
+    """
+
+    time: datetime
+    exchange: str
+    symbol: str
+    interval: str
+
+    open: float
+    high: float
+    low: float
+    close: float
+    volume: float
+
+    quote_volume: Optional[float] = None
+    taker_buy_base_vol: Optional[float] = None
+    taker_buy_quote_vol: Optional[float] = None
+    trade_count: Optional[int] = None
+    is_closed: bool = True
+    created_at: Optional[datetime] = None
+    updated_at: Optional[datetime] = None
+
+    @classmethod
+    def from_record(cls, record) -> "KlineRecord":
+        return cls(
+            time=record["time"],
+            exchange=record["exchange"],
+            symbol=record["symbol"],
+            interval=record["interval"],
+            open=float(record["open"]),
+            high=float(record["high"]),
+            low=float(record["low"]),
+            close=float(record["close"]),
+            volume=float(record["volume"]),
+            quote_volume=float(record["quote_volume"]) if record["quote_volume"] is not None else None,
+            taker_buy_base_vol=float(record["taker_buy_base_vol"]) if record["taker_buy_base_vol"] is not None else None,
+            taker_buy_quote_vol=float(record["taker_buy_quote_vol"]) if record["taker_buy_quote_vol"] is not None else None,
+            trade_count=int(record["trade_count"]) if record["trade_count"] is not None else None,
+            is_closed=bool(record["is_closed"]),
+            created_at=record["created_at"] if "created_at" in record else None,
+            updated_at=record["updated_at"] if "updated_at" in record else None,
+        )
+
+
+class TradingPairInfo(BaseModel):
+    """交易对配置信息（轻量版，仅包含策略决策所需的字段）"""
+
+    symbol: str
+    exchange: str
+    base_asset: str
+    quote_asset: str
+    price_precision: int
+    quantity_precision: int
+    min_qty: Optional[float] = None
+    min_notional: Optional[float] = None
+    active: bool = True
+
+
+class Signal(BaseModel):
+    """交易信号"""
+
+    symbol: str
+    signal_type: str = Field(..., pattern=r"^(BUY|SELL|HOLD)$")
+    price: Optional[float] = None
+    quantity: Optional[float] = None
+    reason: str = ""
+    timestamp: datetime = Field(default_factory=datetime.utcnow)

engine/data/reader.py

@@ -0,0 +1,278 @@
+"""
+K 线数据读取器 —— 从 TimescaleDB 查询历史 K 线供策略分析和回测使用。
+
+所有方法均为只读查询，对应 data 模块 Kline 实体的字段结构。
+参考：data/db/entities/kline.entity.ts
+"""
+
+from datetime import datetime
+from typing import Optional, Sequence
+
+import asyncpg
+
+from engine.data.db import get_pool
+from engine.data.models import KlineRecord
+
+
+class KlineReader:
+    """TimescaleDB K 线只读查询器"""
+
+    def __init__(self):
+        self._pool: Optional[asyncpg.Pool] = None
+
+    async def _ensure_pool(self) -> asyncpg.Pool:
+        if self._pool is None:
+            self._pool = await get_pool()
+        return self._pool
+
+    async def get_klines(
+        self,
+        symbol: str,
+        interval: str,
+        start_time: datetime,
+        end_time: datetime,
+        exchange: str = "binance",
+        limit: int = 1000,
+    ) -> list[KlineRecord]:
+        """
+        查询指定时间范围内的 K 线数据，支持任意周期（1m / 5m / 15m / 1h / 4h / 1d 等）。
+
+        Args:
+            symbol: 交易对（如 BTCUSDT）
+            interval: K 线周期（1m / 5m / 15m / 30m / 1h / 4h / 1d 等）
+            start_time: 起始时间（含）
+            end_time: 结束时间（含）
+            exchange: 交易所标识
+            limit: 最大返回条数
+        """
+        pool = await self._ensure_pool()
+
+        query = """
+            SELECT
+                time, exchange, symbol, interval,
+                open, high, low, close, volume,
+                quote_volume, taker_buy_base_vol, taker_buy_quote_vol,
+                trade_count, is_closed, created_at, updated_at
+            FROM klines
+            WHERE exchange = $1
+              AND symbol   = $2
+              AND interval = $3
+              AND time    >= $4
+              AND time    <= $5
+            ORDER BY time ASC
+            LIMIT $6
+        """
+
+        rows: Sequence[asyncpg.Record] = await pool.fetch(
+            query,
+            exchange,
+            symbol,
+            interval,
+            start_time,
+            end_time,
+            limit,
+        )
+
+        return [KlineRecord.from_record(row) for row in rows]
+
+    async def get_latest_klines(
+        self,
+        symbol: str,
+        interval: str,
+        exchange: str = "binance",
+        limit: int = 500,
+    ) -> list[KlineRecord]:
+        """
+        获取最近 N 根已闭合的 K 线（策略启动时快速预热）。
+
+        仅查询 is_closed = TRUE 的 K 线，避免使用未闭合的不完整数据。
+        """
+        pool = await self._ensure_pool()
+
+        query = """
+            SELECT
+                time, exchange, symbol, interval,
+                open, high, low, close, volume,
+                quote_volume, taker_buy_base_vol, taker_buy_quote_vol,
+                trade_count, is_closed, created_at, updated_at
+            FROM klines
+            WHERE exchange = $1
+              AND symbol   = $2
+              AND interval = $3
+              AND is_closed = TRUE
+            ORDER BY time DESC
+            LIMIT $4
+        """
+
+        rows = await pool.fetch(query, exchange, symbol, interval, limit)
+
+        records = [KlineRecord.from_record(row) for row in rows]
+        records.reverse()
+        return records
+
+    async def get_klines_by_count(
+        self,
+        symbol: str,
+        interval: str,
+        count: int = 100,
+        exchange: str = "binance",
+        before_time: Optional[datetime] = None,
+    ) -> list[KlineRecord]:
+        """
+        获取最新的 N 根 K 线（按时间倒序取 N 条再正序返回）。
+
+        适合策略运行时获取最近 N 根 K 线做指标计算，不关心特定时间范围。
+
+        Args:
+            symbol: 交易对
+            interval: K 线周期
+            count: 需要获取的 K 线数量
+            exchange: 交易所标识
+            before_time: 可选，只获取该时间之前的 K 线
+        """
+        pool = await self._ensure_pool()
+
+        if before_time:
+            query = """
+                SELECT
+                    time, exchange, symbol, interval,
+                    open, high, low, close, volume,
+                    quote_volume, taker_buy_base_vol, taker_buy_quote_vol,
+                    trade_count, is_closed, created_at, updated_at
+                FROM klines
+                WHERE exchange = $1
+                  AND symbol   = $2
+                  AND interval = $3
+                  AND time     <= $4
+                ORDER BY time DESC
+                LIMIT $5
+            """
+            rows = await pool.fetch(query, exchange, symbol, interval, before_time, count)
+        else:
+            query = """
+                SELECT
+                    time, exchange, symbol, interval,
+                    open, high, low, close, volume,
+                    quote_volume, taker_buy_base_vol, taker_buy_quote_vol,
+                    trade_count, is_closed, created_at, updated_at
+                FROM klines
+                WHERE exchange = $1
+                  AND symbol   = $2
+                  AND interval = $3
+                ORDER BY time DESC
+                LIMIT $4
+            """
+            rows = await pool.fetch(query, exchange, symbol, interval, count)
+
+        records = [KlineRecord.from_record(row) for row in rows]
+        records.reverse()
+        return records
+
+    async def get_ohlcv_array(
+        self,
+        symbol: str,
+        interval: str,
+        exchange: str = "binance",
+        limit: int = 200,
+        before_time: Optional[datetime] = None,
+    ) -> list[tuple[datetime, float, float, float, float, float]]:
+        """
+        获取 OHLCV 元组数组，直接用于 pandas DataFrame 或 TA-Lib 计算。
+
+        返回格式: [(timestamp, open, high, low, close, volume), ...]
+        时间升序排列。
+        """
+        pool = await self._ensure_pool()
+
+        if before_time:
+            query = """
+                SELECT time, open, high, low, close, volume
+                FROM klines
+                WHERE exchange = $1
+                  AND symbol   = $2
+                  AND interval = $3
+                  AND time     <= $4
+                ORDER BY time DESC
+                LIMIT $5
+            """
+            rows = await pool.fetch(query, exchange, symbol, interval, before_time, limit)
+        else:
+            query = """
+                SELECT time, open, high, low, close, volume
+                FROM klines
+                WHERE exchange = $1
+                  AND symbol   = $2
+                  AND interval = $3
+                ORDER BY time DESC
+                LIMIT $4
+            """
+            rows = await pool.fetch(query, exchange, symbol, interval, limit)
+
+        return [
+            (row["time"], float(row["open"]), float(row["high"]), float(row["low"]), float(row["close"]), float(row["volume"]))
+            for row in reversed(rows)
+        ]
+
+    async def get_available_symbols(
+        self,
+        exchange: str = "binance",
+    ) -> list[str]:
+        """
+        查询已激活的交易对列表。
+
+        从 trading_pairs 配置表读取（仅 active=TRUE 的记录），
+        而非扫描 klines 时序表，避免全表扫描。
+        对应 data/db/entities/trading-pair.entity.ts。
+        """
+        pool = await self._ensure_pool()
+
+        rows = await pool.fetch(
+            """
+            SELECT tp.symbol
+            FROM trading_pairs tp
+            JOIN exchanges e ON tp.exchange_id = e.id
+            WHERE e.name = $1
+              AND tp.active = TRUE
+            ORDER BY tp.symbol
+            """,
+            exchange,
+        )
+
+        return [row["symbol"] for row in rows]
+
+    async def get_available_intervals(
+        self,
+        symbol: str,
+        exchange: str = "binance",
+    ) -> list[str]:
+        """
+        查询某交易对配置的 K 线周期列表。
+
+        从 trading_pairs.kline_intervals 读取（逗号分隔字符串），
+        而非扫描 klines 时序表，避免全表扫描。
+        对应 data/db/entities/trading-pair.entity.ts: kline_intervals 字段。
+        """
+        pool = await self._ensure_pool()
+
+        row = await pool.fetchrow(
+            """
+            SELECT tp.kline_intervals
+            FROM trading_pairs tp
+            JOIN exchanges e ON tp.exchange_id = e.id
+            WHERE e.name = $1
+              AND tp.symbol = $2
+              AND tp.active = TRUE
+            """,
+            exchange,
+            symbol,
+        )
+
+        if row is None or not row["kline_intervals"]:
+            return []
+
+        # kline_intervals 格式: "1m,5m,15m,1h,4h,1d"
+        return [
+            interval.strip()
+            for interval in row["kline_intervals"].split(",")
+            if interval.strip()
+        ]

engine/example/test_db.py

@@ -0,0 +1,44 @@
+"""
+数据库模块测试示例。
+
+运行方式（在项目根目录 trade/ 下）：
+    python -m engine.example.test_db
+
+前提条件：
+    docker compose up -d
+    data 模块已同步过 K 线数据到 TimescaleDB
+"""
+
+import asyncio
+from datetime import datetime, timedelta, timezone
+
+from engine.config import print_config_summary
+from engine.data import KlineRecord, KlineReader, close_pool
+
+async def main():
+    print("=" * 60)
+    print("  Trade Engine — 数据库模块测试")
+    print("=" * 60)
+
+    print_config_summary()
+
+    reader = KlineReader()
+
+    # 获取最近 100 根 BTCUSDT 5m K 线
+    klines = await reader.get_klines_by_count(
+        symbol="BTCUSDT",
+        interval="1m",
+        count=5,
+    )
+    print(f"\n查询到 {len(klines)} 根 K 线:")
+    for k in klines[:5]:
+        print(f"  {k.time.isoformat()} | O={k.open:.2f} H={k.high:.2f} "
+              f"L={k.low:.2f} C={k.close:.2f} V={k.volume:.4f}")
+    if len(klines) > 5:
+        print(f"  ... 剩余 {len(klines) - 5} 根")
+
+    await close_pool()
+
+
+if __name__ == "__main__":
+    asyncio.run(main())

engine/pyproject.toml

@@ -0,0 +1,14 @@
+[project]
+name = "trade-engine"
+version = "0.1.0"
+description = "量化交易策略引擎"
+requires-python = ">=3.10"
+dependencies = [
+    "asyncpg>=0.29",
+    "pydantic>=2.5",
+    "pyyaml>=6.0",
+]
+
+[tool.pyright]
+venvPath = "."
+venv = ".venv"