部署一个处理期货交易数据的时间序列神经网络模型，机器、软件、数据收集如何做 做中国期货,3秒级，每天能有十次出入市就好 很好，可能是我表达不够清楚，我是要观察三秒或者五秒的K线，一次交易持仓可以在几分种几十分钟，知道5秒K线，30秒K线，1分钟K线组合显示要平仓或开仓 把“沪银 AG”做成一个完整示例 专门针对“沪银”的微结构alpha建模 给我中国期货3秒级交易系统项目目录和可运行代码骨架（CTP + LightGBM + 回测） 给我沪银微结构策略 v2（接近实盘） 帮做 v3 沪银微结构 v3（准实盘级） v3的这些代码分别加在哪里，重新梳理下，或者给出各文件最终完整代码 ctp已经安装了vn.py,改了ctp/md_api.py：import logging from vnpy_ctp.api import CtpMdApi, ApiStruct class MdApiWrapper(CtpMdApi): """ 基于 vnpy_ctp 封装的行情接口 """ def __init__(self, config, on_tick_callback): super().__init__() self.config = config self.on_tick = on_tick_callback self.connection_status = False self.login_status = False # 记录已订阅的合约列表 self.subscribed_symbols = set() # --- 核心回调接口 (Overriding CtpMdApi) --- def onFrontConnected(self): """当网络连接建立时触发""" logging.info("CTP行情前置连接成功") self.connection_status = True self.login() def onFrontDisconnected(self, n: int): """当网络连接断开时触发""" logging.warn(f"CTP行情连接断开，错误代码: {n}") self.connection_status = False self.login_status = False def onRspUserLogin(self, data: dict, error: dict, reqid: int, last: bool): """登录请求响应""" if error and error["ErrorID"] != 0: logging.error(f"CTP登录失败: {error['ErrorMsg']}") else: logging.info(f"CTP登录成功: {data['UserID']}") self.login_status = True # 如果之前有订阅过的合约，重连后自动重新订阅 if self.subscribed_symbols: self.subscribe(list(self.subscribed_symbols)) def onRtnDepthMarketData(self, data: dict): """ 核心方法：当有新Tick行情时触发 vnpy 已经将 C++ 结构体转为了 Python 字典 """ # 可以在这里做初步的数据清洗 tick = { "symbol": data["InstrumentID"], "last_price": data["LastPrice"], "volume": data["Volume"], "open_interest": data["OpenInterest"], "datetime": f"{data['UpdateTime']}.{data['UpdateMillisec'] // 100}", "bid_price_1": data["BidPrice1"], "ask_price_1": data["AskPrice1"], "bid_volume_1": data["BidVolume1"], "ask_volume_1": data["AskVolume1"], } # 将数据推送到外部处理逻辑（如存入 data/raw_tick/） self.on_tick(tick) # --- 操作方法 --- def login(self): """发送登录请求""" req = { "BrokerID": self.config.get("broker_id"), "UserID": self.config.get("user_id"), "Password": self.config.get("password"), } self.reqUserLogin(req, 1) def subscribe(self, symbols: list): """订阅合约""" if not self.login_status: logging.warn("未登录成功，合约已记录，将在登录后尝试订阅") for symbol in symbols: self.subscribed_symbols.add(symbol) if self.login_status: self.subscribeMarketData(symbols) logging.info(f"已发送订阅请求: {symbols}") def connect(self): """初始化并启动 API""" # 创建临时目录存放 CTP 生成的 .con 文件 import os if not os.path.exists("temp"): os.mkdir("temp") self.createFtdcMdApi("temp/") self.registerFront(self.config.get("md_address")) self.init() logging.info("CTP API 初始化完成") uv run run/run_all.py Traceback (most recent call last): File "/root/ag_ctp_quant/run/run_all.py", line 3, in from feature.build_features import build_features ModuleNotFoundError: No module named 'feature' :~/ag_ctp_quant# uv run python -m run.run_all Traceback (most recent call last): File "", line 198, in _run_module_as_main File "", line 88, in _run_code File "/root/ag_ctp_quant/run/run_all.py", line 9, in df = pd.read_parquet("data/sample_tick.parquet") ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^ File "/root/ag_ctp_quant/.venv/lib/python3.12/site-packages/pandas/io/parquet.py", line 671, in read_parquet return impl.read( ^^^^^^^^^^ File "/root/ag_ctp_quant/.venv/lib/python3.12/site-packages/pandas/io/parquet.py", line 253, in read path_or_handle, handles, filesystem = _get_path_or_handle( ^^^^^^^^^^^^^^^^^^^^ File "/root/ag_ctp_quant/.venv/lib/python3.12/site-packages/pandas/io/parquet.py", line 141, in _get_path_or_handle handles = get_handle( ^^^^^^^^^^^ File "/root/ag_ctp_quant/.venv/lib/python3.12/site-packages/pandas/io/common.py", line 935, in get_handle handle = open(handle, ioargs.mode) ^^^^^^^^^^^^^^^^^^^^^^^^^ FileNotFoundError: [Errno 2] No such file or directory: 'data/sample_tick.parquet' /ag_ctp_quant# uv run python -m run.run_all Found files: [] Traceback (most recent call last): File "", line 198, in _run_module_as_main File "", line 88, in _run_code File "/root/ag_ctp_quant/run/run_all.py", line 15, in df = pd.concat([pd.read_parquet(f) for f in files]) ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^ File "/root/ag_ctp_quant/.venv/lib/python3.12/site-packages/pandas/core/reshape/concat.py", line 407, in concat objs, keys, ndims = _clean_keys_and_objs(objs, keys) ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^ File "/root/ag_ctp_quant/.venv/lib/python3.12/site-packages/pandas/core/reshape/concat.py", line 808, in _clean_keys_and_objs raise ValueError("No objects to concatenate") ValueError: No objects to concatenate from ctp.md_api import MdApiWrapper :~/ag_ctp_quant# PYTHONPATH=. uv run python run/collect.py Traceback (most recent call last): File "/root/ag_ctp_quant/run/collect.py", line 3, in from ctp.md_api import MdApiWrapper File "/root/ag_ctp_quant/ctp/md_api.py", line 3, in from vnpy_ctp.api import CtpMdApi ImportError: cannot import name 'CtpMdApi' from 'vnpy_ctp.api' (/root/ag_ctp_quant/.venv/lib/python3.12/site-packages/vnpy_ctp/api/__init__.py) 用vn.py重写collect Connecting CTP... 2026-05-04 08:46:48.494 | INFO | MainEngine | 连接登录 -> CTP 2026-05-04 08:46:48.523 | INFO | CTP | 交易服务器连接成功 2026-05-04 08:46:48.525 | INFO | CTP | 行情服务器连接成功 terminate called after throwing an instance of 'std::runtime_error' what(): locale::facet::_S_create_c_locale name not valid z:~/ag_ctp_quant# LANG=en_US.UTF-8 LC_ALL=en_US.UTF-8 PYTHONPATH=. uv run python run/collect_vnpy.py Connecting CTP... 2026-05-04 08:48:30.774 | INFO | MainEngine | 连接登录 -> CTP 2026-05-04 08:48:30.802 | INFO | CTP | 交易服务器连接成功 2026-05-04 08:48:30.805 | INFO | CTP | 行情服务器连接成功 terminate called after throwing an instance of 'std::runtime_error' what(): locale::facet::_S_create_c_locale name not valid root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# what(): locale::facet::_S_create_c_locale name not valid -bash: syntax error near unexpected token :' root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# LANG=en_US.UTF-8 LC_ALL=en_US.UTF-8 PYTHONPATH=. uv run python run/collect_vnpy.py Connecting CTP... 2026-05-04 08:48:30.774 | INFO | MainEngine | 连接登录 -> CTP 2026-05-04 08:48:30.802 | INFO | CTP | 交易服务器连接成功 2026-05-04 08:48:30.805 | INFO | CTP | 行情服务器连接成功 terminate called after throwing an instance of 'std::runtime_error' what(): locale::facet::_S_create_c_locale name not valid root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# apt update Hit:1 http://mirrors.ivolces.com/ubuntu focal InRelease Hit:2 http://mirrors.ivolces.com/ubuntu focal-security InRelease Hit:3 http://mirrors.ivolces.com/ubuntu focal-updates InRelease Hit:4 http://mirrors.ivolces.com/ubuntu focal-backports InRelease Reading package lists... Done Building dependency tree Reading state information... Done All packages are up to date. root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# apt install -y locales Reading package lists... Done Building dependency tree Reading state information... Done locales is already the newest version (2.31-0ubuntu9.18). locales set to manually installed. The following packages were automatically installed and are no longer required: libdw1 libnuma1 Use 'apt autoremove' to remove them. 0 upgraded, 0 newly installed, 0 to remove and 0 not upgraded. root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# dpkg-reconfigure locales Generating locales (this might take a while)... en_US.UTF-8... done Generation complete. root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# locale-gen en_US.UTF-8 Generating locales (this might take a while)... en_US.UTF-8... done Generation complete. root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# update-locale LANG=en_US.UTF-8locale -a Unknown option: a *** update-locale: Error: invalid locale settings: LANG=en_US.UTF-8locale root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# locale-gen en_US.UTF-8^C root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# locale-gen en_US.UTF-8 Generating locales (this might take a while)... en_US.UTF-8... done Generation complete. root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# update-locale LANG=en_US.UTF-8 root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# locale -a C C.UTF-8 en_US.utf8 POSIX root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# PYTHONPATH=. uv run python run/collect_vnpy.py Connecting CTP... 2026-05-04 08:53:38.170 | INFO | MainEngine | 连接登录 -> CTP 2026-05-04 08:53:38.201 | INFO | CTP | 行情服务器连接成功 2026-05-04 08:53:38.202 | INFO | CTP | 交易服务器连接成功 terminate called after throwing an instance of 'std::runtime_error' what(): locale::facet::_S_create_c_locale name not valid root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# export LANG=en_US.UTF-8 root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# PYTHONPATH=. uv run python run/collect_vnpy.py Connecting CTP... 2026-05-04 08:54:01.572 | INFO | MainEngine | 连接登录 -> CTP 2026-05-04 08:54:01.604 | INFO | CTP | 交易服务器连接成功 2026-05-04 08:54:01.606 | INFO | CTP | 行情服务器连接成功 terminate called after throwing an instance of 'std::runtime_error' what(): locale::facet::_S_create_c_locale name not valid root@iv-ydxz0mqayowuxjsqbmfz:~/ag_ctp_quant# 用的是uv,降python