feat: portfolio daily margin aggregation

.planning/ROADMAP.md

@@ -41,7 +41,8 @@
 - [x] `batch_equity_summary()` 已提供简单资金曲线摘要。
 - [x] `margin_utilization_summary()` 已提供批量持仓保证金占用率统计。
 - [x] `run_daily_position_mark()` 已提供单笔持仓逐日盯市与保证金估算。
-- [ ] 在完整组合持仓/资金引擎中合并多笔持仓逐日保证金监控。
+- [x] `portfolio_daily_margin()` 已支持多笔持仓逐日合并盯市与保证金监控。
+- [ ] 在完整组合资金引擎中接入融资/资金费率与更多组合约束。
 - [x] T+1 close 执行近似已加入 `backtest --t1-close`（仍非 open/settle，真实缺口待合约数据接入）。
 - [x] `summarize_roll_costs()` 已提供合约级可量化换月 gap 成本统计。
 - [x] 真实换月 gap 成本可作为 `--roll-cost-bps` 附加到 `backtest`/`evidence`。
@@ -71,4 +72,4 @@
 
 当前测试：`PYTHONPATH=src python3 -m unittest discover -s tests -v`
 
-当前通过：102 tests OK。
+当前通过：103 tests OK。

CHANGELOG.md

@@ -47,7 +47,8 @@
 - `formal_v2.generate_v2_formal_report()`：协议 v2 正式验收前的可审计报告入口；
 - `margin_utilization_summary()`：批量持仓保证金占用率统计；
 - `formal` CLI：输出双因子 v2 正式验收前报告；
-- `run_daily_position_mark()`：单笔持仓逐日盯市与保证金占用估算。
+- `run_daily_position_mark()`：单笔持仓逐日盯市与保证金占用估算；
+- `portfolio_daily_margin()`：多笔持仓逐日合并盯市与保证金监控。
 
 ## [0.1.0-rc1] - 2026-09-02
 

src/goratio/margin.py

@@ -299,3 +299,62 @@ def run_daily_position_mark(
         "rows": rows,
         "note": "逐日盯市研究模拟，不构成交易建议",
     }
+
+
+def portfolio_daily_margin(
+    records,
+    positions,
+    *,
+    initial_capital: float = 100000.0,
+) -> dict:
+    """合并多笔持仓的逐日盯市与保证金占用。
+
+    positions: [{"instrument": "gold"/"oil", "entry_date": date,
+                 "exit_date": date, "direction": 1/-1, "lots": int}]
+    """
+    from collections import defaultdict
+    from datetime import date
+
+    daily_map = defaultdict(lambda: {"margin": 0.0, "pnl": 0.0, "count": 0})
+    rows_by_position = []
+    for position in positions:
+        result = run_daily_position_mark(
+            records,
+            instrument=position["instrument"],
+            entry_date=position["entry_date"],
+            exit_date=position["exit_date"],
+            direction=position["direction"],
+            lots=position["lots"],
+        )
+        rows_by_position.append(result)
+        for row in result["rows"]:
+            d = row["date"]
+            daily_map[d]["margin"] += row["margin_estimate"]
+            daily_map[d]["pnl"] += row["cumulative_pnl"]
+            daily_map[d]["count"] += 1
+    daily_rows = []
+    peak = initial_capital
+    max_drawdown = 0.0
+    for d in sorted(daily_map):
+        record = daily_map[d]
+        equity = initial_capital + record["pnl"]
+        peak = max(peak, equity)
+        max_drawdown = max(max_drawdown, peak - equity)
+        daily_rows.append(
+            {
+                "date": d,
+                "total_margin": record["margin"],
+                "total_pnl": record["pnl"],
+                "equity": equity,
+                "position_count": record["count"],
+            }
+        )
+    return {
+        "initial_capital": initial_capital,
+        "day_count": len(daily_rows),
+        "daily_rows": daily_rows,
+        "final_equity": daily_rows[-1]["equity"] if daily_rows else initial_capital,
+        "max_drawdown": max_drawdown,
+        "rows_by_position": rows_by_position,
+        "note": "多笔持仓逐日合并盯市研究模拟，不构成交易建议",
+    }

tests/test_margin.py

@@ -193,5 +193,47 @@ def test_run_daily_position_mark_tracks_roll(self) -> None:
         self.assertGreater(result["rows"][1]["margin_estimate"], 0)
 
 
+    def test_portfolio_daily_margin_aggregates(self) -> None:
+        from goratio.margin import portfolio_daily_margin
+
+        records = [
+            ContractRecord(
+                date=date(2024, 1, 2), instrument="gold", symbol="GC",
+                contract_month="2024-02", close=2000.0,
+                volume=100, open_interest=50,
+            ),
+            ContractRecord(
+                date=date(2024, 1, 3), instrument="gold", symbol="GC",
+                contract_month="2024-02", close=2010.0,
+                volume=80, open_interest=40,
+            ),
+            ContractRecord(
+                date=date(2024, 1, 3), instrument="gold", symbol="GC",
+                contract_month="2024-04", close=2020.0,
+                volume=200, open_interest=300,
+            ),
+            ContractRecord(
+                date=date(2024, 1, 4), instrument="gold", symbol="GC",
+                contract_month="2024-04", close=2030.0,
+                volume=250, open_interest=400,
+            ),
+        ]
+        positions = [
+            {
+                "instrument": "gold",
+                "entry_date": date(2024, 1, 2),
+                "exit_date": date(2024, 1, 4),
+                "direction": 1,
+                "lots": 1,
+            }
+        ]
+
+        summary = portfolio_daily_margin(records, positions)
+
+        self.assertEqual(summary["day_count"], 3)
+        self.assertGreater(summary["final_equity"], 100000.0)
+        self.assertGreater(summary["daily_rows"][0]["total_margin"], 0)
+
+
 if __name__ == "__main__":
     unittest.main()