big-qmt/py-client/strategy/zt/positions.py

"""日内先卖后买的做 T 规则，不包含趋势补仓或整仓止盈。"""

import logging as log
import math

from libs.grid_take_profit import GridState
from sdk import OP_BUY, OP_SELL, PositionItem
from libs.order import PlaceOrderRequest
from libs.runtime import Runtime


def manage_positions(
    run: Runtime,
    ticks,
    positions: list[PositionItem],
    available: float,
    today: str,
    force_buy_back: bool = False,
) -> float:
    """遍历本地底仓记录；全部卖出后即使持仓快照为空，也必须处理买回。"""
    by_code = {position.stock_code: position for position in positions}
    for code, state in list(state_store.items.items()):
        try:
            if code in run.account_cfg.excluded_codes:
                continue
            if run.orders.busy(code, "BUY") or run.orders.busy(code, "SELL"):
                continue
            tick = ticks.get(code)
            price = tick.last_price if tick else 0.0
            if not math.isfinite(price) or price <= 0:
                continue
            position = by_code.get(code)
            actual_qty = position.volume if position else 0
            expected_qty = state.base_qty - state.sell_qty + state.buy_qty
            # 快照延迟或手动增减仓不能当作新的做 T 信号，先核对数量差异。
            if actual_qty != expected_qty:
                log.warning(
                    "[ZT 持仓] %s 数量不符，记录=%d，实际=%d，暂停交易",
                    code,
                    expected_qty,
                    actual_qty,
                )
                continue
            if state.phase == SOLD:
                available = _try_buy_back(
                    run, state, price, available, force_buy_back
                )
            elif state.phase == READY and position and not force_buy_back:
                if price <= run.account_cfg.zt_max_price:
                    _try_sell(run, state, position, price, today)
        except Exception:
            log.exception("[ZT 持仓] %s 处理异常，继续后续证券", code)
    return available


def _try_sell(
    run: Runtime,
    state,
    position: PositionItem,
    price: float,
    today: str,
) -> None:
    """基于独立保存的底仓成本，用跨轮最高盈利网格判断做 T 卖出。"""
    if state.base_cost <= 0:
        return
    pnl_rate = (price - state.base_cost) / state.base_cost * 100
    key = f"{run.account_cfg.account_id}:{state.code}:{today}"
    observation = run.profit_tracker.observe(key, pnl_rate)
    if observation.state != GridState.RETREAT:
        return
    volume = min(
        position.can_use_volume, int(state.base_qty * run.account_cfg.zt_sell_ratio)
    )
    volume = volume // 100 * 100
    if volume <= 0:
        return
    order_id = run.orders.new_order_id("t-sell")
    request = PlaceOrderRequest(
        OP_SELL, state.code, volume, order_id, "zt", kind="sell"
    )
    if run.orders.place(run.client, request):
        log.info("[ZT 卖出] %s %d 股，等待成交后确定买回数量和价格", state.code, volume)


def _try_buy_back(
    run: Runtime,
    state,
    price: float,
    available: float,
    force: bool,
) -> float:
    """按实际卖出均价下跌后反弹买回；尾盘不再受下跌幅度、反弹及价格上限限制。"""
    target = state.sell_price * (1 - run.account_cfg.zt_buy_fall_pct / 100)
    if not force and (price > target or price > run.account_cfg.zt_max_price):
        return available
    volume = state.sell_qty - state.buy_qty
    amount = price * volume * 1.01
    if volume <= 0 or amount > available:
        log.warning("[ZT 买回] %s 买回资金不足或数量无效，保留未完成轮次", state.code)
        return available
    if not force and not run.add_watch.triggered("ZT 买回", state.code, price):
        return available
    order_id = run.orders.new_order_id("t-buy")
    request = PlaceOrderRequest(OP_BUY, state.code, volume, order_id, "zt", kind="buy")
    # 本轮预留资金；状态簿只在取得实际成交后入账。
    available -= amount
    if run.orders.place(run.client, request):
        run.add_watch.forget(state.code)
        log.info(
            "[ZT 买回] %s %d 股，%s",
            state.code,
            volume,
            "尾盘强制买回" if force else "下跌后反弹",
        )
    return available