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

"""做 T 策略启动器。

该模块负责组合 SDK、配置、状态存储和做 T 策略组件，供 main.py 调用。
"""

from __future__ import annotations

import logging as log
import time
from datetime import datetime, time as clock_time

import config
from libs.calc import trading_time
from libs.market import market_allow_open
from libs.signal import init_signals
from libs.collector import collector_push
from libs.grid_take_profit import GridTrailingTracker
from sdk import Client
from libs.order import OrderBook
from libs.watch import DipWatch
from libs.runtime import Runtime
from .state import TState, SOLD
from .open import open_signal
from .positions import manage_positions


def StartZT() -> None:
    """初始化做 T 策略，并以 30 秒间隔持续执行。"""
    with Client(
        config.global_config.qmt_base_url,
        config.global_config.qmt_token,
        config.HTTP_TIMEOUT,
    ) as client:
        state = TState.for_strategy(
            config.global_config.qmt_data_dir, "zt", config.account_config.account_id
        )
        run = Runtime(
            client=client,
            global_cfg=config.global_config,
            account_cfg=config.account_config,
            orders=OrderBook("zt"),
            open_watch=DipWatch(),
            add_watch=DipWatch(),
            profit_tracker=GridTrailingTracker(config.account_config.grid_step_pct),
        )
        log.info(
            "[ZT 启动] 账户=%s，底仓信号=dcm，状态文件=%s",
            run.account_cfg.account_id,
            state.path,
        )
        while True:
            now = datetime.now()
            if now.time() >= clock_time(15):
                # 收盘前最后一次只读对账，不发新单；未完成买回继续持久保存。
                try:
                    portfolio = client.portfolio()
                    state.reconcile(
                        list(portfolio.positions.values()),
                        portfolio.orders,
                        now.date().isoformat(),
                    )
                except Exception:
                    log.exception("[ZT] 收盘对账失败，保留本地待确认记录")
                for item in state.items.values():
                    if item.phase == SOLD or state.busy(item.code):
                        log.warning("[ZT] 收盘仍有待完成轮次：%s", item.code)
                return
            # 单轮失败不能杀死唯一的交易定时线程。
            try:
                RunOnce(run, state)
            except Exception:
                log.exception("[ZT] 本 tick 执行失败，下一个 tick 继续")
            # 计算距离下一个目标时间点（0秒或30秒）的等待时间。
            time.sleep(30 - datetime.now().second % 30)


def RunOnce(run: Runtime, state: TState) -> None:
    """账户快照 → 成交对账 → 做 T 管理 → dcm 建仓，共用一份资金预算。"""
    now = datetime.now()
    if not trading_time(now) or now.time() >= clock_time(15):
        return
    today = now.date().isoformat()
    started_at = time.monotonic()

    # 1. 一次获取资产、持仓和订单，并清理过期订单。
    portfolio = run.client.portfolio()
    positions = list(portfolio.positions.values())
    run.orders.refresh(run.client, portfolio.orders)
    # 对账使用完整原始订单列表，不能丢弃撤单和废单的部分成交。
    state.reconcile(positions, portfolio.orders, today)

    # 2. 获取本策略的信号开仓数据；信号失败不阻断已有做 T 买回。
    try:
        signals = init_signals(run.global_cfg, ["dcm"])
    except Exception:
        log.exception("[ZT] 获取 dcm 信号失败，本轮只管理已有底仓")
        signals = []
    position_codes = {
        position.stock_code for position in positions if position.volume > 0
    }
    candidates = [
        signal
        for signal in signals
        if signal.signal_key == "dcm" and signal.code not in position_codes
    ]

    # 3. 获取持仓和待开仓证券的实时行情 tick，零持仓的待买回证券也包含在内。
    codes = list(
        dict.fromkeys(
            list(position_codes)
            + list(state.items)
            + [signal.code for signal in candidates]
        )
    )
    ticks = run.client.full_tick(codes) if codes else {}
    now = datetime.now()  # 网络请求可能跨过尾盘边界，提交前重新判断。
    if not trading_time(now) or now.time() >= clock_time(15):
        return

    # 4. 先完成买回，避免开底仓抢占资金；交易逻辑串行，状态无需多线程写入。
    available = max(0.0, portfolio.assets.available)
    # 未确认买单可能尚未反映在资金快照中，保守预留，宁可少买也不重复使用。
    for pending in state.pending.values():
        if pending.kind != "sell":
            tick = ticks.get(pending.code)
            if tick is None or tick.last_price <= 0:
                available = 0.0
                break
            available = max(0.0, available - pending.qty * tick.last_price * 1.01)
    force = now.time() >= clock_time(14, 50)
    available = manage_positions(run, state, ticks, positions, available, today, force)

    # 5. 验证可用资金；低于资金安全线时禁止开新仓，尾盘只完成做 T 买回。
    reserve = max(0.0, portfolio.assets.total * run.account_cfg.min_cash_ratio)
    # 未完成的卖出/买回可能继续占用资金，不再额外开底仓。
    outstanding = bool(state.pending) or any(
        item.phase == SOLD for item in state.items.values()
    )
    if not force and not outstanding and market_allow_open() and available > reserve:
        open_signal(run, state, ticks, candidates, available - reserve)

    # 6. 数据采集不与交易逻辑争用状态；采集函数自身隔离传输异常。
    collector_push(run.account_cfg.account_id, portfolio.assets, positions)
    log.info(
        "[ZT] 本轮完成，底仓=%d，待确认=%d，耗时=%d毫秒",
        len(state.items),
        len(state.pending),
        int((time.monotonic() - started_at) * 1000),
    )