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

"""先卖后买做 T；持仓存在 State，未买回数量从实际成交计算。"""

import logging as log
import math

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


def t_rounds(store: State) -> dict[str, dict]:
    """每只证券保留最近一轮 T，跨日未买回的数量继续保留。"""
    rounds = {}
    for deal in sorted(store.deals.values(), key=lambda d: (
        d['trade_date'], d['trade_time'].replace(':', ''), d['id']
    )):
        order = deal['order_local_id']
        code = deal['stock_code']
        if order.startswith('zt-t-sell-') and deal['offset_flag'] in (24, 49):
            item = rounds.get(code)
            if item is None or item['bought'] >= item['sold']:
                item = rounds[code] = dict(sold=0, bought=0, amount=0.0, date='')
            item['sold'] += deal['volume']
            item['amount'] += deal['trade_amount']
            item['date'] = deal['trade_date']
        elif order.startswith('zt-t-buy-') and deal['offset_flag'] in (23, 48) and code in rounds:
            rounds[code]['bought'] += deal['volume']
            rounds[code]['date'] = deal['trade_date']
    return rounds


def manage_positions(
    run: Runtime, store: State, ticks, positions: list[PositionItem],
    rounds: dict[str, dict], available: float, today: str, force_buy_back: bool = False,
) -> float:
    """先偿还买回欠仓；同一证券当天完成一轮后不再卖出。"""
    by_code = {p.stock_code: p for p in positions}
    codes = dict.fromkeys(list(rounds) + list(store.state))
    for code in sorted(codes, key=lambda c: not (c in rounds and rounds[c]['sold'] > rounds[c]['bought'])):
        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
            item = rounds.get(code)
            row = store.state.get(code, {})
            position = by_code.get(code)
            recorded = row.get('base_qty', 0) + row.get('added_qty', 0)
            if recorded != (position.volume if position else 0):
                log.warning('[ZT] %s 持仓快照与成交未对齐，等待下一轮', code)
                continue
            if item and item['sold'] > item['bought']:
                volume = item['sold'] - item['bought']
                # 部分成交后的零股欠仓不能按普通买入申报，不扩大买回数量。
                minimum = 200 if code.startswith('688') else 100
                if not code.startswith('688'):
                    volume = volume // 100 * 100
                if volume < minimum:
                    log.warning('[ZT] %s 剩余买回 %d 股不满足申报数量，保留欠仓', code, item['sold'] - item['bought'])
                    continue
                target = item['amount'] / item['sold'] * (1 - run.account_cfg.zt_buy_fall_pct / 100)
                if not force_buy_back and price > target:
                    continue
                amount = price * volume * 1.01
                if amount > available:
                    log.warning('[ZT] %s 买回资金不足，需要 %.2f，可用 %.2f', code, amount, available)
                    continue
                if not force_buy_back and not run.add_watch.triggered('ZT 买回', code, price):
                    continue
                available -= amount
                request = PlaceOrderRequest(OP_BUY, code, volume, run.orders.new_order_id('t-buy'), 'zt')
                if run.orders.place(run.client, request):
                    run.add_watch.forget(code)
                    log.info('[ZT 买回] %s %d 股%s', code, volume, '，尾盘买回' if force_buy_back else '')
                continue
            if force_buy_back or (item and item['date'] >= today) or not position or recorded <= 0:
                continue
            if price > run.account_cfg.zt_max_price:
                continue
            cost = (row['base_qty'] * row['base_price'] + row['added_qty'] * row['added_price']) / recorded
            if cost <= 0:
                continue
            pnl = (price / cost - 1) * 100
            observation = run.profit_tracker.observe(f'{run.account_cfg.account_id}:{code}:{today}', pnl)
            if observation.state != GridState.RETREAT or pnl < run.account_cfg.min_profit_pct:
                continue
            volume = int(min(position.can_use_volume, recorded * run.account_cfg.zt_sell_ratio)) // 100 * 100
            if volume < (200 if code.startswith('688') else 100):
                continue
            request = PlaceOrderRequest(OP_SELL, code, volume, run.orders.new_order_id('t-sell'), 'zt')
            if run.orders.place(run.client, request):
                log.info('[ZT 卖出] %s %d 股，按实际成交买回', code, volume)
        except Exception:
            log.exception('[ZT 持仓] %s 处理失败', code)
    return available