big-qmt/py-client/strategy/trend/open.py

"""趋势策略开仓逻辑。"""

from datetime import datetime
from functools import lru_cache
import math

from libs import calc_buy_volume
from sdk import OP_BUY
from libs.runtime import Runtime
from libs.order import PlaceOrderRequest
import logging as log


def open_signal(run: Runtime, ticks, open_signals) -> None:
    """逐个验证开仓信号并提交买入委托。"""
    for item in open_signals:
        try:
            if not math.isfinite(item.last_close) or item.last_close <= 0:
                log.info("[OpenSkip] %s 信号=%s，跳过：信号无效，last_close不是有限正数", item.code, item.signal_key)
                continue

            if item.code in run.account_cfg.excluded_codes:
                log.info("[OpenSkip] %s 信号=%s，跳过：已配置为排除股票", item.code, item.signal_key)
                continue

            # 1. 验证信号配置允许开仓的时间区间。
            signal_config = run.global_cfg.signals.get(item.signal_key)
            if signal_config is None:
                log.info("[OpenSkip] %s 信号=%s，跳过：未找到信号配置",item.code,item.signal_key)
                continue

            if not check_timezone(signal_config.timezone):
                log.info("[OpenSkip] %s 信号=%s，跳过：不在信号时间段(%s)",item.code,item.signal_key,signal_config.timezone)
                continue

            # 2. 检查该证券是否已有买入委托锁，防止重复下单。
            if run.orders.busy(item.code, "BUY"):
                log.info("[OpenSkip] %s 信号=%s，跳过：买入委托处理中", item.code, item.signal_key)
                continue

            # 3. 验证行情和最新价格是否有效。
            tick = ticks.get(item.code)
            price = tick.last_price if tick is not None else 0
            if not math.isfinite(price) or price <= 0:
                log.info("[OpenSkip] %s 信号=%s，跳过：价格无效", item.code, item.signal_key)
                continue

            # 5. 根据单笔买入金额计算整手开仓数量。
            volume = calc_buy_volume(price, run.account_cfg.buy_value)
            if volume <= 0:
                log.info("[OpenSkip] %s 信号=%s，跳过：数量无效", item.code, item.signal_key)
                continue

            # 根据信号key做相关判断
            # 早市信号，逢涨可买入
            if item.signal_key == "morning" and signal_config.gt_last_price_is_open:
                if price > item.last_close:
                    do_open(run, item.code, volume, item.signal_key, price)
                    continue

            # 优质标的信号，高于均价最低价则跳过
            if item.signal_key == "arbitrage" and price > item.last_close:
                continue

            # 其它信号，均从观察低点反弹，防止直接接下跌中的“飞刀”。
            if not run.open_watch.triggered("开仓", item.code, price):
                continue

            do_open(run, item.code, volume, item.signal_key, price)

        except RuntimeError as exc:
            log.exception("[OpenRuntimeError] %s 信号=%s，失败：%s",item.code,item.signal_key,exc)
        except Exception as err:
            log.exception("[OpenExceptionError] %s 信号=%s，异常：%s",item.code,item.signal_key,err)
        continue



def do_open(
    run: Runtime, code: str, volume: int, signal_key: str, price: float
) -> None:
    """生成本地订单号并按最新价提交开仓委托。"""
    order_id = run.orders.new_order_id("BUY")
    request = PlaceOrderRequest(
        OP_BUY,
        code,
        volume,
        order_id,
        signal_key,
        kind="base",
    )

    if not run.orders.place(run.client, request):
        raise RuntimeError("订单提交失败")

    run.open_watch.forget(code)
    log.info("[Open] %s 信号=%s，买入=%d股，原因=反弹已确认",code,signal_key,volume)


def check_timezone(timezone: str, now: datetime | None = None) -> bool:
    """验证当前时间是否处于配置区间。

    ``*`` 表示全天允许；多个区间用逗号分隔，例如
    ``9:30-10:30,13:30-14:30``。同时支持跨午夜区间。
    """
    timezone = str(timezone or "").strip()
    if timezone == "*":
        return True

    current = now or datetime.now()
    current_minutes = current.hour * 60 + current.minute

    for section in timezone.split(","):
        bounds = section.strip().split("-")
        if len(bounds) != 2:
            continue
        start = _parse_minutes(bounds[0])
        end = _parse_minutes(bounds[1])
        if start is None or end is None:
            continue

        if start <= end and start <= current_minutes <= end:
            return True
        if start > end and (current_minutes >= start or current_minutes <= end):
            return True

    return False


@lru_cache(maxsize=256)
def _parse_minutes(value: str) -> int | None:
    """把 ``时:分`` 转换为当天分钟数，无效值返回 None。"""
    try:
        hour_text, minute_text = value.strip().split(":")
        hour, minute = int(hour_text), int(minute_text)
    except (TypeError, ValueError):
        return None
    if not 0 <= hour <= 23 or not 0 <= minute <= 59:
        return None
    return hour * 60 + minute