260 lines
13 KiB
Python
260 lines
13 KiB
Python
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"""SQLite 策略状态与成交存储；每个数据库仅使用一个写入者，不做数据迁移。"""
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import math
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import json
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import logging as log
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import sqlite3
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from contextlib import closing
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from dataclasses import asdict, dataclass
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from datetime import datetime
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from pathlib import Path
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from sdk import DealItem, PositionItem
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SCHEMA = """
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-- 策略状态：base_ 表示底仓，added_ 表示补仓。
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CREATE TABLE IF NOT EXISTS state (
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id INTEGER PRIMARY KEY AUTOINCREMENT, -- 状态记录主键
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stock_code TEXT NOT NULL, -- 证券代码
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status TEXT NOT NULL DEFAULT '', -- 策略状态，由策略定义取值
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base_order_local_id TEXT NOT NULL DEFAULT '', -- 底仓本地委托编号
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base_qty INTEGER NOT NULL DEFAULT 0 CHECK (base_qty >= 0), -- 底仓数量
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base_price REAL NOT NULL DEFAULT 0, -- 底仓价格
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base_created_at TEXT NOT NULL DEFAULT '', -- 底仓创建时间
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added_order_local_id TEXT NOT NULL DEFAULT '', -- 补仓本地委托编号
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added_qty INTEGER NOT NULL DEFAULT 0 CHECK (added_qty >= 0), -- 补仓数量
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added_price REAL NOT NULL DEFAULT 0, -- 补仓价格
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added_created_at TEXT NOT NULL DEFAULT '' -- 补仓创建时间
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);
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-- 每个证券仅保留一条策略状态。
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CREATE UNIQUE INDEX IF NOT EXISTS idx_state_stock_code ON state (stock_code);
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-- 首次归档前的持仓基准，清仓后仍保留，供迟到成交按时间重算。
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CREATE TABLE IF NOT EXISTS state_origin (
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stock_code TEXT PRIMARY KEY, -- 证券代码
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snapshot TEXT NOT NULL -- 初始持仓字段的 JSON 快照
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);
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-- 成交记录独立保存，不随状态删除。
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CREATE TABLE IF NOT EXISTS deals (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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stock_code TEXT NOT NULL,
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order_sys_id TEXT NOT NULL CHECK (order_sys_id <> ''),
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order_local_id TEXT NOT NULL CHECK (order_local_id <> ''),
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ref INTEGER NOT NULL DEFAULT 0,
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order_ref TEXT NOT NULL DEFAULT '',
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direction INTEGER NOT NULL DEFAULT 0,
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offset_flag INTEGER NOT NULL CHECK (offset_flag IN (23, 24, 48, 49)),
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price REAL NOT NULL CHECK (price >= 0),
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volume INTEGER NOT NULL CHECK (volume > 0),
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trade_amount REAL NOT NULL CHECK (trade_amount > 0),
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trade_date TEXT NOT NULL,
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trade_time TEXT NOT NULL,
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remark TEXT NOT NULL DEFAULT '',
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close_profit REAL NOT NULL DEFAULT 0,
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is_arch INTEGER DEFAULT 0
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);
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CREATE UNIQUE INDEX IF NOT EXISTS idx_deals_order_sys_id ON deals (order_sys_id);
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CREATE INDEX IF NOT EXISTS idx_deals_order_ref ON deals (order_local_id);
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CREATE INDEX IF NOT EXISTS idx_deals_stock_code_date ON deals (stock_code);
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CREATE INDEX IF NOT EXISTS idx_deals_date_time ON deals (trade_date);
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"""
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@dataclass(slots=True)
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class StateItem:
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"""策略状态字段；同步账户底仓时无法获知的委托编号留空。"""
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stock_code: str = '' # 证券代码
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status: str = '' # 策略状态
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base_order_local_id: str = '' # 底仓本地委托编号
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base_qty: int = 0 # 底仓数量
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base_price: float = 0.0 # 底仓价格
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base_created_at: str = '' # 底仓创建时间
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added_order_local_id: str = '' # 补仓本地委托编号
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added_qty: int = 0 # 补仓数量
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added_price: float = 0.0 # 补仓价格
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added_created_at: str = '' # 补仓创建时间
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class State:
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"""保存策略状态和只追加的成交记录，仅创建新表，不迁移旧数据。"""
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def __init__(self, path: str | Path) -> None:
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self.path = Path(path)
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self.state: dict[str, dict] = {}
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self.deals: dict[str, dict] = {}
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self.deals_sys_ids: set[str] = set()
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self.path.parent.mkdir(parents=True, exist_ok=True)
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with closing(self._connect()) as db:
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db.executescript(SCHEMA)
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self.load()
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def _connect(self) -> sqlite3.Connection:
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db = sqlite3.connect(self.path, timeout=30)
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db.row_factory = sqlite3.Row
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return db
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def load(self) -> None:
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"""从数据库刷新状态、成交及去重缓存。"""
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with closing(self._connect()) as db, db:
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db.execute('BEGIN')
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state = {row['stock_code']: dict(row) for row in db.execute('SELECT * FROM state')}
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deals = {row['order_sys_id']: dict(row) for row in db.execute('SELECT * FROM deals ORDER BY id')}
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self.state = state
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self.deals = deals
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self.deals_sys_ids = set(deals)
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def sync_deals(self, deals: list[DealItem]) -> None:
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"""按系统成交编号去重，整批写入成功后刷新缓存。"""
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new_deals = {}
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for deal in deals:
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if deal.order_sys_id not in self.deals_sys_ids and deal.order_sys_id not in new_deals:
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new_deals[deal.order_sys_id] = deal
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if not new_deals:
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return
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with closing(self._connect()) as db, db:
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for deal in new_deals.values():
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order_id = deal.get_local_order_id
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if not order_id:
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raise ValueError('Local order ID is required')
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amount = deal.trade_amount if deal.trade_amount > 0 else deal.price * deal.volume
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if not math.isfinite(amount) or amount <= 0:
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raise ValueError('Trade amount must be positive and finite')
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date = deal.trade_date or datetime.now().date().isoformat()
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if len(date) == 8 and date.isdigit():
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date = f'{date[:4]}-{date[4:6]}-{date[6:]}'
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# 直接读取模型字段，金额和日期的补全不修改传入模型。
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db.execute(
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'INSERT INTO deals (stock_code, order_sys_id, order_local_id, ref, '
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'order_ref, direction, offset_flag, price, volume, trade_amount, '
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'trade_date, trade_time, remark, close_profit) '
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'VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?)',
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(deal.stock_code, deal.order_sys_id, order_id, deal.ref,
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deal.order_ref, deal.direction, deal.offset_flag, deal.price, deal.volume,
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amount, date, deal.trade_time, deal.remark, deal.close_profit),
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)
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self.load()
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def archiving(self) -> dict[str, str]:
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"""按证券从持仓基准重放成交；失败证券保留未归档记录并返回原因。"""
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errors = {}
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with closing(self._connect()) as db, db:
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db.execute('BEGIN IMMEDIATE')
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codes = db.execute(
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'SELECT DISTINCT stock_code FROM deals WHERE is_arch = 0 AND offset_flag IN (48, 49)'
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).fetchall()
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for entry in codes:
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code = entry['stock_code']
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db.execute('SAVEPOINT archive_stock')
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try:
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current = db.execute('SELECT * FROM state WHERE stock_code = ?', (code,)).fetchone()
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origin = db.execute('SELECT snapshot FROM state_origin WHERE stock_code = ?', (code,)).fetchone()
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if origin is None:
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# 没有旧基准时不能用已归档后的持仓反推历史，不做数据迁移。
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if db.execute(
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'SELECT 1 FROM deals WHERE stock_code = ? AND is_arch = 1 LIMIT 1', (code,)
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).fetchone():
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raise ValueError('Missing holding baseline for archived history')
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state = dict(current) if current else asdict(StateItem(stock_code=code))
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db.execute('INSERT INTO state_origin VALUES (?, ?)', (code, json.dumps(state)))
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else:
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state = json.loads(origin['snapshot'])
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# 数量相等的初始买入视为已包含在快照中，只匹配一次。
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snapshot_qty = state['base_qty'] + state['added_qty']
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covered = False
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deals = db.execute(
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'SELECT * FROM deals WHERE stock_code = ? AND offset_flag IN (48, 49) '
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"ORDER BY trade_date, REPLACE(trade_time, ':', ''), id", (code,)
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).fetchall()
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for deal in deals:
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qty = deal['volume']
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if deal['offset_flag'] == 48:
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if not covered and snapshot_qty == qty:
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covered = True
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continue
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covered = True
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total = state['added_qty'] + qty
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state['added_price'] = (
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state['added_qty'] * state['added_price'] + deal['trade_amount']
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) / total
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state['added_qty'] = total
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state['added_order_local_id'] = deal['order_local_id']
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state['added_created_at'] = f"{deal['trade_date']} {deal['trade_time']}".strip()
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else:
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# 卖出之后的买入属于新交易，不再与初始快照匹配。
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covered = True
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total = state['base_qty'] + state['added_qty']
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if qty > total:
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raise ValueError(f'Sell volume {qty} exceeds recorded holdings {total}')
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if qty < state['added_qty']:
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state['added_qty'] -= qty
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else:
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state['base_qty'] = total - qty
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state['added_qty'] = 0
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state['added_price'] = 0.0
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state['added_order_local_id'] = state['added_created_at'] = ''
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if state['base_qty'] + state['added_qty'] == 0:
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state = asdict(StateItem(stock_code=code))
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if state['base_qty'] + state['added_qty'] == 0:
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db.execute('DELETE FROM state WHERE stock_code = ?', (code,))
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else:
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# 重算数量和成本，保留调用方当前设置的 status 及已有记录主键。
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state['status'] = current['status'] if current else state['status']
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state.pop('id', None)
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columns = tuple(state)
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db.execute(
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f"INSERT INTO state ({', '.join(columns)}) "
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f"VALUES ({', '.join(':' + key for key in columns)}) "
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'ON CONFLICT(stock_code) DO UPDATE SET '
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+ ', '.join(f'{key} = excluded.{key}' for key in columns if key != 'stock_code'),
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state,
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)
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db.execute(
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'UPDATE deals SET is_arch = 1 WHERE stock_code = ? '
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'AND is_arch = 0 AND offset_flag IN (48, 49)', (code,)
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)
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except (ValueError, sqlite3.IntegrityError) as exc:
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db.execute('ROLLBACK TO archive_stock')
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errors[code] = str(exc)
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log.warning('[归档] %s 失败，保留未归档成交：%s', code, exc)
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finally:
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db.execute('RELEASE archive_stock')
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self.load()
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return errors
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def sync_state(self, positions: list[PositionItem]) -> None:
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"""同步完整持仓：无状态则插入底仓，已有则保留，清仓则删除。
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数量为零或未出现在完整持仓列表中的证券视为已清仓；空列表清空状态。
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"""
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# 传入完整账户持仓；同步时间作为新增底仓的创建时间。
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created_at = datetime.now().isoformat(timespec='seconds')
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holdings = {item.stock_code: item for item in positions if item.volume > 0}
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with closing(self._connect()) as db, db:
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db.execute('BEGIN')
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existing = {row['stock_code']: dict(row) for row in db.execute('SELECT * FROM state')}
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# 先保留基准，再删除清仓状态，卖出成交仍可据此归档。
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for code, row in existing.items():
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db.execute(
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'INSERT OR IGNORE INTO state_origin SELECT ?, ? WHERE NOT EXISTS '
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'(SELECT 1 FROM deals WHERE stock_code = ? AND is_arch = 1)',
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(code, json.dumps(row), code),
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)
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db.executemany(
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'DELETE FROM state WHERE stock_code = ?',
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[(code,) for code in existing if code not in holdings],
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)
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for code, item in holdings.items():
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if code in existing:
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continue
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if not math.isfinite(item.open_price):
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raise ValueError('Base price must be finite')
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# 只插入底仓字段，补仓字段使用数据库默认值。
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db.execute(
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'INSERT INTO state '
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'(stock_code, status, base_order_local_id, base_qty, base_price, base_created_at) '
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"VALUES (?, '', '', ?, ?, ?)",
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(code, item.volume, item.open_price, created_at),
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)
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self.load()
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