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

"""使用 dcm 信号建立做 T 底仓。"""

from datetime import datetime
import logging as log
import math

from libs.calc import calc_buy_volume
from sdk import OP_BUY
from libs.runtime import Runtime
from libs.order import PlaceOrderRequest


def open_signal(run: Runtime,  ticks, signals, available: float) -> float:
    """逐个验证开仓信号并提交买入委托，返回本轮剩余资金。"""
    for item in signals:
        try:
            now = datetime.now()
            if (now.hour, now.minute) >= (14, 50):
                break
            if item.code in run.account_cfg.excluded_codes:
                continue
            # 由委托簿检查活动委托，防止重复下单。
            if (
                run.orders.busy(item.code, "BUY")
                or run.orders.busy(item.code, "SELL")
            ):
                continue
            # 行情无效或超过策略价格上限时跳过。
            tick = ticks.get(item.code)
            price = tick.last_price if tick else 0.0
            if (
                not math.isfinite(price)
                or price <= 0
                or price > run.account_cfg.zt_max_price
            ):
                continue
            # 根据单笔买入金额计算整手数量，并预留少量价差和费用。
            budget = min(run.account_cfg.buy_value, available)
            volume = calc_buy_volume(price, budget)
            amount = price * volume * 1.01
            if volume <= 0 or price * volume > budget or amount > available:
                continue
            # 等待价格从观察低点反弹，防止直接接下跌中的“飞刀”。
            if not run.open_watch.triggered("ZT 建仓", item.code, price):
                continue
            order_id = run.orders.new_order_id("base")
            request = PlaceOrderRequest(
                OP_BUY, item.code, volume, order_id, "zt", kind="base"
            )
            # 即使响应丢失，本轮也预留资金；状态簿只在取得实际成交后入账。
            available -= amount
            if run.orders.place(run.client, request):
                run.open_watch.forget(item.code)
                log.info("[ZT 建仓] %s 买入 %d 股，等待实际成交", item.code, volume)
        except Exception:
            log.exception("[ZT 建仓] %s 处理异常，继续后续信号", item.code)
    return available