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

"""趋势策略启动器。

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

from __future__ import annotations

import time
import logging as log
from concurrent.futures import Future, ThreadPoolExecutor
from datetime import datetime

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


def Overview(assets, positions, account_cfg=None) -> None:
    """记录策略启动时的账户、资金和持仓概览。"""
    account_cfg = account_cfg or config.account_config

    if account_cfg is not None:
        log.info("[启动] 账户=%s，主机=%s，单笔金额=%.2f", account_cfg.account_id, account_cfg.host_key, account_cfg.buy_value)

    if assets is not None:
        log.info("[启动] 总资产=%.2f，可用资金=%.2f", assets.total, assets.available)
    else:
        log.warning("[启动] 获取资金概览失败")

    for position in positions:
        if position.volume <= 0:
            continue
        log.info("[启动] %s %s，持仓=%d，可用=%d，成本=%.2f，现价=%.2f，盈亏=%.2f%%", position.stock_code, position.stock_name, position.volume, position.can_use_volume, position.open_price, position.last_price, position.profit_rate * 100)



def StartTrend() -> None:
    """初始化趋势策略，并以 30 秒间隔持续执行。"""
    client = Client(
        config.global_config.qmt_base_url,
        config.global_config.qmt_token,
        config.HTTP_TIMEOUT,
    )
    executor = None
    try:
        portfolio = client.portfolio()
        assets = portfolio.assets
        positions = list(portfolio.positions.values())
        storeState = State.for_strategy(
            config.global_config.qmt_data_dir,
            config.account_config.strategy,
            config.account_config.account_id,
        )
        order_book = OrderBook(state=storeState)
        order_book.refresh(client, portfolio.orders)
        storeState.reconcile(positions, portfolio.orders)

        # 获取本策略的信号开仓数据
        signals = init_signals(
            config.global_config,
            config.account_config.signal_allow,
        )
        log.info("[启动] 趋势策略已启动，账户=%s，信号=%d，持仓=%d", config.account_config.account_id, len(signals), len(positions))
        executor = ThreadPoolExecutor(max_workers=3, thread_name_prefix="trend")
        run = Runtime(
            client=client,
            global_cfg=config.global_config,
            account_cfg=config.account_config,
            state=storeState,
            orders=order_book,
            open_watch=DipWatch(),
            add_watch=DipWatch(),
            profit_tracker=GridTrailingTracker(config.account_config.grid_step_pct),
            executor=executor,
        )

        Overview(assets, positions, config.account_config)

        DEFAULT_TICK_INTERVAL = 30
        while True:
            lt = time.localtime()
            if (lt.tm_hour, lt.tm_min, lt.tm_sec) >= (15, 0, 0):
                log.info("[Trend] 已到 15:00，结束趋势策略")
                return
            current_sec = lt.tm_sec

            # 计算距离下一个目标时间点（0秒或30秒）的等待时间
            if current_sec < DEFAULT_TICK_INTERVAL:
                wait_seconds = DEFAULT_TICK_INTERVAL - current_sec
            elif current_sec < 60:
                wait_seconds = 60 - current_sec
            else:
                wait_seconds = DEFAULT_TICK_INTERVAL

            # 等待到目标时间点
            time.sleep(wait_seconds)

            # 单轮失败不能杀死唯一的交易定时线程。
            try:
                RunOnce(run, signals)
            except Exception as e:
                log.error(f"[Trend] 本 tick 执行失败，下一 tick 继续: {e}", exc_info=True)
    finally:
        try:
            if executor is not None:
                executor.shutdown(wait=True)
        finally:
            client.close()


def RunOnce(run: Runtime, signals:list[SignalItem]) -> None:
    """按固定步骤执行一轮趋势策略， ``RunOnce``。"""
    if not trading_time(datetime.now()):
        return

    print("=" * 40 + f" Ticker {datetime.now().strftime('%Y-%m-%d %H:%M:%S')} " +"=" * 40)
    
    started_at = time.monotonic()

    # 1. 一次获取资产、持仓和订单，并清理过期订单。
    try:
        portfolio = run.client.portfolio()
        assets = portfolio.assets
        position_codes = list(portfolio.positions)
        positions = list(portfolio.positions.values())
        run.orders.refresh(run.client, portfolio.orders)
    except Exception:
        log.exception("[Portfolio] 刷新账户快照失败")
        return

    futures: list[tuple[str, Future]] = [
            (
                "数据提交",
                run.executor.submit(
                    collector_push,
                    run.account_cfg.account_id,
                    assets,
                    positions,
                ),
            )
        ]

    # 2. 验证可用资金；低于资金安全线时禁止开新仓。
    allow_open_by_cash = assets.available >= assets.total * run.account_cfg.min_cash_ratio
    if not allow_open_by_cash:
        log.info("[Status] 禁止开仓：可用资金不足，可用=%.2f，总资产=%.2f", assets.available, assets.total)

    # 3. 获取大盘状态，只有大盘信号允许时才执行开仓。
    market_ok = market_allow_open()

    # 4. 验证有效开仓信号：排除已有持仓和未决订单。
    allow_open: list[SignalItem] = []
    allow_codes: list[str] = []
    for signal in signals:
        if signal.code not in position_codes:
            allow_open.append(signal)
            allow_codes.append(signal.code)

    if allow_open and not market_ok:
        log.info("[开仓] 禁止开仓：大盘信号不允许，候选=%d", len(allow_open))

    # 5. 获取持仓和待开仓证券的实时行情 tick。
    all_codes = list(dict.fromkeys(position_codes + allow_codes))
    try:
        ticks = run.client.full_tick(all_codes)
    except Exception:
        log.exception("[行情] 获取行情失败，代码数量=%d", len(all_codes))
        return

    # 6. 更新状态机
    try:
        run.state.reconcile(positions, portfolio.orders)
    except Exception:
        log.exception("[状态] 订单状态对账失败")
        return

    log.info("[RunOnce] 本轮就绪，持仓=%d，候选=%d，大盘允许=%s，资金允许=%s", len(positions), len(allow_open), market_ok, allow_open_by_cash)
    
    # 启动线程，开始计算
    # 7. 持仓计算。
    futures.append(("持仓计算",run.executor.submit(manage_positions,run,ticks,positions,market_ok,assets.available)))

    # 8. 开仓计算：必须同时存在有效信号且大盘允许开仓。
    if allow_open and market_ok and allow_open_by_cash:
        futures.append(("开仓计算", run.executor.submit(open_signal, run, ticks, allow_open)))

    # 9. 开始执行
    for name, future in futures:
        _wait_worker(name, future)
    log.info("[RunOnce] 本轮完成，耗时=%d毫秒", int((time.monotonic() - started_at) * 1000))


def _wait_worker(name: str, future: Future) -> None:
    """保留单轮继续运行的语义，分别记录工作线程异常。"""
    try:
        future.result()
    except Exception:
        log.exception("[运行] %s线程失败", name)