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

"""趋势策略持仓止盈与分级补仓。"""

from dataclasses import dataclass

from libs.calc import calc_buy_volume, calculate_min_profit_rate
from libs.grid_take_profit import GridState
from sdk import OP_BUY, OP_SELL, PositionItem, Tick
from libs.state import State
from libs.order import PlaceOrderRequest
from libs.runtime import Runtime
import logging as log

LOSS_TIERS = -30.0


@dataclass(slots=True)
class TradeDecision:
    """一次止盈或补仓判断的统一结果。"""

    submitted: bool
    message: str = ""
    reserved_cash: float = 0.0


def manage_positions(
    runtime: Runtime,
    ticks: dict[str, Tick],
    positions: list[PositionItem],
    market_ok: bool,
    available: float,
    state:State,
) -> None:
    # 遍历处理每个持仓
    for position in positions:
        try:
            available = max(0, available)
            code = position.stock_code
            tick = ticks.get(code)
            if code in runtime.account_cfg.excluded_codes:
                log.info(
                    "[Position - ] 代码=%s，名称=%s，止盈=跳过，补仓=跳过，原因=已配置为排除股票",
                    code,
                    position.stock_name,
                )
                continue
            if (
                not code
                or position.open_price <= 0
                or position.volume <= 0
                or tick is None
                or tick.last_price <= 0
            ):
                log.warning(
                    "[Position - ] 代码=%s，名称=%s，止盈=跳过，补仓=跳过，原因=持仓或行情数据无效",
                    code or "未知",
                    position.stock_name,
                )
                continue

            posState = state.get_by_code(position.stock_code)
            if not posState:
                continue

            volume = position.can_use_volume
            cost_price = position.open_price
            if posState.get('added_qty',0) >=100:
                volume = posState.get('added_qty',0)
                cost_price = posState.get('added_price',0)


            pnl_rate = round(
                (tick.last_price - cost_price) / cost_price * 100,
                2,
            )
            minimum_profit = calculate_min_profit_rate(cost_price, 1)
            profit_decision = handle_profit(
                runtime=runtime,
                stock_code=position.stock_code,
                volume=volume,
                tick=tick,
                pnl_rate=pnl_rate,
                minimum_profit=minimum_profit,
            )
            profit_action = profit_decision.message or "未触发"
            loss_add_action = "未启用"
            if runtime.account_cfg.enable_loss_add_position and market_ok:
                loss_decision = handle_loss(
                    runtime=runtime,
                    position=position,
                    tick=tick,
                    pnl_rate=pnl_rate,
                    available=available,
                )
                available = available - loss_decision.reserved_cash
                loss_add_action = loss_decision.message or "未触发"
            elif runtime.account_cfg.enable_loss_add_position:
                loss_add_action = "大盘信号不允许"

            strTag = "-"
            if pnl_rate >= minimum_profit:
                strTag = "↑"
            elif pnl_rate< LOSS_TIERS[0]:
                strTag = "↓"

            if strTag != "-":
                log.info(
                    "[Position %s ] %s %s，盈亏=%.2f%%，止盈=%s，补仓=%s",
                    strTag,
                    code,
                    position.stock_name,
                    pnl_rate,
                    profit_action,
                    loss_add_action,
                )
        except Exception:
            log.exception(
                "[Position] 持仓处理异常，代码=%s，继续处理后续持仓",
                position.stock_code,
            )


def handle_profit(
    runtime: Runtime,
    stock_code: str,
    volume:int,
    tick: Tick,
    pnl_rate: float,
    minimum_profit: float,
) -> TradeDecision:
    """基于跨轮保存的最高盈利网格判断是否提交止盈。"""
    if pnl_rate < minimum_profit:
        return TradeDecision(False)

    key = _position_key(runtime, stock_code)
    observation = runtime.profit_tracker.observe(key, pnl_rate)
    if observation.state == GridState.ARMED:
        return TradeDecision(
            False,
            f"首次, PNL:{pnl_rate:.2f}%，网格={observation.current_grid}",
        )
    if observation.state == GridState.RAISED:
        return TradeDecision(
            False,
            f"突破, PNL:{pnl_rate:.2f}%，网格={observation.current_grid}",
        )
    if observation.state == GridState.STEADY:
        return TradeDecision(False,f"持平, PNL:{pnl_rate:.2f}%，网格={observation.current_grid}",)
    if runtime.orders.busy(stock_code, "SELL"):
        return TradeDecision(False, "卖出委托处理中")

    volume = volume % 100
    if volume <= 0:
        return TradeDecision(False, "无可用整手持仓")
    order_id = runtime.orders.new_order_id("zt","SELL")
    request = PlaceOrderRequest(
        op=OP_SELL,
        code=stock_code,
        volume=volume,
        order_id=order_id,
        strategy_name=runtime.account_cfg.strategy,
    )
    if not runtime.orders.place(runtime.client, request):
        return TradeDecision(False, "止盈委托失败")

    return TradeDecision(True, f"[止盈卖出] {volume} 股，订单={order_id}")


def handle_loss(
    runtime: Runtime,
    stock_code: str,
    volume:int,
    tick: Tick,
    pnl_rate: float,
    available: float,
) -> TradeDecision:
    """按亏损档位、反弹确认和本轮剩余预算提交补仓。"""
    if pnl_rate > LOSS_TIERS:
        return TradeDecision(False)
    if not runtime.add_watch.triggered("补仓", stock_code, tick.last_price):
        return TradeDecision(False, "等待价格反弹确认")
    if runtime.orders.busy(stock_code, "BUY"):
        return TradeDecision(False, "买入委托处理中")

    volume = calc_buy_volume(tick.last_price, runtime.account_cfg.buy_value)
    amount = tick.last_price * volume
    if volume <= 0 or amount > available:
        return TradeDecision(False, "本轮可用资金不足")

    order_id = runtime.orders.new_order_id("zt","added")
    request = PlaceOrderRequest(
        op=OP_BUY,
        code=stock_code,
        volume=volume,
        order_id=order_id,
        strategy_name=runtime.account_cfg.strategy,
        kind="add",
    )

    if not runtime.orders.place(runtime.client, request):
        return TradeDecision(False, "补仓订单委托失败")

    runtime.add_watch.forget(position.stock_code)
    return TradeDecision(True, f"[补仓买入] {volume} 股，订单={order_id}", amount)


def _position_key(runtime: Runtime, code: str) -> str:
    return f"{runtime.account_cfg.account_id}:{code}"


def get_add_num(hands: int, market_value: float) -> int:
    if market_value > 10000:
        return -1
    if hands < 2:
        return 0
    return -1