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

"""使用 dcm 信号建立做 T 底仓。"""

from __future__ import annotations

from datetime import datetime
import logging as log
import math

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


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.signal_key != "dcm" or item.code in run.account_cfg.excluded_codes:
                continue
            state = run.state.items.get(item.code)
            if state is not None and state.base_qty > 0:
                continue
            # 1. 验证信号配置允许开仓的时间区间。
            signal_config = run.global_cfg.signals.get("dcm")
            if signal_config is None or not check_timezone(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.state.busy(item.code) or run.orders.busy(item.code, "BUY") or run.orders.busy(item.code, "SELL"):
                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 else 0.0
            if not math.isfinite(price) or price <= 0 or price > run.account_cfg.zt_max_price:
                continue
            # 4. 根据单笔买入金额计算整手开仓数量，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
            # 5. 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")
            run.state.new_order(PendingOrder(order_id, item.code, "base", volume, datetime.now().date().isoformat()))
            # 即使响应丢失，也保留资金预算和 pending，不能继续使用这笔钱。
            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


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


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