fix state.py

py-client/strategy/trend/state.py

@@ -1,13 +1,11 @@
-"""简单成交账本：订单明确结束后一次记账，JSON 原子保存。"""
+"""底仓、补仓记录与待确认订单的 JSON 存储。"""
 
 from __future__ import annotations
 
 import json
 import logging as log
 import math
-import shutil
-import time
-from dataclasses import asdict, dataclass, field, replace
+from dataclasses import asdict, dataclass, replace
 from pathlib import Path
 from threading import RLock
 from typing import Iterable
@@ -21,26 +19,20 @@ TERMINAL_STATUSES = {"53", "54", "56", "57"}
 class StateItem:
     code: str
     base_order_id: str = ""
-    base_pre_qty: int =0
     base_qty: int = 0
     base_cost: float = 0.0
     added_order_id: str = ""
-    added_pre_qty: int =0
     added_num: int = 0
     added_qty: int = 0
-    added_amount: float = 0.0
-
-    @property
-    def added_cost(self) -> float:
-        return self.added_amount / self.added_qty if self.added_qty else 0.0
+    added_cost: float = 0.0
 
 
 @dataclass(frozen=True, slots=True)
 class PendingOrder:
     order_id: str
+    code: str
     kind: str
-    expected_qty: int
-    submitted_at: float = field(default_factory=time.time)
+    pre_qty: int
 
 
 class State:
@@ -48,154 +40,117 @@ class State:
         self.path = Path(path)
         self.lock = RLock()
         self.items: dict[str, StateItem] = {}
-        self.pending: dict[str, PendingOrder] = {}  # 每只证券最多一个待确认买单
-        self._dirty = False
-        self._next_warning = 0.0
+        self.pending: dict[str, PendingOrder] = {}
+        self.IsModify = False
         self._load()
 
+    def _load(self) -> None:
+        """启动时读取 JSON 中的持仓记录和待确认订单。"""
+        if self.path.is_file():
+            raw = json.loads(self.path.read_text(encoding="utf-8"))
+            self.items = {code: StateItem(**item) for code, item in raw["items"].items()}
+            self.pending = {code: PendingOrder(**item) for code, item in raw["pending"].items()}
+
     @classmethod
     def for_strategy(cls, data_dir: str | Path, strategy: str, account_id: str) -> State:
         return cls(Path(data_dir) / f"{strategy}_{account_id}_state.json")
 
-    @property
-    def codes(self) -> list[str]:
-        with self.lock:
-            return list(self.items)
-
     def get(self, code: str) -> StateItem:
         with self.lock:
-            return replace(self.items[code])
+            return self.items[code]
 
     def busy(self, code: str) -> bool:
         with self.lock:
             return code in self.pending
 
-    def begin(self, order_id: str, code: str, kind: str, expected_qty: int) -> bool:
-        if kind not in {"base", "add"} or type(expected_qty) is not int or expected_qty <= 0:
-            raise ValueError("订单类型或预开仓数量无效")
+    def new_order(self, order: PendingOrder) -> bool:
+        """提交前保存待确认订单，同一证券已有 pending 时跳过。"""
         with self.lock:
-            if code in self.pending or (kind == "base" and code in self.items):
+            if order.code in self.pending:
                 return False
-            if kind == "add" and code not in self.items:
-                raise ValueError("缺少底仓记录")
-            dirty = self._dirty
-            self.pending[code] = PendingOrder(order_id, kind, expected_qty)
-            self._dirty = True
+            was_modified = self.IsModify
+            self.pending[order.code] = order
+            self.IsModify = True
             try:
-                self.save()  # 必须成功落盘后才允许发送请求
+                self.save()
             except Exception:
-                self.pending.pop(code)
-                self._dirty = dirty
+                del self.pending[order.code]
+                self.IsModify = was_modified
                 raise
             return True
 
-    def reject(self, order_id: str) -> None:
-        """仅用于已明确未受理的请求。"""
-        with self.lock:
-            for code, pending in self.pending.items():
-                if pending.order_id == order_id:
-                    del self.pending[code]
-                    self._dirty = True
-                    self.save()
-                    return
-
     def reconcile(self, positions: Iterable[PositionItem], orders: list[OrderItem]) -> None:
+        """核对 pending 的订单结果，再导入/核对实际持仓。"""
         by_id: dict[str, dict[str, OrderItem]] = {}
         for order in orders:
-            if order.local_order_id and order.id:
+            if order.local_order_id:
                 by_id.setdefault(order.local_order_id, {})[order.id] = order
-        with self.lock:
-            for position in positions:
-                code = position.stock_code
-                if (code and code not in self.items and code not in self.pending
-                        and position.volume > 0 and math.isfinite(position.open_price)
-                        and position.open_price > 0):
-                    self.items[code] = StateItem(code, position.volume, position.open_price)
-                    self._dirty = True
 
-            now = time.time()
+        with self.lock:
             for code, pending in list(self.pending.items()):
-                rows = [o for o in by_id.get(pending.order_id, {}).values()
-                        if o.code == code and o.side == "BUY"]
-                filled = _finished_fill(rows, pending.expected_qty)
+                rows = [order for order in by_id.get(pending.order_id, {}).values()
+                        if order.code == code and order.side == "BUY"]
+                if not rows:
+                    del self.pending[code]
+                    self.IsModify = True
+                    log.info("[状态] 清理无对应订单的 pending，代码=%s，订单=%s", code, pending.order_id)
+                    continue
+                filled = _finished_fill(rows, pending.pre_qty)
                 if filled is None:
-                    if now >= self._next_warning and now - pending.submitted_at >= 180:
-                        log.warning("[状态] 订单待核查，代码=%s，订单=%s，计划=%d；保留防重",
-                                    code, pending.order_id, pending.expected_qty)
                     continue
                 qty, amount = filled
                 if qty:
-                    item = self.items.setdefault(code, StateItem(code))
+                    item = self.items.get(code, StateItem(code))
                     if pending.kind == "base":
-                        item.base_qty, item.base_cost = qty, amount / qty
+                        item = replace(item, base_order_id=pending.order_id,
+                                       base_qty=qty, base_cost=amount / qty)
                     else:
-                        item.added_num += 1
-                        item.added_qty += qty
-                        item.added_amount += amount
+                        total_qty = item.added_qty + qty
+                        total_amount = item.added_qty * item.added_cost + amount
+                        item = replace(item, added_order_id=pending.order_id,
+                                       added_num=item.added_num + 1,
+                                       added_qty=total_qty, added_cost=total_amount / total_qty)
+                    self.items[code] = item
                 del self.pending[code]
-                self._dirty = True
+                self.IsModify = True
                 log.info("[状态] 对账结束，代码=%s，订单=%s，计划=%d，成交=%d",
-                         code, pending.order_id, pending.expected_qty, qty)
-            if now >= self._next_warning:
-                self._next_warning = now + 180
-            self.save()  # 成交记账与移除 pending 在同一文件中原子提交
+                         code, pending.order_id, pending.pre_qty, qty)
+
+            for position in positions:
+                code = position.stock_code
+                if not code or position.volume <= 0:
+                    continue
+                if code not in self.items and code not in self.pending:
+                    self.items[code] = StateItem(code=code, base_order_id=position.trade_id,
+                                                base_qty=position.volume, base_cost=position.open_price)
+                    self.IsModify = True
+                elif code in self.items:
+                    item = self.items[code]
+                    if item.base_qty + item.added_qty != position.volume:
+                        log.info("[状态] 持仓数量差异，代码=%s，记录=%d，实际=%d",
+                                 code, item.base_qty + item.added_qty, position.volume)
+            self.save()
 
     def save(self) -> None:
         with self.lock:
-            if not self._dirty:
+            if not self.IsModify:
                 return
             self.path.parent.mkdir(parents=True, exist_ok=True)
             temporary = self.path.with_suffix(self.path.suffix + ".tmp")
-            payload = dict(version=3, items={k: asdict(v) for k, v in self.items.items()},
-                           pending={k: asdict(v) for k, v in self.pending.items()})
+            payload = dict(items={code: asdict(item) for code, item in self.items.items()},
+                           pending={code: asdict(item) for code, item in self.pending.items()})
             temporary.write_text(json.dumps(payload, ensure_ascii=False, indent=2, allow_nan=False) + "\n", encoding="utf-8")
             temporary.replace(self.path)
-            self._dirty = False
-
-    def _load(self) -> None:
-        try:
-            raw = json.loads(self.path.read_text(encoding="utf-8"))
-        except FileNotFoundError:
-            return
-        if raw.get("version") not in {2, 3}:
-            raise ValueError("仅支持 v2/v3 状态文件；旧格式请先核实转换，原文件未修改")
-        self.items = {k: StateItem(**v) for k, v in raw["items"].items()}
-        if raw["version"] == 3:
-            self.pending = {k: PendingOrder(**v) for k, v in raw["pending"].items()}
-            return
-        # v2 的未决订单可能已经增量记账，先撤回这部分，结束时再完整记一次。
-        for old in raw["pending"].values():
-            code = old["code"]
-            if code in self.pending:
-                raise ValueError(f"{code} 存在多个旧未决订单，请核查；原文件未修改")
-            item = self.items[code]
-            qty, amount = old.get("applied_qty", 0), old.get("applied_amount", 0.0)
-            if old["kind"] == "add":
-                item.added_qty -= qty
-                item.added_amount -= amount
-                item.added_num -= int(old.get("counted", False))
-            else:
-                base_amount = item.base_qty * item.base_cost - amount
-                item.base_qty -= qty
-                item.base_cost = base_amount / item.base_qty if item.base_qty else 0.0
-                if not item.base_qty and not item.added_qty:
-                    del self.items[code]
-            self.pending[code] = PendingOrder(old["order_id"], old["kind"], old["expected_qty"],
-                                              old.get("submitted_at", time.time()))
-        backup = self.path.with_suffix(self.path.suffix + ".v2.bak")
-        if not backup.exists():
-            shutil.copy2(self.path, backup)
-        self._dirty = True
-        self.save()
+            self.IsModify = False
 
 
-def _finished_fill(orders: list[OrderItem], expected_qty: int) -> tuple[int, float] | None:
-    """仅完整终态快照可记账；缺项、未成交完或金额未知均继续等待。"""
-    if not orders or expected_qty <= 0 or sum(o.volume for o in orders) != expected_qty:
+def _finished_fill(orders: list[OrderItem], pre_qty: int) -> tuple[int, float] | None:
+    """订单全部结束且成交金额完整后一次记账，部分成交撤单也按实计入。"""
+    if sum(order.volume for order in orders) != pre_qty:
         return None
     qty, amount = 0, 0.0
     for order in orders:
-        if (order.status not in TERMINAL_STATUSES or not 0 <= order.traded_volume <= order.volume
+        if (order.status not in TERMINAL_STATUSES
                 or (order.status == "56" and order.traded_volume != order.volume)):
             return None
         if order.traded_volume: