fix trend,zt
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165
py-client/libs/order.py
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165
py-client/libs/order.py
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@@ -0,0 +1,165 @@
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"""策略共用委托簿。"""
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from __future__ import annotations
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import secrets
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from dataclasses import dataclass
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from datetime import datetime, timedelta
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from threading import Lock
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from cachelib import SimpleCache
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import logging
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import httpx
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from sdk import Client, ORDER_SIDE_BY_OFFSET, APIError, OrderItem
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# 表示委托仍在处理、可能继续成交的 QMT 状态。
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BUSY_STATUSES = {"48", "49", "50", "51", "52", "55"}
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COMPLETED_STATUSES = {"56"}
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TRACKED_STATUSES = BUSY_STATUSES | COMPLETED_STATUSES
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CANCELABLE_STATUSES = {"49", "50", "51", "52"}
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@dataclass(slots=True)
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class PlaceOrderRequest:
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"""``OrderBook.place`` 提交委托所需的全部参数。"""
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op: int
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code: str
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volume: int
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order_id: str
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strategy_name: str
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kind: str = ""
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class OrderBook:
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"""线程安全的活动委托缓存。"""
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def __init__(
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self, order_prefix: str, lock_timeout_sec: int = 180, cancel_timeout_sec: float = 10
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) -> None:
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self.order_prefix = order_prefix
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self.lock_timeout_sec = max(1, lock_timeout_sec)
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self.cancel_timeout_sec = timedelta(seconds=cancel_timeout_sec)
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self.data: list[OrderItem] = []
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self.busy_keys: set[str] = set()
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self.busy_cache = SimpleCache(
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threshold=10_000, default_timeout=self.lock_timeout_sec
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)
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self.mutex = Lock()
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def new_order_id(self, side: str) -> str:
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"""生成带策略前缀的本地订单号。"""
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return f"{self.order_prefix}-{side}-{secrets.token_hex(10)}"
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def busy(self, code: str, side: str) -> bool:
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"""判断证券是否存在仍在处理中的同方向委托。"""
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with self.mutex:
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key = self._busy_key(side, code)
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return key in self.busy_keys or self.busy_cache.has(key)
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@staticmethod
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def _busy_key(side: str, code: str) -> str:
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return f"{side}-{code}"
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def refresh(self, client: Client, orders: list[OrderItem]) -> None:
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"""用账户快照刷新委托，并撤销超时的活动委托。"""
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current = datetime.now()
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data: list[OrderItem] = []
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busy_keys: set[str] = set()
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canceled = 0
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for item in orders:
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# 不处理状态不对的
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if item.status not in TRACKED_STATUSES:
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continue
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if item.status in BUSY_STATUSES:
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busy_keys.add(self._busy_key(item.side, item.code))
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# 清理过期的
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if (
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item.created_at is not None
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and item.local_order_id.startswith(f"{self.order_prefix}-")
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and item.status in CANCELABLE_STATUSES
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and current - item.created_at > self.cancel_timeout_sec
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):
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try:
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client.cancel_by_id(item.id)
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canceled += 1
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logging.info(
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"[Order] 超时撤单，代码=%s，方向=%s，柜台订单=%s",
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item.code,
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item.side,
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item.id,
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)
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except Exception:
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logging.exception(
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"[Order] 撤单失败，保留在途状态，订单=%s", item.id
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)
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# 缓存本次有效订单
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data.append(item)
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with self.mutex:
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self.data = data
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self.busy_keys = busy_keys
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logging.info(
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"[Order] 刷新完成，跟踪=%d，处理中=%d，撤销=%d",
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len(data),
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len(busy_keys),
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canceled,
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)
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def place(self, client: Client, request: PlaceOrderRequest) -> bool:
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"""按最新价提交委托，并立即写入本地方向锁。"""
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side = ORDER_SIDE_BY_OFFSET.get(str(request.op), "")
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if not side:
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logging.warning(
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"[Order] 下单失败，代码=%s，原因=未知买卖方向(%s)",
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request.code,
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request.op,
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)
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return False
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key = self._busy_key(side, request.code)
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with self.mutex:
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if key in self.busy_keys or self.busy_cache.has(key):
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logging.info(
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"[Order] 跳过重复下单，代码=%s，方向=%s", request.code, side
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)
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return False
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self.busy_cache.set(key, True, timeout=self.lock_timeout_sec)
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try:
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result = client.passorder(
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op_type=request.op,
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stock_code=request.code,
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volume=request.volume,
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strategy_name=request.strategy_name,
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order_id=request.order_id,
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)
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except APIError as exc:
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logging.exception(
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"[Order] 下单失败，代码=%s，本地订单=%s，HTTP状态=%d，错误=%s",
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request.code,
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request.order_id,
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exc.status_code,
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exc.message or str(exc),
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)
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return False
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except (httpx.RequestError, ValueError):
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# 响应异常不能证明柜台未受理，保留缓存防重，不自动重试。
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logging.exception(
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"[Order] 下单请求或响应异常，代码=%s，本地订单=%s",
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request.code,
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request.order_id,
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)
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return False
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logging.info(
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"[Order] 下单已受理，代码=%s，方向=%s，数量=%d，本地订单=%s，返回=%s",
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request.code,
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side,
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request.volume,
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request.order_id,
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result,
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)
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return True
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39
py-client/libs/overview.py
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39
py-client/libs/overview.py
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@@ -0,0 +1,39 @@
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"""账户启动概览日志。"""
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import logging as log
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import config
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def Overview(assets, positions, account_cfg=None) -> None:
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"""记录策略启动时的账户、资金和持仓概览。"""
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account_cfg = account_cfg or config.account_config
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if account_cfg is not None:
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log.info(
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"[启动] 账户=%s，主机=%s，单笔金额=%.2f",
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account_cfg.account_id,
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account_cfg.host_key,
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account_cfg.buy_value,
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)
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if assets is not None:
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log.info("[启动] 总资产=%.2f，可用资金=%.2f", assets.total, assets.available)
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else:
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log.warning("[启动] 获取资金概览失败")
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for position in positions:
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if position.volume <= 0:
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continue
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log.info(
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"[启动] %s %s %s，持仓=%d，可用=%d，成本=%.2f(%.2f)，现价=%.2f，盈亏=%.2f%%",
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position.trade_id,
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position.stock_code,
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position.stock_name,
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position.volume,
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position.can_use_volume,
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position.open_price,
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position.open_cost,
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position.last_price,
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position.profit_rate * 100,
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)
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26
py-client/libs/runtime.py
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26
py-client/libs/runtime.py
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"""策略单次运行所需的公共上下文对象。"""
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from __future__ import annotations
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from concurrent.futures import ThreadPoolExecutor
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from dataclasses import dataclass
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from config import AccountConfig, GlobalConfig
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from sdk import Client
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from libs.grid_take_profit import GridTrailingTracker
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from libs.order import OrderBook
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from libs.watch import DipWatch
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@dataclass(slots=True)
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class Runtime:
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"""集中保存策略运行期间共享的客户端、配置和内存组件。"""
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client: Client
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global_cfg: GlobalConfig
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account_cfg: AccountConfig
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orders: OrderBook
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open_watch: DipWatch
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add_watch: DipWatch
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profit_tracker: GridTrailingTracker
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executor: ThreadPoolExecutor | None = None
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104
py-client/libs/watch.py
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104
py-client/libs/watch.py
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import logging as log
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from dataclasses import dataclass
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from datetime import datetime, timedelta
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from threading import Lock
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@dataclass(slots=True)
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class _Entry:
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last_close: float
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expires_at: datetime
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class DipWatch:
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"""观察价格低点，并在价格达到指定反弹幅度时触发。"""
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def __init__(
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self,
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expire_seconds: float = 300,
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rebound_threshold: float = 1.5, # 反弹力度 1.5%
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) -> None:
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self.expire_seconds = expire_seconds
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self.rebound_threshold = rebound_threshold
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self.data: dict[str, _Entry] = {}
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self.lock = Lock()
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def triggered(
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self,
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tag: str,
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code: str,
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price: float,
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now: datetime | None = None,
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) -> bool:
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"""更新观察价格；达到反弹阈值时返回 ``True``。"""
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if price <= 0:
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log.warning("[%s Watch] %s 价格无效：%.2f", tag, code, price)
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return False
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current = now or datetime.now()
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with self.lock:
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watch = self.data.get(code)
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if watch is None:
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self._start(code, price, current)
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log.info(
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"[%s Watch] %s 开始观察，收盘价=%.2f",
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tag,
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code,
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price,
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)
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return False
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if current >= watch.expires_at:
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self._start(code, price, current)
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log.info("[%sWatch] %s 观察已过期，重新观察，收盘价=%.2f", tag, code, price)
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return False
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if price < watch.last_close:
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old_price = watch.last_close
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self._start(code, price, current)
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log.info(
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"[%s Watch] %s 刷新低点，原收盘价=%.2f，新收盘价=%.2f",
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tag,
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code,
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old_price,
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price,
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)
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return False
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rebound = (price - watch.last_close) / watch.last_close * 100
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if rebound < self.rebound_threshold:
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log.info(
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"[%s Watch] %s 等待反弹，收盘价=%.2f，现价=%.2f，反弹=%.2f%%，阈值=%.2f%%",
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tag,
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code,
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watch.last_close,
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price,
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rebound,
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self.rebound_threshold,
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)
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return False
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del self.data[code]
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log.info(
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"[%s Watch] %s 反弹触发，收盘价=%.2f，现价=%.2f，反弹=%.2f%%",
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tag,
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code,
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watch.last_close,
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price,
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rebound,
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)
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return True
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def forget(self, code: str) -> None:
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"""清除指定股票的价格观察状态。"""
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with self.lock:
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removed = self.data.pop(code, None)
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if removed is not None:
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log.info("[Watch] %s 已清除观察状态", code)
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def _start(self, code: str, price: float, now: datetime) -> None:
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self.data[code] = _Entry(
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last_close=price,
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expires_at=now + timedelta(seconds=self.expire_seconds),
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)
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