fix trend,zt

py-client/strategy/zt/state.py

@@ -35,7 +35,7 @@ class TStateItem:
 class PendingOrder:
     order_id: str
     code: str
-    kind: str                 # base：底仓；sell：做 T 卖出；buy：做 T 买回
+    kind: str  # base：底仓；sell：做 T 卖出；buy：做 T 买回
     qty: int
     trade_date: str
     submit_at: float = field(default_factory=time)
@@ -52,7 +52,9 @@ class TState:
         self._load()
 
     @classmethod
-    def for_strategy(cls, data_dir: str | Path, strategy: str, account_id: str) -> TState:
+    def for_strategy(
+        cls, data_dir: str | Path, strategy: str, account_id: str
+    ) -> TState:
         return cls(Path(data_dir) / f"{strategy}_{account_id}_state.json")
 
     def busy(self, code: str) -> bool:
@@ -69,7 +71,9 @@ class TState:
             del self.pending[order.order_id]
             raise
 
-    def reconcile(self, positions: list[PositionItem], orders: list[OrderItem], today: str) -> None:
+    def reconcile(
+        self, positions: list[PositionItem], orders: list[OrderItem], today: str
+    ) -> None:
         """先按实际成交记账，再接管未知持仓；不覆盖已记录的底仓成本。"""
         # 同一本地委托可能拆单；按券商订单号去重，数量齐全且全部结束才记账。
         by_id: dict[str, dict[str, OrderItem]] = {}
@@ -78,8 +82,11 @@ class TState:
                 by_id.setdefault(order.local_order_id, {})[order.id] = order
         for order_id, pending in list(self.pending.items()):
             side = "SELL" if pending.kind == "sell" else "BUY"
-            rows = [row for row in by_id.get(order_id, {}).values()
-                    if row.code == pending.code and row.side == side]
+            rows = [
+                row
+                for row in by_id.get(order_id, {}).values()
+                if row.code == pending.code and row.side == side
+            ]
             if not rows:
                 log.warning("[ZT 状态] 委托暂未查到，保留待确认：%s", order_id)
                 continue
@@ -87,11 +94,20 @@ class TState:
                 continue
             if any(row.status not in TERMINAL_STATUSES for row in rows):
                 continue
-            if any(row.status == "56" and row.traded_volume != row.volume for row in rows):
+            if any(
+                row.status == "56" and row.traded_volume != row.volume for row in rows
+            ):
                 continue
             qty = sum(row.traded_volume for row in rows)
-            amounts = [row.trade_amount if row.trade_amount > 0 else row.trade_price * row.traded_volume
-                       for row in rows if row.traded_volume > 0]
+            amounts = [
+                (
+                    row.trade_amount
+                    if row.trade_amount > 0
+                    else row.trade_price * row.traded_volume
+                )
+                for row in rows
+                if row.traded_volume > 0
+            ]
             if any(not math.isfinite(amount) or amount <= 0 for amount in amounts):
                 continue
             amount = sum(amounts)
@@ -108,31 +124,59 @@ class TState:
                 item.phase = SOLD if qty else READY
             else:
                 total = item.buy_qty + qty
-                item.buy_cost = (item.buy_qty * item.buy_cost + amount) / total if total else 0.0
+                item.buy_cost = (
+                    (item.buy_qty * item.buy_cost + amount) / total if total else 0.0
+                )
                 item.buy_qty = total
                 item.buy_order_id = order_id
                 item.phase = DONE if total >= item.sell_qty else SOLD
                 if item.phase == DONE:
                     item.trade_date = today
             # 零成交撤单也记录，保留计划、实际数量、均价和柜台终态。
-            self.records.append({**asdict(pending), "confirmed_date": today,
-                                 "filled_qty": qty, "filled_cost": cost,
-                                 "amount": amount, "statuses": [row.status for row in rows]})
+            self.records.append(
+                {
+                    **asdict(pending),
+                    "confirmed_date": today,
+                    "filled_qty": qty,
+                    "filled_cost": cost,
+                    "amount": amount,
+                    "statuses": [row.status for row in rows],
+                }
+            )
             del self.pending[order_id]
 
         for position in positions:
             code = position.stock_code
             if position.volume <= 0 or self.busy(code):
                 continue
-            if code not in self.items and math.isfinite(position.open_price) and position.open_price > 0:
-                self.items[code] = TStateItem(code, position.volume, position.open_price)
-                self.records.append({"kind": "import", "code": code, "date": today,
-                                     "filled_qty": position.volume, "filled_cost": position.open_price})
-                log.warning("[ZT 底仓] 首次接管 %s，使用当前均价，无法还原历史成本", code)
+            if (
+                code not in self.items
+                and math.isfinite(position.open_price)
+                and position.open_price > 0
+            ):
+                self.items[code] = TStateItem(
+                    code, position.volume, position.open_price
+                )
+                self.records.append(
+                    {
+                        "kind": "import",
+                        "code": code,
+                        "date": today,
+                        "filled_qty": position.volume,
+                        "filled_cost": position.open_price,
+                    }
+                )
+                log.warning(
+                    "[ZT 底仓] 首次接管 %s，使用当前均价，无法还原历史成本", code
+                )
 
         for item in self.items.values():
             # 未买回的轮次跨日继续，不删除零持仓的做 T 债务。
-            if item.trade_date != today and item.phase == DONE and not self.busy(item.code):
+            if (
+                item.trade_date != today
+                and item.phase == DONE
+                and not self.busy(item.code)
+            ):
                 item.phase, item.trade_date = READY, ""
                 item.sell_qty = item.buy_qty = 0
                 item.sell_price = item.buy_cost = 0.0
@@ -142,10 +186,15 @@ class TState:
     def save(self) -> None:
         self.path.parent.mkdir(parents=True, exist_ok=True)
         temporary = self.path.with_suffix(self.path.suffix + ".tmp")
-        payload = {"items": {key: asdict(item) for key, item in self.items.items()},
-                   "pending": {key: asdict(item) for key, item in self.pending.items()},
-                   "records": self.records}
-        temporary.write_text(json.dumps(payload, ensure_ascii=False, indent=2, allow_nan=False) + "\n", encoding="utf-8")
+        payload = {
+            "items": {key: asdict(item) for key, item in self.items.items()},
+            "pending": {key: asdict(item) for key, item in self.pending.items()},
+            "records": self.records,
+        }
+        temporary.write_text(
+            json.dumps(payload, ensure_ascii=False, indent=2, allow_nan=False) + "\n",
+            encoding="utf-8",
+        )
         temporary.replace(self.path)
 
     def _load(self) -> None:
@@ -153,12 +202,18 @@ class TState:
             return
         raw = json.loads(self.path.read_text(encoding="utf-8"))
         # 兼容原 ZT 文件，保留原底仓成本；没有额外版本字段。
-        self.items = {code: TStateItem(**item) for code, item in raw.get("items", raw).items()}
-        self.pending = {key: PendingOrder(**item) for key, item in raw.get("pending", {}).items()}
+        self.items = {
+            code: TStateItem(**item) for code, item in raw.get("items", raw).items()
+        }
+        self.pending = {
+            key: PendingOrder(**item) for key, item in raw.get("pending", {}).items()
+        }
         self.records = raw.get("records", [])
         if "items" not in raw:
             # 旧记录只有提交行情价，不把它伪装成真实成交历史。
             self.records.append({"kind": "legacy_import", "items": raw})
             for item in self.items.values():
                 if item.phase in {"SELLING", "BUYING", SOLD}:
-                    raise ValueError(f"[ZT 状态] {item.code} 旧做 T 轮次未结束，需先核对成交再迁移")
+                    raise ValueError(
+                        f"[ZT 状态] {item.code} 旧做 T 轮次未结束，需先核对成交再迁移"
+                    )