optz print.
This commit is contained in:
@@ -33,7 +33,7 @@ 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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self, order_prefix: str, lock_timeout_sec: int = 180, cancel_timeout_sec: float = 30
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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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@@ -1,159 +0,0 @@
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"""SQLite positions and deals, aligned with SDK models; one writer per database."""
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import math
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import sqlite3
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from contextlib import closing
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from dataclasses import asdict, fields
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from datetime import datetime
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from pathlib import Path
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from itertools import chain
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from sdk import DealItem, PositionItem
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SCHEMA = """
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CREATE TABLE IF NOT EXISTS positions (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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stock_code TEXT NOT NULL,
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stock_name TEXT NOT NULL DEFAULT '',
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direction INTEGER,
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volume INTEGER NOT NULL DEFAULT 0 CHECK (volume >= 0),
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open_price REAL NOT NULL DEFAULT 0,
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open_cost REAL NOT NULL DEFAULT 0,
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float_profit REAL NOT NULL DEFAULT 0,
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market_value REAL NOT NULL DEFAULT 0,
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stock_holder TEXT NOT NULL DEFAULT '',
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frozen_volume INTEGER NOT NULL DEFAULT 0,
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can_use_volume INTEGER NOT NULL DEFAULT 0,
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on_road_volume INTEGER NOT NULL DEFAULT 0,
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yesterday_volume INTEGER NOT NULL DEFAULT 0,
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last_price REAL NOT NULL DEFAULT 0,
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profit_rate REAL NOT NULL DEFAULT 0,
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future_trade_type INTEGER,
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expire_date TEXT NOT NULL DEFAULT ''
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);
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CREATE UNIQUE INDEX IF NOT EXISTS idx_positions_stock_code ON positions (stock_code);
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CREATE TABLE IF NOT EXISTS deals (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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stock_code TEXT NOT NULL,
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order_sys_id TEXT NOT NULL CHECK (order_sys_id <> ''),
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order_local_id TEXT NOT NULL CHECK (order_local_id <> ''),
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ref INTEGER NOT NULL DEFAULT 0,
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order_ref TEXT NOT NULL DEFAULT '',
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direction INTEGER NOT NULL DEFAULT 0,
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offset_flag INTEGER NOT NULL CHECK (offset_flag IN (23, 24, 48, 49)),
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price REAL NOT NULL CHECK (price >= 0),
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volume INTEGER NOT NULL CHECK (volume > 0),
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trade_amount REAL NOT NULL CHECK (trade_amount > 0),
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trade_date TEXT NOT NULL,
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trade_time TEXT NOT NULL,
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remark TEXT NOT NULL DEFAULT '',
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close_profit REAL NOT NULL DEFAULT 0
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);
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CREATE UNIQUE INDEX IF NOT EXISTS idx_deals_order_sys_id ON deals (order_sys_id);
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CREATE INDEX IF NOT EXISTS idx_deals_order_ref ON deals (order_local_id);
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CREATE INDEX IF NOT EXISTS idx_deals_stock_code_date ON deals (stock_code);
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CREATE INDEX IF NOT EXISTS idx_deals_date_time ON deals (trade_date);
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"""
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# SQL is assembled once; order_local_id is derived from the SDK remark property.
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POSITION_FIELDS = tuple(field.name for field in fields(PositionItem))
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DEAL_FIELDS = tuple(field.name for field in fields(DealItem)) + ('order_local_id',)
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POSITION_DEFAULTS = asdict(PositionItem())
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POSITION_UPSERT = (
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f"INSERT INTO positions ({', '.join(POSITION_FIELDS)}) "
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f"VALUES ({', '.join(':' + key for key in POSITION_FIELDS)}) "
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"ON CONFLICT(stock_code) DO UPDATE SET "
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+ ', '.join(f'{key} = excluded.{key}' for key in POSITION_FIELDS if key != 'stock_code')
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)
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DEAL_INSERT = (
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f"INSERT INTO deals ({', '.join(DEAL_FIELDS)}) "
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f"VALUES ({', '.join(':' + key for key in DEAL_FIELDS)})"
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)
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class OrderBook:
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"""Position snapshots and append-only deals. No schema migration."""
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def __init__(self, path: str | Path) -> None:
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self.path = Path(path)
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self.positions: dict[str, dict] = {}
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self.deals: dict[str, dict] = {}
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self.deals_sys_ids: set[str] = set()
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self.path.parent.mkdir(parents=True, exist_ok=True)
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with closing(self._connect()) as db:
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db.executescript(SCHEMA)
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self.load()
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def _connect(self) -> sqlite3.Connection:
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db = sqlite3.connect(self.path, timeout=30)
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db.row_factory = sqlite3.Row
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return db
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def load(self) -> None:
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with closing(self._connect()) as db, db:
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db.execute('BEGIN')
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positions = {row['stock_code']: dict(row) for row in db.execute('SELECT * FROM positions')}
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deals = {row['order_sys_id']: dict(row) for row in db.execute('SELECT * FROM deals ORDER BY id')}
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self.positions = positions
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self.deals = deals
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self.deals_sys_ids = set(deals)
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@staticmethod
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def deal_record(deal: DealItem) -> dict:
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if not deal.order_sys_id or deal.volume <= 0:
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raise ValueError('System order ID and positive volume are required')
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row = asdict(deal)
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row['order_local_id'] = deal.local_order_id
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if not row['order_local_id']:
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raise ValueError('Local order ID is required')
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if any(isinstance(value, float) and not math.isfinite(value) for value in row.values()):
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raise ValueError('Numeric values must be finite')
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amount = deal.trade_amount if deal.trade_amount > 0 else deal.price * deal.volume
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if not math.isfinite(amount) or amount <= 0:
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raise ValueError('Trade amount must be positive and finite')
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row['trade_amount'] = amount
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date = deal.trade_date or datetime.now().date().isoformat()
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if len(date) == 8 and date.isdigit():
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date = f'{date[:4]}-{date[4:6]}-{date[6:]}'
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row['trade_date'] = date
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return row
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def sync_deals(self, deals: list[DealItem]) -> None:
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new_deals = {}
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for deal in deals:
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if deal.order_sys_id not in self.deals_sys_ids and deal.order_sys_id not in new_deals:
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new_deals[deal.order_sys_id] = self.deal_record(deal)
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if not new_deals:
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return
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with closing(self._connect()) as db, db:
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db.executemany(DEAL_INSERT, new_deals.values())
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self.load()
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def sync_positions(self, positions: list[PositionItem]) -> None:
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"""Replace the complete position snapshot, retaining IDs for existing stocks."""
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self.save({item.stock_code: asdict(item) for item in positions})
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def save(self, items: dict, deals: list[dict] | None = None) -> None:
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"""保存持仓快照，可同时追加成交；省略 deals 时仅更新持仓。"""
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new_deals = []
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if deals is not None:
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if len(deals) < len(self.deals):
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raise ValueError('Execution history is append-only')
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new_deals = deals[len(self.deals):]
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positions = [{**POSITION_DEFAULTS, **item} for item in items.values()]
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for row in chain(positions, new_deals):
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if any(isinstance(value, float) and not math.isfinite(value) for value in row.values()):
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raise ValueError('Numeric values must be finite')
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with closing(self._connect()) as db, db:
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removed = [
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(row['stock_code'],)
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for row in db.execute('SELECT stock_code FROM positions')
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if row['stock_code'] not in items
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]
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db.executemany('DELETE FROM positions WHERE stock_code = ?', removed)
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db.executemany(POSITION_UPSERT, positions)
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db.executemany(DEAL_INSERT, new_deals)
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self.load()
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259
py-client/libs/state.py
Normal file
259
py-client/libs/state.py
Normal file
@@ -0,0 +1,259 @@
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"""SQLite 策略状态与成交存储；每个数据库仅使用一个写入者，不做数据迁移。"""
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import math
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import json
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import logging as log
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import sqlite3
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from contextlib import closing
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from dataclasses import asdict, dataclass
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from datetime import datetime
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from pathlib import Path
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from sdk import DealItem, PositionItem
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SCHEMA = """
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-- 策略状态：base_ 表示底仓，added_ 表示补仓。
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CREATE TABLE IF NOT EXISTS state (
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id INTEGER PRIMARY KEY AUTOINCREMENT, -- 状态记录主键
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stock_code TEXT NOT NULL, -- 证券代码
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status TEXT NOT NULL DEFAULT '', -- 策略状态，由策略定义取值
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base_order_local_id TEXT NOT NULL DEFAULT '', -- 底仓本地委托编号
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base_qty INTEGER NOT NULL DEFAULT 0 CHECK (base_qty >= 0), -- 底仓数量
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base_price REAL NOT NULL DEFAULT 0, -- 底仓价格
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base_created_at TEXT NOT NULL DEFAULT '', -- 底仓创建时间
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added_order_local_id TEXT NOT NULL DEFAULT '', -- 补仓本地委托编号
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added_qty INTEGER NOT NULL DEFAULT 0 CHECK (added_qty >= 0), -- 补仓数量
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added_price REAL NOT NULL DEFAULT 0, -- 补仓价格
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added_created_at TEXT NOT NULL DEFAULT '' -- 补仓创建时间
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);
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-- 每个证券仅保留一条策略状态。
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CREATE UNIQUE INDEX IF NOT EXISTS idx_state_stock_code ON state (stock_code);
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-- 首次归档前的持仓基准，清仓后仍保留，供迟到成交按时间重算。
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CREATE TABLE IF NOT EXISTS state_origin (
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stock_code TEXT PRIMARY KEY, -- 证券代码
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snapshot TEXT NOT NULL -- 初始持仓字段的 JSON 快照
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);
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-- 成交记录独立保存，不随状态删除。
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CREATE TABLE IF NOT EXISTS deals (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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stock_code TEXT NOT NULL,
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order_sys_id TEXT NOT NULL CHECK (order_sys_id <> ''),
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order_local_id TEXT NOT NULL CHECK (order_local_id <> ''),
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ref INTEGER NOT NULL DEFAULT 0,
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order_ref TEXT NOT NULL DEFAULT '',
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direction INTEGER NOT NULL DEFAULT 0,
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offset_flag INTEGER NOT NULL CHECK (offset_flag IN (23, 24, 48, 49)),
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price REAL NOT NULL CHECK (price >= 0),
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volume INTEGER NOT NULL CHECK (volume > 0),
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trade_amount REAL NOT NULL CHECK (trade_amount > 0),
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trade_date TEXT NOT NULL,
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trade_time TEXT NOT NULL,
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remark TEXT NOT NULL DEFAULT '',
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close_profit REAL NOT NULL DEFAULT 0,
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is_arch INTEGER DEFAULT 0
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);
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CREATE UNIQUE INDEX IF NOT EXISTS idx_deals_order_sys_id ON deals (order_sys_id);
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CREATE INDEX IF NOT EXISTS idx_deals_order_ref ON deals (order_local_id);
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CREATE INDEX IF NOT EXISTS idx_deals_stock_code_date ON deals (stock_code);
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CREATE INDEX IF NOT EXISTS idx_deals_date_time ON deals (trade_date);
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"""
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@dataclass(slots=True)
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class StateItem:
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"""策略状态字段；同步账户底仓时无法获知的委托编号留空。"""
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stock_code: str = '' # 证券代码
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status: str = '' # 策略状态
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base_order_local_id: str = '' # 底仓本地委托编号
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base_qty: int = 0 # 底仓数量
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base_price: float = 0.0 # 底仓价格
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base_created_at: str = '' # 底仓创建时间
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added_order_local_id: str = '' # 补仓本地委托编号
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added_qty: int = 0 # 补仓数量
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added_price: float = 0.0 # 补仓价格
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added_created_at: str = '' # 补仓创建时间
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class State:
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"""保存策略状态和只追加的成交记录，仅创建新表，不迁移旧数据。"""
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def __init__(self, path: str | Path) -> None:
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self.path = Path(path)
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self.state: dict[str, dict] = {}
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self.deals: dict[str, dict] = {}
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self.deals_sys_ids: set[str] = set()
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self.path.parent.mkdir(parents=True, exist_ok=True)
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with closing(self._connect()) as db:
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db.executescript(SCHEMA)
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self.load()
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def _connect(self) -> sqlite3.Connection:
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db = sqlite3.connect(self.path, timeout=30)
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db.row_factory = sqlite3.Row
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return db
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def load(self) -> None:
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"""从数据库刷新状态、成交及去重缓存。"""
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with closing(self._connect()) as db, db:
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db.execute('BEGIN')
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state = {row['stock_code']: dict(row) for row in db.execute('SELECT * FROM state')}
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deals = {row['order_sys_id']: dict(row) for row in db.execute('SELECT * FROM deals ORDER BY id')}
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self.state = state
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self.deals = deals
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self.deals_sys_ids = set(deals)
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def sync_deals(self, deals: list[DealItem]) -> None:
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"""按系统成交编号去重，整批写入成功后刷新缓存。"""
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new_deals = {}
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for deal in deals:
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if deal.order_sys_id not in self.deals_sys_ids and deal.order_sys_id not in new_deals:
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new_deals[deal.order_sys_id] = deal
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if not new_deals:
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return
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with closing(self._connect()) as db, db:
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for deal in new_deals.values():
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order_id = deal.get_local_order_id
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if not order_id:
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raise ValueError('Local order ID is required')
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amount = deal.trade_amount if deal.trade_amount > 0 else deal.price * deal.volume
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if not math.isfinite(amount) or amount <= 0:
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raise ValueError('Trade amount must be positive and finite')
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date = deal.trade_date or datetime.now().date().isoformat()
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if len(date) == 8 and date.isdigit():
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date = f'{date[:4]}-{date[4:6]}-{date[6:]}'
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# 直接读取模型字段，金额和日期的补全不修改传入模型。
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db.execute(
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'INSERT INTO deals (stock_code, order_sys_id, order_local_id, ref, '
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'order_ref, direction, offset_flag, price, volume, trade_amount, '
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'trade_date, trade_time, remark, close_profit) '
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'VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?)',
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(deal.stock_code, deal.order_sys_id, order_id, deal.ref,
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deal.order_ref, deal.direction, deal.offset_flag, deal.price, deal.volume,
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amount, date, deal.trade_time, deal.remark, deal.close_profit),
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)
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self.load()
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def archiving(self) -> dict[str, str]:
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"""按证券从持仓基准重放成交；失败证券保留未归档记录并返回原因。"""
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errors = {}
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with closing(self._connect()) as db, db:
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db.execute('BEGIN IMMEDIATE')
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codes = db.execute(
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'SELECT DISTINCT stock_code FROM deals WHERE is_arch = 0 AND offset_flag IN (48, 49)'
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).fetchall()
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for entry in codes:
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code = entry['stock_code']
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db.execute('SAVEPOINT archive_stock')
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try:
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current = db.execute('SELECT * FROM state WHERE stock_code = ?', (code,)).fetchone()
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origin = db.execute('SELECT snapshot FROM state_origin WHERE stock_code = ?', (code,)).fetchone()
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if origin is None:
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# 没有旧基准时不能用已归档后的持仓反推历史，不做数据迁移。
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if db.execute(
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'SELECT 1 FROM deals WHERE stock_code = ? AND is_arch = 1 LIMIT 1', (code,)
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).fetchone():
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raise ValueError('Missing holding baseline for archived history')
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state = dict(current) if current else asdict(StateItem(stock_code=code))
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db.execute('INSERT INTO state_origin VALUES (?, ?)', (code, json.dumps(state)))
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else:
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state = json.loads(origin['snapshot'])
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# 数量相等的初始买入视为已包含在快照中，只匹配一次。
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snapshot_qty = state['base_qty'] + state['added_qty']
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covered = False
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deals = db.execute(
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'SELECT * FROM deals WHERE stock_code = ? AND offset_flag IN (48, 49) '
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"ORDER BY trade_date, REPLACE(trade_time, ':', ''), id", (code,)
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).fetchall()
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for deal in deals:
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qty = deal['volume']
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if deal['offset_flag'] == 48:
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if not covered and snapshot_qty == qty:
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covered = True
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continue
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covered = True
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total = state['added_qty'] + qty
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state['added_price'] = (
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state['added_qty'] * state['added_price'] + deal['trade_amount']
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) / total
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state['added_qty'] = total
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state['added_order_local_id'] = deal['order_local_id']
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state['added_created_at'] = f"{deal['trade_date']} {deal['trade_time']}".strip()
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else:
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# 卖出之后的买入属于新交易，不再与初始快照匹配。
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covered = True
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total = state['base_qty'] + state['added_qty']
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if qty > total:
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raise ValueError(f'Sell volume {qty} exceeds recorded holdings {total}')
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if qty < state['added_qty']:
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state['added_qty'] -= qty
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else:
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state['base_qty'] = total - qty
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state['added_qty'] = 0
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state['added_price'] = 0.0
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state['added_order_local_id'] = state['added_created_at'] = ''
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if state['base_qty'] + state['added_qty'] == 0:
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state = asdict(StateItem(stock_code=code))
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if state['base_qty'] + state['added_qty'] == 0:
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db.execute('DELETE FROM state WHERE stock_code = ?', (code,))
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else:
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# 重算数量和成本，保留调用方当前设置的 status 及已有记录主键。
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state['status'] = current['status'] if current else state['status']
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state.pop('id', None)
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columns = tuple(state)
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db.execute(
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f"INSERT INTO state ({', '.join(columns)}) "
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f"VALUES ({', '.join(':' + key for key in columns)}) "
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'ON CONFLICT(stock_code) DO UPDATE SET '
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||||
+ ', '.join(f'{key} = excluded.{key}' for key in columns if key != 'stock_code'),
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state,
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)
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db.execute(
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||||
'UPDATE deals SET is_arch = 1 WHERE stock_code = ? '
|
||||
'AND is_arch = 0 AND offset_flag IN (48, 49)', (code,)
|
||||
)
|
||||
except (ValueError, sqlite3.IntegrityError) as exc:
|
||||
db.execute('ROLLBACK TO archive_stock')
|
||||
errors[code] = str(exc)
|
||||
log.warning('[归档] %s 失败，保留未归档成交：%s', code, exc)
|
||||
finally:
|
||||
db.execute('RELEASE archive_stock')
|
||||
self.load()
|
||||
return errors
|
||||
|
||||
def sync_state(self, positions: list[PositionItem]) -> None:
|
||||
"""同步完整持仓：无状态则插入底仓，已有则保留，清仓则删除。
|
||||
|
||||
数量为零或未出现在完整持仓列表中的证券视为已清仓；空列表清空状态。
|
||||
"""
|
||||
# 传入完整账户持仓；同步时间作为新增底仓的创建时间。
|
||||
created_at = datetime.now().isoformat(timespec='seconds')
|
||||
holdings = {item.stock_code: item for item in positions if item.volume > 0}
|
||||
with closing(self._connect()) as db, db:
|
||||
db.execute('BEGIN')
|
||||
existing = {row['stock_code']: dict(row) for row in db.execute('SELECT * FROM state')}
|
||||
# 先保留基准，再删除清仓状态，卖出成交仍可据此归档。
|
||||
for code, row in existing.items():
|
||||
db.execute(
|
||||
'INSERT OR IGNORE INTO state_origin SELECT ?, ? WHERE NOT EXISTS '
|
||||
'(SELECT 1 FROM deals WHERE stock_code = ? AND is_arch = 1)',
|
||||
(code, json.dumps(row), code),
|
||||
)
|
||||
db.executemany(
|
||||
'DELETE FROM state WHERE stock_code = ?',
|
||||
[(code,) for code in existing if code not in holdings],
|
||||
)
|
||||
for code, item in holdings.items():
|
||||
if code in existing:
|
||||
continue
|
||||
if not math.isfinite(item.open_price):
|
||||
raise ValueError('Base price must be finite')
|
||||
# 只插入底仓字段，补仓字段使用数据库默认值。
|
||||
db.execute(
|
||||
'INSERT INTO state '
|
||||
'(stock_code, status, base_order_local_id, base_qty, base_price, base_created_at) '
|
||||
"VALUES (?, '', '', ?, ?, ?)",
|
||||
(code, item.volume, item.open_price, created_at),
|
||||
)
|
||||
self.load()
|
||||
@@ -36,7 +36,6 @@ from sdk import APIError, Client
|
||||
from libs.market import refresh_market
|
||||
from libs.collector import submit_trend_data
|
||||
from strategy.trend.boot import StartTrend
|
||||
from strategy.zt.boot import StartZT
|
||||
from strategy.ipo import AutoBuyIpo
|
||||
|
||||
@dataclass(slots=True)
|
||||
@@ -47,7 +46,6 @@ class StrategyDefinition:
|
||||
|
||||
STRATEGIES = {
|
||||
"trend": StrategyDefinition("Trend", StartTrend),
|
||||
"zt": StrategyDefinition("ZT", StartZT),
|
||||
}
|
||||
|
||||
def require_windows() -> bool:
|
||||
|
||||
@@ -88,16 +88,17 @@ def manage_positions(
|
||||
strTag = "↑"
|
||||
elif pnl_rate< LOSS_TIERS[0]:
|
||||
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,
|
||||
)
|
||||
|
||||
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",
|
||||
@@ -121,15 +122,15 @@ def handle_profit(
|
||||
if observation.state == GridState.ARMED:
|
||||
return TradeDecision(
|
||||
False,
|
||||
f"首次达到 {pnl_rate:.2f}%，峰值网格={observation.current_grid}",
|
||||
f"首次, PNL:{pnl_rate:.2f}%，网格={observation.current_grid}",
|
||||
)
|
||||
if observation.state == GridState.RAISED:
|
||||
return TradeDecision(
|
||||
False,
|
||||
f"上涨至 {pnl_rate:.2f}%，峰值网格={observation.current_grid}",
|
||||
f"突破, PNL:{pnl_rate:.2f}%，网格={observation.current_grid}",
|
||||
)
|
||||
if observation.state == GridState.STEADY:
|
||||
return TradeDecision(False)
|
||||
return TradeDecision(False,f"持平, PNL:{pnl_rate:.2f}%，网格={observation.current_grid}",)
|
||||
if runtime.orders.busy(position.stock_code, "SELL"):
|
||||
return TradeDecision(False, "卖出委托处理中")
|
||||
|
||||
|
||||
@@ -20,7 +20,6 @@ from libs.overview import Overview
|
||||
from libs.order import BUSY_STATUSES, OrderBook
|
||||
from libs.watch import DipWatch
|
||||
from libs.runtime import Runtime
|
||||
from .state import TState, SOLD
|
||||
from .open import open_signal
|
||||
from .positions import manage_positions
|
||||
|
||||
@@ -32,10 +31,10 @@ def StartZT() -> None:
|
||||
config.global_config.qmt_token,
|
||||
config.HTTP_TIMEOUT,
|
||||
) as client:
|
||||
state = TState(
|
||||
Path(config.global_config.qmt_data_dir)
|
||||
/ f"zt_{config.account_config.account_id}_state.db"
|
||||
)
|
||||
# state = TState(
|
||||
# Path(config.global_config.qmt_data_dir)
|
||||
# / f"zt_{config.account_config.account_id}_state.db"
|
||||
# )
|
||||
executor = ThreadPoolExecutor(max_workers=3, thread_name_prefix="zt")
|
||||
run = Runtime(
|
||||
client=client,
|
||||
|
||||
@@ -8,10 +8,9 @@ from libs.calc import calc_buy_volume
|
||||
from sdk import OP_BUY
|
||||
from libs.runtime import Runtime
|
||||
from libs.order import PlaceOrderRequest
|
||||
from .state import TState
|
||||
|
||||
|
||||
def open_signal(run: Runtime, state: TState, ticks, signals, available: float) -> float:
|
||||
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:
|
||||
@@ -20,9 +19,6 @@ def open_signal(run: Runtime, state: TState, ticks, signals, available: float) -
|
||||
break
|
||||
if item.code in run.account_cfg.excluded_codes:
|
||||
continue
|
||||
item_state = state.items.get(item.code)
|
||||
if item_state is not None and item_state.base_qty > 0:
|
||||
continue
|
||||
# 由委托簿检查活动委托，防止重复下单。
|
||||
if (
|
||||
run.orders.busy(item.code, "BUY")
|
||||
|
||||
@@ -7,12 +7,10 @@ from libs.grid_take_profit import GridState
|
||||
from sdk import OP_BUY, OP_SELL, PositionItem
|
||||
from libs.order import PlaceOrderRequest
|
||||
from libs.runtime import Runtime
|
||||
from .state import READY, SOLD, TState
|
||||
|
||||
|
||||
def manage_positions(
|
||||
run: Runtime,
|
||||
state_store: TState,
|
||||
ticks,
|
||||
positions: list[PositionItem],
|
||||
available: float,
|
||||
|
||||
@@ -1,179 +0,0 @@
|
||||
"""做 T 策略的持仓状态和逐笔实际成交记录。"""
|
||||
|
||||
import math
|
||||
from dataclasses import dataclass
|
||||
from datetime import datetime
|
||||
from pathlib import Path
|
||||
|
||||
from sdk import DealItem, PositionItem
|
||||
from libs.orderbook import OrderBook
|
||||
|
||||
READY, SOLD, DONE = "READY", "SOLD", "DONE"
|
||||
|
||||
|
||||
@dataclass(slots=True)
|
||||
class TStateItem:
|
||||
code: str
|
||||
base_qty: int = 0
|
||||
base_cost: float = 0.0
|
||||
trade_date: str = ""
|
||||
phase: str = READY
|
||||
sell_qty: int = 0
|
||||
sell_price: float = 0.0
|
||||
buy_qty: int = 0
|
||||
buy_cost: float = 0.0
|
||||
id: int = 0
|
||||
base_order_id: str = ''
|
||||
added_order_id: str = ''
|
||||
added_num: int = 0
|
||||
added_qty: int = 0
|
||||
added_cost: float = 0.0
|
||||
|
||||
|
||||
class TState:
|
||||
"""Apply actual executions immediately, atomically with their position changes."""
|
||||
|
||||
def __init__(self, path: str | Path) -> None:
|
||||
self._store = OrderBook(path)
|
||||
self.path = self._store.path
|
||||
self._load()
|
||||
|
||||
@staticmethod
|
||||
def _is_zt_deal(deal: DealItem) -> bool:
|
||||
return (
|
||||
deal.side == 'BUY' and deal.local_order_id.startswith(('zt-base-', 'zt-t-buy-'))
|
||||
) or (
|
||||
deal.side == 'SELL' and deal.local_order_id.startswith('zt-t-sell-')
|
||||
)
|
||||
|
||||
@staticmethod
|
||||
def _reset(item: TStateItem, date: str) -> bool:
|
||||
if item.phase == DONE and item.trade_date != date:
|
||||
item.phase, item.trade_date = READY, ''
|
||||
item.sell_qty = item.buy_qty = 0
|
||||
item.sell_price = item.buy_cost = 0.0
|
||||
return True
|
||||
return False
|
||||
|
||||
@classmethod
|
||||
def _apply_t_deal(cls, item: TStateItem, deal: dict) -> None:
|
||||
"""实时入账与重启恢复共用同一套做 T 轮次计算。"""
|
||||
cls._reset(item, deal['trade_date'])
|
||||
qty, amount = deal['volume'], deal['trade_amount']
|
||||
if str(deal['offset_flag']) in ('24', '49'):
|
||||
total = item.sell_qty + qty
|
||||
item.sell_price = (item.sell_qty * item.sell_price + amount) / total
|
||||
item.sell_qty = total
|
||||
item.phase = SOLD
|
||||
else:
|
||||
total = item.buy_qty + qty
|
||||
item.buy_cost = (item.buy_qty * item.buy_cost + amount) / total
|
||||
item.buy_qty = total
|
||||
item.phase = DONE if total >= item.sell_qty else SOLD
|
||||
item.trade_date = deal['trade_date']
|
||||
|
||||
def reconcile(
|
||||
self, positions: list[PositionItem], deals: list[DealItem]
|
||||
) -> None:
|
||||
"""Deduplicate each fill; partial fills do not wait for order completion."""
|
||||
today = datetime.now().date().isoformat()
|
||||
seen = {row['order_sys_id'] for row in self.deals}
|
||||
rows = []
|
||||
for deal in deals:
|
||||
if not self._is_zt_deal(deal) or deal.order_sys_id in seen:
|
||||
continue
|
||||
try:
|
||||
row = self._store.deal_record(deal)
|
||||
except ValueError:
|
||||
continue
|
||||
rows.append(row)
|
||||
seen.add(deal.order_sys_id)
|
||||
rows.sort(key=lambda r: (r['trade_date'], r['trade_time']))
|
||||
modified = False
|
||||
try:
|
||||
# Snapshot includes these fills: subtract their net quantity before replay.
|
||||
net = {}
|
||||
for row in rows:
|
||||
net[row['stock_code']] = net.get(row['stock_code'], 0) + (
|
||||
row['volume'] if str(row['offset_flag']) in ('23', '48') else -row['volume']
|
||||
)
|
||||
for position in positions:
|
||||
code = position.stock_code
|
||||
if code in self.items or position.volume <= 0:
|
||||
continue
|
||||
if not math.isfinite(position.open_price) or position.open_price <= 0:
|
||||
continue
|
||||
qty = max(0, position.volume - net.get(code, 0))
|
||||
self.items[code] = TStateItem(code, qty, position.open_price if qty else 0.0)
|
||||
modified = True
|
||||
|
||||
# 全部卖出时快照可能已无该证券，按净卖出数量恢复待买回的底仓数量。
|
||||
for code, delta in net.items():
|
||||
if code not in self.items and delta < 0:
|
||||
self.items[code] = TStateItem(code, -delta)
|
||||
|
||||
for row in rows:
|
||||
code = row['stock_code']
|
||||
item = self.items.get(code)
|
||||
if item is None:
|
||||
item = self.items[code] = TStateItem(code)
|
||||
self._reset(item, row['trade_date'])
|
||||
qty, amount = row['volume'], row['trade_amount']
|
||||
if row['order_local_id'].startswith('zt-base-'):
|
||||
total = item.base_qty + qty
|
||||
item.base_cost = (item.base_qty * item.base_cost + amount) / total
|
||||
item.base_qty = total
|
||||
item.base_order_id = row['order_local_id']
|
||||
else:
|
||||
self._apply_t_deal(item, row)
|
||||
self.deals.append(row)
|
||||
modified = True
|
||||
|
||||
for item in self.items.values():
|
||||
modified = self._reset(item, today) or modified
|
||||
if modified:
|
||||
self.save()
|
||||
except Exception:
|
||||
self._load()
|
||||
raise
|
||||
|
||||
def save(self) -> None:
|
||||
try:
|
||||
self._store.save(
|
||||
{
|
||||
code: {
|
||||
'stock_code': item.code,
|
||||
'volume': item.base_qty,
|
||||
'open_price': item.base_cost,
|
||||
'open_cost': item.base_qty * item.base_cost,
|
||||
}
|
||||
for code, item in self.items.items()
|
||||
},
|
||||
self.deals,
|
||||
)
|
||||
except Exception:
|
||||
self._load()
|
||||
raise
|
||||
|
||||
def _load(self) -> None:
|
||||
self._store.load()
|
||||
self.items = {}
|
||||
for code, position in self._store.positions.items():
|
||||
self.items[code] = TStateItem(code, position['volume'], position['open_price'], id=position['id'])
|
||||
self.deals = [
|
||||
{key: value for key, value in deal.items() if key != 'id'}
|
||||
for deal in self._store.deals.values()
|
||||
]
|
||||
# 轮次明细不占用持仓表字段，从已保存的逐笔成交重建。
|
||||
for deal in self.deals:
|
||||
item = self.items.get(deal['stock_code'])
|
||||
if item is None:
|
||||
continue
|
||||
local_order_id = deal['order_local_id']
|
||||
if local_order_id.startswith('zt-base-'):
|
||||
item.base_order_id = local_order_id
|
||||
else:
|
||||
self._apply_t_deal(item, deal)
|
||||
today = datetime.now().date().isoformat()
|
||||
for item in self.items.values():
|
||||
self._reset(item, today)
|
||||
@@ -7,7 +7,7 @@ from pathlib import Path
|
||||
from types import SimpleNamespace
|
||||
from unittest.mock import Mock
|
||||
from libs.order import OrderBook as ActiveOrders
|
||||
from libs.orderbook import OrderBook
|
||||
from libs.state import State
|
||||
from sdk.models import Assets, DealItem, OrderItem, PositionItem
|
||||
from sdk.portfolio import PortfolioMixin
|
||||
|
||||
@@ -76,16 +76,21 @@ class ApiModelTests(unittest.TestCase):
|
||||
deal = self.client.deals()[0]
|
||||
with tempfile.TemporaryDirectory() as tmp:
|
||||
path = Path(tmp) / 'state.db'
|
||||
book = OrderBook(path)
|
||||
book = State(path)
|
||||
book.sync_deals([deal])
|
||||
loaded = OrderBook(path).deals['sys1']
|
||||
loaded = State(path).deals['sys1']
|
||||
self.assertEqual(loaded['volume'], deal.volume)
|
||||
self.assertEqual(loaded['trade_date'], '2026-09-07')
|
||||
deal.trade_amount = 0
|
||||
self.assertEqual(OrderBook.deal_record(deal)['trade_amount'], 1000)
|
||||
deal.price = 0
|
||||
with self.assertRaises(ValueError):
|
||||
OrderBook.deal_record(deal)
|
||||
deal.order_sys_id = 'sys2'
|
||||
deal.trade_amount = 0
|
||||
book.sync_deals([deal, deal])
|
||||
self.assertEqual(book.deals['sys2']['trade_amount'], 1000)
|
||||
self.assertEqual(deal.trade_amount, 0)
|
||||
deal.order_sys_id = 'sys3'
|
||||
deal.price = 0
|
||||
with self.assertRaises(ValueError):
|
||||
book.sync_deals([deal])
|
||||
self.assertEqual(set(State(path).deals), {'sys1', 'sys2'})
|
||||
|
||||
|
||||
if __name__ == '__main__':
|
||||
|
||||
@@ -7,7 +7,7 @@ from pathlib import Path
|
||||
from datetime import datetime
|
||||
from unittest.mock import patch
|
||||
|
||||
from libs.orderbook import OrderBook
|
||||
from libs.state import State, StateItem
|
||||
from sdk import DealItem, PositionItem
|
||||
from strategy.zt.state import DONE, READY, SOLD, TState
|
||||
|
||||
@@ -63,14 +63,14 @@ class OrderBookTests(unittest.TestCase):
|
||||
def test_json_is_never_read(self):
|
||||
legacy = self.path.with_suffix('.json')
|
||||
legacy.write_text('invalid JSON', encoding='utf-8')
|
||||
book = OrderBook(self.path)
|
||||
book = State(self.path)
|
||||
self.assertIsNone(book.load())
|
||||
self.assertEqual((book.positions, book.deals, book.deals_sys_ids), ({}, {}, set()))
|
||||
self.assertEqual((book.items, book.deals, book.deals_sys_ids), ({}, {}, set()))
|
||||
self.assertEqual(legacy.read_text(encoding='utf-8'), 'invalid JSON')
|
||||
|
||||
def test_sync_deals_deduplicates_batch_and_restart(self):
|
||||
book = OrderBook(self.path)
|
||||
self.assertEqual((book.positions, book.deals, book.deals_sys_ids), ({}, {}, set()))
|
||||
book = State(self.path)
|
||||
self.assertEqual((book.items, book.deals, book.deals_sys_ids), ({}, {}, set()))
|
||||
first = self.deal('base', 'd1', 40, 10, '20260901')
|
||||
second = self.deal('base', 'd2', 60, 12)
|
||||
book.sync_deals([first, first, second])
|
||||
@@ -78,7 +78,7 @@ class OrderBookTests(unittest.TestCase):
|
||||
self.assertEqual(book.deals['d1']['trade_date'], '2026-09-01')
|
||||
self.assertEqual(book.deals['d2']['volume'], 60)
|
||||
self.assertEqual(book.deals['d2']['order_local_id'], 'zt-base-order1')
|
||||
book = OrderBook(self.path)
|
||||
book = State(self.path)
|
||||
self.assertEqual(book.deals_sys_ids, {'d1', 'd2'})
|
||||
self.assertEqual(book.deals['d1']['order_local_id'], 'zt-base-order1')
|
||||
with patch.object(book, '_connect') as connect:
|
||||
@@ -88,7 +88,7 @@ class OrderBookTests(unittest.TestCase):
|
||||
self.assertEqual(len(book.deals), 2)
|
||||
|
||||
def test_sync_deals_failure_rolls_back_entire_batch_and_cache(self):
|
||||
book = OrderBook(self.path)
|
||||
book = State(self.path)
|
||||
first = self.deal('base', 'd1', 100, 10)
|
||||
invalid = self.deal('base', 'd2', 100, 10)
|
||||
invalid.offset_flag = -1
|
||||
@@ -96,18 +96,18 @@ class OrderBookTests(unittest.TestCase):
|
||||
book.sync_deals([first, invalid])
|
||||
self.assertEqual(book.deals, {})
|
||||
self.assertEqual(book.deals_sys_ids, set())
|
||||
self.assertEqual(OrderBook(self.path).deals, {})
|
||||
self.assertEqual(State(self.path).deals, {})
|
||||
invalid.offset_flag = 23
|
||||
book.sync_deals([first, invalid])
|
||||
self.assertEqual(book.deals_sys_ids, {'d1', 'd2'})
|
||||
|
||||
def test_load_refreshes_all_caches(self):
|
||||
book = OrderBook(self.path)
|
||||
writer = OrderBook(self.path)
|
||||
writer.sync_positions([PositionItem(stock_code='600000.SH', volume=100)])
|
||||
book = State(self.path)
|
||||
writer = State(self.path)
|
||||
writer.sync_state([PositionItem(stock_code='600000.SH', volume=100)])
|
||||
writer.sync_deals([self.deal('base', 'd1', 100, 10)])
|
||||
book.load()
|
||||
self.assertEqual(book.positions['600000.SH']['volume'], 100)
|
||||
self.assertEqual(book.items['600000.SH']['base_qty'], 100)
|
||||
self.assertEqual(book.deals_sys_ids, {'d1'})
|
||||
self.assertEqual(book.deals['d1']['remark'], 'zt-base-order1|zt')
|
||||
|
||||
@@ -140,11 +140,11 @@ class OrderBookTests(unittest.TestCase):
|
||||
state.reconcile([], [self.deal('base', 'd1', 100, 10)])
|
||||
with closing(sqlite3.connect(self.path)) as db:
|
||||
tables = {row[0] for row in db.execute("SELECT name FROM sqlite_master WHERE type='table'")}
|
||||
self.assertEqual(tables, {'positions', 'deals', 'sqlite_sequence'})
|
||||
self.assertEqual(tables, {'state', 'deals', 'sqlite_sequence'})
|
||||
columns = {row[1] for row in db.execute('PRAGMA table_info(deals)')}
|
||||
self.assertEqual(columns, {'id', 'order_local_id', *(field.name for field in fields(DealItem))})
|
||||
self.assertEqual(columns, {'id', 'order_local_id', 'is_arch', *(field.name for field in fields(DealItem))})
|
||||
indexes = {row[0] for row in db.execute("SELECT name FROM sqlite_master WHERE type='index'")}
|
||||
self.assertTrue({'idx_positions_stock_code', 'idx_deals_order_sys_id',
|
||||
self.assertTrue({'idx_state_stock_code', 'idx_deals_order_sys_id',
|
||||
'idx_deals_order_ref', 'idx_deals_stock_code_date', 'idx_deals_date_time'} <= indexes)
|
||||
for index, expected in (
|
||||
('idx_deals_order_sys_id', ['order_sys_id']),
|
||||
@@ -165,29 +165,62 @@ class OrderBookTests(unittest.TestCase):
|
||||
self.assertEqual(state.items['600000.SH'].base_cost, 10)
|
||||
|
||||
def test_position_columns_defaults_indexes_and_stable_id(self):
|
||||
store = OrderBook(self.path)
|
||||
store = State(self.path)
|
||||
store.sync_deals([self.deal('base', 'd1', 100, 10)])
|
||||
saved_deals = dict(store.deals)
|
||||
with closing(sqlite3.connect(self.path)) as db:
|
||||
columns = {row[1] for row in db.execute('PRAGMA table_info(positions)')}
|
||||
self.assertEqual(columns, {'id', *(field.name for field in fields(PositionItem))})
|
||||
indexes = {row[1] for row in db.execute('PRAGMA index_list(positions)')}
|
||||
self.assertEqual(indexes, {'idx_positions_stock_code'})
|
||||
columns = {row[1] for row in db.execute('PRAGMA table_info(state)')}
|
||||
self.assertEqual(columns, {'id', *(field.name for field in fields(StateItem))})
|
||||
indexes = {row[1] for row in db.execute('PRAGMA index_list(state)')}
|
||||
self.assertEqual(indexes, {'idx_state_stock_code'})
|
||||
position = PositionItem(stock_code='600000.SH', volume=100, open_price=10,
|
||||
stock_name='stock', can_use_volume=100, float_profit=-2.5)
|
||||
store.sync_positions([position])
|
||||
saved = store.positions[position.stock_code]
|
||||
store.sync_state([position])
|
||||
saved = store.items[position.stock_code]
|
||||
first_id = saved['id']
|
||||
self.assertEqual({k: v for k, v in saved.items() if k != 'id'}, asdict(position))
|
||||
self.assertEqual(saved['base_qty'], 100)
|
||||
self.assertEqual(saved['base_price'], 10)
|
||||
self.assertEqual(saved['added_qty'], 0)
|
||||
self.assertEqual(saved['base_order_local_id'], '')
|
||||
self.assertTrue(saved['base_created_at'])
|
||||
position.volume = 200
|
||||
store.sync_positions([position])
|
||||
self.assertEqual(store.positions[position.stock_code]['id'], first_id)
|
||||
self.assertEqual(store.positions[position.stock_code]['volume'], 200)
|
||||
store.sync_positions([])
|
||||
self.assertEqual(store.positions, {})
|
||||
position.open_price = 12
|
||||
store.sync_state([position])
|
||||
self.assertEqual(store.items[position.stock_code]['id'], first_id)
|
||||
self.assertEqual(store.items[position.stock_code], saved)
|
||||
self.assertEqual(State(self.path).items[position.stock_code], saved)
|
||||
store.sync_state([position, PositionItem(stock_code='600001.SH', volume=100)])
|
||||
self.assertEqual(store.items[position.stock_code], saved)
|
||||
self.assertEqual(store.items['600001.SH']['base_qty'], 100)
|
||||
position.volume = 0
|
||||
store.sync_state([position, PositionItem(stock_code='600002.SH')])
|
||||
self.assertEqual(store.items, {})
|
||||
self.assertEqual(State(self.path).items, {})
|
||||
store.sync_state([PositionItem(stock_code='600001.SH', volume=100)])
|
||||
self.assertGreater(store.items['600001.SH']['id'], first_id)
|
||||
store.sync_state([])
|
||||
self.assertEqual(store.items, {})
|
||||
self.assertEqual(store.deals, saved_deals)
|
||||
store.sync_positions([PositionItem(stock_code='600001.SH')])
|
||||
self.assertGreater(store.positions['600001.SH']['id'], first_id)
|
||||
|
||||
def test_state_fields_survive_restart_and_sync(self):
|
||||
book = State(self.path)
|
||||
row = asdict(StateItem(
|
||||
stock_code='600000.SH', status='READY',
|
||||
base_order_local_id='base-1', base_qty=100, base_price=10,
|
||||
base_created_at='2026-09-08T09:30:00',
|
||||
added_order_local_id='added-1', added_qty=50, added_price=9,
|
||||
added_created_at='2026-09-08T10:30:00',
|
||||
))
|
||||
book.save({row['stock_code']: row})
|
||||
saved = book.items[row['stock_code']]
|
||||
self.assertEqual({k: v for k, v in saved.items() if k != 'id'}, row)
|
||||
book = State(self.path)
|
||||
book.sync_state([PositionItem(stock_code=row['stock_code'], volume=150, open_price=9.5)])
|
||||
self.assertEqual(book.items[row['stock_code']], saved)
|
||||
row['added_qty'] = -1
|
||||
with self.assertRaises(sqlite3.IntegrityError):
|
||||
book.save({row['stock_code']: row})
|
||||
self.assertEqual(State(self.path).items[row['stock_code']], saved)
|
||||
|
||||
def test_base_split_fills_and_snapshot_do_not_double_count(self):
|
||||
state = TState(self.path)
|
||||
|
||||
183
py-client/tests/test_state_archiving.py
Normal file
183
py-client/tests/test_state_archiving.py
Normal file
@@ -0,0 +1,183 @@
|
||||
import sqlite3
|
||||
import tempfile
|
||||
import unittest
|
||||
from contextlib import closing
|
||||
from pathlib import Path
|
||||
|
||||
from libs.state import State
|
||||
from sdk import DealItem, PositionItem
|
||||
|
||||
|
||||
class ArchivingTests(unittest.TestCase):
|
||||
def setUp(self):
|
||||
tmp = tempfile.TemporaryDirectory()
|
||||
self.addCleanup(tmp.cleanup)
|
||||
self.book = State(Path(tmp.name) / 'state.db')
|
||||
|
||||
def insert_deal(self, order, qty, amount, time, code='600000.SH', flag=48):
|
||||
with closing(self.book._connect()) as db, db:
|
||||
db.execute(
|
||||
'INSERT INTO deals (stock_code, order_sys_id, order_local_id, offset_flag, '
|
||||
'price, volume, trade_amount, trade_date, trade_time) VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?)',
|
||||
(code, order, order, flag, amount / qty, qty, amount, '2026-09-08', time),
|
||||
)
|
||||
|
||||
def test_accumulates_once_and_preserves_base(self):
|
||||
self.book.sync_state([PositionItem(stock_code='600000.SH', volume=100, open_price=8)])
|
||||
original = dict(self.book.state['600000.SH'])
|
||||
self.insert_deal('first', 40, 400, '10:00:00')
|
||||
self.insert_deal('second', 60, 720, '10:01:00')
|
||||
self.book.archiving()
|
||||
row = self.book.state['600000.SH']
|
||||
self.assertEqual(row['added_qty'], 100)
|
||||
self.assertAlmostEqual(row['added_price'], 11.2)
|
||||
self.assertEqual(row['added_order_local_id'], 'second')
|
||||
self.assertEqual(row['added_created_at'], '2026-09-08 10:01:00')
|
||||
for key in original:
|
||||
if not key.startswith('added_'):
|
||||
self.assertEqual(row[key], original[key])
|
||||
self.assertTrue(all(deal['is_arch'] == 1 for deal in self.book.deals.values()))
|
||||
restarted = State(self.book.path)
|
||||
restarted.archiving()
|
||||
self.assertEqual(restarted.state, self.book.state)
|
||||
self.insert_deal('late', 50, 500, '09:59:00')
|
||||
self.book.archiving()
|
||||
row = self.book.state['600000.SH']
|
||||
self.assertEqual(row['added_qty'], 150)
|
||||
self.assertAlmostEqual(row['added_price'], 1620 / 150)
|
||||
self.assertEqual(row['added_order_local_id'], 'second')
|
||||
|
||||
def test_sell_added_then_clear_base(self):
|
||||
self.book.sync_state([PositionItem(stock_code='600000.SH', volume=100, open_price=8)])
|
||||
self.insert_deal('buy1', 40, 400, '09:59:00')
|
||||
self.insert_deal('buy', 60, 600, '10:00:00')
|
||||
self.insert_deal('partial', 40, 480, '10:01:00', flag=49)
|
||||
self.book.archiving()
|
||||
row = self.book.state['600000.SH']
|
||||
self.assertEqual((row['base_qty'], row['base_price'], row['added_qty'], row['added_price']),
|
||||
(100, 8, 60, 10))
|
||||
self.insert_deal('sell_added', 60, 720, '10:02:00', flag=49)
|
||||
self.book.archiving()
|
||||
row = self.book.state['600000.SH']
|
||||
self.assertEqual((row['base_qty'], row['added_qty'], row['added_price']), (100, 0, 0))
|
||||
self.assertEqual((row['added_order_local_id'], row['added_created_at']), ('', ''))
|
||||
self.insert_deal('sell_base', 100, 1200, '10:03:00', flag=49)
|
||||
self.book.archiving()
|
||||
self.assertEqual(self.book.state, {})
|
||||
self.book.archiving()
|
||||
self.assertEqual(State(self.book.path).state, {})
|
||||
self.assertTrue(all(deal['is_arch'] == 1 for deal in self.book.deals.values()))
|
||||
|
||||
def test_sell_crosses_into_base_then_liquidates(self):
|
||||
self.book.sync_state([PositionItem(stock_code='600000.SH', volume=100, open_price=8)])
|
||||
self.insert_deal('buy', 50, 500, '10:00:00')
|
||||
self.insert_deal('sell', 80, 960, '10:01:00', flag=49)
|
||||
self.book.archiving()
|
||||
row = self.book.state['600000.SH']
|
||||
self.assertEqual((row['base_qty'], row['base_price'], row['added_qty']), (70, 8, 0))
|
||||
self.insert_deal('buy_again', 30, 300, '10:02:00')
|
||||
self.insert_deal('sell_all', 100, 1200, '10:03:00', flag=49)
|
||||
self.book.archiving()
|
||||
self.assertEqual(self.book.state, {})
|
||||
|
||||
def test_excess_sell_rolls_back_and_other_directions_are_skipped(self):
|
||||
self.insert_deal('other', 100, 1000, '09:59:00', flag=23)
|
||||
self.book.archiving()
|
||||
self.assertEqual(self.book.state, {})
|
||||
self.assertEqual(self.book.deals['other']['is_arch'], 0)
|
||||
self.insert_deal('buy', 50, 500, '10:00:00')
|
||||
self.insert_deal('sell', 100, 1200, '10:01:00', flag=49)
|
||||
errors = self.book.archiving()
|
||||
self.assertIn('600000.SH', errors)
|
||||
restarted = State(self.book.path)
|
||||
self.assertEqual(restarted.state, {})
|
||||
self.assertTrue(all(deal['is_arch'] == 0 for deal in restarted.deals.values()))
|
||||
|
||||
def test_new_state_and_failed_mark_roll_back_together(self):
|
||||
self.insert_deal('first', 100, 1000, '10:00:00')
|
||||
self.insert_deal('second', 100, 1200, '10:01:00', code='600001.SH')
|
||||
self.book.load()
|
||||
with closing(self.book._connect()) as db:
|
||||
db.execute("""CREATE TRIGGER fail_archive BEFORE UPDATE OF is_arch ON deals
|
||||
WHEN OLD.order_sys_id = 'second'
|
||||
BEGIN SELECT RAISE(ABORT, 'test failure'); END""")
|
||||
errors = self.book.archiving()
|
||||
self.assertIn('600001.SH', errors)
|
||||
restarted = State(self.book.path)
|
||||
self.assertEqual(set(restarted.state), {'600000.SH'})
|
||||
self.assertEqual(restarted.state, self.book.state)
|
||||
self.assertEqual(restarted.deals['first']['is_arch'], 1)
|
||||
self.assertEqual(restarted.deals['second']['is_arch'], 0)
|
||||
with closing(self.book._connect()) as db:
|
||||
db.execute('DROP TRIGGER fail_archive')
|
||||
self.book.archiving()
|
||||
self.assertEqual(len(self.book.state), 2)
|
||||
self.assertEqual(self.book.state['600000.SH']['base_qty'], 0)
|
||||
self.assertEqual(self.book.state['600000.SH']['added_qty'], 100)
|
||||
|
||||
def test_snapshot_matching_buy_is_not_added(self):
|
||||
self.book.sync_state([PositionItem(stock_code='600000.SH', volume=100, open_price=8)])
|
||||
self.book.sync_deals([DealItem(
|
||||
stock_code='600000.SH', order_sys_id='first', remark='base1|test',
|
||||
offset_flag=48, volume=100, price=8, trade_amount=800,
|
||||
trade_date='20260908', trade_time='100000',
|
||||
)])
|
||||
self.assertEqual(self.book.archiving(), {})
|
||||
row = self.book.state['600000.SH']
|
||||
self.assertEqual((row['base_qty'], row['added_qty']), (100, 0))
|
||||
self.assertEqual(self.book.deals['first']['is_arch'], 1)
|
||||
restarted = State(self.book.path)
|
||||
self.assertEqual(restarted.archiving(), {})
|
||||
self.assertEqual(restarted.state, self.book.state)
|
||||
self.insert_deal('new_buy', 100, 1000, '10:01:00')
|
||||
with closing(self.book._connect()) as db, db:
|
||||
db.execute("UPDATE state SET status = 'CUSTOM' WHERE stock_code = '600000.SH'")
|
||||
self.assertEqual(self.book.archiving(), {})
|
||||
row = self.book.state['600000.SH']
|
||||
self.assertEqual((row['base_qty'], row['added_qty'], row['status']), (100, 100, 'CUSTOM'))
|
||||
|
||||
def test_old_archived_history_without_baseline_is_not_reapplied(self):
|
||||
self.insert_deal('old', 100, 1000, '10:00:00')
|
||||
with closing(self.book._connect()) as db, db:
|
||||
db.execute('UPDATE deals SET is_arch = 1')
|
||||
self.insert_deal('new', 50, 500, '10:01:00')
|
||||
errors = self.book.archiving()
|
||||
self.assertIn('baseline', errors['600000.SH'])
|
||||
self.assertEqual(self.book.deals['old']['is_arch'], 1)
|
||||
self.assertEqual(self.book.deals['new']['is_arch'], 0)
|
||||
|
||||
def test_late_buy_replays_after_liquidation_and_restart(self):
|
||||
self.insert_deal('buy', 100, 1000, '10:00:00')
|
||||
self.insert_deal('sell', 100, 1500, '10:02:00', flag=49)
|
||||
self.book.archiving()
|
||||
self.assertEqual(self.book.state, {})
|
||||
self.book = State(self.book.path)
|
||||
self.insert_deal('late', 100, 2000, '100100')
|
||||
self.assertEqual(self.book.archiving(), {})
|
||||
row = self.book.state['600000.SH']
|
||||
self.assertEqual(row['added_qty'], 100)
|
||||
self.assertEqual(row['added_price'], 15)
|
||||
|
||||
def test_snapshot_deletion_before_sell_archiving(self):
|
||||
self.book.sync_state([PositionItem(stock_code='600000.SH', volume=100, open_price=8)])
|
||||
self.insert_deal('sell', 100, 1000, '10:01:00', flag=49)
|
||||
self.book.sync_state([])
|
||||
self.book = State(self.book.path)
|
||||
self.assertEqual(self.book.archiving(), {})
|
||||
self.assertEqual(self.book.state, {})
|
||||
self.assertEqual(self.book.deals['sell']['is_arch'], 1)
|
||||
|
||||
def test_bad_stock_does_not_block_good_stock_and_can_retry(self):
|
||||
self.insert_deal('bad_sell', 100, 1500, '10:02:00', flag=49)
|
||||
self.insert_deal('good_buy', 100, 1000, '10:00:00', code='600001.SH')
|
||||
self.assertIn('600000.SH', self.book.archiving())
|
||||
self.assertEqual(self.book.deals['good_buy']['is_arch'], 1)
|
||||
self.assertEqual(self.book.deals['bad_sell']['is_arch'], 0)
|
||||
self.insert_deal('late_buy', 100, 1000, '10:01:00')
|
||||
self.assertEqual(self.book.archiving(), {})
|
||||
self.assertEqual(self.book.deals['bad_sell']['is_arch'], 1)
|
||||
self.assertNotIn('600000.SH', self.book.state)
|
||||
|
||||
|
||||
if __name__ == '__main__':
|
||||
unittest.main()
|
||||
Reference in New Issue
Block a user