quant/big-qmt
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

optz print.

Browse Source
This commit is contained in:
yanweidong
2026-09-08 15:18:09 +08:00
parent 2a1458e91e
commit 8a3a29268e
12 changed files with 538 additions and 404 deletions
Download Patch File Download Diff File Expand all files Collapse all files

27
py-client/strategy/trend/positions.py
View File

@@ -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")

9
py-client/strategy/zt/boot.py
View File

@@ -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,

6
py-client/strategy/zt/open.py
View File

@@ -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")

2
py-client/strategy/zt/positions.py
View File

@@ -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,

179
py-client/strategy/zt/state.py
View File

@@ -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)