fix bug
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docs/bug.md
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29
docs/bug.md
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### S1. 券商快照延迟时，本地委托锁会被清空并可能重复下单
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- 位置：`strategy/trend/order.py:54-92`、`strategy/trend/boot.py:127-130,157-162`、`strategy/trend/open.py:23-25`
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- 证据：下单成功后 `OrderBook.place()` 会立即加入本地 pending 和方向锁，但下一轮 `refresh()` 会完全用券商快照重建 `data` 与 `lock`。若券商快照尚未出现刚提交的订单，本地 pending 会直接丢失。开仓候选只排除当前持仓，不排除 `State` 中的待成交底仓，最终仅依赖已经被清掉的 `busy()` 锁。
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- 影响：接口存在可见性延迟时，同一证券可能在连续轮次重复提交买单；卖单和补仓也存在相同锁丢失窗口。
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- 建议：刷新时合并尚未超时且券商未确认的本地 pending，而不是覆盖；按本地订单号查询确认后才能移除。开仓筛选同时检查状态机中的 `base_status`。
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### H3. 撤单、拒单、废单和部分成交不能驱动状态机正确收敛
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- 位置：`strategy/trend/state.py:142-162`、`strategy/trend/order.py:14-17,61-92`
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- 证据：状态对账只把“匹配订单全部为状态 56”视为完成，其余均保持 `ING`；订单被过滤或消失时，已有持仓的补仓状态不会变为失败或撤销。文件中虽然定义了 `FAILED`、`CANCELED`、`UNKNOWN`，但没有完整迁移逻辑。
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- 影响：失败的补仓仍会消耗 `added_num`，状态可能永久停留在处理中，重启后也无法可靠恢复。
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- 建议：建立完整 QMT 委托状态映射，按实际成交数量处理全成、部成、已撤、废单、拒单和未知；消失订单需二次查询确认。
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### M1. IPO 仍只依赖本地锁，存在重复申购窗口
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- 位置：`strategy/ipo/boot.py:49-65`
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- 证据：下单成功后才写锁；未查询券商当日委托或成交记录。进程若在下单成功与写锁之间退出，或锁文件被删除，下一次调度会再次申购。
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- 影响：同一证券可能重复发送申购请求，安全性依赖券商端是否拒绝重复申购。
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- 建议：本地锁只作为快速缓存，下单前以券商委托/成交记录做最终幂等校验。
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### M6. 策略成本使用提交时行情价，而非实际成交价
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- 位置：`strategy/trend/open.py:80-86`、`strategy/trend/positions.py:186-192`
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- 证据：底仓和补仓在订单刚提交成功时就把 tick 价格写为成本，没有根据成交回报更新实际成交数量与均价。
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- 影响：滑点、部分成交或拆单时，后续盈亏率、止盈网格和补仓层级基于不准确成本。
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- 建议：提交阶段只记录订单标识；订单完成对账后从成交或真实持仓均价更新成本和数量。
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@@ -2,59 +2,69 @@
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from __future__ import annotations
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import json
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import logging
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from datetime import datetime, time
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from pathlib import Path
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from typing import Any
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import config
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from sdk import Client
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from libs.calc import trading_time
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from libs.lockfile import is_lock,write_lockfile
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IPO_STRATEGY_NAME = "IPO_SUBSCRIBE"
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IPO_REMARKS = {IPO_STRATEGY_NAME, "新股申购"}
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IPO_SESSIONS = ((time(9, 30), time(11, 30)), (time(13, 0), time(15, 0)))
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TRADING_CALENDAR_SYMBOL = "000001.SH"
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def AutoBuyIpo() -> int:
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def AutoBuyIpo() -> None:
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"""安全执行一次新股申购，返回成功提交的证券数量。"""
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if not config.account_config.enable_auto_ipo:
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logging.info("[IPO] 自动申购未启用")
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return 0
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return
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if not trading_time(datetime.now()):
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logging.info("[IPO] 非交易时间")
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return 0
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return
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client = Client(
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config.global_config.qmt_base_url,
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config.global_config.qmt_token,
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config.HTTP_TIMEOUT,
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)
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try:
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with Client(
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config.global_config.qmt_base_url,
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config.global_config.qmt_token,
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config.HTTP_TIMEOUT,
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) as client:
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result = client.ipo_data("STOCK")
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for item in result:
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try:
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if not isinstance(item, dict):
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raise TypeError("IPO 数据项必须是字典")
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stock = str(item.get("stock", "")).strip()
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if not stock or stock.endswith(".BJ"):
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continue
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ipo_price = float(item["issuePrice"])
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max_purchase_num = int(item["maxPurchaseNum"])
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if ipo_price <= 0 or max_purchase_num <= 0:
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raise ValueError("发行价或申购额度必须大于 0")
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lock_path = Path(config.global_config.qmt_data_dir) / f"{stock}.lock"
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if is_lock(lock_path):
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continue
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client.passorder(
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op_type=23,
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stock=stock,
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volume=max_purchase_num,
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pr_type=11,
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price=ipo_price,
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strategy_name="ipo",
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)
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write_lockfile(lock_path)
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logging.info(
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"[IPO] %s 申购，发行价：%s 可申购额度：%s",
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stock,
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ipo_price,
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max_purchase_num,
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)
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except Exception:
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logging.exception("[IPO] 单条申购处理失败，数据=%r", item)
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except Exception:
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logging.exception("[IPO] 自动申购任务失败")
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result = client.ipo_data("STOCK")
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for stock in result:
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if ".BJ" in stock:
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continue
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lp = Path(config.global_config.qmt_data_dir)/f"{stock}.lock"
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if not is_lock(lp):
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ipo_price = result[stock]['issuePrice'] # 发行价
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maxPurchaseNum = result[stock]['maxPurchaseNum'] # 可申购额度
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try:
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client.passorder(
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op_type=23,
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stock=stock,
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volume=maxPurchaseNum,
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pr_type=11,
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price=ipo_price,
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strategy_name="新股申购",
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)
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logging.info("[IPO] %s 申购，发行价：%s 可申购额度：%s", stock)
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except Exception:
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logging.info("[IPO] %s 申购失败，不写入锁文件", stock)
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else:
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write_lockfile(lp)
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client.close()
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@@ -89,6 +89,8 @@ def StartTrend() -> None:
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lt = time.localtime()
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if (lt.tm_hour, lt.tm_min, lt.tm_sec) >= (15, 0, 0):
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log.info("[Trend] 已到 15:00，结束趋势策略")
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run.client.close()
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run.executor.shutdown()
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return
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current_sec = lt.tm_sec
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@@ -17,8 +17,20 @@ def open_signal(run:Runtime, ticks, open_signals) -> None:
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for item in open_signals:
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# 1. 验证信号配置允许开仓的时间区间。
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signal_config = run.global_cfg.signals.get(item.signal_key)
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if signal_config is None or not check_timezone(signal_config.timezone):
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log.info("[Open] %s 信号=%s，跳过：不在信号时间段(%s)", item.code, item.signal_key,signal_config.timezone)
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if signal_config is None:
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log.warning(
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"[Open] %s 信号=%s，跳过：未找到信号配置",
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item.code,
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item.signal_key,
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)
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continue
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if not check_timezone(signal_config.timezone):
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log.info(
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"[Open] %s 信号=%s，跳过：不在信号时间段(%s)",
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item.code,
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item.signal_key,
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signal_config.timezone,
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)
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continue
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# 2. 检查该证券是否已有买入委托锁，防止重复下单。
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