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fix(trend): reconcile state from actual fills

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This commit is contained in:
yanweidong
2026-09-05 00:29:50 +08:00
parent 6c2eca8fdc
commit a53fc738cf
5 changed files with 76 additions and 37 deletions
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4
py-client/strategy/trend/open.py
View File

@@ -77,7 +77,7 @@ def open_signal(run:Runtime, ticks, open_signals) -> None:
def do_open(run: Runtime, code: str, volume: int, signal_key: str, price: float) -> None:
"""生成本地订单号并按最新价提交开仓委托。"""
order_id = run.orders.new_order_id("base")
order_id = run.orders.new_order_id()
request = PlaceOrderRequest(
run.client,
OP_BUY,
@@ -92,8 +92,6 @@ def do_open(run: Runtime, code: str, volume: int, signal_key: str, price: float)
run.state.set(StateItem(
code=code,
base_order_id=order_id,
base_qty=volume,
base_cost=round(price, 2),
base_status=STATUS_ING,
))
run.state.save()

9
py-client/strategy/trend/positions.py
View File

@@ -13,8 +13,6 @@ from .runtime import Runtime
from .state import STATUS_ING
import logging as log
LEG_BASE = "base"
LEG_ADDED = "add"
LOSS_TIERS = (-30.0, -50.0)
@@ -129,7 +127,7 @@ def handle_profit(
volume = position.can_use_volume - position.can_use_volume % 100
if volume <= 0:
return TradeDecision(False, "无可用整手持仓")
order_id = runtime.orders.new_order_id(LEG_BASE)
order_id = runtime.orders.new_order_id()
request = PlaceOrderRequest(
client=runtime.client,
op=OP_SELL,
@@ -172,7 +170,7 @@ def handle_loss(
if volume <= 0 or amount > available:
return TradeDecision(False, "本轮可用资金不足")
order_id = runtime.orders.new_order_id(LEG_ADDED)
order_id = runtime.orders.new_order_id()
request = PlaceOrderRequest(
client=runtime.client,
op=OP_BUY,
@@ -184,11 +182,8 @@ def handle_loss(
if not runtime.orders.place(request):
return TradeDecision(False, "补仓委托失败")
state.added_num += 1
state.added_status = STATUS_ING
state.added_order_id = order_id
state.added_qty = volume
state.added_cost = tick.last_price
runtime.state.set(state)
runtime.state.save()
runtime.add_watch.forget(position.stock_code)

31
py-client/strategy/trend/state.py
View File

@@ -136,9 +136,9 @@ class State:
for code in list(self.codes):
item = self.get(code)
for order_id_attr, status_attr in (
("base_order_id", "base_status"),
("added_order_id", "added_status"),
for order_id_attr, status_attr, qty_attr, cost_attr in (
("base_order_id", "base_status", "base_qty", "base_cost"),
("added_order_id", "added_status", "added_qty", "added_cost"),
):
local_order_id = getattr(item, order_id_attr)
current_status = getattr(item, status_attr)
@@ -150,6 +150,14 @@ class State:
if status != current_status:
log.info("[状态] %s 订单=%s，状态=%s->%s", code, local_order_id, current_status, status)
setattr(item, status_attr, status)
if status == STATUS_OK:
quantity, cost = _filled_order(matching_orders)
if quantity > 0:
setattr(item, qty_attr, quantity)
if cost > 0:
setattr(item, cost_attr, cost)
if status_attr == "added_status":
item.added_num += 1
self.set(item)
# Opening orders normally have no position until their first fill. Order
@@ -212,3 +220,20 @@ def _order_status(orders: list[OrderItem] | None) -> str:
if statuses <= BUSY_STATUSES | COMPLETED_STATUSES:
return STATUS_ING
return STATUS_NONE
def _filled_order(orders: list[OrderItem] | None) -> tuple[int, float]:
"""汇总已成交订单的实际数量和加权成交价。"""
quantity = 0
amount = 0.0
for order in orders or []:
filled = order.traded_volume if order.traded_volume > 0 else order.volume
if filled <= 0:
continue
quantity += filled
if order.trade_amount > 0:
amount += order.trade_amount
elif order.trade_price > 0:
amount += order.trade_price * filled
cost = round(amount / quantity, 4) if quantity > 0 and amount > 0 else 0.0
return quantity, cost

53
py-client/tests/test_trend.py
View File

@@ -44,9 +44,9 @@ class FailedOrderClient:
class TrendTests(unittest.TestCase):
def test_trend_order_id_format(self):
self.assertRegex(OrderBook.new_order_id("base"), r"^trend-[0-9a-f]{8}$")
self.assertRegex(OrderBook.new_order_id(), r"^trend-[0-9a-f]{24}$")
def test_open_records_base_order_and_rounded_cost(self):
def test_open_records_only_pending_order(self):
with TemporaryDirectory() as directory:
state = State.for_strategy(directory, "trend", "A")
forgotten = []
@@ -60,9 +60,9 @@ class TrendTests(unittest.TestCase):
do_open(runtime, "000001.SZ", 100, "morning", 12.345)
item = state.get("000001.SZ")
self.assertRegex(item.base_order_id, r"^trend-[0-9a-f]{8}$")
self.assertEqual(item.base_qty, 100)
self.assertEqual(item.base_cost, 12.35)
self.assertRegex(item.base_order_id, r"^trend-[0-9a-f]{24}$")
self.assertEqual(item.base_qty, 0)
self.assertEqual(item.base_cost, 0)
self.assertEqual(item.base_status, "ING")
self.assertEqual(forgotten, ["000001.SZ"])
@@ -226,7 +226,10 @@ class TrendTests(unittest.TestCase):
state = State.for_strategy(directory, "trend", "A")
position = PositionItem(stock_code="A", volume=100, open_price=10)
state.set(StateItem("A", base_order_id="local-1", base_status="ING"))
completed = OrderItem("1", "A", "BUY", "", "56", None, 50, "local-1")
completed = OrderItem(
"1", "A", "BUY", "", "56", None, 50, "local-1",
traded_volume=50, trade_price=10.1,
)
processing = OrderItem("2", "A", "BUY", "", "50", None, 50, "local-1")
state.reconcile([position], [completed, processing])
@@ -234,9 +237,18 @@ class TrendTests(unittest.TestCase):
state.reconcile(
[position],
[completed, OrderItem("2", "A", "BUY", "", "56", None, 50, "local-1")],
[
completed,
OrderItem(
"2", "A", "BUY", "", "56", None, 50, "local-1",
traded_volume=50, trade_price=10.3,
),
],
)
self.assertEqual(state.get("A").base_status, STATUS_OK)
item = state.get("A")
self.assertEqual(item.base_status, STATUS_OK)
self.assertEqual(item.base_qty, 100)
self.assertEqual(item.base_cost, 10.2)
canceled = OrderItem("2", "A", "BUY", "", "54", None, 50, "local-1")
item = state.get("A")
@@ -245,6 +257,31 @@ class TrendTests(unittest.TestCase):
state.reconcile([position], [completed, canceled])
self.assertEqual(state.get("A").base_status, "")
def test_reconcile_records_filled_add_order(self):
with TemporaryDirectory() as directory:
state = State.for_strategy(directory, "trend", "A")
position = PositionItem(stock_code="A", volume=200, open_price=10)
state.set(StateItem(
"A",
base_qty=100,
base_cost=10,
base_status=STATUS_OK,
added_order_id="add-1",
added_status="ING",
))
completed = OrderItem(
"1", "A", "BUY", "", "56", None, 100, "add-1",
traded_volume=100, trade_amount=950,
)
state.reconcile([position], [completed])
item = state.get("A")
self.assertEqual(item.added_status, STATUS_OK)
self.assertEqual(item.added_num, 1)
self.assertEqual(item.added_qty, 100)
self.assertEqual(item.added_cost, 9.5)
def test_low_cash_still_runs_position_management(self):
client = SimpleNamespace(
portfolio=lambda: Portfolio(