dev zt

py-client/strategy/zt/boot.py

@@ -1,112 +1,114 @@
-"""日内做 T 策略启动器。"""
+"""做 T 策略启动器。
+
+该模块负责组合 SDK、配置、状态存储和做 T 策略组件，供 main.py 调用。
+"""
 
 from __future__ import annotations
 
-import logging
+import logging as log
 import time
-from concurrent.futures import Future, ThreadPoolExecutor
 from datetime import datetime, time as clock_time
 
 import config
 from libs.calc import trading_time
-from libs.grid_take_profit import GridTrailingTracker
 from libs.market import market_allow_open
 from libs.signal import init_signals
+from libs.collector import collector_push
+from libs.grid_take_profit import GridTrailingTracker
 from sdk import Client
-from strategy.trend.order import OrderBook
-from strategy.trend.watch import DipWatch
-
+from .order import OrderBook
+from .watch import DipWatch
+from .runtime import Runtime
+from .state import TState, SOLD
 from .open import open_signal
 from .positions import manage_positions
-from .runtime import Runtime
-from .state import TState
 
 
 def StartZT() -> None:
-    client = Client(config.global_config.qmt_base_url, config.global_config.qmt_token, config.HTTP_TIMEOUT)
-    orders = OrderBook()
-    orders.refresh(client)
-    _, positions = client.positions()
-    state = TState.for_strategy(config.global_config.qmt_data_dir, config.account_config.strategy, config.account_config.account_id)
-    state.reconcile(positions, orders.data, datetime.now().date().isoformat())
-    run = Runtime(client, config.global_config, config.account_config, state, orders, DipWatch(), GridTrailingTracker(config.account_config.grid_step_pct))
-    while True:
-        started = time.monotonic()
-        try:
-            RunOnce(run)
-        except Exception:
-            logging.exception("ZT 策略本轮失败")
-        time.sleep(max(0.0, 30.0 - (time.monotonic() - started)))
+    """初始化做 T 策略，并以 30 秒间隔持续执行。"""
+    with Client(config.global_config.qmt_base_url, config.global_config.qmt_token,
+                config.HTTP_TIMEOUT) as client:
+        state = TState.for_strategy(config.global_config.qmt_data_dir, "zt", config.account_config.account_id)
+        run = Runtime(client, config.global_config, config.account_config, state,
+                      OrderBook(), DipWatch(), DipWatch(),
+                      GridTrailingTracker(config.account_config.grid_step_pct))
+        log.info("[ZT 启动] 账户=%s，底仓信号=dcm，状态文件=%s", run.account_cfg.account_id, state.path)
+        while True:
+            now = datetime.now()
+            if now.time() >= clock_time(15):
+                # 收盘前最后一次只读对账，不发新单；未完成买回继续持久保存。
+                try:
+                    portfolio = client.portfolio()
+                    state.reconcile(list(portfolio.positions.values()), portfolio.orders, now.date().isoformat())
+                except Exception:
+                    log.exception("[ZT] 收盘对账失败，保留本地待确认记录")
+                for item in state.items.values():
+                    if item.phase == SOLD or state.busy(item.code):
+                        log.warning("[ZT] 收盘仍有待完成轮次：%s", item.code)
+                return
+            # 单轮失败不能杀死唯一的交易定时线程。
+            try:
+                RunOnce(run)
+            except Exception:
+                log.exception("[ZT] 本 tick 执行失败，下一个 tick 继续")
+            # 计算距离下一个目标时间点（0秒或30秒）的等待时间。
+            time.sleep(30 - datetime.now().second % 30)
 
 
 def RunOnce(run: Runtime) -> None:
-    if not trading_time(datetime.now()):
+    """账户快照 → 成交对账 → 做 T 管理 → dcm 建仓，共用一份资金预算。"""
+    now = datetime.now()
+    if not trading_time(now) or now.time() >= clock_time(15):
         return
+    today = now.date().isoformat()
+    started_at = time.monotonic()
+
+    # 1. 一次获取资产、持仓和订单，并清理过期订单。
+    portfolio = run.client.portfolio()
+    positions = list(portfolio.positions.values())
+    run.orders.refresh(run.client, portfolio.orders)
+    # 对账使用完整原始订单列表，不能丢弃撤单和废单的部分成交。
+    run.state.reconcile(positions, portfolio.orders, today)
+
+    # 2. 获取本策略的信号开仓数据；信号失败不阻断已有做 T 买回。
     try:
-        run.orders.refresh(run.client)
-        assets = run.client.assets()
-        position_codes, positions = run.client.positions()
+        signals = init_signals(run.global_cfg, ["dcm"])
     except Exception:
-        logging.exception("[ZT] 刷新账户或订单失败")
+        log.exception("[ZT] 获取 dcm 信号失败，本轮只管理已有底仓")
+        signals = []
+    position_codes = {position.stock_code for position in positions if position.volume > 0}
+    candidates = [signal for signal in signals
+                  if signal.signal_key == "dcm" and signal.code not in position_codes]
+
+    # 3. 获取持仓和待开仓证券的实时行情 tick，零持仓的待买回证券也包含在内。
+    codes = list(dict.fromkeys(list(position_codes) + list(run.state.items)
+                              + [signal.code for signal in candidates]))
+    ticks = run.client.full_tick(codes) if codes else {}
+    now = datetime.now()  # 网络请求可能跨过尾盘边界，提交前重新判断。
+    if not trading_time(now) or now.time() >= clock_time(15):
         return
-    today = datetime.now().date().isoformat()
-    try:
-        signals = init_signals(run.global_cfg, run.account_cfg.signal_allow)
-    except Exception:
-        logging.exception("[ZT] 获取 dcm 信号失败")
-        return
-    candidate_codes = [item.code for item in signals if item.code not in position_codes]
-    codes = list(dict.fromkeys(position_codes + candidate_codes))
-    try:
-        ticks = run.client.full_tick(codes)
-    except Exception:
-        logging.exception("[ZT] 获取行情失败")
-        return
-    market_ok = market_allow_open(run.global_cfg.api_host)
-    can_open = market_ok and assets.available >= assets.total * run.account_cfg.min_cash_ratio
-    force_buy_back = datetime.now().time() >= clock_time(14, 50)
 
-    # 状态对账与开仓判断并行。持仓线程在自己的线程中等待对账完成，
-    # 以保证它读取到最新的底仓和做 T 轮次状态，避免并发写 State。
-    with ThreadPoolExecutor(max_workers=3, thread_name_prefix="zt") as executor:
-        state_future = executor.submit(run.state.reconcile, positions, run.orders.data, today)
-        open_future = executor.submit(_run_open_signal, state_future, run, ticks, signals, can_open)
-        positions_future = executor.submit(
-            _run_manage_positions,
-            state_future,
-            run,
-            ticks,
-            positions,
-            assets.available,
-            today,
-            force_buy_back,
-        )
-        _wait_worker("状态对账", state_future)
-        _wait_worker("开仓", open_future)
-        _wait_worker("持仓管理", positions_future)
+    # 4. 先完成买回，避免开底仓抢占资金；交易逻辑串行，状态无需多线程写入。
+    available = max(0.0, portfolio.assets.available)
+    # 未确认买单可能尚未反映在资金快照中，保守预留，宁可少买也不重复使用。
+    for pending in run.state.pending.values():
+        if pending.kind != "sell":
+            tick = ticks.get(pending.code)
+            if tick is None or tick.last_price <= 0:
+                available = 0.0
+                break
+            available = max(0.0, available - pending.qty * tick.last_price * 1.01)
+    force = now.time() >= clock_time(14, 50)
+    available = manage_positions(run, ticks, positions, available, today, force)
 
+    # 5. 验证可用资金；低于资金安全线时禁止开新仓，尾盘只完成做 T 买回。
+    reserve = max(0.0, portfolio.assets.total * run.account_cfg.min_cash_ratio)
+    # 未完成的卖出/买回可能继续占用资金，不再额外开底仓。
+    outstanding = bool(run.state.pending) or any(item.phase == SOLD for item in run.state.items.values())
+    if not force and not outstanding and market_allow_open() and available > reserve:
+        open_signal(run, ticks, candidates, available - reserve)
 
-def _run_open_signal(state_future: Future, run: Runtime, ticks, signals, can_open: bool) -> None:
-    state_future.result()
-    if can_open:
-        open_signal(run, ticks, signals)
-
-
-def _run_manage_positions(
-    state_future: Future,
-    run: Runtime,
-    ticks,
-    positions,
-    available: float,
-    today: str,
-    force_buy_back: bool,
-) -> None:
-    state_future.result()
-    manage_positions(run, ticks, positions, available, today, force_buy_back)
-
-
-def _wait_worker(name: str, future: Future) -> None:
-    try:
-        future.result()
-    except Exception:
-        logging.exception("[ZT] %s线程失败", name)
+    # 6. 数据采集不与交易逻辑争用状态；采集函数自身隔离传输异常。
+    collector_push(run.account_cfg.account_id, portfolio.assets, positions)
+    log.info("[ZT] 本轮完成，底仓=%d，待确认=%d，耗时=%d毫秒",
+             len(run.state.items), len(run.state.pending), int((time.monotonic() - started_at) * 1000))

py-client/strategy/zt/open.py

@@ -2,30 +2,100 @@
 
 from __future__ import annotations
 
-import logging
+from datetime import datetime
+import logging as log
+import math
 
 from libs.calc import calc_buy_volume
 from sdk import OP_BUY
-from strategy.trend.order import PlaceOrderRequest
+from .runtime import Runtime
+from .order import PlaceOrderRequest
+from .state import PendingOrder
 
 
-def open_signal(run, ticks, signals) -> None:
-    """仅处理 dcm 信号，使用趋势策略同款反弹确认建立底仓。"""
-    for signal in signals:
-        if signal.signal_key != "dcm" or run.orders.busy(signal.code, "BUY"):
+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:
+            now = datetime.now()
+            if (now.hour, now.minute) >= (14, 50):
+                break
+            if item.signal_key != "dcm" or item.code in run.account_cfg.excluded_codes:
+                continue
+            state = run.state.items.get(item.code)
+            if state is not None and state.base_qty > 0:
+                continue
+            # 1. 验证信号配置允许开仓的时间区间。
+            signal_config = run.global_cfg.signals.get("dcm")
+            if signal_config is None or not check_timezone(signal_config.timezone):
+                continue
+            # 2. 检查该证券是否已有买入委托锁，防止重复下单。
+            if run.state.busy(item.code) or run.orders.busy(item.code, "BUY") or run.orders.busy(item.code, "SELL"):
+                continue
+            # 3. 验证行情和最新价格是否有效。
+            tick = ticks.get(item.code)
+            price = tick.last_price if tick else 0.0
+            if not math.isfinite(price) or price <= 0 or price > run.account_cfg.zt_max_price:
+                continue
+            # 4. 根据单笔买入金额计算整手开仓数量，预留少量价差和费用。
+            budget = min(run.account_cfg.buy_value, available)
+            volume = calc_buy_volume(price, budget)
+            amount = price * volume * 1.01
+            if volume <= 0 or price * volume > budget or amount > available:
+                continue
+            # 5. 等待价格从观察低点反弹，防止直接接下跌中的“飞刀”。
+            if not run.open_watch.triggered("ZT 建仓", item.code, price):
+                continue
+            order_id = run.orders.new_order_id("base")
+            request = PlaceOrderRequest(OP_BUY, item.code, volume, order_id, "zt", kind="base")
+            run.state.new_order(PendingOrder(order_id, item.code, "base", volume, datetime.now().date().isoformat()))
+            # 即使响应丢失，也保留资金预算和 pending，不能继续使用这笔钱。
+            available -= amount
+            if run.orders.place(run.client, request):
+                run.open_watch.forget(item.code)
+                log.info("[ZT 建仓] %s 买入 %d 股，等待实际成交", item.code, volume)
+        except Exception:
+            log.exception("[ZT 建仓] %s 处理异常，继续后续信号", item.code)
+    return available
+
+
+def check_timezone(timezone: str, now: datetime | None = None) -> bool:
+    """验证当前时间是否处于配置区间。
+
+    ``*`` 表示全天允许；多个区间用逗号分隔，例如
+    ``9:30-10:30,13:30-14:30``。同时支持跨午夜区间。
+    """
+    timezone = str(timezone or "").strip()
+    if timezone == "*":
+        return True
+
+    current = now or datetime.now()
+    current_minutes = current.hour * 60 + current.minute
+
+    for section in timezone.split(","):
+        bounds = section.strip().split("-")
+        if len(bounds) != 2:
             continue
-        tick = ticks.get(signal.code)
-        price = tick.last_price if tick else 0.0
-        if price <= 0 or price > run.account_cfg.zt_max_price:
+        start = _parse_minutes(bounds[0])
+        end = _parse_minutes(bounds[1])
+        if start is None or end is None:
             continue
-        volume = calc_buy_volume(price, run.account_cfg.buy_value)
-        if volume <= 0 or not run.buy_watch.triggered("ZT 建仓", signal.code, price):
-            continue
-        request = PlaceOrderRequest(run.client, OP_BUY, signal.code, volume, run.orders.new_order_id("base"), run.account_cfg.strategy)
-        if run.orders.place(request):
-            run.buy_watch.forget(signal.code)
-            logging.info("[ZT 建仓] %s 买入 %d 股", signal.code, volume)
+
+        if start <= end and start <= current_minutes <= end:
+            return True
+        if start > end and (current_minutes >= start or current_minutes <= end):
+            return True
+
+    return False
 
 
-# 与 trend 策略的开仓函数命名保持一致。
-open_base = open_signal
+def _parse_minutes(value: str) -> int | None:
+    """把 ``时:分`` 转换为当天分钟数，无效值返回 None。"""
+    try:
+        hour_text, minute_text = value.strip().split(":")
+        hour, minute = int(hour_text), int(minute_text)
+    except (TypeError, ValueError):
+        return None
+    if not 0 <= hour <= 23 or not 0 <= minute <= 59:
+        return None
+    return hour * 60 + minute

py-client/strategy/zt/order.py

@@ -0,0 +1,125 @@
+"""做 T 策略委托簿，对应 Go 客户端的 ``logic/order.go``。"""
+
+from __future__ import annotations
+
+import secrets
+from dataclasses import dataclass
+from datetime import datetime, timedelta
+from threading import Lock
+from cachelib import SimpleCache
+import logging
+
+import httpx
+from sdk import Client,ORDER_SIDE_BY_OFFSET,APIError,OrderItem
+
+# 表示委托仍在处理、可能继续成交的 QMT 状态。
+BUSY_STATUSES = {"48", "49", "50", "51", "52", "55"}
+COMPLETED_STATUSES = {"56"}
+TRACKED_STATUSES = BUSY_STATUSES | COMPLETED_STATUSES
+CANCELABLE_STATUSES = {"49", "50", "51", "52"}
+
+
+@dataclass(slots=True)
+class PlaceOrderRequest:
+    """``OrderBook.place`` 提交委托所需的全部参数。"""
+    op: int
+    code: str
+    volume: int
+    order_id: str
+    strategy_name: str
+    kind: str = ""
+
+
+class OrderBook:
+    """线程安全的活动委托缓存。"""
+
+    def __init__(self, lock_timeout_sec: int = 180, cancel_timeout_sec: float = 10) -> None:
+        self.lock_timeout_sec = max(1, lock_timeout_sec)
+        self.cancel_timeout_sec = timedelta(seconds=cancel_timeout_sec)
+        self.data: list[OrderItem] = []
+        self.busy_keys: set[str] = set()
+        self.busy_cache = SimpleCache(threshold=10_000, default_timeout=self.lock_timeout_sec)
+        self.mutex = Lock()
+
+    @staticmethod
+    def new_order_id(side:str) -> str:
+        """生成 ``zt-xxxxxxxx`` 格式的本地订单号。"""
+        return f"zt-{side}-{secrets.token_hex(10)}"
+
+    def busy(self, code: str, side: str) -> bool:
+        """判断证券是否存在仍在处理中的同方向委托。"""
+        with self.mutex:
+            key = self._busy_key(side, code)
+            return key in self.busy_keys or self.busy_cache.has(key)
+
+    @staticmethod
+    def _busy_key(side: str, code: str) -> str:
+        return f"{side}-{code}"
+
+    def refresh(self, client: Client, orders: list[OrderItem]) -> None:
+        """用账户快照刷新委托，并撤销超时的活动委托。"""
+        current = datetime.now()
+        data: list[OrderItem] = []
+        busy_keys: set[str] = set()
+        canceled = 0
+
+        for item in orders:
+            # 不处理状态不对的
+            if item.status not in TRACKED_STATUSES:
+                continue
+            if item.status in BUSY_STATUSES:
+                busy_keys.add(self._busy_key(item.side, item.code))
+            # 清理过期的
+            if (
+                item.created_at is not None
+                and item.local_order_id.startswith("zt-")
+                and item.status in CANCELABLE_STATUSES
+                and current - item.created_at > self.cancel_timeout_sec
+            ):
+                try:
+                    client.cancel_by_id(item.id)
+                    canceled += 1
+                    logging.info("[Order] 超时撤单，代码=%s，方向=%s，柜台订单=%s", item.code, item.side, item.id)
+                except Exception:
+                    logging.exception("[Order] 撤单失败，保留在途状态，订单=%s", item.id)
+
+            # 缓存本次有效订单
+            data.append(item)
+
+        with self.mutex:
+            self.data = data
+            self.busy_keys = busy_keys
+        logging.info("[Order] 刷新完成，跟踪=%d，处理中=%d，撤销=%d", len(data), len(busy_keys), canceled)
+
+    def place(self, client: Client, request: PlaceOrderRequest) -> bool:
+        """按最新价提交委托，并立即写入本地方向锁。"""
+        side = ORDER_SIDE_BY_OFFSET.get(str(request.op), "")
+        if not side:
+            logging.warning("[Order] 下单失败，代码=%s，原因=未知买卖方向(%s)", request.code, request.op)
+            return False
+
+        key = self._busy_key(side, request.code)
+        with self.mutex:
+            if key in self.busy_keys or self.busy_cache.has(key):
+                logging.info("[Order] 跳过重复下单，代码=%s，方向=%s", request.code, side)
+                return False
+            self.busy_cache.set(key, True, timeout=self.lock_timeout_sec)
+
+        try:
+            result = client.passorder(
+                op_type=request.op,
+                stock_code=request.code,
+                volume=request.volume,
+                strategy_name=request.strategy_name,
+                order_id=request.order_id,
+            )
+        except APIError as exc:
+            logging.exception("[Order] 下单失败，代码=%s，本地订单=%s，HTTP状态=%d，错误=%s", request.code, request.order_id, exc.status_code, exc.message or str(exc))
+            return False
+        except (httpx.RequestError, ValueError):
+            # 响应异常不能证明柜台未受理，保留缓存防重，不自动重试。
+            logging.exception("[Order] 下单请求或响应异常，代码=%s，本地订单=%s", request.code, request.order_id)
+            return False
+        
+        logging.info("[Order] 下单已受理，代码=%s，方向=%s，数量=%d，本地订单=%s，返回=%s", request.code, side, request.volume, request.order_id, result)
+        return True

py-client/strategy/zt/positions.py

@@ -1,71 +1,94 @@
-"""日内先卖后买的做 T 规则。"""
+"""日内先卖后买的做 T 规则，不包含趋势补仓或整仓止盈。"""
 
 from __future__ import annotations
 
-import logging
+from datetime import datetime
+import logging as log
+import math
 
 from libs.grid_take_profit import GridState
 from sdk import OP_BUY, OP_SELL, PositionItem
-from strategy.trend.order import PlaceOrderRequest
-
-from .state import BUYING, READY, SELLING, SOLD
+from .order import PlaceOrderRequest
+from .runtime import Runtime
+from .state import PendingOrder, READY, SOLD
 
 
-def manage_positions(run, ticks, positions: list[PositionItem], available: float, today: str, force_buy_back: bool = False) -> None:
-    for position in positions:
-        code = position.stock_code
-        tick = ticks.get(code)
-        if not code or code in run.account_cfg.excluded_codes or tick is None:
-            continue
-        price = tick.last_price
-        if price <= 0 or price > run.account_cfg.zt_max_price:
-            continue
+def manage_positions(run: Runtime, ticks, positions: list[PositionItem], available: float,
+                     today: str, force_buy_back: bool = False) -> float:
+    """遍历本地底仓记录；全部卖出后即使持仓快照为空，也必须处理买回。"""
+    by_code = {position.stock_code: position for position in positions}
+    for code, state in list(run.state.items.items()):
         try:
-            state = run.state.get(code)
-        except KeyError:
-            continue
-        if state.phase == READY and not force_buy_back:
-            _try_sell(run, state, position, price, today)
-        elif state.phase == SOLD:
-            _try_buy_back(run, state, price, available, today, force_buy_back)
+            now = datetime.now()
+            if now.hour >= 15:
+                break
+            force_buy_back = force_buy_back or (now.hour, now.minute) >= (14, 50)
+            if code in run.account_cfg.excluded_codes or run.state.busy(code):
+                continue
+            if run.orders.busy(code, "BUY") or run.orders.busy(code, "SELL"):
+                continue
+            tick = ticks.get(code)
+            price = tick.last_price if tick else 0.0
+            if not math.isfinite(price) or price <= 0:
+                continue
+            position = by_code.get(code)
+            actual_qty = position.volume if position else 0
+            expected_qty = state.base_qty - state.sell_qty + state.buy_qty
+            # 快照延迟或手动增减仓不能当作新的做 T 信号，先核对数量差异。
+            if actual_qty != expected_qty:
+                log.warning("[ZT 持仓] %s 数量不符，记录=%d，实际=%d，暂停交易", code, expected_qty, actual_qty)
+                continue
+            if state.phase == SOLD:
+                available = _try_buy_back(run, state, price, available, today, force_buy_back)
+            elif state.phase == READY and position and not force_buy_back:
+                if price <= run.account_cfg.zt_max_price:
+                    _try_sell(run, state, position, price, today)
+        except Exception:
+            log.exception("[ZT 持仓] %s 处理异常，继续后续证券", code)
+    return available
 
 
-def _try_sell(run, state, position: PositionItem, price: float, today: str) -> None:
-    if state.base_cost <= 0 or run.orders.busy(state.code, "SELL"):
+def _try_sell(run: Runtime, state, position: PositionItem, price: float, today: str) -> None:
+    """基于独立保存的底仓成本，用跨轮最高盈利网格判断做 T 卖出。"""
+    if state.base_cost <= 0:
         return
     pnl_rate = (price - state.base_cost) / state.base_cost * 100
-    observation = run.sell_tracker.observe(f"{run.account_cfg.account_id}:{state.code}", pnl_rate)
+    key = f"{run.account_cfg.account_id}:{state.code}:{today}"
+    observation = run.sell_tracker.observe(key, pnl_rate)
     if observation.state != GridState.RETREAT:
         return
-    volume = min(position.can_use_volume, int(state.base_qty * run.account_cfg.zt_sell_ratio) // 100 * 100)
+    volume = min(position.can_use_volume, int(state.base_qty * run.account_cfg.zt_sell_ratio))
+    volume = volume // 100 * 100
     if volume <= 0:
         return
     order_id = run.orders.new_order_id("t-sell")
-    request = PlaceOrderRequest(run.client, OP_SELL, state.code, volume, order_id, run.account_cfg.strategy)
-    if not run.orders.place(request):
-        return
-    state.trade_date, state.phase = today, SELLING
-    state.sell_order_id, state.sell_qty, state.sell_price = order_id, volume, price
-    run.state.set(state)
-    run.state.save()
-    logging.info("[ZT 卖出] %s %d 股，网格回撤触发", state.code, volume)
+    request = PlaceOrderRequest(OP_SELL, state.code, volume, order_id, "zt", kind="sell")
+    run.state.new_order(PendingOrder(order_id, state.code, "sell", volume, today))
+    if run.orders.place(run.client, request):
+        log.info("[ZT 卖出] %s %d 股，等待成交后确定买回数量和价格", state.code, volume)
 
 
-def _try_buy_back(run, state, price: float, available: float, today: str, force: bool) -> None:
+def _try_buy_back(run: Runtime, state, price: float, available: float, today: str, force: bool) -> float:
+    """按实际卖出均价下跌后反弹买回；尾盘不再受下跌幅度、反弹及价格上限限制。"""
     target = state.sell_price * (1 - run.account_cfg.zt_buy_fall_pct / 100)
-    if (not force and price > target) or run.orders.busy(state.code, "BUY"):
-        return
-    if state.sell_qty <= 0 or price * state.sell_qty > available:
-        return
+    if not force and (price > target or price > run.account_cfg.zt_max_price):
+        return available
+    volume = state.sell_qty - state.buy_qty
+    amount = price * volume * 1.01
+    if volume <= 0 or amount > available:
+        log.warning("[ZT 买回] %s 买回资金不足或数量无效，保留未完成轮次", state.code)
+        return available
     if not force and not run.buy_watch.triggered("ZT 买回", state.code, price):
-        return
+        return available
     order_id = run.orders.new_order_id("t-buy")
-    request = PlaceOrderRequest(run.client, OP_BUY, state.code, state.sell_qty, order_id, run.account_cfg.strategy)
-    if not run.orders.place(request):
-        return
-    state.trade_date, state.phase, state.buy_order_id = today, BUYING, order_id
-    run.state.set(state)
-    run.state.save()
-    run.buy_watch.forget(state.code)
-    reason = "尾盘强制买回" if force else f"回撤 {run.account_cfg.zt_buy_fall_pct:.2f}% 后反弹确认"
-    logging.info("[ZT 买回] %s %d 股，%s", state.code, state.sell_qty, reason)
+    request = PlaceOrderRequest(OP_BUY, state.code, volume, order_id, "zt", kind="buy")
+    run.state.new_order(PendingOrder(order_id, state.code, "buy", volume, today))
+    # pending 已落盘，任何请求结果都预留资金；下一轮再从柜台快照确认。
+    available -= amount
+    try:
+        if run.orders.place(run.client, request):
+            run.buy_watch.forget(state.code)
+            log.info("[ZT 买回] %s %d 股，%s", state.code, volume, "尾盘强制买回" if force else "下跌后反弹")
+    except Exception:
+        log.exception("[ZT 买回] %s 请求结果未知，保留 pending 和预算", state.code)
+    return available

py-client/strategy/zt/runtime.py

@@ -1,22 +1,31 @@
-"""做 T 策略的运行期依赖。"""
+"""做 T 策略单次运行所需的上下文对象。"""
 
 from dataclasses import dataclass
 
 from config import AccountConfig, GlobalConfig
 from libs.grid_take_profit import GridTrailingTracker
 from sdk import Client
-from strategy.trend.order import OrderBook
-from strategy.trend.watch import DipWatch
-
+from .order import OrderBook
+from .watch import DipWatch
 from .state import TState
 
 
 @dataclass(slots=True)
 class Runtime:
+    """集中保存策略运行期间共享的依赖和状态。
+
+    将这些对象集中到一个 dataclass 后，开仓、持仓管理和单轮调度函数
+    只需接收一个 Runtime，无需重复传递大量参数。
+    """
+
+    # 外部服务与账户配置。
     client: Client
     global_cfg: GlobalConfig
     account_cfg: AccountConfig
+
+    # 策略运行过程中共享的状态组件。
     state: TState
     orders: OrderBook
+    open_watch: DipWatch
     buy_watch: DipWatch
     sell_tracker: GridTrailingTracker

py-client/strategy/zt/state.py

@@ -1,20 +1,18 @@
-"""做 T 策略的底仓与日内轮次状态。"""
+"""做 T 策略的底仓、待确认委托和实际成交记录。"""
 
 from __future__ import annotations
 
 import json
-from dataclasses import asdict, dataclass
+import logging as log
+import math
+from dataclasses import asdict, dataclass, field
 from pathlib import Path
-from threading import Lock
-from typing import Iterable
+from time import time
 
 from sdk import OrderItem, PositionItem
 
-READY = "READY"
-SELLING = "SELLING"
-SOLD = "SOLD"
-BUYING = "BUYING"
-DONE = "DONE"
+READY, SOLD, DONE = "READY", "SOLD", "DONE"
+TERMINAL_STATUSES = {"53", "54", "56", "57"}
 
 
 @dataclass(slots=True)
@@ -28,76 +26,139 @@ class TStateItem:
     sell_qty: int = 0
     sell_price: float = 0.0
     buy_order_id: str = ""
+    base_order_id: str = ""
+    buy_qty: int = 0
+    buy_cost: float = 0.0
+
+
+@dataclass(slots=True)
+class PendingOrder:
+    order_id: str
+    code: str
+    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)
 
 
 class TState:
-    """持久化 dcm 底仓和每只证券每日一次的做 T 进度。"""
+    """交易逻辑串行更新；JSON 保存底仓、待确认委托及成交历史。"""
 
     def __init__(self, path: str | Path) -> None:
         self.path = Path(path)
-        self.lock = Lock()
-        self.items = self._load()
+        self.items: dict[str, TStateItem] = {}
+        self.pending: dict[str, PendingOrder] = {}
+        self.records: list[dict] = []
+        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 get(self, code: str) -> TStateItem:
-        with self.lock:
-            return self.items[code]
+    def busy(self, code: str) -> bool:
+        return any(order.code == code for order in self.pending.values())
 
-    def set(self, item: TStateItem) -> None:
-        with self.lock:
-            self.items[item.code] = item
+    def new_order(self, order: PendingOrder) -> None:
+        """下单前落盘；请求超时不能当作失败删除，等待后续委托确认。"""
+        if self.busy(order.code):
+            raise ValueError(f"{order.code} 已有待确认委托")
+        self.pending[order.order_id] = order
+        try:
+            self.save()
+        except Exception:
+            del self.pending[order.order_id]
+            raise
 
-    def reconcile(self, positions: Iterable[PositionItem], orders: list[OrderItem], today: str) -> None:
-        position_list = [item for item in positions if item.stock_code and item.volume > 0]
-        position_codes = {item.stock_code for item in position_list}
-        by_local_id: dict[str, list[OrderItem]] = {}
+    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]] = {}
         for order in orders:
             if order.local_order_id:
-                by_local_id.setdefault(order.local_order_id, []).append(order)
-
-        for position in position_list:
-            if position.stock_code not in self.items and position.open_price > 0:
-                self.set(TStateItem(position.stock_code, position.volume, position.open_price))
-
-        for code in list(self.items):
-            item = self.get(code)
-            if code not in position_codes:
-                with self.lock:
-                    self.items.pop(code, None)
+                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]
+            if not rows:
+                log.warning("[ZT 状态] 委托暂未查到，保留待确认：%s", order_id)
                 continue
-            if item.trade_date and item.trade_date != today and item.phase in {DONE, READY}:
-                item.trade_date, item.phase = "", READY
+            if sum(row.volume for row in rows) != pending.qty:
+                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):
+                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]
+            if any(not math.isfinite(amount) or amount <= 0 for amount in amounts):
+                continue
+            amount = sum(amounts)
+            cost = amount / qty if qty else 0.0
+            item = self.items.setdefault(pending.code, TStateItem(pending.code))
+            if pending.kind == "base":
+                item.base_order_id = order_id
+                item.base_qty, item.base_cost = qty, cost
+            elif pending.kind == "sell":
+                item.trade_date = today  # 跨日成交也占用确认当天的一轮。
+                item.sell_order_id = order_id
+                item.sell_qty, item.sell_price = qty, cost
+                item.buy_qty, item.buy_cost = 0, 0.0
+                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_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]})
+            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)
+
+        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):
+                item.phase, item.trade_date = READY, ""
+                item.sell_qty = item.buy_qty = 0
+                item.sell_price = item.buy_cost = 0.0
                 item.sell_order_id = item.buy_order_id = ""
-                item.sell_qty = 0
-                item.sell_price = 0.0
-            if item.phase == SELLING and _completed(by_local_id.get(item.sell_order_id)):
-                item.phase = SOLD
-            elif item.phase == BUYING and _completed(by_local_id.get(item.buy_order_id)):
-                item.phase = DONE
-            self.set(item)
         self.save()
 
     def save(self) -> None:
-        with self.lock:
-            self.path.parent.mkdir(parents=True, exist_ok=True)
-            temporary = self.path.with_suffix(self.path.suffix + ".tmp")
-            temporary.write_text(json.dumps({key: asdict(value) for key, value in self.items.items()}, ensure_ascii=False, indent=2) + "\n", encoding="utf-8")
-            temporary.replace(self.path)
+        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")
+        temporary.replace(self.path)
 
-    def _load(self) -> dict[str, TStateItem]:
-        try:
-            raw = json.loads(self.path.read_text(encoding="utf-8"))
-        except FileNotFoundError:
-            return {}
-        except (OSError, json.JSONDecodeError) as exc:
-            raise ValueError(f"[ZT 状态] 读取失败: {exc}") from exc
-        if not isinstance(raw, dict):
-            raise ValueError("[ZT 状态] 根节点必须是对象")
-        return {code: TStateItem(**value) for code, value in raw.items()}
-
-
-def _completed(orders: list[OrderItem] | None) -> bool:
-    return bool(orders) and all(order.status == "56" for order in orders)
+    def _load(self) -> None:
+        if not self.path.is_file():
+            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.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")

py-client/strategy/zt/watch.py

@@ -0,0 +1,104 @@
+import logging as log
+from dataclasses import dataclass
+from datetime import datetime, timedelta
+from threading import Lock
+
+
+@dataclass(slots=True)
+class _Entry:
+    last_close: float
+    expires_at: datetime
+
+
+class DipWatch:
+    """观察价格低点，并在价格达到指定反弹幅度时触发。"""
+
+    def __init__(
+        self,
+        expire_seconds: float = 300,
+        rebound_threshold: float = 1.5, # 反弹力度 1.5%
+    ) -> None:
+        self.expire_seconds = expire_seconds
+        self.rebound_threshold = rebound_threshold
+        self.data: dict[str, _Entry] = {}
+        self.lock = Lock()
+
+    def triggered(
+        self,
+        tag: str,
+        code: str,
+        price: float,
+        now: datetime | None = None,
+    ) -> bool:
+        """更新观察价格；达到反弹阈值时返回 ``True``。"""
+        if price <= 0:
+            log.warning("[%s Watch] %s 价格无效：%.2f", tag, code, price)
+            return False
+
+        current = now or datetime.now()
+        with self.lock:
+            watch = self.data.get(code)
+
+            if watch is None:
+                self._start(code, price, current)
+                log.info(
+                    "[%s Watch] %s 开始观察，收盘价=%.2f",
+                    tag,
+                    code,
+                    price,
+                )
+                return False
+
+            if current >= watch.expires_at:
+                self._start(code, price, current)
+                log.info("[%sWatch] %s 观察已过期，重新观察，收盘价=%.2f", tag, code, price)
+                return False
+
+            if price < watch.last_close:
+                old_price = watch.last_close
+                self._start(code, price, current)
+                log.info(
+                    "[%s Watch] %s 刷新低点，原收盘价=%.2f，新收盘价=%.2f",
+                    tag,
+                    code,
+                    old_price,
+                    price,
+                )
+                return False
+
+            rebound = (price - watch.last_close) / watch.last_close * 100
+            if rebound < self.rebound_threshold:
+                log.info(
+                    "[%s Watch] %s 等待反弹，收盘价=%.2f，现价=%.2f，反弹=%.2f%%，阈值=%.2f%%",
+                    tag,
+                    code,
+                    watch.last_close,
+                    price,
+                    rebound,
+                    self.rebound_threshold,
+                )
+                return False
+
+            del self.data[code]
+            log.info(
+                "[%s Watch] %s 反弹触发，收盘价=%.2f，现价=%.2f，反弹=%.2f%%",
+                tag,
+                code,
+                watch.last_close,
+                price,
+                rebound,
+            )
+            return True
+
+    def forget(self, code: str) -> None:
+        """清除指定股票的价格观察状态。"""
+        with self.lock:
+            removed = self.data.pop(code, None)
+        if removed is not None:
+            log.info("[Watch] %s 已清除观察状态", code)
+
+    def _start(self, code: str, price: float, now: datetime) -> None:
+        self.data[code] = _Entry(
+            last_close=price,
+            expires_at=now + timedelta(seconds=self.expire_seconds),
+        )