dev zt
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@@ -1,112 +1,114 @@
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"""日内做 T 策略启动器。"""
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"""做 T 策略启动器。
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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。
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"""
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from __future__ import annotations
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import logging
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import logging as log
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import time
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from concurrent.futures import Future, ThreadPoolExecutor
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from datetime import datetime, time as clock_time
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import config
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from libs.calc import trading_time
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from libs.grid_take_profit import GridTrailingTracker
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from libs.market import market_allow_open
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from libs.signal import init_signals
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from libs.collector import collector_push
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from libs.grid_take_profit import GridTrailingTracker
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from sdk import Client
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from strategy.trend.order import OrderBook
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from strategy.trend.watch import DipWatch
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from .order import OrderBook
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from .watch import DipWatch
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from .runtime import Runtime
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from .state import TState, SOLD
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from .open import open_signal
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from .positions import manage_positions
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from .runtime import Runtime
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from .state import TState
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def StartZT() -> None:
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client = Client(config.global_config.qmt_base_url, config.global_config.qmt_token, config.HTTP_TIMEOUT)
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orders = OrderBook()
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orders.refresh(client)
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_, positions = client.positions()
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state = TState.for_strategy(config.global_config.qmt_data_dir, config.account_config.strategy, config.account_config.account_id)
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state.reconcile(positions, orders.data, datetime.now().date().isoformat())
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run = Runtime(client, config.global_config, config.account_config, state, orders, DipWatch(), GridTrailingTracker(config.account_config.grid_step_pct))
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while True:
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started = time.monotonic()
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try:
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RunOnce(run)
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except Exception:
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logging.exception("ZT 策略本轮失败")
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time.sleep(max(0.0, 30.0 - (time.monotonic() - started)))
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"""初始化做 T 策略，并以 30 秒间隔持续执行。"""
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with Client(config.global_config.qmt_base_url, config.global_config.qmt_token,
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config.HTTP_TIMEOUT) as client:
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state = TState.for_strategy(config.global_config.qmt_data_dir, "zt", config.account_config.account_id)
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run = Runtime(client, config.global_config, config.account_config, state,
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OrderBook(), DipWatch(), DipWatch(),
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GridTrailingTracker(config.account_config.grid_step_pct))
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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)
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while True:
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now = datetime.now()
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if now.time() >= clock_time(15):
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# 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。
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try:
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portfolio = client.portfolio()
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state.reconcile(list(portfolio.positions.values()), portfolio.orders, now.date().isoformat())
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except Exception:
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log.exception("[ZT] 收盘对账失败，保留本地待确认记录")
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for item in state.items.values():
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if item.phase == SOLD or state.busy(item.code):
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log.warning("[ZT] 收盘仍有待完成轮次：%s", item.code)
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return
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# 单轮失败不能杀死唯一的交易定时线程。
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try:
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RunOnce(run)
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except Exception:
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log.exception("[ZT] 本 tick 执行失败，下一个 tick 继续")
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# 计算距离下一个目标时间点（0秒或30秒）的等待时间。
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time.sleep(30 - datetime.now().second % 30)
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def RunOnce(run: Runtime) -> None:
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if not trading_time(datetime.now()):
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"""账户快照 → 成交对账 → 做 T 管理 → dcm 建仓，共用一份资金预算。"""
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now = datetime.now()
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if not trading_time(now) or now.time() >= clock_time(15):
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return
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today = now.date().isoformat()
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started_at = time.monotonic()
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# 1. 一次获取资产、持仓和订单，并清理过期订单。
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portfolio = run.client.portfolio()
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positions = list(portfolio.positions.values())
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run.orders.refresh(run.client, portfolio.orders)
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# 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。
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run.state.reconcile(positions, portfolio.orders, today)
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# 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。
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try:
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run.orders.refresh(run.client)
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assets = run.client.assets()
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position_codes, positions = run.client.positions()
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signals = init_signals(run.global_cfg, ["dcm"])
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except Exception:
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logging.exception("[ZT] 刷新账户或订单失败")
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log.exception("[ZT] 获取 dcm 信号失败，本轮只管理已有底仓")
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signals = []
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position_codes = {position.stock_code for position in positions if position.volume > 0}
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candidates = [signal for signal in signals
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if signal.signal_key == "dcm" and signal.code not in position_codes]
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# 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。
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codes = list(dict.fromkeys(list(position_codes) + list(run.state.items)
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+ [signal.code for signal in candidates]))
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ticks = run.client.full_tick(codes) if codes else {}
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now = datetime.now() # 网络请求可能跨过尾盘边界，提交前重新判断。
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if not trading_time(now) or now.time() >= clock_time(15):
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return
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today = datetime.now().date().isoformat()
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try:
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signals = init_signals(run.global_cfg, run.account_cfg.signal_allow)
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except Exception:
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logging.exception("[ZT] 获取 dcm 信号失败")
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return
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candidate_codes = [item.code for item in signals if item.code not in position_codes]
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codes = list(dict.fromkeys(position_codes + candidate_codes))
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try:
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ticks = run.client.full_tick(codes)
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except Exception:
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logging.exception("[ZT] 获取行情失败")
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return
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market_ok = market_allow_open(run.global_cfg.api_host)
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can_open = market_ok and assets.available >= assets.total * run.account_cfg.min_cash_ratio
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force_buy_back = datetime.now().time() >= clock_time(14, 50)
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# 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，
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# 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。
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with ThreadPoolExecutor(max_workers=3, thread_name_prefix="zt") as executor:
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state_future = executor.submit(run.state.reconcile, positions, run.orders.data, today)
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open_future = executor.submit(_run_open_signal, state_future, run, ticks, signals, can_open)
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positions_future = executor.submit(
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_run_manage_positions,
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state_future,
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run,
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ticks,
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positions,
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assets.available,
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today,
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force_buy_back,
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)
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_wait_worker("状态对账", state_future)
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_wait_worker("开仓", open_future)
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_wait_worker("持仓管理", positions_future)
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# 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。
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available = max(0.0, portfolio.assets.available)
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# 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。
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for pending in run.state.pending.values():
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if pending.kind != "sell":
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tick = ticks.get(pending.code)
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if tick is None or tick.last_price <= 0:
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available = 0.0
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break
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available = max(0.0, available - pending.qty * tick.last_price * 1.01)
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force = now.time() >= clock_time(14, 50)
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available = manage_positions(run, ticks, positions, available, today, force)
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# 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。
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reserve = max(0.0, portfolio.assets.total * run.account_cfg.min_cash_ratio)
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# 未完成的卖出/买回可能继续占用资金，不再额外开底仓。
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outstanding = bool(run.state.pending) or any(item.phase == SOLD for item in run.state.items.values())
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if not force and not outstanding and market_allow_open() and available > reserve:
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open_signal(run, ticks, candidates, available - reserve)
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def _run_open_signal(state_future: Future, run: Runtime, ticks, signals, can_open: bool) -> None:
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state_future.result()
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if can_open:
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open_signal(run, ticks, signals)
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def _run_manage_positions(
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state_future: Future,
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run: Runtime,
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ticks,
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positions,
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available: float,
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today: str,
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force_buy_back: bool,
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) -> None:
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state_future.result()
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manage_positions(run, ticks, positions, available, today, force_buy_back)
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def _wait_worker(name: str, future: Future) -> None:
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try:
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future.result()
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except Exception:
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logging.exception("[ZT] %s线程失败", name)
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# 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。
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collector_push(run.account_cfg.account_id, portfolio.assets, positions)
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log.info("[ZT] 本轮完成，底仓=%d，待确认=%d，耗时=%d毫秒",
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len(run.state.items), len(run.state.pending), int((time.monotonic() - started_at) * 1000))
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