dev zt

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