fix bug
This commit is contained in:
@@ -1,15 +1,14 @@
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"""做 T 策略的底仓、待确认委托和实际成交记录。"""
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"""做 T 策略的持仓状态和逐笔实际成交记录。"""
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from __future__ import annotations
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import json
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import logging as log
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import math
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from dataclasses import asdict, dataclass, field
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from dataclasses import dataclass
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from datetime import datetime
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from pathlib import Path
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from time import time
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from sdk import DealItem, PositionItem
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from libs.orderbook import OrderBook
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READY, SOLD, DONE = "READY", "SOLD", "DONE"
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@@ -21,180 +20,162 @@ class TStateItem:
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base_cost: float = 0.0
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trade_date: str = ""
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phase: str = READY
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sell_order_id: str = ""
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sell_qty: int = 0
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sell_price: float = 0.0
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buy_order_id: str = ""
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base_order_id: str = ""
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buy_qty: int = 0
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buy_cost: float = 0.0
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@dataclass(slots=True)
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class PendingOrder:
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order_id: str
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code: str
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kind: str # base：底仓；sell：做 T 卖出；buy：做 T 买回
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qty: int
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trade_date: str
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submit_at: float = field(default_factory=time)
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id: int = 0
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base_order_id: str = ''
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added_order_id: str = ''
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added_num: int = 0
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added_qty: int = 0
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added_cost: float = 0.0
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class TState:
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"""交易逻辑串行更新；JSON 保存底仓、待确认委托及成交历史。"""
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"""Apply actual executions immediately, atomically with their position changes."""
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def __init__(self, path: str | Path) -> None:
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self.path = Path(path)
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self.items: dict[str, TStateItem] = {}
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self.pending: dict[str, PendingOrder] = {}
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self.records: list[dict] = []
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self._store = OrderBook(path)
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self.path = self._store.path
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self._load()
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@staticmethod
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def _is_zt_deal(deal: DealItem) -> bool:
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return (
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deal.side == 'BUY' and deal.local_order_id.startswith(('zt-base-', 'zt-t-buy-'))
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) or (
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deal.side == 'SELL' and deal.local_order_id.startswith('zt-t-sell-')
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)
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@staticmethod
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def _reset(item: TStateItem, date: str) -> bool:
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if item.phase == DONE and item.trade_date != date:
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item.phase, item.trade_date = READY, ''
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item.sell_qty = item.buy_qty = 0
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item.sell_price = item.buy_cost = 0.0
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return True
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return False
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@classmethod
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def for_strategy(
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cls, data_dir: str | Path, strategy: str, account_id: str
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) -> TState:
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return cls(Path(data_dir) / f"{strategy}_{account_id}_state.json")
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def busy(self, code: str) -> bool:
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return any(order.code == code for order in self.pending.values())
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def new_order(self, order: PendingOrder) -> None:
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"""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。"""
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if self.busy(order.code):
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raise ValueError(f"{order.code} 已有待确认委托")
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self.pending[order.order_id] = order
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try:
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self.save()
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except Exception:
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del self.pending[order.order_id]
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raise
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def _apply_t_deal(cls, item: TStateItem, deal: dict) -> None:
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"""实时入账与重启恢复共用同一套做 T 轮次计算。"""
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cls._reset(item, deal['insert_date'])
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qty, amount = deal['traded_volume'], deal['trade_amount']
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if deal['side'] == 'SELL':
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total = item.sell_qty + qty
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item.sell_price = (item.sell_qty * item.sell_price + amount) / total
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item.sell_qty = total
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item.phase = SOLD
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else:
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total = item.buy_qty + qty
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item.buy_cost = (item.buy_qty * item.buy_cost + amount) / total
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item.buy_qty = total
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item.phase = DONE if total >= item.sell_qty else SOLD
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item.trade_date = deal['insert_date']
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def reconcile(
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self, positions: list[PositionItem], deals: list[DealItem], today: str
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self, positions: list[PositionItem], deals: list[DealItem]
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) -> None:
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"""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。"""
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# 同一本地委托可能有多笔成交；按成交编号去重后合并数量和金额。
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by_id: dict[str, dict[str, DealItem]] = {}
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"""Deduplicate each fill; partial fills do not wait for order completion."""
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today = datetime.now().date().isoformat()
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seen = {row['sys_order_id'] for row in self.deals}
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rows = []
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for deal in deals:
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if deal.local_order_id and deal.id:
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by_id.setdefault(deal.local_order_id, {})[deal.id] = deal
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for order_id, pending in list(self.pending.items()):
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side = "SELL" if pending.kind == "sell" else "BUY"
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rows = [
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row
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for row in by_id.get(order_id, {}).values()
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if row.code == pending.code and row.side == side
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]
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if not rows:
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log.warning("[ZT 状态] 成交暂未查到，保留待确认：%s", order_id)
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if not self._is_zt_deal(deal) or deal.sys_order_id in seen:
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continue
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qty = sum(row.volume for row in rows)
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# 成交未达到计划数量时继续等待，防止后续成交到达后重复记账。
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if qty != pending.qty:
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try:
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row = self._store.deal_record(deal)
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except ValueError:
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continue
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amounts = [
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row.amount if row.amount > 0 else row.price * row.volume
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for row in rows
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if row.volume > 0
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]
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if any(not math.isfinite(amount) or amount <= 0 for amount in amounts):
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continue
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amount = sum(amounts)
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cost = amount / qty if qty else 0.0
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item = self.items.setdefault(pending.code, TStateItem(pending.code))
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if pending.kind == "base":
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item.base_order_id = order_id
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item.base_qty, item.base_cost = qty, cost
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elif pending.kind == "sell":
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item.trade_date = today # 跨日成交也占用确认当天的一轮。
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item.sell_order_id = order_id
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item.sell_qty, item.sell_price = qty, cost
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item.buy_qty, item.buy_cost = 0, 0.0
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item.phase = SOLD if qty else READY
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else:
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total = item.buy_qty + qty
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item.buy_cost = (
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(item.buy_qty * item.buy_cost + amount) / total if total else 0.0
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rows.append(row)
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seen.add(deal.sys_order_id)
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rows.sort(key=lambda r: (r['insert_date'], r['insert_time']))
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modified = False
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try:
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# Snapshot includes these fills: subtract their net quantity before replay.
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net = {}
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for row in rows:
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net[row['code']] = net.get(row['code'], 0) + (
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row['traded_volume'] if row['side'] == 'BUY' else -row['traded_volume']
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)
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item.buy_qty = total
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item.buy_order_id = order_id
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item.phase = DONE if total >= item.sell_qty else SOLD
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if item.phase == DONE:
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item.trade_date = today
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# 记录真实成交编号，重启后仍可核对本次状态变更的来源。
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self.records.append(
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{
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**asdict(pending),
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"confirmed_date": today,
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"filled_qty": qty,
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"filled_cost": cost,
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"amount": amount,
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"deal_ids": [row.id for row in rows],
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}
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)
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del self.pending[order_id]
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for position in positions:
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code = position.stock_code
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if code in self.items or position.volume <= 0:
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continue
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if not math.isfinite(position.open_price) or position.open_price <= 0:
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continue
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qty = max(0, position.volume - net.get(code, 0))
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self.items[code] = TStateItem(code, qty, position.open_price if qty else 0.0)
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modified = True
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for position in positions:
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code = position.stock_code
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if position.volume <= 0 or self.busy(code):
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continue
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if (
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code not in self.items
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and math.isfinite(position.open_price)
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and position.open_price > 0
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):
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self.items[code] = TStateItem(
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code, position.volume, position.open_price
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)
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self.records.append(
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{
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"kind": "import",
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"code": code,
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"date": today,
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"filled_qty": position.volume,
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"filled_cost": position.open_price,
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}
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)
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log.warning(
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"[ZT 底仓] 首次接管 %s，使用当前均价，无法还原历史成本", code
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)
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# 全部卖出时快照可能已无该证券，按净卖出数量恢复待买回的底仓数量。
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for code, delta in net.items():
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if code not in self.items and delta < 0:
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self.items[code] = TStateItem(code, -delta)
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for item in self.items.values():
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# 未买回的轮次跨日继续，不删除零持仓的做 T 债务。
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if (
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item.trade_date != today
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and item.phase == DONE
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and not self.busy(item.code)
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):
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item.phase, item.trade_date = READY, ""
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item.sell_qty = item.buy_qty = 0
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item.sell_price = item.buy_cost = 0.0
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item.sell_order_id = item.buy_order_id = ""
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self.save()
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for row in rows:
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item = self.items.setdefault(row['code'], TStateItem(row['code']))
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self._reset(item, row['insert_date'])
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qty, amount = row['traded_volume'], row['trade_amount']
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if row['local_order_id'].startswith('zt-base-'):
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total = item.base_qty + qty
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item.base_cost = (item.base_qty * item.base_cost + amount) / total
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item.base_qty = total
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item.base_order_id = row['local_order_id']
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else:
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self._apply_t_deal(item, row)
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self.deals.append(row)
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modified = True
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for item in self.items.values():
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modified = self._reset(item, today) or modified
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if modified:
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self.save()
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except Exception:
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self._load()
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raise
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def save(self) -> None:
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self.path.parent.mkdir(parents=True, exist_ok=True)
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temporary = self.path.with_suffix(self.path.suffix + ".tmp")
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payload = {
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"items": {key: asdict(item) for key, item in self.items.items()},
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"pending": {key: asdict(item) for key, item in self.pending.items()},
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"records": self.records,
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}
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temporary.write_text(
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json.dumps(payload, ensure_ascii=False, indent=2, allow_nan=False) + "\n",
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encoding="utf-8",
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)
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temporary.replace(self.path)
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try:
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self._store.save(
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{
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code: {
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'code': item.code,
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'base_order_id': item.base_order_id,
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'base_qty': item.base_qty,
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'base_cost': item.base_cost,
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'added_order_id': item.added_order_id,
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'added_num': item.added_num,
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'added_qty': item.added_qty,
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'added_cost': item.added_cost,
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'status': item.phase,
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}
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for code, item in self.items.items()
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},
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self.deals,
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)
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except Exception:
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self._load()
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raise
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def _load(self) -> None:
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if not self.path.is_file():
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return
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raw = json.loads(self.path.read_text(encoding="utf-8"))
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self.items = {
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code: TStateItem(**item) for code, item in raw["items"].items()
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}
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self.pending = {
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key: PendingOrder(**item) for key, item in raw["pending"].items()
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}
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self.records = raw["records"]
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self._store.load()
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self.items = {}
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for code, position in self._store.positions.items():
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position = dict(position)
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position['phase'] = position.pop('status')
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self.items[code] = TStateItem(**position)
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self.deals = [
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{key: value for key, value in deal.items() if key != 'id'}
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for deal in self._store.deals.values()
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]
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# 轮次明细不占用持仓表字段，从已保存的逐笔成交重建。
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for deal in self.deals:
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if not deal['local_order_id'].startswith('zt-base-') and deal['code'] in self.items:
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self._apply_t_deal(self.items[deal['code']], deal)
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for code, item in self.items.items():
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if self._store.positions[code]['status'] == READY:
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item.phase, item.trade_date = READY, ''
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item.sell_qty = item.buy_qty = 0
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item.sell_price = item.buy_cost = 0.0
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