dev zt
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@@ -1,7 +1,6 @@
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"""SQLite 策略状态与成交存储；每个数据库仅使用一个写入者，不做数据迁移。"""
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import math
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import json
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import logging as log
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import sqlite3
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from contextlib import closing
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@@ -29,12 +28,6 @@ CREATE TABLE IF NOT EXISTS state (
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-- 每个证券仅保留一条策略状态。
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CREATE UNIQUE INDEX IF NOT EXISTS idx_state_stock_code ON state (stock_code);
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-- 首次归档前的持仓基准，清仓后仍保留，供迟到成交按时间重算。
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CREATE TABLE IF NOT EXISTS state_origin (
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stock_code TEXT PRIMARY KEY, -- 证券代码
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snapshot TEXT NOT NULL -- 初始持仓字段的 JSON 快照
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);
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-- 成交记录独立保存，不随状态删除。
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CREATE TABLE IF NOT EXISTS deals (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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@@ -104,8 +97,8 @@ class State:
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self.deals = deals
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self.deals_sys_ids = set(deals)
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def sync_deals(self, deals: list[DealItem]) -> None:
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"""按系统成交编号去重，整批写入成功后刷新缓存。"""
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def sync_deals(self, deals: list[DealItem], *, archived: bool = False) -> None:
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"""按成交编号去重；初始化底仓时，已包含在快照内的成交可直接标记归档。"""
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new_deals = {}
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for deal in deals:
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if deal.order_sys_id not in self.deals_sys_ids and deal.order_sys_id not in new_deals:
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@@ -127,62 +120,44 @@ class State:
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db.execute(
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'INSERT INTO deals (stock_code, order_sys_id, order_local_id, ref, '
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'order_ref, direction, offset_flag, price, volume, trade_amount, '
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'trade_date, trade_time, remark, close_profit) '
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'VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?)',
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'trade_date, trade_time, remark, close_profit, is_arch) '
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'VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?)',
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(deal.stock_code, deal.order_sys_id, order_id, deal.ref,
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deal.order_ref, deal.direction, deal.offset_flag, deal.price, deal.volume,
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amount, date, deal.trade_time, deal.remark, deal.close_profit),
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amount, date, deal.trade_time, deal.remark, deal.close_profit, int(archived)),
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)
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self.load()
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def archiving(self) -> dict[str, str]:
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"""按证券从持仓基准重放成交；失败证券保留未归档记录并返回原因。"""
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def archiving(self, *, base_order_prefix: str = '') -> dict[str, str]:
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"""将未归档成交累加到当前底仓和加仓；失败证券保留记录供重试。"""
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errors = {}
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with closing(self._connect()) as db, db:
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db.execute('BEGIN IMMEDIATE')
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codes = db.execute(
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'SELECT DISTINCT stock_code FROM deals WHERE is_arch = 0 AND offset_flag IN (48, 49)'
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'SELECT DISTINCT stock_code FROM deals WHERE is_arch = 0 AND offset_flag IN (23, 24, 48, 49)'
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).fetchall()
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for entry in codes:
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code = entry['stock_code']
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db.execute('SAVEPOINT archive_stock')
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try:
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current = db.execute('SELECT * FROM state WHERE stock_code = ?', (code,)).fetchone()
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origin = db.execute('SELECT snapshot FROM state_origin WHERE stock_code = ?', (code,)).fetchone()
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if origin is None:
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# 没有旧基准时不能用已归档后的持仓反推历史，不做数据迁移。
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if db.execute(
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'SELECT 1 FROM deals WHERE stock_code = ? AND is_arch = 1 LIMIT 1', (code,)
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).fetchone():
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raise ValueError('Missing holding baseline for archived history')
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state = dict(current) if current else asdict(StateItem(stock_code=code))
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db.execute('INSERT INTO state_origin VALUES (?, ?)', (code, json.dumps(state)))
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else:
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state = json.loads(origin['snapshot'])
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# 数量相等的初始买入视为已包含在快照中，只匹配一次。
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snapshot_qty = state['base_qty'] + state['added_qty']
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covered = False
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state = dict(current) if current else asdict(StateItem(stock_code=code))
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deals = db.execute(
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'SELECT * FROM deals WHERE stock_code = ? AND offset_flag IN (48, 49) '
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'SELECT * FROM deals WHERE stock_code = ? AND is_arch = 0 AND offset_flag IN (23, 24, 48, 49) '
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"ORDER BY trade_date, REPLACE(trade_time, ':', ''), id", (code,)
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).fetchall()
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for deal in deals:
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qty = deal['volume']
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if deal['offset_flag'] == 48:
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if not covered and snapshot_qty == qty:
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covered = True
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continue
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covered = True
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total = state['added_qty'] + qty
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state['added_price'] = (
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state['added_qty'] * state['added_price'] + deal['trade_amount']
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if deal['offset_flag'] in (23, 48):
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bucket = 'base' if base_order_prefix and deal['order_local_id'].startswith(base_order_prefix) else 'added'
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total = state[f'{bucket}_qty'] + qty
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state[f'{bucket}_price'] = (
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state[f'{bucket}_qty'] * state[f'{bucket}_price'] + deal['trade_amount']
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) / total
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state['added_qty'] = total
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state['added_order_local_id'] = deal['order_local_id']
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state['added_created_at'] = f"{deal['trade_date']} {deal['trade_time']}".strip()
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state[f'{bucket}_qty'] = total
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state[f'{bucket}_order_local_id'] = deal['order_local_id']
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state[f'{bucket}_created_at'] = f"{deal['trade_date']} {deal['trade_time']}".strip()
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else:
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# 卖出之后的买入属于新交易，不再与初始快照匹配。
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covered = True
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total = state['base_qty'] + state['added_qty']
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if qty > total:
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raise ValueError(f'Sell volume {qty} exceeds recorded holdings {total}')
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@@ -198,7 +173,7 @@ class State:
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if state['base_qty'] + state['added_qty'] == 0:
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db.execute('DELETE FROM state WHERE stock_code = ?', (code,))
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else:
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# 重算数量和成本，保留调用方当前设置的 status 及已有记录主键。
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# 更新持仓，保留策略状态及已有记录主键。
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state['status'] = current['status'] if current else state['status']
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state.pop('id', None)
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columns = tuple(state)
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@@ -211,7 +186,7 @@ class State:
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)
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db.execute(
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'UPDATE deals SET is_arch = 1 WHERE stock_code = ? '
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'AND is_arch = 0 AND offset_flag IN (48, 49)', (code,)
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'AND is_arch = 0 AND offset_flag IN (23, 24, 48, 49)', (code,)
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)
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except (ValueError, sqlite3.IntegrityError) as exc:
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db.execute('ROLLBACK TO archive_stock')
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@@ -222,28 +197,24 @@ class State:
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self.load()
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return errors
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def sync_state(self, positions: list[PositionItem]) -> None:
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def sync_state(self, positions: list[PositionItem], *, remove_missing: bool = True) -> None:
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"""同步完整持仓：无状态则插入底仓，已有则保留，清仓则删除。
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数量为零或未出现在完整持仓列表中的证券视为已清仓；空列表清空状态。
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底仓已包含的历史成交不应再次归档；后续成交须先归档，再同步持仓。
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remove_missing=False 时仅接纳新底仓，减仓由成交归档处理。
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"""
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# 传入完整账户持仓；同步时间作为新增底仓的创建时间。
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created_at = datetime.now().isoformat(timespec='seconds')
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holdings = {item.stock_code: item for item in positions if item.volume > 0}
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with closing(self._connect()) as db, db:
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db.execute('BEGIN')
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existing = {row['stock_code']: dict(row) for row in db.execute('SELECT * FROM state')}
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# 先保留基准，再删除清仓状态，卖出成交仍可据此归档。
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for code, row in existing.items():
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db.execute(
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'INSERT OR IGNORE INTO state_origin SELECT ?, ? WHERE NOT EXISTS '
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'(SELECT 1 FROM deals WHERE stock_code = ? AND is_arch = 1)',
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(code, json.dumps(row), code),
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existing = {row['stock_code'] for row in db.execute('SELECT stock_code FROM state')}
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if remove_missing:
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db.executemany(
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'DELETE FROM state WHERE stock_code = ?',
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[(code,) for code in existing if code not in holdings],
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)
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db.executemany(
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'DELETE FROM state WHERE stock_code = ?',
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[(code,) for code in existing if code not in holdings],
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)
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for code, item in holdings.items():
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if code in existing:
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continue
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