dev zt
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@@ -1,115 +1,101 @@
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"""日内先卖后买的做 T 规则，不包含趋势补仓或整仓止盈。"""
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"""先卖后买做 T；持仓存在 State，未买回数量从实际成交计算。"""
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import logging as log
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import math
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from libs.grid_take_profit import GridState
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from sdk import OP_BUY, OP_SELL, PositionItem
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from libs.order import PlaceOrderRequest
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from libs.runtime import Runtime
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from libs.state import State
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from sdk import OP_BUY, OP_SELL, PositionItem
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def t_rounds(store: State) -> dict[str, dict]:
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"""每只证券保留最近一轮 T，跨日未买回的数量继续保留。"""
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rounds = {}
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for deal in sorted(store.deals.values(), key=lambda d: (
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d['trade_date'], d['trade_time'].replace(':', ''), d['id']
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)):
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order = deal['order_local_id']
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code = deal['stock_code']
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if order.startswith('zt-t-sell-') and deal['offset_flag'] in (24, 49):
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item = rounds.get(code)
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if item is None or item['bought'] >= item['sold']:
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item = rounds[code] = dict(sold=0, bought=0, amount=0.0, date='')
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item['sold'] += deal['volume']
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item['amount'] += deal['trade_amount']
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item['date'] = deal['trade_date']
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elif order.startswith('zt-t-buy-') and deal['offset_flag'] in (23, 48) and code in rounds:
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rounds[code]['bought'] += deal['volume']
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rounds[code]['date'] = deal['trade_date']
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return rounds
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def manage_positions(
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run: Runtime,
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ticks,
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positions: list[PositionItem],
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available: float,
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today: str,
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force_buy_back: bool = False,
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run: Runtime, store: State, ticks, positions: list[PositionItem],
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rounds: dict[str, dict], available: float, today: str, force_buy_back: bool = False,
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) -> float:
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"""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。"""
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by_code = {position.stock_code: position for position in positions}
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for code, state in list(state_store.items.items()):
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"""先偿还买回欠仓；同一证券当天完成一轮后不再卖出。"""
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by_code = {p.stock_code: p for p in positions}
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codes = dict.fromkeys(list(rounds) + list(store.state))
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for code in sorted(codes, key=lambda c: not (c in rounds and rounds[c]['sold'] > rounds[c]['bought'])):
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try:
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if code in run.account_cfg.excluded_codes:
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continue
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if run.orders.busy(code, "BUY") or run.orders.busy(code, "SELL"):
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if run.orders.busy(code, 'BUY') or run.orders.busy(code, 'SELL'):
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continue
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tick = ticks.get(code)
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price = tick.last_price if tick else 0.0
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if not math.isfinite(price) or price <= 0:
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continue
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item = rounds.get(code)
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row = store.state.get(code, {})
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position = by_code.get(code)
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actual_qty = position.volume if position else 0
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expected_qty = state.base_qty - state.sell_qty + state.buy_qty
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# 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。
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if actual_qty != expected_qty:
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log.warning(
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"[ZT 持仓] %s 数量不符，记录=%d，实际=%d，暂停交易",
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code,
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expected_qty,
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actual_qty,
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)
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recorded = row.get('base_qty', 0) + row.get('added_qty', 0)
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if recorded != (position.volume if position else 0):
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log.warning('[ZT] %s 持仓快照与成交未对齐，等待下一轮', code)
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continue
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if state.phase == SOLD:
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available = _try_buy_back(
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run, state, price, available, force_buy_back
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)
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elif state.phase == READY and position and not force_buy_back:
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if price <= run.account_cfg.zt_max_price:
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_try_sell(run, state, position, price, today)
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if item and item['sold'] > item['bought']:
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volume = item['sold'] - item['bought']
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# 部分成交后的零股欠仓不能按普通买入申报，不扩大买回数量。
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minimum = 200 if code.startswith('688') else 100
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if not code.startswith('688'):
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volume = volume // 100 * 100
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if volume < minimum:
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log.warning('[ZT] %s 剩余买回 %d 股不满足申报数量，保留欠仓', code, item['sold'] - item['bought'])
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continue
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target = item['amount'] / item['sold'] * (1 - run.account_cfg.zt_buy_fall_pct / 100)
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if not force_buy_back and price > target:
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continue
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amount = price * volume * 1.01
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if amount > available:
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log.warning('[ZT] %s 买回资金不足，需要 %.2f，可用 %.2f', code, amount, available)
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continue
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if not force_buy_back and not run.add_watch.triggered('ZT 买回', code, price):
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continue
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available -= amount
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request = PlaceOrderRequest(OP_BUY, code, volume, run.orders.new_order_id('t-buy'), 'zt')
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if run.orders.place(run.client, request):
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run.add_watch.forget(code)
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log.info('[ZT 买回] %s %d 股%s', code, volume, '，尾盘买回' if force_buy_back else '')
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continue
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if force_buy_back or (item and item['date'] >= today) or not position or recorded <= 0:
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continue
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if price > run.account_cfg.zt_max_price:
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continue
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cost = (row['base_qty'] * row['base_price'] + row['added_qty'] * row['added_price']) / recorded
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if cost <= 0:
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continue
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pnl = (price / cost - 1) * 100
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observation = run.profit_tracker.observe(f'{run.account_cfg.account_id}:{code}:{today}', pnl)
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if observation.state != GridState.RETREAT or pnl < run.account_cfg.min_profit_pct:
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continue
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volume = int(min(position.can_use_volume, recorded * run.account_cfg.zt_sell_ratio)) // 100 * 100
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if volume < (200 if code.startswith('688') else 100):
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continue
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request = PlaceOrderRequest(OP_SELL, code, volume, run.orders.new_order_id('t-sell'), 'zt')
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if run.orders.place(run.client, request):
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log.info('[ZT 卖出] %s %d 股，按实际成交买回', code, volume)
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except Exception:
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log.exception("[ZT 持仓] %s 处理异常，继续后续证券", code)
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return available
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def _try_sell(
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run: Runtime,
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state,
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position: PositionItem,
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price: float,
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today: str,
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) -> None:
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"""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。"""
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if state.base_cost <= 0:
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return
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pnl_rate = (price - state.base_cost) / state.base_cost * 100
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key = f"{run.account_cfg.account_id}:{state.code}:{today}"
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observation = run.profit_tracker.observe(key, pnl_rate)
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if observation.state != GridState.RETREAT:
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return
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volume = min(
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position.can_use_volume, int(state.base_qty * run.account_cfg.zt_sell_ratio)
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)
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volume = volume // 100 * 100
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if volume <= 0:
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return
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order_id = run.orders.new_order_id("t-sell")
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request = PlaceOrderRequest(
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OP_SELL, state.code, volume, order_id, "zt", kind="sell"
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)
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if run.orders.place(run.client, request):
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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)
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def _try_buy_back(
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run: Runtime,
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state,
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price: float,
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available: float,
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force: bool,
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) -> float:
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"""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。"""
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target = state.sell_price * (1 - run.account_cfg.zt_buy_fall_pct / 100)
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if not force and (price > target or price > run.account_cfg.zt_max_price):
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return available
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volume = state.sell_qty - state.buy_qty
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amount = price * volume * 1.01
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if volume <= 0 or amount > available:
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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)
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return available
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if not force and not run.add_watch.triggered("ZT 买回", state.code, price):
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return available
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order_id = run.orders.new_order_id("t-buy")
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request = PlaceOrderRequest(OP_BUY, state.code, volume, order_id, "zt", kind="buy")
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# 本轮预留资金；状态簿只在取得实际成交后入账。
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available -= amount
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if run.orders.place(run.client, request):
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run.add_watch.forget(state.code)
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log.info(
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"[ZT 买回] %s %d 股，%s",
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state.code,
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volume,
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"尾盘强制买回" if force else "下跌后反弹",
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)
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log.exception('[ZT 持仓] %s 处理失败', code)
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return available
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