feat libs,sdk,trend

py-client/strategy/zt/state.py

@@ -60,9 +60,9 @@ class TState:
     @classmethod
     def _apply_t_deal(cls, item: TStateItem, deal: dict) -> None:
         """实时入账与重启恢复共用同一套做 T 轮次计算。"""
-        cls._reset(item, deal['insert_date'])
-        qty, amount = deal['traded_volume'], deal['trade_amount']
-        if deal['side'] == 'SELL':
+        cls._reset(item, deal['trade_date'])
+        qty, amount = deal['volume'], deal['trade_amount']
+        if str(deal['offset_flag']) in ('24', '49'):
             total = item.sell_qty + qty
             item.sell_price = (item.sell_qty * item.sell_price + amount) / total
             item.sell_qty = total
@@ -72,32 +72,32 @@ class TState:
             item.buy_cost = (item.buy_qty * item.buy_cost + amount) / total
             item.buy_qty = total
             item.phase = DONE if total >= item.sell_qty else SOLD
-        item.trade_date = deal['insert_date']
+        item.trade_date = deal['trade_date']
 
     def reconcile(
         self, positions: list[PositionItem], deals: list[DealItem]
     ) -> None:
         """Deduplicate each fill; partial fills do not wait for order completion."""
         today = datetime.now().date().isoformat()
-        seen = {row['sys_order_id'] for row in self.deals}
+        seen = {row['order_sys_id'] for row in self.deals}
         rows = []
         for deal in deals:
-            if not self._is_zt_deal(deal) or deal.sys_order_id in seen:
+            if not self._is_zt_deal(deal) or deal.order_sys_id in seen:
                 continue
             try:
                 row = self._store.deal_record(deal)
             except ValueError:
                 continue
             rows.append(row)
-            seen.add(deal.sys_order_id)
-        rows.sort(key=lambda r: (r['insert_date'], r['insert_time']))
+            seen.add(deal.order_sys_id)
+        rows.sort(key=lambda r: (r['trade_date'], r['trade_time']))
         modified = False
         try:
             # Snapshot includes these fills: subtract their net quantity before replay.
             net = {}
             for row in rows:
-                net[row['code']] = net.get(row['code'], 0) + (
-                    row['traded_volume'] if row['side'] == 'BUY' else -row['traded_volume']
+                net[row['stock_code']] = net.get(row['stock_code'], 0) + (
+                    row['volume'] if str(row['offset_flag']) in ('23', '48') else -row['volume']
                 )
             for position in positions:
                 code = position.stock_code
@@ -115,14 +115,14 @@ class TState:
                     self.items[code] = TStateItem(code, -delta)
 
             for row in rows:
-                item = self.items.setdefault(row['code'], TStateItem(row['code']))
-                self._reset(item, row['insert_date'])
-                qty, amount = row['traded_volume'], row['trade_amount']
-                if row['local_order_id'].startswith('zt-base-'):
+                item = self.items.setdefault(row['stock_code'], TStateItem(row['stock_code']))
+                self._reset(item, row['trade_date'])
+                qty, amount = row['volume'], row['trade_amount']
+                if row['order_local_id'].startswith('zt-base-'):
                     total = item.base_qty + qty
                     item.base_cost = (item.base_qty * item.base_cost + amount) / total
                     item.base_qty = total
-                    item.base_order_id = row['local_order_id']
+                    item.base_order_id = row['order_local_id']
                 else:
                     self._apply_t_deal(item, row)
                 self.deals.append(row)
@@ -141,15 +141,10 @@ class TState:
             self._store.save(
                 {
                     code: {
-                        'code': item.code,
-                        'base_order_id': item.base_order_id,
-                        'base_qty': item.base_qty,
-                        'base_cost': item.base_cost,
-                        'added_order_id': item.added_order_id,
-                        'added_num': item.added_num,
-                        'added_qty': item.added_qty,
-                        'added_cost': item.added_cost,
-                        'status': item.phase,
+                        'stock_code': item.code,
+                        'volume': item.base_qty,
+                        'open_price': item.base_cost,
+                        'open_cost': item.base_qty * item.base_cost,
                     }
                     for code, item in self.items.items()
                 },
@@ -163,19 +158,21 @@ class TState:
         self._store.load()
         self.items = {}
         for code, position in self._store.positions.items():
-            position = dict(position)
-            position['phase'] = position.pop('status')
-            self.items[code] = TStateItem(**position)
+            self.items[code] = TStateItem(code, position['volume'], position['open_price'], id=position['id'])
         self.deals = [
             {key: value for key, value in deal.items() if key != 'id'}
             for deal in self._store.deals.values()
         ]
         # 轮次明细不占用持仓表字段，从已保存的逐笔成交重建。
         for deal in self.deals:
-            if not deal['local_order_id'].startswith('zt-base-') and deal['code'] in self.items:
-                self._apply_t_deal(self.items[deal['code']], deal)
-        for code, item in self.items.items():
-            if self._store.positions[code]['status'] == READY:
-                item.phase, item.trade_date = READY, ''
-                item.sell_qty = item.buy_qty = 0
-                item.sell_price = item.buy_cost = 0.0
+            item = self.items.get(deal['stock_code'])
+            if item is None:
+                continue
+            local_order_id = deal['order_local_id']
+            if local_order_id.startswith('zt-base-'):
+                item.base_order_id = local_order_id
+            else:
+                self._apply_t_deal(item, deal)
+        today = datetime.now().date().isoformat()
+        for item in self.items.values():
+            self._reset(item, today)