"""ZT 启动与串行调度:成交同步、买回、卖出、建仓。""" import logging as log import time from datetime import datetime from pathlib import Path import config from libs.calc import trading_time from libs.collector import collector_push from libs.grid_take_profit import GridTrailingTracker from libs.market import market_allow_open from libs.order import OrderBook from libs.overview import Overview from libs.runtime import Runtime from libs.signal import SignalItem, init_signals from libs.state import State from libs.watch import DipWatch from sdk import Client, DealItem, PositionItem from .open import open_signal from .positions import manage_positions, t_rounds def StartZT() -> None: with Client(config.global_config.qmt_base_url, config.global_config.qmt_token, config.HTTP_TIMEOUT) as client: state = State(Path(config.global_config.qmt_data_dir) / f'zt_{config.account_config.account_id}_state.db') run = Runtime( client=client, global_cfg=config.global_config, account_cfg=config.account_config, orders=OrderBook('zt'), open_watch=DipWatch(), add_watch=DipWatch(), profit_tracker=GridTrailingTracker(config.account_config.grid_step_pct), ) # 先读取成交,再读取持仓,减少成交已入账而快照仍未更新的情况。 deals = client.deals() portfolio = client.portfolio() positions = list(portfolio.positions.values()) sync_account_state(state, positions, deals, initialize=not state.state and not state.deals) run.orders.refresh(client, portfolio.orders) signals = init_signals(config.global_config, ['dcm']) Overview(portfolio.assets, positions, config.account_config) log.info('[ZT] 启动,账户=%s,信号=%d', config.account_config.account_id, len(signals)) while datetime.now().hour < 15: try: RunOnce(run, state, signals) except Exception: log.exception('[ZT] 本轮失败,下一轮重试') time.sleep(30 - time.time() % 30) # 收盘后补记最后一轮成交,不再下单。 sync_account_state(state, list(client.portfolio().positions.values()), client.deals()) def RunOnce(run: Runtime, state: State, signals: list[SignalItem]) -> None: now = datetime.now() if not trading_time(now): return deals = run.client.deals() portfolio = run.client.portfolio() assets = portfolio.assets positions = list(portfolio.positions.values()) run.orders.refresh(run.client, portfolio.orders) sync_account_state(state, positions, deals) # 收盘集合竞价前停止提交新委托,继续保存成交。 if (now.hour, now.minute) >= (14, 57): return rounds = t_rounds(state) pending = {code for code, item in rounds.items() if item['sold'] > item['bought']} candidates = {s.code: s for s in signals if s.code not in portfolio.positions and s.code not in state.state and s.code not in pending} codes = list(dict.fromkeys(list(state.state) + sorted(pending) + list(candidates))) ticks = run.client.full_tick(codes) if codes else {} force = (now.hour, now.minute) >= (14, 50) available = manage_positions(run, state, ticks, positions, rounds, assets.available, now.date().isoformat(), force) # 尚未买回时不分走资金;买回与新建仓使用同一份剩余资金。 if not force and not pending and available >= assets.total * run.account_cfg.min_cash_ratio: if candidates and market_allow_open(): budget = max(0.0, available - assets.total * run.account_cfg.min_cash_ratio) open_signal(run, ticks, list(candidates.values()), budget) try: collector_push(run.account_cfg.account_id, assets, positions) except Exception: log.exception('[ZT] 持仓上报失败') def sync_account_state( state: State, positions: list[PositionItem], deals: list[DealItem], *, initialize: bool = False, ) -> None: """初次持仓作为底仓;后续只按成交减仓,避免延迟快照删除持仓。""" zt_deals = [d for d in deals if d.get_local_order_id.startswith('zt-')] state.sync_deals(zt_deals, archived=initialize) if initialize: state.sync_state(positions) return errors = state.archiving(base_order_prefix='zt-base-') if errors: raise ValueError(f'ZT 成交归档失败:{errors}') traded = {d['stock_code'] for d in state.deals.values()} state.sync_state([p for p in positions if p.stock_code not in traded], remove_missing=False)