"""先卖后买做 T;持仓存在 State,未买回数量从实际成交计算。""" import logging as log import math from libs.grid_take_profit import GridState from libs.order import PlaceOrderRequest from libs.runtime import Runtime from libs.state import State from sdk import OP_BUY, OP_SELL, PositionItem def t_rounds(store: State) -> dict[str, dict]: """每只证券保留最近一轮 T,跨日未买回的数量继续保留。""" rounds = {} for deal in sorted(store.deals.values(), key=lambda d: ( d['trade_date'], d['trade_time'].replace(':', ''), d['id'] )): order = deal['order_local_id'] code = deal['stock_code'] if order.startswith('zt-t-sell-') and deal['offset_flag'] in (24, 49): item = rounds.get(code) if item is None or item['bought'] >= item['sold']: item = rounds[code] = dict(sold=0, bought=0, amount=0.0, date='') item['sold'] += deal['volume'] item['amount'] += deal['trade_amount'] item['date'] = deal['trade_date'] elif order.startswith('zt-t-buy-') and deal['offset_flag'] in (23, 48) and code in rounds: rounds[code]['bought'] += deal['volume'] rounds[code]['date'] = deal['trade_date'] return rounds def manage_positions( run: Runtime, store: State, ticks, positions: list[PositionItem], rounds: dict[str, dict], available: float, today: str, force_buy_back: bool = False, ) -> float: """先偿还买回欠仓;同一证券当天完成一轮后不再卖出。""" by_code = {p.stock_code: p for p in positions} codes = dict.fromkeys(list(rounds) + list(store.state)) for code in sorted(codes, key=lambda c: not (c in rounds and rounds[c]['sold'] > rounds[c]['bought'])): try: if code in run.account_cfg.excluded_codes: continue if run.orders.busy(code, 'BUY') or run.orders.busy(code, 'SELL'): continue tick = ticks.get(code) price = tick.last_price if tick else 0.0 if not math.isfinite(price) or price <= 0: continue item = rounds.get(code) row = store.state.get(code, {}) position = by_code.get(code) recorded = row.get('base_qty', 0) + row.get('added_qty', 0) if recorded != (position.volume if position else 0): log.warning('[ZT] %s 持仓快照与成交未对齐,等待下一轮', code) continue if item and item['sold'] > item['bought']: volume = item['sold'] - item['bought'] # 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。 minimum = 200 if code.startswith('688') else 100 if not code.startswith('688'): volume = volume // 100 * 100 if volume < minimum: 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']) continue target = item['amount'] / item['sold'] * (1 - run.account_cfg.zt_buy_fall_pct / 100) if not force_buy_back and price > target: continue amount = price * volume * 1.01 if amount > available: log.warning('[ZT] %s 买回资金不足,需要 %.2f,可用 %.2f', code, amount, available) continue if not force_buy_back and not run.add_watch.triggered('ZT 买回', code, price): continue available -= amount request = PlaceOrderRequest(OP_BUY, code, volume, run.orders.new_order_id('t-buy'), 'zt') if run.orders.place(run.client, request): run.add_watch.forget(code) log.info('[ZT 买回] %s %d 股%s', code, volume, ',尾盘买回' if force_buy_back else '') continue if force_buy_back or (item and item['date'] >= today) or not position or recorded <= 0: continue if price > run.account_cfg.zt_max_price: continue cost = (row['base_qty'] * row['base_price'] + row['added_qty'] * row['added_price']) / recorded if cost <= 0: continue pnl = (price / cost - 1) * 100 observation = run.profit_tracker.observe(f'{run.account_cfg.account_id}:{code}:{today}', pnl) if observation.state != GridState.RETREAT or pnl < run.account_cfg.min_profit_pct: continue volume = int(min(position.can_use_volume, recorded * run.account_cfg.zt_sell_ratio)) // 100 * 100 if volume < (200 if code.startswith('688') else 100): continue request = PlaceOrderRequest(OP_SELL, code, volume, run.orders.new_order_id('t-sell'), 'zt') if run.orders.place(run.client, request): log.info('[ZT 卖出] %s %d 股,按实际成交买回', code, volume) except Exception: log.exception('[ZT 持仓] %s 处理失败', code) return available