58 lines
2.4 KiB
Python
58 lines
2.4 KiB
Python
"""使用 dcm 信号建立做 T 底仓。"""
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from datetime import datetime
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import logging as log
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import math
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from libs.calc import calc_buy_volume
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from sdk import OP_BUY
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from libs.runtime import Runtime
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from libs.order import PlaceOrderRequest
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def open_signal(run: Runtime, ticks, signals, available: float) -> float:
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"""逐个验证开仓信号并提交买入委托，返回本轮剩余资金。"""
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for item in signals:
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try:
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now = datetime.now()
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if (now.hour, now.minute) >= (14, 50):
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break
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if item.code in run.account_cfg.excluded_codes:
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continue
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# 由委托簿检查活动委托，防止重复下单。
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if (
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run.orders.busy(item.code, "BUY")
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or run.orders.busy(item.code, "SELL")
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):
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continue
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# 行情无效或超过策略价格上限时跳过。
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tick = ticks.get(item.code)
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price = tick.last_price if tick else 0.0
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if (
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not math.isfinite(price)
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or price <= 0
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or price > run.account_cfg.zt_max_price
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):
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continue
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# 根据单笔买入金额计算整手数量，并预留少量价差和费用。
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budget = min(run.account_cfg.buy_value, available)
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volume = calc_buy_volume(price, budget)
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amount = price * volume * 1.01
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if volume <= 0 or price * volume > budget or amount > available:
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continue
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# 等待价格从观察低点反弹，防止直接接下跌中的“飞刀”。
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if not run.open_watch.triggered("ZT 建仓", item.code, price):
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continue
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order_id = run.orders.new_order_id("base")
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request = PlaceOrderRequest(
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OP_BUY, item.code, volume, order_id, "zt", kind="base"
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)
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# 即使响应丢失，本轮也预留资金；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.open_watch.forget(item.code)
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log.info("[ZT 建仓] %s 买入 %d 股，等待实际成交", item.code, volume)
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except Exception:
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log.exception("[ZT 建仓] %s 处理异常，继续后续信号", item.code)
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return available
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