163 lines
6.5 KiB
Python
163 lines
6.5 KiB
Python
"""底仓、补仓记录与待确认订单的 JSON 存储。"""
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from __future__ import annotations
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import json
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import logging as log
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import math
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from dataclasses import asdict, dataclass, replace
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from pathlib import Path
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from threading import RLock
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from typing import Iterable
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from sdk import OrderItem, PositionItem
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TERMINAL_STATUSES = {"53", "54", "56", "57"}
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@dataclass(frozen=True, slots=True)
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class StateItem:
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code: str
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base_order_id: str = ""
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base_qty: int = 0
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base_cost: float = 0.0
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added_order_id: str = ""
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added_num: int = 0
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added_qty: int = 0
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added_cost: float = 0.0
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@dataclass(frozen=True, slots=True)
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class PendingOrder:
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order_id: str
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code: str
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kind: str
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pre_qty: int
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class State:
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def __init__(self, path: str | Path) -> None:
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self.path = Path(path)
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self.lock = RLock()
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self.items: dict[str, StateItem] = {}
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self.pending: dict[str, PendingOrder] = {}
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self.IsModify = False
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self._load()
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def _load(self) -> None:
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"""启动时读取 JSON 中的持仓记录和待确认订单。"""
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if self.path.is_file():
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raw = json.loads(self.path.read_text(encoding="utf-8"))
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self.items = {code: StateItem(**item) for code, item in raw["items"].items()}
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self.pending = {code: PendingOrder(**item) for code, item in raw["pending"].items()}
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@classmethod
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def for_strategy(cls, data_dir: str | Path, strategy: str, account_id: str) -> State:
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return cls(Path(data_dir) / f"{strategy}_{account_id}_state.json")
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def get(self, code: str) -> StateItem:
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with self.lock:
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return self.items[code]
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def busy(self, code: str) -> bool:
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with self.lock:
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return code in self.pending
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def new_order(self, order: PendingOrder) -> bool:
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"""提交前保存待确认订单，同一证券已有 pending 时跳过。"""
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with self.lock:
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if order.code in self.pending:
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return False
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was_modified = self.IsModify
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self.pending[order.code] = order
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self.IsModify = True
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try:
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self.save()
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except Exception:
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del self.pending[order.code]
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self.IsModify = was_modified
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raise
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return True
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def reconcile(self, positions: Iterable[PositionItem], orders: list[OrderItem]) -> None:
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"""核对 pending 的订单结果，再导入/核对实际持仓。"""
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by_id: dict[str, dict[str, OrderItem]] = {}
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for order in orders:
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if order.local_order_id:
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by_id.setdefault(order.local_order_id, {})[order.id] = order
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with self.lock:
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for code, pending in list(self.pending.items()):
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rows = [order for order in by_id.get(pending.order_id, {}).values()
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if order.code == code and order.side == "BUY"]
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if not rows:
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del self.pending[code]
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self.IsModify = True
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log.info("[状态] 清理无对应订单的 pending，代码=%s，订单=%s", code, pending.order_id)
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continue
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filled = _finished_fill(rows, pending.pre_qty)
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if filled is None:
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continue
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qty, amount = filled
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if qty:
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item = self.items.get(code, StateItem(code))
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if pending.kind == "base":
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item = replace(item, base_order_id=pending.order_id,
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base_qty=qty, base_cost=amount / qty)
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else:
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total_qty = item.added_qty + qty
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total_amount = item.added_qty * item.added_cost + amount
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item = replace(item, added_order_id=pending.order_id,
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added_num=item.added_num + 1,
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added_qty=total_qty, added_cost=total_amount / total_qty)
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self.items[code] = item
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del self.pending[code]
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self.IsModify = True
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log.info("[状态] 对账结束，代码=%s，订单=%s，计划=%d，成交=%d",
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code, pending.order_id, pending.pre_qty, qty)
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for position in positions:
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code = position.stock_code
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if not code or position.volume <= 0:
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continue
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if code not in self.items and code not in self.pending:
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self.items[code] = StateItem(code=code, base_order_id=position.trade_id,
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base_qty=position.volume, base_cost=position.open_price)
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self.IsModify = True
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elif code in self.items:
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item = self.items[code]
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if item.base_qty + item.added_qty != position.volume:
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log.info("[状态] 持仓数量差异，代码=%s，记录=%d，实际=%d",
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code, item.base_qty + item.added_qty, position.volume)
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self.save()
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def save(self) -> None:
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with self.lock:
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if not self.IsModify:
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return
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self.path.parent.mkdir(parents=True, exist_ok=True)
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temporary = self.path.with_suffix(self.path.suffix + ".tmp")
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payload = dict(items={code: asdict(item) for code, item in self.items.items()},
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pending={code: asdict(item) for code, item in self.pending.items()})
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temporary.write_text(json.dumps(payload, ensure_ascii=False, indent=2, allow_nan=False) + "\n", encoding="utf-8")
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temporary.replace(self.path)
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self.IsModify = False
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def _finished_fill(orders: list[OrderItem], pre_qty: int) -> tuple[int, float] | None:
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"""订单全部结束且成交金额完整后一次记账，部分成交撤单也按实计入。"""
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if sum(order.volume for order in orders) != pre_qty:
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return None
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qty, amount = 0, 0.0
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for order in orders:
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if (order.status not in TERMINAL_STATUSES
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or (order.status == "56" and order.traded_volume != order.volume)):
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return None
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if order.traded_volume:
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value = order.trade_amount if order.trade_amount > 0 else order.trade_price * order.traded_volume
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if not math.isfinite(value) or value <= 0:
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return None
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qty += order.traded_volume
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amount += value
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return qty, amount
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