120 lines
4.5 KiB
Python
120 lines
4.5 KiB
Python
"""使用 dcm 信号建立做 T 底仓。"""
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from __future__ import annotations
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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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from .state import PendingOrder, TState
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def open_signal(run: Runtime, state: TState, 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.signal_key != "dcm" or item.code in run.account_cfg.excluded_codes:
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continue
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item_state = state.items.get(item.code)
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if item_state is not None and item_state.base_qty > 0:
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continue
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# 1. 验证信号配置允许开仓的时间区间。
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signal_config = run.global_cfg.signals.get("dcm")
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if signal_config is None or not check_timezone(signal_config.timezone):
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continue
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# 2. 检查该证券是否已有买入委托锁，防止重复下单。
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if (
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state.busy(item.code)
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or 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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# 3. 验证行情和最新价格是否有效。
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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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# 4. 根据单笔买入金额计算整手开仓数量，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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# 5. 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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state.new_order(
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PendingOrder(
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order_id,
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item.code,
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"base",
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volume,
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datetime.now().date().isoformat(),
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)
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)
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# 即使响应丢失，也保留资金预算和 pending，不能继续使用这笔钱。
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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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def check_timezone(timezone: str, now: datetime | None = None) -> bool:
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"""验证当前时间是否处于配置区间。
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``*`` 表示全天允许；多个区间用逗号分隔，例如
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``9:30-10:30,13:30-14:30``。同时支持跨午夜区间。
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"""
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timezone = str(timezone or "").strip()
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if timezone == "*":
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return True
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current = now or datetime.now()
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current_minutes = current.hour * 60 + current.minute
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for section in timezone.split(","):
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bounds = section.strip().split("-")
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if len(bounds) != 2:
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continue
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start = _parse_minutes(bounds[0])
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end = _parse_minutes(bounds[1])
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if start is None or end is None:
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continue
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if start <= end and start <= current_minutes <= end:
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return True
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if start > end and (current_minutes >= start or current_minutes <= end):
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return True
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return False
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def _parse_minutes(value: str) -> int | None:
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"""把 ``时:分`` 转换为当天分钟数，无效值返回 None。"""
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try:
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hour_text, minute_text = value.strip().split(":")
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hour, minute = int(hour_text), int(minute_text)
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except (TypeError, ValueError):
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return None
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if not 0 <= hour <= 23 or not 0 <= minute <= 59:
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return None
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return hour * 60 + minute
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