220 lines
8.2 KiB
Python
220 lines
8.2 KiB
Python
"""做 T 策略的底仓、待确认委托和实际成交记录。"""
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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, field
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from pathlib import Path
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from time import time
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from sdk import OrderItem, PositionItem
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READY, SOLD, DONE = "READY", "SOLD", "DONE"
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TERMINAL_STATUSES = {"53", "54", "56", "57"}
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@dataclass(slots=True)
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class TStateItem:
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code: str
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base_qty: int = 0
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base_cost: float = 0.0
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trade_date: str = ""
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phase: str = READY
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sell_order_id: str = ""
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sell_qty: int = 0
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sell_price: float = 0.0
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buy_order_id: str = ""
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base_order_id: str = ""
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buy_qty: int = 0
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buy_cost: float = 0.0
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@dataclass(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 # base：底仓；sell：做 T 卖出；buy：做 T 买回
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qty: int
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trade_date: str
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submit_at: float = field(default_factory=time)
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class TState:
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"""交易逻辑串行更新；JSON 保存底仓、待确认委托及成交历史。"""
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def __init__(self, path: str | Path) -> None:
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self.path = Path(path)
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self.items: dict[str, TStateItem] = {}
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self.pending: dict[str, PendingOrder] = {}
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self.records: list[dict] = []
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self._load()
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@classmethod
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def for_strategy(
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cls, data_dir: str | Path, strategy: str, account_id: str
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) -> TState:
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return cls(Path(data_dir) / f"{strategy}_{account_id}_state.json")
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def busy(self, code: str) -> bool:
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return any(order.code == code for order in self.pending.values())
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def new_order(self, order: PendingOrder) -> None:
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"""下单前落盘；请求超时不能当作失败删除，等待后续委托确认。"""
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if self.busy(order.code):
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raise ValueError(f"{order.code} 已有待确认委托")
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self.pending[order.order_id] = order
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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.order_id]
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raise
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def reconcile(
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self, positions: list[PositionItem], orders: list[OrderItem], today: str
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) -> None:
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"""先按实际成交记账，再接管未知持仓；不覆盖已记录的底仓成本。"""
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# 同一本地委托可能拆单；按券商订单号去重，数量齐全且全部结束才记账。
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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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for order_id, pending in list(self.pending.items()):
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side = "SELL" if pending.kind == "sell" else "BUY"
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rows = [
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row
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for row in by_id.get(order_id, {}).values()
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if row.code == pending.code and row.side == side
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]
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if not rows:
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log.warning("[ZT 状态] 委托暂未查到，保留待确认：%s", order_id)
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continue
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if sum(row.volume for row in rows) != pending.qty:
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continue
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if any(row.status not in TERMINAL_STATUSES for row in rows):
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continue
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if any(
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row.status == "56" and row.traded_volume != row.volume for row in rows
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):
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continue
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qty = sum(row.traded_volume for row in rows)
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amounts = [
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(
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row.trade_amount
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if row.trade_amount > 0
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else row.trade_price * row.traded_volume
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)
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for row in rows
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if row.traded_volume > 0
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]
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if any(not math.isfinite(amount) or amount <= 0 for amount in amounts):
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continue
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amount = sum(amounts)
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cost = amount / qty if qty else 0.0
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item = self.items.setdefault(pending.code, TStateItem(pending.code))
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if pending.kind == "base":
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item.base_order_id = order_id
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item.base_qty, item.base_cost = qty, cost
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elif pending.kind == "sell":
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item.trade_date = today # 跨日成交也占用确认当天的一轮。
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item.sell_order_id = order_id
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item.sell_qty, item.sell_price = qty, cost
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item.buy_qty, item.buy_cost = 0, 0.0
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item.phase = SOLD if qty else READY
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else:
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total = item.buy_qty + qty
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item.buy_cost = (
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(item.buy_qty * item.buy_cost + amount) / total if total else 0.0
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)
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item.buy_qty = total
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item.buy_order_id = order_id
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item.phase = DONE if total >= item.sell_qty else SOLD
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if item.phase == DONE:
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item.trade_date = today
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# 零成交撤单也记录，保留计划、实际数量、均价和柜台终态。
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self.records.append(
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{
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**asdict(pending),
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"confirmed_date": today,
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"filled_qty": qty,
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"filled_cost": cost,
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"amount": amount,
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"statuses": [row.status for row in rows],
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}
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)
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del self.pending[order_id]
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for position in positions:
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code = position.stock_code
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if position.volume <= 0 or self.busy(code):
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continue
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if (
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code not in self.items
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and math.isfinite(position.open_price)
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and position.open_price > 0
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):
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self.items[code] = TStateItem(
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code, position.volume, position.open_price
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)
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self.records.append(
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{
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"kind": "import",
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"code": code,
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"date": today,
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"filled_qty": position.volume,
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"filled_cost": position.open_price,
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}
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)
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log.warning(
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"[ZT 底仓] 首次接管 %s，使用当前均价，无法还原历史成本", code
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)
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for item in self.items.values():
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# 未买回的轮次跨日继续，不删除零持仓的做 T 债务。
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if (
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item.trade_date != today
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and item.phase == DONE
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and not self.busy(item.code)
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):
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item.phase, item.trade_date = READY, ""
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item.sell_qty = item.buy_qty = 0
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item.sell_price = item.buy_cost = 0.0
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item.sell_order_id = item.buy_order_id = ""
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self.save()
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def save(self) -> None:
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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 = {
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"items": {key: asdict(item) for key, item in self.items.items()},
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"pending": {key: asdict(item) for key, item in self.pending.items()},
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"records": self.records,
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}
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temporary.write_text(
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json.dumps(payload, ensure_ascii=False, indent=2, allow_nan=False) + "\n",
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encoding="utf-8",
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)
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temporary.replace(self.path)
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def _load(self) -> None:
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if not self.path.is_file():
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return
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raw = json.loads(self.path.read_text(encoding="utf-8"))
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# 兼容原 ZT 文件，保留原底仓成本；没有额外版本字段。
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self.items = {
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code: TStateItem(**item) for code, item in raw.get("items", raw).items()
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}
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self.pending = {
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key: PendingOrder(**item) for key, item in raw.get("pending", {}).items()
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}
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self.records = raw.get("records", [])
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if "items" not in raw:
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# 旧记录只有提交行情价，不把它伪装成真实成交历史。
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self.records.append({"kind": "legacy_import", "items": raw})
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for item in self.items.values():
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if item.phase in {"SELLING", "BUYING", SOLD}:
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raise ValueError(
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f"[ZT 状态] {item.code} 旧做 T 轮次未结束，需先核对成交再迁移"
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)
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