208 lines
8.5 KiB
Python
208 lines
8.5 KiB
Python
"""简单成交账本：订单明确结束后一次记账，JSON 原子保存。"""
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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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import shutil
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import time
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from dataclasses import asdict, dataclass, field, 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(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_pre_qty: int =0
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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_pre_qty: int =0
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added_num: int = 0
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added_qty: int = 0
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added_amount: float = 0.0
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@property
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def added_cost(self) -> float:
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return self.added_amount / self.added_qty if self.added_qty else 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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kind: str
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expected_qty: int
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submitted_at: float = field(default_factory=time.time)
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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] = {} # 每只证券最多一个待确认买单
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self._dirty = False
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self._next_warning = 0.0
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self._load()
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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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@property
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def codes(self) -> list[str]:
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with self.lock:
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return list(self.items)
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def get(self, code: str) -> StateItem:
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with self.lock:
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return replace(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 begin(self, order_id: str, code: str, kind: str, expected_qty: int) -> bool:
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if kind not in {"base", "add"} or type(expected_qty) is not int or expected_qty <= 0:
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raise ValueError("订单类型或预开仓数量无效")
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with self.lock:
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if code in self.pending or (kind == "base" and code in self.items):
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return False
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if kind == "add" and code not in self.items:
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raise ValueError("缺少底仓记录")
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dirty = self._dirty
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self.pending[code] = PendingOrder(order_id, kind, expected_qty)
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self._dirty = True
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try:
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self.save() # 必须成功落盘后才允许发送请求
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except Exception:
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self.pending.pop(code)
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self._dirty = dirty
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raise
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return True
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def reject(self, order_id: str) -> None:
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"""仅用于已明确未受理的请求。"""
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with self.lock:
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for code, pending in self.pending.items():
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if pending.order_id == order_id:
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del self.pending[code]
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self._dirty = True
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self.save()
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return
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def reconcile(self, positions: Iterable[PositionItem], orders: list[OrderItem]) -> None:
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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 and 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 position in positions:
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code = position.stock_code
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if (code and code not in self.items and code not in self.pending
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and position.volume > 0 and math.isfinite(position.open_price)
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and position.open_price > 0):
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self.items[code] = StateItem(code, position.volume, position.open_price)
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self._dirty = True
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now = time.time()
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for code, pending in list(self.pending.items()):
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rows = [o for o in by_id.get(pending.order_id, {}).values()
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if o.code == code and o.side == "BUY"]
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filled = _finished_fill(rows, pending.expected_qty)
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if filled is None:
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if now >= self._next_warning and now - pending.submitted_at >= 180:
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log.warning("[状态] 订单待核查，代码=%s，订单=%s，计划=%d；保留防重",
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code, pending.order_id, pending.expected_qty)
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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.setdefault(code, StateItem(code))
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if pending.kind == "base":
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item.base_qty, item.base_cost = qty, amount / qty
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else:
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item.added_num += 1
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item.added_qty += qty
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item.added_amount += amount
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del self.pending[code]
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self._dirty = 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.expected_qty, qty)
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if now >= self._next_warning:
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self._next_warning = now + 180
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self.save() # 成交记账与移除 pending 在同一文件中原子提交
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def save(self) -> None:
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with self.lock:
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if not self._dirty:
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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(version=3, items={k: asdict(v) for k, v in self.items.items()},
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pending={k: asdict(v) for k, v 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._dirty = False
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def _load(self) -> None:
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try:
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raw = json.loads(self.path.read_text(encoding="utf-8"))
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except FileNotFoundError:
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return
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if raw.get("version") not in {2, 3}:
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raise ValueError("仅支持 v2/v3 状态文件；旧格式请先核实转换，原文件未修改")
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self.items = {k: StateItem(**v) for k, v in raw["items"].items()}
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if raw["version"] == 3:
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self.pending = {k: PendingOrder(**v) for k, v in raw["pending"].items()}
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return
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# v2 的未决订单可能已经增量记账，先撤回这部分，结束时再完整记一次。
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for old in raw["pending"].values():
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code = old["code"]
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if code in self.pending:
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raise ValueError(f"{code} 存在多个旧未决订单，请核查；原文件未修改")
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item = self.items[code]
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qty, amount = old.get("applied_qty", 0), old.get("applied_amount", 0.0)
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if old["kind"] == "add":
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item.added_qty -= qty
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item.added_amount -= amount
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item.added_num -= int(old.get("counted", False))
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else:
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base_amount = item.base_qty * item.base_cost - amount
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item.base_qty -= qty
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item.base_cost = base_amount / item.base_qty if item.base_qty else 0.0
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if not item.base_qty and not item.added_qty:
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del self.items[code]
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self.pending[code] = PendingOrder(old["order_id"], old["kind"], old["expected_qty"],
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old.get("submitted_at", time.time()))
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backup = self.path.with_suffix(self.path.suffix + ".v2.bak")
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if not backup.exists():
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shutil.copy2(self.path, backup)
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self._dirty = True
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self.save()
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def _finished_fill(orders: list[OrderItem], expected_qty: int) -> tuple[int, float] | None:
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"""仅完整终态快照可记账；缺项、未成交完或金额未知均继续等待。"""
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if not orders or expected_qty <= 0 or sum(o.volume for o in orders) != expected_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 or not 0 <= order.traded_volume <= order.volume
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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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