119 lines
6.0 KiB
Python
119 lines
6.0 KiB
Python
"""ZT 启动与串行调度：成交同步、买回、卖出、建仓。"""
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import logging as log
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import time
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from contextlib import closing
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from datetime import datetime
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from pathlib import Path
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from tempfile import TemporaryDirectory
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import config
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from libs.calc import trading_time
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from libs.collector import collector_push
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from libs.grid_take_profit import GridTrailingTracker
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from libs.market import market_allow_open
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from libs.order import OrderBook
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from libs.overview import Overview
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from libs.runtime import Runtime
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from libs.signal import SignalItem, init_signals
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from libs.state import State
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from libs.watch import DipWatch
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from sdk import Client, DealItem, PositionItem
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from .open import open_signal
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from .positions import manage_positions, t_rounds
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def StartZT() -> None:
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with Client(config.global_config.qmt_base_url, config.global_config.qmt_token, config.HTTP_TIMEOUT) as client:
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state = State(Path(config.global_config.qmt_data_dir) / f'zt_{config.account_config.account_id}_state.db')
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run = Runtime(
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client=client, global_cfg=config.global_config, account_cfg=config.account_config,
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orders=OrderBook('zt'), open_watch=DipWatch(), add_watch=DipWatch(),
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profit_tracker=GridTrailingTracker(config.account_config.grid_step_pct),
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)
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# 先读取成交，再读取持仓，减少成交已入账而快照仍未更新的情况。
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deals = client.deals()
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portfolio = client.portfolio()
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positions = list(portfolio.positions.values())
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sync_account_state(state, positions, deals, initialize=not state.state and not state.deals)
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run.orders.refresh(client, portfolio.orders)
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signals = init_signals(config.global_config, ['dcm'])
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Overview(portfolio.assets, positions, config.account_config)
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log.info('[ZT] 启动，账户=%s，信号=%d', config.account_config.account_id, len(signals))
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while datetime.now().hour < 15:
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try:
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RunOnce(run, state, signals)
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except Exception:
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log.exception('[ZT] 本轮失败，下一轮重试')
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time.sleep(30 - time.time() % 30)
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# 收盘后补记最后一轮成交，不再下单。
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deals = client.deals()
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sync_account_state(state, list(client.portfolio().positions.values()), deals)
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def RunOnce(run: Runtime, state: State, signals: list[SignalItem]) -> None:
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now = datetime.now()
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if not trading_time(now):
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return
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deals = run.client.deals()
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portfolio = run.client.portfolio()
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assets = portfolio.assets
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positions = list(portfolio.positions.values())
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run.orders.refresh(run.client, portfolio.orders)
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sync_account_state(state, positions, deals)
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# 收盘集合竞价前停止提交新委托，继续保存成交。
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if (now.hour, now.minute) >= (14, 57):
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return
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rounds = t_rounds(state)
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pending = {code for code, item in rounds.items() if item['sold'] > item['bought']}
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candidates = {s.code: s for s in signals if s.code not in portfolio.positions
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and s.code not in state.state and s.code not in pending}
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codes = list(dict.fromkeys(list(state.state) + sorted(pending) + list(candidates)))
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ticks = run.client.full_tick(codes) if codes else {}
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force = (now.hour, now.minute) >= (14, 50)
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available = manage_positions(run, state, ticks, positions, rounds, assets.available, now.date().isoformat(), force)
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# 尚未买回时不分走资金；买回与新建仓使用同一份剩余资金。
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if not force and not pending and available >= assets.total * run.account_cfg.min_cash_ratio:
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if candidates and market_allow_open():
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budget = max(0.0, available - assets.total * run.account_cfg.min_cash_ratio)
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open_signal(run, ticks, list(candidates.values()), budget)
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try:
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collector_push(run.account_cfg.account_id, assets, positions)
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except Exception:
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log.exception('[ZT] 持仓上报失败')
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def sync_account_state(
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state: State, positions: list[PositionItem], deals: list[DealItem], *, initialize: bool = False,
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) -> None:
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"""初次持仓作为底仓；后续只按成交减仓，避免延迟快照删除持仓。"""
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zt_deals = [d for d in deals if d.get_local_order_id.startswith('zt-')]
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if initialize:
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if state.state or state.deals:
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raise ValueError('ZT 初始化仅允许空状态库，禁止覆盖已有持仓和成交')
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# 在同目录临时库完成初始化，再原子替换空库，避免中途退出留下半份快照。
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with TemporaryDirectory(dir=state.path.parent, prefix='zt-init-') as directory:
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initial = State(Path(directory) / 'state.db')
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initial.sync_deals(zt_deals)
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initial.sync_state(positions)
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# 初始快照已包含历史成交；保留成交计算做 T 欠仓，但不再累加持仓。
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with closing(initial._connect()) as db, db:
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db.execute('UPDATE deals SET is_arch = 1')
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initial.path.replace(state.path)
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state.load()
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return
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state.sync_deals(zt_deals)
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# 在外层统一归档：新增成交写入后处理，也重试此前失败的未归档成交。
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state.archiving()
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# 从刷新后的成交缓存检查失败记录，避免归档未完成时继续交易。
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pending = sorted({d['stock_code'] for d in state.deals.values() if d['is_arch'] == 0})
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if pending:
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raise ValueError(f'ZT 成交归档未完成：{pending}，原因见归档日志')
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traded = {d['stock_code'] for d in state.deals.values()}
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# sync_state 要求完整持仓。保留成交账本中的现有仓位，避免延迟快照删仓；
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# 只从账户快照补入没有策略成交历史的股票，避免刚卖完又被旧快照重建。
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holdings = [PositionItem(stock_code=code, volume=row['base_qty'] + row['added_qty'])
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for code, row in state.state.items()]
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holdings.extend(p for p in positions if p.stock_code not in traded and p.stock_code not in state.state)
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state.sync_state(holdings)
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