141 lines
5.2 KiB
Python
141 lines
5.2 KiB
Python
"""趋势策略开仓逻辑。"""
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from datetime import datetime
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from functools import lru_cache
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import math
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from libs 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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import logging as log
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def open_signal(run: Runtime, ticks, open_signals) -> None:
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"""逐个验证开仓信号并提交买入委托。"""
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for item in open_signals:
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try:
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if not math.isfinite(item.last_close) or item.last_close <= 0:
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log.info("[OpenSkip] %s 信号=%s，跳过：信号无效，last_close不是有限正数", item.code, item.signal_key)
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continue
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if item.code in run.account_cfg.excluded_codes:
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log.info("[OpenSkip] %s 信号=%s，跳过：已配置为排除股票", item.code, item.signal_key)
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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(item.signal_key)
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if signal_config is None:
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log.info("[OpenSkip] %s 信号=%s，跳过：未找到信号配置",item.code,item.signal_key)
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continue
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if not check_timezone(signal_config.timezone):
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log.info("[OpenSkip] %s 信号=%s，跳过：不在信号时间段(%s)",item.code,item.signal_key,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 run.orders.busy(item.code, "BUY"):
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log.info("[OpenSkip] %s 信号=%s，跳过：买入委托处理中", item.code, item.signal_key)
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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 is not None else 0
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if not math.isfinite(price) or price <= 0:
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log.info("[OpenSkip] %s 信号=%s，跳过：价格无效", item.code, item.signal_key)
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continue
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# 5. 根据单笔买入金额计算整手开仓数量。
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volume = calc_buy_volume(price, run.account_cfg.buy_value)
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if volume <= 0:
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log.info("[OpenSkip] %s 信号=%s，跳过：数量无效", item.code, item.signal_key)
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continue
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# 根据信号key做相关判断
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# 早市信号，逢涨可买入
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if item.signal_key == "morning" and signal_config.gt_last_price_is_open:
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if price > item.last_close:
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do_open(run, item.code, volume, item.signal_key, price)
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continue
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# 优质标的信号，高于均价最低价则跳过
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if item.signal_key == "arbitrage" and price > item.last_close:
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continue
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# 其它信号，均从观察低点反弹，防止直接接下跌中的“飞刀”。
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if not run.open_watch.triggered("开仓", item.code, price):
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continue
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do_open(run, item.code, volume, item.signal_key, price)
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except RuntimeError as exc:
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log.exception("[OpenRuntimeError] %s 信号=%s，失败：%s",item.code,item.signal_key,exc)
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except Exception as err:
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log.exception("[OpenExceptionError] %s 信号=%s，异常：%s",item.code,item.signal_key,err)
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continue
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def do_open(
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run: Runtime, code: str, volume: int, signal_key: str, price: float
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) -> None:
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"""生成本地订单号并按最新价提交开仓委托。"""
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order_id = run.orders.new_order_id("BUY")
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request = PlaceOrderRequest(
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OP_BUY,
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code,
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volume,
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order_id,
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signal_key,
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kind="base",
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)
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if not run.orders.place(run.client, request):
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raise RuntimeError("订单提交失败")
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run.open_watch.forget(code)
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log.info("[Open] %s 信号=%s，买入=%d股，原因=反弹已确认",code,signal_key,volume)
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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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@lru_cache(maxsize=256)
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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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