big-qmt/py-client/strategy/zt/boot.py

"""做 T 策略启动器。

该模块负责组合 SDK、配置、状态存储和做 T 策略组件，供 main.py 调用。
"""

from concurrent.futures import Future, ThreadPoolExecutor
import logging as log
import time
from datetime import datetime, time as clock_time
from pathlib import Path

import config
from libs.calc import trading_time
from libs.market import market_allow_open
from libs.signal import SignalItem, init_signals
from libs.collector import collector_push
from libs.grid_take_profit import GridTrailingTracker
from sdk import Client
from libs.overview import Overview
from libs.order import BUSY_STATUSES, OrderBook
from libs.watch import DipWatch
from libs.runtime import Runtime
from .open import open_signal
from .positions import manage_positions


def StartZT() -> None:
    """初始化做 T 策略，并以 30 秒间隔持续执行。"""
    with Client(
        config.global_config.qmt_base_url,
        config.global_config.qmt_token,
        config.HTTP_TIMEOUT,
    ) as client:
        # state = TState(
        #     Path(config.global_config.qmt_data_dir)
        #     / f"zt_{config.account_config.account_id}_state.db"
        # )
        executor = ThreadPoolExecutor(max_workers=3, thread_name_prefix="zt")
        run = Runtime(
            client=client,
            global_cfg=config.global_config,
            account_cfg=config.account_config,
            orders=OrderBook("zt"),
            open_watch=DipWatch(),
            add_watch=DipWatch(),
            profit_tracker=GridTrailingTracker(config.account_config.grid_step_pct),
            executor=executor
        )

        portfolio = client.portfolio()
        assets = portfolio.assets
        positions = list(portfolio.positions.values())
        run.orders.refresh(client, portfolio.orders)
        
        # 获取本策略的信号开仓数据
        signals = init_signals(config.global_config,["dcm"])
        log.info("[启动] ZT 策略已启动，账户=%s，信号=%d，持仓=%d",
            config.account_config.account_id,
            len(signals),
            len(positions),
        )

        Overview(assets, positions, config.account_config)

        DEFAULT_TICK_INTERVAL = 30
        while True:
            lt = time.localtime()
            if (lt.tm_hour, lt.tm_min, lt.tm_sec) >= (15, 0, 0):
                log.info("[Trend] 已到 15:00，结束趋势策略")
                return
            current_sec = lt.tm_sec
        
            # 计算距离下一个目标时间点（0秒或30秒）的等待时间
            if current_sec < DEFAULT_TICK_INTERVAL:
                wait_seconds = DEFAULT_TICK_INTERVAL - current_sec
            elif current_sec < 60:
                wait_seconds = 60 - current_sec
            else:
                wait_seconds = DEFAULT_TICK_INTERVAL

            # 等待到目标时间点
            time.sleep(wait_seconds)

            # 单轮失败不能杀死唯一的交易定时线程。
            try:
                RunOnce(run, state, signals)
            except Exception as e:
                log.error(
                    f"[Trend] 本 tick 执行失败，下一 tick 继续: {e}", exc_info=True
                )

def RunOnce(run: Runtime, state: TState, signals: list[SignalItem]) -> None:
    """账户快照 → 成交对账 → 做 T 管理 → dcm 建仓，共用一份资金预算。"""
    now = datetime.now()
    if not trading_time(now):
        return
    
    started_at = time.monotonic()

    # 1. 一次获取资产、持仓和订单，并清理过期订单。
    try:
        portfolio = run.client.portfolio()
        assets = portfolio.assets
        deals = run.client.deals()
        position_codes = list(portfolio.positions)
        positions = list(portfolio.positions.values())
        run.orders.refresh(run.client, portfolio.orders)
        state.reconcile(positions,deals)
    except Exception:
        log.exception("[Portfolio] 刷新账户快照失败")
        return

    futures: list[tuple[str, Future]] = [
        (
            "数据提交",
            run.executor.submit(
                collector_push,
                run.account_cfg.account_id,
                assets,
                positions,
            ),
        )
    ]

    # 2. 验证可用资金；低于资金安全线时禁止开新仓。
    allow_open_by_cash = (
        assets.available >= assets.total * run.account_cfg.min_cash_ratio
    )
    if not allow_open_by_cash:
        log.info(
            "[Status] 禁止开仓：可用资金不足，可用=%.2f，总资产=%.2f",
            assets.available,
            assets.total,
        )

    # 3. 获取大盘状态，只有大盘信号允许时才执行开仓。
    market_ok = market_allow_open()

    # 4. 验证有效开仓信号：排除已有持仓和未决订单。
    allow_open: list[SignalItem] = []
    allow_codes: list[str] = []
    for signal in signals:
        if signal.code not in portfolio.positions:
            allow_open.append(signal)
            allow_codes.append(signal.code)

    if allow_open and not market_ok:
        log.info("[开仓] 禁止开仓：大盘信号不允许，候选=%d", len(allow_open))

    # 5. 获取持仓和待开仓证券的实时行情 tick。
    all_codes = list(dict.fromkeys(position_codes + allow_codes))
    try:
        ticks = run.client.full_tick(all_codes)
    except Exception:
        log.exception("[行情] 获取行情失败，代码数量=%d", len(all_codes))
        return

    log.info(
        "[RunOnce] 本轮就绪，持仓=%d，候选=%d，大盘允许=%s，资金允许=%s",
        len(positions),
        len(allow_open),
        market_ok,
        allow_open_by_cash,
    )

    # 启动线程，开始计算
    # 7. 持仓计算。
    futures.append(
        (
            "持仓计算",
            run.executor.submit(
                manage_positions, run, ticks, positions, market_ok, assets.available
            ),
        )
    )

    # 8. 开仓计算：必须同时存在有效信号且大盘允许开仓。
    if allow_open and market_ok and allow_open_by_cash:
        futures.append(
            ("开仓计算", run.executor.submit(open_signal, run, ticks, allow_open))
        )

    # 9. 开始执行
    for name, future in futures:
        _wait_worker(name, future)
    log.info(
        "[RunOnce] 本轮完成，耗时=%d毫秒", int((time.monotonic() - started_at) * 1000)
    )


def _wait_worker(name: str, future: Future) -> None:
    """保留单轮继续运行的语义，分别记录工作线程异常。"""
    try:
        future.result()
    except Exception:
        log.exception("[运行] %s线程失败", name)