209 lines
7.0 KiB
Python
209 lines
7.0 KiB
Python
"""趋势策略持仓止盈与分级补仓。"""
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from __future__ import annotations
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from dataclasses import dataclass
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from libs.calc import calc_buy_volume, calculate_min_profit_rate
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from libs.grid_take_profit import GridState
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from sdk import OP_BUY, OP_SELL, PositionItem, Tick
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from libs.order import PlaceOrderRequest
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from libs.runtime import Runtime
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import logging as log
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LOSS_TIERS = [-50.0]
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@dataclass(slots=True)
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class TradeDecision:
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"""一次止盈或补仓判断的统一结果。"""
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submitted: bool
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message: str = ""
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reserved_cash: float = 0.0
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def manage_positions(
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runtime: Runtime,
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ticks: dict[str, Tick],
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positions: list[PositionItem],
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market_ok: bool,
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available: float,
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) -> None:
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# 遍历处理每个持仓
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for position in positions:
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try:
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available = max(0, 0, available)
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code = position.stock_code
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tick = ticks.get(code)
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if code in runtime.account_cfg.excluded_codes:
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log.info(
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"[Position - ] 代码=%s，名称=%s，止盈=跳过，补仓=跳过，原因=已配置为排除股票",
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code,
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position.stock_name,
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)
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continue
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if (
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not code
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or position.open_price <= 0
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or position.volume <= 0
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or tick is None
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or tick.last_price <= 0
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):
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log.warning(
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"[Position - ] 代码=%s，名称=%s，止盈=跳过，补仓=跳过，原因=持仓或行情数据无效",
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code or "未知",
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position.stock_name,
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)
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continue
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pnl_rate = round(
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(tick.last_price - position.open_price) / position.open_price * 100,
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2,
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)
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minimum_profit = calculate_min_profit_rate(position.open_price, 1)
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profit_decision = handle_profit(
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runtime=runtime,
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position=position,
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tick=tick,
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pnl_rate=pnl_rate,
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minimum_profit=minimum_profit,
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)
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profit_action = profit_decision.message or "未触发"
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loss_add_action = "未启用"
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if runtime.account_cfg.enable_loss_add_position and market_ok:
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loss_decision = handle_loss(
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runtime=runtime,
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position=position,
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tick=tick,
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pnl_rate=pnl_rate,
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available=available,
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)
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available = available - loss_decision.reserved_cash
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loss_add_action = loss_decision.message or "未触发"
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elif runtime.account_cfg.enable_loss_add_position:
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loss_add_action = "大盘信号不允许"
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strTag = "-"
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if pnl_rate >= minimum_profit:
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strTag = "↑"
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elif pnl_rate< LOSS_TIERS[0]:
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strTag = "↓"
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log.info(
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"[Position %s ] %s %s，盈亏=%.2f%%，止盈=%s，补仓=%s",
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strTag,
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code,
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position.stock_name,
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pnl_rate,
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profit_action,
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loss_add_action,
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)
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except Exception:
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log.exception(
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"[Position] 持仓处理异常，代码=%s，继续处理后续持仓",
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position.stock_code,
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)
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def handle_profit(
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runtime: Runtime,
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position: PositionItem,
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tick: Tick,
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pnl_rate: float,
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minimum_profit: float,
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) -> TradeDecision:
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"""基于跨轮保存的最高盈利网格判断是否提交止盈。"""
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if pnl_rate < minimum_profit:
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return TradeDecision(False)
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key = _position_key(runtime, position.stock_code)
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observation = runtime.profit_tracker.observe(key, pnl_rate)
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if observation.state == GridState.ARMED:
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return TradeDecision(
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False,
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f"首次达到 {pnl_rate:.2f}%，峰值网格={observation.current_grid}",
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)
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if observation.state == GridState.RAISED:
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return TradeDecision(
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False,
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f"上涨至 {pnl_rate:.2f}%，峰值网格={observation.current_grid}",
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)
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if observation.state in {GridState.STEADY}:
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return TradeDecision(False)
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if runtime.orders.busy(position.stock_code, "SELL"):
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return TradeDecision(False, "卖出委托处理中")
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volume = position.can_use_volume - position.can_use_volume % 100
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if volume <= 0:
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return TradeDecision(False, "无可用整手持仓")
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order_id = runtime.orders.new_order_id("SELL")
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request = PlaceOrderRequest(
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op=OP_SELL,
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code=position.stock_code,
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volume=volume,
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order_id=order_id,
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strategy_name=runtime.account_cfg.strategy,
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)
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if not runtime.orders.place(runtime.client, request):
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return TradeDecision(False, "止盈委托失败")
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return TradeDecision(True, f"[止盈卖出] {volume} 股，订单={order_id}")
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def handle_loss(
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runtime: Runtime,
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position: PositionItem,
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tick: Tick,
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pnl_rate: float,
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available: float,
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) -> TradeDecision:
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"""按亏损档位、反弹确认和本轮剩余预算提交补仓。"""
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add_num = get_add_num(
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hands=int(position.volume / 100), market_value=position.market_value
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)
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if add_num >= len(LOSS_TIERS) or add_num < 0:
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return TradeDecision(False, f"补仓次数无效:{add_num}")
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if pnl_rate > LOSS_TIERS[add_num]:
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return TradeDecision(False)
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if tick.last_price > 200 or position.market_value >= 20_000:
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return TradeDecision(False, "价格或仓位市值超过补仓限制")
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if not runtime.add_watch.triggered("补仓", position.stock_code, tick.last_price):
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return TradeDecision(False, "等待价格反弹确认")
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if runtime.orders.busy(position.stock_code, "BUY"):
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return TradeDecision(False, "买入委托处理中")
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volume = calc_buy_volume(tick.last_price, runtime.account_cfg.buy_value)
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amount = tick.last_price * volume
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if volume <= 0 or amount > available:
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return TradeDecision(False, "本轮可用资金不足")
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order_id = runtime.orders.new_order_id("BUY")
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request = PlaceOrderRequest(
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op=OP_BUY,
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code=position.stock_code,
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volume=volume,
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order_id=order_id,
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strategy_name=runtime.account_cfg.strategy,
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kind="add",
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)
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if not runtime.orders.place(runtime.client, request):
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return TradeDecision(False, "补仓订单委托失败")
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runtime.add_watch.forget(position.stock_code)
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return TradeDecision(True, f"[补仓买入] {volume} 股，订单={order_id}", amount)
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def _position_key(runtime: Runtime, code: str) -> str:
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return f"{runtime.account_cfg.account_id}:{code}"
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def get_add_num(hands: int, market_value: float) -> int:
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if market_value > 10000:
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return -1
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if hands < 2:
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return 0
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return -1
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