179 lines
6.5 KiB
Python
179 lines
6.5 KiB
Python
"""做 T 策略的持仓状态和逐笔实际成交记录。"""
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from __future__ import annotations
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import math
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from dataclasses import dataclass
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from datetime import datetime
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from pathlib import Path
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from sdk import DealItem, PositionItem
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from libs.orderbook import OrderBook
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READY, SOLD, DONE = "READY", "SOLD", "DONE"
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@dataclass(slots=True)
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class TStateItem:
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code: str
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base_qty: int = 0
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base_cost: float = 0.0
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trade_date: str = ""
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phase: str = READY
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sell_qty: int = 0
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sell_price: float = 0.0
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buy_qty: int = 0
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buy_cost: float = 0.0
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id: int = 0
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base_order_id: str = ''
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added_order_id: str = ''
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added_num: int = 0
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added_qty: int = 0
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added_cost: float = 0.0
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class TState:
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"""Apply actual executions immediately, atomically with their position changes."""
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def __init__(self, path: str | Path) -> None:
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self._store = OrderBook(path)
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self.path = self._store.path
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self._load()
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@staticmethod
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def _is_zt_deal(deal: DealItem) -> bool:
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return (
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deal.side == 'BUY' and deal.local_order_id.startswith(('zt-base-', 'zt-t-buy-'))
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) or (
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deal.side == 'SELL' and deal.local_order_id.startswith('zt-t-sell-')
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)
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@staticmethod
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def _reset(item: TStateItem, date: str) -> bool:
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if item.phase == DONE and item.trade_date != date:
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item.phase, item.trade_date = READY, ''
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item.sell_qty = item.buy_qty = 0
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item.sell_price = item.buy_cost = 0.0
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return True
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return False
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@classmethod
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def _apply_t_deal(cls, item: TStateItem, deal: dict) -> None:
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"""实时入账与重启恢复共用同一套做 T 轮次计算。"""
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cls._reset(item, deal['trade_date'])
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qty, amount = deal['volume'], deal['trade_amount']
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if str(deal['offset_flag']) in ('24', '49'):
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total = item.sell_qty + qty
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item.sell_price = (item.sell_qty * item.sell_price + amount) / total
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item.sell_qty = total
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item.phase = SOLD
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else:
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total = item.buy_qty + qty
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item.buy_cost = (item.buy_qty * item.buy_cost + amount) / total
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item.buy_qty = total
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item.phase = DONE if total >= item.sell_qty else SOLD
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item.trade_date = deal['trade_date']
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def reconcile(
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self, positions: list[PositionItem], deals: list[DealItem]
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) -> None:
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"""Deduplicate each fill; partial fills do not wait for order completion."""
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today = datetime.now().date().isoformat()
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seen = {row['order_sys_id'] for row in self.deals}
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rows = []
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for deal in deals:
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if not self._is_zt_deal(deal) or deal.order_sys_id in seen:
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continue
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try:
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row = self._store.deal_record(deal)
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except ValueError:
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continue
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rows.append(row)
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seen.add(deal.order_sys_id)
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rows.sort(key=lambda r: (r['trade_date'], r['trade_time']))
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modified = False
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try:
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# Snapshot includes these fills: subtract their net quantity before replay.
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net = {}
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for row in rows:
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net[row['stock_code']] = net.get(row['stock_code'], 0) + (
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row['volume'] if str(row['offset_flag']) in ('23', '48') else -row['volume']
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)
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for position in positions:
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code = position.stock_code
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if code in self.items or position.volume <= 0:
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continue
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if not math.isfinite(position.open_price) or position.open_price <= 0:
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continue
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qty = max(0, position.volume - net.get(code, 0))
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self.items[code] = TStateItem(code, qty, position.open_price if qty else 0.0)
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modified = True
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# 全部卖出时快照可能已无该证券，按净卖出数量恢复待买回的底仓数量。
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for code, delta in net.items():
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if code not in self.items and delta < 0:
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self.items[code] = TStateItem(code, -delta)
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for row in rows:
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item = self.items.setdefault(row['stock_code'], TStateItem(row['stock_code']))
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self._reset(item, row['trade_date'])
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qty, amount = row['volume'], row['trade_amount']
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if row['order_local_id'].startswith('zt-base-'):
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total = item.base_qty + qty
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item.base_cost = (item.base_qty * item.base_cost + amount) / total
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item.base_qty = total
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item.base_order_id = row['order_local_id']
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else:
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self._apply_t_deal(item, row)
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self.deals.append(row)
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modified = True
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for item in self.items.values():
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modified = self._reset(item, today) or modified
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if modified:
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self.save()
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except Exception:
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self._load()
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raise
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def save(self) -> None:
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try:
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self._store.save(
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{
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code: {
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'stock_code': item.code,
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'volume': item.base_qty,
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'open_price': item.base_cost,
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'open_cost': item.base_qty * item.base_cost,
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}
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for code, item in self.items.items()
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},
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self.deals,
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)
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except Exception:
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self._load()
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raise
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def _load(self) -> None:
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self._store.load()
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self.items = {}
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for code, position in self._store.positions.items():
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self.items[code] = TStateItem(code, position['volume'], position['open_price'], id=position['id'])
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self.deals = [
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{key: value for key, value in deal.items() if key != 'id'}
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for deal in self._store.deals.values()
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]
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# 轮次明细不占用持仓表字段，从已保存的逐笔成交重建。
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for deal in self.deals:
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item = self.items.get(deal['stock_code'])
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if item is None:
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continue
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local_order_id = deal['order_local_id']
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if local_order_id.startswith('zt-base-'):
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item.base_order_id = local_order_id
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else:
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self._apply_t_deal(item, deal)
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today = datetime.now().date().isoformat()
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for item in self.items.values():
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self._reset(item, today)
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