166 lines
5.6 KiB
Python
166 lines
5.6 KiB
Python
"""策略共用委托簿。"""
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import secrets
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from dataclasses import dataclass
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from datetime import datetime, timedelta
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from threading import Lock
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from cachelib import SimpleCache
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import logging
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import httpx
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from sdk import Client, ORDER_SIDE_BY_OFFSET, APIError, OrderItem
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# 表示委托仍在处理、可能继续成交的 QMT 状态。
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BUSY_STATUSES = {"48", "49", "50", "51", "52", "55"}
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COMPLETED_STATUSES = {"56"}
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TRACKED_STATUSES = BUSY_STATUSES | COMPLETED_STATUSES
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CANCELABLE_STATUSES = {"49", "50", "51", "52"}
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@dataclass(slots=True)
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class PlaceOrderRequest:
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"""``OrderBook.place`` 提交委托所需的全部参数。"""
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op: int
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code: str
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volume: int
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order_id: str
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strategy_name: str
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kind: str = ""
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class OrderBook:
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"""线程安全的活动委托缓存。"""
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def __init__(
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self, order_prefix: str, lock_timeout_sec: int = 180, cancel_timeout_sec: float = 10
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) -> None:
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self.order_prefix = order_prefix
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self.lock_timeout_sec = max(1, lock_timeout_sec)
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self.cancel_timeout_sec = timedelta(seconds=cancel_timeout_sec)
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self.data: list[OrderItem] = []
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self.busy_keys: set[str] = set()
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self.busy_cache = SimpleCache(
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threshold=10_000, default_timeout=self.lock_timeout_sec
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)
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self.mutex = Lock()
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def new_order_id(self, side: str) -> str:
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"""生成带策略前缀的本地订单号。"""
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return f"{self.order_prefix}-{side}-{secrets.token_hex(10)}"
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def busy(self, code: str, side: str) -> bool:
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"""判断证券是否存在仍在处理中的同方向委托。"""
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with self.mutex:
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key = self._busy_key(side, code)
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return key in self.busy_keys or self.busy_cache.has(key)
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@staticmethod
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def _busy_key(side: str, code: str) -> str:
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return f"{side}-{code}"
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def refresh(self, client: Client, orders: list[OrderItem]) -> None:
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"""用账户快照刷新委托，并撤销超时的活动委托。"""
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current = datetime.now()
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data: list[OrderItem] = []
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busy_keys: set[str] = set()
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canceled = 0
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for item in orders:
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status = str(item.order_status)
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# 不处理状态不对的
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if status not in TRACKED_STATUSES:
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continue
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if status in BUSY_STATUSES:
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busy_keys.add(self._busy_key(item.side, item.stock_code))
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# 清理过期的
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created_at = item.created_at
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if (
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created_at is not None
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and item.local_order_id.startswith(f"{self.order_prefix}-")
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and status in CANCELABLE_STATUSES
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and current - created_at > self.cancel_timeout_sec
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):
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try:
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client.cancel_by_id(item.order_sys_id)
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canceled += 1
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logging.info(
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"[Order] 超时撤单，代码=%s，方向=%s，柜台订单=%s",
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item.stock_code,
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item.side,
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item.order_sys_id,
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)
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except Exception:
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logging.exception(
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"[Order] 撤单失败，保留在途状态，订单=%s", item.order_sys_id
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)
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# 缓存本次有效订单
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data.append(item)
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with self.mutex:
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self.data = data
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self.busy_keys = busy_keys
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logging.info(
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"[Order] 刷新完成，跟踪=%d，处理中=%d，撤销=%d",
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len(data),
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len(busy_keys),
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canceled,
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)
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def place(self, client: Client, request: PlaceOrderRequest) -> bool:
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"""按最新价提交委托，并立即写入本地方向锁。"""
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side = ORDER_SIDE_BY_OFFSET.get(str(request.op), "")
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if not side:
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logging.warning(
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"[Order] 下单失败，代码=%s，原因=未知买卖方向(%s)",
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request.code,
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request.op,
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)
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return False
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key = self._busy_key(side, request.code)
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with self.mutex:
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if key in self.busy_keys or self.busy_cache.has(key):
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logging.info(
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"[Order] 跳过重复下单，代码=%s，方向=%s", request.code, side
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)
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return False
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self.busy_cache.set(key, True, timeout=self.lock_timeout_sec)
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try:
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result = client.passorder(
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op_type=request.op,
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stock_code=request.code,
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volume=request.volume,
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strategy_name=request.strategy_name,
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order_id=request.order_id,
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)
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except APIError as exc:
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logging.exception(
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"[Order] 下单失败，代码=%s，本地订单=%s，HTTP状态=%d，错误=%s",
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request.code,
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request.order_id,
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exc.status_code,
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exc.message or str(exc),
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)
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return False
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except (httpx.RequestError, ValueError):
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# 响应异常不能证明柜台未受理，保留缓存防重，不自动重试。
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logging.exception(
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"[Order] 下单请求或响应异常，代码=%s，本地订单=%s",
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request.code,
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request.order_id,
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)
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return False
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logging.info(
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"[Order] 下单已受理，代码=%s，方向=%s，数量=%d，本地订单=%s，返回=%s",
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request.code,
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side,
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request.volume,
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request.order_id,
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result,
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)
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return True
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