95 lines
4.7 KiB
Python
95 lines
4.7 KiB
Python
"""日内先卖后买的做 T 规则，不包含趋势补仓或整仓止盈。"""
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from __future__ import annotations
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from datetime import datetime
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import logging as log
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import math
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from libs.grid_take_profit import GridState
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from sdk import OP_BUY, OP_SELL, PositionItem
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from .order import PlaceOrderRequest
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from .runtime import Runtime
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from .state import PendingOrder, READY, SOLD
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def manage_positions(run: Runtime, ticks, positions: list[PositionItem], available: float,
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today: str, force_buy_back: bool = False) -> float:
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"""遍历本地底仓记录；全部卖出后即使持仓快照为空，也必须处理买回。"""
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by_code = {position.stock_code: position for position in positions}
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for code, state in list(run.state.items.items()):
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try:
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now = datetime.now()
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if now.hour >= 15:
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break
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force_buy_back = force_buy_back or (now.hour, now.minute) >= (14, 50)
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if code in run.account_cfg.excluded_codes or run.state.busy(code):
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continue
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if run.orders.busy(code, "BUY") or run.orders.busy(code, "SELL"):
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continue
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tick = ticks.get(code)
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price = tick.last_price if tick else 0.0
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if not math.isfinite(price) or price <= 0:
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continue
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position = by_code.get(code)
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actual_qty = position.volume if position else 0
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expected_qty = state.base_qty - state.sell_qty + state.buy_qty
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# 快照延迟或手动增减仓不能当作新的做 T 信号，先核对数量差异。
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if actual_qty != expected_qty:
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log.warning("[ZT 持仓] %s 数量不符，记录=%d，实际=%d，暂停交易", code, expected_qty, actual_qty)
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continue
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if state.phase == SOLD:
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available = _try_buy_back(run, state, price, available, today, force_buy_back)
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elif state.phase == READY and position and not force_buy_back:
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if price <= run.account_cfg.zt_max_price:
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_try_sell(run, state, position, price, today)
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except Exception:
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log.exception("[ZT 持仓] %s 处理异常，继续后续证券", code)
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return available
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def _try_sell(run: Runtime, state, position: PositionItem, price: float, today: str) -> None:
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"""基于独立保存的底仓成本，用跨轮最高盈利网格判断做 T 卖出。"""
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if state.base_cost <= 0:
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return
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pnl_rate = (price - state.base_cost) / state.base_cost * 100
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key = f"{run.account_cfg.account_id}:{state.code}:{today}"
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observation = run.sell_tracker.observe(key, pnl_rate)
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if observation.state != GridState.RETREAT:
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return
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volume = min(position.can_use_volume, int(state.base_qty * run.account_cfg.zt_sell_ratio))
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volume = volume // 100 * 100
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if volume <= 0:
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return
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order_id = run.orders.new_order_id("t-sell")
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request = PlaceOrderRequest(OP_SELL, state.code, volume, order_id, "zt", kind="sell")
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run.state.new_order(PendingOrder(order_id, state.code, "sell", volume, today))
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if run.orders.place(run.client, request):
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log.info("[ZT 卖出] %s %d 股，等待成交后确定买回数量和价格", state.code, volume)
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def _try_buy_back(run: Runtime, state, price: float, available: float, today: str, force: bool) -> float:
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"""按实际卖出均价下跌后反弹买回；尾盘不再受下跌幅度、反弹及价格上限限制。"""
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target = state.sell_price * (1 - run.account_cfg.zt_buy_fall_pct / 100)
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if not force and (price > target or price > run.account_cfg.zt_max_price):
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return available
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volume = state.sell_qty - state.buy_qty
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amount = price * volume * 1.01
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if volume <= 0 or amount > available:
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log.warning("[ZT 买回] %s 买回资金不足或数量无效，保留未完成轮次", state.code)
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return available
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if not force and not run.buy_watch.triggered("ZT 买回", state.code, price):
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return available
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order_id = run.orders.new_order_id("t-buy")
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request = PlaceOrderRequest(OP_BUY, state.code, volume, order_id, "zt", kind="buy")
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run.state.new_order(PendingOrder(order_id, state.code, "buy", volume, today))
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# pending 已落盘，任何请求结果都预留资金；下一轮再从柜台快照确认。
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available -= amount
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try:
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if run.orders.place(run.client, request):
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run.buy_watch.forget(state.code)
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log.info("[ZT 买回] %s %d 股，%s", state.code, volume, "尾盘强制买回" if force else "下跌后反弹")
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except Exception:
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log.exception("[ZT 买回] %s 请求结果未知，保留 pending 和预算", state.code)
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return available
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