171 lines
7.3 KiB
Python
171 lines
7.3 KiB
Python
"""SQLite 状态簿：每个账户/策略使用独立数据库，单个策略串行读写。"""
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from __future__ import annotations
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import math
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import sqlite3
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from contextlib import closing
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from dataclasses import asdict
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from datetime import datetime
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from pathlib import Path
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from sdk import DealItem
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SCHEMA = """
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CREATE TABLE IF NOT EXISTS positions (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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code TEXT NOT NULL,
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base_order_id TEXT NOT NULL DEFAULT '',
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base_qty INTEGER NOT NULL DEFAULT 0 CHECK (base_qty >= 0),
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base_cost REAL NOT NULL DEFAULT 0.0 CHECK (base_cost >= 0),
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added_order_id TEXT NOT NULL DEFAULT '',
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added_num INTEGER NOT NULL DEFAULT 0 CHECK (added_num >= 0),
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added_qty INTEGER NOT NULL DEFAULT 0 CHECK (added_qty >= 0),
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added_cost REAL NOT NULL DEFAULT 0.0 CHECK (added_cost >= 0),
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status TEXT NOT NULL
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);
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CREATE UNIQUE INDEX IF NOT EXISTS idx_positions_code ON positions (code);
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CREATE INDEX IF NOT EXISTS idx_positions_base_order_id ON positions (base_order_id);
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CREATE INDEX IF NOT EXISTS idx_positions_added_order_id ON positions (added_order_id);
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CREATE TABLE IF NOT EXISTS deals (
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id INTEGER PRIMARY KEY,
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sys_order_id TEXT NOT NULL UNIQUE CHECK (sys_order_id <> ''),
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local_order_id TEXT NOT NULL,
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code TEXT NOT NULL,
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instrument_id TEXT NOT NULL,
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exchange_id TEXT NOT NULL,
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name TEXT NOT NULL,
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offset_flag TEXT NOT NULL,
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side TEXT NOT NULL CHECK (side IN ('BUY', 'SELL')),
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status TEXT NOT NULL,
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remaining_volume INTEGER NOT NULL CHECK (remaining_volume >= 0),
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traded_volume INTEGER NOT NULL CHECK (traded_volume > 0),
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order_time INTEGER NOT NULL,
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insert_date TEXT NOT NULL,
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insert_time TEXT NOT NULL,
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remark TEXT NOT NULL,
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price REAL NOT NULL,
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trade_price REAL NOT NULL CHECK (trade_price >= 0),
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trade_amount REAL NOT NULL CHECK (trade_amount > 0)
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);
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CREATE INDEX IF NOT EXISTS idx_deals_local_order_id ON deals (local_order_id);
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CREATE INDEX IF NOT EXISTS idx_deals_code_date ON deals (code, insert_date);
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CREATE INDEX IF NOT EXISTS idx_deals_date_time ON deals (insert_date, insert_time);
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"""
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class OrderBook:
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"""Persist position snapshots and append-only executions; one writer per database."""
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def __init__(self, path: str | Path) -> None:
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self.path = Path(path)
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self.positions: dict[str, dict] = {}
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self.deals: dict[str, dict] = {}
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self.deals_sys_ids: set[str] = set()
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self.path.parent.mkdir(parents=True, exist_ok=True)
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with closing(self._connect()) as db:
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db.executescript(SCHEMA)
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self.load()
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def _connect(self) -> sqlite3.Connection:
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db = sqlite3.connect(self.path, timeout=30)
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db.row_factory = sqlite3.Row
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return db
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def load(self) -> None:
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with closing(self._connect()) as db, db:
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db.execute('BEGIN')
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positions = {row['code']: dict(row) for row in db.execute('SELECT * FROM positions')}
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deals = {row['sys_order_id']: dict(row) for row in db.execute('SELECT * FROM deals ORDER BY id')}
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self.positions = positions
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self.deals = deals
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self.deals_sys_ids = set(deals)
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self._deal_count = len(deals)
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@staticmethod
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def _insert_deals(db: sqlite3.Connection, deals: list[dict]) -> None:
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db.executemany(
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"""INSERT INTO deals
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(sys_order_id, local_order_id, code, instrument_id, exchange_id, name,
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offset_flag, side, status, remaining_volume, traded_volume, order_time,
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insert_date, insert_time, remark, price, trade_price, trade_amount)
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VALUES (:sys_order_id, :local_order_id, :code, :instrument_id, :exchange_id, :name,
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:offset_flag, :side, :status, :remaining_volume, :traded_volume, :order_time,
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:insert_date, :insert_time, :remark, :price, :trade_price, :trade_amount)""",
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deals,
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)
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@staticmethod
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def deal_record(deal: DealItem) -> dict:
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"""API 字段转入库记录；委托价格不用于推算成交金额。"""
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if not deal.sys_order_id or deal.traded_volume <= 0:
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raise ValueError('System order ID and positive traded volume are required')
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row = asdict(deal)
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if any(isinstance(value, float) and not math.isfinite(value) for value in row.values()):
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raise ValueError('Prices and amounts must be finite')
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amount = deal.trade_amount if deal.trade_amount > 0 else deal.trade_price * deal.traded_volume
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if not math.isfinite(amount) or amount <= 0:
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raise ValueError('Execution amount must be positive and finite')
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row['trade_amount'] = amount
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date = deal.insert_date or datetime.now().date().isoformat()
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if len(date) == 8 and date.isdigit():
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date = f'{date[:4]}-{date[4:6]}-{date[6:]}'
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row['insert_date'] = date
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return row
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def sync_deals(self, deals: list[DealItem]) -> None:
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"""按系统订单号去重，批量写入已成交数据；失败时不更新缓存。"""
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new_deals = []
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seen = self.deals_sys_ids.copy()
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for deal in deals:
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if deal.sys_order_id in seen:
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continue
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new_deals.append(self.deal_record(deal))
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seen.add(deal.sys_order_id)
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if not new_deals:
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return
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with closing(self._connect()) as db, db:
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self._insert_deals(db, new_deals)
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self.load()
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def save(self, items: dict, deals: list[dict]) -> None:
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if len(deals) < self._deal_count:
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raise ValueError('Execution history is append-only')
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new_deals = deals[self._deal_count:]
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positions = [
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{
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'base_order_id': '', 'base_qty': 0, 'base_cost': 0.0,
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'added_order_id': '', 'added_num': 0, 'added_qty': 0, 'added_cost': 0.0,
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**item,
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}
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for item in items.values()
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]
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for row in [*items.values(), *new_deals]:
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if any(isinstance(value, float) and not math.isfinite(value) for value in row.values()):
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raise ValueError('Quantities, prices and amounts must be finite')
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with closing(self._connect()) as db, db:
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# 更新已有证券时保留其自增 ID；仅删除快照中已移除的证券。
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for row in db.execute('SELECT code FROM positions').fetchall():
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if row['code'] not in items:
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db.execute('DELETE FROM positions WHERE code = ?', (row['code'],))
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db.executemany(
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"""INSERT INTO positions
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(code, base_order_id, base_qty, base_cost,
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added_order_id, added_num, added_qty, added_cost, status)
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VALUES (:code, :base_order_id, :base_qty, :base_cost,
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:added_order_id, :added_num, :added_qty, :added_cost, :status)
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ON CONFLICT(code) DO UPDATE SET
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base_order_id = excluded.base_order_id,
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base_qty = excluded.base_qty,
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base_cost = excluded.base_cost,
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added_order_id = excluded.added_order_id,
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added_num = excluded.added_num,
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added_qty = excluded.added_qty,
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added_cost = excluded.added_cost,
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status = excluded.status""",
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positions,
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)
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self._insert_deals(db, new_deals)
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self.load()
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