97 lines
4.5 KiB
Python
97 lines
4.5 KiB
Python
"""ZT 启动与串行调度：成交同步、买回、卖出、建仓。"""
|
|
|
|
import logging as log
|
|
import time
|
|
from datetime import datetime
|
|
from pathlib import Path
|
|
|
|
import config
|
|
from libs.calc import trading_time
|
|
from libs.collector import collector_push
|
|
from libs.grid_take_profit import GridTrailingTracker
|
|
from libs.market import market_allow_open
|
|
from libs.order import OrderBook
|
|
from libs.overview import Overview
|
|
from libs.runtime import Runtime
|
|
from libs.signal import SignalItem, init_signals
|
|
from libs.state import State
|
|
from libs.watch import DipWatch
|
|
from sdk import Client, DealItem, PositionItem
|
|
from .open import open_signal
|
|
from .positions import manage_positions, t_rounds
|
|
|
|
|
|
def StartZT() -> None:
|
|
with Client(config.global_config.qmt_base_url, config.global_config.qmt_token, config.HTTP_TIMEOUT) as client:
|
|
state = State(Path(config.global_config.qmt_data_dir) / f'zt_{config.account_config.account_id}_state.db')
|
|
run = Runtime(
|
|
client=client, global_cfg=config.global_config, account_cfg=config.account_config,
|
|
orders=OrderBook('zt'), open_watch=DipWatch(), add_watch=DipWatch(),
|
|
profit_tracker=GridTrailingTracker(config.account_config.grid_step_pct),
|
|
)
|
|
# 先读取成交，再读取持仓，减少成交已入账而快照仍未更新的情况。
|
|
deals = client.deals()
|
|
portfolio = client.portfolio()
|
|
positions = list(portfolio.positions.values())
|
|
sync_account_state(state, positions, deals, initialize=not state.state and not state.deals)
|
|
run.orders.refresh(client, portfolio.orders)
|
|
signals = init_signals(config.global_config, ['dcm'])
|
|
Overview(portfolio.assets, positions, config.account_config)
|
|
log.info('[ZT] 启动，账户=%s，信号=%d', config.account_config.account_id, len(signals))
|
|
while datetime.now().hour < 15:
|
|
try:
|
|
RunOnce(run, state, signals)
|
|
except Exception:
|
|
log.exception('[ZT] 本轮失败，下一轮重试')
|
|
time.sleep(30 - time.time() % 30)
|
|
# 收盘后补记最后一轮成交，不再下单。
|
|
sync_account_state(state, list(client.portfolio().positions.values()), client.deals())
|
|
|
|
|
|
def RunOnce(run: Runtime, state: State, signals: list[SignalItem]) -> None:
|
|
now = datetime.now()
|
|
if not trading_time(now):
|
|
return
|
|
deals = run.client.deals()
|
|
portfolio = run.client.portfolio()
|
|
assets = portfolio.assets
|
|
positions = list(portfolio.positions.values())
|
|
run.orders.refresh(run.client, portfolio.orders)
|
|
sync_account_state(state, positions, deals)
|
|
# 收盘集合竞价前停止提交新委托，继续保存成交。
|
|
if (now.hour, now.minute) >= (14, 57):
|
|
return
|
|
rounds = t_rounds(state)
|
|
pending = {code for code, item in rounds.items() if item['sold'] > item['bought']}
|
|
candidates = {s.code: s for s in signals if s.code not in portfolio.positions
|
|
and s.code not in state.state and s.code not in pending}
|
|
codes = list(dict.fromkeys(list(state.state) + sorted(pending) + list(candidates)))
|
|
ticks = run.client.full_tick(codes) if codes else {}
|
|
force = (now.hour, now.minute) >= (14, 50)
|
|
available = manage_positions(run, state, ticks, positions, rounds, assets.available, now.date().isoformat(), force)
|
|
# 尚未买回时不分走资金；买回与新建仓使用同一份剩余资金。
|
|
if not force and not pending and available >= assets.total * run.account_cfg.min_cash_ratio:
|
|
if candidates and market_allow_open():
|
|
budget = max(0.0, available - assets.total * run.account_cfg.min_cash_ratio)
|
|
open_signal(run, ticks, list(candidates.values()), budget)
|
|
try:
|
|
collector_push(run.account_cfg.account_id, assets, positions)
|
|
except Exception:
|
|
log.exception('[ZT] 持仓上报失败')
|
|
|
|
|
|
def sync_account_state(
|
|
state: State, positions: list[PositionItem], deals: list[DealItem], *, initialize: bool = False,
|
|
) -> None:
|
|
"""初次持仓作为底仓；后续只按成交减仓，避免延迟快照删除持仓。"""
|
|
zt_deals = [d for d in deals if d.get_local_order_id.startswith('zt-')]
|
|
state.sync_deals(zt_deals, archived=initialize)
|
|
if initialize:
|
|
state.sync_state(positions)
|
|
return
|
|
errors = state.archiving(base_order_prefix='zt-base-')
|
|
if errors:
|
|
raise ValueError(f'ZT 成交归档失败：{errors}')
|
|
traded = {d['stock_code'] for d in state.deals.values()}
|
|
state.sync_state([p for p in positions if p.stock_code not in traded], remove_missing=False)
|