feat client.

py-client/strategy/zt/state.py

@@ -0,0 +1,103 @@
+"""做 T 策略的底仓与日内轮次状态。"""
+
+from __future__ import annotations
+
+import json
+from dataclasses import asdict, dataclass
+from pathlib import Path
+from threading import Lock
+from typing import Iterable
+
+from sdk import OrderItem, PositionItem
+
+READY = "READY"
+SELLING = "SELLING"
+SOLD = "SOLD"
+BUYING = "BUYING"
+DONE = "DONE"
+
+
+@dataclass(slots=True)
+class TStateItem:
+    code: str
+    base_qty: int = 0
+    base_cost: float = 0.0
+    trade_date: str = ""
+    phase: str = READY
+    sell_order_id: str = ""
+    sell_qty: int = 0
+    sell_price: float = 0.0
+    buy_order_id: str = ""
+
+
+class TState:
+    """持久化 dcm 底仓和每只证券每日一次的做 T 进度。"""
+
+    def __init__(self, path: str | Path) -> None:
+        self.path = Path(path)
+        self.lock = Lock()
+        self.items = self._load()
+
+    @classmethod
+    def for_strategy(cls, data_dir: str | Path, strategy: str, account_id: str) -> "TState":
+        return cls(Path(data_dir) / f"{strategy}_{account_id}_state.json")
+
+    def get(self, code: str) -> TStateItem:
+        with self.lock:
+            return self.items[code]
+
+    def set(self, item: TStateItem) -> None:
+        with self.lock:
+            self.items[item.code] = item
+
+    def reconcile(self, positions: Iterable[PositionItem], orders: list[OrderItem], today: str) -> None:
+        position_list = [item for item in positions if item.stock_code and item.volume > 0]
+        position_codes = {item.stock_code for item in position_list}
+        by_local_id: dict[str, list[OrderItem]] = {}
+        for order in orders:
+            if order.local_order_id:
+                by_local_id.setdefault(order.local_order_id, []).append(order)
+
+        for position in position_list:
+            if position.stock_code not in self.items and position.open_price > 0:
+                self.set(TStateItem(position.stock_code, position.volume, position.open_price))
+
+        for code in list(self.items):
+            item = self.get(code)
+            if code not in position_codes:
+                with self.lock:
+                    self.items.pop(code, None)
+                continue
+            if item.trade_date and item.trade_date != today and item.phase in {DONE, READY}:
+                item.trade_date, item.phase = "", READY
+                item.sell_order_id = item.buy_order_id = ""
+                item.sell_qty = 0
+                item.sell_price = 0.0
+            if item.phase == SELLING and _completed(by_local_id.get(item.sell_order_id)):
+                item.phase = SOLD
+            elif item.phase == BUYING and _completed(by_local_id.get(item.buy_order_id)):
+                item.phase = DONE
+            self.set(item)
+        self.save()
+
+    def save(self) -> None:
+        with self.lock:
+            self.path.parent.mkdir(parents=True, exist_ok=True)
+            temporary = self.path.with_suffix(self.path.suffix + ".tmp")
+            temporary.write_text(json.dumps({key: asdict(value) for key, value in self.items.items()}, ensure_ascii=False, indent=2) + "\n", encoding="utf-8")
+            temporary.replace(self.path)
+
+    def _load(self) -> dict[str, TStateItem]:
+        try:
+            raw = json.loads(self.path.read_text(encoding="utf-8"))
+        except FileNotFoundError:
+            return {}
+        except (OSError, json.JSONDecodeError) as exc:
+            raise ValueError(f"[ZT 状态] 读取失败: {exc}") from exc
+        if not isinstance(raw, dict):
+            raise ValueError("[ZT 状态] 根节点必须是对象")
+        return {code: TStateItem(**value) for code, value in raw.items()}
+
+
+def _completed(orders: list[OrderItem] | None) -> bool:
+    return bool(orders) and all(order.status == "56" for order in orders)