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This commit is contained in:
yanweidong
2026-08-26 02:10:05 +08:00
parent f14423418a
commit 550fdbf016
11 changed files with 140 additions and 177 deletions
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91
go-client/apps/zt/logic/boot.go
View File

@@ -4,6 +4,7 @@ import (
"context"
"fmt"
"log"
"slices"
"strings"
"time"
@@ -42,83 +43,53 @@ func RunOnce(ctx context.Context, client *sdk.Client, books *OrderBook, signals
if !libs.TradingTime(time.Now()) {
return
}
// 每轮先消费 QMT 回写，终态订单会立即释放本地委托锁。
books.readReceipts()
roundCtx, cancel := context.WithTimeout(ctx, config.HttpTimeOut*4)
defer cancel()
assets, err := client.Assets(roundCtx)
// 1 取消过期订单
books.CancelExpired(ctx, client)
// 2 验证可用资金
assets, err := client.Assets(ctx)
if err != nil {
logf("ERROR", "获取资产失败: %v", err)
return
}
positions, err := client.Positions(roundCtx)
if assets.Available < assets.Total*config.Account.MinCashRatio {
logf("INFO", "资金总闸：可用金额太少，禁止开新仓")
return
}
// 3 获取大盘状态
IsAllow := libs.MarketAllowOpen()
// 4 获取持仓
var allCodes []string
pos_codes, positions, err := client.Positions(ctx)
if err != nil {
logf("ERROR", "获取持仓失败: %v", err)
return
}
allCodes = append(allCodes, pos_codes...)
seen := map[string]struct{}{}
stockList := make([]string, 0, len(signals.Data)+len(positions))
addCode := func(code string) {
if code == "" {
return
// 5 验证有效开仓信号
allowOpen := make([]libs.SignalItem, 0)
for code, item := range signals.Data {
if !slices.Contains(pos_codes, code) {
allowOpen = append(allowOpen, item)
}
if _, ok := seen[code]; ok {
return
}
seen[code] = struct{}{}
stockList = append(stockList, code)
}
for code := range signals.Data {
addCode(code)
}
for _, p := range positions {
addCode(p.StockCode)
}
ticks := map[string]sdk.Tick{}
if len(stockList) > 0 {
raw, err := client.FullTick(roundCtx, stockList)
// 6 获取行情tick
ticks, err := client.FullTick(ctx, allCodes)
if err != nil {
logf("ERROR", "获取行情失败: %v", err)
return
}
for code, tick := range raw {
ticks[code] = tick
}
}
runRound(roundCtx, client, books, assets, ticks, positions, signals.Data)
// 7 执行开仓:有开仓信号 && 大盘指数允许开仓
if len(allowOpen) > 0 && IsAllow {
openSignal(client, books, ticks, allowOpen)
}
func runRound(ctx context.Context, client *sdk.Client, books *OrderBook, assets *sdk.Assets, ticks map[string]sdk.Tick, positions []sdk.Position, signals map[string]libs.SignalItem) {
if !books.cancelExpired(ctx, client) {
logf("ERROR", "[ZT] 委托查询失败，本轮跳过")
return
}
buys, sells, ok := books.activeSets(ctx, client)
if !ok {
return
}
hold := positionCodes(positions)
openSignals := map[string]libs.SignalItem{}
for code, signal := range signals {
if _, held := hold[code]; held {
continue
}
openSignals[code] = signal
}
for code := range buys {
delete(openSignals, code)
}
marketOK := libs.AllowOpen()
buyBudget := 0.0
if assets != nil {
buyBudget = assets.Available - assets.Total*config.Account.MinCashRatio
}
if len(openSignals) > 0 {
openSignal(ctx, client, books, ticks, openSignals, marketOK, &buyBudget)
}
managePositions(ctx, client, books, ticks, positions, buys, sells, marketOK, &buyBudget)
// 8 持仓计算
managePositions(client, books, ticks, positions, IsAllow)
}

55
go-client/apps/zt/logic/dip.go Normal file
View File

@@ -0,0 +1,55 @@
package logic
import (
"big-qmt/go-client/config"
"sync"
"time"
)
type dipWatch struct {
LastClose float64
ExpiresAt time.Time
}
var openDip = struct {
mu sync.Mutex
store map[string]dipWatch
}{store: map[string]dipWatch{}}
var posDip = struct {
mu sync.Mutex
store map[string]dipWatch
}{store: map[string]dipWatch{}}
func dipTriggered(mu *sync.Mutex, store map[string]dipWatch, tag, code string, price float64) bool {
if price <= 0 {
return false
}
mu.Lock()
defer mu.Unlock()
now := time.Now()
watch, ok := store[code]
if !ok || now.After(watch.ExpiresAt) || now.Equal(watch.ExpiresAt) {
store[code] = dipWatch{LastClose: price, ExpiresAt: now.Add(time.Duration(config.Account.WatchTimeoutSec) * time.Second)}
logf("INFO", "[%s-观察] %s 现价=%.2f", tag, code, price)
return false
}
if price < watch.LastClose {
watch.LastClose = price
watch.ExpiresAt = now.Add(time.Duration(config.Account.WatchTimeoutSec) * time.Second)
store[code] = watch
logf("INFO", "[%s-下跌] %s 刷新低点=%.2f", tag, code, price)
return false
}
rebound := (price - watch.LastClose) / watch.LastClose * 100
if rebound <= 0 {
return false
}
if rebound < config.Account.ReboundThreshold {
logf("INFO", "[%s-等待] %s 反弹=%.2f%% 阈值=%.2f%%", tag, code, rebound, config.Account.ReboundThreshold)
return false
}
delete(store, code)
logf("INFO", "[%s-触发] %s 反弹=%.2f%% 低点=%.2f", tag, code, rebound, watch.LastClose)
return true
}

94
go-client/apps/zt/logic/open.go
View File

@@ -1,114 +1,38 @@
package logic
import (
"context"
"math"
"sync"
"time"
"big-qmt/go-client/config"
"big-qmt/go-client/libs"
"big-qmt/go-client/sdk"
)
type dipWatch struct {
LastClose float64
ExpiresAt time.Time
}
var openDip = struct {
mu sync.Mutex
store map[string]dipWatch
}{store: map[string]dipWatch{}}
func openSignal(ctx context.Context, client *sdk.Client, books *OrderBook, ticks map[string]sdk.Tick, openSignals map[string]libs.SignalItem, marketOK bool, buyBudget *float64) {
if !marketOK {
return
}
if buyBudget == nil || *buyBudget <= 0 {
return
}
func openSignal(client *sdk.Client, books *OrderBook, ticks map[string]sdk.Tick, openSignals []libs.SignalItem) {
state := getState()
if state.LoadError != "" {
logf("ERROR", "[ZT][开仓] 状态文件异常，禁止新开仓: %s", state.LoadError)
return
}
for code := range openSignals {
if code == "" {
logf("ERROR", "[ZT][开仓] 无效股票代码")
for _, item := range openSignals {
if state.Get(item.Code) != nil {
continue
}
if state.Get(code) != nil {
continue
}
price := ticks[code].LastPrice
price := ticks[item.Code].LastPrice
if price <= 0 {
continue
}
if !dipTriggered(&openDip.mu, openDip.store, "开仓", code, price) {
if !dipTriggered(&openDip.mu, openDip.store, "开仓", item.Code, price) {
continue
}
volume := calcBuyVolume(price, config.Account.BuyValue)
volume := libs.CalcBuyVolume(price, config.Account.BuyValue)
if volume <= 0 {
continue
}
estimated := price * float64(volume)
if estimated > *buyBudget {
logf("INFO", "[ZT][开仓] %s 可用买入预算不足，需要=%.2f 剩余=%.2f", code, estimated, *buyBudget)
continue
}
orderID := newOrderTag("base")
if !books.place(ctx, client, sideBuy, code, volume, orderID) {
if !books.place(ctx, client, sideBuy, item.Code, volume, orderID) {
continue
}
setPending(state.Ensure(code), pendingBaseOpening, orderID)
*buyBudget -= estimated
setPending(state.Ensure(item.Code), pendingBaseOpening, orderID)
state.Save()
logf("INFO", "[ZT][开仓] %s 买入 %d 股", code, volume)
logf("INFO", "[ZT][开仓] %s 买入 %d 股", item.Code, volume)
}
}
func calcBuyVolume(price, buyValue float64) int {
if price <= 0 || buyValue <= 0 {
return 0
}
// 不足一手时仍按最低一手委托。
hands := int(math.Floor(buyValue / (price * 100)))
if hands == 0 {
hands = 1
}
return hands * 100
}
func dipTriggered(mu *sync.Mutex, store map[string]dipWatch, tag, code string, price float64) bool {
if price <= 0 {
return false
}
mu.Lock()
defer mu.Unlock()
now := time.Now()
watch, ok := store[code]
if !ok || now.After(watch.ExpiresAt) || now.Equal(watch.ExpiresAt) {
store[code] = dipWatch{LastClose: price, ExpiresAt: now.Add(time.Duration(config.Account.WatchTimeoutSec) * time.Second)}
logf("INFO", "[%s-观察] %s 现价=%.2f", tag, code, price)
return false
}
if price < watch.LastClose {
watch.LastClose = price
watch.ExpiresAt = now.Add(time.Duration(config.Account.WatchTimeoutSec) * time.Second)
store[code] = watch
logf("INFO", "[%s-下跌] %s 刷新低点=%.2f", tag, code, price)
return false
}
rebound := (price - watch.LastClose) / watch.LastClose * 100
if rebound <= 0 {
return false
}
if rebound < config.Account.ReboundThreshold {
logf("INFO", "[%s-等待] %s 反弹=%.2f%% 阈值=%.2f%%", tag, code, rebound, config.Account.ReboundThreshold)
return false
}
delete(store, code)
logf("INFO", "[%s-触发] %s 反弹=%.2f%% 低点=%.2f", tag, code, rebound, watch.LastClose)
return true
}

2
go-client/apps/zt/logic/order.go
View File

@@ -178,7 +178,7 @@ func (o *OrderBook) activeSets(ctx context.Context, client *sdk.Client) (buys, s
return buys, sells, true
}
func (o *OrderBook) cancelExpired(ctx context.Context, client *sdk.Client) bool {
func (o *OrderBook) CancelExpired(ctx context.Context, client *sdk.Client) bool {
o.invalidate()
orders, err := o.query(ctx, client)
if err != nil {

21
go-client/apps/zt/logic/positions.go
View File

@@ -9,31 +9,12 @@ import (
"big-qmt/go-client/sdk"
)
var posDip = struct {
mu sync.Mutex
store map[string]dipWatch
}{store: map[string]dipWatch{}}
var peakMu sync.Mutex
var peakGrids = map[string]int{}
func peakKey(code, leg string) string { return code + "|" + leg }
func positionCodes(positions []sdk.Position) map[string]struct{} {
out := map[string]struct{}{}
for _, p := range positions {
if p.Volume <= 0 {
continue
}
code := p.StockCode
if code != "" {
out[code] = struct{}{}
}
}
return out
}
func managePositions(ctx context.Context, client *sdk.Client, books *OrderBook, ticks map[string]sdk.Tick, positions []sdk.Position, buys, sells map[string]struct{}, marketOK bool, buyBudget *float64) {
func managePositions(client *sdk.Client, books *OrderBook, ticks map[string]sdk.Tick, positions []sdk.Position, marketOK bool) {
if positions == nil {
logf("ERROR", "[ZT][持仓] 持仓查询失败，本轮跳过")
return

3
go-client/apps/zt/main.go
View File

@@ -57,6 +57,7 @@ func main() {
}
scheduler.Start()
log.Printf("[INFO] [ZT] 计划任务已启动")
<-ctx.Done()
<-scheduler.Stop().Done()
log.Printf("[INFO] [ZT] 停止")
@@ -66,7 +67,7 @@ func waitForQMT(ctx context.Context, client *sdk.Client) (*sdk.Assets, []sdk.Pos
for {
attempt, cancel := context.WithTimeout(ctx, config.HttpTimeOut)
assets, assetsErr := client.Assets(attempt)
positions, positionsErr := client.Positions(attempt)
_, positions, positionsErr := client.Positions(attempt)
cancel()
if assetsErr == nil && positionsErr == nil {
log.Printf("[INFO] [ZT] QMT连接成功: %s", config.Global.QMTBaseURL)

9
go-client/go.mod
View File

@@ -1,8 +1,15 @@
module big-qmt/go-client
go 1.22
go 1.26.5
require (
git.apinb.com/bsm-sdk/core v0.2.1
github.com/robfig/cron/v3 v3.0.1
gopkg.in/yaml.v3 v3.0.1
)
require (
github.com/google/uuid v1.6.0 // indirect
github.com/oklog/ulid/v2 v2.1.2 // indirect
github.com/skip2/go-qrcode v0.0.0-20200617195104-da1b6568686e // indirect
)

9
go-client/go.sum
View File

@@ -1,5 +1,14 @@
git.apinb.com/bsm-sdk/core v0.2.1 h1:1kpbdij3qOlf1DmKTq3coIXSgLth5iJHJ3LvVZnjaXM=
git.apinb.com/bsm-sdk/core v0.2.1/go.mod h1:BL/aGHujCWdxrKZrWaiebmLx69J0OrTVv5XfugbbyhE=
github.com/google/uuid v1.6.0 h1:NIvaJDMOsjHA8n1jAhLSgzrAzy1Hgr+hNrb57e+94F0=
github.com/google/uuid v1.6.0/go.mod h1:TIyPZe4MgqvfeYDBFedMoGGpEw/LqOeaOT+nhxU+yHo=
github.com/oklog/ulid/v2 v2.1.2 h1:IEclFb9JNvzYA6MW2SCxbLzcHTVsfqm3PrqGQJH5zec=
github.com/oklog/ulid/v2 v2.1.2/go.mod h1:rcEKHmBBKfef9DhnvX7y1HZBYxjXb0cP5ExxNsTT1QQ=
github.com/pborman/getopt v0.0.0-20170112200414-7148bc3a4c30/go.mod h1:85jBQOZwpVEaDAr341tbn15RS4fCAsIst0qp7i8ex1o=
github.com/robfig/cron/v3 v3.0.1 h1:WdRxkvbJztn8LMz/QEvLN5sBU+xKpSqwwUO1Pjr4qDs=
github.com/robfig/cron/v3 v3.0.1/go.mod h1:eQICP3HwyT7UooqI/z+Ov+PtYAWygg1TEWWzGIFLtro=
github.com/skip2/go-qrcode v0.0.0-20200617195104-da1b6568686e h1:MRM5ITcdelLK2j1vwZ3Je0FKVCfqOLp5zO6trqMLYs0=
github.com/skip2/go-qrcode v0.0.0-20200617195104-da1b6568686e/go.mod h1:XV66xRDqSt+GTGFMVlhk3ULuV0y9ZmzeVGR4mloJI3M=
gopkg.in/check.v1 v0.0.0-20161208181325-20d25e280405 h1:yhCVgyC4o1eVCa2tZl7eS0r+SDo693bJlVdllGtEeKM=
gopkg.in/check.v1 v0.0.0-20161208181325-20d25e280405/go.mod h1:Co6ibVJAznAaIkqp8huTwlJQCZ016jof/cbN4VW5Yz0=
gopkg.in/yaml.v3 v3.0.1 h1:fxVm/GzAzEWqLHuvctI91KS9hhNmmWOoWu0XTYJS7CA=

13
go-client/libs/calc.go
View File

@@ -1,6 +1,7 @@
package libs
import (
"math"
"math/rand"
"time"
)
@@ -23,3 +24,15 @@ func TradingTime(t time.Time) bool {
return (second >= 9*3600+30*60 && second <= 11*3600+30*60) ||
(second >= 13*3600 && second <= 15*3600)
}
func CalcBuyVolume(price, buyValue float64) int {
if price <= 0 || buyValue <= 0 {
return 0
}
// 不足一手时仍按最低一手委托。
hands := int(math.Floor(buyValue / (price * 100)))
if hands == 0 {
hands = 1
}
return hands * 100
}

2
go-client/libs/market.go
View File

@@ -13,7 +13,7 @@ var (
)
// AllowOpen 每次开仓或补仓前取 60 分钟大盘信号，只有 UP 才放行。
func AllowOpen() bool {
func MarketAllowOpen() bool {
// gen url.
fullUrl := fmt.Sprintf("%s%s?period=%s&t=%s", API_HOST, MarketUrl, Period, randStr(16))
payload, err := GetJSON(fullUrl, HTTPTimeout)

14
go-client/sdk/account.go
View File

@@ -31,31 +31,33 @@ type Assets struct {
Available float64 `json:"available"`
}
func (c *Client) Positions(ctx context.Context) ([]Position, error) {
func (c *Client) Positions(ctx context.Context) ([]string, []Position, error) {
return c.decodePositions(ctx, "/api/v2/positions")
}
func (c *Client) Holding(ctx context.Context) ([]Position, error) {
func (c *Client) Holding(ctx context.Context) ([]string, []Position, error) {
return c.decodePositions(ctx, "/api/holding")
}
func (c *Client) decodePositions(ctx context.Context, path string) ([]Position, error) {
func (c *Client) decodePositions(ctx context.Context, path string) ([]string, []Position, error) {
raw := map[string]json.RawMessage{}
if err := c.post(ctx, path, map[string]any{"account": c.accountType}, &raw); err != nil {
return nil, err
return nil, nil, err
}
codes := make([]string, 0, len(raw))
out := make([]Position, 0, len(raw))
for code, blob := range raw {
var p Position
if err := json.Unmarshal(blob, &p); err != nil {
return nil, fmt.Errorf("position %s: %w", code, err)
return nil, nil, fmt.Errorf("position %s: %w", code, err)
}
if p.StockCode == "" {
p.StockCode = code
}
codes = append(codes, code)
out = append(out, p)
}
return out, nil
return codes, out, nil
}
func (c *Client) Assets(ctx context.Context) (*Assets, error) {