fix zt
This commit is contained in:
@@ -42,7 +42,7 @@ CREATE TABLE IF NOT EXISTS deals (
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ref INTEGER NOT NULL DEFAULT 0,
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order_ref TEXT NOT NULL DEFAULT '',
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direction INTEGER NOT NULL DEFAULT 0,
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offset_flag INTEGER NOT NULL CHECK (offset_flag IN (23, 24, 48, 49)),
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offset_flag INTEGER NOT NULL CHECK (offset_flag IN (48, 49)),
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price REAL NOT NULL CHECK (price >= 0),
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volume INTEGER NOT NULL CHECK (volume > 0),
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trade_amount REAL NOT NULL CHECK (trade_amount > 0),
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@@ -58,6 +58,14 @@ CREATE INDEX IF NOT EXISTS idx_deals_stock_code_date ON deals (stock_code);
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CREATE INDEX IF NOT EXISTS idx_deals_date_time ON deals (trade_date);
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"""
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DELAS_INSERT_SQL = """
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INSERT INTO deals (
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stock_code, order_sys_id, order_local_id, ref, order_ref,
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direction, offset_flag, price, volume, trade_amount,
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trade_date, trade_time, remark, close_profit, is_arch
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) VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, 0)
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"""
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@dataclass(slots=True)
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class StateItem:
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"""策略状态字段；同步账户底仓时无法获知的委托编号留空。"""
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@@ -83,6 +91,7 @@ _UPSERT_STATE = (
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)
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class State:
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"""单写入者使用的 SQLite 存储；公开缓存仅在事务成功后替换。
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@@ -144,19 +153,26 @@ class State:
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deals = self._read_deals(db)
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self.deals, self.deals_sys_ids = deals, set(deals)
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@staticmethod
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def _insert_deals(db: sqlite3.Connection, deals: list[DealItem],
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existing_ids: set[str] | None = None) -> None:
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"""共享事务内保存成交；空本地编号使用明确的待核对标记。"""
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existing = existing_ids if existing_ids is not None else {
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row[0] for row in db.execute('SELECT order_sys_id FROM deals')}
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def sync_deals(self, deals: list[DealItem]) -> None:
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"""按 order_sys_id 只追加成交时间超过 30 秒的新记录，保留全部历史记录。"""
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now = datetime.now()
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new_deals: dict[str, DealItem] = {}
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for deal in deals:
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if deal.order_sys_id not in existing:
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if deal.order_sys_id in self.deals_sys_ids:
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continue
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date = (deal.trade_date or now.date().isoformat()).replace('-', '')
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time = deal.trade_time.replace(':', '')
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traded_at = datetime.strptime(f'{date} {time}', '%Y%m%d %H%M%S')
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if (now - traded_at).total_seconds() <= 30:
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continue
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new_deals.setdefault(deal.order_sys_id, deal)
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if not new_deals:
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return
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today = datetime.now().date().isoformat()
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# 插入记录。
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with closing(self._connect()) as db, db:
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db.execute('BEGIN')
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today = now.date().isoformat()
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values = []
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for deal in new_deals.values():
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amount = deal.trade_amount if deal.trade_amount > 0 else deal.price * deal.volume
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@@ -167,30 +183,14 @@ class State:
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date = f'{date[:4]}-{date[4:6]}-{date[6:]}'
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values.append((
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deal.stock_code, deal.order_sys_id,
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deal.get_local_order_id.strip() or f'{UNATTRIBUTED_PREFIX}{deal.order_sys_id}',
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deal.get_local_order_id.strip(),
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deal.ref, deal.order_ref, deal.direction, deal.offset_flag,
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deal.price, deal.volume, amount, date, deal.trade_time,
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deal.remark, deal.close_profit,
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))
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# 唯一键负责最终去重，避免旧缓存造成重复插入失败。
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db.executemany("""
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INSERT INTO deals (
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stock_code, order_sys_id, order_local_id, ref, order_ref,
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direction, offset_flag, price, volume, trade_amount,
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trade_date, trade_time, remark, close_profit, is_arch
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) VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, 0)
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ON CONFLICT(order_sys_id) DO NOTHING
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""", values)
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def sync_deals(self, deals: list[DealItem]) -> None:
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"""按成交编号只追加；同批保留首笔，任一无效成交回滚整批。"""
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if all(deal.order_sys_id in self.deals_sys_ids for deal in deals):
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return
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with closing(self._connect()) as db, db:
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db.execute('BEGIN IMMEDIATE')
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self._insert_deals(db, deals)
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cached_deals = self._read_deals(db)
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self.deals, self.deals_sys_ids = cached_deals, set(cached_deals)
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db.executemany(DELAS_INSERT_SQL, values)
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cache_deals = self._read_deals(db)
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self.deals, self.deals_sys_ids = cache_deals, set(cache_deals)
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def sync_state(self, positions: list[PositionItem]) -> None:
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"""同步完整持仓：新增底仓、保留已有状态、删除已清仓证券。
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@@ -221,172 +221,83 @@ class State:
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state = self._read_state(db)
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self.state = state
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@staticmethod
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def _archive_stock(db: sqlite3.Connection, code: str, snapshot_dedup: bool = True) -> None:
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"""在调用方的保存点内完成一只证券的记账及成交标记。"""
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current = db.execute('SELECT * FROM state WHERE stock_code = ?', (code,)).fetchone()
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state = dict(current) if current else asdict(StateItem(stock_code=code))
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pending = db.execute("""
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SELECT * FROM deals WHERE stock_code = ? AND is_arch = 0
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ORDER BY trade_date, REPLACE(trade_time, ':', ''), id
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""", (code,)).fetchall()
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if any(deal['order_local_id'].startswith(UNATTRIBUTED_PREFIX) for deal in pending):
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raise ValueError('Unattributed trade requires reconciliation')
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total_qty = state['base_qty'] + state['added_qty']
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if (
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snapshot_dedup and total_qty > 0
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and all(deal['offset_flag'] == FLAG_BUY for deal in pending)
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and sum(deal['volume'] for deal in pending) == total_qty
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):
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# 按快照去重规则，仅标记这批成交，原仓位数量和成本均保留。
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# 卖出和买卖混合批次不能用此规则，否则会漏掉真实减仓。
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db.executemany(
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'UPDATE deals SET is_arch = 1 WHERE id = ? AND is_arch = 0',
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[(deal['id'],) for deal in pending],
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)
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def merge_deals(self) -> dict[str, dict]:
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"""按本地委托编号汇总未归档成交，返回新字典，不修改原始记录。
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数量、金额和平仓盈亏累加，价格为总金额除以总数量；
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其余字段（包括成交编号和时间）保留同组首笔记录的值。
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"""
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merged: dict[str, dict] = {}
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for deal in self.deals.values():
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if deal['is_arch'] != 0:
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continue
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order_local_id = deal['order_local_id']
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if order_local_id not in merged:
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merged[order_local_id] = deal.copy()
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else:
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item = merged[order_local_id]
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item['stock_code']=deal['stock_code']
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item['volume'] += deal['volume']
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item['trade_amount'] += deal['trade_amount']
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item['close_profit'] += deal['close_profit']
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for item in merged.values():
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item['price'] = item['trade_amount'] / item['volume']
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return merged
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def archiving(self) -> None:
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"""先合并缓存中的未归档成交再计算；单证券失败回滚并保留重试。"""
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merged = self.merge_deals()
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if not merged:
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return
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for deal in pending:
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with closing(self._connect()) as db, db:
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db.execute('BEGIN IMMEDIATE')
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for order_local_id, deal in merged.items():
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db.execute('SAVEPOINT archive_stock')
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code = deal['stock_code']
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try:
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result = db.execute('SELECT * FROM state WHERE stock_code = ?', (code,)).fetchone()
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state = dict(result) if result else asdict(StateItem(stock_code=code))
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if deal['offset_flag'] == FLAG_BUY:
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bucket = 'base' if deal['order_local_id'].startswith('zt-base-') else 'added'
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total = state[f'{bucket}_qty'] + deal['volume']
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state[f'{bucket}_price'] = (
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state[f'{bucket}_qty'] * state[f'{bucket}_price'] + deal['trade_amount']
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) / total
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state[f'{bucket}_qty'] = total
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state[f'{bucket}_price'] = deal['price']
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state[f'{bucket}_qty'] = deal['volume']
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state[f'{bucket}_order_local_id'] = deal['order_local_id']
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state[f'{bucket}_created_at'] = f"{deal['trade_date']} {deal['trade_time']}".strip()
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db.execute(_UPSERT_STATE, state)
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elif deal['offset_flag'] == FLAG_SELL:
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newState = StateItem(stock_code=code)
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qty = deal['volume']
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total = state['base_qty'] + state['added_qty']
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if qty > total:
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raise ValueError(f'Sell volume {qty} exceeds recorded holdings {total}')
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if qty < state['added_qty']:
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state['added_qty'] -= qty
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elif qty == total:
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# 清仓底仓与补仓
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newState.status='CLEAR'
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elif qty == state['added_qty']:
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# 清仓补仓
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newState.base_qty = state['base_qty']
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newState.base_price = state['base_price']
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newState.base_order_local_id = state['base_order_local_id']
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newState.base_created_at = state['base_created_at']
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elif qty == state['base_qty']:
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# 清仓底仓
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newState.status='CLEAR'
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else:
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state['base_qty'] = total - qty
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state['added_qty'] = 0
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state['added_price'] = 0.0
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state['added_order_local_id'] = state['added_created_at'] = ''
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if state['base_qty'] == 0:
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state.update(asdict(StateItem(stock_code=code)))
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else:
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raise ValueError(f"Unsupported trade flag: {deal['offset_flag']}")
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if state['base_qty'] + state['added_qty'] == 0:
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raise ValueError(f'Sell volume {qty} holdings {total}')
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if newState.status == 'CLEAR':
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db.execute('DELETE FROM state WHERE stock_code = ?', (code,))
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else:
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# 保留原记录主键及策略状态，包括同批清仓后重新建仓。
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if current:
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state['status'] = current['status']
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db.execute(_UPSERT_STATE, state)
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db.execute(
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'UPDATE deals SET is_arch = 1 WHERE stock_code = ? '
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'AND is_arch = 0', (code,),
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)
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def _archive_pending(self, db: sqlite3.Connection, snapshot_dedup: bool = True,
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blocked_codes: set[str] | None = None) -> None:
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"""保留现有逐证券保存点；ZT 增量路径禁用数量相等推断。"""
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codes = db.execute(
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'SELECT DISTINCT stock_code FROM deals WHERE is_arch = 0'
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).fetchall()
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for row in codes:
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code = row['stock_code']
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if blocked_codes and code in blocked_codes:
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continue
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db.execute('SAVEPOINT archive_stock')
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try:
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self._archive_stock(db, code, snapshot_dedup)
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db.execute(_UPSERT_STATE, asdict(newState))
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db.execute('UPDATE deals SET is_arch = 1 WHERE order_local_id = ? ''AND is_arch = 0', (order_local_id,))
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except (ValueError, sqlite3.IntegrityError) as exc:
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db.execute('ROLLBACK TO archive_stock')
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log.warning('[归档] %s 失败，保留未归档成交：%s', code, exc)
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finally:
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db.execute('RELEASE archive_stock')
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def archiving(self) -> None:
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"""归档未处理成交；单证券失败回滚并保留重试，不影响其他证券。"""
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with closing(self._connect()) as db, db:
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db.execute('BEGIN IMMEDIATE')
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self._archive_pending(db)
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state = self._read_state(db)
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deals = self._read_deals(db)
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self.state, self.deals, self.deals_sys_ids = state, deals, set(deals)
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def sync_account(self, positions: list[PositionItem], deals: list[DealItem], *, initialize: bool = False) -> None:
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"""ZT 原子同步。初始化使用已核对快照；恢复只应用增量、不覆盖库存。
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空库存且无成交历史时允许初始化。快照缺失或
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未归档成交只隔离对应证券，后续成交到齐并核对一致后自动恢复。
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"""
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holdings = {p.stock_code: p for p in positions if p.volume > 0}
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with closing(self._connect()) as db, db:
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db.execute('BEGIN IMMEDIATE')
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db.execute('''CREATE TABLE IF NOT EXISTS zt_rejected_deals (
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stock_code TEXT NOT NULL, order_sys_id TEXT NOT NULL,
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payload TEXT NOT NULL, error TEXT NOT NULL,
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PRIMARY KEY (stock_code, order_sys_id)
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)''')
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if initialize:
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if (db.execute('SELECT 1 FROM state LIMIT 1').fetchone()
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or db.execute('SELECT 1 FROM deals LIMIT 1').fetchone()):
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raise ValueError('ZT state already initialized; cannot overwrite existing data')
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created_at = datetime.now().isoformat(timespec='seconds')
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for code, position in holdings.items():
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if not code or not math.isfinite(position.open_price) or position.open_price <= 0:
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raise ValueError('Initial position code and cost must be valid')
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db.execute(_UPSERT_STATE, asdict(StateItem(
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stock_code=code, base_qty=position.volume,
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base_price=position.open_price, base_created_at=created_at,
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)))
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self._insert_deals(db, deals)
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# 这些成交已包含在已核对的基准中，不再增减快照库存。
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db.execute('UPDATE deals SET is_arch = 1')
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else:
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self._insert_account_deals(db, deals)
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rejected = {row[0] for row in db.execute('SELECT stock_code FROM zt_rejected_deals')}
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self._archive_pending(db, snapshot_dedup=False, blocked_codes=rejected)
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state = self._read_state(db)
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cached_deals = self._read_deals(db)
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blocked = {d['stock_code'] for d in cached_deals.values() if d['is_arch'] != 1}
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blocked.update(row[0] for row in db.execute('SELECT stock_code FROM zt_rejected_deals'))
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for code in set(state) | set(holdings):
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row = state.get(code, {})
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recorded = row.get('base_qty', 0) + row.get('added_qty', 0)
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actual = holdings[code].volume if code in holdings else 0
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if recorded != actual:
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blocked.add(code)
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self.state, self.deals, self.deals_sys_ids = state, cached_deals, set(cached_deals)
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self.blocked_codes = blocked
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if blocked:
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log.warning('[ZT 同步] 以下证券状态待核对，暂停交易：%s', ', '.join(sorted(blocked)))
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def _insert_account_deals(self, db: sqlite3.Connection, deals: list[DealItem]) -> None:
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"""仅 ZT 增量路径隔离坏成交；保留原始字段，缺席回报不会解除隔离。"""
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existing = {row[0] for row in db.execute('SELECT order_sys_id FROM deals')}
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for deal in deals:
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if not deal.stock_code:
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raise ValueError('Trade without stock code cannot be isolated')
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db.execute('SAVEPOINT insert_zt_deal')
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try:
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if not deal.stock_code or not deal.order_sys_id:
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raise ValueError('Trade code and order ID are required')
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if (deal.offset_flag not in (FLAG_BUY, FLAG_SELL)
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or not math.isfinite(deal.volume) or deal.volume <= 0
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or int(deal.volume) != deal.volume
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or not math.isfinite(deal.price) or deal.price < 0
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or not math.isfinite(deal.trade_amount)
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or not math.isfinite(deal.close_profit)):
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raise ValueError('Invalid trade direction, volume or amount')
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self._insert_deals(db, [deal], existing)
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except (ValueError, TypeError, OverflowError, sqlite3.IntegrityError) as exc:
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db.execute('ROLLBACK TO insert_zt_deal')
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db.execute('''INSERT OR REPLACE INTO zt_rejected_deals
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(stock_code, order_sys_id, payload, error) VALUES (?, ?, ?, ?)''',
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(deal.stock_code, deal.order_sys_id, json.dumps(asdict(deal), ensure_ascii=False), str(exc)))
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log.warning('[ZT 成交] 隔离证券=%s，委托=%s，原因=%s',
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deal.stock_code, deal.order_sys_id, exc)
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else:
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existing.add(deal.order_sys_id)
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db.execute('DELETE FROM zt_rejected_deals WHERE stock_code = ? AND order_sys_id = ?',
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(deal.stock_code, deal.order_sys_id))
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finally:
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db.execute('RELEASE insert_zt_deal')
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@@ -15,7 +15,7 @@ from libs.runtime import Runtime
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from libs.signal import SignalItem, init_signals
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from libs.state import State
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from libs.watch import DipWatch
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from sdk import Client
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from sdk import Client, DealItem, PositionItem
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from .open import open_signal
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from .positions import manage_positions
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from libs.snapshot import cache_portfolio
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@@ -55,7 +55,7 @@ def StartZT() -> None:
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log.info('[启动] ZT策略已启动，账户=%s，信号=%d，持仓=%d',
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config.account_config.account_id, len(signals), len(positions))
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cache_portfolio(config.account_config.account_id, assets, positions, deals)
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state.sync_account(positions, deals, initialize=initialize)
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_sync_state(state, positions, deals, initialize=initialize)
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run.profit_tracker.sync_positions(positions, state)
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run.orders.refresh(client, portfolio.orders, cancel_prefix='zt-')
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Overview(assets, positions, config.account_config)
|
||||
@@ -94,6 +94,26 @@ def StartZT() -> None:
|
||||
client.close()
|
||||
|
||||
|
||||
def _sync_state(state: State, positions: list[PositionItem], deals: list[DealItem],
|
||||
*, initialize: bool = False) -> None:
|
||||
"""使用 State 的独立接口同步，交易前核对归档结果与账户持仓。"""
|
||||
if initialize:
|
||||
state.sync_state(positions)
|
||||
state.sync_deals(deals)
|
||||
state.archiving()
|
||||
|
||||
holdings = {p.stock_code: p.volume for p in positions if p.volume > 0}
|
||||
blocked = {d.stock_code for d in deals if d.order_sys_id not in state.deals_sys_ids}
|
||||
blocked.update(d['stock_code'] for d in state.deals.values() if d['is_arch'] != 1)
|
||||
for code in state.state.keys() | holdings.keys():
|
||||
row = state.get_by_code(code)
|
||||
if row.get('base_qty', 0) + row.get('added_qty', 0) != holdings.get(code, 0):
|
||||
blocked.add(code)
|
||||
state.blocked_codes = blocked
|
||||
if blocked:
|
||||
log.warning('[ZT 同步] 状态待核对，暂停交易：%s', ', '.join(sorted(blocked)))
|
||||
|
||||
|
||||
def RunOnce(run: Runtime, state: State, signals: list[SignalItem]) -> None:
|
||||
now = datetime.now()
|
||||
if not trading_time(now):
|
||||
@@ -114,7 +134,7 @@ def RunOnce(run: Runtime, state: State, signals: list[SignalItem]) -> None:
|
||||
position_codes = list(portfolio.positions)
|
||||
cache_portfolio(run.account_cfg.account_id, assets, positions, deals)
|
||||
|
||||
state.sync_account(positions, deals)
|
||||
_sync_state(state, positions, deals)
|
||||
run.profit_tracker.sync_positions(positions, state)
|
||||
run.orders.refresh(run.client, portfolio.orders, cancel_prefix='zt-')
|
||||
except Exception:
|
||||
|
||||
Reference in New Issue
Block a user