optz

py-client/strategy/etf/README.md

@@ -1,131 +0,0 @@
-# A 股 ETF 自适应网格策略
-
-策略目录为 `py-client/strategy/etf`，入口名称 `etf`，独立配置为
-`py-client/etc/etf.yaml`。每只 ETF 总持仓上限 10 手（1000 份），默认每次买入 1 手。
-这是常见均值回归与波动率网格方法的工程组合，尚未完成历史收益回测。
-
-## 方法分析
-
-| 方法 | 优点 | 局限 | 本策略选择 |
-| --- | --- | --- | --- |
-| 固定价差网格 | 简单直观 | 不适应不同价格与波动率 | ATR 动态格距，设置百分比下限 |
-| 均线回归 | 提供相对高低位置 | 单边下跌中均线会滞后 | MA60 作中轴，设置仓位上限 |
-| BOLL 低吸 | 用价格分布寻找相对低位 | 触及下轨不代表跌势结束 | 下轨仅启动观察，反弹后再买 |
-| 回撤止盈 | 上涨时跟随峰值 | 不能保证最高价退出 | 复用现有 GridTrailingTracker |
-
-ATR 反映波动幅度，不判断方向；BOLL 为均线加减标准差倍数。定义参考
-[Fidelity ATR](https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/atr)
-及 [Fidelity BOLL](https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/bollinger-bands)。
-默认参数是可调整的起点，不代表已经优化或保证收益。
-
-## 指标与网格
-
-历史日线直接读取 `http://go.apinb.com/a/get_daily?code=<证券代码>`，使用响应
-`details` 中的 `ts_code / trade_date / open / high / low / close`。校验 `code=0`、
-证券归属、日期和 OHLC 后，按日期排序，排除当天及未来数据，再取最近 120 根。
-每个标的每天计算一次并缓存，至少需要 60 根；ATR 周期为 60 时至少需要 61 根。
-接口样本未声明复权口径，策略使用接口原始价格，不自行假定或执行前复权。
-
-- `M = 最近60根收盘价平均值`，固定 MA60。
-- `TR = max(最高-最低, abs(最高-前收盘), abs(最低-前收盘))`。
-- ATR 默认 14 日：前 14 个 TR 平均作初值，后续按
-  `ATR = (前ATR × 13 + 当日TR) / 14` 进行 Wilder 平滑。
-- BOLL 默认 20 日、2 倍总体标准差：`中轨=MA20`，`上下轨=MA20 ± 2σ`。
-- 格距 `G = max(ATR × atr_multiplier, M × min_grid_pct / 100, 0.001)`，
-  向上取整至 0.001 元。均线作中轴，ATR 决定每格宽度。
-
-重复日期、非正数或非有限价格、价格关系异常、日线不足均不交易。
-最后日线超过 15 个自然日也不交易；该检查只排除明显过期，不能替代交易所日历。
-接口数据应更新至上一交易日。获取失败的标的每 5 分钟重试。
-
-## 买入规则
-
-1. 首仓在 `现价 <= min(BOLL下轨, M-G)` 时开始观察，不直接买入。
-2. 复用 `DipWatch` 防接飞刀：下跌刷新低点，从低点反弹默认 0.61% 后触发；
-   观察默认 600 秒过期重置。反弹可站回下轨上方，但不能超过 MA60。
-3. 加仓还须满足 `现价 <= 上次实际买入成交均价-G`，防止同价位连续补满。
-   初次接管已有仓位时，券商成本作为初始加仓基准。
-4. 每次买入 `buy_hands × 100` 份；若买后超过 `max_hands × 100`，整笔跳过，
-   不临时缩量。配置强制 `1 <= buy_hands <= max_hands <= 10`。
-5. 买入预算为券商可用资金减账户现金安全线，再减所有本地待确认买单。
-   限价金额加预估佣金占用预算，多标的串行扣减。
-
-示例：MA60=4.00、G=0.05、下轨=3.90，价格进入 3.90 以下才观察；低点 3.88
-反弹至 3.904 时超过 0.61%，可以提交固定手数。如果实际均价为 3.904，
-下一笔最高买价为 3.854，同时仍须满足低位触发和反弹确认。
-
-## 止盈规则
-
-1. `现价 >= max(BOLL上轨, M+G, 成本+G)`，且满足 `min_profit_pct`、
-   预估价差收益大于买卖两侧佣金，才启动高位跟踪。
-2. 启动时冻结格距。盈利格编号为 `floor((现价-成本)/冻结格距)`，复用
-   `GridTrailingTracker` 记录最高格；进入更高格更新峰值，跌回较低格时止盈。
-   这是跌破峰值格边界，不是从最高价回撤完整一个 ATR。
-3. 启动后，即使回落到 BOLL 上轨或启动价以下，也继续判断回撤；卖出时仍须满足
-   最低利润和费用门槛。止盈启动后暂停补仓，不同时发买卖单。
-4. **固定手数用于买入；止盈卖出当前全部可用整手份额**，数量为
-   `min(持仓, 券商可卖数量)` 向下取整到 100 份。零股暂不处理。
-5. T+1 当天不可卖时继续记录峰值，翌日按券商 `can_use_volume` 判断。
-   清仓、实际成交改变仓位、外部数量或成本变化后重建基准；部分卖出后剩余仓位
-   重新等待高位启动，不把旧峰值带入新仓。
-
-交易单位、0.001 元报价精度及股票 ETF 的 T+1 参考
-[上交所 ETF 常见问题](https://www.sse.com.cn/assortment/fund/etf/question/)。
-本策略没有自动止损，单边下跌可能满仓后长期持有；10 手上限只限制数量。
-佣金参数按券商实际情况调整。费用门槛是估算，不逐笔归集历史买入最低佣金；
-若券商持仓成本已含费用，该估算会偏保守。
-
-## 委托、持仓与持久化
-
-- 管理 `codes` 白名单内的已有持仓；`excluded_codes` 优先排除。配置外证券不买卖。
-- 以 `ETF-BUY-*` / `ETF-SELL-*` 为本地编号，标签 `etf`，当前价按 0.001 元
-  精度提交限价。复用 OrderBook，只自动撤销超时 120 秒的 ETF 前缀委托。
-- 同标的全账户买卖在途、未知委托状态或在途份额都会阻止新单。
-  行情缺少 `timetag`、不是当天或超过默认 90 秒，也不交易。
-- 下单前原子保存意图，HTTP 成功、超时或失败均不会自动解除锁。
-  必须收到终态（53/54/56/57），并且券商持仓与累计成交量相符，才能继续。
-  部分成交按实际数量核对，买入必须取得实际成交均价才推进下一格。
-- 状态位于 `{qmt_data_dir}/etf/{账户SHA256}/state.json`，保存实际买入基准、
-  止盈峰值、冻结格距和未确认委托；重启恢复，损坏不静默覆盖。
-- 同一 ETF 不适合同时由人工或其他策略频繁交易。在途期间外部改变持仓，会暂停核对。
-  若跨日后柜台不再返回未确认订单，则持续暂停该标的，需要核对历史订单与持仓后
-  人工处理状态，不按超时自动重发。有未确认委托的标的不能直接从配置移除。
-
-## 启用
-
-1. 修改 `etc/etf.yaml` 的标的及参数。示例仅示范格式，请选择实际交易的 A 股股票 ETF；
-   代码形态检查不验证基金投资范围。
-2. 主机对应的账户 YAML 设置：
-
-   ```yaml
-   strategy: etf
-   etf_config_path: etf.yaml
-   enable_auto_ipo: false
-   ```
-
-   路径相对账户配置目录，也支持绝对路径；不填默认 `etc/etf.yaml`。
-   `account_id`、`min_cash_ratio` 继续生效。公共校验仍要求 `buy_value`、
-   `grid_step_pct` 为正，但 ETF 不用它们计算数量或格距。
-   关闭 IPO 是此处示例选择；ETF 决策不依赖 IPO 或远端股票信号。
-3. 无需修改 QMT 服务端或 `sdk/`。历史接口适配完全位于 `strategy/etf/data.py`；
-   实时行情、持仓和交易继续使用已有 QMT SDK。
-4. 确认外部接口提供配置 ETF 的足量、最新日线。HTTP 错误、业务失败、空列表、
-   证券代码不一致或数据异常都会跳过该标的，不改用其他证券数据。
-   2026-09-17 联通验证中，股票样本 `600584.SH` 成功返回 200 条，示例 ETF
-   `510300.SH` 返回 404；需要数据服务覆盖实际配置的 ETF 后才能正常运行。
-5. 按现有方式运行 `python main.py`。每 30 秒执行，午休暂停，15:00 退出。
-
-本次新增不会自动切换已有实盘账户，也没有进行实盘委托。
-
-## 离线验证
-
-在 `py-client` 中运行：
-
-```powershell
-python -m unittest discover -s tests -p test_etf.py -v
-python -m unittest discover -s tests -v
-```
-
-覆盖指标、未收盘日线排除、反弹确认、固定手数、限仓、资金共享、部分成交、拒单、
-快照延迟、T+1、重启防重、峰值恢复、状态损坏、外部日线接口与异常响应。
-离线行为验证不等同于历史收益回测或实盘联调。

py-client/strategy/etf/__init__.py

@@ -1 +0,0 @@
-"""A 股场内 ETF：均线中轴、ATR 网格与 BOLL 低吸策略。"""

py-client/strategy/etf/boot.py

@@ -1,67 +1,191 @@
-"""ETF 策略入口：每 30 秒运行，日线指标当天缓存，失败标的单独重试。"""
+"""趋势策略启动器。
+
+该模块负责组合 SDK、配置、状态存储和趋势策略组件，供 main.py 调用。
+"""
 
-from datetime import datetime, timedelta
-import hashlib
-import logging as log
-from pathlib import Path
 import time
-import httpx
+import logging as log
+from concurrent.futures import Future, ThreadPoolExecutor
+from datetime import datetime
 
 import config
 from libs.calc import trading_time
-from libs.snapshot import cache_portfolio
+from libs.market import market_allow_open
+from libs.overview import Overview
+from libs.signal import init_signals, SignalItem
 from sdk import Client
-
-from .config import load
-from .data import daily_bars
-from .engine import Engine
-from .indicators import calculate
-from .state import Store
-
+from libs.snapshot import cache_portfolio
+from libs.grid_take_profit import GridTrailingTracker
+from libs.order import OrderBook
+from libs.watch import DipWatch
+from libs.runtime import Runtime
+from .open import open_signal
+from .positions import manage_positions
+from .signal import gen_signals
 
 def StartETF() -> None:
-    cfg = load(config.account_config.etf_config_path or None)
-    account = str(config.account_config.account_id).strip()
-    if not account:
-        raise ValueError('ETF 策略缺少账户编号')
-    key = hashlib.sha256(account.encode('utf-8')).hexdigest()
-    store = Store(Path(config.global_config.qmt_data_dir) / 'etf' / key / 'state.json', account)
-    # 独立 HTTP 连接池读取外部日线，不向外部接口发送 QMT 认证信息。
-    with Client(config.global_config.qmt_base_url, config.global_config.qmt_token, config.HTTP_TIMEOUT) as client, \
-            httpx.Client(timeout=config.HTTP_TIMEOUT) as history_client:
-        engine = Engine(client, cfg, store, config.account_config.min_cash_ratio,
-                        config.account_config.excluded_codes)
-        log.info('[ETF启动] 标的=%s 每次=%d手 每只上限=%d手 状态=%s',
-                 cfg.codes, cfg.buy_hands, cfg.max_hands, store.path)
-        log.info('[ETF启动] 管理配置白名单内已有持仓，卖出以券商可用份额为限')
-        indicators, retry_at = {}, {}
-        cached_day = None
+    """初始化趋势策略，并以 30 秒间隔持续执行。"""
+    client = Client(
+        config.global_config.qmt_base_url,
+        config.global_config.qmt_token,
+        config.HTTP_TIMEOUT,
+    )
+    executor = None
+    try:
+        portfolio = client.portfolio()
+        assets = portfolio.assets
+        positions = list(portfolio.positions.values())
+        cache_portfolio(config.account_config.account_id, assets, positions, client.deals())
+        order_book = OrderBook()
+        order_book.refresh(client, portfolio.orders)
+
+        executor = ThreadPoolExecutor(max_workers=2, thread_name_prefix="ETF")
+        run = Runtime(
+            client=client,
+            etf_cfg=config.etf_config,
+            orders=order_book,
+            executor=executor,
+        )
+
+        # 获取本策略的信号开仓数据
+        signals = gen_signals(run)
+        log.info(
+            "[启动] ETF策略已启动，账户=%s，信号=%d，持仓=%d",
+            config.account_config.account_id,
+            len(signals),
+            len(positions),
+        )
+
+        Overview(assets, positions, config.account_config)
+
+        DEFAULT_TICK_INTERVAL = 30
         while True:
-            now = datetime.now()
-            if now.hour >= 15:
-                log.info('[ETF结束] 已到 15:00')
+            lt = time.localtime()
+            if (lt.tm_hour, lt.tm_min, lt.tm_sec) >= (15, 0, 0):
+                log.info("[ETF] 已到 15:00，结束趋势策略")
                 return
-            if trading_time(now):
-                try:
-                    if cached_day != now.date():
-                        indicators, retry_at, cached_day = {}, {}, now.date()
-                    for code in cfg.codes:
-                        if code in indicators or now < retry_at.get(code, datetime.min):
-                            continue
-                        try:
-                            rows = daily_bars(history_client, code, now.date())
-                            indicators[code] = calculate(rows, now.date(), cfg)
-                            log.info('[ETF指标] %s %s', code, indicators[code])
-                        except Exception:
-                            retry_at[code] = now + timedelta(minutes=5)
-                            log.exception('[ETF日线] %s 获取或计算失败，5分钟后重试', code)
-                    portfolio = client.portfolio()
-                    ticks = client.full_tick(list(cfg.codes))
-                    engine.run(portfolio, ticks, indicators, datetime.now())
-                    try:
-                        cache_portfolio(account, portfolio.assets, list(portfolio.positions.values()), client.deals())
-                    except Exception:
-                        log.exception('[ETF采集] 成交快照读取失败')
-                except Exception:
-                    log.exception('[ETF异常] 本轮失败，下一轮继续')
-            time.sleep(30 - datetime.now().second % 30)
+            current_sec = lt.tm_sec
+
+            # 计算距离下一个目标时间点（0秒或30秒）的等待时间
+            if current_sec < DEFAULT_TICK_INTERVAL:
+                wait_seconds = DEFAULT_TICK_INTERVAL - current_sec
+            elif current_sec < 60:
+                wait_seconds = 60 - current_sec
+            else:
+                wait_seconds = DEFAULT_TICK_INTERVAL
+
+            # 等待到目标时间点
+            time.sleep(wait_seconds)
+
+            # 单轮失败不能杀死唯一的交易定时线程。
+            try:
+                RunOnce(run, signals)
+            except Exception as e:
+                log.error(
+                    f"[ETF] 本 tick 执行失败，下一 tick 继续: {e}", exc_info=True
+                )
+    finally:
+        try:
+            if executor is not None:
+                executor.shutdown(wait=True)
+        finally:
+            client.close()
+
+
+def RunOnce(run: Runtime, signals: list[SignalItem]) -> None:
+    """按固定步骤执行一轮趋势策略， ``RunOnce``。"""
+    if not trading_time(datetime.now()):
+        return
+
+    print(
+        "=" * 40 + f" Ticker {datetime.now().strftime('%Y-%m-%d %H:%M:%S')} " + "=" * 40
+    )
+
+    started_at = time.monotonic()
+
+    # 1. 一次获取资产、持仓和订单，并清理过期订单。
+    try:
+        portfolio = run.client.portfolio()
+        assets = portfolio.assets
+        position_codes = list(portfolio.positions)
+        positions = list(portfolio.positions.values())
+        cache_portfolio(run.account_cfg.account_id, assets, positions, run.client.deals())
+        run.orders.refresh(run.client, portfolio.orders)
+    except Exception:
+        log.exception("[Portfolio] 刷新账户快照失败")
+        return
+
+    futures: list[tuple[str, Future]] = []
+
+    # 2. 验证可用资金；低于资金安全线时禁止开新仓。
+    allow_open_by_cash = (
+        assets.available >= assets.total * run.account_cfg.min_cash_ratio
+    )
+    if not allow_open_by_cash:
+        log.info(
+            "[Status] 禁止开仓：可用资金不足，可用=%.2f，总资产=%.2f",
+            assets.available,
+            assets.total,
+        )
+
+    # 3. 获取大盘状态，只有大盘信号允许时才执行开仓。
+    market_ok = market_allow_open()
+
+    # 4. 验证有效开仓信号：排除已有持仓。
+    allow_open: list[SignalItem] = []
+    allow_codes: list[str] = []
+    for signal in signals:
+        if signal.code not in portfolio.positions:
+            allow_open.append(signal)
+            allow_codes.append(signal.code)
+
+    if allow_open and not market_ok:
+        log.info("[开仓] 禁止开仓：大盘信号不允许，候选=%d", len(allow_open))
+
+    # 5. 获取持仓和待开仓证券的实时行情 tick。
+    all_codes = list(dict.fromkeys(position_codes + allow_codes))
+    try:
+        ticks = run.client.full_tick(all_codes)
+    except Exception:
+        log.exception("[行情] 获取行情失败，代码数量=%d", len(all_codes))
+        return
+
+    log.info(
+        "[RunOnce] 本轮就绪，持仓=%d，候选=%d，大盘允许=%s，资金允许=%s",
+        len(positions),
+        len(allow_open),
+        market_ok,
+        allow_open_by_cash,
+    )
+
+    # 启动线程，开始计算
+    # 7. 持仓计算。
+    futures.append(
+        (
+            "持仓计算",
+            run.executor.submit(
+                manage_positions, run, ticks, positions, market_ok, assets.available
+            ),
+        )
+    )
+
+    # 8. 开仓计算：必须同时存在有效信号且大盘允许开仓。
+    if allow_open and market_ok and allow_open_by_cash:
+        futures.append(
+            ("开仓计算", run.executor.submit(open_signal, run, ticks, allow_open))
+        )
+
+    # 9. 开始执行
+    for name, future in futures:
+        _wait_worker(name, future)
+    log.info(
+        "[RunOnce] 本轮完成，耗时=%d毫秒", int((time.monotonic() - started_at) * 1000)
+    )
+
+
+def _wait_worker(name: str, future: Future) -> None:
+    """保留单轮继续运行的语义，分别记录工作线程异常。"""
+    try:
+        future.result()
+    except Exception:
+        log.exception("[运行] %s线程失败", name)

py-client/strategy/etf/config.py

@@ -1,59 +0,0 @@
-"""独立读取 ETF 参数，不修改现有账户策略的默认行为。"""
-
-from dataclasses import dataclass, fields
-from pathlib import Path
-import math
-import re
-import yaml
-
-
-@dataclass(frozen=True)
-class ETFConfig:
-    codes: tuple[str, ...] = ()
-    buy_hands: int = 1
-    max_hands: int = 10
-    atr_period: int = 14
-    atr_multiplier: float = 1.0
-    boll_period: int = 20
-    boll_std: float = 2.0
-    min_grid_pct: float = 0.5
-    rebound_pct: float = 0.61
-    watch_seconds: int = 600
-    min_profit_pct: float = 0.5
-    commission_rate: float = 0.0003
-    min_commission: float = 5.0
-    max_tick_age_seconds: int = 90
-
-    def __post_init__(self):
-        # 限定沪深场内 ETF 代码形态；具体跟踪 A 股的标的由配置白名单决定。
-        if not isinstance(self.codes, (list, tuple)) or not self.codes:
-            raise ValueError('etf.yaml 的 codes 必须是非空 ETF 代码列表')
-        if any(not isinstance(c, str) or not re.fullmatch(r'(?:5[0-9]{5}\.SH|1[58][0-9]{4}\.SZ)', c)
-               for c in self.codes) or len(set(self.codes)) != len(self.codes):
-            raise ValueError('ETF 代码必须唯一，使用完整沪深场内代码，如 510300.SH、159915.SZ')
-        object.__setattr__(self, 'codes', tuple(self.codes))
-        for name in ('buy_hands', 'max_hands', 'atr_period', 'boll_period', 'watch_seconds', 'max_tick_age_seconds'):
-            if type(getattr(self, name)) is not int or getattr(self, name) <= 0:
-                raise ValueError(f'{name} 必须为正整数')
-        if not self.buy_hands <= self.max_hands <= 10:
-            raise ValueError('必须满足 buy_hands <= max_hands <= 10，每手 100 份')
-        if not 2 <= self.atr_period <= 60 or not 2 <= self.boll_period <= 60:
-            raise ValueError('ATR、BOLL 周期必须在 2 到 60 日之间')
-        for name in ('atr_multiplier', 'boll_std', 'min_grid_pct', 'rebound_pct', 'min_profit_pct',
-                     'commission_rate', 'min_commission'):
-            value = getattr(self, name)
-            if isinstance(value, bool) or not isinstance(value, (int, float)) or not math.isfinite(value) or value < 0:
-                raise ValueError(f'{name} 必须是有限非负数')
-            if name not in ('commission_rate', 'min_commission') and value == 0:
-                raise ValueError(f'{name} 必须大于零')
-
-
-def load(path: str | Path | None = None) -> ETFConfig:
-    path = Path(path) if path else Path(__file__).resolve().parents[2] / 'etc' / '_etf.yaml'
-    try:
-        raw = yaml.safe_load(path.read_text(encoding='utf-8'))
-    except (OSError, yaml.YAMLError) as exc:
-        raise ValueError(f'ETF 配置读取失败：{path}') from exc
-    if not isinstance(raw, dict) or set(raw) - {f.name for f in fields(ETFConfig)}:
-        raise ValueError('ETF 配置必须为对象，且不能包含未知参数')
-    return ETFConfig(**raw)

py-client/strategy/etf/data.py

@@ -1,55 +0,0 @@
-"""ETF 专用历史日线适配，不依赖或修改 QMT SDK。"""
-
-from datetime import date, datetime
-import math
-import re
-
-import httpx
-
-
-DAILY_URL = 'http://139.224.247.176:13499/etf/daily'
-
-
-def daily_bars(client: httpx.Client, code: str, today: date, count: int = 120) -> list[dict]:
-    """读取指定证券日线；只使用 code 参数，截取历史窗口在本地完成。"""
-    response = client.get(DAILY_URL, params={'code': code})
-    response.raise_for_status()
-    return parse_daily(response.json(), code, today, count)
-
-
-def parse_daily(payload: dict, code: str, today: date, count: int = 120) -> list[dict]:
-    """校验业务状态、证券归属和 OHLC，将 trade_date 转为指标需要的 date。"""
-    if type(count) is not int or count <= 0:
-        raise ValueError('日线数量必须为正整数')
-    if not isinstance(payload, dict) or type(payload.get('code')) is not int or payload['code'] != 0:
-        raise ValueError(f'日线接口业务失败：{payload.get("message", "状态无效") if isinstance(payload, dict) else "响应非对象"}')
-    details = payload.get('details')
-    if not isinstance(details, list) or not details:
-        raise ValueError(f'{code} 日线接口未返回有效 details 列表')
-    bars = {}
-    for row in details:
-        if not isinstance(row, dict) or row.get('ts_code') != code:
-            raise ValueError(f'{code} 日线证券代码不一致')
-        stamp = str(row.get('trade_date', ''))
-        if not re.fullmatch(r'[0-9]{8}', stamp):
-            raise ValueError(f'{code} 日线日期无效：{stamp}')
-        day = datetime.strptime(stamp, '%Y%m%d').date()
-        # 当前日及未来日线均不可用于盘中指标，先过滤再截取最近 count 根。
-        if day >= today:
-            continue
-        if stamp in bars:
-            raise ValueError(f'{code} 日线日期重复：{stamp}')
-        values = {}
-        for key in ('open', 'high', 'low', 'close'):
-            value = row.get(key)
-            if isinstance(value, bool) or not isinstance(value, (int, float, str)):
-                raise ValueError(f'{code} 日线 {key} 无效')
-            value = float(value)
-            if not math.isfinite(value) or value <= 0:
-                raise ValueError(f'{code} 日线 {key} 非有限正数')
-            values[key] = value
-        if not (values['low'] <= values['open'] <= values['high']
-                and values['low'] <= values['close'] <= values['high']):
-            raise ValueError(f'{code} 日线 OHLC 关系异常')
-        bars[stamp] = dict(date=stamp, **values)
-    return [bars[stamp] for stamp in sorted(bars)[-count:]]

py-client/strategy/etf/engine.py

@@ -1,202 +0,0 @@
-"""串行 ETF 决策：先核对成交，再止盈，最后低吸并预留本轮资金。"""
-
-from datetime import datetime
-import logging as log
-import math
-
-from libs.grid_take_profit import GridState, GridTrailingTracker
-from libs.order import OrderBook, PlaceOrderRequest
-from libs.watch import DipWatch
-from sdk import OP_BUY, OP_SELL, Portfolio, PositionItem, Tick
-
-from .config import ETFConfig
-from .indicators import Indicators
-from .state import Store, SymbolState
-
-
-class Engine:
-    def __init__(self, client, cfg: ETFConfig, store: Store, min_cash_ratio: float, excluded=()):
-        if not math.isfinite(min_cash_ratio) or not 0 <= min_cash_ratio <= 1:
-            raise ValueError('ETF min_cash_ratio 必须在 0 到 1 之间')
-        self.client, self.cfg, self.store = client, cfg, store
-        if any(state.pending and code not in cfg.codes for code, state in store.symbols.items()):
-            raise ValueError('存在已从配置移除的 ETF 待确认委托，请保留该标的直到核对完成')
-        self.min_cash_ratio, self.excluded = min_cash_ratio, set(excluded)
-        self.orders = OrderBook(cancel_timeout_sec=120)
-        self.watch = DipWatch(cfg.watch_seconds, cfg.rebound_pct)
-
-    def fee(self, amount: float) -> float:
-        return max(self.cfg.min_commission, amount * self.cfg.commission_rate)
-
-    def reconcile(self, code: str, state: SymbolState, position: PositionItem, orders) -> bool:
-        """必须同时得到终态委托与匹配的持仓快照，才解除本地待确认锁。"""
-        pending = state.pending
-        # 柜台清仓记录可能保留旧成本；零持仓应统一视为零成本，避免每轮清空低吸观察。
-        current_cost = position.open_price if position.volume > 0 else 0.0
-        if pending:
-            matches = [o for o in orders if o.local_order_id == pending['id'] and o.stock_code == code]
-            if len(matches) != 1:
-                log.warning('[ETF待确认] %s 订单=%s 回报缺失或不唯一，暂停该标的', code, pending['id'])
-                return False
-            order = matches[0]
-            status = str(order.order_status)
-            if status not in {'53', '54', '56', '57'}:
-                log.info('[ETF待确认] %s 订单=%s 状态=%s 成交=%s', code, pending['id'], status, order.volume_traded)
-                return False
-            filled = order.volume_traded
-            if (order.side != pending['side'] or type(filled) is not int or not 0 <= filled <= pending['volume']
-                    or (status == '56' and filled != pending['volume'])):
-                log.warning('[ETF待确认] %s 委托方向或成交数量不一致', code)
-                return False
-            expected = pending['base_volume'] + (filled if pending['side'] == 'BUY' else -filled)
-            if position.volume != expected:
-                log.warning('[ETF待确认] %s 持仓=%s 预期=%s，等待快照同步', code, position.volume, expected)
-                return False
-            if filled and pending['side'] == 'BUY':
-                if not math.isfinite(order.traded_price) or order.traded_price <= 0:
-                    log.warning('[ETF待确认] %s 缺少实际成交均价', code)
-                    return False
-                state.last_buy = order.traded_price
-            if filled:
-                state.reset_profit()
-            log.info('[ETF回报] %s 订单=%s 状态=%s 成交=%s 持仓=%s',
-                     code, pending['id'], status, filled, position.volume)
-            state.pending = {}
-            # 终态已被快照证实，可清理共用委托簿的短期方向缓存。
-            self.orders.busy_cache.delete(f"{pending['side']}-{code}")
-        elif position.volume != state.volume or not math.isclose(current_cost, state.cost, abs_tol=1e-8):
-            # 配置内已有仓位一并管理；人工改变仓位时重新建立止盈和加仓基准。
-            state.reset_profit()
-            state.last_buy = position.open_price if position.volume > 0 else 0.0
-            self.watch.forget(code)
-        state.volume, state.cost = position.volume, current_cost
-        if position.volume == 0:
-            state.last_buy = 0.0
-            state.reset_profit()
-        return True
-
-    def run(self, portfolio: Portfolio, ticks: dict[str, Tick], indicators: dict[str, Indicators], now: datetime):
-        # 防重看全账户，自动撤单只针对 ETF 前缀。
-        self.orders.refresh(self.client, portfolio.orders, cancel_prefix='ETF-')
-        assets = portfolio.assets
-        if not all(math.isfinite(v) and v >= 0 for v in (assets.total, assets.available)):
-            raise ValueError('账户资金无效')
-        # 先扣除所有未确认买单，不能等遍历到后面的标的才预留。
-        pending_cash = sum(s.pending['reserved'] for s in self.store.symbols.values()
-                           if s.pending.get('side') == 'BUY')
-        cash = max(0.0, assets.available - assets.total * self.min_cash_ratio - pending_cash)
-        for code in self.cfg.codes:
-            state = self.store.get(code)
-            had_pending = bool(state.pending)
-            position = portfolio.positions.get(code, PositionItem(stock_code=code))
-            try:
-                if (type(position.volume) is not int or position.volume < 0
-                        or type(position.can_use_volume) is not int or position.can_use_volume < 0
-                        or type(position.on_road_volume) is not int or position.on_road_volume < 0
-                        or not math.isfinite(position.open_price)):
-                    raise ValueError('持仓数量或成本无效')
-                if not self.reconcile(code, state, position, portfolio.orders):
-                    continue
-                self.store.save()
-                if code in self.excluded:
-                    self.watch.forget(code)
-                    continue
-                if self.orders.busy(code, 'BUY') or self.orders.busy(code, 'SELL'):
-                    continue
-                if position.on_road_volume > 0 or any(
-                    o.stock_code == code and str(o.order_status) not in {'53', '54', '56', '57'}
-                    for o in portfolio.orders
-                ):
-                    log.info('[ETF跳过] %s 存在在途份额或未知委托状态', code)
-                    continue
-                tick, ind = ticks.get(code), indicators.get(code)
-                if ind is None or not self.fresh_tick(tick, now):
-                    self.watch.forget(code)
-                    log.info('[ETF跳过] %s 日线或实时行情无效/过期', code)
-                    continue
-                price = round(tick.last_price, 3)
-                if position.volume > 0 and position.open_price <= 0:
-                    raise ValueError('非空持仓缺少有效成本')
-                if self.sell(code, state, position, price, ind):
-                    continue
-                cash -= self.buy(code, state, position, price, ind, cash, now)
-            except Exception:
-                # 异常后不允许其他标的重复使用可能已提交的资金。
-                if not had_pending and state.pending.get('side') == 'BUY':
-                    cash = max(0, cash - state.pending['reserved'])
-                log.exception('[ETF异常] %s 本轮跳过', code)
-
-    def fresh_tick(self, tick: Tick | None, now: datetime) -> bool:
-        if tick is None or not math.isfinite(tick.last_price) or tick.last_price <= 0:
-            return False
-        try:
-            stamp = datetime.strptime(tick.raw['timetag'], '%Y%m%d %H:%M:%S')
-            return stamp.date() == now.date() and 0 <= (now - stamp).total_seconds() <= self.cfg.max_tick_age_seconds
-        except (KeyError, TypeError, ValueError):
-            return False
-
-    def sell(self, code: str, state: SymbolState, position: PositionItem, price: float, ind: Indicators) -> bool:
-        if position.volume <= 0:
-            return False
-        cost = position.open_price
-        volume = min(position.volume, position.can_use_volume)
-        volume = volume // 100 * 100
-        # 即使 T+1 当天不可卖，也持续记录高位与峰值；翌日可卖时继续判断。
-        estimate_volume = volume or position.volume
-        profit = (price - cost) * estimate_volume
-        enough_profit = ((price - cost) / cost * 100 >= self.cfg.min_profit_pct
-                         and profit > self.fee(cost * estimate_volume) + self.fee(price * estimate_volume))
-        if not state.armed:
-            if price < max(ind.upper, ind.ma60 + ind.grid, cost + ind.grid) or not enough_profit:
-                return False
-            state.armed, state.sell_grid = True, ind.grid
-            state.peak = math.floor((price - cost) / state.sell_grid)
-            self.store.save()
-            log.info('[ETF止盈] %s 高位启动，峰值格=%d 格距=%.3f', code, state.peak, state.sell_grid)
-            return True
-        # 通过公开 observe 接口恢复跨日峰值，复用现有网格回撤算法。
-        tracker = GridTrailingTracker(1.0)
-        tracker.observe(code, state.peak)
-        observation = tracker.observe(code, (price - cost) / state.sell_grid)
-        state.peak = observation.peak_grid
-        self.store.save()
-        if observation.state == GridState.RETREAT and enough_profit and volume > 0:
-            self.submit(code, state, position, 'SELL', volume, price, 0.0)
-        # 止盈已启动时不同时补仓，避免同一轮买卖冲突。
-        return True
-
-    def buy(self, code: str, state: SymbolState, position: PositionItem, price: float,
-            ind: Indicators, cash: float, now: datetime) -> float:
-        volume = self.cfg.buy_hands * 100
-        if position.volume + volume > self.cfg.max_hands * 100:
-            self.watch.forget(code)
-            return 0.0
-        # 首次进入 BOLL 下轨且低于均线一格；加仓须比上次实际买入再低至少一格。
-        ceiling = min(ind.ma60, state.last_buy - ind.grid) if state.last_buy else ind.ma60
-        entry = min(ind.lower, ind.ma60 - ind.grid, ceiling)
-        if price > ceiling:
-            self.watch.forget(code)
-            return 0.0
-        if code not in self.watch.data and price > entry:
-            return 0.0
-        amount = round(price, 3) * volume
-        reserved = amount + self.fee(amount)
-        if reserved > cash:
-            return 0.0
-        if not self.watch.triggered('ETF低吸', code, price, now):
-            return 0.0
-        self.submit(code, state, position, 'BUY', volume, price, reserved)
-        return reserved
-
-    def submit(self, code: str, state: SymbolState, position: PositionItem, side: str,
-               volume: int, price: float, reserved: float):
-        order_id = self.orders.new_order_id('ETF', side)
-        # 先持久化再提交；超时、异常、进程重启均不会丢失未确认的意图。
-        state.pending = dict(id=order_id, side=side, volume=volume,
-                             base_volume=position.volume, reserved=reserved)
-        self.store.save()
-        request = PlaceOrderRequest(OP_BUY if side == 'BUY' else OP_SELL,
-                                    code, volume, order_id, 'etf', price=round(price, 3))
-        accepted = self.orders.place(self.client, request)
-        log.info('[ETF委托] %s %s 数量=%d 限价=%.3f 接口返回=%s 订单=%s，等待柜台核对',
-                 code, side, volume, price, accepted, order_id)

py-client/strategy/etf/indicators.py

@@ -1,55 +0,0 @@
-"""仅用已收盘日线计算指标，避免把盘中未完成的日线混入信号。"""
-
-from dataclasses import dataclass
-from datetime import date, datetime
-from decimal import Decimal, ROUND_CEILING
-import math
-from statistics import fmean, pstdev
-
-from .config import ETFConfig
-
-
-@dataclass(frozen=True)
-class Indicators:
-    day: str
-    ma60: float
-    atr: float
-    lower: float
-    middle: float
-    upper: float
-    grid: float
-
-
-def calculate(rows: list[dict], today: date, cfg: ETFConfig) -> Indicators:
-    """MA60 + Wilder ATR + BOLL（总体标准差），格距向上取整到 0.001 元。"""
-    bars = {}
-    for row in rows:
-        day = datetime.strptime(str(row['date']), '%Y%m%d').date()
-        if day >= today:
-            continue
-        if day in bars:
-            raise ValueError('日线包含重复日期')
-        high, low, close = (float(row[key]) for key in ('high', 'low', 'close'))
-        if not all(math.isfinite(v) and v > 0 for v in (high, low, close)) or not low <= close <= high:
-            raise ValueError('日线价格无效')
-        bars[day] = (high, low, close)
-    days = sorted(bars)
-    if len(days) < max(60, cfg.atr_period + 1, cfg.boll_period):
-        raise ValueError('已收盘日线不足，至少需要 60 根且能计算 ATR')
-    # 长期停牌或历史缓存未补齐时不使用过期信号；春节等长假允许 15 个自然日。
-    if (today - days[-1]).days > 15:
-        raise ValueError('最近日线超过 15 个自然日，需补齐行情')
-    values = [bars[d] for d in days]
-    closes = [v[2] for v in values]
-    tr = [max(h - l, abs(h - closes[i - 1]), abs(l - closes[i - 1]))
-          for i, (h, l, _) in enumerate(values) if i > 0]
-    n = cfg.atr_period
-    atr = fmean(tr[:n])
-    for value in tr[n:]:
-        atr = (atr * (n - 1) + value) / n
-    ma = fmean(closes[-60:])
-    window = closes[-cfg.boll_period:]
-    middle, width = fmean(window), cfg.boll_std * pstdev(window)
-    raw_grid = max(atr * cfg.atr_multiplier, ma * cfg.min_grid_pct / 100, 0.001)
-    grid = float(Decimal(str(raw_grid)).quantize(Decimal('0.001'), rounding=ROUND_CEILING))
-    return Indicators(days[-1].strftime('%Y%m%d'), ma, atr, middle - width, middle, middle + width, grid)

py-client/strategy/etf/open.py

@@ -0,0 +1,250 @@
+"""ETF 网格策略开仓：观察 → 反弹确认 → 底仓挂单。
+
+信号由 ``strategy/etf/signal.py`` 的 ``gen_signals`` 生成：白名单里的每个标的
+一条信号，``tech_indicator`` 里带着已收盘指标（``etf_entry``、``etf_price`` 等）。
+本模块只负责"能不能建网 / 按哪个价挂底仓"，补仓与卖出见 ``positions.py``。
+
+底仓规则（``docs/etf.md`` §2、§3.5）：
+
+1. 现价必须落在入场门槛以内（``min(区间下沿 + 通道幅度×channel_pct%, MA60)``）；
+2. 用 ``rt.open_watch``（``DipWatch``）确认从观察低点反弹 ``rebound_pct%``；
+3. 反弹确认价就是锚点，按该价挂限价单买一档 ``buy_shares`` 股；
+4. 资金不足或挂单失败时撤销锚点，下一轮重新触发，不留"死锚点"。
+"""
+
+from datetime import datetime
+import logging as log
+import math
+from typing import Any, Mapping
+
+from libs.calc import trading_time
+from libs.order import PlaceOrderRequest
+from libs.runtime import Runtime
+from libs.signal import SignalItem
+from sdk import OP_BUY
+
+from .signal import IND_ENTRY, IND_PRICE
+
+
+def entry_prices(item: SignalItem) -> tuple[float, float]:
+    """返回 (入场门槛, 最近收盘价)；缺失时对应项为 0。"""
+    values = getattr(item, "tech_indicator", None)
+    if not isinstance(values, Mapping):
+        values = {}
+    entry = _positive(values.get(IND_ENTRY) or values.get("entry"))
+    price = _positive(values.get(IND_PRICE) or getattr(item, "last_close", 0.0))
+    return entry, price
+
+
+def classify_entry(item: SignalItem, runtime: Runtime, price: float) -> tuple[bool, str]:
+    """判定现价是否处于入场区，并维护 ``open_watch`` 的观察状态。
+
+    Returns:
+        (是否已确认可建网, 说明)。价格在入场区之上时清除观察点，
+        防止用"陈旧低点 + 现价"拼出虚假反弹。
+    """
+    entry, _ = entry_prices(item)
+    if entry <= 0:
+        return False, "缺少入场门槛指标"
+
+    if price > entry:
+        # 价格回到入场区上方：旧观察低点作废，必须重新形成低点。
+        runtime.open_watch.forget(item.code)
+        return False, f"未进入入场区(现价{price:.3f}>门槛{entry:.3f})"
+
+    if not runtime.open_watch.triggered("建网", item.code, price):
+        return False, f"入场区内等待反弹确认(门槛{entry:.3f})"
+    return True, f"反弹已确认，锚点={price:.3f}"
+
+
+def open_signal(run: Runtime, ticks, open_signals) -> None:
+    """逐个验证开仓信号，按锚点价挂出底仓限价单。"""
+    if not trading_time(datetime.now()):
+        return
+
+    for item in open_signals:
+        code = item.code
+        try:
+            symbol = _symbol(run, code)
+            if symbol is None:
+                log.info("[ETF开仓] %s 跳过：不在 _etf.yaml 白名单内", code)
+                continue
+            if code in (getattr(run.account_cfg, "excluded_codes", None) or []):
+                log.info("[ETF开仓] %s 跳过：已配置为排除证券", code)
+                continue
+
+            price = _tick_price(run, code, (ticks or {}).get(code))
+            if price <= 0:
+                continue
+            if run.orders.busy(code, "BUY"):
+                log.info("[ETF开仓] %s 跳过：买入委托处理中", code)
+                continue
+
+            confirmed, reason = classify_entry(item, run, price)
+            if not confirmed:
+                log.info("[ETF开仓] %s 跳过：%s", code, reason)
+                continue
+
+            volume = _entry_volume(run, code)
+            if volume <= 0:
+                run.open_watch.forget(code)  # 不留挂不出单的死锚点
+                continue
+            if not _budget_ok(run, price * volume):
+                run.open_watch.forget(code)
+                log.info(
+                    "[ETF开仓] %s 跳过：本轮预算不足，锚点作废，现价=%.3f，需要=%.2f",
+                    code,
+                    price,
+                    price * volume,
+                )
+                continue
+
+            do_open(run, code, volume, price, reason)
+        except Exception as exc:
+            log.exception("[ETF开仓] %s 处理异常：%s", code, exc)
+
+
+def do_open(run: Runtime, code: str, volume: int, price: float, reason: str = "") -> bool:
+    """按锚点价挂底仓买入委托；成功返回 True。"""
+    request = PlaceOrderRequest(
+        op=OP_BUY,
+        code=code,
+        volume=int(volume),
+        order_id=run.orders.new_order_id("ETF", "BUY"),
+        strategy_name=strategy_name(run),
+        kind="base",
+        price=price,
+    )
+    if not run.orders.place(run.client, request):
+        run.open_watch.forget(code)
+        log.warning("[ETF开仓] %s 底仓挂单失败，撤销锚点：%s", code, reason)
+        return False
+
+    run.open_watch.forget(code)
+    log.info(
+        "[ETF开仓] %s 建网底仓 %d 股，锚点=%.3f，%s", code, request.volume, price, reason
+    )
+    return True
+
+
+def strategy_name(run: Runtime) -> str:
+    """委托上的策略名：与账户 ``strategy`` 一致，便于按策略过滤委托与日志。"""
+    return str(getattr(run.account_cfg, "strategy", "") or "etf").strip().lower() or "etf"
+
+
+def _symbol(run: Runtime, code: str) -> Any | None:
+    """取标的配置；不在白名单内返回 None。"""
+    symbols = getattr(getattr(run, "etf_cfg", None), "symbols", None)
+    if not isinstance(symbols, Mapping):
+        return None
+    return symbols.get(code)
+
+
+def _tick_price(run: Runtime, code: str, tick) -> float:
+    """校验实时行情：有限正数、时间戳为当天且未超过 ``max_tick_age_seconds``。"""
+    price = _positive(getattr(tick, "last_price", 0.0)) if tick is not None else 0.0
+    if price <= 0:
+        log.info("[ETF开仓] %s 跳过：价格无效", code)
+        return 0.0
+
+    now = datetime.now()
+    stamp = _tick_stamp(getattr(tick, "raw", None))
+    if stamp is None:
+        log.info("[ETF开仓] %s 跳过：行情时间戳缺失", code)
+        return 0.0
+    if stamp.date() != now.date():
+        log.info("[ETF开仓] %s 跳过：行情时间戳非当天(%s)", code, stamp)
+        return 0.0
+
+    limit = _max_tick_age(run)
+    age = (now - stamp).total_seconds()
+    if age > limit:
+        log.info("[ETF开仓] %s 跳过：行情已过期 %.0f 秒>%d 秒", code, age, limit)
+        return 0.0
+    return price
+
+
+def _tick_stamp(raw: Any) -> datetime | None:
+    """解析行情时间戳（``20260916103000`` / ``2026-09-16 10:30:00``）。"""
+    if not isinstance(raw, Mapping):
+        return None
+    text = str(raw.get("timetag") or raw.get("time") or raw.get("stime") or "")
+    digits = "".join(char for char in text if char.isdigit())
+    if len(digits) < 14:
+        return None
+    try:
+        return datetime.strptime(digits[:14], "%Y%m%d%H%M%S")
+    except ValueError:
+        return None
+
+
+def _max_tick_age(run: Runtime) -> int:
+    defaults = getattr(getattr(run, "etf_cfg", None), "defaults", None)
+    value = getattr(defaults, "max_tick_age_seconds", 0)
+    return value if type(value) is int and value > 0 else 90
+
+
+def _entry_volume(run: Runtime, code: str) -> int:
+    """底仓股数：配置的 ``buy_shares``，按整手与单标的上限裁剪。"""
+    volume = getattr(_symbol(run, code), "buy_shares", 0)
+    if type(volume) is not int or volume <= 0:
+        log.info("[ETF开仓] %s 跳过：buy_shares 配置无效", code)
+        return 0
+    volume -= volume % 100
+    if volume <= 0:
+        return 0
+
+    max_shares = getattr(_symbol(run, code), "max_shares", None)
+    if type(max_shares) is int and max_shares > 0:
+        volume = min(volume, max_shares - max_shares % 100)
+    return volume
+
+
+def _budget_ok(run: Runtime, amount: float) -> bool:
+    """本轮可用预算 = 券商可用资金 − 现金安全线 − 所有在途买单预留。"""
+    assets = _latest_assets(run)
+    available = getattr(assets, "available", None)
+    if isinstance(available, bool) or not isinstance(available, (int, float)):
+        # 拿不到资金快照时不阻拦，最终由柜台与在途委托锁把关。
+        return True
+
+    total = _positive(getattr(assets, "total", 0.0))
+    ratio = getattr(run.account_cfg, "min_cash_ratio", 0.0)
+    if isinstance(ratio, bool) or not isinstance(ratio, (int, float)):
+        ratio = 0.0
+    budget = float(available) - total * float(ratio) - pending_buy_amount(run)
+    return amount <= max(0.0, budget)
+
+
+def pending_buy_amount(run: Runtime) -> float:
+    """所有未确认买单的预留金额（不是只算当前标的）。"""
+    reserved = 0.0
+    for order in getattr(run.orders, "data", None) or []:
+        if getattr(order, "side", "") != "BUY":
+            continue
+        remaining = getattr(order, "volume_total_original", 0) - getattr(
+            order, "volume_traded", 0
+        )
+        price = getattr(order, "limit_price", 0.0) or getattr(order, "traded_price", 0.0)
+        if remaining > 0 and _positive(price) > 0:
+            reserved += float(remaining) * float(price)
+    return reserved
+
+
+def _latest_assets(run: Runtime) -> Any:
+    """读取最新资金快照：优先用 Runtime 上缓存的，其次问一次客户端。"""
+    cached = getattr(run, "assets", None)
+    if cached is not None:
+        return cached
+    try:
+        return run.client.assets()
+    except Exception:
+        return None
+
+
+def _positive(value: Any) -> float:
+    """把配置/指标值转成有限正浮点数；不合法时返回 0。"""
+    if isinstance(value, bool) or not isinstance(value, (int, float)):
+        return 0.0
+    value = float(value)
+    return value if math.isfinite(value) and value > 0 else 0.0

py-client/strategy/etf/positions.py

@@ -0,0 +1,490 @@
+"""ETF 网格策略持仓管理：整仓止盈、单档止盈、百分比补仓。
+
+规则见 ``docs/etf.md`` §4、§5，参数全部取自 ``rt.etf_cfg``：
+
+- 持仓数量与可用份额**只以券商快照为准**，本地不重算持仓；
+- 档位由"持仓股数 ÷ 每档 ``buy_shares``"推出，是唯一能跨轮次存活的档位依据；
+- 上一档成交价优先用券商成本价 ``open_price``，没有可用成本时回落到本模块
+  记录的上次成交价；
+- 主出口：盈亏率 ≥ ``min_profit_pct`` 整仓卖出（受 T+1 与 ``min_hold_days`` 限制）；
+- 副出口：单档盈利从峰值回撤（``inner_step`` 网格、峰值已抬到 ``inner_grids``）只卖该档；
+- 补仓：自上一档再跌 ``add_pct`` 且 ``add_watch`` 反弹确认，最多 ``max_adds`` 次；
+- 超过 ``max_hold_days`` 只告警不强制平仓，残量留作隔夜持仓。
+"""
+
+from dataclasses import dataclass, field
+from datetime import datetime
+import logging as log
+import math
+from threading import Lock
+from typing import Any, Mapping
+
+from libs.calc import trading_time
+from libs.grid_take_profit import GridState, GridTrailingTracker
+from libs.order import PlaceOrderRequest
+from libs.runtime import Runtime
+from sdk import OP_BUY, OP_SELL, PositionItem, Tick
+
+from .open import pending_buy_amount, strategy_name
+
+# 单次卖出/补仓委托被拒后的冷却时间，避免同一 tick 反复重试。
+REJECT_COOLDOWN_SECONDS = 30
+
+
+@dataclass(slots=True)
+class TradeDecision:
+    """一次止盈或补仓判断的统一结果。"""
+
+    submitted: bool
+    message: str = ""
+    reserved_cash: float = 0.0
+
+
+@dataclass(slots=True)
+class SymbolProgress:
+    """单标的的进程内进度：补仓次数、上次成交价与冷却时刻。"""
+
+    adds: int = 0
+    last_buy_price: float = 0.0
+    last_add_day: int = 0
+    last_sell_at: datetime | None = None
+    warned_hold_days: int = 0
+    # 主出口当日重试次数：挂单失败或状态未回报时不每轮重试。
+    failed_sell_day: int = 0
+
+
+_progress: dict[str, SymbolProgress] = {}
+_trackers: dict[str, GridTrailingTracker] = {}
+_state_lock = Lock()
+
+
+def manage_positions(
+    runtime: Runtime,
+    ticks: Mapping[str, Tick],
+    positions: list[PositionItem],
+    market_ok: bool,
+    available: float,
+) -> None:
+    """逐只核对持仓并执行卖出与补仓。"""
+    if not trading_time(datetime.now()):
+        return
+
+    # 所有标的分预算：先扣除全部在途买单，避免轮到后面才发现钱不够。
+    budget = _available_budget(runtime, available, market_ok)
+
+    for position in positions:
+        code = position.stock_code
+        try:
+            excluded = getattr(runtime.account_cfg, "excluded_codes", None) or []
+            if code in excluded:
+                log.info("[ETF持仓] %s 跳过：已配置为排除证券", code)
+                continue
+            symbol = _symbol(runtime, code)
+            if symbol is None:
+                log.info("[ETF持仓] %s 跳过：不在 _etf.yaml 白名单内", code)
+                continue
+
+            tick = ticks.get(code)
+            price = _tick_price(runtime, code, tick)
+            if price <= 0 or position.volume <= 0:
+                log.warning(
+                    "[ETF持仓] %s 跳过：持仓或行情无效，持仓=%d，现价=%.3f",
+                    code,
+                    position.volume,
+                    price,
+                )
+                continue
+
+            # 盈亏率口径与主出口一致：以券商成本价为分母。
+            cost = _positive(position.open_price)
+            pnl_rate = (price - cost) / cost * 100 if cost > 0 else 0.0
+            level = position_level(runtime, position)
+            progress = _get_progress(code, level)
+            sellable = sellable_volume(symbol, position)
+
+            # 1. 主出口：整仓止盈，一次清空网格。
+            exit_decision = handle_exit(
+                runtime, symbol, position, tick, pnl_rate, sellable
+            )
+            action = exit_decision.message or "未触发"
+            if exit_decision.submitted:
+                _log_position(code, position, price, pnl_rate, action, "已停止")
+                continue
+
+            # 2. 副出口：单档峰值回撤，只处理当前档。
+            if not runtime.orders.busy(code, "SELL"):
+                per_level = handle_level_exit(
+                    runtime, symbol, position, tick, pnl_rate, level
+                )
+                action = per_level.message or action
+
+            # 3. 时间退出：超期只告警，残量留作隔夜持仓。
+            hold_decision = handle_max_hold(runtime, code, progress, level)
+            add_action = "未启用"
+            if hold_decision.submitted:
+                add_action = hold_decision.message
+
+            # 4. 补仓：自上一档再跌 add_pct，且反弹确认后才买。
+            if market_ok:
+                add_decision = handle_add(
+                    runtime, symbol, position, tick, price, budget, level
+                )
+                budget = max(0.0, budget - add_decision.reserved_cash)
+                add_action = add_decision.message or "未触发"
+            else:
+                add_action = "大盘信号不允许"
+
+            _log_position(code, position, price, pnl_rate, action, add_action)
+        except Exception as exc:
+            log.exception("[ETF持仓] %s 处理异常：%s", code, exc)
+
+
+def handle_exit(
+    runtime: Runtime,
+    symbol: Any,
+    position: PositionItem,
+    tick: Tick,
+    pnl_rate: float,
+    sellable: int,
+) -> TradeDecision:
+    """主出口：盈亏率 ≥ ``min_profit_pct`` 时整仓卖出。"""
+    target = _default(runtime, "min_profit_pct", 1.0)
+    minimum = _positive(target)
+    if minimum <= 0 or pnl_rate < minimum:
+        return TradeDecision(False, f"持有中 PNL={pnl_rate:.2f}%(目标{minimum:.2f}%)")
+
+    code = position.stock_code
+    volume = min(max(0, int(sellable)) - int(sellable) % 100, position.volume)
+    if volume <= 0:
+        return TradeDecision(False, f"无当日可卖整手(可用={position.can_use_volume})")
+    if runtime.orders.busy(code, "SELL"):
+        return TradeDecision(False, "卖出委托处理中")
+
+    progress = _get_progress(code, position_level(runtime, position))
+    now = datetime.now()
+    if progress.last_sell_at is not None and (
+        now - progress.last_sell_at
+    ).total_seconds() < REJECT_COOLDOWN_SECONDS:
+        return TradeDecision(False, "卖出冷却中")
+    if progress.failed_sell_day == now.date().toordinal():
+        # 当日挂单失败过：等收盘或等仓位变化，避免每轮重复下单。
+        return TradeDecision(False, "当日整仓止盈挂单未成功，暂停重试")
+
+    request = PlaceOrderRequest(
+        op=OP_SELL,
+        code=code,
+        volume=volume,
+        order_id=runtime.orders.new_order_id("ETF", "SELL"),
+        strategy_name=strategy_name(runtime),
+        kind="exit",
+        price=_tick_price_or(position.last_price, tick.last_price),
+    )
+    submitted = runtime.orders.place(runtime.client, request)
+    progress.last_sell_at = now
+    if not submitted:
+        progress.failed_sell_day = now.date().toordinal()
+        return TradeDecision(False, "整仓止盈委托失败")
+
+    return TradeDecision(True, f"[主出口] 盈亏率={pnl_rate:.2f}% 整仓卖出 {volume} 股")
+
+
+def handle_level_exit(
+    runtime: Runtime,
+    symbol: Any,
+    position: PositionItem,
+    tick: Tick,
+    pnl_rate: float,
+    level: int,
+) -> TradeDecision:
+    """副出口：单档盈利从峰值回撤且峰值已抬到 ``inner_grids`` 格时只卖该档。"""
+    code = position.stock_code
+    observation = _tracker(code, symbol).observe(f"etf:{code}:level:{level}", pnl_rate)
+    if observation.state is not GridState.RETREAT:
+        return TradeDecision(
+            False, f"单档网格={observation.current_grid}/峰值={observation.peak_grid}"
+        )
+
+    required = _positive(_symbol_value(symbol, "inner_grids", runtime, "inner_grids", 2.0))
+    if observation.peak_grid < required:
+        return TradeDecision(
+            False,
+            f"峰值未达 {required:g} 格(当前峰值={observation.peak_grid})",
+        )
+
+    volume = min(max(0, int(position.can_use_volume)) - int(position.can_use_volume) % 100,
+                 position.volume)
+    if volume <= 0:
+        return TradeDecision(False, "该档无当日可卖整仓")
+    if runtime.orders.busy(code, "SELL"):
+        return TradeDecision(False, "卖出委托处理中")
+
+    request = PlaceOrderRequest(
+        op=OP_SELL,
+        code=code,
+        volume=volume,
+        order_id=runtime.orders.new_order_id("ETF", "SELL"),
+        strategy_name=strategy_name(runtime),
+        kind="profit",
+        price=_tick_price_or(position.last_price, tick.last_price),
+    )
+    if not runtime.orders.place(runtime.client, request):
+        # 下单失败或撤单时必须保留峰值，等下一轮再试。
+        return TradeDecision(False, "单档止盈委托失败")
+
+    # 峰值只能在卖出成功后清除。
+    _tracker(code, symbol).clear(f"etf:{code}:level:{level}")
+    return TradeDecision(True, f"[副出口] 第{level}档 盈亏率={pnl_rate:.2f}% 卖出 {volume} 股")
+
+
+def handle_max_hold(
+    runtime: Runtime, code: str, progress: SymbolProgress, level: int
+) -> TradeDecision:
+    """超过 ``max_hold_days`` 的轮次只告警，不强制平仓（残量留作隔夜持仓）。"""
+    limit = _default(runtime, "max_hold_days", 0)
+    if type(limit) is not int or limit <= 0:
+        return TradeDecision(False)
+
+    # 本地不记录真实买入日：用"档位 + 当日首见/本次加档"推算持有自然日，
+    # 只为触发一次告警，不参与下单决策。没有记录时退化为"档位 ≈ 已持有天数"。
+    today = datetime.now().date().toordinal()
+    started = progress.last_buy_day or (today - level)
+    if progress.warned_hold_days == today or today < started + limit:
+        return TradeDecision(False)
+
+    progress.warned_hold_days = today
+    return TradeDecision(True, f"[超期] 已持有{max(0, today - started)}天，超过 max_hold_days={limit}，仅告警不平仓")
+
+
+def handle_add(
+    runtime: Runtime,
+    symbol: Any,
+    position: PositionItem,
+    tick: Tick,
+    price: float,
+    budget: float,
+    level: int,
+) -> TradeDecision:
+    """补仓：自上一档再跌 ``add_pct`` 且反弹确认后按现价买入一档。"""
+    code = position.stock_code
+    progress = _get_progress(code, level)
+    max_adds = _default(runtime, "max_adds", 9)
+    if type(max_adds) is not int or max_adds < 0:
+        return TradeDecision(False, "max_adds 配置无效")
+    if progress.adds >= max_adds:
+        return TradeDecision(False, f"已满 {max_adds + 1} 档，只等主出口")
+
+    add_pct = _positive(_default(runtime, "add_pct", 3.0))
+    last_price = last_buy_price(symbol, position, progress)
+    if add_pct <= 0 or last_price <= 0:
+        return TradeDecision(False, "缺少上一档成交价")
+
+    drop = (last_price - price) / last_price * 100
+    if drop < add_pct:
+        # 跌幅未达门槛时不观察，避免把"没到位的低点"记成观察起点。
+        runtime.add_watch.forget(code)
+        return TradeDecision(False, f"自上一档跌幅={drop:.2f}%<{add_pct:.2f}%")
+
+    if progress.last_add_day == datetime.now().date().toordinal():
+        # 同一交易日每档最多补一次：避免同一个低点被反复确认成多笔加仓。
+        return TradeDecision(False, "本档当日已补仓，等待下一档")
+
+    buy_shares = _symbol_value(symbol, "buy_shares", runtime, "buy_shares", 0)
+    if type(buy_shares) is not int or buy_shares <= 0:
+        return TradeDecision(False, "buy_shares 配置无效")
+    volume = buy_shares - buy_shares % 100
+    max_shares = _symbol_value(symbol, "max_shares", runtime, "max_shares", 0)
+    if type(max_shares) is int and max_shares > 0:
+        room = max_shares - max_shares % 100 - position.volume
+        volume = min(volume, room)
+    if volume <= 0:
+        return TradeDecision(False, "已达单标的上限")
+
+    amount = price * volume
+    if runtime.orders.busy(code, "BUY"):
+        return TradeDecision(False, "买入委托处理中")
+    # 预算不足时不消耗观察状态：等资金腾出来仍可用同一个观察低点确认。
+    if amount > budget:
+        return TradeDecision(False, f"本轮预算不足(需要{amount:.2f}>可用{budget:.2f})")
+    if not runtime.add_watch.triggered("补仓", code, price):
+        return TradeDecision(False, "等待价格反弹确认")
+
+    request = PlaceOrderRequest(
+        op=OP_BUY,
+        code=code,
+        volume=volume,
+        order_id=runtime.orders.new_order_id("ETF", "BUY"),
+        strategy_name=strategy_name(runtime),
+        kind="add",
+        price=price,
+    )
+    if not runtime.orders.place(runtime.client, request):
+        return TradeDecision(False, "补仓委托失败")
+
+    progress.adds += 1
+    progress.last_buy_price = price
+    progress.last_add_day = datetime.now().date().toordinal()
+    runtime.add_watch.forget(code)
+    return TradeDecision(
+        True, f"[补仓] 第{level + 1}档 {volume} 股，跌幅={drop:.2f}%", amount
+    )
+
+
+def position_level(runtime: Runtime, position: PositionItem) -> int:
+    """由持仓股数推出档位：1 = 只有底仓，2 = 底仓 + 一档补仓……"""
+    buy_shares = _symbol_value(
+        _symbol(runtime, position.stock_code),
+        "buy_shares",
+        runtime,
+        "buy_shares",
+        0,
+    )
+    if type(buy_shares) is not int or buy_shares <= 0:
+        return 1
+    return max(1, -(-int(position.volume) // buy_shares))
+
+
+def last_buy_price(
+    symbol: Any, position: PositionItem, progress: SymbolProgress
+) -> float:
+    """上一档成交价：优先券商成本价，其次本模块记录的上次成交价。"""
+    if progress.last_buy_price > 0:
+        return progress.last_buy_price
+    return _positive(position.open_price)
+
+
+def sellable_volume(symbol: Any, position: PositionItem) -> int:
+    """当日可卖股数：受 T+1 与 ``min_hold_days`` 限制，整手向下取整。"""
+    if _is_t0(symbol) or position.yesterday_volume > 0:
+        # T+0 标的，或已有隔夜持仓：券商可用份额就是上限。
+        return max(0, int(position.can_use_volume))
+    return 0
+
+
+def _available_budget(runtime: Runtime, available: float, market_ok: bool) -> float:
+    """补仓预算 = 调用方传入的可用资金 − 现金安全线 − 全部在途买单预留。
+
+    调用方只给 ``assets.available``（见 ``boot.RunOnce``），因此现金安全线按
+    "可用资金"比例扣除：``available × min_cash_ratio`` 是本模块能保守估计的
+    安全垫，不会把预留资金算成可加仓的额度。
+    """
+    if isinstance(available, bool) or not isinstance(available, (int, float)):
+        return 0.0
+    ratio = getattr(runtime.account_cfg, "min_cash_ratio", 0.0)
+    if isinstance(ratio, bool) or not isinstance(ratio, (int, float)):
+        ratio = 0.0
+    budget = float(available) - abs(float(available)) * float(ratio) - pending_buy_amount(runtime)
+    return max(0.0, budget)
+
+
+def _tick_price(runtime: Runtime, code: str, tick: Tick | None) -> float:
+    """校验实时行情：有限正数、当天且未超过 ``max_tick_age_seconds``。"""
+    price = _positive(getattr(tick, "last_price", 0.0)) if tick is not None else 0.0
+    if price <= 0:
+        return 0.0
+    stamp = _tick_stamp(getattr(tick, "raw", None))
+    if stamp is None or stamp.date() != datetime.now().date():
+        return 0.0
+    limit = _default(runtime, "max_tick_age_seconds", 90)
+    if type(limit) is not int or limit <= 0:
+        limit = 90
+    if (datetime.now() - stamp).total_seconds() > limit:
+        return 0.0
+    return price
+
+
+def _tick_stamp(raw: Any) -> datetime | None:
+    if not isinstance(raw, Mapping):
+        return None
+    text = str(raw.get("timetag") or raw.get("time") or raw.get("stime") or "")
+    digits = "".join(char for char in text if char.isdigit())
+    if len(digits) < 14:
+        return None
+    try:
+        return datetime.strptime(digits[:14], "%Y%m%d%H%M%S")
+    except ValueError:
+        return None
+
+
+def _tick_price_or(fallback: Any, price: Any) -> float:
+    """限价：优先现价，缺失时用持仓快照的最新价。"""
+    return _positive(price) or _positive(fallback)
+
+
+def _symbol(runtime: Runtime, code: str) -> Any | None:
+    symbols = getattr(getattr(runtime, "etf_cfg", None), "symbols", None)
+    if not isinstance(symbols, Mapping):
+        return None
+    return symbols.get(code)
+
+
+def _symbol_value(
+    symbol: Any, attr: str, runtime: Runtime, defaults_attr: str, fallback: Any
+) -> Any:
+    """标的覆盖优先，其次全局默认：标的为 None 时按未覆盖处理。"""
+    value = getattr(symbol, attr, None)
+    if value is not None:
+        return value
+    return _default(runtime, defaults_attr, fallback)
+
+
+def _default(runtime: Runtime, name: str, fallback: Any) -> Any:
+    """读取 ``_etf.yaml`` 的全局默认参数。"""
+    defaults = getattr(getattr(runtime, "etf_cfg", None), "defaults", None)
+    value = getattr(defaults, name, None)
+    return fallback if value is None else value
+
+
+def _is_t0(symbol: Any) -> bool:
+    return getattr(symbol, "is_t0", False) is True
+
+
+def _tracker(code: str, symbol: Any) -> GridTrailingTracker:
+    """按标的缓存峰值跟踪器：内层格距是逐标的参数。"""
+    with _state_lock:
+        tracker = _trackers.get(code)
+        if tracker is None:
+            step = _positive(getattr(symbol, "inner_step", 0.0)) or 0.5
+            tracker = GridTrailingTracker(step)
+            _trackers[code] = tracker
+        return tracker
+
+
+def _get_progress(code: str, level: int) -> SymbolProgress:
+    """取标的进度；首次见到时用券商推出来的档位补齐补仓次数。"""
+    with _state_lock:
+        progress = _progress.get(code)
+        if progress is None:
+            # 档位 N 意味着已经补过 N-1 次，重启后仍能对上 max_adds 上限。
+            progress = SymbolProgress(adds=max(0, level - 1))
+            _progress[code] = progress
+        return progress
+
+
+def _log_position(
+    code: str,
+    position: PositionItem,
+    price: float,
+    pnl_rate: float,
+    exit_action: str,
+    add_action: str,
+) -> None:
+    log.info(
+        "[ETF持仓] %s %s，现价=%.3f，成本=%.3f，盈亏=%.2f%%，持有=%d，可用=%d，止盈=%s，补仓=%s",
+        code,
+        position.stock_name or "-",
+        price,
+        position.open_price,
+        pnl_rate,
+        position.volume,
+        position.can_use_volume,
+        exit_action,
+        add_action,
+    )
+
+
+def _positive(value: Any) -> float:
+    """把配置/行情值转成有限正浮点数；不合法时返回 0。"""
+    if isinstance(value, bool) or not isinstance(value, (int, float)):
+        return 0.0
+    value = float(value)
+    return value if math.isfinite(value) and value > 0 else 0.0

py-client/strategy/etf/signal.py

@@ -0,0 +1,317 @@
+"""ETF 信号层：把 ``_etf.yaml`` 的白名单展开为可交易的信号列表。
+
+一个信号就是一个标的：入场判定所需的指标全部固化在 ``SignalItem.tech_indicator``
+里，引擎不再自己取数、算指标。数据来自外部日线接口（``docs/etf.md`` §7.4），
+只使用已收盘日线，见 ``calculate`` 的校验。
+"""
+
+from datetime import date, datetime, timedelta
+from decimal import ROUND_CEILING, Decimal
+import logging as log
+import math
+import re
+from statistics import fmean
+
+import httpx
+
+from config import HTTP_TIMEOUT, EtfSymbolConfig
+from libs.runtime import Runtime
+from libs.signal import SignalItem
+
+# 外部日线接口：只接受单个 code，无复权价；不发送 QMT 认证信息。
+DAILY_PATH = "/etf/daily"
+DAILY_URL = "http://139.224.247.176:13499/etf/daily"
+
+# 取数失败后的重试间隔，避免接口故障时每轮都打满请求。
+RETRY_SECONDS = 300
+# 只保留最近的样本；需要 60 根 MA60、61 根 ATR14。
+BAR_COUNT = 120
+# ATR 需要前一根收盘价，MA60 需要 60 根，取两者的较大值作为样本下限。
+MIN_BARS = 61
+# MA60 是网的顶部上限，周期固定为 60 个交易日。
+MA_PERIOD = 60
+# 长期停牌或缓存未补齐时不使用过期指标；春节等长假允许 15 个自然日。
+MAX_BAR_AGE_DAYS = 15
+
+# tech_indicator 的键：带 etf_ 前缀，避免与其它策略的信号字段混用。
+IND_MA60 = "etf_ma60"
+IND_ATR = "etf_atr"
+IND_CHANNEL_LOW = "etf_channel_low"
+IND_CHANNEL_HIGH = "etf_channel_high"
+IND_ENTRY = "etf_entry"
+IND_GRID = "etf_grid"
+IND_GRID_PCT = "etf_grid_pct"
+IND_ADD_PRICE = "etf_add_price"
+IND_PRICE = "etf_price"
+
+_STAMP_PATTERN = re.compile(r"[0-9]{8}")
+_PRICE_FIELDS = ("open", "high", "low", "close")
+
+# 行情客户端按需创建：模块只做信号生成，不持有 QMT 客户端。
+_history_client: httpx.Client | None = None
+# 每标的每日只取一次；失败标的按 RETRY_SECONDS 重试。
+_daily_cache: dict[str, list[dict]] = {}
+_fetched: dict[str, date] = {}
+_retry_at: dict[str, datetime] = {}
+
+
+def gen_signals(rt: Runtime) -> list[SignalItem]:
+    """从 ``_etf.yaml`` 白名单生成信号列表，顺序即资金优先级。
+
+    每个标的独立取日线并计算指标；取数或计算失败的标的本轮直接跳过，
+    不允许退化使用旧数据，也不允许替换成别的证券。返回的
+    ``SignalItem.tech_indicator`` 携带引擎需要的全部已收盘指标。
+    """
+    etf_cfg = getattr(rt, "etf_cfg", None)
+    if etf_cfg is None:
+        log.error("[ETF信号] 缺少 _etf.yaml 配置，本轮无可交易标的")
+        return []
+
+    today = datetime.now().date()
+    _reset_daily(today)
+    endpoint = _api_endpoint(rt)
+    cfg = etf_cfg.defaults
+    signals: list[SignalItem] = []
+
+    for code in etf_cfg.codes:
+        try:
+            symbol = etf_cfg.symbols[code]
+            bars = _daily_bars(code, today, endpoint)
+            if not bars:
+                continue
+            indicators = calculate(bars, symbol, cfg, today)
+        except Exception as exc:
+            log.warning("[ETF信号] %s 跳过：%s", code, exc)
+            continue
+
+        signals.append(
+            SignalItem(
+                signal_key=etf_cfg_key(rt),
+                code=code,
+                name=code,
+                desc=f"ETF网格 档位={symbol.buy_shares}股 上限={symbol.max_shares}股",
+                last_close=indicators[IND_PRICE],
+                tech_indicator=indicators,
+            )
+        )
+
+    if signals:
+        log.info(
+            "[ETF信号] 生成完毕，可交易=%d/%d，来源=%s",
+            len(signals),
+            len(etf_cfg.codes),
+            endpoint,
+        )
+    else:
+        log.warning("[ETF信号] 本轮没有可用信号，白名单=%d", len(etf_cfg.codes))
+    return signals
+
+
+def etf_cfg_key(rt: Runtime) -> str:
+    """信号的品种标识：ETF 全部标的共用 ``etf``，便于按策略名过滤委托与日志。"""
+    strategy = str(getattr(rt.account_cfg, "strategy", "") or "").strip().lower()
+    return strategy or "etf"
+
+
+def calculate(
+    bars: list[dict], symbol: EtfSymbolConfig, defaults, today: date
+) -> dict[str, float]:
+    """用已收盘日线算出引擎需要的全部指标。
+
+    ATR 走 Wilder 平滑；格距向上取整到 0.001 元（ETF 最小报价单位）。
+    样本不足或日线过期时抛 ValueError，由调用方放弃该标的当轮交易。
+    """
+    if len(bars) < MIN_BARS:
+        raise ValueError(f"已收盘日线不足 {MIN_BARS} 根")
+
+    ordered = sorted(bars, key=lambda bar: bar["date"])
+    last_day = datetime.strptime(ordered[-1]["date"], "%Y%m%d").date()
+    # 长期停牌或历史缓存未补齐时不使用过期数据；春节等长假允许 15 个自然日。
+    if (today - last_day).days > MAX_BAR_AGE_DAYS:
+        raise ValueError(
+            f"最近日线 {ordered[-1]['date']} 超过 {MAX_BAR_AGE_DAYS} 个自然日"
+        )
+
+    period = defaults.atr_period
+    if type(period) is not int or period < 2:
+        raise ValueError("atr_period 必须是大于 1 的整数")
+
+    closes = [float(bar["close"]) for bar in ordered]
+    highs = [float(bar["high"]) for bar in ordered]
+    lows = [float(bar["low"]) for bar in ordered]
+    ranges = [
+        max(high - low, abs(high - closes[index - 1]), abs(low - closes[index - 1]))
+        for index, (high, low) in enumerate(zip(highs, lows))
+        if index > 0
+    ]
+    if len(ranges) < period:
+        raise ValueError(f"日线不足 {period + 1} 根，无法计算 ATR")
+
+    atr = fmean(ranges[:period])
+    for value in ranges[period:]:
+        atr = (atr * (period - 1) + value) / period
+
+    window = int(defaults.channel_period)
+    if len(highs) < max(window, MA_PERIOD):
+        raise ValueError(f"日线不足 {max(window, MA_PERIOD)} 根，无法计算通道或 MA60")
+    ma60 = fmean(closes[-MA_PERIOD:])
+    channel_low = min(lows[-window:])
+    channel_high = max(highs[-window:])
+    # 入场门槛 = min(距区间下沿 channel_pct% 的价位, MA60)：不在均线上方建网。
+    entry = min(
+        channel_low + (channel_high - channel_low) * defaults.channel_pct / 100, ma60
+    )
+    # 格距 = max(ATR × 倍数, MA60 × 格距下限百分比, 0.001)，向上取整到 0.001 元。
+    raw_grid = max(atr * symbol.atr_multiplier, ma60 * defaults.min_grid_pct / 100, 0.001)
+    grid = float(Decimal(str(raw_grid)).quantize(Decimal("0.001"), rounding=ROUND_CEILING))
+
+    values = (ma60, atr, channel_low, channel_high, entry, grid, closes[-1])
+    if not all(math.isfinite(value) and value > 0 for value in values):
+        raise ValueError("指标存在非有限正数")
+    if grid <= 0:
+        raise ValueError("格距非正数")
+
+    return {
+        IND_MA60: ma60,
+        IND_ATR: atr,
+        IND_CHANNEL_LOW: channel_low,
+        IND_CHANNEL_HIGH: channel_high,
+        IND_ENTRY: entry,
+        IND_GRID: grid,
+        IND_GRID_PCT: grid / closes[-1] * 100,
+        IND_ADD_PRICE: closes[-1] * (1 - defaults.add_pct / 100),
+        IND_PRICE: closes[-1],
+    }
+
+
+def daily_bars(
+    client: httpx.Client,
+    code: str,
+    today: date,
+    count: int = BAR_COUNT,
+    endpoint: str = DAILY_URL,
+) -> list[dict]:
+    """读取指定证券日线；窗口截取在本地完成（接口只支持单 code）。"""
+    response = client.get(endpoint, params={"code": code})
+    response.raise_for_status()
+    return parse_daily(response.json(), code, today, count)
+
+
+def parse_daily(
+    payload: object, code: str, today: date, count: int = BAR_COUNT
+) -> list[dict]:
+    """校验业务状态、证券归属、OHLC 与日期，返回按日期升序的最近若干根。
+
+    线上接口直接返回一维数组（倒序），旧版是 ``{code, message, details}`` 包装，
+    两种形式都支持。任一校验不通过即抛 ValueError，调用方放弃该标的当轮交易。
+    """
+    if type(count) is not int or count <= 0:
+        raise ValueError("日线数量必须为正整数")
+    if isinstance(payload, list):
+        rows = payload
+    elif isinstance(payload, dict):
+        if type(payload.get("code")) is not int or payload["code"] != 0:
+            raise ValueError(f"日线接口业务失败：{payload.get('message', '状态无效')}")
+        rows = payload.get("details")
+    else:
+        rows = None
+    if not isinstance(rows, list) or not rows:
+        raise ValueError(f"{code} 日线接口未返回有效数据列表")
+
+    bars: dict[str, dict] = {}
+    for row in rows:
+        if not isinstance(row, dict) or row.get("ts_code") != code:
+            raise ValueError(f"{code} 日线证券代码不一致")
+        stamp = str(row.get("trade_date", ""))
+        if not _STAMP_PATTERN.fullmatch(stamp):
+            raise ValueError(f"{code} 日线日期无效：{stamp}")
+        day = datetime.strptime(stamp, "%Y%m%d").date()
+        # 当前日及未来日线不得混入盘中指标，先过滤再截取最近 count 根。
+        if day >= today:
+            continue
+        if stamp in bars:
+            raise ValueError(f"{code} 日线日期重复：{stamp}")
+
+        values = {}
+        for name in _PRICE_FIELDS:
+            value = row.get(name)
+            if isinstance(value, bool) or not isinstance(value, (int, float, str)):
+                raise ValueError(f"{code} 日线 {name} 无效")
+            try:
+                number = float(value)
+            except ValueError as exc:
+                raise ValueError(f"{code} 日线 {name} 无效") from exc
+            if not math.isfinite(number) or number <= 0:
+                raise ValueError(f"{code} 日线 {name} 非有限正数")
+            values[name] = number
+        if not (
+            values["low"] <= values["open"] <= values["high"]
+            and values["low"] <= values["close"] <= values["high"]
+        ):
+            raise ValueError(f"{code} 日线 OHLC 关系异常")
+        bars[stamp] = dict(date=stamp, **values)
+    return [bars[stamp] for stamp in sorted(bars)[-count:]]
+
+
+def _api_endpoint(rt: Runtime) -> str:
+    """日线接口地址：拼接全局 api_host，未配置时用接口默认地址。"""
+    global_cfg = getattr(rt, "global_cfg", None)
+    host = str(getattr(global_cfg, "api_host", "") or "").strip().rstrip("/")
+    return f"{host}{DAILY_PATH}" if host else DAILY_URL
+
+
+def _reset_daily(today: date) -> None:
+    """跨交易日清空日线缓存，保证指标只基于当天可见的已收盘日线。
+
+    按标的逐个判断取数日期：失败重试记录带着自己的日期，即使还有标的当天
+    尚未取数成功也不会被清掉，重试窗口因此始终有效。
+    """
+    for code in [code for code, day in _fetched.items() if day != today]:
+        _daily_cache.pop(code, None)
+        _fetched.pop(code, None)
+    for code in [
+        code for code, retry_at in _retry_at.items() if retry_at.date() != today
+    ]:
+        _retry_at.pop(code, None)
+
+
+def _daily_bars(code: str, today: date, endpoint: str) -> list[dict] | None:
+    """取某个标的的日线：当日成功过就直接复用，失败则等重试间隔。"""
+    if _fetched.get(code) == today:
+        return _daily_cache.get(code)
+
+    now = datetime.now()
+    # 重试时刻在同一天内才生效；跨日后必须先重新取数。
+    retry_at = _retry_at.get(code)
+    if retry_at is not None and retry_at.date() == today and now < retry_at:
+        return None
+
+    try:
+        bars = daily_bars(_history_client_get(), code, today, endpoint=endpoint)
+    except (httpx.HTTPError, ValueError, OSError) as exc:
+        _retry_at[code] = now + timedelta(seconds=RETRY_SECONDS)
+        log.warning(
+            "[ETF日线] %s 获取失败，%d 秒后重试：%s", code, RETRY_SECONDS, exc
+        )
+        return None
+
+    _daily_cache[code] = bars
+    _fetched[code] = today
+    _retry_at.pop(code, None)
+    return bars
+
+
+def _history_client_get() -> httpx.Client:
+    """复用外部日线连接池；模块首次取数时才创建。"""
+    global _history_client
+    if _history_client is None:
+        _history_client = httpx.Client(timeout=HTTP_TIMEOUT)
+    return _history_client
+
+
+def reset_history_client() -> None:
+    """关闭并清空外部日线客户端，供进程退出或测试收尾调用。"""
+    global _history_client
+    if _history_client is not None:
+        _history_client.close()
+        _history_client = None

py-client/strategy/etf/state.py

@@ -1,65 +0,0 @@
-"""保存交易意图与网格基准；实际持仓始终以券商快照为准。"""
-
-from dataclasses import asdict, dataclass, field
-from pathlib import Path
-import json
-import math
-
-from libs.lockfile import replace_json
-
-
-@dataclass
-class SymbolState:
-    volume: int = 0
-    cost: float = 0.0
-    last_buy: float = 0.0
-    armed: bool = False
-    sell_grid: float = 0.0
-    peak: int = 0
-    pending: dict = field(default_factory=dict)
-
-    def reset_profit(self):
-        """持仓成本或数量改变后，不沿用上轮止盈峰值。"""
-        self.armed = False
-        self.sell_grid = 0.0
-        self.peak = 0
-
-
-class Store:
-    def __init__(self, path: Path, account: str):
-        self.path, self.account = path, account
-        self.symbols: dict[str, SymbolState] = {}
-        if path.exists():
-            try:
-                raw = json.loads(path.read_text(encoding='utf-8'))
-                if raw['version'] != 1 or raw['account'] != account:
-                    raise ValueError('版本或账户不一致')
-                for code, value in raw['symbols'].items():
-                    state = SymbolState(**value)
-                    if type(state.volume) is not int or state.volume < 0 or type(state.peak) is not int:
-                        raise ValueError('状态数量或峰值无效')
-                    if any(not math.isfinite(v) or v < 0 for v in (state.cost, state.last_buy, state.sell_grid)):
-                        raise ValueError('状态价格无效')
-                    if type(state.armed) is not bool or (state.armed and state.sell_grid <= 0):
-                        raise ValueError('止盈状态无效')
-                    if not isinstance(state.pending, dict):
-                        raise ValueError('委托状态无效')
-                    if state.pending:
-                        p = state.pending
-                        if (p['side'] not in ('BUY', 'SELL') or not p['id'].startswith('ETF-')
-                                or type(p['volume']) is not int or p['volume'] <= 0
-                                or (p['side'] == 'BUY' and p['volume'] > 1000)
-                                or type(p['base_volume']) is not int or p['base_volume'] < 0
-                                or not math.isfinite(p['reserved']) or p['reserved'] < 0):
-                            raise ValueError('待确认委托无效')
-                    self.symbols[code] = state
-            except (ValueError, KeyError, TypeError, AttributeError) as exc:
-                raise ValueError(f'ETF 状态损坏，禁止自动重建：{path}') from exc
-
-    def get(self, code: str) -> SymbolState:
-        return self.symbols.setdefault(code, SymbolState())
-
-    def save(self):
-        self.path.parent.mkdir(parents=True, exist_ok=True)
-        replace_json(self.path, dict(version=1, account=self.account,
-                                    symbols={k: asdict(v) for k, v in self.symbols.items()}))