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