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317
py-client/strategy/etf/signal.py
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317
py-client/strategy/etf/signal.py
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"""ETF 信号层：把 ``_etf.yaml`` 的白名单展开为可交易的信号列表。
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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``
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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），
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只使用已收盘日线，见 ``calculate`` 的校验。
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"""
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from datetime import date, datetime, timedelta
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from decimal import ROUND_CEILING, Decimal
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import logging as log
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import math
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import re
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from statistics import fmean
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import httpx
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from config import HTTP_TIMEOUT, EtfSymbolConfig
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from libs.runtime import Runtime
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from libs.signal import SignalItem
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# 外部日线接口：只接受单个 code，无复权价；不发送 QMT 认证信息。
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DAILY_PATH = "/etf/daily"
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DAILY_URL = "http://139.224.247.176:13499/etf/daily"
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# 取数失败后的重试间隔，避免接口故障时每轮都打满请求。
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RETRY_SECONDS = 300
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# 只保留最近的样本；需要 60 根 MA60、61 根 ATR14。
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BAR_COUNT = 120
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# 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。
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MIN_BARS = 61
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# MA60 是网的顶部上限，周期固定为 60 个交易日。
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MA_PERIOD = 60
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# 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。
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MAX_BAR_AGE_DAYS = 15
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# tech_indicator 的键：带 etf_ 前缀，避免与其它策略的信号字段混用。
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IND_MA60 = "etf_ma60"
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IND_ATR = "etf_atr"
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IND_CHANNEL_LOW = "etf_channel_low"
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IND_CHANNEL_HIGH = "etf_channel_high"
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IND_ENTRY = "etf_entry"
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IND_GRID = "etf_grid"
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IND_GRID_PCT = "etf_grid_pct"
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IND_ADD_PRICE = "etf_add_price"
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IND_PRICE = "etf_price"
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_STAMP_PATTERN = re.compile(r"[0-9]{8}")
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_PRICE_FIELDS = ("open", "high", "low", "close")
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# 行情客户端按需创建：模块只做信号生成，不持有 QMT 客户端。
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_history_client: httpx.Client | None = None
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# 每标的每日只取一次；失败标的按 RETRY_SECONDS 重试。
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_daily_cache: dict[str, list[dict]] = {}
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_fetched: dict[str, date] = {}
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_retry_at: dict[str, datetime] = {}
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def gen_signals(rt: Runtime) -> list[SignalItem]:
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"""从 ``_etf.yaml`` 白名单生成信号列表，顺序即资金优先级。
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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，
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不允许退化使用旧数据，也不允许替换成别的证券。返回的
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``SignalItem.tech_indicator`` 携带引擎需要的全部已收盘指标。
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"""
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etf_cfg = getattr(rt, "etf_cfg", None)
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if etf_cfg is None:
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log.error("[ETF信号] 缺少 _etf.yaml 配置，本轮无可交易标的")
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return []
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today = datetime.now().date()
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_reset_daily(today)
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endpoint = _api_endpoint(rt)
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cfg = etf_cfg.defaults
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signals: list[SignalItem] = []
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for code in etf_cfg.codes:
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try:
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symbol = etf_cfg.symbols[code]
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bars = _daily_bars(code, today, endpoint)
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if not bars:
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continue
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indicators = calculate(bars, symbol, cfg, today)
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except Exception as exc:
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log.warning("[ETF信号] %s 跳过：%s", code, exc)
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continue
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signals.append(
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SignalItem(
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signal_key=etf_cfg_key(rt),
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code=code,
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name=code,
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desc=f"ETF网格 档位={symbol.buy_shares}股 上限={symbol.max_shares}股",
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last_close=indicators[IND_PRICE],
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tech_indicator=indicators,
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)
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)
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if signals:
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log.info(
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"[ETF信号] 生成完毕，可交易=%d/%d，来源=%s",
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len(signals),
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len(etf_cfg.codes),
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endpoint,
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)
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else:
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log.warning("[ETF信号] 本轮没有可用信号，白名单=%d", len(etf_cfg.codes))
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return signals
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def etf_cfg_key(rt: Runtime) -> str:
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"""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。"""
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strategy = str(getattr(rt.account_cfg, "strategy", "") or "").strip().lower()
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return strategy or "etf"
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def calculate(
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bars: list[dict], symbol: EtfSymbolConfig, defaults, today: date
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) -> dict[str, float]:
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"""用已收盘日线算出引擎需要的全部指标。
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ATR 走 Wilder 平滑；格距向上取整到 0.001 元（ETF 最小报价单位）。
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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。
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"""
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if len(bars) < MIN_BARS:
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raise ValueError(f"已收盘日线不足 {MIN_BARS} 根")
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ordered = sorted(bars, key=lambda bar: bar["date"])
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last_day = datetime.strptime(ordered[-1]["date"], "%Y%m%d").date()
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# 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。
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if (today - last_day).days > MAX_BAR_AGE_DAYS:
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raise ValueError(
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f"最近日线 {ordered[-1]['date']} 超过 {MAX_BAR_AGE_DAYS} 个自然日"
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)
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period = defaults.atr_period
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if type(period) is not int or period < 2:
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raise ValueError("atr_period 必须是大于 1 的整数")
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closes = [float(bar["close"]) for bar in ordered]
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highs = [float(bar["high"]) for bar in ordered]
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lows = [float(bar["low"]) for bar in ordered]
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ranges = [
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max(high - low, abs(high - closes[index - 1]), abs(low - closes[index - 1]))
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for index, (high, low) in enumerate(zip(highs, lows))
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if index > 0
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]
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if len(ranges) < period:
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raise ValueError(f"日线不足 {period + 1} 根，无法计算 ATR")
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atr = fmean(ranges[:period])
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for value in ranges[period:]:
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atr = (atr * (period - 1) + value) / period
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window = int(defaults.channel_period)
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if len(highs) < max(window, MA_PERIOD):
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raise ValueError(f"日线不足 {max(window, MA_PERIOD)} 根，无法计算通道或 MA60")
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ma60 = fmean(closes[-MA_PERIOD:])
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channel_low = min(lows[-window:])
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channel_high = max(highs[-window:])
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# 入场门槛 = min(距区间下沿 channel_pct% 的价位, MA60)：不在均线上方建网。
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entry = min(
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channel_low + (channel_high - channel_low) * defaults.channel_pct / 100, ma60
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)
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# 格距 = max(ATR × 倍数, MA60 × 格距下限百分比, 0.001)，向上取整到 0.001 元。
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raw_grid = max(atr * symbol.atr_multiplier, ma60 * defaults.min_grid_pct / 100, 0.001)
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grid = float(Decimal(str(raw_grid)).quantize(Decimal("0.001"), rounding=ROUND_CEILING))
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values = (ma60, atr, channel_low, channel_high, entry, grid, closes[-1])
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if not all(math.isfinite(value) and value > 0 for value in values):
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raise ValueError("指标存在非有限正数")
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if grid <= 0:
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raise ValueError("格距非正数")
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return {
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IND_MA60: ma60,
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IND_ATR: atr,
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IND_CHANNEL_LOW: channel_low,
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IND_CHANNEL_HIGH: channel_high,
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IND_ENTRY: entry,
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IND_GRID: grid,
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IND_GRID_PCT: grid / closes[-1] * 100,
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IND_ADD_PRICE: closes[-1] * (1 - defaults.add_pct / 100),
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IND_PRICE: closes[-1],
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}
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def daily_bars(
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client: httpx.Client,
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code: str,
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today: date,
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count: int = BAR_COUNT,
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endpoint: str = DAILY_URL,
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) -> list[dict]:
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"""读取指定证券日线；窗口截取在本地完成（接口只支持单 code）。"""
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response = client.get(endpoint, params={"code": code})
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response.raise_for_status()
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return parse_daily(response.json(), code, today, count)
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def parse_daily(
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payload: object, code: str, today: date, count: int = BAR_COUNT
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) -> list[dict]:
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"""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。
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线上接口直接返回一维数组（倒序），旧版是 ``{code, message, details}`` 包装，
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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。
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"""
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if type(count) is not int or count <= 0:
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raise ValueError("日线数量必须为正整数")
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if isinstance(payload, list):
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rows = payload
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elif isinstance(payload, dict):
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if type(payload.get("code")) is not int or payload["code"] != 0:
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raise ValueError(f"日线接口业务失败：{payload.get('message', '状态无效')}")
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rows = payload.get("details")
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else:
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rows = None
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if not isinstance(rows, list) or not rows:
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raise ValueError(f"{code} 日线接口未返回有效数据列表")
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bars: dict[str, dict] = {}
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for row in rows:
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if not isinstance(row, dict) or row.get("ts_code") != code:
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raise ValueError(f"{code} 日线证券代码不一致")
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stamp = str(row.get("trade_date", ""))
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if not _STAMP_PATTERN.fullmatch(stamp):
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raise ValueError(f"{code} 日线日期无效：{stamp}")
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day = datetime.strptime(stamp, "%Y%m%d").date()
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# 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。
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if day >= today:
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continue
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if stamp in bars:
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raise ValueError(f"{code} 日线日期重复：{stamp}")
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values = {}
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for name in _PRICE_FIELDS:
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value = row.get(name)
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if isinstance(value, bool) or not isinstance(value, (int, float, str)):
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raise ValueError(f"{code} 日线 {name} 无效")
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try:
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number = float(value)
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except ValueError as exc:
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raise ValueError(f"{code} 日线 {name} 无效") from exc
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if not math.isfinite(number) or number <= 0:
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raise ValueError(f"{code} 日线 {name} 非有限正数")
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values[name] = number
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if not (
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values["low"] <= values["open"] <= values["high"]
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and values["low"] <= values["close"] <= values["high"]
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):
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raise ValueError(f"{code} 日线 OHLC 关系异常")
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bars[stamp] = dict(date=stamp, **values)
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return [bars[stamp] for stamp in sorted(bars)[-count:]]
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def _api_endpoint(rt: Runtime) -> str:
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"""日线接口地址：拼接全局 api_host，未配置时用接口默认地址。"""
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global_cfg = getattr(rt, "global_cfg", None)
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host = str(getattr(global_cfg, "api_host", "") or "").strip().rstrip("/")
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return f"{host}{DAILY_PATH}" if host else DAILY_URL
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def _reset_daily(today: date) -> None:
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"""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。
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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
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尚未取数成功也不会被清掉，重试窗口因此始终有效。
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"""
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for code in [code for code, day in _fetched.items() if day != today]:
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_daily_cache.pop(code, None)
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_fetched.pop(code, None)
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for code in [
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code for code, retry_at in _retry_at.items() if retry_at.date() != today
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]:
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_retry_at.pop(code, None)
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def _daily_bars(code: str, today: date, endpoint: str) -> list[dict] | None:
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"""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。"""
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if _fetched.get(code) == today:
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return _daily_cache.get(code)
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now = datetime.now()
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# 重试时刻在同一天内才生效；跨日后必须先重新取数。
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retry_at = _retry_at.get(code)
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if retry_at is not None and retry_at.date() == today and now < retry_at:
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return None
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try:
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bars = daily_bars(_history_client_get(), code, today, endpoint=endpoint)
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except (httpx.HTTPError, ValueError, OSError) as exc:
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_retry_at[code] = now + timedelta(seconds=RETRY_SECONDS)
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log.warning(
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"[ETF日线] %s 获取失败，%d 秒后重试：%s", code, RETRY_SECONDS, exc
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)
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return None
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_daily_cache[code] = bars
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_fetched[code] = today
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_retry_at.pop(code, None)
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return bars
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def _history_client_get() -> httpx.Client:
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"""复用外部日线连接池；模块首次取数时才创建。"""
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global _history_client
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if _history_client is None:
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_history_client = httpx.Client(timeout=HTTP_TIMEOUT)
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return _history_client
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def reset_history_client() -> None:
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"""关闭并清空外部日线客户端，供进程退出或测试收尾调用。"""
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global _history_client
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if _history_client is not None:
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_history_client.close()
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_history_client = None
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