add etf

py-client/strategy/etf/boot.py

@@ -0,0 +1,67 @@
+"""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。"""
+
+from datetime import datetime, timedelta
+import hashlib
+import logging as log
+from pathlib import Path
+import time
+import httpx
+
+import config
+from libs.calc import trading_time
+from libs.snapshot import cache_portfolio
+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
+
+
+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
+        while True:
+            now = datetime.now()
+            if now.hour >= 15:
+                log.info('[ETF结束] 已到 15:00')
+                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)