add etf

py-client/strategy/etf/state.py

@@ -0,0 +1,65 @@
+"""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()}))