add etf

py-client/README.md

@@ -62,6 +62,11 @@ ZT 轮次状态机（正T/反T）、Trend 采集任务与 Python 3.14 回归。
 修改前 18 项测试中 12 项失败，原因是模型仅有 `get_local_order_id` 属性，调用处却使用缺失的 `local_order_id`，存储层还将属性当方法调用。
 本次增加同一属性的兼容别名，并统一存储层属性访问，保留原属性名和 API 数据字段；这些是使既有撤单、成交对账测试恢复的接口修复。
 
+## ETF 自适应网格策略
+
+入口为 `strategy: etf`，标的和参数见 [`etc/etf.yaml`](etc/etf.yaml)，
+完整规则和启用步骤见 [`strategy/etf/README.md`](strategy/etf/README.md)。
+
 ## ZT 做 T 策略（2026-09 重构）
 
 ZT 已从"本地 SQLite 重算持仓 + base/added 分桶归档"改为**正T/反T 轮次状态机**：

py-client/config/__init__.py

@@ -60,6 +60,8 @@ class AccountConfig:
 
     # 当前账户启用的策略名称，例如 trend。
     strategy: str = ""
+    # 为空时读取 py-client/etc/etf.yaml；非空路径相对于账户配置目录。
+    etf_config_path: str = ""
 
 
 # load() 成功后保存已加载的配置，供策略模块直接读取。
@@ -132,6 +134,11 @@ def load(
     Path(global_config.qmt_data_dir).mkdir(parents=True, exist_ok=True)
 
     account_config = AccountConfig(**_account_values(root / account_file))
+    if account_config.etf_config_path:
+        etf_path = Path(account_config.etf_config_path)
+        account_config.etf_config_path = str(etf_path if etf_path.is_absolute() else root / etf_path)
+    elif account_config.strategy.strip().lower() == 'etf':
+        account_config.etf_config_path = str(root / 'etf.yaml')
     if account_config.buy_value <= 0 or account_config.grid_step_pct <= 0:
         raise ValueError("buy_value、grid_step_pct 必须大于 0")
     if type(account_config.zt_open_hands) is not int or account_config.zt_open_hands < 0:

py-client/etc/etf.yaml

@@ -0,0 +1,23 @@
+# 标的是示例白名单；仅在账户配置 strategy: etf 时启用。
+codes:
+  - "510300.SH"
+  - "159915.SZ"
+# 固定买入手数，每手 100 份；每只 ETF 总持仓硬上限 10 手。
+buy_hands: 1
+max_hands: 10
+# 60 日均线作为中轴；格距 = max(ATR×倍数, MA60×最小格距百分比, 0.001)。
+atr_period: 14
+atr_multiplier: 1.0
+boll_period: 20
+boll_std: 2.0
+min_grid_pct: 0.5
+# 复用 DipWatch：触及低位后，从观察低点反弹 0.61% 才买入。
+rebound_pct: 0.61
+watch_seconds: 600
+# 达到高位和最低利润要求后启动网格回撤止盈。
+min_profit_pct: 0.5
+# 用于资金预留及止盈费用门槛，按实际券商佣金调整。
+commission_rate: 0.0003
+min_commission: 5.0
+# 超过此秒数或缺少时间戳的行情不交易。
+max_tick_age_seconds: 90

py-client/libs/order.py

@@ -27,6 +27,8 @@ class PlaceOrderRequest:
     order_id: str
     strategy_name: str
     kind: str = ""
+    # ETF 使用 0.001 元精度的限价；未指定时保留原策略的最新价委托。
+    price: float | None = None
 
 
 class OrderBook:
@@ -129,12 +131,14 @@ class OrderBook:
             self.busy_cache.set(key, True, timeout=self.lock_timeout_sec)
 
         try:
+            price_args = {} if request.price is None else {"pr_type": 11, "price": request.price}
             result = client.passorder(
                 op_type=request.op,
                 stock_code=request.code,
                 volume=request.volume,
                 strategy_name=request.strategy_name,
                 order_id=request.order_id,
+                **price_args,
             )
         except APIError as exc:
             logging.exception(

py-client/main.py

@@ -37,6 +37,7 @@ from libs.market import refresh_market
 from libs.collector import submit_trend_data
 from strategy.trend.boot import StartTrend
 from strategy.zt.boot import StartZT
+from strategy.etf.boot import StartETF
 from strategy.ipo import AutoBuyIpo
 
 @dataclass(slots=True)
@@ -48,6 +49,7 @@ class StrategyDefinition:
 STRATEGIES = {
     "trend": StrategyDefinition("Trend", StartTrend),
     "zt": StrategyDefinition("ZT", StartZT),
+    "etf": StrategyDefinition("ETF", StartETF),
 }
 
 def require_windows() -> bool:

py-client/strategy/etf/README.md

@@ -0,0 +1,131 @@
+# 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

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

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)

py-client/strategy/etf/config.py

@@ -0,0 +1,59 @@
+"""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

@@ -0,0 +1,55 @@
+"""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://go.apinb.com/a/get_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

@@ -0,0 +1,202 @@
+"""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

@@ -0,0 +1,55 @@
+"""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/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()}))

py-client/tests/test_etf.py

@@ -0,0 +1,329 @@
+"""ETF 离线回归：指标、真实防飞刀/网格算法、限仓、回报和持久化。"""
+
+from datetime import date, datetime, timedelta
+import httpx
+from pathlib import Path
+import tempfile
+import unittest
+from unittest.mock import Mock
+
+from sdk import Assets, OrderItem, Portfolio, PositionItem, Tick
+from strategy.etf.config import ETFConfig, load
+from strategy.etf.data import DAILY_URL, daily_bars, parse_daily
+from strategy.etf.engine import Engine
+from strategy.etf.indicators import Indicators, calculate
+from strategy.etf.state import Store
+
+
+CODE, OTHER = '510300.SH', '159915.SZ'
+NOW = datetime(2026, 9, 16, 10)
+IND = Indicators('20260915', 10, 0.2, 9.5, 10, 10.5, 0.2)
+
+
+def tick(price, now=NOW):
+    return Tick(price, raw={'timetag': now.strftime('%Y%m%d %H:%M:%S')})
+
+
+def position(volume=0, cost=0, available=None):
+    return PositionItem(stock_code=CODE, volume=volume, open_price=cost,
+                        can_use_volume=volume if available is None else available)
+
+
+class ETFTests(unittest.TestCase):
+    def setUp(self):
+        temp = tempfile.TemporaryDirectory()
+        self.addCleanup(temp.cleanup)
+        self.path = Path(temp.name) / 'state.json'
+        self.client = Mock()
+        self.client.passorder.return_value = {'status': 'success'}
+        self.cfg = ETFConfig(codes=(CODE,), min_commission=0, commission_rate=0)
+        self.store = Store(self.path, 'test')
+        self.engine = Engine(self.client, self.cfg, self.store, 0.1)
+
+    def run_price(self, price, pos=None, orders=(), cash=10000, now=NOW, ind=IND):
+        portfolio = Portfolio(Assets(total=10000, available=cash), {CODE: pos or position()}, list(orders))
+        self.engine.run(portfolio, {CODE: tick(price, now)}, {CODE: ind}, now)
+
+    def buy(self):
+        self.run_price(9.4)
+        self.run_price(9.46)
+        self.client.passorder.assert_called_once()
+
+    def report(self, status=56, filled=100, side=23, price=9.46):
+        pending = self.store.get(CODE).pending
+        return OrderItem(stock_code=CODE, remark=pending['id'] + '|etf', offset_flag=side,
+                         volume_traded=filled, volume_total_original=pending['volume'],
+                         traded_price=price, order_status=status)
+
+    def test_boll_lower_requires_rebound_and_uses_fixed_limit_order(self):
+        self.run_price(9.8)
+        self.run_price(9.4)
+        self.run_price(9.3)
+        self.run_price(9.35)
+        self.client.passorder.assert_not_called()
+        self.run_price(9.36)
+        request = self.client.passorder.call_args.kwargs
+        self.assertEqual((request['volume'], request['price'], request['pr_type']), (100, 9.36, 11))
+        self.assertEqual(request['strategy_name'], 'etf')
+        self.assertTrue(self.store.get(CODE).pending)
+
+    def test_pending_written_before_network_and_retained_after_timeout(self):
+        def submit(**kwargs):
+            saved = Store(self.path, 'test').get(CODE).pending
+            self.assertEqual(saved['id'], kwargs['order_id'])
+            raise TimeoutError('unknown result')
+        self.client.passorder.side_effect = submit
+        self.run_price(9.4)
+        with self.assertLogs(level='ERROR'):
+            self.run_price(9.46)
+        self.engine = Engine(self.client, self.cfg, Store(self.path, 'test'), 0.1)
+        with self.assertLogs(level='WARNING'):
+            self.run_price(9.3, now=NOW + timedelta(minutes=10))
+        self.client.passorder.assert_called_once()
+
+    def test_filled_order_waits_for_position_snapshot(self):
+        self.buy()
+        report = self.report()
+        with self.assertLogs(level='WARNING'):
+            self.run_price(9.2, orders=[report])
+        self.assertTrue(self.store.get(CODE).pending)
+        self.run_price(9.2, position(100, 9.46, 0), [report])
+        self.assertFalse(self.store.get(CODE).pending)
+        self.assertEqual(self.store.get(CODE).last_buy, 9.46)
+        self.client.passorder.assert_called_once()
+
+    def test_add_requires_another_grid_below_actual_fill(self):
+        self.buy()
+        report = self.report()
+        pos = position(100, 9.46, 0)
+        self.run_price(9.4, pos, [report])
+        self.run_price(9.46, pos)
+        self.client.passorder.assert_called_once()
+        self.run_price(9.1, pos)
+        self.run_price(9.16, pos)
+        self.assertEqual(self.client.passorder.call_count, 2)
+
+    def test_partial_cancel_records_actual_fill_and_never_exceeds_cap(self):
+        self.cfg = ETFConfig(codes=(CODE,), buy_hands=2, min_commission=0, commission_rate=0)
+        self.engine = Engine(self.client, self.cfg, self.store, 0.1)
+        pos = position(800, 10)
+        self.run_price(9.4, pos)
+        self.run_price(9.46, pos)
+        report = self.report(status=53, filled=100)
+        self.run_price(9.1, position(900, 9.94), [report])
+        self.run_price(9.16, position(900, 9.94))
+        self.client.passorder.assert_called_once()
+        self.assertFalse(self.store.get(CODE).pending)
+
+    def test_full_position_blocks_buy_and_zero_position_is_not_a_warning(self):
+        self.run_price(9.4, position(1000, 10))
+        self.run_price(9.46, position(1000, 10))
+        self.client.passorder.assert_not_called()
+        with self.assertNoLogs(level='WARNING'):
+            self.run_price(9.8, position())
+
+    def test_zero_position_with_retained_broker_cost_can_reopen(self):
+        self.run_price(9.4, position(0, 10))
+        self.run_price(9.46, position(0, 10))
+        self.client.passorder.assert_called_once()
+
+    def test_rejected_order_is_logged_and_does_not_advance_anchor(self):
+        self.buy()
+        report = self.report(status=57, filled=0)
+        self.run_price(9.8, orders=[report])
+        self.assertEqual(self.store.get(CODE).last_buy, 0)
+        self.assertFalse(self.store.get(CODE).pending)
+
+    def test_t_plus_one_tracks_peak_but_only_sells_available_whole_lots(self):
+        self.run_price(10.7, position(200, 10, 0))
+        self.run_price(10.55, position(200, 10, 0))
+        self.client.passorder.assert_not_called()
+        self.engine = Engine(self.client, self.cfg, Store(self.path, 'test'), 0.1)
+        self.run_price(10.55, position(200, 10, 100))
+        order = self.client.passorder.call_args.kwargs
+        self.assertEqual((order['op_type'], order['volume']), (24, 100))
+
+    def test_drop_below_activation_price_still_triggers_profitable_retreat(self):
+        self.run_price(10.7, position(100, 10))
+        self.run_price(10.4, position(100, 10))
+        self.assertEqual(self.client.passorder.call_args.kwargs['op_type'], 24)
+
+    def test_cost_change_and_flat_position_reset_peak(self):
+        self.run_price(10.7, position(100, 10))
+        self.assertTrue(self.store.get(CODE).armed)
+        self.run_price(10.5, position(200, 10.4))
+        self.assertFalse(self.store.get(CODE).armed)
+        self.run_price(9.8, position())
+        self.assertEqual(self.store.get(CODE).last_buy, 0)
+        self.client.passorder.assert_not_called()
+
+    def test_fee_floor_prevents_loss_after_commission(self):
+        cfg = ETFConfig(codes=(CODE,), min_commission=50, commission_rate=0)
+        self.engine = Engine(self.client, cfg, self.store, 0.1)
+        self.run_price(10.7, position(100, 10))
+        self.run_price(10.55, position(100, 10))
+        self.client.passorder.assert_not_called()
+
+    def test_cash_reserve_and_fixed_lot_no_downsizing(self):
+        self.run_price(9.4, cash=1900)
+        self.run_price(9.46, cash=1900)
+        self.client.passorder.assert_not_called()
+
+    def test_multiple_symbols_share_one_cash_budget(self):
+        cfg = ETFConfig(codes=(CODE, OTHER), min_commission=0, commission_rate=0)
+        self.engine = Engine(self.client, cfg, self.store, 0.1)
+        portfolio = Portfolio(Assets(total=10000, available=2500), {}, [])
+        for price in (9.4, 9.46):
+            self.engine.run(portfolio, {c: tick(price) for c in cfg.codes}, {c: IND for c in cfg.codes}, NOW)
+        self.client.passorder.assert_called_once()
+
+    def test_other_strategy_order_blocks_same_symbol_without_cancel(self):
+        report = OrderItem(stock_code=CODE, remark='TREN-BUY-other', offset_flag=23,
+                           order_status=50, insert_date='20260916', insert_time='093000')
+        self.run_price(9.4, orders=[report])
+        self.run_price(9.46, orders=[report])
+        self.client.passorder.assert_not_called()
+        self.client.cancel_by_id.assert_not_called()
+
+    def test_pending_later_symbol_reserves_cash_before_first_symbol(self):
+        cfg = ETFConfig(codes=(CODE, OTHER), min_commission=0, commission_rate=0)
+        self.store.get(OTHER).pending = dict(id='ETF-BUY-pending', side='BUY', volume=100,
+                                           base_volume=0, reserved=950)
+        self.engine = Engine(self.client, cfg, self.store, 0.1)
+        portfolio = Portfolio(Assets(total=10000, available=2500), {}, [])
+        with self.assertLogs(level='WARNING'):
+            for price in (9.4, 9.46):
+                self.engine.run(portfolio, {CODE: tick(price)}, {CODE: IND}, NOW)
+        self.client.passorder.assert_not_called()
+
+    def test_on_road_or_unknown_order_never_opens_another_buy(self):
+        pos = position()
+        pos.on_road_volume = 100
+        self.run_price(9.4, pos)
+        self.run_price(9.46, pos)
+        unknown = OrderItem(stock_code=CODE, order_status=255)
+        self.run_price(9.4, orders=[unknown])
+        self.run_price(9.46, orders=[unknown])
+        self.client.passorder.assert_not_called()
+
+    def test_excluded_symbol_is_neither_bought_nor_sold(self):
+        self.engine.excluded.add(CODE)
+        self.run_price(9.4)
+        self.run_price(9.46)
+        self.run_price(10.7, position(100, 10))
+        self.run_price(10.55, position(100, 10))
+        self.client.passorder.assert_not_called()
+
+    def test_invalid_or_stale_tick_cannot_trade(self):
+        for t in (None, Tick(10), tick(float('nan')), tick(9.4, NOW - timedelta(days=1)),
+                  tick(9.4, NOW - timedelta(seconds=91))):
+            self.assertFalse(self.engine.fresh_tick(t, NOW))
+        self.assertTrue(self.engine.fresh_tick(tick(9.4), NOW))
+
+    def test_corrupt_state_does_not_silently_start_empty(self):
+        self.path.write_text('{', encoding='utf-8')
+        with self.assertRaises(ValueError):
+            Store(self.path, 'test')
+
+
+class IndicatorTests(unittest.TestCase):
+    def bars(self):
+        days = []
+        day = date(2026, 9, 15)
+        while len(days) < 80:
+            if day.weekday() < 5:
+                days.append(day)
+            day -= timedelta(days=1)
+        return [dict(date=d.strftime('%Y%m%d'), high=11, low=9, close=10) for d in reversed(days)]
+
+    def test_known_constant_series_and_exclusion_of_unfinished_day(self):
+        cfg = ETFConfig(codes=(CODE,))
+        rows = self.bars() + [dict(date='20260916', high=999, low=1, close=999)]
+        ind = calculate(rows, NOW.date(), cfg)
+        self.assertEqual((ind.ma60, ind.atr, ind.lower, ind.upper, ind.grid), (10, 2, 10, 10, 2))
+
+    def test_atr_accounts_for_gap_and_uses_wilder_smoothing(self):
+        rows = self.bars()
+        rows[-1].update(high=14, low=12, close=13)
+        ind = calculate(rows, NOW.date(), ETFConfig(codes=(CODE,)))
+        self.assertAlmostEqual(ind.atr, (2 * 13 + 4) / 14)
+        self.assertAlmostEqual(ind.ma60, 10.05)
+        self.assertGreater(ind.upper, ind.middle)
+
+    def test_bad_or_insufficient_history_is_rejected(self):
+        cfg = ETFConfig(codes=(CODE,))
+        for rows in (self.bars()[:59], self.bars() + [self.bars()[-1]],
+                     self.bars()[:-1] + [dict(self.bars()[-1], close=float('nan'))]):
+            with self.assertRaises(ValueError):
+                calculate(rows, NOW.date(), cfg)
+
+    def test_grid_floor_and_tick_rounding(self):
+        rows = [dict(row, high=10.001, low=9.999) for row in self.bars()]
+        ind = calculate(rows, NOW.date(), ETFConfig(codes=(CODE,), min_grid_pct=0.501))
+        self.assertEqual(ind.grid, 0.051)
+
+
+class ConfigAndDataTests(unittest.TestCase):
+    def test_config_rejects_excess_hands_and_invalid_codes(self):
+        for kwargs in ({'max_hands': 11}, {'buy_hands': 11}, {'buy_hands': True},
+                       {'atr_multiplier': float('nan')}, {'codes': ('920202.BJ',)},
+                       {'codes': (CODE, CODE)}, {'codes': ()}):
+            with self.assertRaises(ValueError):
+                ETFConfig(**dict({'codes': (CODE,)}, **kwargs))
+
+    def test_default_file_loads(self):
+        cfg = load()
+        self.assertEqual((cfg.buy_hands, cfg.max_hands), (1, 10))
+
+
+
+class DailyDataTests(unittest.TestCase):
+    def row(self, day=20260915, **changes):
+        return dict(dict(ts_code=CODE, trade_date=day, open=10, high=11, low=9, close=10), **changes)
+
+    def test_request_and_sample_shape(self):
+        def respond(request):
+            self.assertEqual(str(request.url), DAILY_URL + '?code=' + CODE)
+            self.assertNotIn('x-token', request.headers)
+            return httpx.Response(200, json={'code': 0, 'message': '', 'details': [self.row()]})
+        with httpx.Client(transport=httpx.MockTransport(respond)) as client:
+            self.assertEqual(daily_bars(client, CODE, NOW.date()),
+                             [dict(date='20260915', open=10.0, high=11.0, low=9.0, close=10.0)])
+
+    def test_sort_filter_then_limit_and_numeric_strings(self):
+        payload = dict(code=0, details=[self.row(20260916), self.row(20260915, close='10.5'),
+                                        self.row(20260914), self.row(20260917)])
+        bars = parse_daily(payload, CODE, NOW.date(), count=1)
+        self.assertEqual([b['date'] for b in bars], ['20260915'])
+        self.assertEqual(bars[0]['close'], 10.5)
+
+    def test_http_error_and_invalid_json_propagate(self):
+        for status, content in ((404, '{}'), (200, '<html>error</html>')):
+            with httpx.Client(transport=httpx.MockTransport(
+                    lambda r: httpx.Response(status, text=content))) as client:
+                with self.assertRaises((httpx.HTTPStatusError, ValueError)):
+                    daily_bars(client, CODE, NOW.date())
+
+    def test_bad_business_response_is_rejected(self):
+        for payload in (None, [], {}, {'code': False, 'details': [self.row()]},
+                        {'code': 1, 'message': 'failed'}, {'code': 0, 'details': []},
+                        {'code': 0, 'details': {}}, {'code': 0, 'details': None}):
+            with self.subTest(payload=payload), self.assertRaises(ValueError):
+                parse_daily(payload, CODE, NOW.date())
+
+    def test_wrong_symbol_duplicate_dates_and_invalid_ohlc_are_rejected(self):
+        for rows in ([self.row(ts_code=OTHER)], [self.row(), self.row()],
+                     [self.row(20260230)], [self.row(close=float('nan'))],
+                     [self.row(open=True)], [self.row(low=12)], [self.row(close=None)]):
+            with self.subTest(rows=rows), self.assertRaises(ValueError):
+                parse_daily(dict(code=0, details=rows), CODE, NOW.date())
+
+    def test_external_history_flows_into_real_indicators(self):
+        details = [self.row(int(row['date'])) for row in IndicatorTests().bars()]
+        rows = parse_daily(dict(code=0, details=details), CODE, NOW.date())
+        ind = calculate(rows, NOW.date(), ETFConfig(codes=(CODE,)))
+        self.assertEqual((ind.ma60, ind.atr, ind.grid), (10, 2, 2))
+
+
+if __name__ == '__main__':
+    unittest.main()