feat

py-client/strategy/trend/order.py

@@ -0,0 +1,148 @@
+"""趋势策略委托簿，对应 Go 客户端的 ``logic/order.go``。"""
+
+from __future__ import annotations
+
+import secrets
+from dataclasses import dataclass
+from datetime import datetime, timedelta
+from threading import Lock
+from typing import Any
+
+# QMT 开平方向字段到本地买卖方向的映射。
+OFFSET_FLAG = {"23": "BUY", "24": "SELL", "48": "BUY", "49": "SELL"}
+
+# 表示委托仍在处理、可能继续成交的 QMT 状态。
+BUSY_STATUSES = {"48", "49", "50", "51", "52", "55"}
+
+
+@dataclass(frozen=True)
+class PlaceOrderRequest:
+    """``OrderBook.place`` 提交委托所需的全部参数。"""
+
+    client: Any
+    op: int
+    code: str
+    volume: int
+    order_id: str
+
+
+@dataclass
+class OrderItem:
+    """从 QMT 委托明细转换得到的本地订单记录。"""
+
+    id: str
+    code: str
+    side: str
+    remark: str
+    status: str
+    created_at: datetime | None
+    volume: int
+
+
+class OrderBook:
+    """线程安全的活动委托缓存。"""
+
+    def __init__(self, timeout_seconds: float = 300) -> None:
+        self.timeout = timedelta(seconds=timeout_seconds)
+        self.data: dict[str, OrderItem] = {}
+        self.index: list[str] = []
+        self.lock = Lock()
+
+    @staticmethod
+    def new_order_id(leg: str) -> str:
+        """生成不超过 24 个字符的策略订单号。"""
+        return f"zt-{leg}-{secrets.token_hex(6)}"[:24]
+
+    def is_lock(self, side: str, code: str) -> bool:
+        """判断证券在指定买卖方向上是否已经被委托锁定。"""
+        with self.lock:
+            return f"{side}-{code}" in self.index
+
+    def busy(self, code: str, side: str) -> bool:
+        """判断证券是否存在仍在处理中的同方向委托。"""
+        with self.lock:
+            order = self.data.get(f"{side}-{code}")
+            return bool(order and order.status in BUSY_STATUSES)
+
+    def refresh(self, client: Any) -> None:
+        """从 QMT 刷新当前委托明细和方向索引。"""
+        parsed_orders = [
+            parse_order(row) for row in client.trade_detail_data("order")
+        ]
+        with self.lock:
+            self.data = {key: item for key, item in parsed_orders}
+            self.index = [key for key, _ in parsed_orders]
+
+    def cancel_expired(self, client: Any, now: datetime | None = None) -> None:
+        """尝试撤销超过有效期且具有委托编号的订单。"""
+        self.refresh(client)
+        current = now or datetime.now()
+
+        # 使用快照遍历，避免网络调用期间长期持有互斥锁。
+        for order in list(self.data.values()):
+            if (
+                order.created_at is not None
+                and current - order.created_at > self.timeout
+                and order.id
+            ):
+                client.can_cancel_order(order.id)
+
+    def place(self, request: PlaceOrderRequest) -> bool:
+        """按最新价提交委托，并立即写入本地方向锁。"""
+        request.client.passorder_latest_tagged(
+            request.op,
+            request.code,
+            request.volume,
+            request.order_id,
+        )
+
+        side = OFFSET_FLAG.get(str(request.op), "")
+        with self.lock:
+            self.index.append(f"{side}-{request.code}")
+        return True
+
+
+def parse_order(row: dict[str, Any]) -> tuple[str, OrderItem]:
+    """把 QMT 原始委托字段转换为本地订单及其索引键。"""
+    volume = _as_int(row.get("m_nVolumeTotal")) + _as_int(
+        row.get("m_nVolumeTraded")
+    )
+
+    timestamp = _as_int(row.get("m_nOrderTime"))
+    if timestamp > 100_000_000_000:
+        # QMT 某些版本返回毫秒时间戳。
+        timestamp /= 1000
+    created_at = (
+        datetime.fromtimestamp(timestamp)
+        if timestamp
+        else _parse_insert_datetime(row)
+    )
+
+    item = OrderItem(
+        id=str(row.get("m_strOrderSysID") or ""),
+        code=str(row.get("m_strInstrumentID") or ""),
+        side=OFFSET_FLAG.get(str(row.get("m_nOffsetFlag")), ""),
+        remark=str(row.get("m_strRemark") or ""),
+        status=str(row.get("m_nOrderStatus") or ""),
+        created_at=created_at,
+        volume=volume,
+    )
+    return f"{item.side}-{item.code}", item
+
+
+def _as_int(value: Any) -> int:
+    """安全转换整数，无效值按 0 处理。"""
+    try:
+        return int(value or 0)
+    except (TypeError, ValueError):
+        return 0
+
+
+def _parse_insert_datetime(row: dict[str, Any]) -> datetime | None:
+    """使用委托日期和时间字段构造本地时间。"""
+    date = str(row.get("m_strInsertDate") or "")
+    clock = str(row.get("m_strInsertTime") or "").replace(":", "").zfill(6)
+    try:
+        return datetime.strptime(date + clock, "%Y%m%d%H%M%S")
+    except ValueError:
+        return None