"""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)