"""趋势策略持仓状态的内存管理与 JSON 持久化。""" from __future__ import annotations import json from dataclasses import asdict, dataclass from pathlib import Path from threading import Lock from typing import Iterable from sdk import OrderItem, PositionItem # 委托状态:无操作、处理中、已完成。 STATUS_NONE = "" STATUS_ING = "ING" STATUS_OK = "OK" STATUS_FAILED = "FAILED" STATUS_CANCELED = "CANCELED" STATUS_UNKNOWN = "UNKNOWN" @dataclass(slots=True) class StateItem: """单只证券的底仓和补仓状态。""" # 证券代码。 code: str # 底仓订单、数量、成本和处理状态。 base_order_id: str = "" base_qty: int = 0 base_cost: float = 0.0 base_status: str = STATUS_NONE # 补仓订单、补仓次数、数量、成本和处理状态。 added_order_id: str = "" added_num: int = 0 added_qty: int = 0 added_cost: float = 0.0 added_status: str = STATUS_NONE class State: """线程安全的策略状态存储。 状态以内存字典提供快速访问,并通过临时文件替换的方式写入 JSON, 防止程序在写入过程中退出而破坏原状态文件。 """ def __init__(self, path: str | Path) -> None: self.path = Path(path) self.lock = Lock() self.items = self._load() @classmethod def for_strategy( cls, data_dir: str | Path, strategy: str, account_id: str, ) -> "State": """根据数据目录、策略名称和账户生成独立状态文件。""" state_path = Path(data_dir) / f"{strategy}_{account_id}_state.json" return cls(state_path) @property def codes(self) -> list[str]: """返回当前已经接管的全部证券代码快照。""" with self.lock: return list(self.items) @property def unresolved_codes(self) -> list[str]: """返回存在处理中或未知订单状态的证券代码快照。""" with self.lock: return [ code for code, item in self.items.items() if _has_unresolved_order(item) ] def get(self, code: str) -> StateItem: """获取指定证券的状态;不存在时抛出 KeyError。""" with self.lock: return self.items[code] def set(self, item: StateItem) -> None: """新增或覆盖一只证券的状态。""" with self.lock: self.items[item.code] = item def delete(self, code: str) -> bool: """删除已终结的证券状态,并返回是否实际删除。""" with self.lock: item = self.items.get(code) if item is not None and _has_unresolved_order(item): return False return self.items.pop(code, None) is not None def has_unresolved_order(self, code: str) -> bool: """判断证券是否存在必须阻止自动下单的未决订单。""" with self.lock: item = self.items.get(code) return item is not None and _has_unresolved_order(item) def sync_positions(self, positions: Iterable[PositionItem]) -> None: """把尚未接管的真实持仓初始化为已完成底仓。 无证券代码、无持仓数量或成本无效的记录会被忽略。同步结束后 立即保存,确保首次接管的持仓在程序重启后仍可恢复。 """ known_codes = set(self.codes) for position in positions: if ( not position.stock_code or position.volume <= 0 or position.open_price <= 0 or position.stock_code in known_codes ): continue self.set( StateItem( code=position.stock_code, base_qty=position.volume, base_cost=position.open_price, base_status=STATUS_OK, ) ) known_codes.add(position.stock_code) self.save() def reconcile( self, positions: Iterable[PositionItem], orders: list[OrderItem], deals: list[dict[str, str]], ) -> None: """用真实持仓、委托和成交恢复本地状态,不增加持久化字段。""" position_list = list(positions) self.sync_positions(position_list) position_codes = { item.stock_code for item in position_list if item.volume > 0 } for code in list(self.codes): item = self.get(code) item.base_status = _reconcile_leg( item.base_order_id, item.base_status, item.base_qty, orders, deals ) item.added_status = _reconcile_leg( item.added_order_id, item.added_status, item.added_qty, orders, deals ) self.set(item) # Opening orders normally have no position until their first fill. Order # reconciliation must therefore happen before stale state is removed. for code in list(self.codes): if code not in position_codes: self.delete(code) self.save() def save(self) -> None: """将内存状态格式化写入 JSON,并原子替换正式文件。""" with self.lock: self.path.parent.mkdir(parents=True, exist_ok=True) temporary_path = self.path.with_suffix(self.path.suffix + ".tmp") payload = { code: asdict(item) for code, item in self.items.items() } temporary_path.write_text( json.dumps(payload, ensure_ascii=False, indent=2) + "\n", encoding="utf-8", ) temporary_path.replace(self.path) def _load(self) -> dict[str, StateItem]: """读取已有状态文件;文件不存在时从空状态开始。""" try: raw = json.loads(self.path.read_text(encoding="utf-8")) except FileNotFoundError: return {} except (OSError, json.JSONDecodeError) as exc: raise ValueError(f"[状态] 读取或解析失败: {exc}") from exc if not isinstance(raw, dict): raise ValueError("[状态] 状态文件根节点必须是 JSON 对象") try: return { code: StateItem(**item) for code, item in raw.items() } except (TypeError, ValueError) as exc: raise ValueError(f"[状态] 状态字段无效: {exc}") from exc def _reconcile_leg( local_order_id: str, current_status: str, expected_qty: int, orders: list[OrderItem], deals: list[dict[str, str]], ) -> str: if current_status not in {STATUS_ING, STATUS_UNKNOWN} or not local_order_id: return current_status matching_orders = [ order for order in orders if order.local_order_id == local_order_id ] order = matching_orders[-1] if matching_orders else None if order is None: matching_deals = [ row for row in deals if _matches_local_order(row, local_order_id) ] dealt = sum(_deal_volume(row) for row in matching_deals) if expected_qty > 0 and dealt >= expected_qty: return STATUS_OK if expected_qty <= 0 and matching_deals: return STATUS_OK return STATUS_UNKNOWN system_order_id = order.id.strip() matching_deals = [ row for row in deals if ( system_order_id and str(row.get("m_strOrderSysID") or "").strip() == system_order_id ) or (not system_order_id and _matches_local_order(row, local_order_id)) ] dealt = sum(_deal_volume(row) for row in matching_deals) traded = max(order.traded_volume, dealt) ordered = order.volume or expected_qty status = order.status if ordered > 0 and traded >= ordered: return STATUS_OK if status in {"48", "49", "50", "51", "52", "55"}: return STATUS_ING if status in {"54", "56"}: return STATUS_UNKNOWN if traded > 0 else STATUS_CANCELED if status in {"57", "58"}: return STATUS_UNKNOWN if traded > 0 else STATUS_FAILED return STATUS_UNKNOWN def _has_unresolved_order(item: StateItem) -> bool: return item.base_status in {STATUS_ING, STATUS_UNKNOWN} or item.added_status in { STATUS_ING, STATUS_UNKNOWN, } def _matches_local_order(row: dict[str, str], local_order_id: str) -> bool: remark = str(row.get("m_strRemark") or "") return remark.split("|", 1)[0] == local_order_id def _deal_volume(deal: dict[str, str]) -> int: for key in ("m_nVolume", "m_nTradeVolume", "m_nVolumeTraded"): volume = _as_int(deal.get(key)) if volume > 0: return volume return 0 def _as_int(value: object) -> int: try: return int(value or 0) except (TypeError, ValueError): return 0