113 lines
3.9 KiB
Python
113 lines
3.9 KiB
Python
"""日内做 T 策略启动器。"""
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from __future__ import annotations
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import logging
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import time
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from concurrent.futures import Future, ThreadPoolExecutor
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from datetime import datetime, time as clock_time
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import config
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from libs.calc import trading_time
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from libs.grid_take_profit import GridTrailingTracker
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from libs.market import market_allow_open
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from libs.signal import init_signals
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from sdk import Client
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from strategy.trend.order import OrderBook
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from strategy.trend.watch import DipWatch
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from .open import open_signal
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from .positions import manage_positions
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from .runtime import Runtime
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from .state import TState
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def StartZT() -> None:
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client = Client(config.global_config.qmt_base_url, config.global_config.qmt_token, config.HTTP_TIMEOUT)
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orders = OrderBook()
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orders.refresh(client)
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_, positions = client.positions()
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state = TState.for_strategy(config.global_config.qmt_data_dir, config.account_config.strategy, config.account_config.account_id)
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state.reconcile(positions, orders.data, datetime.now().date().isoformat())
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run = Runtime(client, config.global_config, config.account_config, state, orders, DipWatch(), GridTrailingTracker(config.account_config.grid_step_pct))
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while True:
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started = time.monotonic()
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try:
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RunOnce(run)
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except Exception:
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logging.exception("ZT 策略本轮失败")
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time.sleep(max(0.0, 30.0 - (time.monotonic() - started)))
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def RunOnce(run: Runtime) -> None:
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if not trading_time(datetime.now()):
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return
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try:
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run.orders.refresh(run.client)
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assets = run.client.assets()
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position_codes, positions = run.client.positions()
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except Exception:
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logging.exception("[ZT] 刷新账户或订单失败")
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return
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today = datetime.now().date().isoformat()
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try:
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signals = init_signals(run.global_cfg, run.account_cfg.signal_allow)
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except Exception:
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logging.exception("[ZT] 获取 dcm 信号失败")
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return
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candidate_codes = [item.code for item in signals if item.code not in position_codes]
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codes = list(dict.fromkeys(position_codes + candidate_codes))
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try:
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ticks = run.client.full_tick(codes)
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except Exception:
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logging.exception("[ZT] 获取行情失败")
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return
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market_ok = market_allow_open(run.global_cfg.api_host)
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can_open = market_ok and assets.available >= assets.total * run.account_cfg.min_cash_ratio
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force_buy_back = datetime.now().time() >= clock_time(14, 50)
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# 状态对账与开仓判断并行。持仓线程在自己的线程中等待对账完成，
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# 以保证它读取到最新的底仓和做 T 轮次状态，避免并发写 State。
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with ThreadPoolExecutor(max_workers=3, thread_name_prefix="zt") as executor:
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state_future = executor.submit(run.state.reconcile, positions, run.orders.data, today)
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open_future = executor.submit(_run_open_signal, state_future, run, ticks, signals, can_open)
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positions_future = executor.submit(
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_run_manage_positions,
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state_future,
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run,
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ticks,
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positions,
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assets.available,
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today,
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force_buy_back,
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)
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_wait_worker("状态对账", state_future)
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_wait_worker("开仓", open_future)
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_wait_worker("持仓管理", positions_future)
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def _run_open_signal(state_future: Future, run: Runtime, ticks, signals, can_open: bool) -> None:
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state_future.result()
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if can_open:
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open_signal(run, ticks, signals)
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def _run_manage_positions(
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state_future: Future,
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run: Runtime,
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ticks,
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positions,
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available: float,
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today: str,
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force_buy_back: bool,
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) -> None:
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state_future.result()
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manage_positions(run, ticks, positions, available, today, force_buy_back)
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def _wait_worker(name: str, future: Future) -> None:
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try:
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future.result()
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except Exception:
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logging.exception("[ZT] %s线程失败", name)
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