188 lines
6.1 KiB
Python
188 lines
6.1 KiB
Python
"""趋势策略启动器。
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该模块负责组合 SDK、配置、状态存储和趋势策略组件，供 main.py 调用。
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"""
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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 datetime import datetime
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import config
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from libs import init_signals, market_allow_open, trading_time
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from sdk import Client
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from libs.grid_take_profit import GridTrailingTracker
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from .state import State
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from .order import OrderBook
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from .watch import DipWatch
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from .runtime import Runtime
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from .open import open_signal
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from .positions import manage_positions
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def Overview(assets, positions, account_cfg=None) -> None:
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"""打印策略启动时的账户、资金和持仓概览。
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该函数对应 Go 客户端 ``logic.Overview``。为便于单独测试，可以
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显式传入账户配置；未传入时使用 ``config.account_config``。
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"""
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account_cfg = account_cfg or config.account_config
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print("\n" + "=" * 80)
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print(f"【时间】{datetime.now():%Y-%m-%d %H:%M:%S}")
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if account_cfg is not None:
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print(
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"【配置】"
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f"account_id: {account_cfg.account_id} "
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f"host_key: {account_cfg.host_key} "
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f"buy_value: {account_cfg.buy_value:.0f}"
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)
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if assets is not None:
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print(
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f"【资金】总资产：{assets.total:.2f}元，"
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f"可用资金：{assets.available:.2f}元"
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)
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else:
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print("【资金】查询失败")
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print(f"【持仓】{len(positions)}只")
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print("=" * 80)
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for position in positions:
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if position.volume <= 0:
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continue
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print(
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f"【持仓】{position.stock_code} {position.stock_name} "
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f"持仓={position.volume} 可用={position.can_use_volume} "
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f"冻结={position.frozen_volume} 在途={position.on_road_volume} "
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f"昨仓={position.yesterday_volume} 成本={position.open_price:.3f} "
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f"现价={position.last_price:.3f} 市值={position.market_value:.2f} "
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f"浮盈={position.float_profit:.2f} "
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f"盈亏比例={position.profit_rate * 100:.2f}%"
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)
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def StartTrend() -> None:
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"""初始化趋势策略，并以 30 秒间隔持续执行。"""
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client = Client(
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config.global_config.qmt_base_url,
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config.global_config.qmt_token,
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config.HTTP_TIMEOUT,
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)
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assets = client.assets()
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_, positions = client.positions()
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storeState = State.for_strategy(
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config.global_config.qmt_data_dir,
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config.account_config.strategy,
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config.account_config.account_id,
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)
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orders = client.trade_detail_data("order")
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deals = client.deals()
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storeState.reconcile(positions, orders, deals)
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# 获取本策略的信号开仓数据
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signals = init_signals(
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config.global_config,
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config.account_config.signal_allow,
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)
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run = Runtime(
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client=client,
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global_cfg=config.global_config,
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account_cfg=config.account_config,
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state=storeState,
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orders=OrderBook(),
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open_watch=DipWatch(),
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add_watch=DipWatch(),
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profit_tracker=GridTrailingTracker(config.account_config.grid_step_pct),
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)
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logging.info(
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"趋势策略启动：总资产=%.2f，持仓=%d，信号=%d",
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assets.total,
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len(positions),
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len(signals),
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)
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Overview(assets, positions, config.account_config)
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while True:
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started_at = time.monotonic()
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try:
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RunOnce(run, signals)
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except Exception:
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# 单轮错误只记录日志，下一轮仍继续运行。
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logging.exception("趋势策略本轮执行失败")
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elapsed = time.monotonic() - started_at
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time.sleep(max(0.0, 30.0 - elapsed))
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def RunOnce(run: Runtime, signals) -> None:
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"""按固定步骤执行一轮趋势策略， ``RunOnce``。"""
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if not trading_time(datetime.now()):
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return
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# 1. 取消超过有效期仍未完成的委托订单。
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try:
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run.orders.cancel_expired(run.client)
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except Exception:
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logging.exception("取消过期订单失败")
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# 2. 验证可用资金；低于资金安全线时禁止开新仓。
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try:
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assets = run.client.assets()
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except Exception:
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logging.exception("获取资产失败")
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return
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allow_open_by_cash = assets.available >= assets.total * run.account_cfg.min_cash_ratio
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if not allow_open_by_cash:
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logging.info("资金总闸：可用金额太少，禁止开新仓")
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# 3. 获取大盘状态，只有大盘信号允许时才执行开仓。
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market_ok = market_allow_open(run.global_cfg.api_host)
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# 4. 获取当前持仓及持仓证券代码。
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try:
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position_codes, positions = run.client.positions()
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except Exception:
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logging.exception("获取持仓失败")
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return
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active_codes = set(position_codes)
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removed_codes = set(run.state.codes) - active_codes
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for code in removed_codes:
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run.state.delete(code)
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run.open_watch.forget(code)
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run.add_watch.forget(code)
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if removed_codes:
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run.state.save()
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# 5. 验证有效开仓信号：排除已有持仓，并按 signal_allow 过滤。
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position_code_set = set(position_codes)
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allow_open = []
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seen_codes = set(position_code_set)
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for signal in signals:
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if signal.code not in seen_codes:
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allow_open.append(signal)
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seen_codes.add(signal.code)
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# 6. 获取持仓和待开仓证券的实时行情 tick。
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all_codes = list(position_codes)
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all_codes.extend(
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signal.code for signal in allow_open if signal.code not in position_code_set
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)
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try:
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ticks = run.client.full_tick(list(dict.fromkeys(all_codes)))
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except Exception:
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logging.exception("获取行情失败")
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return
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# 7. 执行开仓：必须同时存在有效信号且大盘允许开仓。
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if allow_open and market_ok and allow_open_by_cash:
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open_signal(run, ticks, allow_open)
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# 8. 持仓计算。当前 Go 版本的 managePositions 为空，保留扩展入口。
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manage_positions(run, ticks, positions, market_ok,assets.available)
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