282 lines
8.2 KiB
Go
282 lines
8.2 KiB
Go
package logic
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import (
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"context"
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"math"
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"sync"
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"big-qmt/go-client/config"
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"big-qmt/go-client/sdk"
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)
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var peakMu sync.Mutex
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var peakGrids = map[string]int{}
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func peakKey(code, leg string) string { return code + "|" + leg }
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func managePositions(client *sdk.Client, books *OrderBook, ticks map[string]sdk.Tick, positions []sdk.Position, marketOK bool) {
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if positions == nil {
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logf("ERROR", "[ZT][持仓] 持仓查询失败，本轮跳过")
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return
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}
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state := getState()
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if state.LoadError != "" {
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logf("ERROR", "[ZT][持仓] 状态文件异常，本轮停止交易: %s", state.LoadError)
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return
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}
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before := map[string]struct{}{}
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for _, code := range state.Codes() {
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before[code] = struct{}{}
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}
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if ticks == nil {
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ticks = map[string]sdk.Tick{}
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}
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logf("INFO", "[ZT][持仓] 开始处理 %d 只", len(positions))
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type row struct {
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volume, usable int
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avg, price float64
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stock string
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item *SymbolState
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}
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rows := make([]row, 0, len(positions))
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seen := map[string]struct{}{}
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for _, pos := range positions {
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code := pos.StockCode
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if code == "" {
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continue
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}
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seen[code] = struct{}{}
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item := syncItem(state, code, pos.Volume, pos.OpenPrice, buys, sells, books)
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if pos.Volume <= 0 {
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continue
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}
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price := ticks[code].LastPrice
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rows = append(rows, row{stock: code, volume: pos.Volume, usable: pos.CanUseVolume, avg: pos.OpenPrice, price: price, item: item})
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}
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for _, code := range state.Codes() {
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if _, ok := seen[code]; !ok {
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syncItem(state, code, 0, 0, buys, sells, books)
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}
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}
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after := map[string]struct{}{}
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for _, code := range state.Codes() {
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after[code] = struct{}{}
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}
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for code := range before {
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if _, ok := after[code]; !ok {
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forget(code)
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}
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}
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for _, r := range rows {
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if r.item == nil || r.item.Pending != "" {
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continue
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}
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if r.avg <= 0 || r.price <= 0 || r.volume%100 != 0 {
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continue
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}
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if r.volume != r.item.BaseQty+r.item.AddQty {
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logf("INFO", "[ZT][持仓] %s 数量异常，底仓=%d 补仓=%d 现有=%d", r.stock, r.item.BaseQty, r.item.AddQty, r.volume)
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continue
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}
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holdingAdd := r.item.AddQty > 0
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legName := "底仓"
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if holdingAdd {
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legName = "补仓腿"
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}
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logf("INFO", "[ZT][持仓] %s 现价=%.2f 成本=%.2f 可用=%d %s", r.stock, r.price, r.avg, r.usable, legName)
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if holdingAdd {
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addPnL := -999.0
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if r.item.AddCost > 0 {
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addPnL = (r.price - r.item.AddCost) / r.item.AddCost * 100
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}
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if retreated(r.item, "add", addPnL) {
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sellLeg(ctx, client, books, r.item, r.usable, r.item.AddQty, "add", addPnL)
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}
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continue
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}
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basePnL := -999.0
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if r.item.BaseCost > 0 {
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basePnL = (r.price - r.item.BaseCost) / r.item.BaseCost * 100
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}
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if retreated(r.item, "base", basePnL) {
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sellLeg(ctx, client, books, r.item, r.usable, r.item.BaseQty, "base", basePnL)
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} else if r.item.AddQty <= 0 && r.item.AddCost <= 0 && basePnL <= config.Account.LossTriggerPct {
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addOnRebound(ctx, client, books, r.item, r.price, marketOK, buyBudget)
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}
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}
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// 首次没有状态文件时，本轮已将启动前持仓全部接管为底仓。
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state.completeBootstrap()
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state.Save()
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}
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func syncItem(state *ZTState, code string, volume int, avgPrice float64, buys, sells map[string]struct{}, books *OrderBook) *SymbolState {
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item := state.Get(code)
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if item == nil {
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if volume > 0 {
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logf("ERROR", "[ZT][持仓] %s 无本地状态，跳过", code)
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}
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return nil
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}
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switch item.Pending {
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case pendingBaseOpening:
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syncOpen(state, item, volume, avgPrice, buys, books)
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case pendingAdd:
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syncAdd(state, item, volume, avgPrice, buys, books)
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case pendingSellAdd:
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syncSellAdd(state, item, volume, avgPrice, sells, books)
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case pendingSellBase:
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syncSellBase(state, item, volume, avgPrice, sells, books)
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default:
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if volume <= 0 {
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state.Remove(code)
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logf("INFO", "[ZT][持仓] %s 已无持仓，清除状态", code)
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return nil
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}
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}
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return state.Get(code)
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}
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func syncOpen(state *ZTState, item *SymbolState, volume int, avgPrice float64, buys map[string]struct{}, books *OrderBook) {
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if volume > 0 {
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item.BaseQty, item.BaseCost = volume, avgPrice
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}
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if books.sideBusy(item.Code, sideBuy, buys) {
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return
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}
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if volume <= 0 {
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state.Remove(item.Code)
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logf("INFO", "[ZT][委托] %s 开仓委托已失效，允许重新开仓", item.Code)
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return
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}
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clearPending(item)
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logf("INFO", "[ZT][持仓] %s 开仓确认 数量=%d 成本=%.2f", item.Code, item.BaseQty, item.BaseCost)
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}
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func syncAdd(state *ZTState, item *SymbolState, volume int, avgPrice float64, buys map[string]struct{}, books *OrderBook) {
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if volume > item.BaseQty {
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item.AddQty = volume - item.BaseQty
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if item.AddQty > 0 {
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item.AddCost = math.Max(0, (avgPrice*float64(volume)-item.BaseCost*float64(item.BaseQty))/float64(item.AddQty))
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}
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}
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if books.sideBusy(item.Code, sideBuy, buys) {
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return
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}
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if volume <= 0 {
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state.Remove(item.Code)
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logf("INFO", "[ZT][委托] %s 补仓后无持仓，清除状态", item.Code)
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return
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}
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if volume <= item.BaseQty {
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item.AddQty = 0
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item.AddCost = 0
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logf("INFO", "[ZT][持仓] %s 补仓未成交，回退底仓", item.Code)
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}
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clearPending(item)
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}
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func syncSellAdd(state *ZTState, item *SymbolState, volume int, avgPrice float64, sells map[string]struct{}, books *OrderBook) {
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if volume <= 0 {
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if !books.sideBusy(item.Code, sideSell, sells) {
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state.Remove(item.Code)
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logf("INFO", "[ZT][委托] %s 卖出后已无持仓，清除状态", item.Code)
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}
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return
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}
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if volume <= item.BaseQty {
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item.BaseQty, item.BaseCost = volume, avgPrice
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item.AddQty = 0
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peakMu.Lock()
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delete(peakGrids, peakKey(item.Code, "add"))
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peakMu.Unlock()
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} else {
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item.AddQty = volume - item.BaseQty
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}
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if !books.sideBusy(item.Code, sideSell, sells) {
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clearPending(item)
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}
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}
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func syncSellBase(state *ZTState, item *SymbolState, volume int, avgPrice float64, sells map[string]struct{}, books *OrderBook) {
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if volume <= 0 {
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if !books.sideBusy(item.Code, sideSell, sells) {
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state.Remove(item.Code)
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logf("INFO", "[ZT][委托] %s 卖出后已无持仓，清除状态", item.Code)
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}
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return
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}
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item.BaseQty, item.BaseCost = volume, avgPrice
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if !books.sideBusy(item.Code, sideSell, sells) {
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clearPending(item)
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}
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}
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func addOnRebound(ctx context.Context, client *sdk.Client, books *OrderBook, item *SymbolState, price float64, marketOK bool, buyBudget *float64) {
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if !marketOK || !dipTriggered(&posDip.mu, posDip.store, "补仓", item.Code, price) {
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return
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}
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volume := calcBuyVolume(price, config.Account.BuyValue)
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estimated := price * float64(volume)
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if buyBudget == nil || estimated > *buyBudget {
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logf("INFO", "[ZT][补仓] %s 可用买入预算不足，需要=%.2f", item.Code, estimated)
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return
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}
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orderID := newOrderTag("add")
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if books.place(ctx, client, sideBuy, item.Code, volume, orderID) {
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item.AddCost = price
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setPending(item, pendingAdd, orderID)
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*buyBudget -= estimated
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getState().Save()
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logf("INFO", "[ZT][补仓] %s 买入 %d 股", item.Code, volume)
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}
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}
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func retreated(item *SymbolState, leg string, pnl float64) bool {
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if pnl < config.Account.MinProfitPct {
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return false
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}
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grid := int(math.Floor(pnl / config.Account.GridStepPct))
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key := peakKey(item.Code, leg)
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peakMu.Lock()
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defer peakMu.Unlock()
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peak, ok := peakGrids[key]
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if !ok || grid > peak {
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peakGrids[key] = grid
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logf("INFO", "[ZT][止盈] %s %s峰值网格=%d", item.Code, leg, grid)
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return false
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}
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return grid < peak
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}
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func sellLeg(ctx context.Context, client *sdk.Client, books *OrderBook, item *SymbolState, usable, volume int, leg string, pnl float64) {
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volume -= volume % 100
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if volume <= 0 || usable < volume {
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logf("INFO", "[ZT][止盈] %s 可用股数不足，需要=%d 可用=%d", item.Code, volume, usable)
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return
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}
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orderID := newOrderTag(leg)
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if !books.place(ctx, client, sideSell, item.Code, volume, orderID) {
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return
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}
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if leg == "add" {
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setPending(item, pendingSellAdd, orderID)
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} else {
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setPending(item, pendingSellBase, orderID)
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}
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getState().Save()
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logf("INFO", "[ZT][止盈] %s 卖出 %d 股，%s腿盈利=%.2f%%", item.Code, volume, leg, pnl)
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}
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func forget(code string) {
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openDip.mu.Lock()
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delete(openDip.store, code)
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openDip.mu.Unlock()
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posDip.mu.Lock()
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delete(posDip.store, code)
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posDip.mu.Unlock()
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peakMu.Lock()
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delete(peakGrids, peakKey(code, "base"))
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delete(peakGrids, peakKey(code, "add"))
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peakMu.Unlock()
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}
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