206 lines
7.1 KiB
Python
206 lines
7.1 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 time
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import logging as log
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from concurrent.futures import Future, ThreadPoolExecutor
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from datetime import datetime
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import config
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from libs.calc import trading_time
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from libs.market import market_allow_open
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from libs.signal import init_signals, SignalItem
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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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"""记录策略启动时的账户、资金和持仓概览。"""
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account_cfg = account_cfg or config.account_config
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if account_cfg is not None:
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log.info("[启动] 账户=%s，主机=%s，单笔金额=%.2f", account_cfg.account_id, account_cfg.host_key, account_cfg.buy_value)
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if assets is not None:
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log.info("[启动] 总资产=%.2f，可用资金=%.2f", assets.total, assets.available)
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else:
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log.warning("[启动] 获取资金概览失败")
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log.info("[启动] 持仓数量=%d", len(positions))
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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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log.info("[启动] %s %s，持仓=%d，可用=%d，成本=%.2f，现价=%.2f，盈亏=%.2f%%", position.stock_code, position.stock_name, position.volume, position.can_use_volume, position.open_price, position.last_price, position.profit_rate * 100)
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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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order_book = OrderBook()
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order_book.refresh(client)
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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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storeState.reconcile(positions, order_book.data)
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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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log.info("[启动] 趋势策略已启动，账户=%s，信号=%d，持仓=%d", config.account_config.account_id, len(signals), len(positions))
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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=order_book,
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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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executor=ThreadPoolExecutor(max_workers=2, thread_name_prefix="trend"),
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)
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Overview(assets, positions, config.account_config)
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DEFAULT_TICK_INTERVAL = 30
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while True:
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current_sec = time.localtime().tm_sec
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# 计算距离下一个目标时间点（0秒或30秒）的等待时间
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if current_sec < DEFAULT_TICK_INTERVAL:
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wait_seconds = DEFAULT_TICK_INTERVAL - current_sec
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elif current_sec < 60:
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wait_seconds = 60 - current_sec
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else:
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wait_seconds = DEFAULT_TICK_INTERVAL
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# 等待到目标时间点
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time.sleep(wait_seconds)
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# 单轮失败不能杀死唯一的交易定时线程。
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try:
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RunOnce(run, signals)
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except Exception as e:
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log.error(f"[Trend] 本 tick 执行失败，下一 tick 继续: {e}", exc_info=True)
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def RunOnce(run: Runtime, signals:list[SignalItem]) -> 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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log.info("[运行] 非交易时间，跳过本轮")
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return
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print("=" * 40 + f" RunOnce {datetime.now().strftime('%Y-%m-%d %H:%M:%S')} " +"=" * 40)
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started_at = time.monotonic()
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# 1. 刷新订单数据，清理过期订单。
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try:
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run.orders.refresh(run.client)
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except Exception:
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log.exception("[订单] 刷新订单失败")
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return
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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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log.exception("[资金] 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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log.info("[开仓] 禁止开仓：可用资金不足，可用=%.2f，总资产=%.2f", assets.available, assets.total)
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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()
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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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log.exception("[持仓] 获取持仓失败")
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return
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# 5. 验证有效开仓信号：排除已有持仓和未决订单。
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allow_open: list[SignalItem] = []
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allow_codes: list[str] = []
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for signal in signals:
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if signal.code not in position_codes:
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allow_open.append(signal)
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allow_codes.append(signal.code)
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if allow_open and not market_ok:
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log.info("[开仓] 禁止开仓：大盘信号不允许，候选=%d", len(allow_open))
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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(dict.fromkeys(position_codes + allow_codes))
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try:
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ticks = run.client.full_tick(all_codes)
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except Exception:
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log.exception("[行情] 获取行情失败，代码数量=%d", len(all_codes))
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return
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# 7. 更新状态机
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try:
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run.state.reconcile(positions, run.orders.data)
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except Exception:
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log.exception("[状态] 订单状态对账失败")
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return
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log.info("[RunOnce] 本轮就绪，持仓=%d，候选=%d，大盘允许=%s，资金允许=%s", len(positions), len(allow_open), market_ok, allow_open_by_cash)
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# 启动线程，开始计算
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# 9. 持仓计算。
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futures: list[tuple[str, Future]] = [
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(
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"持仓计算",
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run.executor.submit(
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manage_positions,
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run,
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ticks,
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positions,
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market_ok,
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assets.available,
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),
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)
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]
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# 10. 开仓计算：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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futures.append(("开仓计算", run.executor.submit(open_signal, run, ticks, allow_open)))
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# 11. 开始执行
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for name, future in futures:
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_wait_worker(name, future)
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log.info("[RunOnce] 本轮完成，耗时=%d毫秒", int((time.monotonic() - started_at) * 1000))
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def _wait_worker(name: str, future: Future) -> None:
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"""保留单轮继续运行的语义，分别记录工作线程异常。"""
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try:
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future.result()
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except Exception:
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log.exception("[运行] %s线程失败", name)
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