348 lines
16 KiB
Python
348 lines
16 KiB
Python
"""SQLite 策略状态与成交存储；每个数据库仅使用一个写入者，不做数据迁移。"""
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import math
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import logging as log
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import sqlite3
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from contextlib import closing
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from dataclasses import asdict, dataclass, fields
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from datetime import datetime
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from pathlib import Path
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from sdk import DealItem, PositionItem
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FLAG_BUY = 48
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FLAG_SELL = 49
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UNATTRIBUTED_PREFIX = '__unattributed__:'
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SCHEMA = """
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-- 策略状态：base_ 表示底仓，added_ 表示补仓。
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CREATE TABLE IF NOT EXISTS state (
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id INTEGER PRIMARY KEY AUTOINCREMENT, -- 状态记录主键
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stock_code TEXT NOT NULL, -- 证券代码
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status TEXT NOT NULL DEFAULT '', -- 策略状态，由策略定义取值
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base_order_local_id TEXT NOT NULL DEFAULT '', -- 底仓本地委托编号
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base_qty INTEGER NOT NULL DEFAULT 0 CHECK (base_qty >= 0), -- 底仓数量
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base_price REAL NOT NULL DEFAULT 0, -- 底仓价格
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base_created_at TEXT NOT NULL DEFAULT '', -- 底仓创建时间
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added_order_local_id TEXT NOT NULL DEFAULT '', -- 补仓本地委托编号
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added_qty INTEGER NOT NULL DEFAULT 0 CHECK (added_qty >= 0), -- 补仓数量
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added_price REAL NOT NULL DEFAULT 0, -- 补仓价格
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added_created_at TEXT NOT NULL DEFAULT '' -- 补仓创建时间
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);
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-- 每个证券仅保留一条策略状态。
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CREATE UNIQUE INDEX IF NOT EXISTS idx_state_stock_code ON state (stock_code);
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-- 成交记录独立保存，不随状态删除。
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CREATE TABLE IF NOT EXISTS deals (
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id INTEGER PRIMARY KEY AUTOINCREMENT,
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stock_code TEXT NOT NULL,
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order_sys_id TEXT NOT NULL CHECK (order_sys_id <> ''),
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order_local_id TEXT NOT NULL CHECK (order_local_id <> ''),
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ref INTEGER NOT NULL DEFAULT 0,
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order_ref TEXT NOT NULL DEFAULT '',
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direction INTEGER NOT NULL DEFAULT 0,
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offset_flag INTEGER NOT NULL CHECK (offset_flag IN (23, 24, 48, 49)),
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price REAL NOT NULL CHECK (price >= 0),
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volume INTEGER NOT NULL CHECK (volume > 0),
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trade_amount REAL NOT NULL CHECK (trade_amount > 0),
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trade_date TEXT NOT NULL,
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trade_time TEXT NOT NULL,
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remark TEXT NOT NULL DEFAULT '',
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close_profit REAL NOT NULL DEFAULT 0,
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is_arch INTEGER DEFAULT 0
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);
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CREATE UNIQUE INDEX IF NOT EXISTS idx_deals_order_sys_id ON deals (order_sys_id);
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CREATE INDEX IF NOT EXISTS idx_deals_order_ref ON deals (order_local_id);
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CREATE INDEX IF NOT EXISTS idx_deals_stock_code_date ON deals (stock_code);
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CREATE INDEX IF NOT EXISTS idx_deals_date_time ON deals (trade_date);
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"""
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@dataclass(slots=True)
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class StateItem:
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"""策略状态字段；同步账户底仓时无法获知的委托编号留空。"""
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stock_code: str = '' # 证券代码
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status: str = '' # 策略状态
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base_order_local_id: str = '' # 底仓本地委托编号
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base_qty: int = 0 # 底仓数量
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base_price: float = 0.0 # 底仓价格
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base_created_at: str = '' # 底仓创建时间
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added_order_local_id: str = '' # 补仓本地委托编号
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added_qty: int = 0 # 补仓数量
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added_price: float = 0.0 # 补仓价格
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added_created_at: str = '' # 补仓创建时间
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_STATE_COLUMNS = tuple(field.name for field in fields(StateItem))
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_UPSERT_STATE = (
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f"INSERT INTO state ({', '.join(_STATE_COLUMNS)}) "
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f"VALUES ({', '.join(':' + key for key in _STATE_COLUMNS)}) "
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"ON CONFLICT(stock_code) DO UPDATE SET "
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+ ', '.join(f'{key} = excluded.{key}' for key in _STATE_COLUMNS if key != 'stock_code')
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)
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class State:
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"""单写入者使用的 SQLite 存储；公开缓存仅在事务成功后替换。
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sync_state 同步持仓基准，sync_deals 保存成交，archiving 记入增量。
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同证券未归档成交全部为买入且数量等于当前总持仓时，视为已计入
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快照，只标记归档；其他成交作为增量处理。本类不做表结构迁移。
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"""
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def __init__(self, path: str | Path) -> None:
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self.path = Path(path)
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self.state: dict[str, dict] = {}
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self.deals: dict[str, dict] = {}
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self.deals_sys_ids: set[str] = set()
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self.blocked_codes: set[str] = set()
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self.path.parent.mkdir(parents=True, exist_ok=True)
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with closing(self._connect()) as db:
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db.executescript(SCHEMA)
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self.load()
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def _connect(self) -> sqlite3.Connection:
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db = sqlite3.connect(self.path, timeout=30)
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db.row_factory = sqlite3.Row
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return db
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@staticmethod
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def _read_state(db: sqlite3.Connection) -> dict[str, dict]:
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return {row['stock_code']: dict(row) for row in db.execute('SELECT * FROM state')}
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@staticmethod
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def _read_deals(db: sqlite3.Connection) -> dict[str, dict]:
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return {
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row['order_sys_id']: dict(row)
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for row in db.execute('SELECT * FROM deals ORDER BY id')
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}
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def get_by_code(self, code: str) -> dict:
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"""返回缓存中的状态；不存在时返回空字典。"""
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return self.state.get(code, {})
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def load(self) -> None:
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"""在同一个读事务内加载两张表，全部成功后再发布缓存。"""
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with closing(self._connect()) as db, db:
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db.execute('BEGIN')
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state = self._read_state(db)
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deals = self._read_deals(db)
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self.state, self.deals, self.deals_sys_ids = state, deals, set(deals)
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def load_state(self) -> None:
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"""只刷新状态缓存。"""
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with closing(self._connect()) as db, db:
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db.execute('BEGIN')
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state = self._read_state(db)
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self.state = state
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def load_deals(self) -> None:
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"""只刷新成交缓存及其去重编号集合。"""
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with closing(self._connect()) as db, db:
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db.execute('BEGIN')
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deals = self._read_deals(db)
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self.deals, self.deals_sys_ids = deals, set(deals)
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@staticmethod
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def _insert_deals(db: sqlite3.Connection, deals: list[DealItem]) -> None:
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"""共享事务内保存成交；空本地编号使用明确的待核对标记。"""
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existing = {row[0] for row in db.execute('SELECT order_sys_id FROM deals')}
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new_deals: dict[str, DealItem] = {}
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for deal in deals:
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if deal.order_sys_id not in existing:
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new_deals.setdefault(deal.order_sys_id, deal)
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if not new_deals:
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return
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today = datetime.now().date().isoformat()
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values = []
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for deal in new_deals.values():
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amount = deal.trade_amount if deal.trade_amount > 0 else deal.price * deal.volume
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if not math.isfinite(deal.price) or not math.isfinite(amount):
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raise ValueError('Trade price and amount must be finite')
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date = deal.trade_date or today
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if len(date) == 8 and date.isdigit():
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date = f'{date[:4]}-{date[4:6]}-{date[6:]}'
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values.append((
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deal.stock_code, deal.order_sys_id,
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deal.get_local_order_id.strip() or f'{UNATTRIBUTED_PREFIX}{deal.order_sys_id}',
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deal.ref, deal.order_ref, deal.direction, deal.offset_flag,
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deal.price, deal.volume, amount, date, deal.trade_time,
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deal.remark, deal.close_profit,
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))
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# 唯一键负责最终去重，避免旧缓存造成重复插入失败。
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db.executemany("""
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INSERT INTO deals (
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stock_code, order_sys_id, order_local_id, ref, order_ref,
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direction, offset_flag, price, volume, trade_amount,
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trade_date, trade_time, remark, close_profit, is_arch
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) VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, ?, 0)
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ON CONFLICT(order_sys_id) DO NOTHING
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""", values)
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def sync_deals(self, deals: list[DealItem]) -> None:
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"""按成交编号只追加；同批保留首笔，任一无效成交回滚整批。"""
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if all(deal.order_sys_id in self.deals_sys_ids for deal in deals):
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return
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with closing(self._connect()) as db, db:
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db.execute('BEGIN IMMEDIATE')
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self._insert_deals(db, deals)
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cached_deals = self._read_deals(db)
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self.deals, self.deals_sys_ids = cached_deals, set(cached_deals)
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def sync_state(self, positions: list[PositionItem]) -> None:
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"""同步完整持仓：新增底仓、保留已有状态、删除已清仓证券。
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此接口不会标记成交。已有库存对应的卖出须先归档，再传入
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清仓快照，以免删除归档所需的库存。
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"""
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created_at = datetime.now().isoformat(timespec='seconds')
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holdings = {item.stock_code: item for item in positions if item.volume > 0}
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with closing(self._connect()) as db, db:
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db.execute('BEGIN IMMEDIATE')
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existing = {row['stock_code'] for row in db.execute('SELECT stock_code FROM state')}
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values = []
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for code, item in holdings.items():
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if code in existing:
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continue
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if not math.isfinite(item.open_price):
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raise ValueError('Base price must be finite')
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values.append((code, item.volume, item.open_price, created_at))
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db.executemany(
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'DELETE FROM state WHERE stock_code = ?',
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[(code,) for code in existing if code not in holdings],
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)
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db.executemany(
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'INSERT INTO state (stock_code, base_qty, base_price, base_created_at) '
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'VALUES (?, ?, ?, ?)', values,
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)
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state = self._read_state(db)
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self.state = state
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@staticmethod
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def _archive_stock(db: sqlite3.Connection, code: str, snapshot_dedup: bool = True) -> None:
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"""在调用方的保存点内完成一只证券的记账及成交标记。"""
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current = db.execute('SELECT * FROM state WHERE stock_code = ?', (code,)).fetchone()
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state = dict(current) if current else asdict(StateItem(stock_code=code))
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pending = db.execute("""
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SELECT * FROM deals WHERE stock_code = ? AND is_arch = 0
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ORDER BY trade_date, REPLACE(trade_time, ':', ''), id
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""", (code,)).fetchall()
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if any(deal['order_local_id'].startswith(UNATTRIBUTED_PREFIX) for deal in pending):
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raise ValueError('Unattributed trade requires reconciliation')
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total_qty = state['base_qty'] + state['added_qty']
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if (
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snapshot_dedup and total_qty > 0
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and all(deal['offset_flag'] == FLAG_BUY for deal in pending)
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and sum(deal['volume'] for deal in pending) == total_qty
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):
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# 按快照去重规则，仅标记这批成交，原仓位数量和成本均保留。
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# 卖出和买卖混合批次不能用此规则，否则会漏掉真实减仓。
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db.executemany(
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'UPDATE deals SET is_arch = 1 WHERE id = ? AND is_arch = 0',
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[(deal['id'],) for deal in pending],
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)
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return
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for deal in pending:
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if deal['offset_flag'] == FLAG_BUY:
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bucket = 'base' if deal['order_local_id'].startswith('zt-base-') else 'added'
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total = state[f'{bucket}_qty'] + deal['volume']
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state[f'{bucket}_price'] = (
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state[f'{bucket}_qty'] * state[f'{bucket}_price'] + deal['trade_amount']
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) / total
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state[f'{bucket}_qty'] = total
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state[f'{bucket}_order_local_id'] = deal['order_local_id']
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state[f'{bucket}_created_at'] = f"{deal['trade_date']} {deal['trade_time']}".strip()
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elif deal['offset_flag'] == FLAG_SELL:
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qty = deal['volume']
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total = state['base_qty'] + state['added_qty']
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if qty > total:
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raise ValueError(f'Sell volume {qty} exceeds recorded holdings {total}')
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if qty < state['added_qty']:
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state['added_qty'] -= qty
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else:
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state['base_qty'] = total - qty
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state['added_qty'] = 0
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state['added_price'] = 0.0
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state['added_order_local_id'] = state['added_created_at'] = ''
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if state['base_qty'] == 0:
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state.update(asdict(StateItem(stock_code=code)))
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else:
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raise ValueError(f"Unsupported trade flag: {deal['offset_flag']}")
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if state['base_qty'] + state['added_qty'] == 0:
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db.execute('DELETE FROM state WHERE stock_code = ?', (code,))
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else:
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# 保留原记录主键及策略状态，包括同批清仓后重新建仓。
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if current:
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state['status'] = current['status']
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db.execute(_UPSERT_STATE, state)
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db.execute(
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'UPDATE deals SET is_arch = 1 WHERE stock_code = ? '
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'AND is_arch = 0', (code,),
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)
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def _archive_pending(self, db: sqlite3.Connection, snapshot_dedup: bool = True) -> None:
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"""保留现有逐证券保存点；ZT 增量路径禁用数量相等推断。"""
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codes = db.execute(
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'SELECT DISTINCT stock_code FROM deals WHERE is_arch = 0'
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).fetchall()
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for row in codes:
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code = row['stock_code']
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db.execute('SAVEPOINT archive_stock')
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try:
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self._archive_stock(db, code, snapshot_dedup)
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except (ValueError, sqlite3.IntegrityError) as exc:
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db.execute('ROLLBACK TO archive_stock')
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log.warning('[归档] %s 失败，保留未归档成交：%s', code, exc)
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finally:
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db.execute('RELEASE archive_stock')
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def archiving(self) -> None:
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"""归档未处理成交；单证券失败回滚并保留重试，不影响其他证券。"""
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with closing(self._connect()) as db, db:
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db.execute('BEGIN IMMEDIATE')
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self._archive_pending(db)
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state = self._read_state(db)
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deals = self._read_deals(db)
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self.state, self.deals, self.deals_sys_ids = state, deals, set(deals)
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def sync_account(self, positions: list[PositionItem], deals: list[DealItem], *, initialize: bool = False) -> None:
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"""ZT 原子同步。初始化使用已核对快照；恢复只应用增量、不覆盖库存。
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空库存且无成交历史时允许初始化。快照缺失或
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未归档成交只隔离对应证券，后续成交到齐并核对一致后自动恢复。
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"""
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holdings = {p.stock_code: p for p in positions if p.volume > 0}
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with closing(self._connect()) as db, db:
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db.execute('BEGIN IMMEDIATE')
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if initialize:
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if (db.execute('SELECT 1 FROM state LIMIT 1').fetchone()
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or db.execute('SELECT 1 FROM deals LIMIT 1').fetchone()):
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raise ValueError('ZT state already initialized; cannot overwrite existing data')
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created_at = datetime.now().isoformat(timespec='seconds')
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for code, position in holdings.items():
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if not code or not math.isfinite(position.open_price) or position.open_price <= 0:
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raise ValueError('Initial position code and cost must be valid')
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db.execute(_UPSERT_STATE, asdict(StateItem(
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stock_code=code, base_qty=position.volume,
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base_price=position.open_price, base_created_at=created_at,
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)))
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self._insert_deals(db, deals)
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# 这些成交已包含在已核对的基准中，不再增减快照库存。
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db.execute('UPDATE deals SET is_arch = 1')
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else:
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self._insert_deals(db, deals)
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self._archive_pending(db, snapshot_dedup=False)
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state = self._read_state(db)
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cached_deals = self._read_deals(db)
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blocked = {d['stock_code'] for d in cached_deals.values() if d['is_arch'] != 1}
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for code in set(state) | set(holdings):
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row = state.get(code, {})
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recorded = row.get('base_qty', 0) + row.get('added_qty', 0)
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actual = holdings[code].volume if code in holdings else 0
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if recorded != actual:
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blocked.add(code)
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self.state, self.deals, self.deals_sys_ids = state, cached_deals, set(cached_deals)
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self.blocked_codes = blocked
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if blocked:
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log.warning('[ZT 同步] 以下证券状态待核对，暂停交易：%s', ', '.join(sorted(blocked)))
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