524 lines
20 KiB
Python
524 lines
20 KiB
Python
import math
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import re
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import socket
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from dataclasses import dataclass, field, fields
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from pathlib import Path
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import yaml
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# 场内 ETF 代码：沪市 5 开头（510300.SH），深市 15/16/18 开头（159915.SZ）；
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# 必须带交易所后缀，且键与接口返回的 ts_code 完全一致。
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ETF_CODE_PATTERN = re.compile(r"(?:5[0-9]{5}\.SH|1[568][0-9]{4}\.SZ)")
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# 标的段允许覆盖的全局参数；账户级参数（如 add_pct、commission_rate）不允许覆盖。
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SYMBOL_OVERRIDE = ("inner_grids", "max_grid_span_pct", "rebound_pct", "max_hold_days")
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# load() 成功后保存已加载的配置，供策略模块直接读取。
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global_config: GlobalConfig | None = None
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account_config: AccountConfig | None = None
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# _etf.yaml 不存在时为 None：只有 ETF 策略需要该文件。
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etf_config: EtfConfig | None = None
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# QMT 和外部 HTTP 接口的默认请求超时时间，单位为秒。
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HTTP_TIMEOUT = 5.0
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@dataclass(slots=True)
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class SignalConfig:
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"""单个交易信号的数据源及开仓限制配置。"""
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# 信号接口相对于 api_host 的路径。
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url: str = ""
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# 允许使用该信号的时间段；"*" 表示不限制时间。
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timezone: str = "*"
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# 当前价格高于信号昨收价时是否仍允许开仓。
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gt_last_price_is_open: bool = False
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@dataclass(slots=True)
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class GlobalConfig:
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"""所有主机共享的系统配置。"""
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qmt_base_url: str = ""
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qmt_token: str = ""
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api_host: str = ""
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qmt_data_dir: str = ""
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# Windows 主机名到对应账户配置文件的映射。
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hosts: dict[str, str] = field(default_factory=dict)
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# 信号名称到信号配置的映射。
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signals: dict[str, SignalConfig] = field(default_factory=dict)
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@dataclass(slots=True)
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class AccountConfig:
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"""当前主机所使用的账户及交易策略参数。"""
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account_id: str = ""
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host_key: str = ""
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buy_value: float = 0
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min_cash_ratio: float = 0
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grid_step_pct: float = 1
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enable_loss_add_position: bool = False
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enable_auto_ipo: bool = True
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signal_allow: list[str] = field(default_factory=list)
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excluded_codes: list[str] = field(default_factory=list)
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# ZT 开仓及每次补仓手数（每手 100 股）；0 表示不启动。
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zt_open_hands: int = 0
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zt_sell_ratio: float = 0.5
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zt_buy_fall_pct: float = 1.0
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zt_max_price: float = 200.0
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# 正T/反T 中性带：现价在建仓价 ±N% 内不动手，避免来回摩擦。
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zt_t_band_pct: float = 1.0
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# 单轮最长持有自然日；超期告警并放弃继续平仓，残量留作隔夜持仓。
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zt_max_hold_days: int = 5
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# 当前账户启用的策略名称，例如 trend。
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strategy: str = ""
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@dataclass(slots=True)
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class EtfDefaults:
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"""ETF 网格策略的全局默认参数，来自 ``_etf.yaml`` 的 ``defaults`` 段。
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字段顺序与 ``etc/_etf.yaml`` 保持一致，数值口径见 ``docs/etf.md`` §6。
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"""
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atr_period: int = 14
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# 格距 = max(ATR × atr_multiplier, MA60 × min_grid_pct/100, 0.001)。
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min_grid_pct: float = 0.5
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# 跨度健康度告警线，超线只告警并建议下调 atr_multiplier，不阻止建网。
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max_grid_span_pct: float = 40.0
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# 区间通道回看天数，以及"距区间下沿多少百分比以内算低位"。
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channel_period: int = 20
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channel_pct: float = 15.0
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# 建仓与补仓共用的反弹确认阈值，必须小于 add_pct。
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rebound_pct: float = 0.5
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# 补仓触发：自上一档成交价再跌该百分比（需配合反弹确认）。
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add_pct: float = 3.0
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# 补仓次数上限，总档数 = max_adds + 1（含底仓）。
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max_adds: int = 9
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watch_seconds: int = 600
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# 主出口：盈亏率 ≥ 该值即整仓清掉。
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min_profit_pct: float = 1.0
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# 副出口：峰值至少抬到第 N 格才允许回撤卖出。
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inner_grids: float = 2.0
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# 买入日当天不挂卖单；is_t0 为真的标的跳过本条。
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min_hold_days: int = 1
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# 0 表示不止损。
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max_hold_days: int = 0
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commission_rate: float = 0.0003
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min_commission: float = 5.0
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max_tick_age_seconds: int = 90
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@dataclass(slots=True)
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class EtfSymbolConfig:
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"""单个标的的参数；未覆盖的字段为 ``None``，由 ``get()`` 继承全局默认。"""
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# 是否支持当日回转；必须显式配置，没有安全默认值。
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is_t0: bool = False
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# 每档每次买入股数，100 的整数倍。
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buy_shares: int = 0
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# 格距的 ATR 倍数，决定阶梯跨度，必须逐标的标定。
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atr_multiplier: float = 0.0
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# 内层格距（盈亏率百分点），决定副出口能否被触发。
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inner_step: float = 0.0
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# 单标的总持仓上限；缺省按 max_adds + 1 档计算。
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max_shares: int | None = None
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inner_grids: float | None = None
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max_grid_span_pct: float | None = None
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rebound_pct: float | None = None
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max_hold_days: int | None = None
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# 同一份 _etf.yaml 的全局默认值，不参与相等性比较。
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defaults: EtfDefaults = field(default_factory=EtfDefaults, repr=False, compare=False)
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def get(self, name: str):
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"""返回生效参数：标的覆盖优先，未覆盖时回落到全局默认。"""
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if name not in SYMBOL_OVERRIDE:
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raise KeyError(f"标的配置不支持覆盖参数 {name}")
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value = getattr(self, name)
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return getattr(self.defaults, name) if value is None else value
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def effective(self) -> dict:
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"""返回全部生效参数，供日志和自检使用。"""
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values = {name: getattr(self, name) for name in self.override_names()}
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values.update({name: self.get(name) for name in SYMBOL_OVERRIDE})
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return values
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@classmethod
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def override_names(cls) -> tuple[str, ...]:
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"""标的段允许出现在 YAML 中的字段名。"""
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return tuple(item.name for item in fields(cls) if item.name != "defaults")
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@dataclass(slots=True)
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class EtfConfig:
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"""``_etf.yaml`` 的完整内容：全局默认 + 标的白名单。"""
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defaults: EtfDefaults = field(default_factory=EtfDefaults)
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# 键为证券代码，顺序即资金优先级；每项已绑定全局默认，便于 ``get()`` 回退。
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symbols: dict[str, EtfSymbolConfig] = field(default_factory=dict)
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@property
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def codes(self) -> tuple[str, ...]:
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"""按配置顺序返回标的代码。"""
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return tuple(self.symbols)
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def symbol(self, code: str) -> EtfSymbolConfig:
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"""返回指定标的的配置；不在白名单内时抛 KeyError。"""
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try:
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return self.symbols[code]
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except KeyError:
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raise KeyError(f"证券 {code} 不在 _etf.yaml 的白名单内") from None
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def load(
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etc_dir: str | Path | None = None,
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hostname: str | None = None,
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) -> tuple[GlobalConfig, AccountConfig, EtfConfig]:
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"""加载公共配置、当前主机的账户配置以及 ETF 策略配置。
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Args:
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etc_dir: 配置文件目录，其中必须包含 ``_global.yaml``；为空时
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默认使用 py-client 下的 ``etc`` 目录。ETF 策略的
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``_etf.yaml`` 同样在该目录下按固定文件名查找，不存在时
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``etf_config`` 为 None，不视为错误。
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hostname: 指定要加载的主机名；为空时使用当前计算机名。
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Returns:
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由全局配置和账户配置组成的二元组。
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Raises:
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ValueError: 配置缺失、格式错误或策略参数不合法。
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"""
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global global_config, account_config, etf_config
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root = Path(etc_dir) if etc_dir is not None else Path(__file__).parent.parent / "etc"
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raw = _yaml(root / "_global.yaml")
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# 将原始字典转换为带类型的信号配置，方便业务代码使用属性访问。
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signals = {
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key: SignalConfig(**(value or {}))
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for key, value in (raw.get("signals") or {}).items()
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}
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values = {
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key: raw.get(key, "")
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for key in ("qmt_base_url", "qmt_token", "api_host", "qmt_data_dir")
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}
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current = hostname or socket.gethostname()
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hosts = raw.get("hosts") or {}
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account_file = next(
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(
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value
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for key, value in hosts.items()
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if key.strip().lower() == current.strip().lower()
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),
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"",
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)
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# QMT 地址、外部 API 地址和数据目录是启动策略的必要参数。
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if (
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not values["qmt_base_url"]
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or not values["api_host"]
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or values["qmt_data_dir"] == "."
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):
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raise ValueError("Global 配置缺少必要参数")
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if not account_file:
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raise ValueError(f'_global.yaml 未配置计算机 "{current}"')
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if not Path(account_file).suffix:
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account_file += ".yaml"
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global_config = GlobalConfig(**values, hosts=hosts, signals=signals)
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# 策略状态文件写入该目录，启动时提前确保目录存在。
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Path(global_config.qmt_data_dir).mkdir(parents=True, exist_ok=True)
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account_config = AccountConfig(**_account_values(root / account_file))
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if account_config.buy_value <= 0 or account_config.grid_step_pct <= 0:
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raise ValueError("buy_value、grid_step_pct 必须大于 0")
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if type(account_config.zt_open_hands) is not int or account_config.zt_open_hands < 0:
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raise ValueError("zt_open_hands 必须为非负整数，0 表示不启动 ZT 策略")
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if not 0 < account_config.zt_sell_ratio <= 1:
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raise ValueError("zt_sell_ratio 必须在 (0, 1] 区间")
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if account_config.zt_buy_fall_pct <= 0 or account_config.zt_max_price <= 0:
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raise ValueError("zt_buy_fall_pct、zt_max_price 必须大于 0")
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if account_config.zt_t_band_pct < 0:
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raise ValueError("zt_t_band_pct 不能为负数")
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if type(account_config.zt_max_hold_days) is not int or account_config.zt_max_hold_days <= 0:
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raise ValueError("zt_max_hold_days 必须为正整数")
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if not account_config.strategy.strip():
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raise ValueError("strategy 不能为空")
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# host_key 统一为小写，避免不同模块比较时受大小写影响。
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account_config.host_key = account_config.host_key.lower()
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account_config.strategy = account_config.strategy.lower()
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if account_config.strategy == "zt" and account_config.signal_allow != ["dcm"]:
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raise ValueError("zt 策略的 signal_allow 必须且只能为 [\"dcm\"]")
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# ETF 参数是固定文件名，缺文件时返回 None，由 ETF 策略自行决定是否必须。
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etf_config = _etf_config(root / "_etf.yaml")
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return global_config, account_config, etf_config
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def _yaml(path: Path) -> dict:
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"""读取 YAML 文件，并将空文件转换为空字典。"""
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try:
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with path.open(encoding="utf-8") as handle:
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return yaml.safe_load(handle) or {}
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except (OSError, yaml.YAMLError) as exc:
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raise ValueError(f"读取或解析配置 {path} 失败: {exc}") from exc
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def _account_values(path: Path) -> dict:
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"""读取账户配置，并拒绝拼错或已废弃的字段。
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以前未知字段会被 ``AccountConfig(**raw)`` 抛成 TypeError，绕开 main()
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的异常分支并以裸 traceback 退出；这里改成带文件名的 ValueError。
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"""
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raw = _yaml(path)
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if not isinstance(raw, dict):
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raise ValueError(f"账户配置 {path} 的根节点必须是对象")
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unknown = sorted(set(raw) - {item.name for item in fields(AccountConfig)})
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if unknown:
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raise ValueError(f"账户配置 {path} 存在未知字段: {', '.join(unknown)}")
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return raw
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def _etf_config(path: Path) -> EtfConfig | None:
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"""读取固定文件名的 ETF 配置；文件不存在时返回 None。
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只有 ETF 策略需要 ``_etf.yaml``，因此缺文件不是错误；文件存在但内容
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不合法（含未知键）仍然是错误，避免拼错参数被静默忽略。
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"""
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if not path.is_file():
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return None
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return _parse_etf(_yaml(path), path)
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def _parse_etf(raw: dict, path: Path) -> EtfConfig:
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"""把 ``_etf.yaml`` 的内容转换为带校验的 ``EtfConfig``。"""
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if not isinstance(raw, dict):
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raise ValueError(f"ETF 配置 {path} 的根节点必须是对象")
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unknown = sorted(set(raw) - {"defaults", "symbols"})
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if unknown:
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raise ValueError(f"ETF 配置 {path} 存在未知字段: {', '.join(unknown)}")
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defaults = _etf_defaults(raw.get("defaults") or {}, path)
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raw_symbols = raw.get("symbols") or {}
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if not isinstance(raw_symbols, dict) or not raw_symbols:
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raise ValueError(f"ETF 配置 {path} 的 symbols 必须是非空标的映射")
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symbols: dict[str, EtfSymbolConfig] = {}
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for code, values in raw_symbols.items():
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symbols[code] = _etf_symbol(code, values or {}, defaults, path)
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return EtfConfig(defaults=defaults, symbols=symbols)
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def _etf_defaults(values: dict, path: Path) -> EtfDefaults:
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"""校验 ``defaults`` 段并补齐缺省字段，口径见 ``docs/etf.md`` §6。"""
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if not isinstance(values, dict):
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raise ValueError(f"ETF 配置 {path} 的 defaults 必须是对象")
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unknown = sorted(set(values) - {item.name for item in fields(EtfDefaults)})
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if unknown:
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raise ValueError(
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f"ETF 配置 {path} 的 defaults 存在未知字段: {', '.join(unknown)}"
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)
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section = "defaults"
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atr_period = _etf_int(values.get("atr_period", 14), "atr_period", path, section)
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channel_period = _etf_int(
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values.get("channel_period", 20), "channel_period", path, section
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)
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watch_seconds = _etf_int(
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values.get("watch_seconds", 600), "watch_seconds", path, section
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)
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max_tick_age_seconds = _etf_int(
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values.get("max_tick_age_seconds", 90), "max_tick_age_seconds", path, section
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)
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min_hold_days = _etf_int(
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values.get("min_hold_days", 1), "min_hold_days", path, section
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)
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max_hold_days = _etf_int(
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values.get("max_hold_days", 0), "max_hold_days", path, section, zero_ok=True
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)
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max_adds = _etf_int(values.get("max_adds", 9), "max_adds", path, section, zero_ok=True)
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if max_adds > 9:
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raise ValueError(f"ETF 配置 {path} 的 max_adds 不能大于 9（总档数 10 档）")
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min_grid_pct = _etf_number(
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values.get("min_grid_pct", 0.5), "min_grid_pct", path, section
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)
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max_grid_span_pct = _etf_number(
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values.get("max_grid_span_pct", 40.0),
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"max_grid_span_pct",
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path,
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section,
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high=100.0,
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)
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channel_pct = _etf_number(
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values.get("channel_pct", 15.0), "channel_pct", path, section
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)
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rebound_pct = _etf_number(
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values.get("rebound_pct", 0.5), "rebound_pct", path, section
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)
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add_pct = _etf_number(values.get("add_pct", 3.0), "add_pct", path, section)
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min_profit_pct = _etf_number(
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values.get("min_profit_pct", 1.0), "min_profit_pct", path, section
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)
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inner_grids = _etf_number(
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values.get("inner_grids", 2.0), "inner_grids", path, section
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)
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commission_rate = _etf_number(
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values.get("commission_rate", 0.0003),
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"commission_rate",
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path,
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section,
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zero_ok=True,
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||
)
|
||
min_commission = _etf_number(
|
||
values.get("min_commission", 5.0), "min_commission", path, section, zero_ok=True
|
||
)
|
||
|
||
# 反弹确认必须早于补仓触发，否则确认价回到上一档之上，条件自相矛盾。
|
||
if rebound_pct >= add_pct:
|
||
raise ValueError(f"ETF 配置 {path} 的 rebound_pct 必须小于 add_pct")
|
||
|
||
return EtfDefaults(
|
||
atr_period=atr_period,
|
||
min_grid_pct=min_grid_pct,
|
||
max_grid_span_pct=max_grid_span_pct,
|
||
channel_period=channel_period,
|
||
channel_pct=channel_pct,
|
||
rebound_pct=rebound_pct,
|
||
add_pct=add_pct,
|
||
max_adds=max_adds,
|
||
watch_seconds=watch_seconds,
|
||
min_profit_pct=min_profit_pct,
|
||
inner_grids=inner_grids,
|
||
min_hold_days=min_hold_days,
|
||
max_hold_days=max_hold_days,
|
||
commission_rate=commission_rate,
|
||
min_commission=min_commission,
|
||
max_tick_age_seconds=max_tick_age_seconds,
|
||
)
|
||
|
||
|
||
def _etf_symbol(
|
||
code: str, values: dict, defaults: EtfDefaults, path: Path
|
||
) -> EtfSymbolConfig:
|
||
"""校验单个标的的参数，并绑定全局默认以支持未覆盖字段的继承。"""
|
||
if not isinstance(code, str) or not ETF_CODE_PATTERN.fullmatch(code):
|
||
raise ValueError(f"ETF 配置 {path} 的标的 {code!r} 不是合法场内 ETF 代码")
|
||
if not isinstance(values, dict):
|
||
raise ValueError(f"ETF 配置 {path} 的标的 {code} 必须是对象")
|
||
|
||
unknown = sorted(set(values) - set(EtfSymbolConfig.override_names()))
|
||
if unknown:
|
||
raise ValueError(
|
||
f"ETF 配置 {path} 的标的 {code} 存在未知字段: {', '.join(unknown)}"
|
||
)
|
||
|
||
section = f"标的 {code}"
|
||
# is_t0、buy_shares、atr_multiplier、inner_step 分别决定结算制度、佣金轴
|
||
# 与跨度轴，没有安全的全局默认值，必须逐标的显式给出。
|
||
missing = sorted({"is_t0", "buy_shares", "atr_multiplier", "inner_step"} - set(values))
|
||
if missing:
|
||
raise ValueError(
|
||
f"ETF 配置 {path} 的{section}缺少必填字段: {', '.join(missing)}"
|
||
)
|
||
|
||
is_t0 = values["is_t0"]
|
||
if type(is_t0) is not bool:
|
||
raise ValueError(f"ETF 配置 {path} 的{section}的 is_t0 必须是布尔值")
|
||
|
||
buy_shares = _etf_int(values["buy_shares"], "buy_shares", path, section)
|
||
if buy_shares % 100:
|
||
raise ValueError(f"ETF 配置 {path} 的{section}的 buy_shares 必须是 100 的整数倍")
|
||
max_shares = _etf_int(
|
||
values.get("max_shares") or buy_shares * (defaults.max_adds + 1),
|
||
"max_shares",
|
||
path,
|
||
section,
|
||
)
|
||
atr_multiplier = _etf_number(
|
||
values["atr_multiplier"], "atr_multiplier", path, section
|
||
)
|
||
inner_step = _etf_number(values["inner_step"], "inner_step", path, section)
|
||
|
||
overrides: dict = {}
|
||
if "inner_grids" in values:
|
||
overrides["inner_grids"] = _etf_number(
|
||
values["inner_grids"], "inner_grids", path, section
|
||
)
|
||
if "max_grid_span_pct" in values:
|
||
overrides["max_grid_span_pct"] = _etf_number(
|
||
values["max_grid_span_pct"], "max_grid_span_pct", path, section, high=100.0
|
||
)
|
||
if "rebound_pct" in values:
|
||
overrides["rebound_pct"] = _etf_number(
|
||
values["rebound_pct"], "rebound_pct", path, section
|
||
)
|
||
if "max_hold_days" in values:
|
||
overrides["max_hold_days"] = _etf_int(
|
||
values["max_hold_days"], "max_hold_days", path, section, zero_ok=True
|
||
)
|
||
|
||
return EtfSymbolConfig(
|
||
is_t0=is_t0,
|
||
buy_shares=buy_shares,
|
||
atr_multiplier=atr_multiplier,
|
||
inner_step=inner_step,
|
||
max_shares=max_shares,
|
||
defaults=defaults,
|
||
**overrides,
|
||
)
|
||
|
||
|
||
def _etf_number(
|
||
value,
|
||
name: str,
|
||
path: Path,
|
||
section: str,
|
||
high: float | None = None,
|
||
zero_ok: bool = False,
|
||
) -> float:
|
||
"""校验有限数值并返回；布尔值、非数值和越界值都抛 ValueError。"""
|
||
label = f"ETF 配置 {path} 的{section}的 {name}"
|
||
# bool 是 int 的子类，必须显式排除，否则 True 会被当成 1。
|
||
if isinstance(value, bool) or not isinstance(value, (int, float)):
|
||
raise ValueError(f"{label} 必须是数值")
|
||
if not math.isfinite(value):
|
||
raise ValueError(f"{label} 必须是有限数值")
|
||
|
||
low = 0 if zero_ok else 0.0
|
||
if value < low or (value == 0 and not zero_ok) or (high is not None and value > high):
|
||
if high is None:
|
||
expect = "大于 0"
|
||
elif zero_ok:
|
||
expect = f"在 [0, {high:g}] 区间"
|
||
else:
|
||
expect = f"在 (0, {high:g}] 区间"
|
||
raise ValueError(f"{label} 必须{expect}")
|
||
return value
|
||
|
||
|
||
def _etf_int(
|
||
value, name: str, path: Path, section: str, zero_ok: bool = False
|
||
) -> int:
|
||
"""校验整数字段并返回；``zero_ok`` 为假时要求大于 0。"""
|
||
if type(value) is not int or value < 0 or (value == 0 and not zero_ok):
|
||
expect = "非负整数" if zero_ok else "正整数"
|
||
raise ValueError(f"ETF 配置 {path} 的{section}的 {name} 必须是{expect}")
|
||
return value
|