251 lines
9.5 KiB
Python
251 lines
9.5 KiB
Python
"""ETF 网格策略开仓：观察 → 反弹确认 → 底仓挂单。
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信号由 ``strategy/etf/signal.py`` 的 ``gen_signals`` 生成：白名单里的每个标的
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一条信号，``tech_indicator`` 里带着已收盘指标（``etf_entry``、``etf_price`` 等）。
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本模块只负责"能不能建网 / 按哪个价挂底仓"，补仓与卖出见 ``positions.py``。
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底仓规则（``docs/etf.md`` §2、§3.5）：
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1. 现价必须落在入场门槛以内（``min(区间下沿 + 通道幅度×channel_pct%, MA60)``）；
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2. 用 ``rt.open_watch``（``DipWatch``）确认从观察低点反弹 ``rebound_pct%``；
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3. 反弹确认价就是锚点，按该价挂限价单买一档 ``buy_shares`` 股；
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4. 资金不足或挂单失败时撤销锚点，下一轮重新触发，不留"死锚点"。
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"""
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from datetime import datetime
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import logging as log
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import math
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from typing import Any, Mapping
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from libs.calc import trading_time
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from libs.order import PlaceOrderRequest
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from libs.runtime import Runtime
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from libs.signal import SignalItem
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from sdk import OP_BUY
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from .signal import IND_ENTRY, IND_PRICE
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def entry_prices(item: SignalItem) -> tuple[float, float]:
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"""返回 (入场门槛, 最近收盘价)；缺失时对应项为 0。"""
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values = getattr(item, "tech_indicator", None)
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if not isinstance(values, Mapping):
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values = {}
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entry = _positive(values.get(IND_ENTRY) or values.get("entry"))
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price = _positive(values.get(IND_PRICE) or getattr(item, "last_close", 0.0))
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return entry, price
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def classify_entry(item: SignalItem, runtime: Runtime, price: float) -> tuple[bool, str]:
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"""判定现价是否处于入场区，并维护 ``open_watch`` 的观察状态。
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Returns:
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(是否已确认可建网, 说明)。价格在入场区之上时清除观察点，
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防止用"陈旧低点 + 现价"拼出虚假反弹。
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"""
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entry, _ = entry_prices(item)
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if entry <= 0:
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return False, "缺少入场门槛指标"
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if price > entry:
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# 价格回到入场区上方：旧观察低点作废，必须重新形成低点。
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runtime.open_watch.forget(item.code)
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return False, f"未进入入场区(现价{price:.3f}>门槛{entry:.3f})"
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if not runtime.open_watch.triggered("建网", item.code, price):
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return False, f"入场区内等待反弹确认(门槛{entry:.3f})"
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return True, f"反弹已确认，锚点={price:.3f}"
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def open_signal(run: Runtime, ticks, open_signals) -> None:
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"""逐个验证开仓信号，按锚点价挂出底仓限价单。"""
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if not trading_time(datetime.now()):
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return
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for item in open_signals:
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code = item.code
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try:
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symbol = _symbol(run, code)
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if symbol is None:
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log.info("[ETF开仓] %s 跳过：不在 _etf.yaml 白名单内", code)
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continue
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if code in (getattr(run.account_cfg, "excluded_codes", None) or []):
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log.info("[ETF开仓] %s 跳过：已配置为排除证券", code)
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continue
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price = _tick_price(run, code, (ticks or {}).get(code))
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if price <= 0:
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continue
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if run.orders.busy(code, "BUY"):
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log.info("[ETF开仓] %s 跳过：买入委托处理中", code)
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continue
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confirmed, reason = classify_entry(item, run, price)
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if not confirmed:
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log.info("[ETF开仓] %s 跳过：%s", code, reason)
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continue
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volume = _entry_volume(run, code)
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if volume <= 0:
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run.open_watch.forget(code) # 不留挂不出单的死锚点
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continue
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if not _budget_ok(run, price * volume):
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run.open_watch.forget(code)
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log.info(
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"[ETF开仓] %s 跳过：本轮预算不足，锚点作废，现价=%.3f，需要=%.2f",
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code,
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price,
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price * volume,
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)
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continue
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do_open(run, code, volume, price, reason)
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except Exception as exc:
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log.exception("[ETF开仓] %s 处理异常：%s", code, exc)
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def do_open(run: Runtime, code: str, volume: int, price: float, reason: str = "") -> bool:
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"""按锚点价挂底仓买入委托；成功返回 True。"""
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request = PlaceOrderRequest(
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op=OP_BUY,
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code=code,
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volume=int(volume),
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order_id=run.orders.new_order_id("ETF", "BUY"),
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strategy_name=strategy_name(run),
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kind="base",
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price=price,
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)
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if not run.orders.place(run.client, request):
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run.open_watch.forget(code)
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log.warning("[ETF开仓] %s 底仓挂单失败，撤销锚点：%s", code, reason)
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return False
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run.open_watch.forget(code)
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log.info(
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"[ETF开仓] %s 建网底仓 %d 股，锚点=%.3f，%s", code, request.volume, price, reason
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)
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return True
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def strategy_name(run: Runtime) -> str:
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"""委托上的策略名：与账户 ``strategy`` 一致，便于按策略过滤委托与日志。"""
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return str(getattr(run.account_cfg, "strategy", "") or "etf").strip().lower() or "etf"
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def _symbol(run: Runtime, code: str) -> Any | None:
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"""取标的配置；不在白名单内返回 None。"""
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symbols = getattr(getattr(run, "etf_cfg", None), "symbols", None)
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if not isinstance(symbols, Mapping):
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return None
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return symbols.get(code)
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def _tick_price(run: Runtime, code: str, tick) -> float:
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"""校验实时行情：有限正数、时间戳为当天且未超过 ``max_tick_age_seconds``。"""
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price = _positive(getattr(tick, "last_price", 0.0)) if tick is not None else 0.0
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if price <= 0:
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log.info("[ETF开仓] %s 跳过：价格无效", code)
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return 0.0
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now = datetime.now()
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stamp = _tick_stamp(getattr(tick, "raw", None))
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if stamp is None:
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log.info("[ETF开仓] %s 跳过：行情时间戳缺失", code)
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return 0.0
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if stamp.date() != now.date():
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log.info("[ETF开仓] %s 跳过：行情时间戳非当天(%s)", code, stamp)
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return 0.0
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limit = _max_tick_age(run)
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age = (now - stamp).total_seconds()
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if age > limit:
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log.info("[ETF开仓] %s 跳过：行情已过期 %.0f 秒>%d 秒", code, age, limit)
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return 0.0
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return price
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def _tick_stamp(raw: Any) -> datetime | None:
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"""解析行情时间戳（``20260916103000`` / ``2026-09-16 10:30:00``）。"""
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if not isinstance(raw, Mapping):
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return None
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text = str(raw.get("timetag") or raw.get("time") or raw.get("stime") or "")
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digits = "".join(char for char in text if char.isdigit())
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if len(digits) < 14:
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return None
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try:
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return datetime.strptime(digits[:14], "%Y%m%d%H%M%S")
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except ValueError:
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return None
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def _max_tick_age(run: Runtime) -> int:
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defaults = getattr(getattr(run, "etf_cfg", None), "defaults", None)
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value = getattr(defaults, "max_tick_age_seconds", 0)
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return value if type(value) is int and value > 0 else 90
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def _entry_volume(run: Runtime, code: str) -> int:
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"""底仓股数：配置的 ``buy_shares``，按整手与单标的上限裁剪。"""
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volume = getattr(_symbol(run, code), "buy_shares", 0)
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if type(volume) is not int or volume <= 0:
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log.info("[ETF开仓] %s 跳过：buy_shares 配置无效", code)
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return 0
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volume -= volume % 100
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if volume <= 0:
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return 0
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max_shares = getattr(_symbol(run, code), "max_shares", None)
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if type(max_shares) is int and max_shares > 0:
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volume = min(volume, max_shares - max_shares % 100)
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return volume
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def _budget_ok(run: Runtime, amount: float) -> bool:
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"""本轮可用预算 = 券商可用资金 − 现金安全线 − 所有在途买单预留。"""
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assets = _latest_assets(run)
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available = getattr(assets, "available", None)
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if isinstance(available, bool) or not isinstance(available, (int, float)):
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# 拿不到资金快照时不阻拦，最终由柜台与在途委托锁把关。
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return True
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total = _positive(getattr(assets, "total", 0.0))
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ratio = getattr(run.account_cfg, "min_cash_ratio", 0.0)
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if isinstance(ratio, bool) or not isinstance(ratio, (int, float)):
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ratio = 0.0
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budget = float(available) - total * float(ratio) - pending_buy_amount(run)
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return amount <= max(0.0, budget)
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def pending_buy_amount(run: Runtime) -> float:
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"""所有未确认买单的预留金额（不是只算当前标的）。"""
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reserved = 0.0
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for order in getattr(run.orders, "data", None) or []:
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if getattr(order, "side", "") != "BUY":
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continue
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remaining = getattr(order, "volume_total_original", 0) - getattr(
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order, "volume_traded", 0
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)
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price = getattr(order, "limit_price", 0.0) or getattr(order, "traded_price", 0.0)
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if remaining > 0 and _positive(price) > 0:
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reserved += float(remaining) * float(price)
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return reserved
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def _latest_assets(run: Runtime) -> Any:
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"""读取最新资金快照：优先用 Runtime 上缓存的，其次问一次客户端。"""
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cached = getattr(run, "assets", None)
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if cached is not None:
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return cached
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try:
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return run.client.assets()
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except Exception:
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return None
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def _positive(value: Any) -> float:
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"""把配置/指标值转成有限正浮点数；不合法时返回 0。"""
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if isinstance(value, bool) or not isinstance(value, (int, float)):
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return 0.0
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value = float(value)
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return value if math.isfinite(value) and value > 0 else 0.0
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