big-qmt/py-client/strategy/trend/positions.py

"""趋势策略持仓止盈与分级补仓。"""

from __future__ import annotations

import logging
from dataclasses import dataclass

from libs.calc import calc_buy_volume, calculate_min_profit_rate
from libs.grid_take_profit import GridState
from sdk import OP_BUY, OP_SELL, Position, Tick

from .order import PlaceOrderRequest
from .runtime import Runtime
from .state import STATUS_ING

LEG_BASE = "base"
LEG_ADDED = "add"
LOSS_TIERS = (-30.0, -50.0)


@dataclass(frozen=True, slots=True)
class TradeDecision:
    """一次止盈或补仓判断的统一结果。"""

    submitted: bool
    message: str = ""
    reserved_cash: float = 0.0


def manage_positions(
    runtime: Runtime,
    ticks: dict[str, Tick],
    positions: list[Position],
    market_ok: bool,
    available: float,
) -> None:
    """处理所有真实持仓，并在本轮内统一控制补仓预算。"""
    active_keys = {
        _position_key(runtime, position.stock_code)
        for position in positions
        if position.volume > 0 and position.stock_code
    }
    runtime.profit_tracker.retain(active_keys)
    remaining_cash = max(0.0, available)

    logging.info("[持仓] 共 %d 只，开始处理", len(positions))
    for position in positions:
        code = position.stock_code
        tick = ticks.get(code)
        if code in runtime.account_cfg.excluded_codes:
            continue
        if (
            not code
            or position.open_price <= 0
            or position.volume <= 0
            or tick is None
            or tick.last_price <= 0
        ):
            continue

        pnl_rate = round(
            (tick.last_price - position.open_price) / position.open_price * 100,
            2,
        )
        minimum_profit = calculate_min_profit_rate(position.open_price, 1)
        profit_decision = handle_profit(
            runtime=runtime,
            position=position,
            tick=tick,
            pnl_rate=pnl_rate,
            minimum_profit=minimum_profit,
        )
        if profit_decision.message:
            logging.info("[止盈] %s %s", code, profit_decision.message)

        if runtime.account_cfg.enable_loss_add_position and market_ok:
            loss_decision = handle_loss(
                runtime=runtime,
                position=position,
                tick=tick,
                pnl_rate=pnl_rate,
                available=remaining_cash,
            )
            remaining_cash -= loss_decision.reserved_cash
            if loss_decision.message:
                logging.info("[补仓] %s %s", code, loss_decision.message)


def handle_profit(
    runtime: Runtime,
    position: Position,
    tick: Tick,
    pnl_rate: float,
    minimum_profit: float,
) -> TradeDecision:
    """基于跨轮保存的最高盈利网格判断是否提交止盈。"""
    if pnl_rate < minimum_profit:
        return TradeDecision(False)

    key = _position_key(runtime, position.stock_code)
    observation = runtime.profit_tracker.observe(key, pnl_rate)
    if observation.state == GridState.ARMED:
        return TradeDecision(
            False,
            f"首次达到 {pnl_rate:.2f}%，峰值网格={observation.current_grid}",
        )
    if observation.state == GridState.RAISED:
        return TradeDecision(
            False,
            f"上涨至 {pnl_rate:.2f}%，峰值网格={observation.current_grid}",
        )
    if observation.state in {GridState.STEADY}:
        return TradeDecision(False)
    if runtime.orders.busy(position.stock_code, "SELL"):
        return TradeDecision(False, "卖出委托处理中")

    volume = position.can_use_volume - position.can_use_volume % 100
    if volume <= 0:
        return TradeDecision(False, "无可用整手持仓")
    order_id = runtime.orders.new_order_id(LEG_BASE)
    request = PlaceOrderRequest(
        client=runtime.client,
        op=OP_SELL,
        code=position.stock_code,
        volume=volume,
        order_id=order_id,
        strategy_name=runtime.account_cfg.strategy,
    )
    if not runtime.orders.place(request):
        return TradeDecision(False, "止盈委托失败")
    return TradeDecision(True, f"卖出 {volume} 股，订单={order_id}")


def handle_loss(
    runtime: Runtime,
    position: Position,
    tick: Tick,
    pnl_rate: float,
    available: float,
) -> TradeDecision:
    """按亏损档位、反弹确认和本轮剩余预算提交补仓。"""
    try:
        state = runtime.state.get(position.stock_code)
    except KeyError:
        return TradeDecision(False, "缺少持仓状态，跳过补仓")

    if state.added_num >= len(LOSS_TIERS):
        return TradeDecision(False, "已达到最大补仓次数")
    if pnl_rate > LOSS_TIERS[state.added_num]:
        return TradeDecision(False)
    if tick.last_price > 200 or position.market_value >= 60_000:
        return TradeDecision(False, "价格或仓位市值超过补仓限制")
    if not runtime.add_watch.triggered("补仓", position.stock_code, tick.last_price):
        return TradeDecision(False, "等待价格反弹确认")
    if runtime.orders.busy(position.stock_code, "BUY"):
        return TradeDecision(False, "买入委托处理中")

    volume = calc_buy_volume(tick.last_price, runtime.account_cfg.buy_value)
    amount = tick.last_price * volume
    if volume <= 0 or amount > available:
        return TradeDecision(False, "本轮可用资金不足")

    order_id = runtime.orders.new_order_id(LEG_ADDED)
    request = PlaceOrderRequest(
        client=runtime.client,
        op=OP_BUY,
        code=position.stock_code,
        volume=volume,
        order_id=order_id,
        strategy_name=runtime.account_cfg.strategy,
    )
    if not runtime.orders.place(request):
        return TradeDecision(False, "补仓委托失败")

    state.added_num += 1
    state.added_status = STATUS_ING
    state.added_order_id = order_id
    state.added_qty = volume
    state.added_cost = tick.last_price
    runtime.state.set(state)
    runtime.state.save()
    runtime.add_watch.forget(position.stock_code)
    return TradeDecision(True, f"买入 {volume} 股，订单={order_id}", amount)


def _position_key(runtime: Runtime, code: str) -> str:
    return f"{runtime.account_cfg.account_id}:{code}"