198 lines
6.5 KiB
Python
198 lines
6.5 KiB
Python
"""趋势策略持仓状态的内存管理与 JSON 持久化。"""
|
||
|
||
from __future__ import annotations
|
||
|
||
import json
|
||
from dataclasses import asdict, dataclass
|
||
from pathlib import Path
|
||
from threading import Lock
|
||
from typing import Iterable
|
||
|
||
from sdk import OrderItem, PositionItem
|
||
|
||
|
||
# 委托状态：无操作、处理中、已完成。
|
||
STATUS_NONE = ""
|
||
STATUS_ING = "ING"
|
||
STATUS_OK = "OK"
|
||
STATUS_FAILED = "FAILED"
|
||
STATUS_CANCELED = "CANCELED"
|
||
STATUS_UNKNOWN = "UNKNOWN"
|
||
|
||
|
||
@dataclass(slots=True)
|
||
class StateItem:
|
||
"""单只证券的底仓和补仓状态。"""
|
||
|
||
# 证券代码。
|
||
code: str
|
||
|
||
# 底仓订单、数量、成本和处理状态。
|
||
base_order_id: str = ""
|
||
base_qty: int = 0
|
||
base_cost: float = 0.0
|
||
base_status: str = STATUS_NONE
|
||
|
||
# 补仓订单、补仓次数、数量、成本和处理状态。
|
||
added_order_id: str = ""
|
||
added_num: int = 0
|
||
added_qty: int = 0
|
||
added_cost: float = 0.0
|
||
added_status: str = STATUS_NONE
|
||
|
||
|
||
class State:
|
||
"""线程安全的策略状态存储。
|
||
|
||
状态以内存字典提供快速访问，并通过临时文件替换的方式写入 JSON，
|
||
防止程序在写入过程中退出而破坏原状态文件。
|
||
"""
|
||
|
||
def __init__(self, path: str | Path) -> None:
|
||
self.path = Path(path)
|
||
self.lock = Lock()
|
||
self.items = self._load()
|
||
|
||
@classmethod
|
||
def for_strategy(
|
||
cls,
|
||
data_dir: str | Path,
|
||
strategy: str,
|
||
account_id: str,
|
||
) -> "State":
|
||
"""根据数据目录、策略名称和账户生成独立状态文件。"""
|
||
state_path = Path(data_dir) / f"{strategy}_{account_id}_state.json"
|
||
return cls(state_path)
|
||
|
||
@property
|
||
def codes(self) -> list[str]:
|
||
"""返回当前已经接管的全部证券代码快照。"""
|
||
with self.lock:
|
||
return list(self.items)
|
||
|
||
def get(self, code: str) -> StateItem:
|
||
"""获取指定证券的状态；不存在时抛出 KeyError。"""
|
||
with self.lock:
|
||
return self.items[code]
|
||
|
||
def set(self, item: StateItem) -> None:
|
||
"""新增或覆盖一只证券的状态。"""
|
||
with self.lock:
|
||
self.items[item.code] = item
|
||
|
||
def delete(self, code: str) -> bool:
|
||
"""删除已终结的证券状态，并返回是否实际删除。"""
|
||
with self.lock:
|
||
return self.items.pop(code, None) is not None
|
||
|
||
|
||
def sync_positions(self, positions: Iterable[PositionItem]) -> None:
|
||
"""把尚未接管的真实持仓初始化为已完成底仓。
|
||
|
||
无证券代码、无持仓数量或成本无效的记录会被忽略。同步结束后
|
||
立即保存，确保首次接管的持仓在程序重启后仍可恢复。
|
||
"""
|
||
known_codes = set(self.codes)
|
||
for position in positions:
|
||
if (
|
||
not position.stock_code
|
||
or position.volume <= 0
|
||
or position.open_price <= 0
|
||
or position.stock_code in known_codes
|
||
):
|
||
continue
|
||
|
||
self.set(
|
||
StateItem(
|
||
code=position.stock_code,
|
||
base_qty=position.volume,
|
||
base_cost=position.open_price,
|
||
base_status=STATUS_OK,
|
||
)
|
||
)
|
||
known_codes.add(position.stock_code)
|
||
|
||
self.save()
|
||
|
||
def reconcile(
|
||
self,
|
||
positions: Iterable[PositionItem],
|
||
orders: list[OrderItem],
|
||
) -> None:
|
||
"""用真实持仓和委托恢复本地状态；拆分订单全部完成才算完成。"""
|
||
position_list = list(positions)
|
||
self.sync_positions(position_list)
|
||
position_codes = {
|
||
item.stock_code for item in position_list if item.volume > 0
|
||
}
|
||
orders_by_local_id: dict[str, list[OrderItem]] = {}
|
||
for order in orders:
|
||
if order.local_order_id:
|
||
orders_by_local_id.setdefault(order.local_order_id, []).append(order)
|
||
|
||
for code in list(self.codes):
|
||
item = self.get(code)
|
||
for order_id_attr, status_attr in (
|
||
("base_order_id", "base_status"),
|
||
("added_order_id", "added_status"),
|
||
):
|
||
local_order_id = getattr(item, order_id_attr)
|
||
current_status = getattr(item, status_attr)
|
||
if (
|
||
current_status not in {STATUS_ING, STATUS_UNKNOWN}
|
||
or not local_order_id
|
||
):
|
||
continue
|
||
|
||
matching_orders = orders_by_local_id.get(local_order_id)
|
||
if matching_orders:
|
||
status = (
|
||
STATUS_OK
|
||
if all(order.status == "56" for order in matching_orders)
|
||
else STATUS_ING
|
||
)
|
||
setattr(item, status_attr, status)
|
||
self.set(item)
|
||
|
||
# Opening orders normally have no position until their first fill. Order
|
||
# reconciliation must therefore happen before stale state is removed.
|
||
for code in list(self.codes):
|
||
if code not in position_codes:
|
||
self.delete(code)
|
||
self.save()
|
||
|
||
def save(self) -> None:
|
||
"""将内存状态格式化写入 JSON，并原子替换正式文件。"""
|
||
with self.lock:
|
||
self.path.parent.mkdir(parents=True, exist_ok=True)
|
||
temporary_path = self.path.with_suffix(self.path.suffix + ".tmp")
|
||
payload = {
|
||
code: asdict(item)
|
||
for code, item in self.items.items()
|
||
}
|
||
temporary_path.write_text(
|
||
json.dumps(payload, ensure_ascii=False, indent=2) + "\n",
|
||
encoding="utf-8",
|
||
)
|
||
temporary_path.replace(self.path)
|
||
|
||
def _load(self) -> dict[str, StateItem]:
|
||
"""读取已有状态文件；文件不存在时从空状态开始。"""
|
||
try:
|
||
raw = json.loads(self.path.read_text(encoding="utf-8"))
|
||
except FileNotFoundError:
|
||
return {}
|
||
except (OSError, json.JSONDecodeError) as exc:
|
||
raise ValueError(f"[状态] 读取或解析失败: {exc}") from exc
|
||
|
||
if not isinstance(raw, dict):
|
||
raise ValueError("[状态] 状态文件根节点必须是 JSON 对象")
|
||
|
||
try:
|
||
return {
|
||
code: StateItem(**item)
|
||
for code, item in raw.items()
|
||
}
|
||
except (TypeError, ValueError) as exc:
|
||
raise ValueError(f"[状态] 状态字段无效: {exc}") from exc
|