214 lines
6.5 KiB
Python
214 lines
6.5 KiB
Python
"""趋势策略持仓状态的内存管理与 JSON 持久化。"""
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from __future__ import annotations
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import json
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from dataclasses import asdict, dataclass
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from pathlib import Path
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from threading import Lock
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from typing import Iterable
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from sdk import Position
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# 委托状态：无操作、处理中、已完成。
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STATUS_NONE = ""
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STATUS_ING = "ING"
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STATUS_OK = "OK"
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STATUS_FAILED = "FAILED"
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STATUS_CANCELED = "CANCELED"
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STATUS_UNKNOWN = "UNKNOWN"
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@dataclass(slots=True)
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class StateItem:
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"""单只证券的底仓和补仓状态。"""
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# 证券代码。
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code: str
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# 底仓订单、数量、成本和处理状态。
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base_order_id: str = ""
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base_qty: int = 0
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base_cost: float = 0.0
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base_status: str = STATUS_NONE
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# 补仓订单、补仓次数、数量、成本和处理状态。
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added_order_id: str = ""
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added_num: int = 0
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added_qty: int = 0
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added_cost: float = 0.0
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added_status: str = STATUS_NONE
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class State:
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"""线程安全的策略状态存储。
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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，
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防止程序在写入过程中退出而破坏原状态文件。
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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.lock = Lock()
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self.items = self._load()
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@classmethod
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def for_strategy(
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cls,
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data_dir: str | Path,
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strategy: str,
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account_id: str,
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) -> "State":
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"""根据数据目录、策略名称和账户生成独立状态文件。"""
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state_path = Path(data_dir) / f"{strategy}_{account_id}_state.json"
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return cls(state_path)
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@property
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def codes(self) -> list[str]:
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"""返回当前已经接管的全部证券代码快照。"""
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with self.lock:
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return list(self.items)
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def get(self, code: str) -> StateItem:
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"""获取指定证券的状态；不存在时抛出 KeyError。"""
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with self.lock:
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return self.items[code]
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def set(self, item: StateItem) -> None:
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"""新增或覆盖一只证券的状态。"""
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with self.lock:
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self.items[item.code] = item
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def delete(self, code: str) -> None:
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"""删除证券状态；证券不存在时不报错。"""
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with self.lock:
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self.items.pop(code, None)
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def sync_positions(self, positions: Iterable[Position]) -> None:
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"""把尚未接管的真实持仓初始化为已完成底仓。
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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
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立即保存，确保首次接管的持仓在程序重启后仍可恢复。
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"""
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known_codes = set(self.codes)
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for position in positions:
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if (
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not position.stock_code
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or position.volume <= 0
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or position.open_price <= 0
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or position.stock_code in known_codes
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):
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continue
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self.set(
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StateItem(
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code=position.stock_code,
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base_qty=position.volume,
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base_cost=position.open_price,
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base_status=STATUS_OK,
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)
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)
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known_codes.add(position.stock_code)
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self.save()
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def reconcile(
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self,
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positions: Iterable[Position],
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orders: list[dict[str, str]],
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deals: list[dict[str, str]],
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) -> None:
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"""用真实持仓、委托和成交恢复本地状态，不增加持久化字段。"""
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position_list = list(positions)
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self.sync_positions(position_list)
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active_codes = {
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item.stock_code for item in position_list if item.volume > 0
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}
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for code in list(self.codes):
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if code not in active_codes:
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self.delete(code)
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for code in list(self.codes):
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item = self.get(code)
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item.base_status = _reconcile_leg(
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item.base_order_id, item.base_status, orders, deals
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)
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item.added_status = _reconcile_leg(
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item.added_order_id, item.added_status, orders, deals
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)
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self.set(item)
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self.save()
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def save(self) -> None:
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"""将内存状态格式化写入 JSON，并原子替换正式文件。"""
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with self.lock:
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self.path.parent.mkdir(parents=True, exist_ok=True)
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temporary_path = self.path.with_suffix(self.path.suffix + ".tmp")
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payload = {
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code: asdict(item)
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for code, item in self.items.items()
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}
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temporary_path.write_text(
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json.dumps(payload, ensure_ascii=False, indent=2) + "\n",
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encoding="utf-8",
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)
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temporary_path.replace(self.path)
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def _load(self) -> dict[str, StateItem]:
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"""读取已有状态文件；文件不存在时从空状态开始。"""
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try:
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raw = json.loads(self.path.read_text(encoding="utf-8"))
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except FileNotFoundError:
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return {}
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except (OSError, json.JSONDecodeError) as exc:
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raise ValueError(f"[状态] 读取或解析失败: {exc}") from exc
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if not isinstance(raw, dict):
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raise ValueError("[状态] 状态文件根节点必须是 JSON 对象")
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try:
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return {
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code: StateItem(**item)
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for code, item in raw.items()
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}
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except (TypeError, ValueError) as exc:
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raise ValueError(f"[状态] 状态字段无效: {exc}") from exc
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def _reconcile_leg(
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local_order_id: str,
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current_status: str,
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orders: list[dict[str, str]],
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deals: list[dict[str, str]],
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) -> str:
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if current_status != STATUS_ING or not local_order_id:
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return current_status
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if any(local_order_id in row.get("m_strRemark", "") for row in deals):
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return STATUS_OK
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order = next(
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(
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row for row in orders
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if local_order_id in row.get("m_strRemark", "")
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),
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None,
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)
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if order is None:
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return STATUS_UNKNOWN
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traded = _as_int(order.get("m_nVolumeTraded"))
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status = str(order.get("m_nOrderStatus", ""))
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if traded > 0 and status not in {"48", "49", "50", "51", "52", "55"}:
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return STATUS_OK
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if status in {"54", "56"}:
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return STATUS_CANCELED
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if status in {"57", "58"}:
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return STATUS_FAILED
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return STATUS_ING
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def _as_int(value: object) -> int:
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try:
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return int(value or 0)
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except (TypeError, ValueError):
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return 0
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