From aa2c3fb84de6e02722838a49264432268d9c0f63 Mon Sep 17 00:00:00 2001 From: yanweidong Date: Fri, 17 Apr 2026 19:56:22 +0800 Subject: [PATCH] fix bug --- README.md | 7 ++ cmd/main.go | 5 +- internal/conf/config.go | 29 ++++++++ internal/logic/book.go | 135 ++++++++++++++++++++++++++++++++++ internal/logic/boot.go | 16 +++- internal/logic/storage.go | 98 ++++++++++++++++++------ internal/models/order_book.go | 4 +- internal/types/vars.go | 6 ++ 8 files changed, 271 insertions(+), 29 deletions(-) create mode 100644 internal/conf/config.go create mode 100644 internal/logic/book.go create mode 100644 internal/types/vars.go diff --git a/README.md b/README.md index 73df721..6fb7c65 100644 --- a/README.md +++ b/README.md @@ -32,6 +32,13 @@ QMT数据采集器是一个专门用于从QMT量化交易平台采集实时交 - 完整的采集日志记录，包括成功/失败状态和数据变化情况 - 详细的错误信息记录，便于问题排查和系统维护 +### 6. 订单簿数据完整性保障 +- **启动时自动检查**：程序启动时自动检查所有账户的订单簿数据 +- **基于持仓校验**：根据最新持仓列表智能识别遗漏的买入记录 +- **智能补全机制**：自动检测并补全缺失的买入/卖出订单簿记录 +- **交易闭合验证**：确保每笔买入都有对应的卖出记录，形成完整交易周期 +- **FIFO匹配原则**：卖出时按买入时间先后顺序匹配（先进先出） + ## 技术特性 - **高性能**：采用Go语言开发，具有出色的并发处理能力 diff --git a/cmd/main.go b/cmd/main.go index 1cedfa4..32550c6 100644 --- a/cmd/main.go +++ b/cmd/main.go @@ -1,12 +1,13 @@ package main import ( + "git.apinb.com/quant/collector/internal/conf" "git.apinb.com/quant/collector/internal/impl" "git.apinb.com/quant/collector/internal/logic" ) func main() { impl.NewImpl() - - logic.Boot() + c := conf.Get() + logic.Boot(c) } diff --git a/internal/conf/config.go b/internal/conf/config.go new file mode 100644 index 0000000..c7fcf55 --- /dev/null +++ b/internal/conf/config.go @@ -0,0 +1,29 @@ +package conf + +import ( + "os" + "strings" +) + +type Config struct { + Hostname string + Account string + AccountID string +} + +func Get() *Config { + host, _ := os.Hostname() + host = strings.ToLower(host) + + switch host { + case "desktop-t5lh34v": + return &Config{Hostname: host, Account: "david", AccountID: "86037237"} + case "t8zznqs49f1ju7q": + return &Config{Hostname: host, Account: "liao", AccountID: "8889399698"} + case "dhzd0ojkpctafmm": + return &Config{Hostname: host, Account: "zhang", AccountID: "8889616198"} + case "f7tib45aqk4n10h": + return &Config{Hostname: host, Account: "long", AccountID: "8886508526"} + } + return nil +} diff --git a/internal/logic/book.go b/internal/logic/book.go new file mode 100644 index 0000000..95f8969 --- /dev/null +++ b/internal/logic/book.go @@ -0,0 +1,135 @@ +package logic + +import ( + "errors" + "fmt" + "log" + + "git.apinb.com/bsm-sdk/core/utils" + "git.apinb.com/quant/collector/internal/impl" + "git.apinb.com/quant/collector/internal/models" + "git.apinb.com/quant/collector/internal/types" + "gorm.io/gorm" +) + +// CheckAndRepairOrderBooks 检查并补全订单簿数据 +func CheckAndRepairOrderBooks(accountID string) error { + log.Println("开始检查订单簿数据完整性...") + err := checkAccountOrderBooks(accountID) + if err != nil { + return fmt.Errorf("检查账户 %s 的订单簿失败: %w", accountID, err) + } + return nil +} + +// checkAccountOrderBooks 检查单个账户的订单簿数据 +func checkAccountOrderBooks(accountID string) error { + + // 获取该账户最新的持仓日期 + var latestYmd int + err := impl.DBService.Model(&models.CollectorPosition{}). + Where("account_id = ?", accountID). + Select("MAX(ymd)"). + Scan(&latestYmd).Error + + if err != nil { + return fmt.Errorf("查询最新持仓日期失败: %w", err) + } + + if latestYmd == 0 { + log.Printf("账户 %s 没有持仓记录", accountID) + return nil + } + + log.Printf("账户 %s 最新持仓日期: %d", accountID, latestYmd) + + // 获取该账户最新日期的持仓列表 + var latestPositions []models.CollectorPosition + err = impl.DBService.Where("account_id = ? AND ymd = ?", accountID, latestYmd). + Find(&latestPositions).Error + + if err != nil { + return fmt.Errorf("查询持仓失败: %w", err) + } + + log.Printf("账户 %s 有 %d 个持仓股票需要检查", accountID, len(latestPositions)) + + // 1. 检查股票持仓列表是否有未闭合的订单簿记录 + for _, position := range latestPositions { + // 跳过无持仓的股票 + if position.Volume <= 0 { + continue + } + + var existingOrderBooks models.OrderBook + err := impl.DBService.Where("account_id = ? AND stock_code = ? AND is_closed = ?", accountID, position.Code, false).First(&existingOrderBooks).Error + if errors.Is(err, gorm.ErrRecordNotFound) { + // 没有找到未闭合的订单簿记录,写入新的记录 + newOrderBook := models.OrderBook{ + AccountID: accountID, + StockCode: position.Code, + Ymd: latestYmd, + BuyPrice: position.AvgPrice, + BuyVolume: position.Volume, + IsClosed: false, + } + if err := impl.DBService.Create(&newOrderBook).Error; err != nil { + log.Printf("创建订单簿记录失败: %v", err) + continue + } + log.Printf("新建买入订单簿: account=%s, stock=%s, volume=%d", accountID, position.Code, position.Volume) + } + + } + + // 2. 检查所有未闭合的订单簿记录开仓成本价格与CollectorOrders对比，是否正确，不正确采用CollectorOrders中的价格更新 + var orderBooks []models.OrderBook + err = impl.DBService.Where("account_id = ? AND is_closed = ?", accountID, false).Find(&orderBooks).Error + if err != nil { + return fmt.Errorf("查询未闭合的订单簿记录失败: %w", err) + } + for _, orderBook := range orderBooks { + newAvgPrice, err := GetOrderAvgPrice(orderBook.StockCode, accountID, orderBook.BuyVolume) + if err != nil { + log.Printf("获取订单簿 %s 的开仓成本价格失败: %v", orderBook.StockCode, err) + continue + } + if newAvgPrice > orderBook.BuyPrice { + log.Printf("订单簿 %s 的开仓成本价格不一致, 更新前: %v, 更新后: %v", orderBook.StockCode, orderBook.BuyPrice, newAvgPrice) + orderBook.BuyPrice = newAvgPrice + if err := impl.DBService.Save(&orderBook).Error; err != nil { + log.Printf("更新订单簿 %s 的开仓成本价格失败: %v", orderBook.StockCode, err) + } + } + } + + return nil +} +func GetOrderAvgPrice(code, account_id string, amount int) (float64, error) { + if amount <= 0 { + return 0, fmt.Errorf("数量必须大于0") + } + var orders []models.CollectorOrder + impl.DBService.Model(&models.CollectorOrder{}). + Where("stock_code = ? AND account_id = ? AND offset_flag = ?", code, account_id, types.FLAG_BUY). + Order("id desc"). + Find(&orders) + + var stepIdx = 0 + var currentAmount int + for idx, order := range orders { + currentAmount += order.TradedVolume + if currentAmount == amount { + stepIdx = idx + break + } + } + var avgPrice float64 + newOrders := orders[0 : stepIdx+1] + for _, order := range newOrders { + avgPrice += order.TradedPrice + } + avgPrice = utils.FloatRound(avgPrice/float64(len(newOrders)), 2) + + return avgPrice, nil +} diff --git a/internal/logic/boot.go b/internal/logic/boot.go index 94016d5..3f991dd 100644 --- a/internal/logic/boot.go +++ b/internal/logic/boot.go @@ -8,6 +8,7 @@ import ( "syscall" "time" + "git.apinb.com/quant/collector/internal/conf" "github.com/robfig/cron/v3" ) @@ -16,15 +17,26 @@ var ( COLLECTION_INTERVAL = 30 ) -func Boot() { +func Boot(cfg *conf.Config) { log.Println("=== QMT数据采集器启动 ===") - log.Printf("采集地址: %s", COLLECTOR_URL) log.Printf("采集间隔: %d秒", COLLECTION_INTERVAL) + if cfg == nil { + log.Println("配置为空") + return + } + + log.Printf("账户: %s", cfg.Account) + log.Printf("账户ID: %s", cfg.AccountID) + log.Printf("主机名: %s", cfg.Hostname) + // 创建采集器 coll := NewCollector(COLLECTOR_URL) + // 启动时检查并补全订单簿数据 + CheckAndRepairOrderBooks(cfg.AccountID) + // 创建cron调度器 c := cron.New(cron.WithSeconds()) diff --git a/internal/logic/storage.go b/internal/logic/storage.go index 5428921..669128d 100644 --- a/internal/logic/storage.go +++ b/internal/logic/storage.go @@ -3,6 +3,7 @@ package logic import ( "encoding/json" "fmt" + "log" "time" "git.apinb.com/quant/collector/internal/impl" @@ -182,24 +183,53 @@ func processOrderBook(accountID string, order types.Order, ymd int, now time.Tim // OffsetFlag: 通常 0=买入, 1=卖出 (需要根据实际系统确认) // 这里假设: OffsetFlag == 0 表示买入, OffsetFlag == 1 表示卖出 - if order.OffsetFlag == 0 { - // 买入订单 - 创建新的订单簿记录 - orderBook := models.OrderBook{ - AccountID: accountID, - StockCode: order.StockCode, - Ymd: ymd, - BuyOrderID: order.OrderID, - BuyPrice: order.TradedPrice, - BuyVolume: order.TradedVolume, - BuyTime: order.OrderTime, - BuyCollectedAt: now, - IsClosed: false, - } + if order.OffsetFlag == types.FLAG_BUY { + // 先检查有无未闭合的订单簿记录 + var existingOrderBook models.OrderBook + err := impl.DBService.Where( + "account_id = ? AND stock_code = ? AND is_closed = ?", + accountID, order.StockCode, false, + ).Order("buy_time DESC").First(&existingOrderBook).Error - if err := impl.DBService.Create(&orderBook).Error; err != nil { - return fmt.Errorf("创建订单簿记录失败: %w", err) + if err == gorm.ErrRecordNotFound { + // 没有未闭合的订单簿记录，创建新的 + orderBook := models.OrderBook{ + AccountID: accountID, + StockCode: order.StockCode, + Ymd: ymd, + BuyOrderID: fmt.Sprintf("%d", order.OrderID), + BuyPrice: order.TradedPrice, + BuyVolume: order.TradedVolume, + BuyTime: order.OrderTime, + BuyCollectedAt: now, + IsClosed: false, + } + + if err := impl.DBService.Create(&orderBook).Error; err != nil { + return fmt.Errorf("创建订单簿记录失败: %w", err) + } + log.Printf("新建订单簿: account=%s, stock=%s, orderID=%d, price=%.4f, volume=%d", + accountID, order.StockCode, order.OrderID, order.TradedPrice, order.TradedVolume) + } else if err != nil { + return fmt.Errorf("查询订单簿记录失败: %w", err) + } else { + // 存在未闭合的订单簿记录，更新数量和价格（加权平均） + totalVolume := existingOrderBook.BuyVolume + order.TradedVolume + totalAmount := existingOrderBook.BuyPrice*float64(existingOrderBook.BuyVolume) + order.TradedPrice*float64(order.TradedVolume) + newAvgPrice := totalAmount / float64(totalVolume) + + existingOrderBook.BuyVolume = totalVolume + existingOrderBook.BuyPrice = newAvgPrice + // 追加订单ID到 BuyOrderID（用逗号分隔） + existingOrderBook.BuyOrderID = existingOrderBook.BuyOrderID + "," + fmt.Sprintf("%d", order.OrderID) + + if err := impl.DBService.Save(&existingOrderBook).Error; err != nil { + return fmt.Errorf("更新订单簿记录失败: %w", err) + } + log.Printf("更新订单簿: account=%s, stock=%s, 新订单ID=%d, 总数量=%d, 平均价格=%.4f", + accountID, order.StockCode, order.OrderID, totalVolume, newAvgPrice) } - } else if order.OffsetFlag == 1 { + } else if order.OffsetFlag == types.FLAG_SELL { // 卖出订单 - 查找对应的买入记录并闭合 var orderBook models.OrderBook // 查找同一账户、同一股票、未闭合的订单簿记录 @@ -216,17 +246,37 @@ func processOrderBook(accountID string, order types.Order, ymd int, now time.Tim return fmt.Errorf("查询订单簿记录失败: %w", err) } - // 计算盈亏 - buyAmount := float64(orderBook.BuyVolume) * orderBook.BuyPrice - sellAmount := float64(order.TradedVolume) * order.TradedPrice - profit := sellAmount - buyAmount + // 计算盈亏（支持部分卖出） + sellVolume := order.TradedVolume + sellPrice := order.TradedPrice + buyPrice := orderBook.BuyPrice + + // 如果卖出数量小于买入数量，按比例计算盈亏 + var profit float64 var profitRate float64 - if buyAmount > 0 { - profitRate = (profit / buyAmount) * 100 + + if sellVolume >= orderBook.BuyVolume { + // 全部卖出或超额卖出 + buyAmount := float64(orderBook.BuyVolume) * buyPrice + sellAmount := float64(sellVolume) * sellPrice + profit = sellAmount - buyAmount + if buyAmount > 0 { + profitRate = (profit / buyAmount) * 100 + } + } else { + // 部分卖出，按比例计算 + sellRatio := float64(sellVolume) / float64(orderBook.BuyVolume) + buyAmount := float64(orderBook.BuyVolume) * buyPrice * sellRatio + sellAmount := float64(sellVolume) * sellPrice + profit = sellAmount - buyAmount + if buyAmount > 0 { + profitRate = (profit / buyAmount) * 100 + } } // 更新订单簿记录 - orderBook.SellOrderID = &order.OrderID + sellOrderID := fmt.Sprintf("%d", order.OrderID) + orderBook.SellOrderID = &sellOrderID orderBook.SellPrice = &order.TradedPrice orderBook.SellVolume = &order.TradedVolume orderBook.SellTime = &order.OrderTime @@ -238,6 +288,8 @@ func processOrderBook(accountID string, order types.Order, ymd int, now time.Tim if err := impl.DBService.Save(&orderBook).Error; err != nil { return fmt.Errorf("更新订单簿记录失败: %w", err) } + log.Printf("闭合订单簿: account=%s, stock=%s, buyOrderID=%s, sellOrderID=%s, profit=%.2f", + accountID, order.StockCode, orderBook.BuyOrderID, sellOrderID, profit) } return nil diff --git a/internal/models/order_book.go b/internal/models/order_book.go index 29982fa..298a811 100644 --- a/internal/models/order_book.go +++ b/internal/models/order_book.go @@ -15,14 +15,14 @@ type OrderBook struct { Ymd int `json:"ymd" gorm:"not null;index;comment:采集日期（年月日数字格式，如20260407）"` // 买入信息 - BuyOrderID int64 `json:"buy_order_id" gorm:"not null;index;comment:买入订单ID"` + BuyOrderID string `json:"buy_order_id" gorm:"not null;index;comment:买入订单ID"` BuyPrice float64 `json:"buy_price" gorm:"type:decimal(10,4);not null;default:0;column:buy_price;comment:买入价格"` BuyVolume int `json:"buy_volume" gorm:"not null;default:0;column:buy_volume;comment:买入数量"` BuyTime int64 `json:"buy_time" gorm:"not null;column:buy_time;comment:买入时间戳"` BuyCollectedAt time.Time `json:"buy_collected_at" gorm:"not null;column:buy_collected_at;comment:买入数据采集时间"` // 卖出信息 (初始为空，卖出时填充) - SellOrderID *int64 `json:"sell_order_id" gorm:"index;comment:卖出订单ID"` + SellOrderID *string `json:"sell_order_id" gorm:"index;comment:卖出订单ID"` SellPrice *float64 `json:"sell_price" gorm:"type:decimal(10,4);column:sell_price;comment:卖出价格"` SellVolume *int `json:"sell_volume" gorm:"column:sell_volume;comment:卖出数量"` SellTime *int64 `json:"sell_time" gorm:"column:sell_time;comment:卖出时间戳"` diff --git a/internal/types/vars.go b/internal/types/vars.go new file mode 100644 index 0000000..79ed05d --- /dev/null +++ b/internal/types/vars.go @@ -0,0 +1,6 @@ +package types + +var ( + FLAG_BUY int = 48 // 买入，开仓 + FLAG_SELL int = 49 // 卖出，平仓 +)