stock_fundamentals/src/QMT/strategy.py

# coding:utf-8
import time
import datetime
import threading
import logging
from xtquant import xtdata
from xtquant.xttrader import XtQuantTrader
from xtquant.xttype import StockAccount
from xtquant import xtconstant
from database_manager import DatabaseManager
from redis_state_manager import RedisStateManager

def is_call_auction_time(now_time=None):
    """
    判断当前时间是否处于开盘集合竞价时段
    """
    if not now_time:
        now_time = datetime.datetime.now().time()
    
    # 开盘集合竞价时间段
    call_auction_start = datetime.time(9, 15)
    call_auction_end = datetime.time(9, 25)
    
    return call_auction_start <= now_time <= call_auction_end

def is_continuous_trading_time(now_time=None):
    """
    判断当前时间是否处于连续交易时段
    """
    if not now_time:
        now_time = datetime.datetime.now().time()
        
    # 上午连续交易时段
    morning_start = datetime.time(9, 30)
    morning_end = datetime.time(11, 30)
    
    # 下午连续交易时段
    afternoon_start = datetime.time(13, 0)
    afternoon_end = datetime.time(14, 57)
    
    is_morning = morning_start <= now_time <= morning_end
    is_afternoon = afternoon_start <= now_time <= afternoon_end
    
    return is_morning or is_afternoon

# 定义一个类 创建类的实例 作为状态的容器
class _a():
    pass

A = _a()
A.hsa = xtdata.get_stock_list_in_sector('沪深A股')
A.order_timeout = 300  # 订单超时时间（秒），默认5分钟

# 数据库管理器实例
db_manager = None
redis_manager = None

def initialize_database_manager(logger=None):
    """初始化数据库管理器"""
    global db_manager
    if db_manager is None:
        db_manager = DatabaseManager(logger)
    return db_manager

def initialize_redis_manager(logger=None):
    """初始化Redis状态管理器"""
    global redis_manager
    if redis_manager is None:
        redis_manager = RedisStateManager(logger)
    return redis_manager

def load_trading_plans_from_database(strategy_id=1, logger=None):
    """已弃用：计划改为直接从Redis读取，保留此函数用于日志兼容"""
    if logger:
        logger.info("交易计划现改为从Redis读取，数据库仅做审计。")
    return {}, {}

def load_initial_positions(xt_trader, acc, logger):
    """启动时一次性加载初始持仓状态（券商→Redis）并返回Redis视图"""
    try:
        # 先从QMT获取持仓
        positions = xt_trader.query_stock_positions(acc)
        qmt_positions = {pos.stock_code: pos.m_nVolume for pos in positions if pos.m_nVolume > 0}
        
        # 从数据库获取持仓
        db_manager = initialize_database_manager(logger)
        db_positions = db_manager.get_current_positions()

        # 将券商持仓写入Redis为权威值；DB中但券商为0的暂不写入，避免脏数据覆盖
        r = initialize_redis_manager(logger)
        # 清理Redis中不存在于券商的持仓（设为0即删除）
        for code in list(r.get_all_positions().keys()):
            if code not in qmt_positions:
                r.set_position(code, 0)
        for code, qty in qmt_positions.items():
            r.set_position(code, qty)

        logger.info(f"初始持仓加载完成，已同步至Redis")
        logger.info(f"  QMT持仓: {qmt_positions}")
        logger.info(f"  数据库持仓: {db_positions}")
        return r.get_all_positions()
    except Exception as e:
        logger.error(f"加载初始持仓失败: {str(e)}")
        A.positions = {}
        return {}

def update_position_in_memory(stock_code, quantity_change, is_buy=True, price=None, logger=None):
    """以Redis为主更新持仓，同时更新数据库（不再维护内存镜像）"""
    try:
        # Redis持仓更新
        r = initialize_redis_manager(logger)
        delta = quantity_change if is_buy else -quantity_change
        new_qty = r.incr_position(stock_code, delta)
        
        # 更新数据库持仓
        if price is not None:
            db_manager = initialize_database_manager(logger)
            db_manager.update_position(stock_code, quantity_change, price, is_buy)
        
        if logger:
            logger.info(f"持仓状态已更新: {stock_code} -> {new_qty}股（Redis）")
    except Exception as e:
        if logger:
            logger.error(f"更新持仓状态失败: {str(e)}")

def add_pending_order(stock_code, order_id, order_quantity, order_price, target_price, order_side='buy', logger=None):
    """添加在途订单：写Redis为主，同时记录数据库"""
    try:
        order_info = {
            'order_id': order_id,
            'order_quantity': order_quantity,
            'order_price': order_price,
            'target_price': target_price,
            'order_time': datetime.datetime.now().strftime('%Y-%m-%d %H:%M:%S'),
            'status': 'pending',
            'side': order_side
        }
        # Redis
        r = initialize_redis_manager(logger)
        r.set_pending(stock_code, order_info)
        
        # 记录到数据库
        db_manager = initialize_database_manager(logger)
        order_data = {
            'order_id': order_id,
            'strategy_id': 1,
            'stock_code': stock_code,
            'order_side': order_side,
            'order_quantity': order_quantity,
            'order_price': order_price,
            'target_price': target_price,
            'order_status': 'pending',
            'order_time': datetime.datetime.now().strftime('%Y-%m-%d %H:%M:%S'),
            'order_remark': f"{order_side.upper()}_{stock_code}_{int(time.time())}"
        }
        db_manager.insert_order(order_data)
        
        if logger:
            logger.info(f"添加在途订单: {stock_code} -> {order_id}")
    except Exception as e:
        if logger:
            logger.error(f"添加在途订单失败: {str(e)}")

def remove_pending_order(stock_code, logger=None):
    """移除在途订单，同时更新数据库状态"""
    try:
        r = initialize_redis_manager(logger)
        order_info = r.get_pending(stock_code)
        
        if order_info is None:
            if logger:
                logger.warning(f"未找到在途订单: {stock_code}")
            return
            
        r.del_pending(stock_code)

        # 更新数据库订单状态
        print("====================================")
        db_manager = initialize_database_manager(logger)
        db_manager.update_order_status(order_info['order_id'], 'completed')

        if logger:
            logger.info(f"移除在途订单: {stock_code} -> {order_info['order_id']}")
    except Exception as e:
        if logger:
            logger.error(f"移除在途订单失败: {str(e)}")

def is_stock_pending_order(stock_code):
    """检查股票是否有在途订单（以Redis为准）"""
    r = initialize_redis_manager()
    return r.get_pending(stock_code) is not None

def check_order_timeout(xt_trader, acc, logger):
    """已停用：本策略不再执行超时自动撤单，仅保留占位"""
    logger.info("check_order_timeout 已停用：挂单后不再按超时撤单")
    return

def start_order_timeout_monitor(xt_trader, acc, logger):
    """已停用：不再启动订单超时监控线程"""
    logger.info("订单超时监控已停用：不启动后台监控线程")
    return

def create_buy_strategy_callback(xt_trader, acc, buy_amount, logger):
    """创建买入策略回调函数"""
    def f(data):
        """
        实时行情回调函数
        检查当前价格是否低于目标价格，如果满足条件则买入
        """
        # logger.info(f"收到买入行情数据: {datetime.datetime.now()}")
        
        # 获取当前时间
        current_time = datetime.datetime.now().time()
        
        # 判断当前交易时段
        is_call_auction = is_call_auction_time(current_time)
        is_continuous = is_continuous_trading_time(current_time)
        
        for stock_code, current_data in data.items():
            if stock_code not in A.hsa:
                continue

            # 从Redis读取买入计划
            r = initialize_redis_manager(logger)
            plan_info = r.get_buy_plan(stock_code)
            if not plan_info or plan_info.get('is_active', 1) != 1:
                continue

            try:
                # 获取当前价格和目标价格
                current_price = current_data[0]['close']
                target_price = plan_info['target_price']
                buy_amount = plan_info['buy_amount']

                # logger.info(f"[买入监控] {stock_code} 当前价格: {current_price:.2f}, 目标价格: {target_price:.2f}")

                # 判断是否满足买入条件：当前价格低于目标价格
                if current_price < target_price:
                    
                    # 检查持仓（Redis）
                    current_qty = r.get_position(stock_code)
                    if current_qty > 0:
                        # logger.info(f"{stock_code} 已有持仓 {current_qty}股，跳过买入")
                        continue
                    
                    # 检查是否有在途订单（Redis）
                    if is_stock_pending_order(stock_code):
                        # logger.info(f"{stock_code} 有在途订单，跳过买入")
                        continue

                    # 集合竞价时段：只观察，不下单
                    if is_call_auction:
                        logger.info(f"[集合竞价观察] {stock_code} 当前价格 {current_price:.2f} < 目标价格 {target_price:.2f}，等待连续交易时段下单")
                        continue
                    
                    # 连续交易时段：执行下单
                    if is_continuous:
                        logger.info(f"[连续交易下单] 满足买入条件！{stock_code} 当前价格 {current_price:.2f} < 目标价格 {target_price:.2f}")

                        # 计算买入数量（从数据库获取金额）
                        buy_volume = int(buy_amount / current_price / 100) * 100  # 取整为100的整数倍

                        if buy_volume > 0:
                            logger.info(f"准备买入 {stock_code} {buy_volume}股，金额约 {buy_volume * current_price:.2f}元")

                            # 生成订单ID
                            order_id = f"BUY_{stock_code}_{int(time.time())}"

                            # 执行买入订单
                            async_seq = xt_trader.order_stock_async(
                                acc,
                                stock_code,
                                xtconstant.STOCK_BUY,
                                buy_volume,
                                xtconstant.FIX_PRICE,
                                current_price,
                                'auto_buy_strategy',
                                order_id
                            )

                            # 添加到在途订单（同时记录到数据库）
                            add_pending_order(stock_code, order_id, buy_volume, current_price, target_price, 'buy', logger)
                            
                            logger.info(f"已提交买入订单: {stock_code} {buy_volume}股，价格{target_price}，订单ID: {order_id}")
                            update_account_funds_periodically(xt_trader, acc, logger)
                        else:
                            logger.warning(f"买入数量计算为0，跳过 {stock_code}")
                    else:
                        # 非交易时段
                        logger.info(f"[非交易时段] {stock_code} 当前价格 {current_price:.2f} < 目标价格 {target_price:.2f}，等待交易时段")

            except Exception as e:
                logger.error(f"处理 {stock_code} 买入行情数据时出错: {str(e)}")
                continue
    
    return f

def create_sell_strategy_callback(xt_trader, acc, logger):
    """创建卖出策略回调函数"""
    def f(data):
        """
        实时行情回调函数
        检查当前价格是否高于目标价格，如果满足条件且持有该股票则卖出
        """
        # logger.info(f"收到卖出行情数据: {datetime.datetime.now()}")
        
        # 获取当前时间
        current_time = datetime.datetime.now().time()
        
        # 判断当前交易时段
        is_call_auction = is_call_auction_time(current_time)
        is_continuous = is_continuous_trading_time(current_time)
        
        for stock_code, current_data in data.items():
            if stock_code not in A.hsa:
                continue

            # 从Redis读取卖出计划
            r = initialize_redis_manager(logger)
            plan_info = r.get_sell_plan(stock_code)
            if not plan_info or plan_info.get('is_active', 1) != 1:
                continue

            try:
                # 获取当前价格和目标价格
                current_price = current_data[0]['close']
                target_price = plan_info['target_price']

                # logger.info(f"[卖出监控] {stock_code} 当前价格: {current_price:.2f}, 目标价格: {target_price:.2f}")

                # 判断是否满足卖出条件：当前价格高于目标价格
                if current_price > target_price:
                    
                    # 检查持仓（Redis）
                    r = initialize_redis_manager(logger)
                    current_position = r.get_position(stock_code)
                    if current_position <= 0:
                        logger.info(f"{stock_code} 无持仓，跳过卖出")
                        continue
                    
                    # 检查是否有在途订单
                    if is_stock_pending_order(stock_code):
                        # logger.info(f"{stock_code} 有在途订单，跳过卖出")
                        continue

                    # 集合竞价时段：只观察，不下单
                    if is_call_auction:
                        logger.info(f"[集合竞价观察] {stock_code} 当前价格 {current_price:.2f} > 目标价格 {target_price:.2f}，等待连续交易时段下单")
                        continue
                    
                    # 连续交易时段：执行下单
                    if is_continuous:
                        logger.info(f"[连续交易下单] 满足卖出条件！{stock_code} 当前价格 {current_price:.2f} > 目标价格 {target_price:.2f}")

                        # 卖出数量：全部持仓
                        sell_volume = current_position

                        if sell_volume > 0:
                            logger.info(f"准备卖出 {stock_code} {sell_volume}股，金额约 {sell_volume * current_price:.2f}元")

                            # 生成订单ID
                            order_id = f"SELL_{stock_code}_{int(time.time())}"
                            # 执行卖出订单
                            async_seq = xt_trader.order_stock_async(
                                acc,
                                stock_code,
                                xtconstant.STOCK_SELL,
                                sell_volume,
                                xtconstant.LATEST_PRICE,
                                target_price,
                                'auto_sell_strategy',
                                order_id
                            )

                            # 添加到在途订单（同时记录到数据库）
                            add_pending_order(stock_code, order_id, sell_volume, current_price, target_price, 'sell', logger)
                            
                            logger.info(f"已提交卖出订单: {stock_code} {sell_volume}股，价格{target_price}，订单ID: {order_id}")
                            update_account_funds_periodically(xt_trader, acc, logger)
                        else:
                            logger.warning(f"卖出数量为0，跳过 {stock_code}")
                    else:
                        # 非交易时段
                        logger.info(f"[非交易时段] {stock_code} 当前价格 {current_price:.2f} > 目标价格 {target_price:.2f}，等待交易时段")

            except Exception as e:
                logger.error(f"处理 {stock_code} 卖出行情数据时出错: {str(e)}")
                continue
    
    return f 

def update_account_funds_periodically(xt_trader, acc, logger):
    """每小时更新账户资金信息到数据库"""
    while True:
        try:
            # 获取账户资金信息
            account_info = xt_trader.query_stock_asset(acc)
            
            if account_info:

                # 计算相关数据
                available_cash = getattr(account_info, 'm_dCash', 0.0)
                frozen_cash = getattr(account_info, 'm_dFrozenCash', 0.0)
                market_value = getattr(account_info, 'm_dMarketValue', 0.0)
                total_asset = available_cash + frozen_cash + market_value
                
                # 尝试获取盈亏信息，如果属性不存在则设为0
                try:
                    profit_loss = getattr(account_info, 'm_dProfitLoss', 0.0)
                except AttributeError:
                    # 如果m_dProfitLoss不存在，尝试其他可能的属性名
                    profit_loss = getattr(account_info, 'm_dProfit', 0.0)
                
                # 计算盈亏比例
                if total_asset > 0:
                    profit_loss_ratio = (profit_loss / total_asset) * 100
                else:
                    profit_loss_ratio = 0.0
                
                # 更新到数据库
                db_manager = initialize_database_manager(logger)
                success = db_manager.update_account_funds(
                    account_id=acc.account_id,
                    account_type="acc.account_type",
                    total_asset=total_asset,
                    available_cash=available_cash,
                    frozen_cash=frozen_cash,
                    market_value=market_value,
                    profit_loss=profit_loss,
                    profit_loss_ratio=profit_loss_ratio
                )
                
                if success:
                    logger.info(f"账户资金更新成功 - 总资产: {total_asset:.2f}, 可用资金: {available_cash:.2f}, 市值: {market_value:.2f}")
                else:
                    logger.warning("账户资金更新失败")
            else:
                logger.warning("无法获取账户资金信息")
                
        except Exception as e:
            logger.error(f"更新账户资金信息时出错: {str(e)}")

        # 等待1小时（3600秒）
        time.sleep(3600)

def start_account_funds_monitor(xt_trader, acc, logger):
    """启动账户资金监控线程（每小时更新一次）"""
    try:
        funds_thread = threading.Thread(
            target=update_account_funds_periodically, 
            args=(xt_trader, acc, logger), 
            daemon=True
        )
        funds_thread.start()
        logger.info("账户资金监控线程已启动（每小时更新一次）")
    except Exception as e:
        logger.error(f"启动账户资金监控失败: {str(e)}")

# ========== 每5分钟对账：查询券商持仓并反向更新订单/持仓 ==========
def reconcile_orders_and_positions(xt_trader, acc, logger):
    """一次性对账（基于当日成交对比委托）：
    - 仅查询MySQL今日订单（submitted、filled[部分]、pending、ordered）
    - 通过QMT接口获取当日成交明细/汇总，按股票累计成交量对比委托量：
        * 当日成交量 >= 委托量 => 状态置为 completed
        * 0 < 当日成交量 < 委托量 => 状态置为 filled（部分成交），记录 filled_quantity
        * 当日成交量 == 0 => 不处理
    - 本函数不更新持仓，持仓改由快照线程覆盖更新
    """
    try:
        dbm = initialize_database_manager(logger)
        # 1) 读取今日未完成订单（四种状态：submitted、filled(部分成交)、pending、委托订单）
        # 你提到“委托订单”第四种状态名，这里按 'ordered' 兜底；如你表里具体值不同，可替换。
        candidate_statuses = ['submitted', 'filled', 'pending', 'ordered']
        orders = dbm.get_todays_orders_by_statuses(candidate_statuses)

        if not orders:
            return

        # 2) 通过QMT查询当日成交结果，并按股票聚合成交数量
        filled_volume_by_code = {}
        trades = xt_trader.query_stock_orders(acc, cancelable_only = False)

        for tr in trades or []:
            code = getattr(tr, 'stock_code', None) or getattr(tr, 'm_strInstrumentID', None)
            vol = int(getattr(tr, 'traded_volume', 0) or getattr(tr, 'm_nVolume', 0) or 0)
            if not code or vol <= 0:
                continue
            filled_volume_by_code[code] = filled_volume_by_code.get(code, 0) + vol

        # 3) 遍历订单并根据“当日成交累计 vs 委托量”判断状态
        for od in orders:
            try:
                stock_code = od['stock_code']
                side = od['side']
                order_id = od['order_id']
                qty = int(od.get('order_quantity') or 0)
                day_filled = int(filled_volume_by_code.get(stock_code, 0))

                if day_filled <= 0:
                    continue

                if day_filled >= qty and qty > 0:
                    # 全部成交 -> completed
                    dbm.update_order_status(order_id, 'completed', qty, datetime.datetime.now().strftime('%Y-%m-%d %H:%M:%S'))
                    logger.info(f"[对账-简] 全部成交(>=委托): {stock_code} {side} {day_filled}/{qty}")
                elif 0 < day_filled < qty:
                    # 部分成交 -> filled（部分成交）
                    dbm.update_order_status(order_id, 'filled', day_filled, datetime.datetime.now().strftime('%Y-%m-%d %H:%M:%S'))
                    logger.info(f"[对账-简] 部分成交(<委托): {stock_code} {side} {day_filled}/{qty}")
            except Exception as ie:
                logger.warning(f"[对账-简] 处理订单失败 {od}: {ie}")

    except Exception as e:
        if logger:
            logger.error(f"对账过程出错: {str(e)}")

def start_reconciliation_monitor(xt_trader, acc, logger, interval_seconds: int = 300):
    """启动对账后台线程（默认每5分钟一次）"""
    try:
        def worker():
            while True:
                try:
                    reconcile_orders_and_positions(xt_trader, acc, logger)
                except Exception as ie:
                    logger.warning(f"对账线程异常: {ie}")
                time.sleep(interval_seconds)

        t = threading.Thread(target=worker, daemon=True)
        t.start()
        logger.info(f"对账线程已启动（每{interval_seconds}秒）")
    except Exception as e:
        logger.error(f"启动对账线程失败: {str(e)}")

# ========== 每5分钟持仓快照覆盖更新（仅DB） ==========
def refresh_positions_snapshot(xt_trader, acc, logger):
    """从QMT拉取当前持仓，覆盖更新到DB的 trading_position：
    - 对存在的标的 upsert 所有持仓字段（数量、可用、冻结、成本价、市价、市值、盈亏等）
    - 删除DB中多余的标的
    本函数不操作Redis。
    """
    try:
        dbm = initialize_database_manager(logger)
        positions = xt_trader.query_stock_positions(acc) or []
        valid_codes = []
        for pos in positions:
            try:
                code = pos.stock_code
                # 获取持仓基本信息
                total_qty = int(getattr(pos, 'volume', 0))  # 使用 'volume' 或 'm_nVolume'
                available_qty = int(getattr(pos, 'can_use_volume', 0))  # 使用 'can_use_volume' 或 'm_nCanUseVolume'

                # 直接使用API返回的冻结数量字段，这比自己计算更准确
                frozen_qty = int(getattr(pos, 'frozen_volume', 0))  # 使用 'frozen_volume' 或 'm_nFrozenVolume'

                # 如果总持仓为0，则没有处理的必要，直接跳过
                if total_qty == 0:
                    continue

                # 2. 获取价格和市值信息
                cost_price = float(getattr(pos, 'avg_price', 0.0))  # 使用 'avg_price' 或 'm_dAvgPrice'
                market_value = float(getattr(pos, 'market_value', 0.0))  # 使用 'market_value' 或 'm_dMarketValue'

                # 3. 根据现有字段计算缺失的信息

                # 计算市价 (Market Price)
                # 正如您所说，通过 市值 / 总数量 来计算，并处理总数量为0的情况
                market_price = market_value / total_qty if total_qty > 0 else 0.0

                # 计算持仓成本 (Position Cost)
                position_cost = cost_price * total_qty

                # 计算持仓盈亏 (Profit/Loss)
                # 盈亏 = 总市值 - 总成本
                profit_loss = market_value - position_cost

                # 计算盈亏比例 (Profit/Loss Ratio)
                if position_cost > 0:
                    profit_loss_ratio = (profit_loss / position_cost) * 100
                else:
                    profit_loss_ratio = 0.0  # 如果成本为0，则盈亏比例也为0
                
                # if total_qty > 0:
                dbm.upsert_position_snapshot(
                    code, total_qty, available_qty, frozen_qty,
                    cost_price, market_price, market_value,
                    profit_loss, profit_loss_ratio
                )
                valid_codes.append(code)
            except Exception as e:
                logger.warning(f"处理持仓记录失败 {getattr(pos, 'stock_code', 'unknown')}: {e}")
                continue
        # 清理非持有标的
        dbm.delete_positions_except(valid_codes)
        logger.info(f"[持仓快照] 已覆盖更新 {len(valid_codes)} 条持仓记录")
    except Exception as e:
        if logger:
            logger.error(f"持仓快照刷新失败: {str(e)}")

def start_position_snapshot_monitor(xt_trader, acc, logger, interval_seconds: int = 300):
    try:
        def worker():
            while True:
                try:
                    refresh_positions_snapshot(xt_trader, acc, logger)
                except Exception as ie:
                    logger.warning(f"持仓快照线程异常: {ie}")
                time.sleep(interval_seconds)
        t = threading.Thread(target=worker, daemon=True)
        t.start()
        logger.info(f"持仓快照线程已启动（每{interval_seconds}秒）")
    except Exception as e:
        logger.error(f"启动持仓快照线程失败: {str(e)}")

# 为了向后兼容，保留原来的函数名
def create_strategy_callback(xt_trader, acc, buy_amount, logger):
    """创建策略回调函数（兼容性函数，实际调用买入回调）"""
    return create_buy_strategy_callback(xt_trader, acc, buy_amount, logger)