# -*- coding: utf-8 -*- """ 执行编排: 方案 → 指令 → 分日出手 → 回执 (设计 §7 / §8 / §9 的落地) ===================================================================== 纯逻辑在 core/rule_gate.py (规则闸) 与 core/exec_timing.py (择时实现B), 本模块负责 取数、落表与状态推进。三个入口: materialize_plans() 把命令方案里「可执行」的条目转成 pms_instruction (先记账后动作)。 gated 方案 (建仓的 FILL/ADD 批) 状态为 GATED, 由动作引擎解锁, 此处不动。 run_tick() 盘中每分钟一跳: 配额 → 择时判定 → 规则闸终检 → 下发 → 记子单。 sweep_windows() 窗口耗尽收口: 命令类置部分完成并告警, 自主类作废。 指令与子单的关系: 一条 pms_instruction 承载一个方案条目的**总量**, 每日出手记一条子单到 progress_json.children[]; exec_qty 由回放认领回填 (账本以下游成交为准, 不拿下发量当成交量)。 """ from __future__ import annotations import logging from datetime import datetime from app.core import command_spec as cs from app.core import exec_timing as et from app.core import rule_gate from app.core import tradedays as td from app.repo import pms_repo, qmt_repo from app.services import (command_service, dispatcher, exec_advisor, industry, market, param_store, portfolio) logger = logging.getLogger("pms.exec") # 指令状态 ST_PROPOSED, ST_RULE_PASSED, ST_DISPATCHED = "PROPOSED", "RULE_PASSED", "DISPATCHED" ST_CONFIRMED, ST_REJECTED, ST_EXPIRED, ST_CANCELLED = ("CONFIRMED", "REJECTED", "EXPIRED", "CANCELLED") LIVE = (ST_PROPOSED, ST_RULE_PASSED, ST_DISPATCHED) # 方案状态: GATED = 建仓的补足/加仓批, 等动作引擎按条件解锁 (DDL 注释已同步) PLAN_PENDING, PLAN_GATED, PLAN_EXEC, PLAN_DONE = "PENDING", "GATED", "EXECUTING", "DONE" SELL_ACTIONS = {"EXIT", "TRIM"} BUY_ACTIONS = {"OPEN", "FILL", "ADD", "DCA"} # ================================================================ 方案 → 指令 def materialize_plans(limit: int = 100) -> dict: """把在途命令的可执行方案条目转成指令。幂等: 已生成过指令的方案置 EXECUTING 不再重复。 **三个列表全空必须能区分出是哪一种全空** (2026-07-31): 本函数只吃 PENDING 的方案, 而已转过指令的方案是 EXECUTING、等解锁的批是 GATED。三种情况输出一模一样都是 `{created: [], skipped: [], errors: []}`, 读起来像"一条都没转成", 实际多半是 "早就转完了"。加 `scanned` 与 `note` 把它说破 —— 这是同一类"失败长得像成功"的毛病, 只不过这里是"没事长得像出事", 一样会让人白排查半天。 """ out = {"created": [], "skipped": [], "errors": [], "scanned": 0, "note": ""} plans = pms_repo.list_plans(statuses=[PLAN_PENDING], limit=limit) out["scanned"] = len(plans) if not plans: other = {} for st in (PLAN_GATED, PLAN_EXEC, PLAN_DONE): try: other[st] = len(pms_repo.list_plans(statuses=[st], limit=limit)) except Exception: pass out["plans_by_status"] = other out["note"] = ( "没有 PENDING 方案可转 —— 这**不是**失败。当前方案分布: " + (", ".join(f"{k} {v} 条" for k, v in other.items() if v) or "一条方案都没有") + "。EXECUTING = 已经转过指令了 (看 make t-ins); GATED = 等动作引擎解锁的批") return out cmd_cache = {} ymd = td.ymd() seq = 0 for p in plans: act = p.get("action") if act == "HALT": # 撤单类在规划期已执行完毕 pms_repo.update_plan(p["plan_id"], status=PLAN_DONE) out["skipped"].append({"plan_id": p["plan_id"], "why": "HALT 已在规划期执行"}) continue side = "sell" if act in SELL_ACTIONS else ("buy" if act in BUY_ACTIONS else None) if not side: out["skipped"].append({"plan_id": p["plan_id"], "why": f"动作 {act} 无对应指令"}) continue cid = p["command_id"] if cid not in cmd_cache: cmd_cache[cid] = pms_repo.get_command(cid) cmd = cmd_cache[cid] if not cmd or cmd["status"] not in (cs.ST_EXECUTING, cs.ST_PARTIAL): out["skipped"].append({"plan_id": p["plan_id"], "why": f"命令状态 {cmd['status'] if cmd else '缺失'}"}) continue qty = int(p.get("qty") or 0) if qty <= 0: out["skipped"].append({"plan_id": p["plan_id"], "why": "数量为 0"}) continue seq += 1 iid = cs.make_instruction_id(ymd, p["ts_code"], act, seq) window = int((cmd.get("progress") or {}).get("window_tdays") or param_store.get_int("PMS_EXEC_WINDOW_TDAYS", 3)) try: pms_repo.insert_instruction( instruction_id=iid, origin_type="plan", origin_id=p["plan_id"], ts_code=p["ts_code"], action=act, side=side, qty=qty, limit_price=None, window_tdays=window, status=ST_PROPOSED, progress={"deadline": str(p.get("deadline") or ""), "command_id": cid, "is_command": True, "children": []}) pms_repo.update_plan(p["plan_id"], status=PLAN_EXEC) out["created"].append(iid) except Exception as e: logger.exception("方案转指令失败 %s", p["plan_id"]) out["errors"].append(f"{p['plan_id']}: {type(e).__name__}: {e}") return out # ================================================================ 出手 tick def run_tick(*, now=None, dry_run: bool = False) -> dict: """盘中每分钟一跳。dry_run=True 时只算不发不落库 (页面「试算」用)。""" now = now or datetime.now() out = {"ok": True, "checked": 0, "fired": [], "waited": [], "rejected": [], "errors": [], "mode": dispatcher.mode(), "dry_run": dry_run} instrs = [i for i in pms_repo.list_instructions(statuses=list(LIVE), limit=200) if int(i.get("qty") or 0) > int(i.get("exec_qty") or 0)] if not instrs: return out view = portfolio.positions_view() stock_params = command_service.effective_stock_params() prm = view["params"] exec_prm = { "sell_avoid_open_min": param_store.get_int("PMS_SELL_AVOID_OPEN_MIN", 30), "buy_halt_dayup": param_store.get_float("PMS_BUY_HALT_DAYUP", 0.05), "eod_force_time": param_store.get("PMS_EOD_FORCE_TIME", "14:45"), "eod_force_discount": param_store.get_float("PMS_EOD_FORCE_DISCOUNT", 0.998), "no_chase_ma5": param_store.get_float("PMS_NO_CHASE_MA5", 0.06), "advice_limit_band": param_store.get_float("PMS_EXEC_LIMIT_BAND", 0.10), } slices = param_store.get_int("PMS_EXEC_SLICES", 1) order_ttl = param_store.get_int("PMS_ORDER_TTL_MIN", 10) # 单个分片挂单有效期(交易分钟) brake_active = td.ymd() < param_store.get_int("PMS_BRAKE_UNTIL", 0) ymd_today = td.ymd() for ins in instrs: out["checked"] += 1 code, side = ins["ts_code"], str(ins.get("side") or "").lower() prog = dict(ins.get("progress") or {}) children = list(prog.get("children") or []) remaining = int(ins["qty"]) - int(ins.get("exec_qty") or 0) deadline = prog.get("deadline") or "" tdays_left = td.trade_days_left(deadline, now) if deadline else 1 is_last = tdays_left <= 1 try: day = market.day_snapshot(code) pos = _pos_of(view, code) quota = et.daily_quota(remaining, tdays_left, allow_odd_tail=(ins.get("action") == "EXIT")) fired_today = _consumed_today(children, ymd_today) day_ctx = {**day, "support": pos.get("support_ref"), "limit_up": _limit_up(day), "limit_down": _limit_down(day), "halted": not day or not day.get("price")} # 择时判定统一走 exec_advisor: PMS_EXEC_IMPL=B (默认) 时它就是 et.decide 原样; # =A 时先过硬闸 (配额/兜底等 PMS 自留地), 再委托决策系统, 不可用退实现B。 # 咨询结论会写进 prog["exec_advice"], 随下面既有的 update_instruction 落表; # dry_run 传 None —— 只算不落库, 试算不该占用/刷新研判缓存。 d = exec_advisor.decide(side=side, action=ins.get("action"), ts_code=code, now=now, day=day_ctx, params=exec_prm, is_last_day=is_last, fired_today=fired_today, quota=quota, pos=pos, tdays_left=tdays_left, prog=(None if dry_run else prog)) if d["action"] != et.ACT_FIRE: prog["last_decision"] = {"at": now.strftime("%H:%M"), **d} if not dry_run: pms_repo.update_instruction(ins["instruction_id"], progress=prog) out["waited"].append({"instruction_id": ins["instruction_id"], "code": code, "action": d["action"], "reason": d["reason"]}) continue slice_list = et.slice_qty(min(d["qty_hint"], remaining), slices) qty = slice_list[0] if slice_list else 0 if side == "sell": qty = min(qty, int(pos.get("avail_qty") or 0)) if qty <= 0: prog["last_decision"] = {"at": now.strftime("%H:%M"), "action": et.ACT_WAIT, "reason": "可卖量不足, 顺延"} if not dry_run: pms_repo.update_instruction(ins["instruction_id"], progress=prog) out["waited"].append({"instruction_id": ins["instruction_id"], "code": code, "action": et.ACT_WAIT, "reason": "可卖量不足, 顺延"}) continue ma5 = market.get_ma5(code) if side == "buy" else None gate = rule_gate.check( side=side, action=ins.get("action"), qty=qty, price=day_ctx.get("price"), ctx={"ts_code": code, "position": pos, "day": {**day_ctx, "ma5": ma5}, "params": {**exec_prm, "sector_source_ready": view["sector_ready"]}, "caps": portfolio.caps_ctx(view, ts_code=code) if side == "buy" else None, "flags": {"buy_halt": prm["buy_halt"], "exec_halt": prm["exec_halt"], "brake_active": brake_active, "blacklisted": bool(stock_params.get(code, {}).get("black")), "is_command": bool(prog.get("is_command")), # 决策系统昨夜对该股的定性, 由择时应答带回 (退实现B 时为 None) "y_signal": d.get("y_signal")}}) if not gate["passed"]: out["rejected"].append({"instruction_id": ins["instruction_id"], "code": code, "failed": gate["failed"]}) if not dry_run: pms_repo.insert_ledger( ts_code=code, action=ins.get("action"), arbiter="rule", verdict="REJECT", price_at=day_ctx.get("price") or 0, hard_numbers=gate["hard_numbers"], failed_checks=gate["failed"], ref_id=ins["instruction_id"], reason="规则闸终检未通过 (宁可不动)") prog["last_decision"] = {"at": now.strftime("%H:%M"), "action": "REJECT", "reason": "; ".join(gate["failed"])} pms_repo.update_instruction(ins["instruction_id"], progress=prog) continue if dry_run: out["fired"].append({"instruction_id": ins["instruction_id"], "code": code, "qty": qty, "limit": d["limit_price"], "reason": d["reason"], "dry_run": True}) continue dl_min = et.slice_deadline(now, ttl_min=order_ttl, forced=d.get("forced", False)) # intent / parent_id / note 是 ws 通道要的 (协议 §4.2): intent 只作归类, # parent_id 让子单能回指父指令, note 原样落到 QMT 侧供人工看盘。 # shadow 模式忽略这三项, 传着不碍事 —— 两种模式共用同一个调用点。 res = dispatcher.dispatch( instruction_id=_child_id(ins["instruction_id"], len(children) + 1), parent_id=ins["instruction_id"], intent=ins.get("action"), ts_code=code, side=side, qty=qty, limit_price=d["limit_price"], note=d.get("reason"), valid_until=now.replace(hour=dl_min // 60, minute=dl_min % 60, second=0, microsecond=0)) if not res.get("ok"): out["errors"].append(f"{ins['instruction_id']} 下发失败: {res.get('error')}") continue children.append({"ymd": ymd_today, "at": now.strftime("%H:%M:%S"), "qty": qty, "limit": d["limit_price"], "mode": res["mode"], "ref": res["ref"], "valid_until": et._fmt(dl_min), "forced": d.get("forced", False), "reason": d["reason"]}) prog["children"] = children prog.setdefault("dispatched_at", now.strftime("%Y-%m-%d %H:%M:%S")) prog["last_decision"] = {"at": now.strftime("%H:%M"), "action": et.ACT_FIRE, "reason": d["reason"], "source": d.get("source")} # 这里曾经多传了一个 limit_price=None (2026-08-03 实机): 真 repo 的 # update_instruction 没有这个形参 → TypeError → 被本函数外层的 # `except Exception` 吞成 out["errors"] 里的一条。后果是**单子已经发到 QMT # 了, 而本端一个字没记**: 父指令停在 PROPOSED、children 空、dispatch_ref 空, # 于是当日配额恒按 0 算, 下一跳会拿同一个子单号 _D01 再发一次 —— 出口表唯一 # 索引拦住之后就彻底卡死。单测全程没看见, 因为 FakeRepo.update_instruction # 是 `**kw` 全收, 比真依赖宽松 (见 test_batch10 的 [M] 组)。 r = pms_repo.update_instruction(ins["instruction_id"], status=ST_DISPATCHED, dispatch_ref=res["ref"], progress=prog) if not r: # 单子已经出去了, 这里回滚不了; 但绝不能让它悄悄过去 logger.error("[出手] %s 已下发到通道, 但父指令没更新到任何行 —— " "本端与出口表将不一致, 请核对 pms_instruction", ins["instruction_id"]) out["errors"].append( f"{ins['instruction_id']} 已下发但父指令未更新 (影响 0 行) —— " f"出口表与本端不一致") pms_repo.insert_ledger(ts_code=code, action=ins.get("action"), arbiter="rule", verdict="PASS", price_at=day_ctx.get("price") or 0, hard_numbers={**gate["hard_numbers"], "limit": d["limit_price"], "mode": res["mode"]}, ref_id=ins["instruction_id"], reason=d["reason"]) out["fired"].append({"instruction_id": ins["instruction_id"], "code": code, "qty": qty, "limit": d["limit_price"], "mode": res["mode"], "note": res.get("note"), "reason": d["reason"]}) except Exception as e: logger.exception("出手处理失败 %s", ins.get("instruction_id")) out["errors"].append(f"{ins.get('instruction_id')}: {type(e).__name__}: {e}") out["ok"] = not out["errors"] return out # ================================================================ 窗口收口 def sweep_windows(*, now=None) -> dict: """窗口耗尽的指令收口, 并把成交量回写方案 (命令进度据此结算)。""" now = now or datetime.now() out = {"expired": [], "partial": [], "synced": 0, "errors": []} for ins in pms_repo.list_instructions(statuses=list(LIVE), limit=300): try: prog = dict(ins.get("progress") or {}) exec_qty = int(ins.get("exec_qty") or 0) remaining = int(ins["qty"]) - exec_qty if ins.get("origin_type") == "plan" and ins.get("origin_id"): pms_repo.update_plan(ins["origin_id"], filled_qty=exec_qty, status=PLAN_DONE if remaining <= 0 else None) out["synced"] += 1 if remaining <= 0: pms_repo.update_instruction(ins["instruction_id"], status=ST_CONFIRMED) continue deadline = prog.get("deadline") or "" if not deadline: continue left = td.trade_days_left(deadline, now) v = et.window_verdict(remaining_qty=remaining, tdays_left=left, is_command=bool(prog.get("is_command"))) if v["verdict"] == "RUNNING": continue prog["window_verdict"] = v if v["verdict"] == "EXPIRED": pms_repo.update_instruction(ins["instruction_id"], status=ST_EXPIRED, progress=prog) out["expired"].append(ins["instruction_id"]) else: pms_repo.update_instruction(ins["instruction_id"], progress=prog) out["partial"].append({"instruction_id": ins["instruction_id"], "remaining": remaining, "note": v["note"]}) logger.warning("[窗口耗尽] %s 仍剩 %s 股 —— %s", ins["instruction_id"], remaining, v["note"]) except Exception as e: out["errors"].append(f"{ins.get('instruction_id')}: {type(e).__name__}: {e}") try: command_service.refresh_progress() except Exception as e: out["errors"].append(f"命令进度刷新失败: {e}") return out def cancel_instruction(instruction_id: str, reason: str = "页面人工撤销") -> dict: ins = pms_repo.get_instruction(instruction_id) if not ins: return {"ok": False, "error": "指令不存在"} if ins["status"] not in LIVE: return {"ok": False, "error": f"指令处于 {ins['status']}, 不可撤销"} r = dispatcher.cancel(instruction_id=instruction_id, dispatch_ref=ins.get("dispatch_ref")) or {} # **下游没撤成就不能在本端标 CANCELLED。** 原来 r 拿到手却从不检查, 一律回「已撤销」 # 并把父指令置终态 —— 而终态之后没有任何东西再跟踪它, 下游那张委托继续挂着、继续成交, # 成交回来还会因为找不到在途父指令而变成孤儿。撤不掉就保持在途, 让它继续被择时/收口/ # 对账看见, 由人再处理。 if not r.get("ok"): logger.error("[撤单] 下游未受理 %s: %s —— 指令保持在途, 下游委托可能仍挂着", instruction_id, r.get("error") or r) return {"ok": False, "downstream": r, "instruction_id": instruction_id, "message": f"指令 {instruction_id} **未能撤销**: " f"{r.get('error') or '下游未受理'} —— 指令仍在途, " f"请在 QMT 侧确认该委托是否还挂着"} pms_repo.update_instruction(instruction_id, status=ST_CANCELLED) pms_repo.insert_ledger(ts_code=ins["ts_code"], action=ins.get("action"), arbiter="user", verdict="REJECT", price_at=0, ref_id=instruction_id, reason=reason) return {"ok": True, "downstream": r, "message": f"指令 {instruction_id} 已撤销"} # ================================================================ 内部 def _pos_of(view: dict, ts_code: str) -> dict: for x in view["positions"]: if x["ts_code"] == ts_code: return x return {"ts_code": ts_code, "total_qty": 0, "avail_qty": 0, "frozen_reason": "NONE"} def _child_id(instruction_id: str, n: int) -> str: return f"{instruction_id}_D{n:02d}" def _consumed_today(children: list, ymd_today: int) -> int: """今日已投放量 —— **到期/被撤/被拒且一股没成的分片不算数**。 2026-08-03 实机: 002518.SZ 的分片挂到 TTL 到期没成交, 当天配额却显示「已出完」, 一股没买到而当日不再尝试。这跟 `exec_timing.slice_deadline` 自己写的设计本意直接 冲突 —— 那里说得很清楚:「普通分片只给 ttl_min 个交易分钟, run_tick 每分钟重评一次, **撤掉重下比挂着更好**」。可只要作废的分片仍占着当日额度, 重下就永远轮不上。 配额的语义是「今天投放多少」, 但**已经作废且零成交的投放不该占额度** —— 那笔钱没花 出去, 敞口也没建立, 它什么都没发生。所以按委托的真实结局算: * 还在途 (未终态) → 按下发量算, 它随时可能成交 * 已终态 → 只算真正成交的 cum_qty, 未成交部分释放回配额 * 查不到出口行 → 按下发量算 (影子模式没有出口行; 宁可少投也不重复投) """ total = 0 for c in children or []: if int(c.get("ymd") or 0) != ymd_today: continue qty = int(c.get("qty") or 0) ref = c.get("ref") if not ref or str(ref).startswith("manual:"): total += qty # 影子模式: 没有出口行可查 continue try: o = qmt_repo.get_order(ref) except Exception: logger.warning("[配额] 反查出口行失败 %s, 本轮按下发量计入", ref) total += qty continue if not o: total += qty continue if str(o.get("status") or "").upper() in qmt_repo.FINAL: done = int(o.get("cum_qty") or 0) if done < qty: logger.info("[配额] %s 已终态 %s, 成交 %s/%s —— 未成交部分释放回当日配额", ref, o.get("status"), done, qty) total += done else: total += qty return total def _limit_up(day: dict) -> bool: """一字板粗判: 当日最高=最低=现价 且 涨幅为正 (无涨跌停价字段时的兜底口径)。""" if not day: return False hi, lo, px = day.get("high"), day.get("low"), day.get("price") chg = day.get("day_chg_from_open") return bool(hi and lo and px and hi == lo == px and (chg or 0) >= 0 and day.get("bars", 0) > 3) def _limit_down(day: dict) -> bool: if not day: return False hi, lo, px = day.get("high"), day.get("low"), day.get("price") chg = day.get("day_chg_from_open") return bool(hi and lo and px and hi == lo == px and (chg or 0) <= 0 and day.get("bars", 0) > 3)