# -*- coding: utf-8 -*- """ 择时执行器 · 实现B「内置保守择时」(纯逻辑, 无外部依赖, 可单测) ================================================================ 设计 POSITION_MGMT_DESIGN.md §8。实现A (委托决策系统盘中择时研判) 走同一个 `decide()` 接口, 研判接通后在 services 层换实现即可, 本模块是兜底也是一期主力。 规则原文与落点: 每日配额 = 剩余量 ÷ 剩余窗口天数, 向上取整到一手 → daily_quota() 卖出: 避开开盘 30 分钟; 现价 ≥ 当日均价(VWAP) 时分笔卖 → decide() side=sell 14:45 未完成 → 现价 × 0.998 限价兜底 买入: 现价 ≤ 当日均价或进入回踩带时买; 当日涨幅 > 5% 停止买入 (不追高) 窗口末日 14:45 强制限价完成或按命令属性作废 停牌/一字板当日跳过顺延; 窗口耗尽未完成 → 命令置「部分完成」并告警 时点一律用「分钟数」比较 (hm_to_min), 免去跨时区与字符串比较的坑。 """ from __future__ import annotations from app.core.sizer import LOT OPEN_MIN = 9 * 60 + 30 # 09:30 开盘 CLOSE_MIN = 15 * 60 # 15:00 收盘 LUNCH_START = 11 * 60 + 30 LUNCH_END = 13 * 60 # decide() 的动作词 ACT_FIRE = "FIRE" # 出手 ACT_WAIT = "WAIT" # 条件未到, 本轮不动 ACT_SKIP = "SKIP" # 当日跳过 (停牌/一字板), 顺延 ACT_STOP = "STOP" # 本日不再出手 (如买入触发不追高) def hm_to_min(hm) -> int: """"14:45" / datetime / (h, m) → 当日分钟数。""" if hm is None: return 0 if isinstance(hm, (tuple, list)): return int(hm[0]) * 60 + int(hm[1]) if hasattr(hm, "hour"): return hm.hour * 60 + hm.minute s = str(hm).strip() if ":" in s: h, m = s.split(":")[:2] return int(h) * 60 + int(m) return int(s) def in_session(now_min: int) -> bool: return (OPEN_MIN <= now_min <= LUNCH_START) or (LUNCH_END <= now_min <= CLOSE_MIN) def daily_quota(remaining_qty: int, tdays_left: int, *, total_qty: int = None, lot: int = LOT, allow_odd_tail: bool = False) -> int: """当日配额 = 剩余量 ÷ 剩余交易日, 向上取整到一手。 * 最后一日 (tdays_left ≤ 1) 或剩余不足一手 → 全部剩余 (含零股尾巴)。 * allow_odd_tail=True (整票清仓) 时不做整百取整, 零股一并出。 """ r = max(0, int(remaining_qty or 0)) if r <= 0: return 0 d = max(1, int(tdays_left or 1)) if d <= 1 or r <= lot: return r raw = r / d q = int(-(-raw // lot)) * lot # 向上取整到一手 q = min(q, r) if not allow_odd_tail and q % lot and q != r: q = (q // lot) * lot # 若本次取整后剩下不足一手的尾巴, 并进本次一起出, 免得最后一天剩 30 股卡住 if 0 < r - q < lot: q = r return max(q, 0) if q > 0 else r def slice_qty(quota: int, slices: int = 1, lot: int = LOT) -> list: """把当日配额切成 N 笔 (设计「分笔卖出配额」)。最后一笔兜底吃掉余数。""" quota = max(0, int(quota or 0)) n = max(1, int(slices or 1)) if quota <= 0: return [] if n == 1 or quota <= lot: return [quota] per = int(quota / n / lot) * lot if per <= 0: return [quota] out = [per] * (n - 1) out.append(quota - per * (n - 1)) return [q for q in out if q > 0] def decide(*, side: str, now, day: dict, params: dict, is_last_day: bool, fired_today: int = 0, quota: int = 0) -> dict: """单条指令在「此刻」该不该出手。 day: {price, vwap, halted, limit_up, limit_down, day_chg_from_open, support} params: {sell_avoid_open_min, buy_halt_dayup, eod_force_time, eod_force_discount} 返回 {"action", "qty_hint", "limit_price", "reason", "forced"} """ now_min = hm_to_min(now) price = float(day.get("price") or 0) vwap = float(day.get("vwap") or 0) eod_min = hm_to_min(params.get("eod_force_time") or "14:45") disc = float(params.get("eod_force_discount") or 0.998) left = max(0, int(quota) - int(fired_today)) def out(action, reason, limit=None, forced=False): return {"action": action, "qty_hint": left, "limit_price": limit, "reason": reason, "forced": forced} if price <= 0: return out(ACT_SKIP, "取不到现价, 当日跳过") if day.get("halted"): return out(ACT_SKIP, "停牌, 当日跳过顺延") if left <= 0: return out(ACT_WAIT, "当日配额已出完") if not in_session(now_min): return out(ACT_WAIT, "非交易时段") if side == "sell": if day.get("limit_down") and not is_last_day: return out(ACT_SKIP, "跌停一字板, 当日跳过顺延") avoid = int(params.get("sell_avoid_open_min") or 30) if now_min < OPEN_MIN + avoid: return out(ACT_WAIT, f"避开开盘 {avoid} 分钟 (至 {_fmt(OPEN_MIN + avoid)})") if now_min >= eod_min: return out(ACT_FIRE, f"{_fmt(eod_min)} 兜底: 限价 = 现价×{disc}", limit=round(price * disc, 2), forced=True) if vwap > 0 and price >= vwap: return out(ACT_FIRE, f"现价 {price} ≥ 当日均价 {vwap}, 分笔卖出配额", limit=round(price * disc, 2)) return out(ACT_WAIT, f"现价 {price} < 当日均价 {vwap or '—'}, 等更好的价") if side == "buy": if day.get("limit_up"): return out(ACT_SKIP, "涨停一字板, 当日跳过顺延") dayup = day.get("day_chg_from_open") cap = float(params.get("buy_halt_dayup") or 0.05) if dayup is not None and float(dayup) > cap: return out(ACT_STOP, f"当日涨幅 {float(dayup):.2%} > {cap:.0%}, 停止买入 (不追高)") premium = round(2 - disc, 4) # 买入兜底与卖出对称: 0.998 → 1.002 if now_min >= eod_min: if is_last_day: return out(ACT_FIRE, f"窗口末日 {_fmt(eod_min)} 强制完成: 限价 = 现价×{premium}", limit=round(price * premium, 2), forced=True) return out(ACT_WAIT, f"{_fmt(eod_min)} 后不新开买单, 顺延次日") support = float(day.get("support") or 0) if vwap > 0 and price <= vwap: return out(ACT_FIRE, f"现价 {price} ≤ 当日均价 {vwap}, 买入配额", limit=round(price * premium, 2)) if support > 0 and price <= support * 1.01: return out(ACT_FIRE, f"现价 {price} 进入回踩带 (支撑 {support}), 买入配额", limit=round(price * premium, 2)) return out(ACT_WAIT, f"现价 {price} > 当日均价 {vwap or '—'} 且未回踩, 等回调") return out(ACT_SKIP, f"方向 {side!r} 非法") def _fmt(m: int) -> str: return f"{m // 60:02d}:{m % 60:02d}" def add_trade_minutes(start_min: int, minutes: int) -> int: """从 start_min 起推进 N 个「有效交易分钟」, 返回当日分钟数 (收盘封顶)。 午休 11:30~13:00 不计入 —— 挂单在午休不撮合, 把这 90 分钟算进有效期 等于凭空把有效期砍掉一大截。11:25 下的单给 10 分钟, 应该活到 13:05, 而不是 11:35 就被撤掉。 """ m = max(int(start_min), OPEN_MIN) left = max(0, int(minutes)) if LUNCH_START < m < LUNCH_END: # 起点落在午休里, 从下午开盘算 m = LUNCH_END if m <= LUNCH_START and m + left > LUNCH_START: left -= (LUNCH_START - m) # 用掉上午剩余部分 m = LUNCH_END return min(m + left, CLOSE_MIN) def slice_deadline(now, *, ttl_min: int = 10, forced: bool = False) -> int: """单个下发分片的有效期截止 (当日分钟数)。下游到点未成交即自动撤单。 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 —— 限价是按下发那一刻的价算的, 挂久了价已经不是那个价, 还白占可用资金/持仓。 兜底单 (14:45 之后的 forced) 直接给到收盘: 那是「今天必须走掉」的单, 不能被 TTL 撤回来。 """ if forced: return CLOSE_MIN return add_trade_minutes(hm_to_min(now), ttl_min) def window_verdict(*, remaining_qty: int, tdays_left: int, is_command: bool) -> dict: """窗口耗尽时的收口 (设计 §8 末句)。 还有剩余且窗口已尽 → 命令置「部分完成」并告警; 命令类保留人工兜底提示, 自主类直接作废。 """ if int(remaining_qty or 0) <= 0: return {"verdict": "DONE", "note": "已足额完成"} if int(tdays_left or 0) > 0: return {"verdict": "RUNNING", "note": f"窗口内剩余 {tdays_left} 交易日"} return {"verdict": "PARTIAL" if is_command else "EXPIRED", "note": f"窗口耗尽仍剩 {remaining_qty} 股 —— " + ("命令置部分完成并告警, 请在页面决定顺延或人工完成" if is_command else "自主指令作废")}