208 lines
9.0 KiB
Python
208 lines
9.0 KiB
Python
# -*- coding: utf-8 -*-
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"""
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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)
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================================================================
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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
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`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。
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规则原文与落点:
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每日配额 = 剩余量 ÷ 剩余窗口天数, 向上取整到一手 → daily_quota()
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卖出: 避开开盘 30 分钟; 现价 ≥ 当日均价(VWAP) 时分笔卖 → decide() side=sell
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14:45 未完成 → 现价 × 0.998 限价兜底
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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)
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窗口末日 14:45 强制限价完成或按命令属性作废
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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
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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。
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"""
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from __future__ import annotations
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from app.core.sizer import LOT
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OPEN_MIN = 9 * 60 + 30 # 09:30 开盘
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CLOSE_MIN = 15 * 60 # 15:00 收盘
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LUNCH_START = 11 * 60 + 30
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LUNCH_END = 13 * 60
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# decide() 的动作词
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ACT_FIRE = "FIRE" # 出手
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ACT_WAIT = "WAIT" # 条件未到, 本轮不动
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ACT_SKIP = "SKIP" # 当日跳过 (停牌/一字板), 顺延
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ACT_STOP = "STOP" # 本日不再出手 (如买入触发不追高)
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def hm_to_min(hm) -> int:
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""""14:45" / datetime / (h, m) → 当日分钟数。"""
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if hm is None:
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return 0
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if isinstance(hm, (tuple, list)):
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return int(hm[0]) * 60 + int(hm[1])
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if hasattr(hm, "hour"):
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return hm.hour * 60 + hm.minute
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s = str(hm).strip()
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if ":" in s:
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h, m = s.split(":")[:2]
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return int(h) * 60 + int(m)
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return int(s)
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def in_session(now_min: int) -> bool:
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return (OPEN_MIN <= now_min <= LUNCH_START) or (LUNCH_END <= now_min <= CLOSE_MIN)
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def daily_quota(remaining_qty: int, tdays_left: int, *, total_qty: int = None,
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lot: int = LOT, allow_odd_tail: bool = False) -> int:
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"""当日配额 = 剩余量 ÷ 剩余交易日, 向上取整到一手。
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* 最后一日 (tdays_left ≤ 1) 或剩余不足一手 → 全部剩余 (含零股尾巴)。
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* allow_odd_tail=True (整票清仓) 时不做整百取整, 零股一并出。
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"""
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r = max(0, int(remaining_qty or 0))
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if r <= 0:
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return 0
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d = max(1, int(tdays_left or 1))
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if d <= 1 or r <= lot:
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return r
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raw = r / d
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q = int(-(-raw // lot)) * lot # 向上取整到一手
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q = min(q, r)
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if not allow_odd_tail and q % lot and q != r:
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q = (q // lot) * lot
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# 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
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if 0 < r - q < lot:
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q = r
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return max(q, 0) if q > 0 else r
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def slice_qty(quota: int, slices: int = 1, lot: int = LOT) -> list:
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"""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。"""
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quota = max(0, int(quota or 0))
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n = max(1, int(slices or 1))
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if quota <= 0:
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return []
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if n == 1 or quota <= lot:
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return [quota]
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per = int(quota / n / lot) * lot
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if per <= 0:
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return [quota]
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out = [per] * (n - 1)
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out.append(quota - per * (n - 1))
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return [q for q in out if q > 0]
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def decide(*, side: str, now, day: dict, params: dict, is_last_day: bool,
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fired_today: int = 0, quota: int = 0) -> dict:
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"""单条指令在「此刻」该不该出手。
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day: {price, vwap, halted, limit_up, limit_down, day_chg_from_open, support}
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params: {sell_avoid_open_min, buy_halt_dayup, eod_force_time, eod_force_discount}
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返回 {"action", "qty_hint", "limit_price", "reason", "forced"}
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"""
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now_min = hm_to_min(now)
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price = float(day.get("price") or 0)
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vwap = float(day.get("vwap") or 0)
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eod_min = hm_to_min(params.get("eod_force_time") or "14:45")
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disc = float(params.get("eod_force_discount") or 0.998)
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left = max(0, int(quota) - int(fired_today))
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def out(action, reason, limit=None, forced=False):
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return {"action": action, "qty_hint": left, "limit_price": limit,
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"reason": reason, "forced": forced}
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if price <= 0:
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return out(ACT_SKIP, "取不到现价, 当日跳过")
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if day.get("halted"):
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return out(ACT_SKIP, "停牌, 当日跳过顺延")
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if left <= 0:
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return out(ACT_WAIT, "当日配额已出完")
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if not in_session(now_min):
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return out(ACT_WAIT, "非交易时段")
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if side == "sell":
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if day.get("limit_down") and not is_last_day:
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return out(ACT_SKIP, "跌停一字板, 当日跳过顺延")
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avoid = int(params.get("sell_avoid_open_min") or 30)
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if now_min < OPEN_MIN + avoid:
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return out(ACT_WAIT, f"避开开盘 {avoid} 分钟 (至 {_fmt(OPEN_MIN + avoid)})")
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if now_min >= eod_min:
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return out(ACT_FIRE, f"{_fmt(eod_min)} 兜底: 限价 = 现价×{disc}",
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limit=round(price * disc, 2), forced=True)
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if vwap > 0 and price >= vwap:
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return out(ACT_FIRE, f"现价 {price} ≥ 当日均价 {vwap}, 分笔卖出配额",
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limit=round(price * disc, 2))
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return out(ACT_WAIT, f"现价 {price} < 当日均价 {vwap or '—'}, 等更好的价")
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if side == "buy":
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if day.get("limit_up"):
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return out(ACT_SKIP, "涨停一字板, 当日跳过顺延")
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dayup = day.get("day_chg_from_open")
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cap = float(params.get("buy_halt_dayup") or 0.05)
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if dayup is not None and float(dayup) > cap:
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return out(ACT_STOP, f"当日涨幅 {float(dayup):.2%} > {cap:.0%}, 停止买入 (不追高)")
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premium = round(2 - disc, 4) # 买入兜底与卖出对称: 0.998 → 1.002
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if now_min >= eod_min:
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if is_last_day:
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return out(ACT_FIRE, f"窗口末日 {_fmt(eod_min)} 强制完成: 限价 = 现价×{premium}",
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limit=round(price * premium, 2), forced=True)
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return out(ACT_WAIT, f"{_fmt(eod_min)} 后不新开买单, 顺延次日")
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support = float(day.get("support") or 0)
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if vwap > 0 and price <= vwap:
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return out(ACT_FIRE, f"现价 {price} ≤ 当日均价 {vwap}, 买入配额",
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limit=round(price * premium, 2))
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if support > 0 and price <= support * 1.01:
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return out(ACT_FIRE, f"现价 {price} 进入回踩带 (支撑 {support}), 买入配额",
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limit=round(price * premium, 2))
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return out(ACT_WAIT, f"现价 {price} > 当日均价 {vwap or '—'} 且未回踩, 等回调")
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return out(ACT_SKIP, f"方向 {side!r} 非法")
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def _fmt(m: int) -> str:
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return f"{m // 60:02d}:{m % 60:02d}"
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def add_trade_minutes(start_min: int, minutes: int) -> int:
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"""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)。
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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
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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,
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而不是 11:35 就被撤掉。
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"""
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m = max(int(start_min), OPEN_MIN)
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left = max(0, int(minutes))
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if LUNCH_START < m < LUNCH_END: # 起点落在午休里, 从下午开盘算
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m = LUNCH_END
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if m <= LUNCH_START and m + left > LUNCH_START:
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left -= (LUNCH_START - m) # 用掉上午剩余部分
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m = LUNCH_END
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return min(m + left, CLOSE_MIN)
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def slice_deadline(now, *, ttl_min: int = 10, forced: bool = False) -> int:
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"""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。
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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
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—— 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。
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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
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TTL 撤回来。
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"""
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if forced:
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return CLOSE_MIN
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return add_trade_minutes(hm_to_min(now), ttl_min)
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def window_verdict(*, remaining_qty: int, tdays_left: int, is_command: bool) -> dict:
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"""窗口耗尽时的收口 (设计 §8 末句)。
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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,
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自主类直接作废。
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"""
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if int(remaining_qty or 0) <= 0:
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return {"verdict": "DONE", "note": "已足额完成"}
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if int(tdays_left or 0) > 0:
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return {"verdict": "RUNNING", "note": f"窗口内剩余 {tdays_left} 交易日"}
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return {"verdict": "PARTIAL" if is_command else "EXPIRED",
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"note": f"窗口耗尽仍剩 {remaining_qty} 股 —— "
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+ ("命令置部分完成并告警, 请在页面决定顺延或人工完成"
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if is_command else "自主指令作废")}
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