237 lines
15 KiB
Python
237 lines
15 KiB
Python
# -*- coding: utf-8 -*-
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"""逐笔历史修复的离线编译器。只有完整证据才生成写回计划，不猜基线。"""
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from collections import defaultdict
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from copy import deepcopy
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from datetime import datetime, timezone, timedelta
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from decimal import Decimal, ROUND_HALF_UP
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import hashlib
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import json
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from app.core.cushion import sell_allocation, cushion_state
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D = lambda x: Decimal(str(x or 0))
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TERMINAL = {'FILLED', 'CANCELLED', 'EXPIRED', 'REJECTED', 'ABORTED', 'SEND_FAILED'}
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def canonical(value):
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return json.dumps(value, ensure_ascii=False, sort_keys=True, separators=(',', ':'), default=str)
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def digest(value):
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return hashlib.sha256(canonical(value).encode()).hexdigest()
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def rounded(value, places=3):
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return str(D(value).quantize(Decimal(10) ** -places, rounding=ROUND_HALF_UP))
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def net_lot_cost(lots):
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"""核销均价只有三位小数；盈亏金额保留了逐笔核销金额，不能反乘均价丢精度。"""
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return sum((D(l['qty']) * D(l['open_price']) -
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(D(l['realized_pnl']) if l.get('realized_pnl') is not None else
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D(l.get('closed_qty')) * (D(l.get('close_avg_price')) - D(l['open_price']))))
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for l in lots)
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def need(condition, message):
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if not condition:
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raise ValueError(message)
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def compile_repair(backup, codes, *, scale=2000000, solid=0.03):
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"""返回原行、目标列、逐笔分配和不能还原事项。输入、配置相同则结果完全一致。"""
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need(backup.get('instance') == '155-sim', '仅接受已确认的 155 模拟仓备份')
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need(codes and len(set(codes)) == len(codes), '股票范围为空或重复')
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tables = backup['tables']
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run_id = 'HIST_' + digest({'backup': backup, 'codes': sorted(codes),
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'scale': scale, 'solid': solid})[:24]
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out = {'run_id': run_id, 'backup_digest': digest(backup), 'codes': sorted(codes),
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'changes': [], 'summaries': [], 'allocations': [], 'daily': {}, 'unknowns': [
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'手续费原文为空时无法恢复实际净盈亏，以下盈亏均为不含费用的批次盈亏。',
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'缺少完整盘中行情及当时账本，安全垫历史峰值保留原值，不声明已还原。',
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'历史日报与全组合净值保留原始记录，受污染期间不得作为已修复的真实绩效。']}
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snapshots = {x['ts_code']: x for x in backup['position_snapshot']['payload']['items']}
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all_trades = []
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for r in tables['pms_qmt_inbox']:
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p = json.loads(r['payload_json'])
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if p.get('ts_code') in codes:
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all_trades.append(dict(r, payload=p))
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by_no = set()
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for r in all_trades:
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p = r['payload']
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need(p.get('trade_no') and p['trade_no'] not in by_no, '重复或缺失成交号')
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by_no.add(p['trade_no'])
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def change(table, row, fields):
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out['changes'].append({'table': table, 'key': {'id': row['id']},
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'before': row, 'fields': fields})
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for code in sorted(codes):
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positions = [x for x in tables['pms_position'] if x['ts_code'] == code]
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need(len(positions) == 1 and code in snapshots, f'{code} 持仓事实缺失')
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pos, fact = positions[0], snapshots[code]
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lots = [x for x in tables['pms_lot'] if x['ts_code'] == code]
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need(lots, f'{code} 无可追溯批次基线')
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start = min(str(l['open_date']) for l in lots)
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orders = {x['instruction_id']: x for x in tables['pms_qmt_order'] if x['ts_code'] == code}
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instructions = {x['instruction_id']: x for x in tables['pms_instruction'] if x['ts_code'] == code}
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trades = sorted([x for x in all_trades if x['payload']['ts_code'] == code],
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key=lambda x: (int(x['payload']['trade_time']), int(x['seq'])))
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before_qty = 0
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current = []
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for r in trades:
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p = r['payload']
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day = datetime.fromtimestamp(int(p['trade_time']) / 1000, timezone(timedelta(hours=8))).date().isoformat()
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if day < start:
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before_qty += int(p['qty']) * (1 if p['side'] == 'buy' else -1)
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else:
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current.append(r)
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need(before_qty == 0, f'{code} 起点前未平仓，不能假设零基线')
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need(current, f'{code} 缺少逐笔历史')
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parents = defaultdict(list)
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for iid, o in orders.items():
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if str(o['created_at'])[:10] < start:
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continue
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need(o['status'] in TERMINAL, f'{iid} 仍有在途委托')
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ts = [x for x in current if x['payload']['instruction_id'] == iid]
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need(sum(int(x['payload']['qty']) for x in ts) == int(o['cum_qty']), f'{iid} 漏笔或累计量冲突')
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for r in current:
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p = r['payload']; o = orders.get(p['instruction_id'])
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need(o and o['parent_id'] in instructions, f"{p['trade_no']} 缺出口或父指令")
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need(o['side'] == p['side'] and o['broker_order_id'] == p['broker_order_id'], '成交身份冲突')
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need(int(r['processed']) == 1 and int(p['qty']) > 0 and D(p['price']) > 0, '未完成原始入账或坏成交')
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need(D(p.get('amount')) == int(p['qty']) * D(p['price']), '逐笔金额不一致')
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parents[o['parent_id']].append(r)
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fills = [x for x in backup['table_fills'] if x['ts_code'] == code and x['done_time'][:10] >= start]
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for f in fills:
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owners = [o for o in orders.values() if o['instruction_id'] == f['order_id'] or
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(f.get('raw', {}).get('qmt_order_id') and o['broker_order_id'] == f['raw']['qmt_order_id'])]
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need(len(owners) == 1 and owners[0]['side'] == f['side'], '存在无法解释的外部成交')
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used, state, matched = set(), {}, {}
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for r in current:
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p = r['payload']; o = orders[p['instruction_id']]
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if p['side'] != 'buy':
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continue
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matches = [l for l in lots if l['instruction_id'] == o['parent_id'] and
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int(l['qty']) + int(l['closed_qty']) == int(p['qty']) and
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D(l['open_price']) == D(p['price']) and str(l['created_at']) == str(r['processed_at'])]
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need(len(matches) == 1 and matches[0]['id'] not in used, f"{p['trade_no']} 原批次无法唯一对应")
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l = matches[0]; used.add(l['id']); matched[r['seq']] = l['id']
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state[l['id']] = dict(l, qty=0, closed_qty=0, close_avg_price=None,
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realized_pnl=Decimal(0), sell_amount=Decimal(0))
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groups = defaultdict(list); void = []
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for l in lots:
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if l['id'] in used:
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continue
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void.append(l['id'])
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if l['lot_type'] != 'RECON':
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groups[(str(l['created_at']), str(l['open_price']))].append(l)
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matched_fills = set()
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for (created, price), group in groups.items():
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qty = sum(int(l['qty']) + int(l['closed_qty']) for l in group)
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fs = [f for f in fills if f['side'] == 'buy' and f['qty'] == qty and D(f['price']) == D(price)
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and f['done_time'][:10] == created[:10] and all(
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not l['instruction_id'] or l['instruction_id'] == orders[f['order_id']]['parent_id']
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for l in group)]
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need(len(fs) == 1 and fs[0]['order_id'] not in matched_fills, '非真实买入批次缺重复汇总单证据')
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matched_fills.add(fs[0]['order_id'])
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daily = {}; buy_cash = D(0); sell_cash = D(0)
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for r in current:
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p = r['payload']; qty = int(p['qty']); px = D(p['price'])
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if p['side'] == 'buy':
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state[matched[r['seq']]]['qty'] = qty
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buy_cash += qty * px
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else:
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active = sorted((l for l in state.values() if l['qty'] > 0), key=lambda l: (str(l['open_date']), l['id']))
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allocations = sell_allocation([dict(lot_id=l['id'], lot_type=l['lot_type'], qty=l['qty'],
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open_date=int(str(l['open_date']).replace('-', ''))) for l in active], qty)
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for a in allocations:
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l = state[a['lot_id']]; q = a['qty']
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l['qty'] -= q; l['closed_qty'] += q; l['sell_amount'] += q * px
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l['realized_pnl'] += q * (px - D(l['open_price']))
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out['allocations'].append(dict(ts_code=code, seq=r['seq'], trade_no=p['trade_no'],
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lot_id=l['id'], qty=q, price=str(px), realized_pnl=str(q * (px - D(l['open_price'])))))
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sell_cash += qty * px
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day = str(r['received_at'])[:10]
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q = sum(l['qty'] for l in state.values())
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daily[day] = {'qty': q, 'buy_amount': str(buy_cash), 'sell_amount': str(sell_cash),
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'realized_pnl': str(sum(l['realized_pnl'] for l in state.values())),
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'avg_cost': rounded((buy_cash-sell_cash)/q) if q else None}
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total = sum(l['qty'] for l in state.values())
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need(total == int(fact['total_qty']), f'{code} 重建数量与 QMT 不符')
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need(net_lot_cost(list(state.values())) == buy_cash - sell_cash, '成本与逐笔资金不守恒')
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pnl = sum(l['realized_pnl'] for l in state.values())
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for old in lots:
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l = state.get(old['id'])
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fields = {'qty': 0, 'closed_qty': 0, 'close_avg_price': None, 'realized_pnl': '0.00',
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'status': 'CLOSED', 'note': f'{run_id} 原重复/RECON批次作废；原值见备份'}
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if l:
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fields.update(qty=l['qty'], closed_qty=l['closed_qty'],
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close_avg_price=rounded(l['sell_amount']/l['closed_qty']) if l['closed_qty'] else None,
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realized_pnl=rounded(l['realized_pnl'], 2), status='OPEN' if l['qty'] else 'CLOSED',
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note=f'{run_id} 按逐笔重建；原值见备份')
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change('pms_lot', old, fields)
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by_type = defaultdict(int)
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for l in state.values():
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by_type[l['lot_type']] += l['qty']
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avg = max(D(0), (buy_cash - sell_cash)/total) if total else None
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px = D(fact['market_price']); cp = px/avg-1 if avg else None
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# 保留原有 T+1 限制：当日买入不能因模拟 QMT 可用数过宽而全部放开。
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today = backup['at'][:10]
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day_open = daily[max((d for d in daily if d < today), default=min(daily))]['qty'] if min(daily) < today else 0
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today_sell = sum(int(x['payload']['qty']) for x in current if x['received_at'][:10] == today and x['payload']['side']=='sell')
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avail = min(int(fact['avail_qty']), max(0, day_open-today_sell), total)
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fields = dict(total_qty=total, avail_qty=avail, base_qty=by_type['BASE']+by_type['RECON'],
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add_qty=by_type['ADD'], dca_qty=by_type['DCA'], fill_qty=by_type['FILL'], t0_qty=by_type['T0'],
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avg_cost=rounded(avg) if avg else None,
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realized_t_profit=rounded(sum(l['realized_pnl'] for l in state.values() if l['lot_type']=='T0'),2),
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cushion_pct=rounded(cp,4) if cp is not None else None,
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cushion_state=cushion_state(float(cp) if cp is not None else None,solid),
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pct_of_scale=rounded(total*px/D(scale),4) if scale else None,
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status=('HOLDING' if pos['status']=='CLOSED' and total else pos['status']))
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change('pms_position', pos, fields)
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progress_rows = []
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for pid, ts in parents.items():
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ins = instructions[pid]; qty = sum(x['payload']['qty'] for x in ts)
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amount = sum(D(x['payload']['amount']) for x in ts)
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progress = json.loads(ins['progress_json'] or '{}')
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evidence = {'run_id': run_id, 'old_exec_qty': ins['exec_qty'], 'old_status': ins['status'],
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'exec_qty': qty, 'exec_amount': str(amount), 'remaining_qty': max(0, ins['qty']-qty),
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'overfill_qty': max(0,qty-ins['qty']), 'seqs': [x['seq'] for x in ts]}
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status = ins['status']
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if status == 'CONFIRMED' and qty < ins['qty']:
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status = 'CANCELLED'
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evidence['hold_reason'] = '历史修复暂停剩余执行；子单均已终态，不自动续单'
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progress['historical_repair'] = evidence
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for child in progress.get('children', []):
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child_ts = [x for x in ts if x['payload']['instruction_id'] == child.get('ref')]
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child['actual_exec_qty'] = sum(x['payload']['qty'] for x in child_ts)
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child['actual_exec_amount'] = str(sum(D(x['payload']['amount']) for x in child_ts))
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change('pms_instruction', ins, dict(exec_qty=qty, exec_avg_price=rounded(amount/qty),
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status=status, progress_json=canonical(progress)))
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progress_rows.append(dict(instruction_id=pid, **evidence, new_status=status))
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need(not [x for x in tables['pms_plan'] if x['ts_code']==code], '命令方案须另作完整重建，当前工具不猜命令进度')
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# 活跃网格账的剩余档位来自同一批真实批次，已撤销策略不恢复。
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for strategy in tables['pms_strategy']:
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if strategy['ts_code'] != code or strategy['status'] != 'ACTIVE':
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continue
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need(strategy['type']=='GRID', '活跃非网格策略需要专门核验')
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st = json.loads(strategy['state_json'] or '{}')
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need(not st.get('pending'), '网格策略仍有待结算指令')
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levels = defaultdict(lambda: [0,D(0)])
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for l in state.values():
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ins = instructions[l['instruction_id']]
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if ins.get('origin_id') != strategy['strategy_id'] or not l['qty']:
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continue
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prog = json.loads(ins['progress_json'] or '{}'); leg = prog.get('leg','')
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need(leg.startswith('grid_buy:'), '策略批次缺网格档位来源')
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level = leg.split(':')[1]; levels[level][0] += l['qty']; levels[level][1] += l['qty']*D(l['open_price'])
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st['filled_levels'] = {k:dict(qty=v[0],price=float(v[1]/v[0])) for k,v in levels.items()}
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st['invested'] = float(sum(v[1] for v in levels.values()))
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st['historical_repair'] = {'run_id':run_id,'source':'真实剩余批次'}
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change('pms_strategy',strategy,dict(state_json=canonical(st)))
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out['daily'][code] = daily
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out['summaries'].append(dict(ts_code=code,start=start,trades=len(current),real_lots=len(used),
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void_lots=void,old_qty=pos['total_qty'],qty=total,avg_cost=fields['avg_cost'],avail_qty=avail,
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old_avg_cost=pos['avg_cost'],realized_pnl=rounded(pnl,2),buy_amount=str(buy_cash),sell_amount=str(sell_cash),
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instructions=progress_rows))
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return json.loads(canonical(out))
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