tradingSystem/app/repo/pms_repo.py

576 lines
23 KiB
Python

# -*- coding: utf-8 -*-
"""
PMS 自有表数据访问 (pms_*, 153 代理侧, 严格单表)
=================================================
每个函数只碰一张表 —— 跨表编排一律在 services 层做。
所有 SQL 经 db.session 的单表守卫; 列名白名单防注入。
表结构见 ddl_pms_v1.sql。
"""
from __future__ import annotations
import json
from datetime import datetime
from app.db.session import execute, execute_many, fetch_all, fetch_one
# 允许动态更新的列白名单 (防注入; 与 DDL 保持一致)
POSITION_COLS = {
"status", "frozen_reason", "total_qty", "avail_qty", "base_qty", "fill_qty", "add_qty",
"dca_qty", "t0_qty", "avg_cost", "realized_t_profit", "cushion_pct", "cushion_state",
"cushion_peak", "pct_of_scale", "target_pct", "stop_ref", "support_ref", "pressure_ref",
"ref_source", "t0_enabled", "t0_ratio", "opened_date", "fill_count", "last_add_date",
"dca_count", "t0_count_today",
}
LOT_COLS = {"qty", "closed_qty", "close_avg_price", "realized_pnl", "status", "open_price",
"note", "lot_type"}
_NOW = lambda: datetime.now() # noqa: E731 (容器时区 Asia/Shanghai)
def _dumps(v):
return json.dumps(v, ensure_ascii=False) if not isinstance(v, (str, type(None))) else v
def _loads(v, default=None):
if v in (None, ""):
return default
if isinstance(v, (dict, list)):
return v
try:
return json.loads(v)
except (ValueError, TypeError):
return default
def _set_clause(fields: dict, allow: set) -> tuple:
cols = [c for c in fields if c in allow]
if not cols:
return "", {}
return ", ".join(f"{c} = :{c}" for c in cols), {c: fields[c] for c in cols}
# ================================================================ pms_runtime_param
def all_params() -> dict:
rows = fetch_all("SELECT param_key, param_value, updated_by, updated_at FROM pms_runtime_param")
return {r["param_key"]: r for r in rows}
def set_param(key: str, value, updated_by: str = "user") -> int:
return execute(
"INSERT INTO pms_runtime_param (param_key, param_value, updated_by, updated_at) "
"VALUES (:k, :v, :by, :ts) "
"ON DUPLICATE KEY UPDATE param_value = :v, updated_by = :by, updated_at = :ts",
{"k": key, "v": str(value), "by": updated_by, "ts": _NOW()})
def get_param(key: str):
r = fetch_one("SELECT param_value FROM pms_runtime_param WHERE param_key = :k", {"k": key})
return r["param_value"] if r else None
# ================================================================ pms_command
def next_command_seq(ymd: int) -> int:
r = fetch_one("SELECT COUNT(*) AS n FROM pms_command WHERE command_id LIKE :p",
{"p": f"CMD_{ymd}_%"})
return int((r or {}).get("n") or 0) + 1
def insert_command(*, command_id, cmd_class, cmd_type, ts_code, params, status,
issued_by="user", note=None, progress=None) -> int:
return execute(
"INSERT INTO pms_command (command_id, cmd_class, cmd_type, ts_code, params_json, "
"status, progress_json, issued_by, issued_at, note) VALUES "
"(:cid, :cls, :ct, :code, :pj, :st, :pg, :by, :ts, :note)",
{"cid": command_id, "cls": cmd_class, "ct": cmd_type, "code": ts_code,
"pj": _dumps(params or {}), "st": status, "pg": _dumps(progress),
"by": issued_by, "ts": _NOW(), "note": note})
def get_command(command_id: str):
r = fetch_one("SELECT * FROM pms_command WHERE command_id = :cid", {"cid": command_id})
return _cmd_row(r) if r else None
def list_commands(*, statuses=None, cmd_class=None, limit: int = 200) -> list:
where, p = [], {"n": int(limit)}
if statuses:
keys = []
for i, s in enumerate(statuses):
keys.append(f":s{i}")
p[f"s{i}"] = s
where.append(f"status IN ({', '.join(keys)})")
if cmd_class:
where.append("cmd_class = :cls")
p["cls"] = cmd_class
sql = "SELECT * FROM pms_command"
if where:
sql += " WHERE " + " AND ".join(where)
sql += " ORDER BY id DESC LIMIT :n"
return [_cmd_row(r) for r in fetch_all(sql, p)]
def update_command(command_id: str, *, status=None, progress=None, done_at=None,
note=None) -> int:
sets, p = [], {"cid": command_id}
if status is not None:
sets.append("status = :st")
p["st"] = status
if progress is not None:
sets.append("progress_json = :pg")
p["pg"] = _dumps(progress)
if done_at is not None:
sets.append("done_at = :da")
p["da"] = done_at
if note is not None:
sets.append("note = :note")
p["note"] = note
if not sets:
return 0
return execute(f"UPDATE pms_command SET {', '.join(sets)} WHERE command_id = :cid", p)
def supersede_param_commands(cmd_type: str, ts_code=None, keep_command_id=None) -> int:
"""同类型 (同标的) 的旧生效参数命令置 SUPERSEDED —— 参数命令当前值取最新 EFFECTIVE。"""
sql = ("UPDATE pms_command SET status = 'SUPERSEDED' WHERE cmd_class = 'param' "
"AND status = 'EFFECTIVE' AND cmd_type = :ct")
p = {"ct": cmd_type}
if ts_code:
sql += " AND ts_code = :code"
p["code"] = ts_code
else:
sql += " AND ts_code IS NULL"
if keep_command_id:
sql += " AND command_id <> :keep"
p["keep"] = keep_command_id
return execute(sql, p)
def latest_effective(cmd_type: str, ts_code=None):
sql = ("SELECT * FROM pms_command WHERE cmd_class = 'param' AND status = 'EFFECTIVE' "
"AND cmd_type = :ct")
p = {"ct": cmd_type}
if ts_code:
sql += " AND ts_code = :code"
p["code"] = ts_code
sql += " ORDER BY id DESC LIMIT 1"
r = fetch_one(sql, p)
return _cmd_row(r) if r else None
def list_effective_stock_params(cmd_types=None) -> list:
"""个股参数命令的当前值 (黑白名单/止损价/目标价/做T授权/冻结 的事实源)。"""
sql = ("SELECT * FROM pms_command WHERE cmd_class = 'param' AND status = 'EFFECTIVE' "
"AND ts_code IS NOT NULL")
p = {}
if cmd_types:
keys = []
for i, t in enumerate(cmd_types):
keys.append(f":t{i}")
p[f"t{i}"] = t
sql += f" AND cmd_type IN ({', '.join(keys)})"
sql += " ORDER BY id DESC LIMIT 500"
return [_cmd_row(r) for r in fetch_all(sql, p)]
def _cmd_row(r: dict) -> dict:
d = dict(r)
d["params"] = _loads(d.pop("params_json", None), {})
d["progress"] = _loads(d.pop("progress_json", None), {})
return d
# ================================================================ pms_plan
def insert_plans(rows: list) -> int:
if not rows:
return 0
now = _NOW()
payload = [{"pid": r["plan_id"], "cid": r["command_id"], "code": r["ts_code"],
"act": r["action"], "qty": r.get("qty"), "amt": r.get("amount"),
"pri": r.get("priority", 100), "dl": r.get("deadline"),
"st": r.get("status", "PENDING"), "rsn": (r.get("reason") or "")[:300],
"ts": now}
for r in rows]
return execute_many(
"INSERT INTO pms_plan (plan_id, command_id, ts_code, action, qty, amount, priority, "
"deadline, status, filled_qty, reason, created_at, updated_at) VALUES "
"(:pid, :cid, :code, :act, :qty, :amt, :pri, :dl, :st, 0, :rsn, :ts, :ts)", payload)
def list_plans(*, command_id=None, statuses=None, ts_code=None, limit: int = 500) -> list:
where, p = [], {"n": int(limit)}
if command_id:
where.append("command_id = :cid")
p["cid"] = command_id
if ts_code:
where.append("ts_code = :code")
p["code"] = ts_code
if statuses:
keys = []
for i, s in enumerate(statuses):
keys.append(f":s{i}")
p[f"s{i}"] = s
where.append(f"status IN ({', '.join(keys)})")
sql = "SELECT * FROM pms_plan"
if where:
sql += " WHERE " + " AND ".join(where)
sql += " ORDER BY priority ASC, id ASC LIMIT :n"
return fetch_all(sql, p)
def update_plan(plan_id: str, *, status=None, filled_qty=None) -> int:
sets, p = ["updated_at = :ts"], {"pid": plan_id, "ts": _NOW()}
if status is not None:
sets.append("status = :st")
p["st"] = status
if filled_qty is not None:
sets.append("filled_qty = :fq")
p["fq"] = int(filled_qty)
return execute(f"UPDATE pms_plan SET {', '.join(sets)} WHERE plan_id = :pid", p)
def cancel_plans_of_command(command_id: str) -> int:
return execute("UPDATE pms_plan SET status = 'CANCELLED', updated_at = :ts "
"WHERE command_id = :cid AND status IN ('PENDING', 'EXECUTING')",
{"cid": command_id, "ts": _NOW()})
def set_plans_deadline(command_id: str, deadline) -> int:
return execute("UPDATE pms_plan SET deadline = :dl, updated_at = :ts "
"WHERE command_id = :cid AND status IN ('PENDING', 'EXECUTING')",
{"cid": command_id, "dl": deadline, "ts": _NOW()})
# ================================================================ pms_position
def list_positions(*, only_open: bool = False) -> list:
sql = "SELECT * FROM pms_position"
if only_open:
sql += " WHERE total_qty > 0"
sql += " ORDER BY ts_code"
return fetch_all(sql)
def get_position(ts_code: str):
return fetch_one("SELECT * FROM pms_position WHERE ts_code = :code", {"code": ts_code})
def ensure_position(ts_code: str) -> int:
return execute(
"INSERT INTO pms_position (ts_code, status, updated_at) VALUES (:code, 'PLANNED', :ts) "
"ON DUPLICATE KEY UPDATE updated_at = :ts", {"code": ts_code, "ts": _NOW()})
def update_position(ts_code: str, **fields) -> int:
clause, p = _set_clause(fields, POSITION_COLS)
if not clause:
return 0
p.update({"code": ts_code, "ts": _NOW()})
return execute(f"UPDATE pms_position SET {clause}, updated_at = :ts WHERE ts_code = :code", p)
def bump_position_qty(ts_code: str, *, total_delta: int = 0, avail_delta: int = 0) -> int:
return execute(
"UPDATE pms_position SET total_qty = GREATEST(0, total_qty + :td), "
"avail_qty = GREATEST(0, avail_qty + :ad), updated_at = :ts WHERE ts_code = :code",
{"td": int(total_delta), "ad": int(avail_delta), "code": ts_code, "ts": _NOW()})
def reset_avail_all() -> int:
"""日初 T+1 重置: 全部持仓可卖 (设计 §4)。"""
return execute("UPDATE pms_position SET avail_qty = total_qty, t0_count_today = 0, "
"updated_at = :ts WHERE total_qty >= 0", {"ts": _NOW()})
# ================================================================ pms_lot
def list_lots(ts_code=None, *, status: str = "OPEN", limit: int = 1000) -> list:
where, p = [], {"n": int(limit)}
if ts_code:
where.append("ts_code = :code")
p["code"] = ts_code
if status:
where.append("status = :st")
p["st"] = status
sql = "SELECT * FROM pms_lot"
if where:
sql += " WHERE " + " AND ".join(where)
sql += " ORDER BY open_date ASC, id ASC LIMIT :n"
return fetch_all(sql, p)
def insert_lot(*, ts_code, lot_type, qty, open_price, open_date, instruction_id=None,
note=None) -> int:
now = _NOW()
return execute(
"INSERT INTO pms_lot (ts_code, lot_type, qty, open_price, open_date, closed_qty, "
"realized_pnl, status, instruction_id, note, created_at, updated_at) VALUES "
"(:code, :lt, :qty, :px, :od, 0, 0, 'OPEN', :iid, :note, :ts, :ts)",
{"code": ts_code, "lt": lot_type, "qty": int(qty), "px": float(open_price),
"od": open_date, "iid": instruction_id, "note": note, "ts": now})
def close_lot_qty(lot_id: int, *, qty: int, close_price: float, realized_pnl: float) -> int:
"""核销批次数量。close_avg_price 按加权平均累计 (多次部分卖出不覆盖)。
注: MySQL 的 UPDATE ... SET 按书写顺序求值且后项可见前项新值 —— 故
close_avg_price 必须写在 closed_qty 之前 (用旧 closed_qty 加权),
status 必须写在 qty 之后 (用新 qty 判断是否核销完)。顺序不可随意调整。
"""
return execute(
"UPDATE pms_lot SET "
"close_avg_price = CASE WHEN (closed_qty + :q) > 0 "
" THEN (COALESCE(close_avg_price, 0) * closed_qty + :px * :q) / (closed_qty + :q) "
" ELSE :px END, "
"qty = GREATEST(0, qty - :q), "
"closed_qty = closed_qty + :q, "
"realized_pnl = realized_pnl + :pnl, "
"status = CASE WHEN qty <= 0 THEN 'CLOSED' ELSE 'OPEN' END, "
"updated_at = :ts WHERE id = :id",
{"q": int(qty), "px": float(close_price), "pnl": float(realized_pnl),
"id": int(lot_id), "ts": _NOW()})
def update_lot(lot_id: int, **fields) -> int:
clause, p = _set_clause(fields, LOT_COLS)
if not clause:
return 0
p.update({"id": int(lot_id), "ts": _NOW()})
return execute(f"UPDATE pms_lot SET {clause}, updated_at = :ts WHERE id = :id", p)
# ================================================================ pms_instruction
def insert_instruction(*, instruction_id, origin_type, origin_id, ts_code, action, side, qty,
limit_price=None, window_tdays=3, status="PROPOSED",
progress=None) -> int:
now = _NOW()
return execute(
"INSERT INTO pms_instruction (instruction_id, origin_type, origin_id, ts_code, action, "
"side, qty, limit_price, window_tdays, status, exec_qty, progress_json, created_at, "
"updated_at) VALUES (:iid, :ot, :oid, :code, :act, :side, :qty, :lp, :w, :st, 0, :pg, "
":ts, :ts)",
{"iid": instruction_id, "ot": origin_type, "oid": origin_id, "code": ts_code,
"act": action, "side": side, "qty": int(qty), "lp": limit_price,
"w": int(window_tdays), "st": status, "pg": _dumps(progress), "ts": now})
def list_instructions(*, statuses=None, side=None, ts_code=None, limit: int = 300) -> list:
where, p = [], {"n": int(limit)}
if statuses:
keys = []
for i, s in enumerate(statuses):
keys.append(f":s{i}")
p[f"s{i}"] = s
where.append(f"status IN ({', '.join(keys)})")
if side:
where.append("side = :side")
p["side"] = side
if ts_code:
where.append("ts_code = :code")
p["code"] = ts_code
sql = "SELECT * FROM pms_instruction"
if where:
sql += " WHERE " + " AND ".join(where)
sql += " ORDER BY id DESC LIMIT :n"
rows = fetch_all(sql, p)
for r in rows:
r["progress"] = _loads(r.get("progress_json"), {})
return rows
def get_instruction(instruction_id: str):
r = fetch_one("SELECT * FROM pms_instruction WHERE instruction_id = :iid",
{"iid": instruction_id})
if r:
r["progress"] = _loads(r.get("progress_json"), {})
return r
def update_instruction(instruction_id: str, *, status=None, exec_qty=None, exec_avg_price=None,
dispatch_ref=None, progress=None) -> int:
sets, p = ["updated_at = :ts"], {"iid": instruction_id, "ts": _NOW()}
if status is not None:
sets.append("status = :st")
p["st"] = status
if exec_qty is not None:
sets.append("exec_qty = :eq")
p["eq"] = int(exec_qty)
if exec_avg_price is not None:
sets.append("exec_avg_price = :ep")
p["ep"] = float(exec_avg_price)
if dispatch_ref is not None:
sets.append("dispatch_ref = :dr")
p["dr"] = dispatch_ref
if progress is not None:
sets.append("progress_json = :pg")
p["pg"] = _dumps(progress)
return execute(f"UPDATE pms_instruction SET {', '.join(sets)} WHERE instruction_id = :iid", p)
def add_instruction_exec(instruction_id: str, qty: int) -> int:
return execute("UPDATE pms_instruction SET exec_qty = exec_qty + :q, updated_at = :ts "
"WHERE instruction_id = :iid",
{"q": int(qty), "iid": instruction_id, "ts": _NOW()})
# ================================================================ pms_proposal
def insert_proposal(*, proposal_id, ts_code, action, qty, hard_numbers, expire_at,
judge_verdict=None, judge_reason=None, status="WAIT_USER") -> int:
return execute(
"INSERT INTO pms_proposal (proposal_id, ts_code, action, qty, hard_numbers_json, "
"judge_verdict, judge_reason, status, expire_at, created_at) VALUES "
"(:pid, :code, :act, :qty, :hn, :jv, :jr, :st, :exp, :ts)",
{"pid": proposal_id, "code": ts_code, "act": action, "qty": int(qty),
"hn": _dumps(hard_numbers or {}), "jv": judge_verdict, "jr": judge_reason,
"st": status, "exp": expire_at, "ts": _NOW()})
def list_proposals(*, statuses=("WAIT_USER",), limit: int = 200) -> list:
p, keys = {"n": int(limit)}, []
for i, s in enumerate(statuses or ()):
keys.append(f":s{i}")
p[f"s{i}"] = s
sql = "SELECT * FROM pms_proposal"
if keys:
sql += f" WHERE status IN ({', '.join(keys)})"
sql += " ORDER BY id DESC LIMIT :n"
rows = fetch_all(sql, p)
for r in rows:
r["hard_numbers"] = _loads(r.get("hard_numbers_json"), {})
return rows
def get_proposal(proposal_id: str):
r = fetch_one("SELECT * FROM pms_proposal WHERE proposal_id = :pid", {"pid": proposal_id})
if r:
r["hard_numbers"] = _loads(r.get("hard_numbers_json"), {})
return r
def decide_proposal(proposal_id: str, status: str) -> int:
return execute("UPDATE pms_proposal SET status = :st, decided_at = :ts "
"WHERE proposal_id = :pid AND status = 'WAIT_USER'",
{"st": status, "pid": proposal_id, "ts": _NOW()})
def expire_proposals(now=None) -> int:
return execute("UPDATE pms_proposal SET status = 'EXPIRED' "
"WHERE status = 'WAIT_USER' AND expire_at < :ts", {"ts": now or _NOW()})
# ================================================================ pms_action_ledger
def insert_ledger(*, ts_code, action, arbiter, verdict, price_at, hard_numbers=None,
failed_checks=None, reason=None, ref_id=None) -> int:
return execute(
"INSERT INTO pms_action_ledger (ts_code, decided_at, action, arbiter, verdict, "
"price_at, hard_numbers_json, failed_checks_json, reason, ref_id, outcome_scored) "
"VALUES (:code, :ts, :act, :arb, :vd, :px, :hn, :fc, :rsn, :ref, 0)",
{"code": ts_code, "ts": _NOW(), "act": action, "arb": arbiter, "vd": verdict,
"px": float(price_at or 0), "hn": _dumps(hard_numbers), "fc": _dumps(failed_checks),
"rsn": (reason or "")[:500], "ref": ref_id})
# ================================================================ pms_cash_flow
def insert_cash_flow(*, ymd, kind, amount, ts_code=None, estimated=0, trade_no=None,
instruction_id=None, note=None) -> int:
"""记一笔现金流水 (费用不入成本, 只入现金账 —— 协议 §5.5)。
(kind, trade_no) 上有唯一键做兜底去重。注意**不要拿返回值判断"是不是新插的"**:
SQLAlchemy 的 MySQL 方言默认开 CLIENT_FOUND_ROWS, 重复插入照样回 1 (同 inbox_put 的坑)。
调用方的去重靠 inbox 的 processed 标记, 这里的唯一键只是最后一道保险。
"""
return execute(
"INSERT INTO pms_cash_flow (ymd, kind, ts_code, amount, estimated, trade_no, "
"instruction_id, note, created_at) VALUES (:y, :k, :code, :amt, :est, :tn, :iid, "
":note, :ts) ON DUPLICATE KEY UPDATE id = id",
{"y": int(ymd), "k": kind, "code": ts_code, "amt": float(amount),
"est": 1 if estimated else 0, "tn": trade_no, "iid": instruction_id,
"note": (str(note)[:300] if note else None), "ts": _NOW()})
def sum_cash_flow(ymd, kind=None) -> float:
sql = "SELECT COALESCE(SUM(amount), 0) AS s FROM pms_cash_flow WHERE ymd = :y"
p = {"y": int(ymd)}
if kind:
sql += " AND kind = :k"
p["k"] = kind
return float((fetch_one(sql, p) or {}).get("s") or 0)
def list_cash_flow(*, ymd=None, kind=None, limit: int = 200) -> list:
where, p = [], {"n": int(limit)}
if ymd:
where.append("ymd = :y")
p["y"] = int(ymd)
if kind:
where.append("kind = :k")
p["k"] = kind
sql = "SELECT * FROM pms_cash_flow"
if where:
sql += " WHERE " + " AND ".join(where)
return fetch_all(sql + " ORDER BY id DESC LIMIT :n", p)
def rule_rejected_today(since) -> set:
"""今天已被**规则闸**拒过的 (代码, 动作) —— 自主扫描据此当日不再重复评估。
评审账本是给事后判分用的 (「拒了的后来涨了多少」), 同一件事一天记一条足矣。而扫描每分钟
一跳, 不去重的话一条持续不通过的候选 —— 比如已超总仓上限时的补仓 —— 一天能写进 240 行
一模一样的记录, 把真正有信息量的行淹掉。判分锚被噪声埋了就不再是锚。
"""
rows = fetch_all("SELECT DISTINCT ts_code, action FROM pms_action_ledger "
"WHERE verdict = 'REJECT' AND arbiter = 'rule' AND decided_at >= :d",
{"d": since})
return {(r["ts_code"], r["action"]) for r in rows}
def list_ledger(*, ts_code=None, limit: int = 200) -> list:
sql = "SELECT * FROM pms_action_ledger"
p = {"n": int(limit)}
if ts_code:
sql += " WHERE ts_code = :code"
p["code"] = ts_code
sql += " ORDER BY id DESC LIMIT :n"
rows = fetch_all(sql, p)
for r in rows:
r["hard_numbers"] = _loads(r.get("hard_numbers_json"), {})
r["failed_checks"] = _loads(r.get("failed_checks_json"), [])
return rows
# ================================================================ pms_daily_report
def upsert_report(ymd: int, report: dict) -> int:
return execute(
"INSERT INTO pms_daily_report (ymd, report_json, created_at) VALUES (:y, :r, :ts) "
"ON DUPLICATE KEY UPDATE report_json = :r, created_at = :ts",
{"y": int(ymd), "r": _dumps(report), "ts": _NOW()})
def get_report(ymd: int):
r = fetch_one("SELECT * FROM pms_daily_report WHERE ymd = :y", {"y": int(ymd)})
return {"ymd": r["ymd"], "report": _loads(r["report_json"], {})} if r else None
def latest_report():
r = fetch_one("SELECT * FROM pms_daily_report ORDER BY ymd DESC LIMIT 1")
return {"ymd": r["ymd"], "report": _loads(r["report_json"], {})} if r else None
# ================================================================ pms_industry_map
def get_industry(ts_code: str):
r = fetch_one("SELECT industry FROM pms_industry_map WHERE ts_code = :code",
{"code": ts_code})
return r["industry"] if r else None
def list_industry(limit: int = 5000) -> list:
return fetch_all("SELECT ts_code, industry, updated_at FROM pms_industry_map "
"ORDER BY ts_code LIMIT :n", {"n": int(limit)})
def upsert_industry(rows: list) -> int:
if not rows:
return 0
now = _NOW()
payload = [{"code": r["ts_code"], "ind": r["industry"], "ts": now} for r in rows]
return execute_many(
"INSERT INTO pms_industry_map (ts_code, industry, updated_at) VALUES (:code, :ind, :ts) "
"ON DUPLICATE KEY UPDATE industry = :ind, updated_at = :ts", payload)