311 lines
15 KiB
Python
311 lines
15 KiB
Python
# -*- coding: utf-8 -*-
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"""
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自主提议: 扫描 → 规则闸 → 研判闸 → 按自主档位分流 (设计 §6 / §7)
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==================================================================
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分流规则 (设计原文):
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full 闸门与研判通过即执行 → 直接落指令
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propose_only 增持类全部待用户确认 (一期默认) → 落 pms_proposal 队列
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off 不扫描
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两条无条件覆盖档位的规矩:
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* **减持方向不设确认门槛** —— TRIM 保垫减仓属纯规则自动执行, 任何档位都直接落指令。
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* **−15% 及更深的补仓永远需用户确认** —— 即便档位是 full, 也强制入队。
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研判闸不可用时 (决策系统未接通/超时), 按设计自动降级为 propose_only + ERROR 告警,
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**绝不把「研判拿不到」当成「研判通过」**。
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"""
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from __future__ import annotations
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import logging
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from datetime import datetime, timedelta
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from app.core import action_engine as ae
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from app.core import command_spec as cs
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from app.core import rule_gate
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from app.core import tradedays as td
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from app.repo import pms_repo
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from app.services import (command_service, executor, judge, market, param_store, portfolio)
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logger = logging.getLogger("pms.proposal")
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AUTONOMY_FULL, AUTONOMY_PROPOSE, AUTONOMY_OFF = "full", "propose_only", "off"
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def scan_and_route(*, now=None, dry_run: bool = False) -> dict:
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"""自主提议扫描一轮。dry_run=True 只出候选与判定, 不落任何表。"""
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now = now or datetime.now()
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out = {"ok": True, "autonomy": None, "candidates": 0, "executed": [], "queued": [],
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"rejected": [], "skipped": [], "errors": [], "degraded": False, "dry_run": dry_run}
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autonomy = param_store.get("PMS_AUTONOMY", AUTONOMY_PROPOSE)
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out["autonomy"] = autonomy
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if autonomy == AUTONOMY_OFF:
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out["skipped"].append({"why": "自主档位 off, 不扫描"})
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return out
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if param_store.get_bool("PMS_GLOBAL_EXEC_HALT", False):
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out["skipped"].append({"why": "全局暂停执行 (休假模式)"})
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return out
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try:
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view = portfolio.positions_view()
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params = _scan_params(view)
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mkt = _market_ctx(view["held"], now)
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params["_mkt"] = mkt # 规则闸要用同一份 MA5, 不再重取
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# 跳过两类: ①已有在途提议或指令的 ②今天已被规则闸拒过的。
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# 后者是 2026-07-29 的教训 —— 组合已超总仓上限时, 16 只深亏票的补仓候选每分钟被拒
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# 一次, 一天往评审账本灌几千行一模一样的记录。闸门结论当天基本不会变, 记一次就够。
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skip = _inflight_keys() | _rejected_today_keys()
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scanned = ae.scan(positions=view["held"], params=params, market=mkt, skip=skip)
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except Exception as e:
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logger.exception("提议扫描失败")
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return {**out, "ok": False, "errors": [f"扫描失败: {type(e).__name__}: {e}"]}
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out["candidates"] = len(scanned["candidates"])
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out["skipped"].extend(scanned["skipped"])
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stock_params = command_service.effective_stock_params()
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brake_active = td.ymd() < param_store.get_int("PMS_BRAKE_UNTIL", 0)
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for c in scanned["candidates"]:
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try:
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_route_one(c, view, params, stock_params, brake_active, now, dry_run, out)
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except Exception as e:
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logger.exception("提议分流失败 %s", c.get("ts_code"))
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out["errors"].append(f"{c.get('ts_code')} {c.get('action')}: "
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f"{type(e).__name__}: {e}")
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out["ok"] = not out["errors"]
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return out
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def _route_one(c, view, params, stock_params, brake_active, now, dry_run, out):
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code, action, side = c["ts_code"], c["action"], c["side"]
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pos = _pos_of(view, code)
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price = float(pos.get("price") or 0)
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# ---- 一级: 规则闸 (自主动作受刹车约束, is_command=False) ----
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gate = rule_gate.check(
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side=side, action=action, qty=c["qty"], price=price,
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ctx={"ts_code": code, "position": pos,
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"day": {"price": price, "vwap": price,
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"ma5": (params.get("_mkt") or {}).get(code, {}).get("ma5"),
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"day_chg_from_open": None},
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"params": {"no_chase_ma5": params.get("no_chase_ma5"),
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"buy_halt_dayup": params.get("buy_halt_dayup"),
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"sector_source_ready": view["sector_ready"]},
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"caps": portfolio.caps_ctx(view, ts_code=code) if side == "buy" else None,
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"flags": {"buy_halt": params.get("buy_halt"), "exec_halt": params.get("exec_halt"),
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"brake_active": brake_active,
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"blacklisted": bool(stock_params.get(code, {}).get("black")),
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"is_command": False}})
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if not gate["passed"]:
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out["rejected"].append({"ts_code": code, "action": action, "by": "rule",
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"failed": gate["failed"]})
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if not dry_run:
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pms_repo.insert_ledger(ts_code=code, action=action, arbiter="rule", verdict="REJECT",
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price_at=price, hard_numbers=c["hard_numbers"],
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failed_checks=gate["failed"], reason="自主提议未过规则闸")
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return
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# ---- 二级: 研判闸 (仅补足/加仓/补仓; 减持不送研判) ----
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verdict = {"verdict": judge.PASS, "reason": "", "degraded": False}
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if c.get("judge_required"):
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verdict = judge.request(c, context={"position": _judge_ctx(pos),
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"recent_ledger": _recent_ledger(code)})
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if verdict["verdict"] == judge.REJECT:
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out["rejected"].append({"ts_code": code, "action": action, "by": "judge",
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"failed": [verdict.get("reason") or "研判驳回"]})
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if not dry_run:
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pms_repo.insert_ledger(ts_code=code, action=action, arbiter="judge",
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verdict="REJECT", price_at=price,
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hard_numbers=c["hard_numbers"],
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reason=verdict.get("reason") or "研判驳回")
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return
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if verdict.get("degraded"):
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out["degraded"] = True
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# ---- 三级: 按档位分流 ----
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autonomy = out["autonomy"]
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force_queue = bool(c.get("needs_user_confirm")) or verdict.get("degraded")
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auto_exec = (side == "sell") or (autonomy == AUTONOMY_FULL and not force_queue)
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if dry_run:
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(out["executed"] if auto_exec else out["queued"]).append(
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{**_brief(c), "route": "auto" if auto_exec else "queue",
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"judge": verdict["verdict"], "dry_run": True})
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return
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if auto_exec:
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iid = _make_instruction(c, price, now)
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pms_repo.insert_ledger(ts_code=code, action=action,
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arbiter="judge" if c.get("judge_required") else "rule",
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verdict="PASS", price_at=price, hard_numbers=c["hard_numbers"],
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ref_id=iid,
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reason=(verdict.get("reason") or c["reason"])[:500])
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out["executed"].append({**_brief(c), "instruction_id": iid,
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"why": "减持方向自动执行" if side == "sell" else "档位 full"})
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else:
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pid = _make_proposal(c, price, verdict)
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why = ("深档补仓强制确认" if c.get("needs_user_confirm")
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else ("研判不可用, 降级人工确认" if verdict.get("degraded")
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else "档位 propose_only"))
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out["queued"].append({**_brief(c), "proposal_id": pid, "why": why})
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# ================================================================ 落表
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def _make_instruction(c, price, now) -> str:
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ymd = td.ymd(now)
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seq = int(now.strftime("%H%M%S"))
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iid = cs.make_instruction_id(ymd, c["ts_code"], c["action"], seq % 1000)
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window = param_store.get_int("PMS_EXEC_WINDOW_TDAYS", 3)
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pms_repo.insert_instruction(
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instruction_id=iid, origin_type="proposal", origin_id=None, ts_code=c["ts_code"],
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action=c["action"], side=c["side"], qty=c["qty"], limit_price=None,
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window_tdays=window, status=executor.ST_PROPOSED,
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progress={"deadline": str(td.window_deadline(now.date(), window)),
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"is_command": False, "children": [], "auto": True,
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"reason": c["reason"]})
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bump_once_guards(c["ts_code"], c["action"], c.get("hard_numbers"), now)
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return iid
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def bump_once_guards(ts_code: str, action: str, hard_numbers=None, now=None):
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"""把「只做一次」的三个计数器写上。
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设计 §6 写了三条一次性约束, 但它们的计数器此前**只被读、从没被写过** —— 也就是说这三条
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纪律一直是失效的, 只是被「同一票同一动作有在途提议就不重复提」这条兜底遮住了, 而那条兜底
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恰好在规则闸拒绝时失灵 (没生成提议 → 没东西可去重), 于是同一个候选每分钟重来一次:
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fill_count 回踩补足「每票 1 次」
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last_add_date 盈利加仓「距上次 ≥2 交易日」—— 恒 None 时永远算作"很久没加过"
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dca_count 补仓「各档评估一次」—— 恒 0 时每轮都当第一次评估
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写入时机取「动作真的要落地」这一刻 (落指令), 而不是产出候选那一刻: 候选被闸门拦下不算
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做过, 用掉一次名额不合理。dca_count 记的是**档位**而不是次数, 所以取本次触及的档序。
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"""
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now = now or datetime.now()
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fields = {}
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if action == "FILL":
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fields["fill_count"] = 1
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elif action == "ADD":
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fields["last_add_date"] = now.date()
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elif action == "DCA":
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fields["dca_count"] = int((hard_numbers or {}).get("stage") or 1)
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if not fields:
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return
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try:
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pms_repo.update_position(ts_code, **fields)
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except Exception as e:
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# 写不上只是让这条纪律退回原样 (可能重复提), 不该把已落表的指令带崩
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logger.warning("一次性守卫计数器写入失败 %s %s: %s", ts_code, action, e)
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def _make_proposal(c, price, verdict) -> str:
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ttl = param_store.get_int("PMS_PROPOSAL_TTL_HOURS", 24)
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pid = f"PRP_{td.ymd()}_{c['ts_code'].replace('.', '')}_{c['action']}"
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hn = {**(c.get("hard_numbers") or {}), "price": price, "reason": c["reason"],
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"needs_user_confirm": c.get("needs_user_confirm", False)}
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pms_repo.insert_proposal(
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proposal_id=pid, ts_code=c["ts_code"], action=c["action"], qty=c["qty"],
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hard_numbers=hn, expire_at=datetime.now() + timedelta(hours=ttl),
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judge_verdict=verdict.get("verdict"),
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judge_reason=(verdict.get("reason") or "")[:500])
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return pid
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# ================================================================ 上下文
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def _scan_params(view: dict) -> dict:
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p = dict(view["params"])
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p.update({
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"cushion_solid": param_store.get_float("PMS_CUSHION_SOLID", 0.03),
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"trim_peak": param_store.get_float("PMS_TRIM_PEAK", 0.06),
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"trim_giveback": param_store.get_float("PMS_TRIM_GIVEBACK", 0.5),
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"dca_triggers": param_store.get_tuple_floats("PMS_DCA_TRIGGERS", (-0.08, -0.15)),
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"dca_deep_confirm": param_store.get_float("PMS_DCA_DEEP_CONFIRM", -0.15),
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"dca_max_ratio": param_store.get_float("PMS_DCA_MAX_RATIO", 0.5),
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"no_chase_ma5": param_store.get_float("PMS_NO_CHASE_MA5", 0.06),
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"buy_halt_dayup": param_store.get_float("PMS_BUY_HALT_DAYUP", 0.05),
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"build_window_tdays": param_store.get_int("PMS_BUILD_WINDOW_TDAYS", 10),
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"fill_max_loss": param_store.get_float("PMS_FILL_MAX_LOSS", -0.03),
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})
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return p
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def _market_ctx(held: list, now) -> dict:
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"""每票的 MA5 / 5日高点 / 建仓天数 / 距上次加仓天数 (交易日口径)。"""
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out = {}
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today = now.date() if hasattr(now, "date") else now
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for p in held or []:
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code = p["ts_code"]
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d = {"ma5": market.get_ma5(code), "high5": market.get_high5(code)}
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opened, last_add = p.get("opened_date"), p.get("last_add_date")
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d["tdays_since_open"] = _tdays_between(opened, today)
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d["tdays_since_last_add"] = _tdays_between(last_add, today)
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out[code] = d
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return out
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def _tdays_between(start, today):
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"""start(含) 到 today 的交易日数; start 为空返回 None (调用方按「无约束」处理)。"""
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if not start:
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return None
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try:
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return max(0, td.trade_days_left(today, start) - 1)
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except Exception:
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return None
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def _rejected_today_keys() -> set:
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"""今天已被规则闸拒过的 (代码, 动作)。读不到就返回空集 —— 去重是降噪, 不是纪律,
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读失败时宁可多记几行日志, 也不能因此漏扫一个本该评估的动作。"""
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try:
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return pms_repo.rule_rejected_today(datetime.now().replace(
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hour=0, minute=0, second=0, microsecond=0))
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except Exception as e:
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logger.warning("读当日规则闸拒绝记录失败 (按未拒过继续扫描): %s", e)
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return set()
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def _inflight_keys() -> set:
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"""已有在途提议或在途指令的 (代码, 动作) —— 同一件事不重复提。"""
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keys = set()
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try:
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for p in pms_repo.list_proposals(statuses=("WAIT_USER",), limit=200):
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keys.add((p["ts_code"], p["action"]))
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except Exception as e:
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logger.warning("读提议队列失败: %s", e)
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try:
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for i in pms_repo.list_instructions(statuses=list(executor.LIVE), limit=300):
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keys.add((i["ts_code"], i.get("action")))
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except Exception as e:
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logger.warning("读在途指令失败: %s", e)
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return keys
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def _pos_of(view: dict, ts_code: str) -> dict:
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for x in view["positions"]:
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if x["ts_code"] == ts_code:
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return x
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return {"ts_code": ts_code, "total_qty": 0, "avail_qty": 0, "frozen_reason": "NONE"}
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def _judge_ctx(pos: dict) -> dict:
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"""送研判的账本快照 (设计 §7: PMS 备齐硬数字与账本流水作为 context)。"""
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keep = ("ts_code", "price", "avg_cost", "total_qty", "base_qty", "add_qty", "dca_qty",
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"cushion_pct", "cushion_peak", "pct_of_scale", "target_pct", "support_ref",
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"pressure_ref", "stop_ref", "ref_source", "sector", "neg_cushion_days")
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return {k: pos.get(k) for k in keep}
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def _recent_ledger(ts_code: str, limit: int = 10) -> list:
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try:
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rows = pms_repo.list_ledger(ts_code=ts_code, limit=limit)
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except Exception:
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return []
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return [{"at": str(r.get("decided_at")), "action": r.get("action"),
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"arbiter": r.get("arbiter"), "verdict": r.get("verdict"),
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"price": r.get("price_at"), "reason": r.get("reason")} for r in rows]
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def _brief(c: dict) -> dict:
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return {"ts_code": c["ts_code"], "action": c["action"], "side": c["side"],
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"qty": c["qty"], "reason": c["reason"]}
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