324 lines
17 KiB
Python
324 lines
17 KiB
Python
# -*- coding: utf-8 -*-
|
|
"""
|
|
执行编排: 方案 → 指令 → 分日出手 → 回执 (设计 §7 / §8 / §9 的落地)
|
|
=====================================================================
|
|
纯逻辑在 core/rule_gate.py (规则闸) 与 core/exec_timing.py (择时实现B), 本模块负责
|
|
取数、落表与状态推进。三个入口:
|
|
|
|
materialize_plans() 把命令方案里「可执行」的条目转成 pms_instruction (先记账后动作)。
|
|
gated 方案 (建仓的 FILL/ADD 批) 状态为 GATED, 由动作引擎解锁, 此处不动。
|
|
run_tick() 盘中每分钟一跳: 配额 → 择时判定 → 规则闸终检 → 下发 → 记子单。
|
|
sweep_windows() 窗口耗尽收口: 命令类置部分完成并告警, 自主类作废。
|
|
|
|
指令与子单的关系: 一条 pms_instruction 承载一个方案条目的**总量**, 每日出手记一条子单到
|
|
progress_json.children[]; exec_qty 由回放认领回填 (账本以下游成交为准, 不拿下发量当成交量)。
|
|
"""
|
|
from __future__ import annotations
|
|
|
|
import logging
|
|
from datetime import datetime
|
|
|
|
from app.core import command_spec as cs
|
|
from app.core import exec_timing as et
|
|
from app.core import rule_gate
|
|
from app.core import tradedays as td
|
|
from app.repo import pms_repo
|
|
from app.services import (command_service, dispatcher, industry, market, param_store,
|
|
portfolio)
|
|
|
|
logger = logging.getLogger("pms.exec")
|
|
|
|
# 指令状态
|
|
ST_PROPOSED, ST_RULE_PASSED, ST_DISPATCHED = "PROPOSED", "RULE_PASSED", "DISPATCHED"
|
|
ST_CONFIRMED, ST_REJECTED, ST_EXPIRED, ST_CANCELLED = ("CONFIRMED", "REJECTED", "EXPIRED",
|
|
"CANCELLED")
|
|
LIVE = (ST_PROPOSED, ST_RULE_PASSED, ST_DISPATCHED)
|
|
|
|
# 方案状态: GATED = 建仓的补足/加仓批, 等动作引擎按条件解锁 (DDL 注释已同步)
|
|
PLAN_PENDING, PLAN_GATED, PLAN_EXEC, PLAN_DONE = "PENDING", "GATED", "EXECUTING", "DONE"
|
|
|
|
SELL_ACTIONS = {"EXIT", "TRIM"}
|
|
BUY_ACTIONS = {"OPEN", "FILL", "ADD", "DCA"}
|
|
|
|
|
|
# ================================================================ 方案 → 指令
|
|
def materialize_plans(limit: int = 100) -> dict:
|
|
"""把在途命令的可执行方案条目转成指令。幂等: 已生成过指令的方案置 EXECUTING 不再重复。"""
|
|
out = {"created": [], "skipped": [], "errors": []}
|
|
plans = pms_repo.list_plans(statuses=[PLAN_PENDING], limit=limit)
|
|
if not plans:
|
|
return out
|
|
cmd_cache = {}
|
|
ymd = td.ymd()
|
|
seq = 0
|
|
for p in plans:
|
|
act = p.get("action")
|
|
if act == "HALT": # 撤单类在规划期已执行完毕
|
|
pms_repo.update_plan(p["plan_id"], status=PLAN_DONE)
|
|
out["skipped"].append({"plan_id": p["plan_id"], "why": "HALT 已在规划期执行"})
|
|
continue
|
|
side = "sell" if act in SELL_ACTIONS else ("buy" if act in BUY_ACTIONS else None)
|
|
if not side:
|
|
out["skipped"].append({"plan_id": p["plan_id"], "why": f"动作 {act} 无对应指令"})
|
|
continue
|
|
cid = p["command_id"]
|
|
if cid not in cmd_cache:
|
|
cmd_cache[cid] = pms_repo.get_command(cid)
|
|
cmd = cmd_cache[cid]
|
|
if not cmd or cmd["status"] not in (cs.ST_EXECUTING, cs.ST_PARTIAL):
|
|
out["skipped"].append({"plan_id": p["plan_id"],
|
|
"why": f"命令状态 {cmd['status'] if cmd else '缺失'}"})
|
|
continue
|
|
qty = int(p.get("qty") or 0)
|
|
if qty <= 0:
|
|
out["skipped"].append({"plan_id": p["plan_id"], "why": "数量为 0"})
|
|
continue
|
|
seq += 1
|
|
iid = cs.make_instruction_id(ymd, p["ts_code"], act, seq)
|
|
window = int((cmd.get("progress") or {}).get("window_tdays")
|
|
or param_store.get_int("PMS_EXEC_WINDOW_TDAYS", 3))
|
|
try:
|
|
pms_repo.insert_instruction(
|
|
instruction_id=iid, origin_type="plan", origin_id=p["plan_id"],
|
|
ts_code=p["ts_code"], action=act, side=side, qty=qty,
|
|
limit_price=None, window_tdays=window, status=ST_PROPOSED,
|
|
progress={"deadline": str(p.get("deadline") or ""), "command_id": cid,
|
|
"is_command": True, "children": []})
|
|
pms_repo.update_plan(p["plan_id"], status=PLAN_EXEC)
|
|
out["created"].append(iid)
|
|
except Exception as e:
|
|
logger.exception("方案转指令失败 %s", p["plan_id"])
|
|
out["errors"].append(f"{p['plan_id']}: {type(e).__name__}: {e}")
|
|
return out
|
|
|
|
|
|
# ================================================================ 出手 tick
|
|
def run_tick(*, now=None, dry_run: bool = False) -> dict:
|
|
"""盘中每分钟一跳。dry_run=True 时只算不发不落库 (页面「试算」用)。"""
|
|
now = now or datetime.now()
|
|
out = {"ok": True, "checked": 0, "fired": [], "waited": [], "rejected": [],
|
|
"errors": [], "mode": dispatcher.mode(), "dry_run": dry_run}
|
|
|
|
instrs = [i for i in pms_repo.list_instructions(statuses=list(LIVE), limit=200)
|
|
if int(i.get("qty") or 0) > int(i.get("exec_qty") or 0)]
|
|
if not instrs:
|
|
return out
|
|
|
|
view = portfolio.positions_view()
|
|
stock_params = command_service.effective_stock_params()
|
|
prm = view["params"]
|
|
exec_prm = {
|
|
"sell_avoid_open_min": param_store.get_int("PMS_SELL_AVOID_OPEN_MIN", 30),
|
|
"buy_halt_dayup": param_store.get_float("PMS_BUY_HALT_DAYUP", 0.05),
|
|
"eod_force_time": param_store.get("PMS_EOD_FORCE_TIME", "14:45"),
|
|
"eod_force_discount": param_store.get_float("PMS_EOD_FORCE_DISCOUNT", 0.998),
|
|
"no_chase_ma5": param_store.get_float("PMS_NO_CHASE_MA5", 0.06),
|
|
}
|
|
slices = param_store.get_int("PMS_EXEC_SLICES", 1)
|
|
order_ttl = param_store.get_int("PMS_ORDER_TTL_MIN", 10) # 单个分片挂单有效期(交易分钟)
|
|
brake_active = td.ymd() < param_store.get_int("PMS_BRAKE_UNTIL", 0)
|
|
ymd_today = td.ymd()
|
|
|
|
for ins in instrs:
|
|
out["checked"] += 1
|
|
code, side = ins["ts_code"], str(ins.get("side") or "").lower()
|
|
prog = dict(ins.get("progress") or {})
|
|
children = list(prog.get("children") or [])
|
|
remaining = int(ins["qty"]) - int(ins.get("exec_qty") or 0)
|
|
deadline = prog.get("deadline") or ""
|
|
tdays_left = td.trade_days_left(deadline, now) if deadline else 1
|
|
is_last = tdays_left <= 1
|
|
|
|
try:
|
|
day = market.day_snapshot(code)
|
|
pos = _pos_of(view, code)
|
|
quota = et.daily_quota(remaining, tdays_left,
|
|
allow_odd_tail=(ins.get("action") == "EXIT"))
|
|
fired_today = sum(int(c.get("qty") or 0) for c in children
|
|
if int(c.get("ymd") or 0) == ymd_today)
|
|
day_ctx = {**day, "support": pos.get("support_ref"),
|
|
"limit_up": _limit_up(day), "limit_down": _limit_down(day),
|
|
"halted": not day or not day.get("price")}
|
|
d = et.decide(side=side, now=now, day=day_ctx, params=exec_prm,
|
|
is_last_day=is_last, fired_today=fired_today, quota=quota)
|
|
|
|
if d["action"] != et.ACT_FIRE:
|
|
prog["last_decision"] = {"at": now.strftime("%H:%M"), **d}
|
|
if not dry_run:
|
|
pms_repo.update_instruction(ins["instruction_id"], progress=prog)
|
|
out["waited"].append({"instruction_id": ins["instruction_id"], "code": code,
|
|
"action": d["action"], "reason": d["reason"]})
|
|
continue
|
|
|
|
slice_list = et.slice_qty(min(d["qty_hint"], remaining), slices)
|
|
qty = slice_list[0] if slice_list else 0
|
|
if side == "sell":
|
|
qty = min(qty, int(pos.get("avail_qty") or 0))
|
|
if qty <= 0:
|
|
prog["last_decision"] = {"at": now.strftime("%H:%M"), "action": et.ACT_WAIT,
|
|
"reason": "可卖量不足, 顺延"}
|
|
if not dry_run:
|
|
pms_repo.update_instruction(ins["instruction_id"], progress=prog)
|
|
out["waited"].append({"instruction_id": ins["instruction_id"], "code": code,
|
|
"action": et.ACT_WAIT, "reason": "可卖量不足, 顺延"})
|
|
continue
|
|
|
|
ma5 = market.get_ma5(code) if side == "buy" else None
|
|
gate = rule_gate.check(
|
|
side=side, action=ins.get("action"), qty=qty, price=day_ctx.get("price"),
|
|
ctx={"ts_code": code, "position": pos, "day": {**day_ctx, "ma5": ma5},
|
|
"params": {**exec_prm, "sector_source_ready": view["sector_ready"]},
|
|
"caps": portfolio.caps_ctx(view, ts_code=code) if side == "buy" else None,
|
|
"flags": {"buy_halt": prm["buy_halt"], "exec_halt": prm["exec_halt"],
|
|
"brake_active": brake_active,
|
|
"blacklisted": bool(stock_params.get(code, {}).get("black")),
|
|
"is_command": bool(prog.get("is_command"))}})
|
|
|
|
if not gate["passed"]:
|
|
out["rejected"].append({"instruction_id": ins["instruction_id"], "code": code,
|
|
"failed": gate["failed"]})
|
|
if not dry_run:
|
|
pms_repo.insert_ledger(
|
|
ts_code=code, action=ins.get("action"), arbiter="rule", verdict="REJECT",
|
|
price_at=day_ctx.get("price") or 0, hard_numbers=gate["hard_numbers"],
|
|
failed_checks=gate["failed"], ref_id=ins["instruction_id"],
|
|
reason="规则闸终检未通过 (宁可不动)")
|
|
prog["last_decision"] = {"at": now.strftime("%H:%M"), "action": "REJECT",
|
|
"reason": "; ".join(gate["failed"])}
|
|
pms_repo.update_instruction(ins["instruction_id"], progress=prog)
|
|
continue
|
|
|
|
if dry_run:
|
|
out["fired"].append({"instruction_id": ins["instruction_id"], "code": code,
|
|
"qty": qty, "limit": d["limit_price"],
|
|
"reason": d["reason"], "dry_run": True})
|
|
continue
|
|
|
|
dl_min = et.slice_deadline(now, ttl_min=order_ttl, forced=d.get("forced", False))
|
|
# intent / parent_id / note 是 ws 通道要的 (协议 §4.2): intent 只作归类,
|
|
# parent_id 让子单能回指父指令, note 原样落到 QMT 侧供人工看盘。
|
|
# shadow 模式忽略这三项, 传着不碍事 —— 两种模式共用同一个调用点。
|
|
res = dispatcher.dispatch(
|
|
instruction_id=_child_id(ins["instruction_id"], len(children) + 1),
|
|
parent_id=ins["instruction_id"], intent=ins.get("action"),
|
|
ts_code=code, side=side, qty=qty, limit_price=d["limit_price"],
|
|
note=d.get("reason"),
|
|
valid_until=now.replace(hour=dl_min // 60, minute=dl_min % 60,
|
|
second=0, microsecond=0))
|
|
if not res.get("ok"):
|
|
out["errors"].append(f"{ins['instruction_id']} 下发失败: {res.get('error')}")
|
|
continue
|
|
|
|
children.append({"ymd": ymd_today, "at": now.strftime("%H:%M:%S"), "qty": qty,
|
|
"limit": d["limit_price"], "mode": res["mode"], "ref": res["ref"],
|
|
"valid_until": et._fmt(dl_min),
|
|
"forced": d.get("forced", False), "reason": d["reason"]})
|
|
prog["children"] = children
|
|
prog.setdefault("dispatched_at", now.strftime("%Y-%m-%d %H:%M:%S"))
|
|
prog["last_decision"] = {"at": now.strftime("%H:%M"), "action": et.ACT_FIRE,
|
|
"reason": d["reason"]}
|
|
pms_repo.update_instruction(ins["instruction_id"], status=ST_DISPATCHED,
|
|
limit_price=None, dispatch_ref=res["ref"],
|
|
progress=prog)
|
|
pms_repo.insert_ledger(ts_code=code, action=ins.get("action"), arbiter="rule",
|
|
verdict="PASS", price_at=day_ctx.get("price") or 0,
|
|
hard_numbers={**gate["hard_numbers"], "limit": d["limit_price"],
|
|
"mode": res["mode"]},
|
|
ref_id=ins["instruction_id"], reason=d["reason"])
|
|
out["fired"].append({"instruction_id": ins["instruction_id"], "code": code,
|
|
"qty": qty, "limit": d["limit_price"], "mode": res["mode"],
|
|
"note": res.get("note"), "reason": d["reason"]})
|
|
except Exception as e:
|
|
logger.exception("出手处理失败 %s", ins.get("instruction_id"))
|
|
out["errors"].append(f"{ins.get('instruction_id')}: {type(e).__name__}: {e}")
|
|
|
|
out["ok"] = not out["errors"]
|
|
return out
|
|
|
|
|
|
# ================================================================ 窗口收口
|
|
def sweep_windows(*, now=None) -> dict:
|
|
"""窗口耗尽的指令收口, 并把成交量回写方案 (命令进度据此结算)。"""
|
|
now = now or datetime.now()
|
|
out = {"expired": [], "partial": [], "synced": 0, "errors": []}
|
|
for ins in pms_repo.list_instructions(statuses=list(LIVE), limit=300):
|
|
try:
|
|
prog = dict(ins.get("progress") or {})
|
|
exec_qty = int(ins.get("exec_qty") or 0)
|
|
remaining = int(ins["qty"]) - exec_qty
|
|
if ins.get("origin_type") == "plan" and ins.get("origin_id"):
|
|
pms_repo.update_plan(ins["origin_id"], filled_qty=exec_qty,
|
|
status=PLAN_DONE if remaining <= 0 else None)
|
|
out["synced"] += 1
|
|
if remaining <= 0:
|
|
pms_repo.update_instruction(ins["instruction_id"], status=ST_CONFIRMED)
|
|
continue
|
|
deadline = prog.get("deadline") or ""
|
|
if not deadline:
|
|
continue
|
|
left = td.trade_days_left(deadline, now)
|
|
v = et.window_verdict(remaining_qty=remaining, tdays_left=left,
|
|
is_command=bool(prog.get("is_command")))
|
|
if v["verdict"] == "RUNNING":
|
|
continue
|
|
prog["window_verdict"] = v
|
|
if v["verdict"] == "EXPIRED":
|
|
pms_repo.update_instruction(ins["instruction_id"], status=ST_EXPIRED,
|
|
progress=prog)
|
|
out["expired"].append(ins["instruction_id"])
|
|
else:
|
|
pms_repo.update_instruction(ins["instruction_id"], progress=prog)
|
|
out["partial"].append({"instruction_id": ins["instruction_id"],
|
|
"remaining": remaining, "note": v["note"]})
|
|
logger.warning("[窗口耗尽] %s 仍剩 %s 股 —— %s", ins["instruction_id"],
|
|
remaining, v["note"])
|
|
except Exception as e:
|
|
out["errors"].append(f"{ins.get('instruction_id')}: {type(e).__name__}: {e}")
|
|
try:
|
|
command_service.refresh_progress()
|
|
except Exception as e:
|
|
out["errors"].append(f"命令进度刷新失败: {e}")
|
|
return out
|
|
|
|
|
|
def cancel_instruction(instruction_id: str, reason: str = "页面人工撤销") -> dict:
|
|
ins = pms_repo.get_instruction(instruction_id)
|
|
if not ins:
|
|
return {"ok": False, "error": "指令不存在"}
|
|
if ins["status"] not in LIVE:
|
|
return {"ok": False, "error": f"指令处于 {ins['status']}, 不可撤销"}
|
|
r = dispatcher.cancel(instruction_id=instruction_id, dispatch_ref=ins.get("dispatch_ref"))
|
|
pms_repo.update_instruction(instruction_id, status=ST_CANCELLED)
|
|
pms_repo.insert_ledger(ts_code=ins["ts_code"], action=ins.get("action"), arbiter="user",
|
|
verdict="REJECT", price_at=0, ref_id=instruction_id, reason=reason)
|
|
return {"ok": True, "downstream": r, "message": f"指令 {instruction_id} 已撤销"}
|
|
|
|
|
|
# ================================================================ 内部
|
|
def _pos_of(view: dict, ts_code: str) -> dict:
|
|
for x in view["positions"]:
|
|
if x["ts_code"] == ts_code:
|
|
return x
|
|
return {"ts_code": ts_code, "total_qty": 0, "avail_qty": 0, "frozen_reason": "NONE"}
|
|
|
|
|
|
def _child_id(instruction_id: str, n: int) -> str:
|
|
return f"{instruction_id}_D{n:02d}"
|
|
|
|
|
|
def _limit_up(day: dict) -> bool:
|
|
"""一字板粗判: 当日最高=最低=现价 且 涨幅为正 (无涨跌停价字段时的兜底口径)。"""
|
|
if not day:
|
|
return False
|
|
hi, lo, px = day.get("high"), day.get("low"), day.get("price")
|
|
chg = day.get("day_chg_from_open")
|
|
return bool(hi and lo and px and hi == lo == px and (chg or 0) >= 0 and day.get("bars", 0) > 3)
|
|
|
|
|
|
def _limit_down(day: dict) -> bool:
|
|
if not day:
|
|
return False
|
|
hi, lo, px = day.get("high"), day.get("low"), day.get("price")
|
|
chg = day.get("day_chg_from_open")
|
|
return bool(hi and lo and px and hi == lo == px and (chg or 0) <= 0 and day.get("bars", 0) > 3)
|