335 lines
16 KiB
Python
335 lines
16 KiB
Python
# -*- coding: utf-8 -*-
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"""
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成交回放与对账 (纯逻辑, 无外部依赖, 可单测)
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============================================
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对应设计 POSITION_MGMT_DESIGN.md §4「成交回放与对账（生命线）」与 §13 降级表。
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四件事:
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1. 回放: 下游 trading_order 的已成交单 → 认领到 PMS 指令 → 转成批次入账动作;
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认领不上的即「外部成交」, 买入并入 BASE 并告警留痕 (设计原话)。
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2. 对账: 账本 total_qty vs 下游 trading_position 数量, **以下游为准**修正,
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修正走 RECON 批次留痕。
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3. 除权检测: 数量与价格反比突变 → 按比例调整批次; 比例不吻合 → ERROR 待人工。
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4. T+1 可用量: 日初重置 = 全部持仓可卖; 当日买入不增可卖, 当日卖出扣减可卖。
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认领口径说明 (重要):
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trading_order 目前**没有** PMS 指令来源列 —— 该列已列入 QMT_INTERFACE_REQUIREMENTS A2
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(«来源标识», 待下游答复)。在拿到来源标识前, 本模块按 (代码, 方向, 时间, 数量) 做
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FIFO 贪心认领: 同股同向、下发时间早于成交时间的在途指令按下发顺序吃单。
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下游一旦提供来源标识, 只需给 fills 带上 instruction_id, 认领即退化为精确匹配 (见 claim_fills)。
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"""
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from __future__ import annotations
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from app.core.cushion import sell_allocation
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# 指令动作 → 批次类型 (设计 §4: 批次 BASE/FILL/ADD/DCA/T0, RECON 为对账调整专用)
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ACTION_TO_LOT = {
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"OPEN": "BASE", "FILL": "FILL", "ADD": "ADD", "DCA": "DCA", "T0_ROUND": "T0",
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"BASE": "BASE", "T0": "T0",
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}
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ALERT_EXTERNAL = "EXTERNAL_FILL" # 对不上指令的外部成交
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ALERT_OVERFILL = "OVER_FILL" # 成交量超过指令数量
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ALERT_SELL_NO_LOT = "SELL_WITHOUT_LOT" # 卖出但账本无对应批次
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SEV_OK, SEV_WARN, SEV_ERROR = "OK", "WARN", "ERROR"
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def _side(v) -> str:
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s = str(v or "").strip().lower()
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if s in ("buy", "b", "1", "买入", "买"):
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return "buy"
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if s in ("sell", "s", "2", "卖出", "卖"):
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return "sell"
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return s
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def fill_qty_price(f: dict) -> tuple:
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"""从一条 trading_order 记录取 (成交数量, 成交价)。
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下游 filled_amount 不可靠 (bionic entry_gate 既有结论), 故价格口径:
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filled_price/exec_avg_price > order_price; 数量口径: filled_qty > order_quantity。
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"""
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qty = f.get("filled_qty")
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if qty in (None, 0, "0"):
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qty = f.get("order_quantity")
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price = f.get("filled_price") or f.get("exec_avg_price") or f.get("order_price")
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try:
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qty = int(float(qty or 0))
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except (TypeError, ValueError):
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qty = 0
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try:
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price = float(price or 0)
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except (TypeError, ValueError):
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price = 0.0
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return qty, price
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# ================================================================
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# 1. 回放: 认领 + 转账本动作
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# ================================================================
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def claim_fills(fills: list, open_instructions: list) -> list:
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"""把成交单认领到 PMS 在途指令上 (FIFO 贪心)。
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fills: [{order_id, ts_code, side, qty, price, done_time, instruction_id(可选)}] 时间升序
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open_instructions: [{instruction_id, ts_code, side, qty, exec_qty, action, dispatched_at}]
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返回 [{fill, claims:[{instruction_id, qty, action}], unclaimed_qty}]
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"""
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remain = {}
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for i in open_instructions or []:
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remain[i["instruction_id"]] = max(0, int(i.get("qty") or 0) - int(i.get("exec_qty") or 0))
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idx = {i["instruction_id"]: i for i in (open_instructions or [])}
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out = []
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for f in fills or []:
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qty = int(f.get("qty") or 0)
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claims, left = [], qty
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# (a) 下游已提供来源标识 → 精确认领
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iid = f.get("instruction_id")
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if iid and iid in remain:
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take = min(left, remain[iid])
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if take > 0:
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claims.append({"instruction_id": iid, "qty": take,
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"action": idx[iid].get("action")})
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remain[iid] -= take
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left -= take
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# (b) 无来源标识 → 同股同向、下发早于成交、按下发时间 FIFO
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if left > 0:
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cands = [i for i in (open_instructions or [])
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if i.get("ts_code") == f.get("ts_code")
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and _side(i.get("side")) == _side(f.get("side"))
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and remain.get(i["instruction_id"], 0) > 0
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and _not_after(i.get("dispatched_at"), f.get("done_time"))]
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cands.sort(key=lambda i: (str(i.get("dispatched_at") or ""), i["instruction_id"]))
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for i in cands:
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if left <= 0:
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break
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take = min(left, remain[i["instruction_id"]])
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if take <= 0:
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continue
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claims.append({"instruction_id": i["instruction_id"], "qty": take,
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"action": i.get("action")})
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remain[i["instruction_id"]] -= take
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left -= take
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out.append({"fill": f, "claims": claims, "unclaimed_qty": left})
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return out
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def _not_after(dispatched_at, done_time) -> bool:
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"""下发时间 ≤ 成交时间 (任一为空则不做时间约束, 交给数量口径兜底)。"""
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if not dispatched_at or not done_time:
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return True
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try:
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return str(dispatched_at) <= str(done_time)
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except Exception:
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return True
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def map_fills_to_book(fills: list, open_instructions: list, known_order_ids=()) -> dict:
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"""成交单 → 账本动作。幂等: known_order_ids 里的单直接跳过 (回放可重跑)。
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返回 {"actions":[...], "alerts":[...], "skipped":int}
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action = {kind: BUY|SELL, ts_code, qty, price, lot_type(买入), instruction_id, order_id, alerts}
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"""
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known = set(known_order_ids or ())
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fresh = [f for f in (fills or []) if f.get("order_id") not in known]
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claimed = claim_fills(fresh, open_instructions)
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actions, alerts = [], []
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for c in claimed:
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f, left = c["fill"], c["unclaimed_qty"]
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side = _side(f.get("side"))
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price = float(f.get("price") or 0)
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for cl in c["claims"]:
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lot_type = ACTION_TO_LOT.get(str(cl.get("action") or "").upper(), "BASE")
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actions.append({"kind": "BUY" if side == "buy" else "SELL",
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"ts_code": f.get("ts_code"), "qty": cl["qty"], "price": price,
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"lot_type": lot_type if side == "buy" else None,
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"instruction_id": cl["instruction_id"],
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"order_id": f.get("order_id"), "alerts": []})
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if left > 0:
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a = [ALERT_EXTERNAL]
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msg = (f"外部成交: {f.get('ts_code')} {side} {left} 股 @ {price} "
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f"(order_id={f.get('order_id')}) 认领不到 PMS 指令")
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if c["claims"]:
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a.append(ALERT_OVERFILL)
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msg += " —— 且成交量超过在途指令数量"
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alerts.append({"level": "WARN", "code": ALERT_EXTERNAL, "ts_code": f.get("ts_code"),
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"message": msg, "order_id": f.get("order_id")})
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actions.append({"kind": "BUY" if side == "buy" else "SELL",
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"ts_code": f.get("ts_code"), "qty": left, "price": price,
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"lot_type": "BASE" if side == "buy" else None, # 外部买入并入 BASE
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"instruction_id": None, "order_id": f.get("order_id"), "alerts": a})
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return {"actions": actions, "alerts": alerts,
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"skipped": len(fills or []) - len(fresh)}
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def apply_sell_to_lots(lots: list, qty: int) -> dict:
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"""卖出核销预演: 按 T0→ADD(新→旧)→DCA→FILL→BASE 分配。
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账本批次不足时按可核销量分配并告警 (以下游为准, 差额留给对账修正)。"""
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total = sum(int(l.get("qty") or 0) for l in (lots or []))
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if qty > total:
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alloc = sell_allocation(lots, total) if total > 0 else []
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return {"alloc": alloc, "short": qty - total,
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"alerts": [{"level": "WARN", "code": ALERT_SELL_NO_LOT,
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"message": f"卖出 {qty} 股 > 账本批次 {total} 股, 差额 {qty - total} "
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f"股待对账修正 (以下游为准)"}]}
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return {"alloc": sell_allocation(lots, qty), "short": 0, "alerts": []}
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def next_cursor(fills: list, cursor=None, key: str = "order_id"):
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"""回放游标推进 (取本批最大 key, 空批保持原值)。"""
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vals = [f.get(key) for f in (fills or []) if f.get(key) is not None]
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if not vals:
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return cursor
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try:
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mx = max(int(v) for v in vals)
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return mx if cursor is None else max(int(cursor), mx)
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except (TypeError, ValueError):
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mx = max(str(v) for v in vals)
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return mx if cursor is None else max(str(cursor), mx)
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# ================================================================
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# 2. 对账: 账本 vs 下游 (以下游为准)
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# ================================================================
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def diff_positions(book_rows: list, ds_rows: list) -> list:
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"""账本与下游持仓比对。返回差异列表 (无差异 = 空表)。
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book_rows: [{ts_code, total_qty}] ; ds_rows: [{ts_code, qty}] (下游 trading_position)
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kind: MISSING_IN_BOOK(下游有账本无) / EXTRA_IN_BOOK(账本有下游无) / QTY_MISMATCH
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delta = 下游 − 账本 (正数 = 账本要补, 负数 = 账本要减)
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"""
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book = {r["ts_code"]: int(r.get("total_qty") or 0) for r in (book_rows or [])}
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ds = {r["ts_code"]: int(r.get("qty") or 0) for r in (ds_rows or [])}
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out = []
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for code in sorted(set(book) | set(ds)):
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b, d = book.get(code, 0), ds.get(code, 0)
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if b == d:
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continue
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if b == 0:
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kind = "MISSING_IN_BOOK"
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elif d == 0:
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kind = "EXTRA_IN_BOOK"
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else:
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kind = "QTY_MISMATCH"
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out.append({"ts_code": code, "book_qty": b, "ds_qty": d, "delta": d - b, "kind": kind})
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return out
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def build_recon_fixes(diffs: list, price_map=None, lots_map=None, cost_map=None) -> list:
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"""按差异生成修正动作 (以下游为准, 全部留痕)。
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delta > 0 → 新增 RECON 批次补足
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delta < 0 → 按核销次序冲销 |delta| 股 (用现价算已实现盈亏)
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**补仓位时开仓价必须优先取下游的成本价, 不能拿现价充数。** 这条踩过:
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2026-07-29 首次把下游 22 只已有持仓接进账本时, RECON 批次全按现价开仓, 于是每只票的
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摊薄成本都等于当天现价、安全垫齐刷刷是 0 —— 而安全垫是盈利加仓(≥3%)、保垫减仓(峰值≥6%)、
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补仓评估档(−8%/−15%) 共同的判断依据。一只真实成本 20、现价 10 的票 (实亏 50%) 会被记成
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"不赚不亏", 该评估的补仓不评估; 页面与日报上的浮动盈亏也全是 0。
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下游 `trading_position.cost_price` 本来就有这个数, 没有理由不用。
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现价只在下游给不出成本价时兜底, 并在 note 里注明来源 —— 账本上要看得出这笔成本是估的。
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"""
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price_map = price_map or {}
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lots_map = lots_map or {}
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cost_map = cost_map or {}
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fixes = []
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for d in diffs or []:
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code, delta = d["ts_code"], d["delta"]
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px = float(price_map.get(code) or 0)
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if delta > 0:
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cost = float(cost_map.get(code) or 0)
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open_px, src = (cost, "下游成本价") if cost > 0 else (px, "现价兜底(下游无成本价)")
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fixes.append({"ts_code": code, "op": "ADD_RECON_LOT", "qty": delta,
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"price": open_px, "need_price": open_px <= 0,
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"price_source": src,
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"note": f"对账修正(+{delta}股): 以下游为准补入 RECON 批次, "
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f"开仓价取{src}"})
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else:
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lots = lots_map.get(code) or []
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res = apply_sell_to_lots(lots, -delta)
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fixes.append({"ts_code": code, "op": "REDUCE_LOTS", "qty": -delta,
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"alloc": res["alloc"], "short": res["short"], "price": px,
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"note": f"对账修正({delta}股): 以下游为准冲销批次"})
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return fixes
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def recon_severity(consecutive_days: int, alarm_days: int = 3) -> str:
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"""连续不一致天数 → 告警级别 (设计 §13: 连续 3 日 → ERROR 待人工)。"""
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n = int(consecutive_days or 0)
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if n <= 0:
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return SEV_OK
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return SEV_ERROR if n >= int(alarm_days) else SEV_WARN
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def summarize_recon(diffs: list, consecutive_days: int = 0, alarm_days: int = 3) -> dict:
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kinds = {}
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for d in diffs or []:
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kinds[d["kind"]] = kinds.get(d["kind"], 0) + 1
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return {"diff_count": len(diffs or []), "by_kind": kinds,
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"consecutive_days": int(consecutive_days or 0),
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"severity": recon_severity(consecutive_days if diffs else 0, alarm_days)}
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# ================================================================
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# 3. 除权检测与批次调整
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# ================================================================
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def detect_ex_right(prev_qty: int, now_qty: int, prev_price: float, now_price: float,
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tol: float = 0.02) -> dict:
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"""数量与价格反比突变 = 除权 (送转股)。
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送股/转增: 数量 ×k, 价格 ÷k ⇒ 数量比 ≈ 价格反比。
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返回 None(无异动) / {"kind":"EX_RIGHT","ratio":k} / {"kind":"MISMATCH",...}(待人工)
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"""
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prev_qty, now_qty = int(prev_qty or 0), int(now_qty or 0)
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prev_price, now_price = float(prev_price or 0), float(now_price or 0)
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if prev_qty <= 0 or now_qty <= prev_qty:
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return None
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qr = now_qty / prev_qty
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if prev_price <= 0 or now_price <= 0:
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return {"kind": "MISMATCH", "qty_ratio": round(qr, 4), "price_ratio": None,
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"reason": "缺少价格, 无法判定除权 (待人工)"}
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pr = prev_price / now_price
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rel = abs(qr - pr) / qr
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if rel <= float(tol):
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return {"kind": "EX_RIGHT", "ratio": round(qr, 6), "qty_ratio": round(qr, 4),
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"price_ratio": round(pr, 4), "rel_err": round(rel, 4)}
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return {"kind": "MISMATCH", "ratio": round(qr, 6), "qty_ratio": round(qr, 4),
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"price_ratio": round(pr, 4), "rel_err": round(rel, 4),
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"reason": f"数量比 {qr:.3f} 与价格反比 {pr:.3f} 不吻合 (偏差 {rel:.1%}), "
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f"疑似非除权变动 → ERROR 待人工"}
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def apply_ex_right(lots: list, ratio: float) -> list:
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"""按除权比例调整批次: 数量 ×ratio, 成本价 ÷ratio (总成本不变)。"""
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r = float(ratio)
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out = []
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for l in lots or []:
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q = int(round(int(l.get("qty") or 0) * r))
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px = float(l.get("open_price") or 0) / r if r else 0.0
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n = dict(l)
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n["qty"], n["open_price"] = q, round(px, 3)
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n["note"] = f"除权调整 ×{r:g}"
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out.append(n)
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return out
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# ================================================================
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# 4. T+1 可用量
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# ================================================================
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def daily_avail_reset(total_qty: int) -> int:
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"""日初重置: 昨日及以前的持仓全部可卖。"""
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return max(0, int(total_qty or 0))
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def avail_after_fill(avail_qty: int, side: str, qty: int) -> int:
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"""当日成交对可卖量的影响: 买入不增可卖 (T+1), 卖出扣减可卖。"""
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a, q = int(avail_qty or 0), int(qty or 0)
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return max(0, a - q) if _side(side) == "sell" else a
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def sellable_today(avail_qty: int, want_qty: int) -> int:
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"""本次可卖数量 = min(想卖, 可卖); 部分不可卖时由执行器顺延次日。"""
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return max(0, min(int(avail_qty or 0), int(want_qty or 0)))
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