649 lines
30 KiB
Python
649 lines
30 KiB
Python
# -*- coding: utf-8 -*-
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"""
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账本服务: 成交回放 · 对账 · 除权 · 日终结算 (设计 §4「生命线」)
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================================================================
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纯逻辑在 app/core/recon.py, 本模块只负责取数、落库与状态推进。
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摊薄成本口径 (与 core/cushion.PositionCost 等价, 但数据来自批次表):
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cum_buy = Σ (剩余数量 + 已核销数量) × 开仓价
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cum_sell = Σ 已核销数量 × 核销均价
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avg_cost = max(0, (cum_buy − cum_sell) / 当前持股数)
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做T利润通过 T0 批次的买卖流水自然摊入上式, 故 **不再另行扣减** realized_t_profit
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(该列仅作展示统计, 重复扣减会把成本做低两次)。
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铁律: 对账以下游为准; 修正一律走 RECON 批次留痕; 连续 N 日不一致升级 ERROR。
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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 cushion as cu
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from app.core import recon as rc
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from app.core import tradedays as td
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from app.repo import downstream_repo, pms_repo, qmt_repo
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from app.services import market, param_store, portfolio
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logger = logging.getLogger("pms.ledger")
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CF_FEE, CF_CALIBRATE = "FEE", "CALIBRATE" # pms_cash_flow.kind
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CURSOR_KEY = "PMS_REPLAY_CURSOR"
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CURSOR_ALL = "ALL" # 游标设成这个值 = 显式要求从头全量回放 (见 _seed_cursor)
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STREAK_KEY = "PMS_RECON_STREAK"
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LIVE_INSTR = ("DISPATCHED", "JUDGE_PASSED", "RULE_PASSED")
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# ================================================================ 回放
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def _seed_cursor(out: dict) -> dict:
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"""首次回放: 把游标对齐到当前最新成交, **不追认历史**。
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`trading_order` 里躺着旧系统多年的成交记录。PMS 刚上线时一条在途指令都没有, 若从头
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回放, 每一条历史成交都会被判成「外部成交」并入 BASE 批次 —— 账本上凭空长出一堆早就
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清掉的持仓, 摊薄成本与安全垫全错, 日志还刷几百条 EXTERNAL_FILL 告警。而安全垫是补仓、
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盈利加仓、保垫减仓共同的判断依据, 它一错整条纪律链跟着错。**账本必须从干净的起点开始。**
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要补历史有两条路 (页面「参数设置」改 PMS_REPLAY_CURSOR):
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* 设成某个 order_id → 从它之后开始回放
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* 设成 ALL → 从头全量回放
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"""
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try:
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anchor = downstream_repo.latest_filled_order_id()
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except Exception as e:
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out.update({"ok": False, "errors": [f"读下游最新成交失败: {type(e).__name__}: {e}"]})
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return out
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if not anchor:
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out["note"] = "下游暂无已成交单, 游标待下次再对齐"
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return out
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pms_repo.set_param(CURSOR_KEY, anchor, updated_by="system")
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out.update({"cursor": anchor, "seeded": True})
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out["note"] = (f"首次回放: 游标已对齐到当前最新成交 {anchor}, **不追认历史** —— "
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f"账本从现在起跟踪。需要补历史请在页面把 PMS_REPLAY_CURSOR 改成某个 "
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f"order_id (从它之后开始) 或 {CURSOR_ALL} (从头全量)")
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logger.warning("[replay_fills] %s", out["note"])
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return out
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def consume_ws_trades(*, limit: int = 500) -> dict:
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"""消费 ws 通道落在 pms_qmt_inbox 的逐笔成交 → 批次入账 + 费用流水 (协议 §5.5)。
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与下面的 trading_order 回放是**两条互补的路**, 都挂在 replay_fills 里:
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本函数 ws 通道推来的成交 —— 自带 instruction_id, **精确认领**
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replay_fills trading_order 增量 —— 只剩外部/人工成交, FIFO 认领退化为兜底
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幂等靠 inbox 的 processed 标记 (0 待入账 → 1 已入账), 而不是靠返回行数 —— 那个在
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CLIENT_FOUND_ROWS 下不可信, 见 qmt_repo.inbox_put 的注释。
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"""
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out = {"ok": True, "trades": 0, "actions": 0, "fees": 0, "alerts": [], "errors": []}
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try:
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rows = qmt_repo.inbox_pending(limit=limit)
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except Exception as e:
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# ws 三表没建 (影子期正常) 或库不可用 —— 不该让整个回放任务失败
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out["skipped"] = f"inbox 不可读: {type(e).__name__}"
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return out
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trades = [r for r in rows if r.get("msg_type") == "trade"]
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if not trades:
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return out
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out["trades"] = len(trades)
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# 取每条成交所属父指令的 action, 用来定买入的批次类型
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parents = {rc.parent_instruction_id((r.get("payload") or {}).get("instruction_id") or "")
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for r in trades}
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parent_actions = {}
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for pid in parents:
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if not pid:
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continue
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try:
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ins = pms_repo.get_instruction(pid)
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if ins:
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parent_actions[pid] = ins.get("action")
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except Exception as e:
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out["errors"].append(f"读指令 {pid} 失败: {type(e).__name__}: {e}")
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mapped = rc.map_trades_to_book(trades, parent_actions=parent_actions)
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done = []
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for act in mapped["actions"]:
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try:
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_apply_action(act)
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out["actions"] += 1
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except Exception as e:
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logger.exception("ws 成交入账失败 %s", act)
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out["errors"].append(f"{act.get('ts_code')} 入账失败: {type(e).__name__}: {e}")
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ymd = td.ymd()
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for f in mapped["fees"]:
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try:
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pms_repo.insert_cash_flow(ymd=ymd, kind=CF_FEE, amount=f["amount"],
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ts_code=f["ts_code"], estimated=f["estimated"],
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trade_no=f["trade_no"],
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instruction_id=f["instruction_id"], note=f["note"])
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out["fees"] += 1
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except Exception as e:
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out["errors"].append(f"费用入账失败 {f.get('trade_no')}: {type(e).__name__}: {e}")
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for code in {a["ts_code"] for a in mapped["actions"]}:
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try:
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recompute_position(code)
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except Exception as e:
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out["errors"].append(f"{code} 成本重算失败: {e}")
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# 只有全程无错才标已入账 —— 有错就留在 processed=0, 下一跳重试。
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# 重试是安全的: _apply_action 幂等由 trade_no 兜着 (inbox 那层已按 trade_no 去过重)。
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if not out["errors"]:
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done = [s for s in mapped["seqs"] if s is not None]
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if done:
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try:
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qmt_repo.inbox_mark(done, processed=1, note="ws 成交已入账")
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except Exception as e:
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out["errors"].append(f"inbox 标记失败: {type(e).__name__}: {e}")
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out["alerts"] = mapped["alerts"]
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for a in out["alerts"]:
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logger.warning("[ws 入账告警] %s", a.get("message"))
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out["ok"] = not out["errors"]
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return out
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def calibrate_fees(*, ymd=None, actual_fee=None) -> dict:
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"""日终用资金快照反推当日真实费用, 写一条 CALIBRATE 平掉估算误差 (协议 §5.5)。
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对端明说逐笔 fee 是按费率估的。协议给的校准式子是
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当日实际费用 = 总资产变动 − 成交净额
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资金快照来自 ws 的 funds_update / snapshot(kind=funds), 落在 pms_qmt_inbox。**影子期
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没有这条数据**, 那就只登记一句"待校准", 不硬凑 —— 估算值本来就只影响现金账, 不影响
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成本与安全垫, 晚校准几天没有任何风险。这也是当初把费用挡在成本之外的意义。
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actual_fee 可显式传入 (人工按对账单校准时用), 传了就不去读快照。
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"""
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ymd = int(ymd or td.ymd())
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out = {"ymd": ymd, "estimated": 0.0, "actual": None, "adjusted": 0.0, "note": ""}
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try:
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out["estimated"] = round(pms_repo.sum_cash_flow(ymd, CF_FEE), 2)
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except Exception as e:
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out["note"] = f"读当日费用流水失败: {type(e).__name__}: {e}"
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return out
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if actual_fee is None:
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out["note"] = ("当日估算费用已入现金账; 资金快照未接通 (ws 通道未启用), "
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"暂不校准 —— 费用不进成本, 晚校准无风险")
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return out
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actual = -abs(float(actual_fee))
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diff = round(actual - out["estimated"], 2)
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out["actual"] = actual
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if abs(diff) < 0.01:
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out["note"] = "估算与实际一致, 无需校准"
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return out
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pms_repo.insert_cash_flow(
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ymd=ymd, kind=CF_CALIBRATE, amount=diff, estimated=0, trade_no=None,
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note=f"日终校准: 估算 {out['estimated']:.2f} → 实际 {actual:.2f}, 差额 {diff:+.2f}")
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out["adjusted"] = diff
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out["note"] = f"已按资金快照校准, 差额 {diff:+.2f} 元 (只调现金账, 不回溯改成本)"
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logger.info("[费用校准] %s", out["note"])
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return out
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def replay_fills(*, limit: int = 500) -> dict:
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"""成交回放一跳 = ws 逐笔入账 + trading_order 增量回放 (幂等)。
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两条路互补: ws 通道的成交自带 instruction_id 精确入账; trading_order 这条在 ws 接管后
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退化为**只兜外部/人工成交** (你在 QMT 手工下的单、别的系统下的单)。影子期只有后者。
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"""
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out = {"ok": True, "fills": 0, "actions": 0, "alerts": [], "errors": [], "cursor": None}
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out["ws"] = consume_ws_trades(limit=limit)
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if out["ws"].get("errors"):
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out["errors"].extend(out["ws"]["errors"])
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cursor = pms_repo.get_param(CURSOR_KEY)
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if not cursor: # 从未设过 (或被清空) —— 冷启动, 只对齐游标不入账
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return _seed_cursor(out)
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if str(cursor).strip().upper() == CURSOR_ALL:
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cursor = None # 显式要求从头全量回放
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try:
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fills = downstream_repo.fetch_filled_orders(since_id=cursor, limit=limit)
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except Exception as e:
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out.update({"ok": False, "errors": [f"读 trading_order 失败: {type(e).__name__}: {e}"]})
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return out
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out["fills"] = len(fills)
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if not fills:
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out["cursor"] = cursor
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return out
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try:
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instrs = _open_instructions()
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except Exception as e:
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instrs = []
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out["errors"].append(f"读在途指令失败(按外部成交处理): {e}")
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mapped = rc.map_fills_to_book(fills, instrs)
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for act in mapped["actions"]:
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try:
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_apply_action(act)
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out["actions"] += 1
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except Exception as e:
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logger.exception("入账失败 %s", act)
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out["errors"].append(f"{act.get('ts_code')} 入账失败: {type(e).__name__}: {e}")
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out["alerts"].extend(mapped["alerts"]) # 与 ws 那批告警合并, 日报一处看全
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for code in {a["ts_code"] for a in mapped["actions"]}:
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try:
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recompute_position(code)
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except Exception as e:
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out["errors"].append(f"{code} 成本重算失败: {e}")
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try:
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nc = rc.next_cursor(fills, cursor)
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pms_repo.set_param(CURSOR_KEY, nc, "system")
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out["cursor"] = nc
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except Exception as e:
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out["errors"].append(f"游标推进失败: {e}")
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out["ok"] = not out["errors"]
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for a in out["alerts"]:
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logger.warning("[回放告警] %s", a.get("message"))
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return out
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def _open_instructions() -> list:
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"""在途指令 (回放认领的候选池)。
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dispatched_at 取「下发时点 → 建单时点」, **不用 updated_at**:
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updated_at 每次部分成交回写都会往前跳, 拿它当下发时点会让同一条指令的后续成交
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被时间守卫挡在门外, 误判成外部成交。建单时点是天然的下界, 宁松勿紧。
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"""
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rows = pms_repo.list_instructions(statuses=list(LIVE_INSTR), limit=500)
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out = []
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for r in rows:
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prog = r.get("progress") or {}
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out.append({"instruction_id": r["instruction_id"], "ts_code": r["ts_code"],
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"side": r.get("side"), "qty": int(r.get("qty") or 0),
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"exec_qty": int(r.get("exec_qty") or 0), "action": r.get("action"),
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"dispatched_at": str(prog.get("dispatched_at")
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or r.get("created_at") or "")})
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return out
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def _apply_action(act: dict):
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code, qty, px = act["ts_code"], int(act["qty"]), float(act["price"] or 0)
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if qty <= 0:
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return
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pms_repo.ensure_position(code)
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if act["kind"] == "BUY":
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pms_repo.insert_lot(ts_code=code, lot_type=act.get("lot_type") or "BASE", qty=qty,
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open_price=px, open_date=datetime.now().date(),
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instruction_id=act.get("instruction_id"),
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note="外部成交并入 BASE" if not act.get("instruction_id") else None)
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pms_repo.bump_position_qty(code, total_delta=qty, avail_delta=0) # T+1: 当日买入不可卖
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else:
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lots = pms_repo.list_lots(code, status="OPEN")
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res = rc.apply_sell_to_lots(
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[{"lot_id": l["id"], "lot_type": l["lot_type"], "qty": int(l["qty"]),
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"open_date": _date_key(l["open_date"])} for l in lots], qty)
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by_id = {l["id"]: l for l in lots}
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t_profit = 0.0
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for a in res["alloc"]:
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lot = by_id[a["lot_id"]]
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pnl = (px - float(lot["open_price"] or 0)) * a["qty"]
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pms_repo.close_lot_qty(a["lot_id"], qty=a["qty"], close_price=px, realized_pnl=pnl)
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if lot["lot_type"] == "T0":
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t_profit += pnl
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pms_repo.bump_position_qty(code, total_delta=-qty, avail_delta=-qty)
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if t_profit:
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pos = pms_repo.get_position(code) or {}
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pms_repo.update_position(
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code, realized_t_profit=float(pos.get("realized_t_profit") or 0) + t_profit)
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for al in res["alerts"]:
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logger.warning("[卖出核销] %s %s", code, al.get("message"))
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if act.get("instruction_id"):
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try:
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pms_repo.add_instruction_exec(act["instruction_id"], qty)
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_settle_instruction(act["instruction_id"])
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except Exception as e:
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logger.warning("指令进度更新失败 %s: %s", act["instruction_id"], e)
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def _settle_instruction(instruction_id: str):
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"""成交量达到指令数量 → 置 CONFIRMED (部分成交保持在途, 由窗口/过期规则收口)。"""
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ins = pms_repo.get_instruction(instruction_id)
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if ins and int(ins.get("exec_qty") or 0) >= int(ins.get("qty") or 0) > 0:
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pms_repo.update_instruction(instruction_id, status="CONFIRMED")
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def _date_key(d):
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try:
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return int(str(d).replace("-", "")[:8])
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except (TypeError, ValueError):
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return 0
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def recompute_position(ts_code: str) -> dict:
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"""由批次表重算持仓数量/摊薄成本/安全垫/垫子峰值。"""
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lots = pms_repo.list_lots(ts_code, status=None, limit=2000)
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qty = sum(int(l["qty"] or 0) for l in lots)
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cum_buy = sum((int(l["qty"] or 0) + int(l["closed_qty"] or 0)) * float(l["open_price"] or 0)
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for l in lots)
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cum_sell = sum(int(l["closed_qty"] or 0) * float(l["close_avg_price"] or 0) for l in lots)
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by_type = {}
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for l in lots:
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if int(l["qty"] or 0) > 0:
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by_type[l["lot_type"]] = by_type.get(l["lot_type"], 0) + int(l["qty"])
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avg_cost = max(0.0, (cum_buy - cum_sell) / qty) if qty > 0 else None
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px = market.get_price(ts_code) or avg_cost or 0
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cp = (px / avg_cost - 1.0) if (avg_cost and avg_cost > 0 and px) else None
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solid = param_store.get_float("PMS_CUSHION_SOLID", 0.03)
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pos = pms_repo.get_position(ts_code) or {}
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peak = max(float(pos.get("cushion_peak") or 0), cp or 0)
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scale = param_store.get_float("PMS_TOTAL_SCALE", 0)
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fields = {
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"total_qty": qty, "base_qty": by_type.get("BASE", 0) + by_type.get("RECON", 0),
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"fill_qty": by_type.get("FILL", 0), "add_qty": by_type.get("ADD", 0),
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"dca_qty": by_type.get("DCA", 0), "t0_qty": by_type.get("T0", 0),
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"avg_cost": round(avg_cost, 3) if avg_cost else None,
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"cushion_pct": round(cp, 4) if cp is not None else None,
|
||
"cushion_state": cu.cushion_state(cp, solid), "cushion_peak": round(peak, 4),
|
||
"pct_of_scale": round(qty * px / scale, 4) if scale > 0 else None,
|
||
"status": "CLOSED" if qty <= 0 else (pos.get("status") or "HOLDING"),
|
||
}
|
||
if qty > 0 and (pos.get("status") in (None, "PLANNED", "CLOSED")):
|
||
fields["status"] = "HOLDING"
|
||
if qty > 0 and not pos.get("opened_date"):
|
||
fields["opened_date"] = datetime.now().date()
|
||
pms_repo.update_position(ts_code, **fields)
|
||
return fields
|
||
|
||
|
||
# ================================================================ 对账
|
||
def reconcile(*, apply_fix: bool = True) -> dict:
|
||
"""账本 vs 下游持仓, 以下游为准修正并留痕。"""
|
||
out = {"ok": True, "diffs": [], "fixes": [], "errors": [], "columns": {}, "severity": rc.SEV_OK}
|
||
try:
|
||
ds = downstream_repo.fetch_positions()
|
||
except Exception as e:
|
||
out.update({"ok": False, "errors": [f"读 trading_position 失败: {type(e).__name__}: {e}"]})
|
||
return out
|
||
out["columns"] = ds["columns"]
|
||
if ds["rows"] and ds["columns"].get("qty") is None:
|
||
out.update({"ok": False, "errors": [
|
||
"下游持仓表未识别出数量列 —— 请按 QMT_INTERFACE_REQUIREMENTS A1/D1 取得 DDL 后, "
|
||
"把列名补进 downstream_repo.QTY_CANDIDATES"]})
|
||
return out
|
||
|
||
book = [{"ts_code": r["ts_code"], "total_qty": int(r.get("total_qty") or 0)}
|
||
for r in pms_repo.list_positions()]
|
||
diffs = rc.diff_positions(book, [{"ts_code": r["ts_code"], "qty": r["qty"]}
|
||
for r in ds["rows"]])
|
||
out["diffs"] = diffs
|
||
|
||
streak = param_store.get_int(STREAK_KEY, 0)
|
||
streak = streak + 1 if diffs else 0
|
||
# 必须走 ParamStore 写入: 直接写库不会失效缓存, 会导致连续天数一直读到旧值
|
||
param_store.set_param(STREAK_KEY, streak, "system")
|
||
out["severity"] = rc.recon_severity(streak if diffs else 0,
|
||
param_store.get_int("PMS_RECON_ALARM_DAYS", 3))
|
||
|
||
if not diffs or not apply_fix:
|
||
return out
|
||
|
||
codes = [d["ts_code"] for d in diffs]
|
||
prices = market.get_prices(codes)
|
||
# 下游的成本价 —— 补仓位时的开仓价优先取它, 现价只兜底 (见 rc.build_recon_fixes 注释:
|
||
# 拿现价当成本会让安全垫齐刷刷归零, 整条纪律链跟着失灵)
|
||
costs = {r["ts_code"]: r.get("cost") for r in (ds.get("rows") or [])}
|
||
lots_map = {c: [{"lot_id": l["id"], "lot_type": l["lot_type"], "qty": int(l["qty"]),
|
||
"open_date": _date_key(l["open_date"])}
|
||
for l in pms_repo.list_lots(c, status="OPEN")] for c in codes}
|
||
fixes = rc.build_recon_fixes(diffs, price_map=prices, lots_map=lots_map, cost_map=costs)
|
||
for f in fixes:
|
||
try:
|
||
_apply_fix(f)
|
||
recompute_position(f["ts_code"])
|
||
except Exception as e:
|
||
logger.exception("对账修正失败 %s", f)
|
||
out["errors"].append(f"{f['ts_code']} 修正失败: {type(e).__name__}: {e}")
|
||
out["fixes"] = fixes
|
||
out["ok"] = not out["errors"]
|
||
if out["severity"] == rc.SEV_ERROR:
|
||
logger.error("[对账] 连续 %s 日不一致, 升级 ERROR 待人工: %s 项差异", streak, len(diffs))
|
||
return out
|
||
|
||
|
||
def _apply_fix(f: dict):
|
||
code = f["ts_code"]
|
||
pms_repo.ensure_position(code)
|
||
if f["op"] == "ADD_RECON_LOT":
|
||
px = float(f.get("price") or 0)
|
||
pms_repo.insert_lot(ts_code=code, lot_type="RECON", qty=int(f["qty"]),
|
||
open_price=px, open_date=datetime.now().date(),
|
||
note=f["note"] + ("" if px > 0 else " [缺现价, 成本待人工核]"))
|
||
else:
|
||
lots = {l["id"]: l for l in pms_repo.list_lots(code, status="OPEN")}
|
||
px = float(f.get("price") or 0)
|
||
for a in f.get("alloc") or []:
|
||
lot = lots.get(a["lot_id"])
|
||
pnl = (px - float(lot["open_price"] or 0)) * a["qty"] if (lot and px) else 0.0
|
||
pms_repo.close_lot_qty(a["lot_id"], qty=a["qty"], close_price=px or
|
||
float(lot["open_price"] or 0), realized_pnl=pnl)
|
||
pms_repo.insert_ledger(ts_code=code, action="RECON", arbiter="rule", verdict="PASS",
|
||
price_at=float(f.get("price") or 0),
|
||
hard_numbers={"op": f["op"], "qty": f["qty"]},
|
||
reason=f["note"])
|
||
|
||
|
||
# ================================================================ 除权
|
||
def detect_and_apply_ex_right() -> dict:
|
||
"""用昨日结算快照与今日持仓/价格比对, 识别送转股并按比例调整批次。"""
|
||
out = {"checked": 0, "ex_rights": [], "mismatches": [], "errors": []}
|
||
prev = _prev_snapshot()
|
||
if not prev:
|
||
out["errors"].append("无昨日结算快照, 本次跳过除权检测 (次日起生效)")
|
||
return out
|
||
for pos in pms_repo.list_positions(only_open=True):
|
||
code = pos["ts_code"]
|
||
old = prev.get(code)
|
||
if not old:
|
||
continue
|
||
out["checked"] += 1
|
||
px = market.get_price(code)
|
||
r = rc.detect_ex_right(int(old.get("qty") or 0), int(pos.get("total_qty") or 0),
|
||
float(old.get("price") or 0), float(px or 0))
|
||
if not r:
|
||
continue
|
||
if r["kind"] == "EX_RIGHT":
|
||
try:
|
||
lots = pms_repo.list_lots(code, status="OPEN")
|
||
for l in rc.apply_ex_right(lots, r["ratio"]):
|
||
pms_repo.update_lot(l["id"], qty=l["qty"], open_price=l["open_price"],
|
||
note=l["note"])
|
||
recompute_position(code)
|
||
pms_repo.insert_ledger(ts_code=code, action="RECON", arbiter="rule",
|
||
verdict="PASS", price_at=px or 0, hard_numbers=r,
|
||
reason=f"除权调整 ×{r['ratio']}")
|
||
out["ex_rights"].append({"ts_code": code, **r})
|
||
except Exception as e:
|
||
out["errors"].append(f"{code} 除权调整失败: {e}")
|
||
else:
|
||
out["mismatches"].append({"ts_code": code, **r})
|
||
logger.error("[除权] %s 比例不吻合, 待人工: %s", code, r.get("reason"))
|
||
return out
|
||
|
||
|
||
def _prev_snapshot() -> dict:
|
||
"""取最近一份日终快照 {code: {qty, price}} (存在 pms_daily_report 里, 不新增表)。"""
|
||
r = pms_repo.latest_report()
|
||
if not r:
|
||
return {}
|
||
snap = (r.get("report") or {}).get("snapshot") or {}
|
||
return snap if isinstance(snap, dict) else {}
|
||
|
||
|
||
# ================================================================ 盘前 / 日终
|
||
def premarket() -> dict:
|
||
"""盘前准备 (08:50): T+1 可卖重置、参考位取数、刹车结算。"""
|
||
out = {"ok": True, "avail_reset": 0, "refs": 0, "brake": None, "errors": []}
|
||
try:
|
||
out["avail_reset"] = pms_repo.reset_avail_all()
|
||
except Exception as e:
|
||
out["errors"].append(f"可卖量重置失败: {e}")
|
||
for pos in pms_repo.list_positions(only_open=True):
|
||
code = pos["ts_code"]
|
||
try:
|
||
refs = market.get_refs(code, base_cost=pos.get("avg_cost"))
|
||
pms_repo.update_position(code, support_ref=refs.get("support"),
|
||
pressure_ref=refs.get("pressure"),
|
||
stop_ref=refs.get("stop"),
|
||
ref_source=refs.get("source"))
|
||
out["refs"] += 1
|
||
except Exception as e:
|
||
out["errors"].append(f"{code} 参考位取数失败: {e}")
|
||
try:
|
||
out["brake"] = _settle_brake()
|
||
except Exception as e:
|
||
out["errors"].append(f"刹车结算失败: {e}")
|
||
out["ok"] = not out["errors"]
|
||
return out
|
||
|
||
|
||
def _settle_brake() -> dict:
|
||
"""组合刹车: 自高水位回撤 ≥ 阈值 → 自主增持停 N 个交易日 (命令类不受限)。"""
|
||
v = portfolio.positions_view()
|
||
mv = v["totals"]["portfolio_mv"]
|
||
hw = param_store.get_float("PMS_HIGH_WATER", 0.0)
|
||
dd_limit = param_store.get_float("PMS_BRAKE_DRAWDOWN", 0.05)
|
||
days = param_store.get_int("PMS_BRAKE_DAYS", 3)
|
||
until = param_store.get_int("PMS_BRAKE_UNTIL", 0)
|
||
today = td.ymd()
|
||
if mv > hw:
|
||
param_store.set_param("PMS_HIGH_WATER", mv, "system")
|
||
hw = mv
|
||
drawdown = (1 - mv / hw) if hw > 0 else 0.0
|
||
if hw > 0 and drawdown >= dd_limit and today >= until:
|
||
until = td.ymd(td.next_trade_day(datetime.now().date(), days))
|
||
param_store.set_param("PMS_BRAKE_UNTIL", until, "system")
|
||
logger.warning("[刹车] 自高水位回撤 %.1f%% ≥ %.0f%%, 自主增持暂停至 %s",
|
||
drawdown * 100, dd_limit * 100, until)
|
||
return {"high_water": hw, "portfolio_mv": mv, "drawdown": round(drawdown, 4),
|
||
"brake_until": until, "active": today < until}
|
||
|
||
|
||
def daily_settle() -> dict:
|
||
"""日终结算 (15:10): 除权检测 → 全量对账 → 垫子峰值/连负天数 → 命令进度日结 → 快照留存。"""
|
||
from app.services import command_service
|
||
out = {"ok": True, "steps": {}, "errors": []}
|
||
try:
|
||
out["steps"]["ex_right"] = detect_and_apply_ex_right()
|
||
except Exception as e:
|
||
out["errors"].append(f"除权检测失败: {e}")
|
||
try:
|
||
out["steps"]["recon"] = reconcile()
|
||
except Exception as e:
|
||
out["errors"].append(f"对账失败: {e}")
|
||
try:
|
||
out["steps"]["cushion"] = _settle_cushion()
|
||
except Exception as e:
|
||
out["errors"].append(f"安全垫结算失败: {e}")
|
||
try:
|
||
out["steps"]["fee_calibrate"] = calibrate_fees()
|
||
except Exception as e:
|
||
out["errors"].append(f"费用校准失败: {e}")
|
||
try:
|
||
out["steps"]["commands"] = command_service.refresh_progress()
|
||
except Exception as e:
|
||
out["errors"].append(f"命令进度结算失败: {e}")
|
||
try:
|
||
pms_repo.expire_proposals()
|
||
except Exception as e:
|
||
out["errors"].append(f"提议过期处理失败: {e}")
|
||
out["ok"] = not out["errors"]
|
||
return out
|
||
|
||
|
||
def _settle_cushion() -> dict:
|
||
"""更新垫子峰值与「安全垫连续为负天数」(清弱票判定所需)。"""
|
||
v = portfolio.positions_view()
|
||
streak = portfolio.neg_streak_map()
|
||
updated = 0
|
||
for x in v["held"]:
|
||
code, cp = x["ts_code"], x["cushion_pct"]
|
||
streak[code] = (int(streak.get(code, 0)) + 1) if (cp is not None and cp < 0) else 0
|
||
peak = max(float(x["cushion_peak"] or 0), cp or 0)
|
||
pms_repo.update_position(code, cushion_pct=cp, cushion_peak=round(peak, 4),
|
||
cushion_state=x["cushion_state"])
|
||
updated += 1
|
||
held = {x["ts_code"] for x in v["held"]}
|
||
portfolio.save_neg_streak({k: v2 for k, v2 in streak.items() if k in held})
|
||
return {"updated": updated,
|
||
"neg_streak": {k: v2 for k, v2 in streak.items() if v2 > 0 and k in held}}
|
||
|
||
|
||
# ================================================================ 日报
|
||
def build_daily_report(ymd: int = None) -> dict:
|
||
"""运营日报 (15:30): 关注区 + 全量统计 + 当日快照 (快照供次日除权检测)。"""
|
||
from app.services import command_service
|
||
ymd = int(ymd or td.ymd())
|
||
v = portfolio.positions_view()
|
||
t = v["totals"]
|
||
try:
|
||
recon_state = {"streak": param_store.get_int(STREAK_KEY, 0)}
|
||
except Exception:
|
||
recon_state = {}
|
||
|
||
cmds = pms_repo.list_commands(statuses=["EXECUTING", "PARTIAL", "PENDING", "PLANNING"],
|
||
limit=100)
|
||
proposals = pms_repo.list_proposals(statuses=("WAIT_USER",), limit=100)
|
||
live_ins = pms_repo.list_instructions(statuses=list(LIVE_INSTR), limit=200)
|
||
attention = []
|
||
for c in cmds:
|
||
prog = c.get("progress") or {}
|
||
attention.append({"type": "命令进度", "command_id": c["command_id"],
|
||
"cmd_type": c["cmd_type"], "status": c["status"],
|
||
"done": prog.get("done_amount"), "target": prog.get("target_amount"),
|
||
"deadline": prog.get("deadline")})
|
||
if proposals:
|
||
attention.append({"type": "待确认提议", "count": len(proposals)})
|
||
if recon_state.get("streak"):
|
||
attention.append({"type": "对账差异", "streak": recon_state["streak"],
|
||
"severity": rc.recon_severity(
|
||
recon_state["streak"],
|
||
param_store.get_int("PMS_RECON_ALARM_DAYS", 3))})
|
||
brake_until = param_store.get_int("PMS_BRAKE_UNTIL", 0)
|
||
if brake_until > ymd:
|
||
attention.append({"type": "组合刹车", "until": brake_until})
|
||
if v["price_missing"]:
|
||
attention.append({"type": "行情缺失", "codes": v["price_missing"]})
|
||
if not v["sector_ready"]:
|
||
attention.append({"type": "行业约束停用", "hint": "PMS_SECTOR_SOURCE 未配置"})
|
||
if td.calendar_degraded():
|
||
attention.append({"type": "交易日历降级", "hint": "未安装 chinesecalendar, 节假日不可辨"})
|
||
|
||
report = {
|
||
"ymd": ymd, "generated_at": datetime.now().strftime("%Y-%m-%d %H:%M:%S"),
|
||
"totals": t, "attention": attention,
|
||
"commands": [{"command_id": c["command_id"], "cmd_type": c["cmd_type"],
|
||
"status": c["status"], "progress": c.get("progress")} for c in cmds],
|
||
"proposals": len(proposals), "live_instructions": len(live_ins),
|
||
"positions": [{"ts_code": x["ts_code"], "qty": x["total_qty"], "price": x["price"],
|
||
"avg_cost": x["avg_cost"], "cushion_pct": x["cushion_pct"],
|
||
"cushion_state": x["cushion_state"], "mv": x["market_value"],
|
||
"pct_of_scale": x["pct_of_scale"]} for x in v["held"]],
|
||
# 次日除权检测用的快照 (数量 + 收盘价)
|
||
"snapshot": {x["ts_code"]: {"qty": x["total_qty"], "price": x["price"]}
|
||
for x in v["held"]},
|
||
"recon": recon_state,
|
||
}
|
||
try:
|
||
pms_repo.upsert_report(ymd, report)
|
||
except Exception as e:
|
||
logger.error("日报落表失败: %s", e)
|
||
report["save_error"] = str(e)
|
||
return report
|
||
|
||
|
||
def expire_stale_instructions() -> int:
|
||
"""下发后长时间未被接受的指令置过期 (不自动重发 —— 设计 §13)。"""
|
||
mins = param_store.get_int("PMS_DISPATCH_EXPIRE_MIN", 30)
|
||
cut = datetime.now() - timedelta(minutes=mins)
|
||
n = 0
|
||
for r in pms_repo.list_instructions(statuses=["DISPATCHED"], limit=500):
|
||
try:
|
||
if str(r.get("updated_at") or "") and str(r["updated_at"]) < str(cut):
|
||
pms_repo.update_instruction(r["instruction_id"], status="EXPIRED")
|
||
n += 1
|
||
except Exception:
|
||
continue
|
||
return n
|