修复滚仓
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dekun
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"""滚仓挂单监控：斐波限价止盈侧突破撤单、成交同步、活跃组结案（各所共用）。"""
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from __future__ import annotations
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from typing import Any, Optional
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from fib_key_monitor_lib import fib_invalidate_by_mark
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from strategy_db import init_strategy_tables
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ROLL_LEG_STATUS_LABELS = {
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"pending": "挂单中",
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"filled": "已成交",
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"cancelled": "已撤销",
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"invalidated": "止盈侧突破失效",
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}
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def roll_leg_status_label(status: Optional[str]) -> str:
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s = (status or "").strip().lower()
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return ROLL_LEG_STATUS_LABELS.get(s, status or "—")
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def check_roll_monitors(cfg: dict[str, Any]) -> None:
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get_db = cfg["get_db"]
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conn = get_db()
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try:
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init_strategy_tables(conn)
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_reconcile_roll_groups(conn, cfg)
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_check_pending_roll_legs(conn, cfg)
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conn.commit()
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except Exception:
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try:
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conn.rollback()
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except Exception:
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pass
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finally:
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try:
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conn.close()
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except Exception:
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pass
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def _row_dict(row) -> dict:
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if row is None:
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return {}
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try:
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return dict(row)
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except Exception:
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return {}
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def _now(cfg: dict) -> str:
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fn = cfg.get("app_now_str")
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return fn() if callable(fn) else ""
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def _close_roll_group(
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conn,
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cfg: dict,
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group: dict,
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*,
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cancel_pending: bool = True,
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) -> None:
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gid = int(group["id"])
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if cancel_pending:
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for leg in conn.execute(
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"SELECT * FROM roll_legs WHERE roll_group_id=? AND status='pending'",
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(gid,),
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).fetchall():
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ld = _row_dict(leg)
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_cancel_roll_leg_order(cfg, group, ld)
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conn.execute(
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"UPDATE roll_legs SET status='cancelled' WHERE id=? AND status='pending'",
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(ld["id"],),
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)
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conn.execute(
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"UPDATE roll_groups SET status='closed', updated_at=? WHERE id=? AND status='active'",
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(_now(cfg), gid),
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)
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def _reconcile_roll_groups(conn, cfg: dict) -> None:
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rows = conn.execute(
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"""SELECT g.*, m.status AS monitor_status
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FROM roll_groups g
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LEFT JOIN order_monitors m ON m.id = g.order_monitor_id
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WHERE g.status='active'"""
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).fetchall()
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for row in rows:
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g = _row_dict(row)
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symbol = g.get("symbol") or ""
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direction = (g.get("direction") or "long").strip().lower()
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ex_sym = g.get("exchange_symbol") or cfg["normalize_exchange_symbol"](symbol)
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mon_ok = (row["monitor_status"] or "").strip().lower() == "active"
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pos = cfg["get_position"](ex_sym, direction)
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qty = float(pos.get("contracts") or 0)
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if not mon_ok or qty <= 0:
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_close_roll_group(conn, cfg, g, cancel_pending=True)
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def _cancel_roll_leg_order(cfg: dict, group: dict, leg: dict) -> None:
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oid = (leg.get("exchange_order_id") or "").strip()
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if not oid:
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return
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symbol = group.get("symbol") or ""
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ex_sym = group.get("exchange_symbol") or cfg["normalize_exchange_symbol"](symbol)
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cancel = cfg.get("cancel_limit_order")
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if callable(cancel):
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try:
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cancel(ex_sym, oid)
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except Exception:
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pass
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def _check_pending_roll_legs(conn, cfg: dict) -> None:
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rows = conn.execute(
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"""SELECT l.*, g.symbol, g.exchange_symbol, g.direction, g.initial_take_profit,
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g.order_monitor_id
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FROM roll_legs l
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INNER JOIN roll_groups g ON g.id = l.roll_group_id AND g.status='active'
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WHERE l.status='pending'"""
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).fetchall()
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for row in rows:
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leg = _row_dict(row)
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group = {
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"id": leg["roll_group_id"],
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"symbol": leg["symbol"],
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"exchange_symbol": leg["exchange_symbol"],
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"direction": leg["direction"],
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"initial_take_profit": leg["initial_take_profit"],
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"order_monitor_id": leg["order_monitor_id"],
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}
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_process_pending_roll_leg(conn, cfg, group, leg)
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def _process_pending_roll_leg(conn, cfg: dict, group: dict, leg: dict) -> None:
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symbol = group.get("symbol") or ""
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direction = (group.get("direction") or "long").strip().lower()
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ex_sym = group.get("exchange_symbol") or cfg["normalize_exchange_symbol"](symbol)
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oid = (leg.get("exchange_order_id") or "").strip()
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mark_fn = cfg.get("get_mark_price") or cfg.get("get_price")
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mark = mark_fn(symbol) if callable(mark_fn) else None
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if mark is None:
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return
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order_status_fn = cfg.get("limit_order_status")
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order_st = order_status_fn(ex_sym, oid) if callable(order_status_fn) and oid else "missing"
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fib_u, fib_l = leg.get("fib_upper"), leg.get("fib_lower")
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has_fib = fib_u is not None and fib_l is not None
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if order_st == "filled":
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_finalize_roll_leg_fill(conn, cfg, group, leg, ex_sym, direction, float(mark))
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return
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if has_fib and fib_invalidate_by_mark(direction, mark, fib_u, fib_l):
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if order_st == "open":
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_cancel_roll_leg_order(cfg, group, leg)
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_invalidate_roll_leg(conn, cfg, group, leg, float(mark))
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return
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if order_st in ("canceled", "missing", "unknown") and has_fib:
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if fib_invalidate_by_mark(direction, mark, fib_u, fib_l):
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_invalidate_roll_leg(conn, cfg, group, leg, float(mark))
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def _invalidate_roll_leg(
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conn, cfg: dict, group: dict, leg: dict, mark: float
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) -> None:
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leg_id = int(leg["id"])
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gid = int(group["id"])
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cur = conn.execute(
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"SELECT status FROM roll_legs WHERE id=?", (leg_id,)
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).fetchone()
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if not cur or (cur[0] or "").strip().lower() == "invalidated":
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return
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conn.execute(
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"UPDATE roll_legs SET status='invalidated' WHERE id=? AND status='pending'",
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(leg_id,),
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)
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conn.execute(
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"""UPDATE roll_groups SET leg_count = CASE WHEN leg_count > 0 THEN leg_count - 1 ELSE 0 END,
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updated_at=? WHERE id=?""",
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(_now(cfg), gid),
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)
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_send_roll_invalidate_wechat(cfg, group, leg, mark)
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def _finalize_roll_leg_fill(
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conn,
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cfg: dict,
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group: dict,
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leg: dict,
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ex_sym: str,
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direction: str,
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mark: float,
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) -> None:
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leg_id = int(leg["id"])
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gid = int(group["id"])
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new_sl = float(leg.get("new_stop_loss") or 0)
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tp0 = float(group.get("initial_take_profit") or 0)
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fill_px = float(leg.get("limit_price") or mark)
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conn.execute(
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"UPDATE roll_legs SET status='filled', fill_price=? WHERE id=? AND status='pending'",
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(fill_px, leg_id),
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)
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if new_sl > 0:
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conn.execute(
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"UPDATE roll_groups SET current_stop_loss=?, updated_at=? WHERE id=?",
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(new_sl, _now(cfg), gid),
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)
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mon_id = group.get("order_monitor_id")
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if mon_id and new_sl > 0:
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conn.execute(
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"UPDATE order_monitors SET stop_loss=? WHERE id=? AND status='active'",
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(new_sl, mon_id),
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)
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replace = cfg.get("replace_tpsl")
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if callable(replace) and new_sl > 0 and tp0 > 0:
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mon = None
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if mon_id:
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row = conn.execute(
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"SELECT * FROM order_monitors WHERE id=?", (mon_id,)
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).fetchone()
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mon = _row_dict(row) if row else None
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try:
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replace(ex_sym, direction, new_sl, tp0, mon)
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except Exception:
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pass
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notify = cfg.get("send_wechat")
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if callable(notify):
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sym = group.get("symbol") or ""
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mode = leg.get("add_mode") or "限价"
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fmt = cfg.get("format_price")
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px_txt = fmt(sym, fill_px) if callable(fmt) else str(fill_px)
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sl_txt = fmt(sym, new_sl) if callable(fmt) else str(new_sl)
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acct = _wechat_account(cfg)
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dir_txt = _wechat_dir(cfg, direction)
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notify(
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f"# ✅ {sym} 滚仓限价已成交\n"
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f"**账户：{acct}**\n"
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f"- 方式：{mode}｜{dir_txt}\n"
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f"- 成交价：{px_txt}｜新止损：{sl_txt}\n"
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f"- 交易所止损已尝试同步（止盈仍为首仓）\n"
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)
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def _send_roll_invalidate_wechat(
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cfg: dict, group: dict, leg: dict, mark: float
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) -> None:
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notify = cfg.get("send_wechat")
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if not callable(notify):
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return
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sym = group.get("symbol") or ""
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direction = (group.get("direction") or "long").strip().lower()
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mode = leg.get("add_mode") or "斐波限价"
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fmt = cfg.get("format_price")
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mark_txt = fmt(sym, mark) if callable(fmt) else str(mark)
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acct = _wechat_account(cfg)
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dir_txt = _wechat_dir(cfg, direction)
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notify(
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f"# ⚠️ {sym} 滚仓斐波挂单失效\n"
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f"**账户：{acct}**\n"
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f"- 方式：{mode}｜{dir_txt}\n"
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f"- 标记价 {mark_txt} 已触达止盈侧（未成交），已撤限价加仓单\n"
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f"- 本条滚仓腿已结案，可继续下一档或重新挂单\n"
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)
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def _wechat_account(cfg: dict) -> str:
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fn = cfg.get("wechat_account_label")
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if callable(fn):
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try:
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return str(fn())
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except Exception:
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pass
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return str(cfg.get("exchange_display") or "")
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def _wechat_dir(cfg: dict, direction: str) -> str:
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fn = cfg.get("wechat_direction_text")
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if callable(fn):
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try:
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return str(fn(direction))
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except Exception:
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pass
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return "做多" if (direction or "long").strip().lower() == "long" else "做空"
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