dekun
cce26e87b5
Net PnL (after estimated close fees) drives auto close; Plan/Settings expose the choice. Co-authored-by: Cursor <cursoragent@cursor.com>
271 lines
10 KiB
Python
271 lines
10 KiB
Python
"""策略状态机：选向开仓 / 盯盘平仓 / 休息（无开仓窗、无轮次上限）。"""
|
|
|
|
from __future__ import annotations
|
|
|
|
import asyncio
|
|
import logging
|
|
import time
|
|
from typing import Any
|
|
|
|
from ..config import get_settings
|
|
from .session import get_session
|
|
from ..models.db import get_db
|
|
from ..sim.ledger import Ledger
|
|
from ..sim.matcher import Matcher
|
|
from .clock import window_key
|
|
from .exits import check_exits, resolve_exit_target
|
|
from .group import next_group_id
|
|
|
|
logger = logging.getLogger(__name__)
|
|
|
|
|
|
class StrategyEngine:
|
|
def __init__(self) -> None:
|
|
self.db = get_db()
|
|
self.matcher = Matcher(self.db)
|
|
self.ledger = Ledger(self.db)
|
|
self._task: asyncio.Task[None] | None = None
|
|
self._lock = asyncio.Lock()
|
|
|
|
def state(self) -> dict[str, Any]:
|
|
row = self.db.fetchone("SELECT * FROM strategy_state WHERE id=1")
|
|
assert row is not None
|
|
upl = self.matcher.unrealized()
|
|
s = get_settings()
|
|
exit_mode = self.ledger.get_setting_str("exit_mode", s.exit_mode)
|
|
net_target = self.ledger.get_setting_float(
|
|
"net_profit_target", s.net_profit_target
|
|
)
|
|
prem_mult = self.ledger.get_setting_float(
|
|
"premium_exit_multiple", s.premium_exit_multiple
|
|
)
|
|
exit_amt, _ = resolve_exit_target(
|
|
exit_mode=exit_mode,
|
|
net_profit_target=net_target,
|
|
premium_exit_multiple=prem_mult,
|
|
initial_premium=float(upl.get("initial_premium") or 0),
|
|
)
|
|
rest_sec = self.ledger.get_setting_int("rest_seconds", s.rest_seconds)
|
|
leverage = self.ledger.get_setting_float("leverage", s.leverage)
|
|
min_hours = self.ledger.get_setting_float("min_option_hours", s.min_option_hours)
|
|
min_opt_lev = self.ledger.get_setting_float(
|
|
"min_option_leverage", s.min_option_leverage
|
|
)
|
|
rest_until = row["rest_until_ms"]
|
|
rest_left = 0
|
|
if rest_until:
|
|
rest_left = max(0, int((int(rest_until) - time.time() * 1000) / 1000))
|
|
last_error = row["last_error"]
|
|
if last_error and "PriceResult" in str(last_error) and "__dict__" in str(last_error):
|
|
self._set_state(last_error=None)
|
|
last_error = None
|
|
return {
|
|
"running": bool(row["running"]),
|
|
"phase": row["phase"],
|
|
"rounds_done": int(row["rounds_done"] or 0),
|
|
"window_key": row["window_key"],
|
|
"rest_until_ms": rest_until,
|
|
"rest_left_sec": rest_left,
|
|
"rest_seconds": rest_sec,
|
|
"exit_mode": exit_mode,
|
|
"net_profit_target": net_target,
|
|
"premium_exit_multiple": prem_mult,
|
|
"exit_target_usdt": exit_amt,
|
|
"leverage": leverage,
|
|
"min_option_hours": min_hours,
|
|
"min_option_leverage": min_opt_lev,
|
|
"can_open": True,
|
|
"last_error": last_error,
|
|
"position": upl,
|
|
"ledger": self.ledger.snapshot(),
|
|
}
|
|
|
|
def _set_state(self, **kwargs: Any) -> None:
|
|
cols = []
|
|
vals: list[Any] = []
|
|
for k, v in kwargs.items():
|
|
cols.append(f"{k}=?")
|
|
vals.append(v)
|
|
cols.append("updated_at_ms=?")
|
|
vals.append(int(time.time() * 1000))
|
|
sql = f"UPDATE strategy_state SET {', '.join(cols)} WHERE id=1"
|
|
self.db.execute(sql, tuple(vals))
|
|
|
|
async def pause(self) -> dict[str, Any]:
|
|
self._set_state(running=0, phase="paused", last_error=None)
|
|
return self.state()
|
|
|
|
async def start(self) -> dict[str, Any]:
|
|
self._set_state(running=1, last_error=None, phase="idle")
|
|
if self._task is None or self._task.done():
|
|
self._task = asyncio.create_task(self._loop(), name="strategy-engine")
|
|
return self.state()
|
|
|
|
async def emergency_close(self) -> dict[str, Any]:
|
|
async with self._lock:
|
|
# 紧急全平：绕过期权流动性/偏差校验
|
|
r = self.matcher.close_group(reason="emergency", bypass_liquidity=True)
|
|
if r.ok:
|
|
self._after_close()
|
|
return {
|
|
"close": {
|
|
"ok": r.ok,
|
|
"detail": r.detail,
|
|
"liquidity_wait": r.liquidity_wait,
|
|
"data": r.data,
|
|
},
|
|
"state": self.state(),
|
|
}
|
|
|
|
def _after_close(self) -> None:
|
|
s = get_settings()
|
|
row = self.db.fetchone("SELECT * FROM strategy_state WHERE id=1")
|
|
assert row is not None
|
|
rounds = int(row["rounds_done"] or 0) + 1
|
|
rest_sec = self.ledger.get_setting_int("rest_seconds", s.rest_seconds)
|
|
rest_until = int(time.time() * 1000) + rest_sec * 1000
|
|
self._set_state(
|
|
rounds_done=rounds,
|
|
phase="resting",
|
|
rest_until_ms=rest_until,
|
|
)
|
|
|
|
def _count_groups_for_day(self, wkey: str) -> int:
|
|
rows = self.db.fetchall(
|
|
"SELECT group_id FROM groups WHERE group_id LIKE ?",
|
|
(f"G-{wkey}-%",),
|
|
)
|
|
return len(rows)
|
|
|
|
async def _loop(self) -> None:
|
|
logger.info("strategy engine loop started")
|
|
while True:
|
|
try:
|
|
row = self.db.fetchone("SELECT running FROM strategy_state WHERE id=1")
|
|
if not row or not int(row["running"]):
|
|
await asyncio.sleep(1)
|
|
continue
|
|
async with self._lock:
|
|
try:
|
|
await get_session().ensure_atm_async(force=False)
|
|
except Exception as e:
|
|
logger.warning("ATM ensure before tick failed: %s", e)
|
|
await self._tick_async()
|
|
except asyncio.CancelledError:
|
|
raise
|
|
except Exception as e:
|
|
logger.exception("strategy tick failed")
|
|
self._set_state(last_error=str(e))
|
|
await asyncio.sleep(1)
|
|
|
|
async def _tick_async(self) -> None:
|
|
s = get_settings()
|
|
st = self.db.fetchone("SELECT * FROM strategy_state WHERE id=1")
|
|
assert st is not None
|
|
wkey = window_key()
|
|
if st["window_key"] != wkey:
|
|
self._set_state(window_key=wkey, phase="idle")
|
|
|
|
st = self.db.fetchone("SELECT * FROM strategy_state WHERE id=1")
|
|
assert st is not None
|
|
exit_mode = self.ledger.get_setting_str("exit_mode", s.exit_mode)
|
|
net_target = self.ledger.get_setting_float(
|
|
"net_profit_target", s.net_profit_target
|
|
)
|
|
prem_mult = self.ledger.get_setting_float(
|
|
"premium_exit_multiple", s.premium_exit_multiple
|
|
)
|
|
pos = self.matcher.current_position()
|
|
|
|
# 有未平仓：只盯平仓，绝不开下一组
|
|
if pos.get("status") == "open":
|
|
upl = self.matcher.unrealized()
|
|
decision = check_exits(
|
|
net_pnl=float(upl.get("net_pnl") or 0),
|
|
exit_mode=exit_mode,
|
|
net_profit_target=net_target,
|
|
premium_exit_multiple=prem_mult,
|
|
initial_premium=float(upl.get("initial_premium") or 0),
|
|
)
|
|
pending_close = st["phase"] in ("liquidity_wait", "closing")
|
|
if decision.should_close or pending_close:
|
|
reason = decision.reason or "liquidity_retry"
|
|
if not pending_close:
|
|
self._set_state(phase="closing", last_error=None)
|
|
r = await asyncio.to_thread(
|
|
self.matcher.close_group, reason=reason, bypass_liquidity=False
|
|
)
|
|
if r.ok:
|
|
self._after_close()
|
|
elif r.liquidity_wait:
|
|
self._set_state(phase="liquidity_wait", last_error=r.detail)
|
|
else:
|
|
self._set_state(phase="closing", last_error=r.detail)
|
|
else:
|
|
self._set_state(phase="open", last_error=None)
|
|
return
|
|
|
|
if st["phase"] == "resting" and st["rest_until_ms"]:
|
|
if int(time.time() * 1000) < int(st["rest_until_ms"]):
|
|
return
|
|
self._set_state(phase="idle", rest_until_ms=None)
|
|
|
|
st = self.db.fetchone("SELECT * FROM strategy_state WHERE id=1")
|
|
assert st is not None
|
|
if st["phase"] in ("paused",):
|
|
return
|
|
# 旧「轮次停开」状态：自动恢复为空闲以便继续
|
|
if st["phase"] in ("stopped", "outside_window"):
|
|
self._set_state(phase="idle")
|
|
|
|
# 双保险：账本仍显示有仓则不开
|
|
if self.matcher.has_open_position():
|
|
self._set_state(phase="open", last_error="有未平仓，禁止开下一组")
|
|
return
|
|
|
|
self._set_state(phase="wait_signal")
|
|
pick = await get_session().pick_for_open_async()
|
|
if pick is None:
|
|
self._set_state(
|
|
last_error="无合格期权：需剩余时长与杠杆倍数同时满足"
|
|
)
|
|
return
|
|
|
|
self._set_state(phase="opening", last_error=None)
|
|
count = self._count_groups_for_day(wkey)
|
|
gid = next_group_id(count)
|
|
option_inst = (
|
|
pick.pair.call_inst_id if pick.option_side == "call" else pick.pair.put_inst_id
|
|
)
|
|
entry_idx = pick.underlying_px
|
|
r = await asyncio.to_thread(
|
|
self.matcher.open_group,
|
|
group_id=gid,
|
|
bias=pick.bias,
|
|
option_side=pick.option_side,
|
|
perp_side=pick.perp_side,
|
|
option_inst_id=option_inst,
|
|
entry_index_px=float(entry_idx),
|
|
strike=pick.pair.strike,
|
|
expiry_ymd=pick.pair.expiry_ymd,
|
|
)
|
|
if r.ok:
|
|
self._set_state(phase="open", last_error=None)
|
|
else:
|
|
self._set_state(phase="idle", last_error=r.detail)
|
|
|
|
|
|
_engine: StrategyEngine | None = None
|
|
|
|
|
|
def get_engine() -> StrategyEngine:
|
|
global _engine
|
|
if _engine is None:
|
|
_engine = StrategyEngine()
|
|
return _engine
|
|
|
|
|
|
def set_engine(e: StrategyEngine | None) -> None:
|
|
global _engine
|
|
_engine = e
|