dekun
e5a586f903
Move business code under modules/, env template to config/, PM2 single qihuo process, and _legacy shims for old imports. Co-authored-by: Cursor <cursoragent@cursor.com>
271 lines
9.1 KiB
Python
271 lines
9.1 KiB
Python
# Copyright (c) 2025-2026 马建军. All rights reserved.
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# 专有软件 — 未经授权禁止复制、传播、转售。
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# 详见 LICENSE.zh-CN.txt
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"""CTP 权威内存簿：委托、持仓、同步状态（事件增量 + 定期全量校准）。"""
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from __future__ import annotations
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import logging
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import threading
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import time
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from typing import Any, Callable, Optional
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logger = logging.getLogger(__name__)
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CALIBRATE_INTERVAL_SEC = 30.0
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def position_key(exchange: str, symbol: str, direction: str) -> str:
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"""统一持仓键：exchange|symbol|direction"""
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ex = (exchange or "").strip().upper()
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sym = (symbol or "").strip().lower()
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d = (direction or "long").strip().lower()
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if ex:
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return f"{ex}|{sym}|{d}"
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return f"{sym}|{d}"
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def parse_position_key(key: str) -> tuple[str, str, str]:
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parts = (key or "").split("|")
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if len(parts) >= 3:
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return parts[0], parts[1], parts[2]
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if len(parts) == 2:
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return "", parts[0], parts[1]
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return "", (key or "").lower(), "long"
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def reconcile_position_avg(
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old: Optional[dict[str, Any]],
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new: dict[str, Any],
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tick: Optional[float],
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*,
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trades: Optional[list[dict[str, Any]]] = None,
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ths_sym: str = "",
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) -> dict[str, Any]:
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"""手数变化时采用柜台回报均价；手数不变时保持已锁定柜台价。"""
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del tick, trades
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from modules.ctp.ctp_entry_price import round_to_tick
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row = dict(new)
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lots = int(row.get("lots") or 0)
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if lots <= 0:
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return row
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old_lots = int(old.get("lots") or 0) if old else 0
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lots_changed = not old or old_lots != lots
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sym = ths_sym or (row.get("symbol") or "")
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pos_avg = float(row.get("avg_price") or 0)
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if pos_avg > 0:
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row["avg_price"] = round_to_tick(pos_avg, sym)
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row["avg_price_locked"] = True
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return row
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if not lots_changed and old and float(old.get("avg_price") or 0) > 0:
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row["avg_price"] = float(old["avg_price"])
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row["avg_price_locked"] = True
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return row
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class CtpTradingState:
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"""进程内 CTP 快照：柜台回报为准，SQLite 仅挂 SL/TP 元数据。"""
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def __init__(self) -> None:
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self._lock = threading.RLock()
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self._orders: dict[str, dict[str, Any]] = {}
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self._positions: dict[str, dict[str, Any]] = {}
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self._tick_prices: dict[str, float] = {}
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self._sync_state = "idle"
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self._last_event_ts: float = 0.0
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self._last_calibrate_ts: float = 0.0
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self._on_change: Optional[Callable[[], None]] = None
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def set_change_callback(self, fn: Optional[Callable[[], None]]) -> None:
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self._on_change = fn
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def _notify(self) -> None:
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self._last_event_ts = time.time()
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fn = self._on_change
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if fn:
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try:
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fn()
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except Exception as exc:
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logger.debug("trading state change callback: %s", exc)
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@property
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def sync_state(self) -> str:
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with self._lock:
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return self._sync_state
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def sync_label(self) -> str:
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st = self.sync_state
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if st == "syncing":
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return "同步中…"
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if st == "ready":
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return "已同步"
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return ""
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def begin_sync(self) -> None:
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with self._lock:
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self._sync_state = "syncing"
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def finish_sync(self) -> None:
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with self._lock:
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self._sync_state = "ready"
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self._last_calibrate_ts = time.time()
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def needs_calibrate(self) -> bool:
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with self._lock:
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if self._sync_state == "idle":
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return True
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return (time.time() - self._last_calibrate_ts) >= CALIBRATE_INTERVAL_SEC
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def upsert_order(self, row: dict[str, Any], *, notify: bool = True) -> None:
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oid = str(row.get("order_id") or row.get("vt_order_id") or "").strip()
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if not oid:
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return
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with self._lock:
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self._orders[oid] = dict(row)
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if notify:
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self._notify()
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def remove_order(self, order_id: str, *, notify: bool = True) -> None:
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oid = (order_id or "").strip()
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if not oid:
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return
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removed = False
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with self._lock:
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if oid in self._orders:
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del self._orders[oid]
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removed = True
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else:
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for k in list(self._orders.keys()):
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if k == oid or k.endswith(oid) or oid.endswith(k):
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del self._orders[k]
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removed = True
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break
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if removed and notify:
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self._notify()
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def get_position(self, pk: str) -> Optional[dict[str, Any]]:
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with self._lock:
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row = self._positions.get(pk)
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return dict(row) if row else None
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def try_lock_entry_prices(self) -> bool:
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"""均价以柜台为准，不按 tick 反推（避免均价随行情跳动）。"""
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return False
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def upsert_position(
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self,
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row: dict[str, Any],
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*,
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notify: bool = True,
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trades: Optional[list[dict[str, Any]]] = None,
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ths_sym: str = "",
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) -> None:
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lots = int(row.get("lots") or 0)
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ex = row.get("exchange") or ""
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sym = row.get("symbol") or ""
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direction = row.get("direction") or "long"
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pk = position_key(ex, sym, direction)
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tick = self.get_tick_price(ex, sym)
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with self._lock:
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if lots <= 0:
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self._positions.pop(pk, None)
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else:
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old = self._positions.get(pk)
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row = reconcile_position_avg(
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old, dict(row), tick, trades=trades, ths_sym=ths_sym or sym,
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)
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row["position_key"] = pk
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self._positions[pk] = row
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if notify:
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self._notify()
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def remove_position(self, pk: str, *, notify: bool = True) -> None:
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with self._lock:
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self._positions.pop(pk, None)
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if notify:
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self._notify()
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def set_tick_price(self, exchange: str, symbol: str, price: float) -> None:
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if not symbol or price <= 0:
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return
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key = f"{(exchange or '').upper()}|{symbol.lower()}"
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with self._lock:
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self._tick_prices[key] = float(price)
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def get_tick_price(self, exchange: str, symbol: str) -> Optional[float]:
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key = f"{(exchange or '').upper()}|{symbol.lower()}"
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with self._lock:
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return self._tick_prices.get(key)
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def get_active_orders(self) -> list[dict[str, Any]]:
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with self._lock:
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return list(self._orders.values())
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def get_positions(self) -> list[dict[str, Any]]:
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with self._lock:
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return list(self._positions.values())
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def position_keys(self) -> set[str]:
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with self._lock:
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return set(self._positions.keys())
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def clear(self) -> None:
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with self._lock:
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self._orders.clear()
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self._positions.clear()
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self._tick_prices.clear()
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self._sync_state = "idle"
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def calibrate_from_lists(
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self,
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orders: list[dict[str, Any]],
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positions: list[dict[str, Any]],
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*,
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trades: Optional[list[dict[str, Any]]] = None,
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ths_for_vnpy_sym: Optional[Callable[[str, str], str]] = None,
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preserve_positions_if_margin: float = 0.0,
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) -> None:
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"""全量校准：以 vnpy 内存为准重建订单/持仓簿。"""
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self.begin_sync()
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new_orders: dict[str, dict[str, Any]] = {}
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for o in orders or []:
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oid = str(o.get("order_id") or o.get("vt_order_id") or "").strip()
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if oid:
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new_orders[oid] = dict(o)
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new_positions: dict[str, dict[str, Any]] = {}
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for p in positions or []:
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lots = int(p.get("lots") or 0)
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if lots <= 0:
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continue
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ex = p.get("exchange") or ""
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sym = p.get("symbol") or ""
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direction = p.get("direction") or "long"
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pk = position_key(ex, sym, direction)
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row = dict(p)
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row["position_key"] = pk
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old = self._positions.get(pk)
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tick = self.get_tick_price(ex, sym)
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ths = sym
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if ths_for_vnpy_sym:
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try:
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ths = ths_for_vnpy_sym(sym, ex) or sym
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except Exception:
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ths = sym
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new_positions[pk] = reconcile_position_avg(
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old, row, tick, trades=trades, ths_sym=ths,
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)
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if not new_positions and self._positions and preserve_positions_if_margin > 0:
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with self._lock:
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new_positions = {k: dict(v) for k, v in self._positions.items()}
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with self._lock:
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self._orders = new_orders
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self._positions = new_positions
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self.finish_sync()
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self._notify()
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trading_state = CtpTradingState()
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