dekun
4ef33a367f
Resolve CZCE/DCE symbols to the correct exchange for orders, dedupe stop-loss closes and trade logs, and rely on CTP sync for authoritative records. Co-authored-by: Cursor <cursoragent@cursor.com>
120 lines
4.0 KiB
Python
120 lines
4.0 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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# 严禁用于：带单/代客理财、向他人推荐期货品种或买卖建议、融资配资等业务。
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# 详见 LICENSE.zh-CN.txt 与 docs/软件购买与使用协议.md
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"""交易记录：字段补全、资金曲线数据。"""
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from __future__ import annotations
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from typing import Any
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TRADE_LOG_EXTRA_COLUMNS = (
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"ALTER TABLE trade_logs ADD COLUMN margin_pct REAL",
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"ALTER TABLE trade_logs ADD COLUMN equity_after REAL",
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"ALTER TABLE trade_logs ADD COLUMN source TEXT DEFAULT 'local'",
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"ALTER TABLE trade_logs ADD COLUMN ctp_trade_key TEXT",
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)
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def ensure_trade_log_columns(conn) -> None:
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for sql in TRADE_LOG_EXTRA_COLUMNS:
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try:
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conn.execute(sql)
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except Exception:
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pass
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def calc_equity_after(capital: float, pnl_net: float) -> float | None:
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cap = float(capital or 0)
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if cap <= 0:
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return None
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return round(cap + float(pnl_net or 0), 2)
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def _norm_symbol(symbol: str) -> str:
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return (symbol or "").split(".")[0].strip().lower()
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def _norm_close_minute(ts: str) -> str:
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"""统一 close_time 到分钟粒度，兼容 ISO `T` 与空格分隔。"""
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return (ts or "").strip().replace("T", " ")[:16]
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def purge_duplicate_local_trade_logs(conn) -> int:
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"""删除已被 CTP 柜台记录覆盖的本地重复成交。"""
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removed = 0
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ctp_rows = [
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dict(r)
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for r in conn.execute("SELECT * FROM trade_logs WHERE source='ctp'").fetchall()
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]
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local_rows = [
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dict(r)
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for r in conn.execute(
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"""SELECT * FROM trade_logs
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WHERE COALESCE(source, 'local') != 'ctp'
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AND (ctp_trade_key IS NULL OR ctp_trade_key = '')"""
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).fetchall()
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]
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for ctp in ctp_rows:
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ct16 = _norm_close_minute(ctp.get("close_time") or "")
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sym_n = _norm_symbol(ctp.get("symbol") or "")
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lots = float(ctp.get("lots") or 0)
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direction = (ctp.get("direction") or "long").strip().lower()
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for loc in local_rows:
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if loc.get("id") == ctp.get("id"):
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continue
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if _norm_symbol(loc.get("symbol") or "") != sym_n:
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continue
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if (loc.get("direction") or "long").strip().lower() != direction:
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continue
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if _norm_close_minute(loc.get("close_time") or "") != ct16:
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continue
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if abs(float(loc.get("lots") or 0) - lots) > 0.01:
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continue
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conn.execute("DELETE FROM trade_logs WHERE id=?", (loc["id"],))
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removed += 1
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return removed
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def enrich_trades_for_records(
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trades: list[dict[str, Any]],
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*,
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initial_capital: float = 0.0,
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) -> tuple[list[dict[str, Any]], list[dict[str, Any]]]:
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"""表格仍按 id 降序；资金曲线按平仓时间升序用最新资金绘制。"""
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rows = [dict(t) for t in trades]
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chrono = sorted(
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rows,
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key=lambda t: ((t.get("close_time") or ""), int(t.get("id") or 0)),
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)
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running = float(initial_capital or 0)
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curve: list[dict[str, Any]] = []
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for t in chrono:
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pnl_net = float(t.get("pnl_net") or 0)
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eq = t.get("equity_after")
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if eq is None:
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if running > 0:
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eq = round(running + pnl_net, 2)
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else:
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eq = None
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t["equity_after"] = eq
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if eq is not None:
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running = float(eq)
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if t.get("margin_pct") is None:
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margin = float(t.get("margin") or 0)
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cap_before = float(eq or 0) - pnl_net if eq is not None else 0.0
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if margin > 0 and cap_before > 0:
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t["margin_pct"] = round(margin / cap_before * 100, 2)
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if eq is not None:
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curve.append({
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"time": (t.get("close_time") or "")[:19],
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"value": float(eq),
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"id": int(t.get("id") or 0),
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})
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return rows, curve
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