dekun
296 lines
10 KiB
Python
296 lines
10 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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"""从 CTP 柜台同步成交，写入 trade_logs（以交易所成交为准）。"""
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from __future__ import annotations
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import logging
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from collections import defaultdict
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from datetime import datetime
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from typing import Any, Callable, Optional
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from zoneinfo import ZoneInfo
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from contract_specs import calc_position_metrics
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from ctp_symbol import ths_to_vnpy_symbol
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from fee_specs import calc_round_trip_fee
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from symbols import ths_to_codes
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from trade_log_lib import calc_equity_after, ensure_trade_log_columns
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from vnpy_bridge import ctp_list_trades, ctp_status
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logger = logging.getLogger(__name__)
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TZ = ZoneInfo("Asia/Shanghai")
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def _match_symbol(ctp_sym: str, ths: str) -> bool:
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a = (ctp_sym or "").lower()
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b = (ths or "").lower()
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if a == b:
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return True
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if a and b and a.split(".")[0] == b.split(".")[0]:
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return True
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try:
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vnpy_sym, _ = ths_to_vnpy_symbol(ths)
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if a == vnpy_sym.lower():
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return True
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except Exception:
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pass
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return False
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def _to_ths_code(symbol: str) -> str:
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sym = (symbol or "").strip()
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if not sym:
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return ""
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codes = ths_to_codes(sym)
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if codes:
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return codes.get("ths_code") or sym
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return sym.lower()
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def _allocate_commission(total_comm: float, matched: int, total_lots: int) -> float:
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if total_comm <= 0 or matched <= 0 or total_lots <= 0:
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return 0.0
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return round(total_comm * matched / total_lots, 2)
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def build_round_trips(trades: list[dict[str, Any]]) -> list[dict[str, Any]]:
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"""按 FIFO 将开/平仓成交配对为完整回合。"""
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stacks: dict[tuple[str, str], list[dict[str, Any]]] = defaultdict(list)
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trips: list[dict[str, Any]] = []
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ordered = sorted(
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trades,
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key=lambda t: ((t.get("datetime") or ""), str(t.get("trade_id") or "")),
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)
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for t in ordered:
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sym = (t.get("symbol") or "").lower()
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pos_dir = (t.get("position_direction") or "long").strip().lower()
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offset = (t.get("offset") or "open").strip().lower()
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lots = int(t.get("lots") or 0)
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if not sym or lots <= 0:
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continue
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key = (sym, pos_dir)
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if offset == "open":
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stacks[key].append({
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**t,
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"remaining": lots,
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"commission_remaining": float(t.get("commission") or 0),
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})
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continue
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close_lots_total = lots
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close_lots_left = lots
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close_price = float(t.get("price") or 0)
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close_time = t.get("datetime") or ""
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close_trade_id = str(t.get("trade_id") or "")
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close_comm_total = float(t.get("commission") or 0)
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while close_lots_left > 0 and stacks[key]:
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open_t = stacks[key][0]
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open_rem = int(open_t.get("remaining") or 0)
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matched = min(close_lots_left, open_rem)
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if matched <= 0:
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stacks[key].pop(0)
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continue
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open_comm_rem = float(open_t.get("commission_remaining") or 0)
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open_comm_share = (
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_allocate_commission(open_comm_rem, matched, open_rem)
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if open_rem > 0 else 0.0
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)
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close_comm_share = _allocate_commission(
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close_comm_total, matched, close_lots_total,
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)
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open_t["remaining"] = open_rem - matched
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open_t["commission_remaining"] = round(
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max(0.0, open_comm_rem - open_comm_share), 2,
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)
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if open_t["remaining"] <= 0:
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stacks[key].pop(0)
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close_lots_left -= matched
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open_trade_id = str(open_t.get("trade_id") or "")
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ctp_key = f"{open_trade_id}|{close_trade_id}|{sym}|{pos_dir}|{matched}"
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trip_fee = round(open_comm_share + close_comm_share, 2)
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trips.append({
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"ctp_trade_key": ctp_key,
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"symbol": sym,
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"ths_code": _to_ths_code(sym),
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"direction": pos_dir,
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"lots": matched,
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"entry_price": float(open_t.get("price") or 0),
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"close_price": close_price,
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"open_time": open_t.get("datetime") or "",
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"close_time": close_time,
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"open_trade_id": open_trade_id,
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"close_trade_id": close_trade_id,
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"fee": trip_fee,
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"fee_from_ctp": trip_fee > 0,
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})
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return trips
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def _find_monitor_meta(
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conn,
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*,
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symbol: str,
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direction: str,
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open_time: str,
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match_symbol_fn: Callable[[str, str], bool] | None = None,
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) -> dict[str, Any]:
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match = match_symbol_fn or _match_symbol
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direction = (direction or "long").strip().lower()
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best: Optional[dict[str, Any]] = None
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for r in conn.execute(
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"SELECT * FROM trade_order_monitors ORDER BY id DESC LIMIT 200"
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).fetchall():
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row = dict(r)
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if (row.get("direction") or "long").strip().lower() != direction:
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continue
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if not match(symbol, row.get("symbol") or ""):
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continue
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if best is None:
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best = row
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continue
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ot = (row.get("open_time") or "").strip()
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if open_time and ot and abs(len(ot) - len(open_time)) <= 2 and ot[:16] == open_time[:16]:
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return row
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return best or {}
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def _holding_minutes(open_time: str, close_time: str) -> int:
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try:
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from app import holding_to_minutes
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return int(holding_to_minutes(open_time, close_time) or 0)
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except Exception:
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return 0
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def sync_trade_logs_from_ctp(
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conn,
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mode: str,
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*,
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capital: float = 0.0,
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trading_mode: str = "simulation",
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) -> dict[str, Any]:
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"""查询 CTP 成交并 upsert 到 trade_logs。返回同步摘要。"""
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stats = {"synced": 0, "updated": 0, "skipped": 0, "connected": False}
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if not ctp_status(mode).get("connected"):
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return stats
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stats["connected"] = True
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ensure_trade_log_columns(conn)
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try:
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conn.execute("ALTER TABLE trade_logs ADD COLUMN source TEXT DEFAULT 'local'")
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except Exception:
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pass
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try:
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conn.execute("ALTER TABLE trade_logs ADD COLUMN ctp_trade_key TEXT")
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except Exception:
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pass
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trades = ctp_list_trades(mode, refresh=True)
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trips = build_round_trips(trades)
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for trip in trips:
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key = trip.get("ctp_trade_key") or ""
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if not key:
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stats["skipped"] += 1
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continue
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existing = conn.execute(
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"SELECT id FROM trade_logs WHERE ctp_trade_key=?",
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(key,),
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).fetchone()
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ths = trip.get("ths_code") or trip.get("symbol") or ""
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codes = ths_to_codes(ths) or {}
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direction = trip.get("direction") or "long"
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entry = float(trip.get("entry_price") or 0)
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close_px = float(trip.get("close_price") or 0)
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lots = float(trip.get("lots") or 0)
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open_time = trip.get("open_time") or ""
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close_time = trip.get("close_time") or datetime.now(TZ).strftime("%Y-%m-%dT%H:%M")
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mon = _find_monitor_meta(
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conn,
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symbol=trip.get("symbol") or ths,
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direction=direction,
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open_time=open_time,
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)
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sl = mon.get("stop_loss")
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tp = mon.get("take_profit")
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try:
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sl_f = float(sl) if sl is not None else entry
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tp_f = float(tp) if tp is not None else entry
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except (TypeError, ValueError):
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sl_f, tp_f = entry, entry
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metrics = calc_position_metrics(
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direction, entry, sl_f, tp_f, lots, close_px, capital, ths,
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)
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pnl = float(metrics.get("float_pnl") or 0)
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trip_fee = float(trip.get("fee") or 0)
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if trip_fee > 0:
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fee = round(trip_fee, 2)
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else:
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fee = calc_round_trip_fee(
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ths, entry, close_px, lots, open_time, close_time, trading_mode=trading_mode,
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)
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pnl_net = round(pnl - fee, 2)
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margin_pct = metrics.get("position_pct")
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equity_after = calc_equity_after(capital, pnl_net)
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minutes = _holding_minutes(open_time, close_time)
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result = "CTP同步"
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monitor_type = mon.get("monitor_type") or "CTP同步"
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row_vals = (
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ths,
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codes.get("name") or mon.get("symbol_name") or ths,
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codes.get("market_code") or mon.get("market_code") or "",
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codes.get("sina_code") or mon.get("sina_code") or "",
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monitor_type,
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direction,
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entry,
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sl if sl is not None else None,
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tp if tp is not None else None,
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close_px,
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lots,
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metrics.get("margin"),
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margin_pct,
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minutes,
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open_time,
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close_time,
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pnl,
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fee,
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pnl_net,
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equity_after,
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result,
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)
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if existing:
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conn.execute(
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"""UPDATE trade_logs SET
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symbol=?, symbol_name=?, market_code=?, sina_code=?, monitor_type=?,
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direction=?, entry_price=?, stop_loss=?, take_profit=?, close_price=?,
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lots=?, margin=?, margin_pct=?, holding_minutes=?, open_time=?, close_time=?,
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pnl=?, fee=?, pnl_net=?, equity_after=?, result=?, source='ctp', verified=1
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WHERE ctp_trade_key=?""",
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row_vals + (key,),
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)
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stats["updated"] += 1
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else:
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conn.execute(
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"""INSERT INTO trade_logs
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(symbol, symbol_name, market_code, sina_code, monitor_type, direction,
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entry_price, stop_loss, take_profit, close_price, lots, margin,
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margin_pct, holding_minutes, open_time, close_time, pnl, fee, pnl_net,
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equity_after, result, source, ctp_trade_key, verified)
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VALUES (?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?,?)""",
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row_vals + ("ctp", key, 1),
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)
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stats["synced"] += 1
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if stats["synced"] or stats["updated"]:
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try:
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from stats_engine import refresh_stats_cache
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refresh_stats_cache(conn, capital)
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except Exception as exc:
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logger.debug("stats refresh after ctp trade sync: %s", exc)
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return stats
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