easyquant/task/check_positions_stop_loss_task.py

from typing import Any

from kit.kit import DataHelper
from strategy import trade_strategy
from task.base_task import base_task


class check_positions_stop_loss_task(base_task):

    def __init__(self, strategy: trade_strategy):
        super().__init__(strategy)

    def config(self, context: Any):

        self.stoploss_switch = self.get_config('stoploss_switch')  # 是否启用止损策略
        self.hold_list = self.strategy.state.data['position_list']  # 持仓列表
        self.today_trade_switch = self.get_config('today_trade_switch')  # 今日交易开关
        self.stoploss_strategy = self.get_config('stoploss_strategy')  # 止损策略
        self.stoploss_stock_rate_data = self.get_config('stoploss_stock_rate_data')  # 个股止损阀值
        self.stoploss_market_rate_data = self.get_config('stoploss_market_rate_data')  # 市场止损阀值
        # self.reason_to_sell = self.strategy.state.get_sell_reason()  # 卖出原因
        self.index_stocks = self.get_config('index_stocks')  # 指数代码
        self.temp_sells_list = {}

    def run(self, context: Any):
        if len(self.hold_list) == 0:
            self.log.debug("当前无持仓，跳过止损检查。")
            return

        if self.stoploss_switch and self.today_trade_switch:
            if self.stoploss_strategy == 1 or self.stoploss_strategy == 3:
                # 个股止盈或止损判断
                for stock in list(context.portfolio.positions.keys()):
                    pos = context.portfolio.positions[stock]
                    if pos.price >= pos.avg_cost * 2:
                        # 通过持仓监控器注册卖出请求，而不是直接卖出
                        # self.strategy.state.set_sell_request(stock, pos, 'take_profit')
                        self.sell_request(stock, pos, 'take_profit')
                        self.log.debug(f"股票 {stock} 实现100%盈利，执行止盈卖出。")
                    elif pos.price < pos.avg_cost * self.stoploss_stock_rate_data:
                        # 通过持仓监控器注册卖出请求，而不是直接卖出
                        self.strategy.state.set_sell_request(stock, pos, 'stop_loss')
                        self.sell_request(stock, pos, 'take_profit')
                        self.log.debug(f"股票 {stock} 触及止损阈值，执行卖出。")
                        # self.strategy.state.set_sell_reason("stoploss")

            if self.stoploss_strategy == 2 or self.stoploss_strategy == 3:
                # 大盘止损判断，若整体市场跌幅过大则平仓所有股票
                stock_list = DataHelper.get_index_stocks(self.index_stocks)
                df = DataHelper.get_price_safe(
                    stock_list,
                    end_date=context.previous_date,
                    frequency='daily',
                    fields=['close', 'open'],
                    count=1,
                    panel=False
                )
                if df is not None and not df.empty:
                    down_ratio = (df['close'] / df['open']).mean()
                    if down_ratio <= self.stoploss_market_rate_data:
                        # self.strategy.state.set_sell_reason("stoploss")
                        self.log.debug(f"市场检测到跌幅（平均跌幅 {down_ratio:.2%}），卖出所有持仓。")
                        for stock in list(context.portfolio.positions.keys()):
                            pos = context.portfolio.positions[stock]
                            # 通过持仓监控器注册卖出请求，而不是直接卖出
                            self.sell_request(stock, pos, 'market_stop_loss')

    def handle(self, context: Any):
        # 保存状态
        for key, value in self.temp_sells_list.items():
            stock, reason = key.split('_')
            self.strategy.state.set_sell_request(stock, value, reason)
        pass

    def end(self, context: Any):
        self.log.info("-----------------")
        self.log.info("止损策略开关:{}".format("启用" if self.stoploss_switch else "不启用"))
        self.log.info("今日交易开关:{}".format("交易" if self.today_trade_switch else "不交易"))
        self.log.info("止损策略方式:{}".format("个股止损" if self.stoploss_strategy == 1 else "大盘止损" if self.stoploss_strategy == 2 else "联合止损" if
        self.stoploss_strategy == 3 else "异常"))
        self.log.info("当前卖出请求")
        for key, value in self.temp_sells_list.items():
            self.log.info(f"  {key}: {value}")

        # 总卖出请求
        sells_list = self.strategy.state.get_sell_requests()
        if len(sells_list) > 0:
            self.log.info("总卖出请求:")
            for stock, data in sells_list.items():
                self.log.info(f"  {stock}: {data}")
        pass

    def sell_request(self, stock, data, reason):
        self.temp_sells_list[f"{stock}_{reason}"] = data