diff --git a/application/execution_service.py b/application/execution_service.py index 5d1c59e..be46b21 100644 --- a/application/execution_service.py +++ b/application/execution_service.py @@ -6,6 +6,8 @@ import json import tempfile import time +from collections.abc import Mapping +from dataclasses import dataclass from datetime import datetime from pathlib import Path from typing import Any @@ -42,14 +44,22 @@ def should_sell_cash_sweep_to_fund_whole_share_buy( return False try: from quant_platform_kit.common.small_account_compatibility import ( - project_unbuyable_value_targets_to_cash, + apply_small_account_cash_compatibility, + format_small_account_cash_substitution_notes, ) except ImportError: # pragma: no cover - compatibility with older pinned shared wheels - def project_unbuyable_value_targets_to_cash( + @dataclass(frozen=True) + class _SmallAccountCashCompatibilityResult: + targets: dict[str, float] + whole_share_substituted_symbols: tuple[str, ...] + safe_haven_cash_substituted_symbols: tuple[str, ...] + cash_substitution_notes: tuple[dict[str, Any], ...] + + def _project_unbuyable_value_targets_to_cash( target_values, prices, *, - symbols=None, + candidate_symbols=None, quantity_step=1.0, ): adjusted = { @@ -59,23 +69,140 @@ def project_unbuyable_value_targets_to_cash( step = max(0.0, float(quantity_step or 0.0)) if step <= 0.0: return adjusted, () - candidate_symbols = ( + normalized_candidates = ( tuple(adjusted) - if symbols is None - else tuple(dict.fromkeys(str(symbol or "").strip().upper() for symbol in symbols)) + if candidate_symbols is None + else tuple(dict.fromkeys(str(symbol or "").strip().upper() for symbol in candidate_symbols)) ) normalized_prices = { str(symbol or "").strip().upper(): float(price or 0.0) for symbol, price in dict(prices or {}).items() } substituted = [] - for symbol in candidate_symbols: + for symbol in normalized_candidates: target_value = max(0.0, float(adjusted.get(symbol, 0.0) or 0.0)) price = max(0.0, float(normalized_prices.get(symbol, 0.0) or 0.0)) if price > 0.0 and 0.0 < target_value < (price * step): adjusted[symbol] = 0.0 substituted.append(symbol) return adjusted, tuple(dict.fromkeys(substituted)) + + def apply_small_account_cash_compatibility( + target_values, + prices, + *, + candidate_symbols=None, + safe_haven_cash_symbols=(), + quantity_step=1.0, + cash_substitute_limit_usd=2000.0, + ): + adjusted_targets, substituted = _project_unbuyable_value_targets_to_cash( + target_values, + prices, + candidate_symbols=candidate_symbols, + quantity_step=quantity_step, + ) + normalized_candidates = ( + tuple(adjusted_targets) + if candidate_symbols is None + else tuple(dict.fromkeys(str(symbol or "").strip().upper() for symbol in candidate_symbols)) + ) + remaining_non_safe_targets = [ + symbol + for symbol in normalized_candidates + if float(adjusted_targets.get(str(symbol or "").strip().upper(), 0.0) or 0.0) > 0.0 + ] + safe_haven_symbols = tuple( + dict.fromkeys( + str(symbol or "").strip().upper() + for symbol in safe_haven_cash_symbols + if str(symbol or "").strip() + ) + ) + safe_haven_substituted = [] + if ( + substituted + and not remaining_non_safe_targets + and _positive_target_total(adjusted_targets) <= max(0.0, float(cash_substitute_limit_usd or 0.0)) + ): + for symbol in safe_haven_symbols: + if float(adjusted_targets.get(symbol, 0.0) or 0.0) > 0.0: + adjusted_targets[symbol] = 0.0 + safe_haven_substituted.append(symbol) + normalized_targets = { + str(symbol or "").strip().upper(): float(value or 0.0) + for symbol, value in dict(target_values or {}).items() + } + normalized_prices = { + str(symbol or "").strip().upper(): float(price or 0.0) + for symbol, price in dict(prices or {}).items() + } + notes = [] + if safe_haven_substituted: + for symbol in substituted: + target_value = max(0.0, float(normalized_targets.get(symbol, 0.0) or 0.0)) + price = max(0.0, float(normalized_prices.get(symbol, 0.0) or 0.0)) + if target_value <= 0.0 or price <= 0.0: + continue + notes.append( + { + "symbol": symbol, + "target_value": target_value, + "price": price, + "cash_symbols": tuple(safe_haven_substituted), + } + ) + return _SmallAccountCashCompatibilityResult( + targets=adjusted_targets, + whole_share_substituted_symbols=substituted, + safe_haven_cash_substituted_symbols=tuple(safe_haven_substituted), + cash_substitution_notes=tuple(notes), + ) + + def format_small_account_cash_substitution_notes( + notes, + *, + translator, + wrapper_key="buy_deferred", + detail_key="buy_deferred_small_account_cash_substitution", + cash_label_key="cash_label", + symbol_suffix=".US", + ): + messages = [] + seen_keys = set() + for note in tuple(notes or ()): + if not isinstance(note, Mapping): + continue + symbol = str(note.get("symbol") or "").strip().upper() + if not symbol: + continue + target_value = max(0.0, float(note.get("target_value") or 0.0)) + price = max(0.0, float(note.get("price") or 0.0)) + if target_value <= 0.0 or price <= 0.0: + continue + cash_symbols = tuple( + dict.fromkeys( + str(cash_symbol or "").strip().upper() + for cash_symbol in tuple(note.get("cash_symbols") or ()) + if str(cash_symbol or "").strip() + ) + ) + cash_symbols_text = ", ".join(f"{cash_symbol}{symbol_suffix}" for cash_symbol in cash_symbols) + if not cash_symbols_text: + cash_symbols_text = translator(cash_label_key) + note_key = (symbol, f"{target_value:.2f}", cash_symbols_text) + if note_key in seen_keys: + continue + seen_keys.add(note_key) + detail = translator( + detail_key, + symbol=f"{symbol}{symbol_suffix}", + diff=f"{target_value:.2f}", + price=f"{price:.2f}", + cash_symbols=cash_symbols_text, + ) + messages.append(translator(wrapper_key, detail=detail)) + return tuple(messages) from quant_platform_kit.common.quantity import ( floor_to_quantity_step, format_quantity, @@ -663,6 +790,7 @@ def execute_rebalance( "safe_haven_cash_substituted_symbols": [], "small_account_whole_share_substituted_symbols": [], "small_account_safe_haven_cash_substituted_symbols": [], + "small_account_whole_share_cash_notes": [], "residual_cash_estimate": float(account_values.get("buying_power", 0.0) or 0.0), "current_stock_weight": 0.0, "current_safe_haven_weight": 0.0, @@ -750,31 +878,23 @@ def execute_rebalance( for symbol in target_mv if str(symbol or "").strip().upper() not in safe_haven_symbols ) - target_mv, small_account_substituted_symbols = project_unbuyable_value_targets_to_cash( + small_account_compatibility = apply_small_account_cash_compatibility( target_mv, prices, - symbols=small_account_candidate_symbols, + candidate_symbols=small_account_candidate_symbols, + safe_haven_cash_symbols=safe_haven_symbols, quantity_step=order_quantity_step, + cash_substitute_limit_usd=SMALL_ACCOUNT_SAFE_HAVEN_CASH_SUBSTITUTE_LIMIT_USD, ) + target_mv = small_account_compatibility.targets + small_account_substituted_symbols = small_account_compatibility.whole_share_substituted_symbols for symbol in small_account_substituted_symbols: target_weights[symbol] = 0.0 - remaining_non_safe_targets = [ - symbol - for symbol in small_account_candidate_symbols - if float(target_mv.get(str(symbol or "").strip().upper(), 0.0) or 0.0) > 0.0 - ] - small_account_safe_haven_cash_substituted_symbols: list[str] = [] - if ( - small_account_substituted_symbols - and not remaining_non_safe_targets - and _positive_target_total(target_mv) <= SMALL_ACCOUNT_SAFE_HAVEN_CASH_SUBSTITUTE_LIMIT_USD - ): - for symbol in safe_haven_symbols: - normalized_symbol = str(symbol or "").strip().upper() - if float(target_mv.get(normalized_symbol, 0.0) or 0.0) > 0.0: - target_mv[normalized_symbol] = 0.0 - target_weights[normalized_symbol] = 0.0 - small_account_safe_haven_cash_substituted_symbols.append(normalized_symbol) + small_account_safe_haven_cash_substituted_symbols = list( + small_account_compatibility.safe_haven_cash_substituted_symbols + ) + for symbol in small_account_safe_haven_cash_substituted_symbols: + target_weights[symbol] = 0.0 if safe_haven_symbols: execution_summary["realized_safe_haven_weight"] = float( sum( @@ -788,7 +908,16 @@ def execute_rebalance( execution_summary["small_account_safe_haven_cash_substituted_symbols"] = ( small_account_safe_haven_cash_substituted_symbols ) + execution_summary["small_account_whole_share_cash_notes"] = list( + small_account_compatibility.cash_substitution_notes + ) trade_logs = [] + trade_logs.extend( + format_small_account_cash_substitution_notes( + small_account_compatibility.cash_substitution_notes, + translator=translator, + ) + ) target_hash = _build_target_hash(target_weights) execution_summary["target_vs_current"] = _build_target_diff_rows(target_weights, current_mv, equity) if equity > 0: diff --git a/notifications/telegram.py b/notifications/telegram.py index dfec723..fd754b0 100644 --- a/notifications/telegram.py +++ b/notifications/telegram.py @@ -17,6 +17,7 @@ "buying_power": "购买力", "reserved_cash": "预留现金", "investable_cash": "可投资现金", + "cash_label": "现金", "empty_positions": " (空仓)", "empty_target_weights": " (无目标持仓)", "account_summary_title": "📊 账户摘要", @@ -40,6 +41,8 @@ "price_fallback_prices": "📌 执行估价: 使用最近收盘价 {count}个标的 ({symbols})", "target_diff_summary": "调仓变化: {details}", "no_order_plan_reason": "未下单: {reason}", + "buy_deferred": "ℹ️ [买入说明] {detail}", + "buy_deferred_small_account_cash_substitution": "{symbol} 目标金额 ${diff} 低于 1 股价格 ${price}；为避免超过目标仓位，小账户本轮保留现金，不回补 {cash_symbols}", "trade_date_detail": "交易日={value}", "target_diff": "目标差异 {symbol}: 当前={current} 目标={target} 变化={delta}", "pending_orders_detected": "检测到未完成订单: 策略={profile} 标的={symbols}", @@ -151,6 +154,7 @@ "buying_power": "Buying Power", "reserved_cash": "Reserved Cash", "investable_cash": "Investable Cash", + "cash_label": "Cash", "empty_positions": " (No positions)", "empty_target_weights": " (No target positions)", "account_summary_title": "📊 Account Summary", @@ -174,6 +178,8 @@ "price_fallback_prices": "📌 execution pricing: recent close for {count} symbols ({symbols})", "target_diff_summary": "Target changes: {details}", "no_order_plan_reason": "No order submitted: {reason}", + "buy_deferred": "ℹ️ [Buy note] {detail}", + "buy_deferred_small_account_cash_substitution": "{symbol} target ${diff} is below the 1-share price ${price}; to avoid exceeding the target allocation, this small account keeps cash this cycle and does not rebuy {cash_symbols}", "trade_date_detail": "trade_date={value}", "target_diff": "target_diff {symbol}: current={current} target={target} delta={delta}", "pending_orders_detected": "pending_orders_detected profile={profile} symbols={symbols}", diff --git a/requirements.txt b/requirements.txt index 4c9d340..c72a108 100644 --- a/requirements.txt +++ b/requirements.txt @@ -1,7 +1,7 @@ flask gunicorn -quant-platform-kit @ git+https://github.com/QuantStrategyLab/QuantPlatformKit.git@190edb21c5fe0c8e0efba66bfd8bacfdd00b3f77 -us-equity-strategies @ git+https://github.com/QuantStrategyLab/UsEquityStrategies.git@ead0c075f5b47ec1d05d3a45cfcdda58217fe086 +quant-platform-kit @ git+https://github.com/QuantStrategyLab/QuantPlatformKit.git@ceb84a366ed1bf9a53292ff2c73e06b4baac05e2 +us-equity-strategies @ git+https://github.com/QuantStrategyLab/UsEquityStrategies.git@f2ebae8aacd8c70292c5b6115a80c6657e64ad1f pandas numpy requests diff --git a/tests/test_execution_service.py b/tests/test_execution_service.py index b698daa..2766754 100644 --- a/tests/test_execution_service.py +++ b/tests/test_execution_service.py @@ -55,6 +55,12 @@ def translate(key, **kwargs): "dry_run_snapshot_prices": "dry_run_snapshot_prices count={count} symbols={symbols}", "price_fallback_prices": "price_fallback_prices count={count} symbols={symbols}", "no_equity": "❌ No equity", + "cash_label": "现金", + "buy_deferred": "ℹ️ [买入说明] {detail}", + "buy_deferred_small_account_cash_substitution": ( + "{symbol} 目标金额 ${diff} 低于 1 股价格 ${price}；" + "为避免超过目标仓位，小账户本轮保留现金，不回补 {cash_symbols}" + ), } template = templates[key] return template.format(**kwargs) if kwargs else template @@ -238,7 +244,7 @@ def accountValues(self): submitted = [] monkeypatch.setattr("application.execution_service.time.sleep", lambda _seconds: None) - _trade_logs, summary = execute_rebalance( + trade_logs, summary = execute_rebalance( FakeIB(), {}, {}, @@ -273,6 +279,13 @@ def accountValues(self): assert submitted == [] assert summary["small_account_whole_share_substituted_symbols"] == ["SOXX"] assert summary["small_account_safe_haven_cash_substituted_symbols"] == ["BOXX"] + assert len(summary["small_account_whole_share_cash_notes"]) == 1 + cash_note = summary["small_account_whole_share_cash_notes"][0] + assert cash_note["symbol"] == "SOXX" + assert round(cash_note["target_value"], 3) == 188.277 + assert cash_note["price"] == 525.0 + assert cash_note["cash_symbols"] == ("BOXX",) + assert any("SOXX.US 目标金额 $188.28 低于 1 股价格 $525.00" in log for log in trade_logs) assert summary["realized_safe_haven_weight"] == 0.0 boxx_row = next(row for row in summary["target_vs_current"] if row["symbol"] == "BOXX") assert boxx_row["target_weight"] == 0.0