78 lines
2.8 KiB
Python
78 lines
2.8 KiB
Python
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from __future__ import annotations
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from dataclasses import replace
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from datetime import date
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from decimal import Decimal
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from grid_trading.domain.calculations import money, price
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from grid_trading.domain.models import OpenGridLot, Trade, TradeGroup, TradeSide
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def calculate_open_grid_lots(
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trades: list[Trade],
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*,
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spacing: Decimal,
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current_price: Decimal | None,
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as_of: date,
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) -> list[OpenGridLot]:
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if spacing <= 0 or spacing >= 1:
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raise ValueError("网格间距必须大于 0 且小于 100%")
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lots: list[OpenGridLot] = []
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for trade in sorted(trades, key=lambda item: (item.trade_date, item.id or 0)):
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if trade.trade_date > as_of or trade.trade_group is not TradeGroup.GRID:
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continue
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if trade.side is TradeSide.BUY:
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buy_price = price(trade.price)
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suggested_sell_price = price(buy_price * (Decimal("1") + spacing))
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lots.append(
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OpenGridLot(
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buy_trade_id=trade.id,
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buy_date=trade.trade_date,
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buy_price=buy_price,
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remaining_quantity=trade.quantity,
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actual_investment=money(buy_price * Decimal(trade.quantity)),
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suggested_sell_price=suggested_sell_price,
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estimated_gross_profit=money(
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(suggested_sell_price - buy_price) * Decimal(trade.quantity)
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),
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current_price=current_price,
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status=_status(current_price, suggested_sell_price),
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)
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)
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else:
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lots = _match_sell_against_lots(lots, trade.quantity)
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return lots
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def _match_sell_against_lots(lots: list[OpenGridLot], quantity: int) -> list[OpenGridLot]:
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remaining_sell_quantity = quantity
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updated_lots: list[OpenGridLot] = []
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for lot in lots:
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if remaining_sell_quantity <= 0:
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updated_lots.append(lot)
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continue
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matched_quantity = min(lot.remaining_quantity, remaining_sell_quantity)
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remaining_sell_quantity -= matched_quantity
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remaining_quantity = lot.remaining_quantity - matched_quantity
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if remaining_quantity > 0:
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updated_lots.append(_with_remaining_quantity(lot, remaining_quantity))
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return updated_lots
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def _with_remaining_quantity(lot: OpenGridLot, quantity: int) -> OpenGridLot:
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return replace(
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lot,
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remaining_quantity=quantity,
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actual_investment=money(lot.buy_price * Decimal(quantity)),
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estimated_gross_profit=money((lot.suggested_sell_price - lot.buy_price) * Decimal(quantity)),
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)
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def _status(current_price: Decimal | None, suggested_sell_price: Decimal) -> str:
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if current_price is None:
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return "未刷新行情"
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if current_price >= suggested_sell_price:
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return "可卖"
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return "未到价"
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