152 lines
5.3 KiB
Python
152 lines
5.3 KiB
Python
#!/usr/bin/env python
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"""Daily trade report: today's fills + realized P&L from the trade ledger.
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Usage:
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.venv/bin/python daily_report.py [YYYY-MM-DD]
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./report.sh [YYYY-MM-DD]
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Data source: trades.jsonl (append-only ledger written by PositionTracker).
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P&L method: FIFO per (strategy, symbol). Current open lots shown at the end;
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if the IB Gateway is reachable, live market values are included (read-only).
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"""
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import json
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import os
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import sys
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from collections import defaultdict, deque
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from datetime import date
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from pathlib import Path
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LEDGER = Path(os.environ.get("TRADES_LEDGER", Path(__file__).resolve().parent / "trades.jsonl"))
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STRATEGY_SHORT = {
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"MAStockStrategy": "MAStock",
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"ShortTermMAVWAPStrategy": "ShortTerm",
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"MeanReversionStrategy": "MeanRev",
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"ForexMAStrategy": "Forex",
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}
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def short(name: str) -> str:
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return STRATEGY_SHORT.get(name, name[:12])
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def load_and_replay():
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"""Replay the whole ledger; return (today fills, realized maps, open lots)."""
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lots = defaultdict(deque) # (strategy, symbol) -> deque([qty, price])
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fills_today = [] # display rows for the requested day
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realized_sym = defaultdict(float)
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realized_strat = defaultdict(float)
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unknown_cost = 0.0
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day = sys.argv[1] if len(sys.argv) > 1 else date.today().isoformat()
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for line in LEDGER.read_text().splitlines():
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if not line.strip():
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continue
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r = json.loads(line)
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key = (r["strategy"], r["symbol"])
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ts_day, ts_time = r["ts"][:10], r["ts"][11:19]
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if r["type"] in ("seed", "buy"):
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lots[key].append([r["qty"], r["price"]])
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if r["type"] == "buy" and ts_day == day:
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fills_today.append((ts_time, r["strategy"], r["symbol"], "BUY", r["qty"], r["price"], None))
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elif r["type"] in ("sell", "sell_external"):
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pnl = 0.0
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remain = r["qty"]
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dq = lots[key]
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while remain > 1e-9 and dq:
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take = min(dq[0][0], remain)
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pnl += (r["price"] - dq[0][1]) * take
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dq[0][0] -= take
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remain -= take
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if dq[0][0] <= 1e-9:
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dq.popleft()
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if remain > 1e-9:
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pnl = None # cost basis unknown (lot predates the ledger)
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if ts_day == day:
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action = "SELL*" if r.get("est") else "SELL"
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fills_today.append((ts_time, r["strategy"], r["symbol"], action, r["qty"], r["price"], pnl))
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if pnl is not None:
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realized_sym[r["symbol"]] += pnl
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realized_strat[r["strategy"]] += pnl
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else:
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unknown_cost += r["qty"]
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return day, fills_today, realized_sym, realized_strat, lots, unknown_cost
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def live_positions():
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"""Read-only: current positions + market values from IB. None if unreachable."""
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try:
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import asyncio
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from ib_insync import IB
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from config import config as cfg
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async def _fetch():
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ib = IB()
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await ib.connectAsync(cfg.ib.host, cfg.ib.port, clientId=77, timeout=10)
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data = {
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item.contract.symbol: (item.position, item.marketPrice, item.unrealizedPNL)
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for item in ib.portfolio()
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if item.contract.secType == "STK" and item.position > 0
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}
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ib.disconnect()
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return data
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return asyncio.run(_fetch())
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except Exception:
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return None
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def main():
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if not LEDGER.exists():
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print("还没有交易记录（trades.jsonl 不存在）")
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return
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day, fills, realized_sym, realized_strat, lots, unknown_cost = load_and_replay()
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print(f"========== {day} 成交明细 ==========")
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if not fills:
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print(" 当天无成交")
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for ts, strat, sym, action, qty, price, pnl in fills:
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line = f"{ts} {short(strat):10s} {sym:6s} {action:4s} x{qty:g} @ {price:>10.2f}"
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if pnl is not None:
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line += f" 盈亏 {pnl:+.2f}"
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elif action == "SELL":
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line += " 盈亏 ? (成本未知)"
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print(line)
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print(f"\n========== {day} 已实现盈亏 ==========")
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if realized_sym:
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print(" 按标的:")
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for sym, v in sorted(realized_sym.items()):
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print(f" {sym:6s} {v:+10.2f}")
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if realized_strat:
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print(" 按策略:")
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for strat, v in sorted(realized_strat.items()):
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print(f" {short(strat):10s} {v:+10.2f}")
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total = sum(realized_sym.values())
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print(f" 合计: {total:+.2f}")
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if unknown_cost:
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print(f" (另有 {unknown_cost:g} 股卖出成本未知，未计入)")
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open_lots = [(s, sym, q, p) for (s, sym), dq in lots.items() for q, p in dq if q > 1e-9]
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print("\n========== 当前持仓（成本价） ==========")
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if not open_lots:
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print(" 无")
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else:
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live = live_positions()
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for strat, sym, qty, price in sorted(open_lots, key=lambda x: (x[1], x[0])):
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line = f" {short(strat):10s} {sym:6s} x{qty:g} @ {price:>10.2f}"
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if live and sym in live:
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_, mkt, _ = live[sym]
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line += f" 现价 {mkt:>9.2f} 浮动 {(mkt - price) * qty:+.2f}"
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print(line)
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if not live:
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print(" (实时价格不可用)")
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if __name__ == "__main__":
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main()
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