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https://github.com/ada-dmitry/etf-gyro.git
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Инициализация публичного репозитория
This commit is contained in:
Dmitry
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import yaml
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from decimal import Decimal
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from typing import Dict, Any
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def load_config(config_path: str = "config/target.yaml") -> Dict[str, Any]:
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with open(config_path, "r", encoding="utf-8") as f:
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data = yaml.safe_load(f)
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# Результирующий словарь для портфеля
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portfolio = {}
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corridor = Decimal(str(data.get("corridor", 0)))
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# Проходим по всем инструментам в блоке portfolio
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for ticker, info in data.get("portfolio", {}).items():
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# Важно: переводим weight в Decimal сразу при чтении
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portfolio[ticker] = {
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"name": info.get("name"),
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"figi": info.get("figi"),
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"uid": info.get("uid"),
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"weight": Decimal(str(info.get("weight", 0))),
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}
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# Проверка суммы весов
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total_weight = sum(item["weight"] for item in portfolio.values())
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if abs(total_weight - Decimal("1.0")) > Decimal("0.0001"):
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print(
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f"⚠️ ВНИМАНИЕ: Сумма весов в конфиге = {total_weight}. Проверьте коэффициенты!"
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)
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return portfolio, corridor # type: ignore
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if __name__ == "__main__":
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config, corridor = load_config()
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for ticker, info in config.items(): # type: ignore
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print(f"{ticker}: {info}")
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print(f"Corridor: {corridor}")
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import logging
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from typing import Optional
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import requests
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class Notifier:
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def __init__(self, token: str):
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self.token = token
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self.api_url = f"https://api.telegram.org/bot{token}"
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self.logger = logging.getLogger(__name__)
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def send_message(self, user_id: int, text: str) -> Optional[dict]:
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try:
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url = f"{self.api_url}/sendMessage"
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payload = {
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"chat_id": user_id,
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"text": text,
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"parse_mode": "HTML",
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"disable_web_page_preview": True,
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}
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response = requests.post(url, json=payload, timeout=10)
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response.raise_for_status()
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return response.json()
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except requests.RequestException as e:
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self.logger.error(f"Failed to send message to {user_id}: {e}")
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return None
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@@ -0,0 +1,223 @@
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from decimal import Decimal
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from t_tech.invest import OrderDirection, OrderType
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from t_tech.invest.utils import quotation_to_decimal as to_dec
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import uuid
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class RebalanceBot:
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def __init__(
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self,
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client,
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account_id: str,
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target_weights: dict,
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corridor: Decimal,
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dry_run=True,
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):
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self.client = client
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self.account_id = account_id
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self.target_weights = target_weights
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self.corridor = corridor
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self.portfolio_value = Decimal("0")
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self.instrument_cache = {}
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self.dry_run = dry_run
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def fetch_portfolio(self):
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account = self.client.operations.get_portfolio(account_id=self.account_id)
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self.portfolio_value = to_dec(account.total_amount_portfolio)
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return account.positions
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def get_instrument_data(self, instrument_uid):
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if instrument_uid not in self.instrument_cache:
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resp = self.client.instruments.find_instrument(query=instrument_uid)
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self.instrument_cache[instrument_uid] = resp.instruments[0]
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return self.instrument_cache[instrument_uid]
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def calculate_rebalance(self, positions, target_config) -> tuple[list[dict], str]:
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plan = []
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plan_report = "\n<b>📊 План ребаланса</b>\n"
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allowed_uids = {info["uid"] for info in target_config.values()}
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current_values = {}
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current_prices = {}
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for pos in positions:
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# Пропускаем кэш (рубли) только при проверке лишних активов,
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# т.к. кэш учитывается в target_config как RUB
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if pos.instrument_type == "currency":
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continue
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if pos.instrument_uid not in allowed_uids:
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ticker = pos.ticker
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qty = to_dec(pos.quantity)
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if qty > 0:
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# Получаем данные об инструменте для определения лотности
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instr_info = self.get_instrument_data(pos.instrument_uid)
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# В Тинькофф продажа идет в лотах
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lots_to_sell = int(qty / instr_info.lot)
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if lots_to_sell > 0:
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print(
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f"🗑️ ЛИШНИЙ АКТИВ: {ticker} (нет в конфиге). Продаем {lots_to_sell} лотов."
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)
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plan_report += f"• <b>SELL</b> <code>{ticker}</code>: {lots_to_sell} лотов <i>(не в конфиге)</i>\n"
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plan.append(
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{
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"ticker": ticker,
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"figi": pos.figi,
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"action": "SELL",
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"lots": lots_to_sell,
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"reason": "not_in_config",
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}
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)
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current_map = {pos.instrument_uid: pos for pos in positions}
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for ticker, info in target_config.items():
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uid = info["uid"]
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target_weight = info["weight"]
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pos = current_map.get(uid)
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if pos is None:
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current_weight = Decimal("0")
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current_value = Decimal("0")
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else:
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price = to_dec(pos.current_price)
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qty = to_dec(pos.quantity)
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current_value = price * qty
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current_weight = current_value / self.portfolio_value
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if ticker != "RUB":
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current_prices[ticker] = price
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current_values[ticker] = current_value
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delta = target_weight - current_weight
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money_delta = delta * self.portfolio_value
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print(
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f"{ticker}, Текущая доля {current_weight:.2%}, Цель {target_weight:.2%}, Дельта: {delta:.2%}, Дельта в рублях: {money_delta:.6}"
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)
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if abs(delta) > self.corridor:
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# Для RUB не создаём ордера, только выводим информацию
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if ticker == "RUB":
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if delta > 0:
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plan_report += f"• ⚠️ <b>Недостаток кэша</b>: нужно {abs(delta * self.portfolio_value):.2f} руб. (уменьшите покупки)\n"
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else:
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plan_report += f"• 💰 <b>Избыток кэша</b>: {abs(delta * self.portfolio_value):.2f} руб. доступно для инвестиций\n"
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else:
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money_to_trade = self.portfolio_value * delta
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instrument_info = self.get_instrument_data(uid)
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one_lot_price = price * instrument_info.lot
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lots = int(money_to_trade / one_lot_price)
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if lots != 0:
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plan.append(
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{
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"figi": instrument_info.figi,
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"ticker": ticker,
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"uid": uid,
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"action": "BUY" if lots > 0 else "SELL",
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"lots": abs(lots),
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"delta_pct": delta * 100,
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}
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)
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plan_report += f"• <b>{'BUY' if lots > 0 else 'SELL'}</b> <code>{ticker}</code>: {abs(lots)} лотов; на сумму <code>{money_to_trade:.2f} руб.</code>\n"
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print(
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f"{ticker:12} | Доля: {current_weight:6.2%} | Цель: {target_weight:6.2%}"
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)
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# Инвестируем избыток кэша, даже если остальные отклонения в пределах коридора
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if "RUB" in target_config and "RUB" in current_values:
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target_cash = self.portfolio_value * target_config["RUB"]["weight"]
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cash_excess = current_values["RUB"] - target_cash
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if cash_excess > 0:
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plan_report += f"• 💰 <b>Избыток кэша</b>: {cash_excess:.2f} руб. будет распределён по целям\n"
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non_rub_weights = {
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t: info["weight"]
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for t, info in target_config.items()
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if t != "RUB"
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}
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total_non_rub_weight = sum(non_rub_weights.values())
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if total_non_rub_weight > 0:
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for ticker, weight in non_rub_weights.items():
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uid = target_config[ticker]["uid"]
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share = weight / total_non_rub_weight
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money_to_trade = cash_excess * share
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price = current_prices.get(ticker)
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if price is None or price <= 0:
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plan_report += f"• ⚠️ <b>Пропуск</b> <code>{ticker}</code>: нет цены для расчёта лотов\n"
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continue
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instrument_info = self.get_instrument_data(uid)
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one_lot_price = price * instrument_info.lot
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lots = int(money_to_trade / one_lot_price)
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if lots > 0:
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plan.append(
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{
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"figi": instrument_info.figi,
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"ticker": ticker,
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"uid": uid,
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"action": "BUY",
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"lots": lots,
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"delta_pct": Decimal("0"),
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"reason": "cash_excess",
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}
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)
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plan_report += f"• <b>BUY</b> <code>{ticker}</code>: {lots} лотов; на сумму <code>{money_to_trade:.2f} руб.</code> <i>(излишек кэша)</i>\n"
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plan_report += "\n<i>— Конец плана ребаланса —</i>\n"
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return plan, plan_report
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def execute_orders(self, trades, group_name) -> str:
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execute_report = f"\n<b>⚙️ Исполнение: {group_name}</b>\n"
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if not trades:
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execute_report += "<i>Нет сделок для исполнения.</i>\n"
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return execute_report
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print(f"\n--- Исполнение блока: {group_name} ---")
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for trade in trades:
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action_ru = "КУПИТЬ" if trade["action"] == "BUY" else "ПРОДАТЬ"
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if self.dry_run:
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execute_report += f"• <i>Симуляция</i>: <b>{action_ru}</b> <code>{trade['ticker']}</code> — {trade['lots']} лотов\n"
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print(
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f"[СИМУЛЯЦИЯ] {action_ru} {trade['ticker']}: {trade['lots']} лотов"
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)
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continue
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try:
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direction = (
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OrderDirection.ORDER_DIRECTION_BUY
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if trade["action"] == "BUY"
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else OrderDirection.ORDER_DIRECTION_SELL
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)
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response = self.client.orders.post_order(
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figi=trade["figi"],
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quantity=int(trade["lots"]),
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direction=direction,
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account_id=self.account_id,
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order_type=OrderType.ORDER_TYPE_MARKET,
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order_id=str(uuid.uuid4()),
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)
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execute_report += f"• ✅ <b>{action_ru}</b> <code>{trade['ticker']}</code> — {trade['lots']} лотов. <i>ID:</i> <code>{response.order_id}</code>\n"
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print(
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f"[ИСПОЛНЕНО]\n{trade['ticker']} на {trade['lots']} лотов. ID: {response.order_id}"
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)
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except Exception as e:
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execute_report += f"• ❌ <b>Ошибка</b> по <code>{trade['ticker']}</code>: <code>{e}</code>\n"
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print(f"[ОШИБКА]\nПри сделке с {trade['ticker']}: {e}")
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return execute_report
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