124 lines
4.4 KiB
Python
124 lines
4.4 KiB
Python
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):
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plan = []
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for pos in positions:
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ticker = pos.ticker
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uid = pos.instrument_uid
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asset_type = pos.instrument_type
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price = to_dec(pos.current_price)
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qty = to_dec(pos.quantity)
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if asset_type == "currency":
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continue
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elif asset_type == "bond":
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instrument_info = self.get_instrument_data(uid)
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nkd = to_dec(pos.current_nkd)
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current_value = (price + nkd) * qty
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else:
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instrument_info = self.get_instrument_data(uid)
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current_value = price * qty
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target_weight = self.target_weights.get(ticker, Decimal("0"))
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current_weight = current_value / self.portfolio_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}, Тип: {asset_type}, 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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money_to_trade = self.portfolio_value * delta
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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": pos.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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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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return plan
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def execute_orders(self, trades, group_name):
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if not trades:
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return
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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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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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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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print(f"[ОШИБКА]\nПри сделке с {trade['ticker']}: {e}")
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