chore: trim reference/ to docs only (5.8MB -> 1.0MB)
- thinktrader_docs: keep .txt (extracted text), drop .html duplicates (36->18 files) - xtquant_big_convert: keep README/LICENSE/CHANGELOG/.gitignore + docs/, drop src/tests/examples/benches/qmt-trader (project code, not referenced by bridge) - un-ignore reference/xtquant_big_convert/.gitignore (now a normal tracked file)
This commit is contained in:
Docker
+3
-3
@@ -8,9 +8,9 @@ venv/
|
|||||||
# ---- test outputs (local mock test artifacts) ----
|
# ---- test outputs (local mock test artifacts) ----
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||||||
tests/*.txt
|
tests/*.txt
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||||||
|
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||||||
# ---- nested reference repo: keep the files, drop its git metadata ----
|
# ---- reference (read-only snapshots; keep docs, drop project code) ----
|
||||||
reference/xtquant_big_convert/.git/
|
# reference/xtquant_big_convert keeps its own .gitignore rules (they apply
|
||||||
reference/xtquant_big_convert/.gitignore
|
# to that subtree); no longer excluded here.
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||||||
|
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||||||
# ---- editor / OS ----
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# ---- editor / OS ----
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||||||
.vscode/
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.vscode/
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||||||
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|||||||
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
@@ -0,0 +1,28 @@
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|||||||
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__pycache__/
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*.py[cod]
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||||||
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*.pyo
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*.pyd
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.Python
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.venv/
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venv/
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env/
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.pytest_cache/
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.mypy_cache/
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.ruff_cache/
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build/
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dist/
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*.egg-info/
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# Local runtime secrets. Keep real account ids, Redis passwords and QMT paths out of git.
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|
# bigqmt_signal_trader_local_config.py
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|
# src/bigqmt_signal_trader_local_config.py
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|
# bigqmt_signal_trader_client_config.py
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|
# src/bigqmt_signal_trader_client_config.py
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*.local.py
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|
*.log
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||||||
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*.pid
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||||||
|
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||||||
|
# Generated evidence from standalone/QMT backtest bridge runs.
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backtest_runs/
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qmt_backtest_runs/
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.workbuddy/
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@@ -1,107 +0,0 @@
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# coding: utf-8
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"""BigQMT Redis RPC latency benchmark.
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Measures end-to-end latency for ping (no QMT API call) and get_full_tick
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(real ContextInfo call) to separate transport cost from API cost.
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"""
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import os
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import statistics
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import time
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import redis
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from bigqmt_signal_trader.redis_rpc import call_redis_rpc
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def _load_redis_config():
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"""Pull connection details from the local client config or env vars.
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Never hardcode secrets in the repo.
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"""
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try:
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from bigqmt_signal_trader.xtquant_compat import load_client_config
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cfg = load_client_config()
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rc = dict(cfg.get("redis_config") or {})
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rc.setdefault("host", os.environ.get("BIGQMT_REDIS_HOST", "127.0.0.1"))
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rc.setdefault("port", int(os.environ.get("BIGQMT_REDIS_PORT", "6379")))
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rc.setdefault("db", int(os.environ.get("BIGQMT_REDIS_DB", "5")))
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return {
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"host": rc.get("host"),
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||||||
"port": int(rc.get("port")),
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||||||
"db": int(rc.get("db")),
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"username": rc.get("username") or None,
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||||||
"password": rc.get("password") or None,
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||||||
"socket_timeout": 8,
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||||||
}
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except Exception:
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||||||
return {
|
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||||||
"host": os.environ.get("BIGQMT_REDIS_HOST", "127.0.0.1"),
|
|
||||||
"port": int(os.environ.get("BIGQMT_REDIS_PORT", "6379")),
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||||||
"db": int(os.environ.get("BIGQMT_REDIS_DB", "5")),
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|
||||||
"socket_timeout": 8,
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|
||||||
}
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||||||
|
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||||||
|
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||||||
ACCOUNT = os.environ.get("BIGQMT_ACCOUNT_ID", "")
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||||||
REDIS = _load_redis_config()
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|
||||||
|
|
||||||
|
|
||||||
def bench(r, method, params, n=20, timeout=6):
|
|
||||||
lats = []
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|
||||||
errors = 0
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||||||
for i in range(n):
|
|
||||||
t0 = time.time()
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|
||||||
try:
|
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||||||
resp = call_redis_rpc(r, ACCOUNT, method, params, timeout_seconds=timeout)
|
|
||||||
dt = (time.time() - t0) * 1000
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|
||||||
if resp.get("ok"):
|
|
||||||
lats.append(dt)
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else:
|
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||||||
errors += 1
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||||||
if errors <= 2:
|
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||||||
print(" %s #%d error: %s" % (method, i, resp.get("error", "")[:120]))
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except Exception as e:
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errors += 1
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if errors <= 2:
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print(" %s #%d exc: %s" % (method, i, e))
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if not lats:
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print("%-18s: ALL FAILED (%d errors)" % (method, errors))
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return
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lats.sort()
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p50 = statistics.median(lats)
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p95 = lats[int(len(lats) * 0.95)] if len(lats) >= 20 else lats[-1]
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||||||
print(
|
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||||||
"%-18s: n=%d ok=%d fail=%d min=%.0f p50=%.0f p95=%.0f max=%.0f avg=%.0f ms"
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||||||
% (
|
|
||||||
method,
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||||||
len(lats),
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|
||||||
len(lats),
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|
||||||
errors,
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|
||||||
min(lats),
|
|
||||||
p50,
|
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||||||
p95,
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|
||||||
max(lats),
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|
||||||
statistics.mean(lats),
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||||||
)
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||||||
)
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||||||
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||||||
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||||||
def main():
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||||||
r = redis.Redis(**REDIS)
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||||||
# warmup
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|
||||||
try:
|
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||||||
call_redis_rpc(r, ACCOUNT, "ping", {}, timeout_seconds=6)
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||||||
print("warmup ping ok\n")
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||||||
except Exception as e:
|
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||||||
print("warmup FAILED: %s\n" % e)
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|
||||||
return
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|
||||||
|
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||||||
print("=== latency benchmark (20 calls each) ===")
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||||||
bench(r, "ping", {}, n=20)
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|
||||||
bench(r, "get_full_tick", {"codes": ["000001.SZ"]}, n=20)
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|
||||||
bench(r, "get_full_tick", {"codes": ["000001.SZ", "600000.SH", "000333.SZ"]}, n=20)
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|
||||||
bench(r, "get_instrument", {"code": "000001.SZ"}, n=20)
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|
||||||
|
|
||||||
|
|
||||||
if __name__ == "__main__":
|
|
||||||
main()
|
|
||||||
@@ -1,151 +0,0 @@
|
|||||||
# coding: utf-8
|
|
||||||
"""Compare end-to-end RPC latency across transports.
|
|
||||||
|
|
||||||
Runs the same ping workload through:
|
|
||||||
* Redis (real server, the production path) via call_redis_rpc
|
|
||||||
* ZMQ (local tcp loopback, the low-latency path) via ZmqTransport
|
|
||||||
|
|
||||||
Prints a side-by-side min/p50/p90/p99/max comparison. The ZMQ leg spins up a
|
|
||||||
local in-process server so no QMT process is needed for the comparison.
|
|
||||||
"""
|
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||||||
import argparse
|
|
||||||
import os
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|
||||||
import socket
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|
||||||
import statistics
|
|
||||||
import time
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|
||||||
import uuid
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|
||||||
|
|
||||||
import redis
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||||||
|
|
||||||
from bigqmt_signal_trader.redis_rpc import call_redis_rpc
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|
||||||
from bigqmt_signal_trader.transports.zmq_transport import ZmqTransport
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|
||||||
|
|
||||||
|
|
||||||
def _load_redis_config():
|
|
||||||
"""Pull connection details from the local client config or env vars."""
|
|
||||||
try:
|
|
||||||
from bigqmt_signal_trader.xtquant_compat import load_client_config
|
|
||||||
|
|
||||||
cfg = load_client_config()
|
|
||||||
rc = dict(cfg.get("redis_config") or {})
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|
||||||
rc.setdefault("host", os.environ.get("BIGQMT_REDIS_HOST", "127.0.0.1"))
|
|
||||||
rc.setdefault("port", int(os.environ.get("BIGQMT_REDIS_PORT", "6379")))
|
|
||||||
rc.setdefault("db", int(os.environ.get("BIGQMT_REDIS_DB", "5")))
|
|
||||||
return {
|
|
||||||
"host": rc.get("host"),
|
|
||||||
"port": int(rc.get("port")),
|
|
||||||
"db": int(rc.get("db")),
|
|
||||||
"username": rc.get("username") or None,
|
|
||||||
"password": rc.get("password") or None,
|
|
||||||
"socket_timeout": 8,
|
|
||||||
}
|
|
||||||
except Exception:
|
|
||||||
return {
|
|
||||||
"host": os.environ.get("BIGQMT_REDIS_HOST", "127.0.0.1"),
|
|
||||||
"port": int(os.environ.get("BIGQMT_REDIS_PORT", "6379")),
|
|
||||||
"db": int(os.environ.get("BIGQMT_REDIS_DB", "5")),
|
|
||||||
"socket_timeout": 8,
|
|
||||||
}
|
|
||||||
|
|
||||||
|
|
||||||
REDIS = _load_redis_config()
|
|
||||||
ACCOUNT = os.environ.get("BIGQMT_ACCOUNT_ID", "")
|
|
||||||
|
|
||||||
|
|
||||||
def _free_port():
|
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||||||
s = socket.socket()
|
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||||||
s.bind(("127.0.0.1", 0))
|
|
||||||
port = s.getsockname()[1]
|
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||||||
s.close()
|
|
||||||
return port
|
|
||||||
|
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||||||
|
|
||||||
def _stats(name, lats):
|
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||||||
lats = sorted(lats)
|
|
||||||
n = len(lats)
|
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||||||
print(
|
|
||||||
"%-8s n=%d min=%.2f p50=%.2f p90=%.2f p99=%.2f max=%.2f avg=%.2f ms"
|
|
||||||
% (
|
|
||||||
name,
|
|
||||||
n,
|
|
||||||
min(lats),
|
|
||||||
statistics.median(lats),
|
|
||||||
lats[int(n * 0.9)],
|
|
||||||
lats[int(n * 0.99)] if n > 1 else lats[-1],
|
|
||||||
max(lats),
|
|
||||||
statistics.mean(lats),
|
|
||||||
)
|
|
||||||
)
|
|
||||||
|
|
||||||
|
|
||||||
def bench_redis(n):
|
|
||||||
r = redis.Redis(**REDIS)
|
|
||||||
# warmup + connectivity
|
|
||||||
try:
|
|
||||||
call_redis_rpc(r, ACCOUNT, "ping", {}, timeout_seconds=6)
|
|
||||||
except Exception as e:
|
|
||||||
print("Redis server not reachable, skipping redis leg: %s" % e)
|
|
||||||
return
|
|
||||||
lats = []
|
|
||||||
for _ in range(n):
|
|
||||||
t0 = time.time()
|
|
||||||
call_redis_rpc(r, ACCOUNT, "ping", {}, timeout_seconds=6)
|
|
||||||
lats.append((time.time() - t0) * 1000)
|
|
||||||
_stats("redis", lats)
|
|
||||||
|
|
||||||
|
|
||||||
def bench_zmq(n):
|
|
||||||
port = _free_port()
|
|
||||||
addr = "tcp://127.0.0.1:%d" % port
|
|
||||||
|
|
||||||
def on_req(req):
|
|
||||||
return {
|
|
||||||
"schema_version": 1,
|
|
||||||
"request_id": req["request_id"],
|
|
||||||
"account_id": "zmq",
|
|
||||||
"method": req["method"],
|
|
||||||
"ok": True,
|
|
||||||
"data": {"pong": True},
|
|
||||||
"error": "",
|
|
||||||
"handled_at": "now",
|
|
||||||
}
|
|
||||||
|
|
||||||
server = ZmqTransport(bind_address=addr, account_id="zmq", recv_timeout_seconds=0.3)
|
|
||||||
server.start_receiving(on_req, background_threads=True)
|
|
||||||
time.sleep(0.3)
|
|
||||||
client = ZmqTransport(connect_address=addr, account_id="zmq")
|
|
||||||
time.sleep(0.2)
|
|
||||||
lats = []
|
|
||||||
for _ in range(n):
|
|
||||||
req = {
|
|
||||||
"schema_version": 1,
|
|
||||||
"request_id": uuid.uuid4().hex,
|
|
||||||
"account_id": "zmq",
|
|
||||||
"method": "ping",
|
|
||||||
"params": {},
|
|
||||||
"reply_channel": "",
|
|
||||||
"reply_list": "",
|
|
||||||
"reply_key": "",
|
|
||||||
"ttl_seconds": 5,
|
|
||||||
}
|
|
||||||
t0 = time.time()
|
|
||||||
client.send_request(req, timeout_seconds=3.0)
|
|
||||||
lats.append((time.time() - t0) * 1000)
|
|
||||||
_stats("zmq", lats)
|
|
||||||
server.stop()
|
|
||||||
client.stop()
|
|
||||||
|
|
||||||
|
|
||||||
def main():
|
|
||||||
ap = argparse.ArgumentParser()
|
|
||||||
ap.add_argument("-n", "--count", type=int, default=100, help="requests per transport")
|
|
||||||
ap.add_argument("--skip-redis", action="store_true", help="skip the redis leg")
|
|
||||||
args = ap.parse_args()
|
|
||||||
print("=== transport latency comparison (n=%d each) ===" % args.count)
|
|
||||||
if not args.skip_redis:
|
|
||||||
bench_redis(args.count)
|
|
||||||
bench_zmq(args.count)
|
|
||||||
|
|
||||||
|
|
||||||
if __name__ == "__main__":
|
|
||||||
main()
|
|
||||||
@@ -1,51 +0,0 @@
|
|||||||
# coding: utf-8
|
|
||||||
"""Measure ZMQ GIL-spike rate at different request rates.
|
|
||||||
|
|
||||||
Sends N get_full_tick requests at a fixed interval, records per-call
|
|
||||||
latency, reports how many exceed thresholds (50/200/500/1000ms).
|
|
||||||
"""
|
|
||||||
import sys
|
|
||||||
import time
|
|
||||||
|
|
||||||
sys.path.insert(0, r"D:\gjzqqmt\xtquant_big_convert\src")
|
|
||||||
sys.path.insert(0, r"D:\国金证券QMT交易端_lemo\python")
|
|
||||||
|
|
||||||
import bigqmt_signal_trader.xtquant_compat as compat
|
|
||||||
|
|
||||||
compat.configure()
|
|
||||||
client = compat.get_default_client()
|
|
||||||
print("account:", client.account_id, "| transport:", client.transport_name)
|
|
||||||
print("=" * 60)
|
|
||||||
|
|
||||||
N = 40
|
|
||||||
INTERVAL_MS = 50 # 请求间隔 50ms = 20 QPS
|
|
||||||
|
|
||||||
latencies = []
|
|
||||||
for i in range(N):
|
|
||||||
t0 = time.time()
|
|
||||||
try:
|
|
||||||
client.call("get_full_tick", {"codes": ["000001.SZ"]})
|
|
||||||
ms = (time.time() - t0) * 1000
|
|
||||||
latencies.append(ms)
|
|
||||||
except Exception as e:
|
|
||||||
ms = (time.time() - t0) * 1000
|
|
||||||
latencies.append(ms)
|
|
||||||
print(" [%2d] FAIL %.0fms %s" % (i, ms, str(e)[:40]))
|
|
||||||
# 控制频率
|
|
||||||
elapsed = (time.time() - t0)
|
|
||||||
sleep = max(0, INTERVAL_MS / 1000.0 - elapsed)
|
|
||||||
if sleep > 0:
|
|
||||||
time.sleep(sleep)
|
|
||||||
|
|
||||||
latencies.sort()
|
|
||||||
n = len(latencies)
|
|
||||||
print("\n=== %d requests @ %dms interval (%.0f QPS) ===" % (n, INTERVAL_MS, 1000.0/INTERVAL_MS))
|
|
||||||
print("min=%.1f p50=%.1f p90=%.1f p99=%.1f max=%.1f" % (
|
|
||||||
latencies[0], latencies[n//2], latencies[int(n*0.9)], latencies[int(n*0.99)], latencies[-1]))
|
|
||||||
|
|
||||||
# 尖峰分布
|
|
||||||
thresholds = [10, 50, 100, 200, 500, 1000]
|
|
||||||
print("\n=== 延迟分布 ===")
|
|
||||||
for t in thresholds:
|
|
||||||
cnt = sum(1 for l in latencies if l > t)
|
|
||||||
print(" >%5dms : %2d / %d (%.0f%%)" % (t, cnt, n, 100.0*cnt/n))
|
|
||||||
@@ -1,252 +0,0 @@
|
|||||||
#coding:gbk
|
|
||||||
"""QMT bridge entry (no-redis version).
|
|
||||||
|
|
||||||
Same file-loader pattern as BIGQMT_REDIS_DRYRUN, but the RPC transport is ZMQ
|
|
||||||
only -- no redis imports anywhere. This version loads the no-redis zmq transport
|
|
||||||
(bigqmt_no_redis/zmq_transport.py) which inlines all encoding helpers and drops
|
|
||||||
redis-based service discovery, so it loads cleanly in QMT sandboxes that reject
|
|
||||||
`import redis` or any redis-named module.
|
|
||||||
|
|
||||||
Use this when your QMT environment cannot import the redis package (e.g. broker
|
|
||||||
whitelist blocks it) or when you want zero redis dependency.
|
|
||||||
|
|
||||||
Config: set "transport": "zmq" in bigqmt_signal_trader_local_config.py (the
|
|
||||||
no-redis runtime forces zmq regardless). Redis config fields are ignored.
|
|
||||||
"""
|
|
||||||
import builtins as _builtins
|
|
||||||
import importlib as _importlib
|
|
||||||
import os
|
|
||||||
import sys
|
|
||||||
import types
|
|
||||||
|
|
||||||
|
|
||||||
_LOCAL_ROOTS = (
|
|
||||||
"bigqmt_signal_trader",
|
|
||||||
"bigqmt_signal_trader_strategy",
|
|
||||||
"bigqmt_signal_trader_redis_rpc_runtime",
|
|
||||||
"bigqmt_signal_trader_local_config",
|
|
||||||
"bigqmt_no_redis",
|
|
||||||
)
|
|
||||||
_ORIGINAL_IMPORT = _builtins.__import__
|
|
||||||
_ORIGINAL_IMPORT_MODULE = _importlib.import_module
|
|
||||||
_ORIGINAL_RELOAD = _importlib.reload
|
|
||||||
|
|
||||||
|
|
||||||
def _known_qmt_python_dir():
|
|
||||||
# Find the QMT python dir from sys.path instead of a hardcoded path, so
|
|
||||||
# the bridge loads regardless of broker install location or launch mode.
|
|
||||||
for p in sys.path:
|
|
||||||
if p and r"\python" in p and os.path.isdir(p):
|
|
||||||
return p
|
|
||||||
return ""
|
|
||||||
|
|
||||||
|
|
||||||
try:
|
|
||||||
_SOURCE_ROOT = os.path.dirname(os.path.abspath(__file__))
|
|
||||||
except Exception:
|
|
||||||
_SOURCE_ROOT = _known_qmt_python_dir()
|
|
||||||
if not _SOURCE_ROOT:
|
|
||||||
_SOURCE_ROOT = _known_qmt_python_dir()
|
|
||||||
|
|
||||||
|
|
||||||
def _is_local_module(name):
|
|
||||||
return any(name == root or name.startswith(root + ".") for root in _LOCAL_ROOTS)
|
|
||||||
|
|
||||||
|
|
||||||
def _resolve_name(name, module_globals, level):
|
|
||||||
if not level:
|
|
||||||
return name
|
|
||||||
package = (module_globals or {}).get("__package__") or (module_globals or {}).get("__name__", "")
|
|
||||||
if not package:
|
|
||||||
raise ImportError("relative import without package")
|
|
||||||
for unused in range(level - 1):
|
|
||||||
if "." not in package:
|
|
||||||
raise ImportError("relative import beyond top-level package")
|
|
||||||
package = package.rsplit(".", 1)[0]
|
|
||||||
return package + ("." + name if name else "")
|
|
||||||
|
|
||||||
|
|
||||||
def _find_local_source(name):
|
|
||||||
relative = name.replace(".", os.sep)
|
|
||||||
dirs = []
|
|
||||||
if _SOURCE_ROOT:
|
|
||||||
dirs.append(_SOURCE_ROOT)
|
|
||||||
for p in sys.path:
|
|
||||||
if p and os.path.isdir(p) and p not in dirs:
|
|
||||||
dirs.append(p)
|
|
||||||
for d in dirs:
|
|
||||||
package_init = os.path.join(d, relative, "__init__.py")
|
|
||||||
if os.path.isfile(package_init):
|
|
||||||
return package_init, True
|
|
||||||
module_file = os.path.join(d, relative + ".py")
|
|
||||||
if os.path.isfile(module_file):
|
|
||||||
return module_file, False
|
|
||||||
raise ModuleNotFoundError("local source not found: %s" % name, name=name)
|
|
||||||
|
|
||||||
|
|
||||||
def _set_parent_attribute(name, module):
|
|
||||||
if "." not in name:
|
|
||||||
return
|
|
||||||
parent_name, child_name = name.rsplit(".", 1)
|
|
||||||
parent = _load_local_module(parent_name)
|
|
||||||
setattr(parent, child_name, module)
|
|
||||||
|
|
||||||
|
|
||||||
def _load_local_module(name):
|
|
||||||
existing = sys.modules.get(name)
|
|
||||||
if existing is not None:
|
|
||||||
return existing
|
|
||||||
source_path, is_package = _find_local_source(name)
|
|
||||||
if "." in name:
|
|
||||||
_load_local_module(name.rsplit(".", 1)[0])
|
|
||||||
module = types.ModuleType(name)
|
|
||||||
module.__file__ = source_path
|
|
||||||
module.__package__ = name if is_package else name.rpartition(".")[0]
|
|
||||||
if is_package:
|
|
||||||
module.__path__ = [os.path.dirname(source_path)]
|
|
||||||
module_builtins = dict(_builtins.__dict__)
|
|
||||||
module_builtins["__import__"] = _local_import
|
|
||||||
module.__dict__["__builtins__"] = module_builtins
|
|
||||||
module.__dict__["__bigqmt_load_local_module"] = _load_local_module
|
|
||||||
sys.modules[name] = module
|
|
||||||
if name == "bigqmt_signal_trader":
|
|
||||||
return module
|
|
||||||
try:
|
|
||||||
with open(source_path, "rb") as source_file:
|
|
||||||
source = source_file.read()
|
|
||||||
exec(compile(source, source_path, "exec"), module.__dict__)
|
|
||||||
except Exception:
|
|
||||||
sys.modules.pop(name, None)
|
|
||||||
raise
|
|
||||||
_set_parent_attribute(name, module)
|
|
||||||
return module
|
|
||||||
|
|
||||||
|
|
||||||
def _local_import(name, module_globals=None, module_locals=None, fromlist=(), level=0):
|
|
||||||
absolute_name = _resolve_name(name, module_globals, level)
|
|
||||||
if not _is_local_module(absolute_name):
|
|
||||||
return _ORIGINAL_IMPORT(name, module_globals, module_locals, fromlist, level)
|
|
||||||
module = _load_local_module(absolute_name)
|
|
||||||
for child in fromlist or ():
|
|
||||||
if child != "*":
|
|
||||||
try:
|
|
||||||
_load_local_module(absolute_name + "." + child)
|
|
||||||
except ModuleNotFoundError:
|
|
||||||
pass
|
|
||||||
if fromlist:
|
|
||||||
return module
|
|
||||||
return _load_local_module(absolute_name.split(".", 1)[0])
|
|
||||||
|
|
||||||
|
|
||||||
def _local_import_module(name, package=None):
|
|
||||||
if _is_local_module(name):
|
|
||||||
return _load_local_module(name)
|
|
||||||
return _ORIGINAL_IMPORT_MODULE(name, package)
|
|
||||||
|
|
||||||
|
|
||||||
def _local_reload(module):
|
|
||||||
if _is_local_module(getattr(module, "__name__", "")):
|
|
||||||
return _load_local_module(module.__name__)
|
|
||||||
return _ORIGINAL_RELOAD(module)
|
|
||||||
|
|
||||||
|
|
||||||
def _clear_local_modules():
|
|
||||||
for name in list(sys.modules):
|
|
||||||
if _is_local_module(name):
|
|
||||||
sys.modules.pop(name, None)
|
|
||||||
|
|
||||||
|
|
||||||
def _stop_previous_rpc_service():
|
|
||||||
"""Release the previous QMT strategy's socket before clearing its module."""
|
|
||||||
previous = sys.modules.get("bigqmt_signal_trader_strategy")
|
|
||||||
reset = getattr(previous, "reset_app", None)
|
|
||||||
if not callable(reset):
|
|
||||||
return
|
|
||||||
try:
|
|
||||||
reset()
|
|
||||||
print("[bigqmt_shell] previous rpc service stopped")
|
|
||||||
except Exception as exc:
|
|
||||||
print("[bigqmt_shell] previous rpc service stop failed: %s" % exc)
|
|
||||||
|
|
||||||
|
|
||||||
_stop_previous_rpc_service()
|
|
||||||
_clear_local_modules()
|
|
||||||
_importlib.import_module = _local_import_module
|
|
||||||
_importlib.reload = _local_reload
|
|
||||||
print("[bigqmt_shell] importlib entry source_root=%s" % _SOURCE_ROOT)
|
|
||||||
|
|
||||||
|
|
||||||
def _fallback_account_id():
|
|
||||||
for name in ("BIGQMT_ACCOUNT_ID", "account", "account_id", "accountID"):
|
|
||||||
value = globals().get(name)
|
|
||||||
if value:
|
|
||||||
return str(value)
|
|
||||||
return ""
|
|
||||||
|
|
||||||
|
|
||||||
try:
|
|
||||||
_local_import("bigqmt_signal_trader.adapters.market_bigqmt", globals(), fromlist=("*",))
|
|
||||||
_local_import("bigqmt_signal_trader.adapters.order_bigqmt", globals(), fromlist=("*",))
|
|
||||||
_local_import("bigqmt_signal_trader.adapters.position_bigqmt", globals(), fromlist=("*",))
|
|
||||||
_strategy = _local_import("bigqmt_signal_trader_strategy", globals(), fromlist=("*",))
|
|
||||||
_strategy.reset_app()
|
|
||||||
except Exception as bridge_preload_error:
|
|
||||||
print("[bigqmt_shell] bridge preload failed: %s" % bridge_preload_error)
|
|
||||||
|
|
||||||
_runtime = _local_import("bigqmt_signal_trader_redis_rpc_runtime", globals(), fromlist=("*",))
|
|
||||||
|
|
||||||
|
|
||||||
def _load_local_config():
|
|
||||||
return _local_import("bigqmt_signal_trader_local_config", globals(), fromlist=("*",))
|
|
||||||
|
|
||||||
|
|
||||||
try:
|
|
||||||
_config = _load_local_config()
|
|
||||||
BIGQMT_REDIS_CONFIG = getattr(_config, "BIGQMT_REDIS_CONFIG", {})
|
|
||||||
# Force zmq transport (this is the no-redis version).
|
|
||||||
BIGQMT_REDIS_CONFIG = dict(BIGQMT_REDIS_CONFIG or {})
|
|
||||||
BIGQMT_REDIS_CONFIG["transport"] = "zmq"
|
|
||||||
BIGQMT_REDIS_CONFIG["rpc_background_threads"] = True
|
|
||||||
print("[bigqmt_shell] no-redis mode: transport=zmq background_threads=True")
|
|
||||||
_runtime.configure_runtime_redis(BIGQMT_REDIS_CONFIG)
|
|
||||||
except Exception as redis_config_error:
|
|
||||||
print("[bigqmt_shell] local redis config load failed: %s" % redis_config_error)
|
|
||||||
|
|
||||||
try:
|
|
||||||
_config = _load_local_config()
|
|
||||||
BIGQMT_ACCOUNT_ID = getattr(_config, "BIGQMT_ACCOUNT_ID", "")
|
|
||||||
print("[bigqmt_shell] local account config loaded=%s" % bool(BIGQMT_ACCOUNT_ID))
|
|
||||||
_runtime.configure_runtime_account(BIGQMT_ACCOUNT_ID)
|
|
||||||
except Exception as account_config_error:
|
|
||||||
print("[bigqmt_shell] local account config load failed: %s" % account_config_error)
|
|
||||||
account_id = _fallback_account_id()
|
|
||||||
if account_id:
|
|
||||||
_runtime.configure_runtime_account(account_id)
|
|
||||||
|
|
||||||
try:
|
|
||||||
qmt_extra = {}
|
|
||||||
for function_name in (
|
|
||||||
"get_history_trade_detail_data", "get_value_by_order_id", "get_last_order_id",
|
|
||||||
"get_ipo_data", "get_new_purchase_limit", "get_assure_contract",
|
|
||||||
"get_enable_short_contract", "get_unclosed_compacts", "get_closed_compacts",
|
|
||||||
"get_debt_contract", "get_option_subject_position", "get_comb_option",
|
|
||||||
"get_hkt_exchange_rate", "down_history_data",
|
|
||||||
):
|
|
||||||
if function_name in globals():
|
|
||||||
qmt_extra[function_name] = globals()[function_name]
|
|
||||||
print("[bigqmt_shell] down_history_data bound=%s" % ("down_history_data" in qmt_extra))
|
|
||||||
_runtime.bind_runtime_api(
|
|
||||||
passorder_func=globals().get("passorder"),
|
|
||||||
cancel_func=globals().get("cancel"),
|
|
||||||
get_trade_detail_data_func=globals().get("get_trade_detail_data"),
|
|
||||||
extra_funcs=qmt_extra or None,
|
|
||||||
)
|
|
||||||
except NameError:
|
|
||||||
pass
|
|
||||||
|
|
||||||
|
|
||||||
init = _runtime.init
|
|
||||||
handlebar = _runtime.handlebar
|
|
||||||
adjust = _runtime.adjust
|
|
||||||
order_callback = _runtime.order_callback
|
|
||||||
deal_callback = _runtime.deal_callback
|
|
||||||
@@ -1,459 +0,0 @@
|
|||||||
"""ZeroMQ transport for the BigQMT RPC bridge (no-redis version).
|
|
||||||
|
|
||||||
Same as bigqmt_signal_trader.transports.zmq_transport, but with the redis
|
|
||||||
dependencies inlined and the redis-based service discovery removed. This lets
|
|
||||||
the module load in QMT sandboxes that reject `import redis` or any module
|
|
||||||
whose name mentions redis.
|
|
||||||
|
|
||||||
Design (unchanged from the redis version):
|
|
||||||
|
|
||||||
* **Server** binds a ``ROUTER`` socket. Each inbound message arrives as
|
|
||||||
``[identity, payload]``; the server remembers ``identity`` keyed by
|
|
||||||
``request_id`` and replies with ``[identity, payload]`` so ZMQ routes the
|
|
||||||
response back to the originating client automatically.
|
|
||||||
* **Client** connects a ``DEALER`` socket (with a unique random identity), sends
|
|
||||||
``[payload]``, then ``poll``/``recv`` for the response.
|
|
||||||
"""
|
|
||||||
|
|
||||||
import base64
|
|
||||||
import json
|
|
||||||
import queue
|
|
||||||
import threading
|
|
||||||
import time
|
|
||||||
import uuid
|
|
||||||
|
|
||||||
|
|
||||||
# ---------------------------------------------------------------------------
|
|
||||||
# Inlined encoding helpers (originally from bigqmt_signal_trader.adapters.
|
|
||||||
# redis_common and bigqmt_signal_trader.redis_rpc). Kept here so this module
|
|
||||||
# has zero imports from any redis-named module.
|
|
||||||
# ---------------------------------------------------------------------------
|
|
||||||
|
|
||||||
SAFE_B64_PREFIX = "b64s:"
|
|
||||||
SAFE_B64_DIGIT_ENCODE = str.maketrans("0123456789", "!#$%&()*~?")
|
|
||||||
SAFE_B64_DIGIT_DECODE = str.maketrans("!#$%&()*~?", "0123456789")
|
|
||||||
|
|
||||||
|
|
||||||
def decode_text(value):
|
|
||||||
if isinstance(value, bytes):
|
|
||||||
return value.decode("utf-8")
|
|
||||||
return str(value)
|
|
||||||
|
|
||||||
|
|
||||||
def encode_rpc_request_payload(request):
|
|
||||||
"""Encode request JSON so patched QMT clients do not inspect stock-code text."""
|
|
||||||
raw = json.dumps(request, ensure_ascii=False).encode("utf-8")
|
|
||||||
encoded = base64.b64encode(raw).decode("ascii").translate(SAFE_B64_DIGIT_ENCODE)
|
|
||||||
return SAFE_B64_PREFIX + encoded
|
|
||||||
|
|
||||||
|
|
||||||
def decode_rpc_request_payload(text):
|
|
||||||
text = str(text)
|
|
||||||
if not text.startswith(SAFE_B64_PREFIX):
|
|
||||||
return text
|
|
||||||
encoded = text[len(SAFE_B64_PREFIX):].translate(SAFE_B64_DIGIT_DECODE)
|
|
||||||
return base64.b64decode(encoded.encode("ascii")).decode("utf-8")
|
|
||||||
|
|
||||||
|
|
||||||
# ---------------------------------------------------------------------------
|
|
||||||
# TransportError / TransportTimeout (inlined from transports.base -- kept here
|
|
||||||
# so this module is fully self-contained for QMT sandbox loading).
|
|
||||||
# ---------------------------------------------------------------------------
|
|
||||||
|
|
||||||
class TransportError(RuntimeError):
|
|
||||||
pass
|
|
||||||
|
|
||||||
|
|
||||||
class TransportTimeout(TransportError):
|
|
||||||
pass
|
|
||||||
|
|
||||||
|
|
||||||
class RpcTransport:
|
|
||||||
"""Minimal transport base (inlined subset of transports.base)."""
|
|
||||||
|
|
||||||
def __init__(self, account_id="", print_prefix="[bigqmt_rpc]"):
|
|
||||||
self.account_id = str(account_id or "")
|
|
||||||
self.print_prefix = str(print_prefix or "[bigqmt_rpc]")
|
|
||||||
self._on_request = None
|
|
||||||
self._running = False
|
|
||||||
|
|
||||||
def start_receiving(self, on_request):
|
|
||||||
self._on_request = on_request
|
|
||||||
self._running = True
|
|
||||||
|
|
||||||
def stop(self):
|
|
||||||
self._running = False
|
|
||||||
self._on_request = None
|
|
||||||
|
|
||||||
def deliver(self, request):
|
|
||||||
callback = self._on_request
|
|
||||||
if callback is None:
|
|
||||||
return None
|
|
||||||
try:
|
|
||||||
response = callback(request)
|
|
||||||
except Exception as exc:
|
|
||||||
import datetime as _dt
|
|
||||||
response = {
|
|
||||||
"schema_version": 1,
|
|
||||||
"request_id": str((request or {}).get("request_id") or ""),
|
|
||||||
"account_id": str((request or {}).get("account_id") or self.account_id or ""),
|
|
||||||
"method": str((request or {}).get("method") or ""),
|
|
||||||
"ok": False,
|
|
||||||
"data": None,
|
|
||||||
"error": "%s: %s" % (exc.__class__.__name__, exc),
|
|
||||||
"handled_at": _dt.datetime.now().strftime("%Y-%m-%d %H:%M:%S"),
|
|
||||||
}
|
|
||||||
if response is not None:
|
|
||||||
try:
|
|
||||||
self.send_response(request, response)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
return response
|
|
||||||
|
|
||||||
|
|
||||||
# ---------------------------------------------------------------------------
|
|
||||||
# ZMQ transport
|
|
||||||
# ---------------------------------------------------------------------------
|
|
||||||
|
|
||||||
# ZMQ does not support ipc:// on Windows (it trips a signaler abort), so the
|
|
||||||
# default endpoint is tcp loopback. The port is derived from the account_id so
|
|
||||||
# distinct accounts don't collide on the same port; override via config when
|
|
||||||
# needed. Base 15560 keeps it clear of common dev ports.
|
|
||||||
DEFAULT_ZMQ_HOST = "127.0.0.1"
|
|
||||||
DEFAULT_ZMQ_BASE_PORT = 15560
|
|
||||||
DEFAULT_ZMQ_PORT_RANGE = 100 # derived port = base + (account_id_int mod range)
|
|
||||||
|
|
||||||
|
|
||||||
def _default_zmq_port(account_id):
|
|
||||||
"""Derive a stable port from account_id so each account gets its own socket."""
|
|
||||||
text = str(account_id or "")
|
|
||||||
digits = "".join(ch for ch in text if ch.isdigit())
|
|
||||||
try:
|
|
||||||
offset = int(digits) % DEFAULT_ZMQ_PORT_RANGE if digits else 0
|
|
||||||
except ValueError:
|
|
||||||
offset = 0
|
|
||||||
return DEFAULT_ZMQ_BASE_PORT + offset
|
|
||||||
|
|
||||||
|
|
||||||
def _default_zmq_address(account_id, host=None):
|
|
||||||
host = host or DEFAULT_ZMQ_HOST
|
|
||||||
return "tcp://%s:%d" % (host, _default_zmq_port(account_id))
|
|
||||||
|
|
||||||
|
|
||||||
def _loads(raw):
|
|
||||||
if isinstance(raw, dict):
|
|
||||||
return dict(raw)
|
|
||||||
text = decode_text(raw)
|
|
||||||
text = decode_rpc_request_payload(text)
|
|
||||||
return json.loads(text)
|
|
||||||
|
|
||||||
|
|
||||||
class ZmqTransport(RpcTransport):
|
|
||||||
"""ZMQ ROUTER/DEALER transport (no-redis version).
|
|
||||||
|
|
||||||
The same instance plays both roles depending on method called:
|
|
||||||
``send_request`` acts as a client (DEALER connect), ``start_receiving`` +
|
|
||||||
``send_response`` act as a server (ROUTER bind). A deployment normally uses
|
|
||||||
one instance per role (the QMT process is the server; the external client
|
|
||||||
is the client).
|
|
||||||
|
|
||||||
Unlike the redis version, this one does NOT use redis-based service
|
|
||||||
discovery. The server binds the configured address exactly; the client
|
|
||||||
connects to the configured or derived address directly.
|
|
||||||
"""
|
|
||||||
|
|
||||||
name = "zmq"
|
|
||||||
|
|
||||||
def __init__(
|
|
||||||
self,
|
|
||||||
bind_address=None,
|
|
||||||
connect_address=None,
|
|
||||||
host=None,
|
|
||||||
port=None,
|
|
||||||
account_id="",
|
|
||||||
print_prefix="[bigqmt_rpc]",
|
|
||||||
io_threads=1,
|
|
||||||
recv_timeout_seconds=1.0,
|
|
||||||
server_hwm=10000,
|
|
||||||
client_linger_ms=0,
|
|
||||||
):
|
|
||||||
super(ZmqTransport, self).__init__(account_id=account_id, print_prefix=print_prefix)
|
|
||||||
resolved_host = host or DEFAULT_ZMQ_HOST
|
|
||||||
if port is not None:
|
|
||||||
resolved_port = int(port)
|
|
||||||
else:
|
|
||||||
resolved_port = _default_zmq_port(account_id)
|
|
||||||
default_addr = "tcp://%s:%d" % (resolved_host, resolved_port)
|
|
||||||
self.bind_address = bind_address or default_addr
|
|
||||||
self.connect_address = connect_address
|
|
||||||
self.bind_host = resolved_host
|
|
||||||
self.base_port = resolved_port
|
|
||||||
self.io_threads = int(io_threads)
|
|
||||||
self.recv_timeout_seconds = float(recv_timeout_seconds)
|
|
||||||
self.server_hwm = int(server_hwm)
|
|
||||||
self.client_linger_ms = int(client_linger_ms)
|
|
||||||
|
|
||||||
self._zmq = None # imported lazily
|
|
||||||
self._ctx = None
|
|
||||||
# server state
|
|
||||||
self._router = None
|
|
||||||
self._router_thread = None
|
|
||||||
self._actual_bind_address = None # set after start_receiving()
|
|
||||||
self._pending_identities = {} # request_id -> client identity bytes
|
|
||||||
self._identity_lock = threading.Lock()
|
|
||||||
self._response_queue = queue.Queue()
|
|
||||||
self._queued_response_count = 0
|
|
||||||
self._sent_response_count = 0
|
|
||||||
# client state
|
|
||||||
self._dealer = None
|
|
||||||
self._client_lock = threading.Lock()
|
|
||||||
|
|
||||||
# -- construction helper ----------------------------------------------
|
|
||||||
@classmethod
|
|
||||||
def from_config(cls, config, account_id="", print_prefix="[bigqmt_rpc]"):
|
|
||||||
config = dict(config or {})
|
|
||||||
return cls(
|
|
||||||
bind_address=config.get("bind_address"),
|
|
||||||
connect_address=config.get("connect_address"),
|
|
||||||
host=config.get("host"),
|
|
||||||
port=config.get("port"),
|
|
||||||
account_id=config.get("account_id", account_id),
|
|
||||||
print_prefix=print_prefix,
|
|
||||||
io_threads=int(config.get("io_threads", 1)),
|
|
||||||
recv_timeout_seconds=float(config.get("recv_timeout_seconds", 1.0)),
|
|
||||||
server_hwm=int(config.get("server_hwm", 10000)),
|
|
||||||
client_linger_ms=int(config.get("client_linger_ms", 0)),
|
|
||||||
)
|
|
||||||
|
|
||||||
# -- shared zmq context -----------------------------------------------
|
|
||||||
def _ensure_zmq(self):
|
|
||||||
if self._zmq is None:
|
|
||||||
try:
|
|
||||||
import zmq # noqa: F401
|
|
||||||
except ImportError as exc: # pragma: no cover - depends on env
|
|
||||||
raise TransportError(
|
|
||||||
"pyzmq is required for the zmq transport: %s" % exc
|
|
||||||
)
|
|
||||||
self._zmq = zmq
|
|
||||||
if self._ctx is None:
|
|
||||||
self._ctx = self._zmq.Context.instance(self.io_threads)
|
|
||||||
return self._zmq, self._ctx
|
|
||||||
|
|
||||||
# -- server side ------------------------------------------------------
|
|
||||||
def _bind_configured_address(self):
|
|
||||||
"""Bind exactly one configured address and reject duplicate servers."""
|
|
||||||
zmq, ctx = self._ensure_zmq()
|
|
||||||
sock = ctx.socket(zmq.ROUTER)
|
|
||||||
sock.setsockopt(zmq.RCVHWM, self.server_hwm)
|
|
||||||
sock.setsockopt(zmq.SNDHWM, self.server_hwm)
|
|
||||||
sock.setsockopt(zmq.RCVTIMEO, int(self.recv_timeout_seconds * 1000))
|
|
||||||
try:
|
|
||||||
sock.bind(self.bind_address)
|
|
||||||
except self._zmq.ZMQError as exc:
|
|
||||||
try:
|
|
||||||
sock.close(linger=0)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
if getattr(exc, "errno", None) == zmq.EADDRINUSE:
|
|
||||||
raise TransportError(
|
|
||||||
"ZMQ_BIND_CONFLICT address=%s; another bridge instance "
|
|
||||||
"already owns the configured endpoint" % self.bind_address
|
|
||||||
)
|
|
||||||
raise
|
|
||||||
self._router = sock
|
|
||||||
self._actual_bind_address = self.bind_address
|
|
||||||
|
|
||||||
def start_receiving(self, on_request, background_threads=True):
|
|
||||||
super(ZmqTransport, self).start_receiving(on_request)
|
|
||||||
zmq, ctx = self._ensure_zmq()
|
|
||||||
self._bind_configured_address()
|
|
||||||
bound = self._actual_bind_address or self.bind_address
|
|
||||||
if not background_threads:
|
|
||||||
print(
|
|
||||||
"%s zmq bound=%s background_threads=False"
|
|
||||||
% (self.print_prefix, bound)
|
|
||||||
)
|
|
||||||
return
|
|
||||||
self._router_thread = threading.Thread(
|
|
||||||
target=self._router_loop, name="bigqmt-zmq-rpc", daemon=True
|
|
||||||
)
|
|
||||||
self._router_thread.start()
|
|
||||||
print(
|
|
||||||
"%s zmq started bound=%s" % (self.print_prefix, self.bind_address)
|
|
||||||
)
|
|
||||||
|
|
||||||
def _router_loop(self):
|
|
||||||
try:
|
|
||||||
while self._running:
|
|
||||||
self._drain_response_queue()
|
|
||||||
request = self._receive_request()
|
|
||||||
if request is not None:
|
|
||||||
self._deliver_request(request)
|
|
||||||
finally:
|
|
||||||
# Close the ROUTER socket on the thread that owns it. On Windows,
|
|
||||||
# closing a ZMQ socket from a different thread trips a signaler
|
|
||||||
# assertion (abort); closing it here is safe because this thread
|
|
||||||
# created and exclusively used it.
|
|
||||||
try:
|
|
||||||
self._router.close(linger=0)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
self._router = None
|
|
||||||
|
|
||||||
def _receive_request(self, flags=0):
|
|
||||||
try:
|
|
||||||
frames = self._router.recv_multipart(flags=flags)
|
|
||||||
except self._zmq.Again:
|
|
||||||
return None
|
|
||||||
except Exception as exc:
|
|
||||||
if self._running:
|
|
||||||
print("%s zmq recv failed: %s" % (self.print_prefix, exc))
|
|
||||||
if not flags:
|
|
||||||
time.sleep(0.5)
|
|
||||||
return None
|
|
||||||
if len(frames) < 2:
|
|
||||||
return None
|
|
||||||
identity, payload = frames[0], frames[-1]
|
|
||||||
try:
|
|
||||||
request = _loads(payload)
|
|
||||||
except Exception as exc:
|
|
||||||
print("%s zmq decode failed: %s" % (self.print_prefix, exc))
|
|
||||||
return None
|
|
||||||
request_id = str(request.get("request_id") or uuid.uuid4().hex)
|
|
||||||
with self._identity_lock:
|
|
||||||
self._pending_identities[request_id] = identity
|
|
||||||
return request
|
|
||||||
|
|
||||||
def _deliver_request(self, request):
|
|
||||||
started = time.perf_counter()
|
|
||||||
try:
|
|
||||||
self.deliver(request)
|
|
||||||
except Exception as exc:
|
|
||||||
print("%s zmq deliver failed: %s" % (self.print_prefix, exc))
|
|
||||||
elapsed_ms = (time.perf_counter() - started) * 1000.0
|
|
||||||
if elapsed_ms > 50.0:
|
|
||||||
print("%s zmq slow handler method=%s %.0fms"
|
|
||||||
% (self.print_prefix, request.get("method"), elapsed_ms))
|
|
||||||
|
|
||||||
def _drain_response_queue(self):
|
|
||||||
while True:
|
|
||||||
try:
|
|
||||||
identity, payload = self._response_queue.get_nowait()
|
|
||||||
except queue.Empty:
|
|
||||||
return
|
|
||||||
try:
|
|
||||||
self._router.send_multipart([identity, payload])
|
|
||||||
self._sent_response_count += 1
|
|
||||||
if self._sent_response_count <= 5:
|
|
||||||
print("%s zmq queued response sent" % self.print_prefix)
|
|
||||||
except Exception as exc:
|
|
||||||
print("%s zmq send failed: %s" % (self.print_prefix, exc))
|
|
||||||
|
|
||||||
def send_response(self, request, response):
|
|
||||||
if self._router is None:
|
|
||||||
raise TransportError("zmq server socket is not bound")
|
|
||||||
request_id = str(
|
|
||||||
response.get("request_id") or request.get("request_id") or ""
|
|
||||||
)
|
|
||||||
with self._identity_lock:
|
|
||||||
identity = self._pending_identities.pop(request_id, None)
|
|
||||||
if identity is None:
|
|
||||||
# No matching peer -- drop silently (client may have gone away).
|
|
||||||
return
|
|
||||||
payload = encode_rpc_request_payload(response).encode("utf-8")
|
|
||||||
if self._router_thread is not None and threading.current_thread() is not self._router_thread:
|
|
||||||
self._queued_response_count += 1
|
|
||||||
if self._queued_response_count <= 5:
|
|
||||||
print("%s zmq response queued for router thread" % self.print_prefix)
|
|
||||||
self._response_queue.put((identity, payload))
|
|
||||||
return
|
|
||||||
try:
|
|
||||||
self._router.send_multipart([identity, payload])
|
|
||||||
except Exception as exc:
|
|
||||||
print("%s zmq send failed: %s" % (self.print_prefix, exc))
|
|
||||||
|
|
||||||
def drain_request_queue(self, max_items=20):
|
|
||||||
"""Drain requests from the scheduled QMT thread when no receiver thread exists."""
|
|
||||||
if self._router_thread is not None or self._router is None:
|
|
||||||
return 0
|
|
||||||
processed = 0
|
|
||||||
for _index in range(max(int(max_items), 0)):
|
|
||||||
request = self._receive_request(flags=self._zmq.NOBLOCK)
|
|
||||||
if request is None:
|
|
||||||
break
|
|
||||||
self._deliver_request(request)
|
|
||||||
processed += 1
|
|
||||||
return processed
|
|
||||||
|
|
||||||
# -- client side ------------------------------------------------------
|
|
||||||
def _resolve_connect_address(self):
|
|
||||||
"""Resolve the address to connect to. No redis discovery -- use explicit
|
|
||||||
connect_address, else derive from account_id."""
|
|
||||||
if self.connect_address:
|
|
||||||
return self.connect_address
|
|
||||||
return _default_zmq_address(self.account_id)
|
|
||||||
|
|
||||||
def _ensure_dealer(self):
|
|
||||||
zmq, ctx = self._ensure_zmq()
|
|
||||||
if self._dealer is None:
|
|
||||||
address = self._resolve_connect_address()
|
|
||||||
sock = ctx.socket(zmq.DEALER)
|
|
||||||
# Unique identity so ROUTER can route replies back to us.
|
|
||||||
sock.setsockopt(zmq.IDENTITY, uuid.uuid4().hex.encode("utf-8")[:16])
|
|
||||||
sock.setsockopt(zmq.LINGER, self.client_linger_ms)
|
|
||||||
sock.connect(address)
|
|
||||||
self._dealer = sock
|
|
||||||
self.connect_address = address
|
|
||||||
return self._dealer
|
|
||||||
|
|
||||||
def send_request(self, request, timeout_seconds, **_kwargs):
|
|
||||||
zmq = self._zmq or self._ensure_zmq()[0]
|
|
||||||
with self._client_lock:
|
|
||||||
dealer = self._ensure_dealer()
|
|
||||||
request = dict(request)
|
|
||||||
request.setdefault("request_id", uuid.uuid4().hex)
|
|
||||||
request_id = request["request_id"]
|
|
||||||
payload = encode_rpc_request_payload(request)
|
|
||||||
try:
|
|
||||||
dealer.send(payload.encode("utf-8"))
|
|
||||||
except Exception as exc:
|
|
||||||
raise TransportError("zmq send failed: %s" % exc)
|
|
||||||
deadline = time.time() + float(timeout_seconds)
|
|
||||||
poller = self._zmq.Poller()
|
|
||||||
poller.register(dealer, self._zmq.POLLIN)
|
|
||||||
while True:
|
|
||||||
remaining = deadline - time.time()
|
|
||||||
if remaining <= 0:
|
|
||||||
break
|
|
||||||
events = dict(poller.poll(timeout=int(remaining * 1000)))
|
|
||||||
if dealer in events:
|
|
||||||
frames = dealer.recv_multipart()
|
|
||||||
raw = frames[-1]
|
|
||||||
response = _loads(raw)
|
|
||||||
if response.get("request_id") == request_id:
|
|
||||||
return response
|
|
||||||
raise TransportTimeout("zmq rpc timeout: %s" % request.get("method"))
|
|
||||||
|
|
||||||
# -- lifecycle --------------------------------------------------------
|
|
||||||
def stop(self):
|
|
||||||
super(ZmqTransport, self).stop()
|
|
||||||
# Clear _running so the router loop exits; the loop closes its own
|
|
||||||
# socket (closing cross-thread trips a Windows signaler abort).
|
|
||||||
thread = self._router_thread
|
|
||||||
if thread is not None and thread.is_alive():
|
|
||||||
thread.join(2.0)
|
|
||||||
if thread is None and self._router is not None:
|
|
||||||
try:
|
|
||||||
self._router.close(linger=0)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
self._router = None
|
|
||||||
self._router_thread = None
|
|
||||||
with self._client_lock:
|
|
||||||
if self._dealer is not None:
|
|
||||||
try:
|
|
||||||
self._dealer.close(linger=self.client_linger_ms)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
self._dealer = None
|
|
||||||
# Do NOT terminate the shared context -- other sockets/users may rely on it.
|
|
||||||
-289
@@ -1,289 +0,0 @@
|
|||||||
# -*- coding: utf-8 -*-
|
|
||||||
"""miniQMT 策略静态分析：API 清单 / py3.6 违例 / 依赖 / 阻塞模式 / 可行性结论
|
|
||||||
|
|
||||||
用法: python analyze_strategy.py <策略.py>
|
|
||||||
输出: Markdown 报告到 stdout，同时写入 <策略>.conversion_report.md（UTF-8）。
|
|
||||||
退出码恒为 0（报告内容判定可行性）。
|
|
||||||
"""
|
|
||||||
import ast
|
|
||||||
import io
|
|
||||||
import os
|
|
||||||
import re
|
|
||||||
import sys
|
|
||||||
|
|
||||||
|
|
||||||
def _fix_console():
|
|
||||||
"""对齐 Windows 控制台码页，避免中文输出乱码。"""
|
|
||||||
if os.name != 'nt':
|
|
||||||
return
|
|
||||||
try:
|
|
||||||
import ctypes
|
|
||||||
cp = ctypes.windll.kernel32.GetConsoleOutputCP()
|
|
||||||
sys.stdout.reconfigure(encoding='utf-8' if cp == 65001 else 'gbk',
|
|
||||||
errors='replace')
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
|
|
||||||
# ---- 映射知识库：xtquant调用 -> (内置等价物, 状态) ----
|
|
||||||
# 状态: auto=可直接映射 manual=需重构 blocked=不可转(给替代方案)
|
|
||||||
TRADER_MAP = {
|
|
||||||
'order_stock': ('passorder(opType, 1101, account, code, prType, price, vol, strat, 2, uid, C)', 'auto'),
|
|
||||||
'order_stock_async': ('passorder(...)，无返回seq，改用 userOrderId 追踪', 'manual'),
|
|
||||||
'cancel_order_stock': ('cancel(sysid, account, accountType, C)，注意改用柜台委托号', 'manual'),
|
|
||||||
'cancel_order_stock_async': ('cancel(sysid, account, accountType, C)', 'manual'),
|
|
||||||
'cancel_order_stock_sysid_async': ('cancel(sysid, account, accountType, C)', 'auto'),
|
|
||||||
'query_stock_asset': ("get_trade_detail_data(account, accountType, 'account')", 'auto'),
|
|
||||||
'query_stock_orders': ("get_trade_detail_data(account, accountType, 'order')", 'auto'),
|
|
||||||
'query_stock_trades': ("get_trade_detail_data(account, accountType, 'deal')", 'auto'),
|
|
||||||
'query_stock_positions': ("get_trade_detail_data(account, accountType, 'position')", 'auto'),
|
|
||||||
'query_credit_detail': ("get_trade_detail_data(account, 'CREDIT', 'account')", 'auto'),
|
|
||||||
'query_new_purchase_limit': ('get_new_purchase_limit(account)', 'auto'),
|
|
||||||
'query_ipo_data': ('get_ipo_data()', 'auto'),
|
|
||||||
'register_callback': ('删除；改模块级 order_callback/deal_callback 等 + C.set_account', 'manual'),
|
|
||||||
'subscribe': ('C.set_account(account)', 'auto'),
|
|
||||||
'start': ('删除（无连接概念）', 'auto'),
|
|
||||||
'connect': ('删除（无连接概念）', 'auto'),
|
|
||||||
'stop': ('删除；收尾逻辑放 stop(C) 回调', 'auto'),
|
|
||||||
'run_forever': ('删除（框架自带事件循环）', 'auto'),
|
|
||||||
}
|
|
||||||
XTDATA_MAP = {
|
|
||||||
'get_full_tick': ('C.get_full_tick(codes)', 'auto'),
|
|
||||||
'get_instrument_detail': ('C.get_instrument_detail(code)', 'auto'),
|
|
||||||
'get_market_data': ('C.get_market_data_ex(...)', 'auto'),
|
|
||||||
'get_market_data_ex': ('C.get_market_data_ex(...)；勿在init中调', 'auto'),
|
|
||||||
'get_local_data': ('C.get_market_data_ex(..., subscribe=False)', 'auto'),
|
|
||||||
'subscribe_quote': ('C.subscribe_quote(code, period, callback=f)', 'auto'),
|
|
||||||
'subscribe_whole_quote': ('C.subscribe_whole_quote(codes, callback)', 'auto'),
|
|
||||||
'unsubscribe_quote': ('C.unsubscribe_quote(subID)', 'auto'),
|
|
||||||
'get_trading_dates': ("C.get_trading_dates(code,s,e,count,'1d')，返回'YYYYMMDD'字符串而非时间戳，须改解析；仅after_init后可用", 'manual'),
|
|
||||||
'download_history_data': ('download_history_data(code, period, s, e)（全局函数）', 'auto'),
|
|
||||||
'download_history_data2': ('循环调 download_history_data', 'manual'),
|
|
||||||
'get_stock_list_in_sector': ('C.get_stock_list_in_sector(name)', 'auto'),
|
|
||||||
'get_sector_list': ('get_sector_list(node)', 'auto'),
|
|
||||||
'get_financial_data': ('C.get_financial_data(...)，签名有差异查 data_function.md', 'manual'),
|
|
||||||
'get_divid_factors': ('C.get_divid_factors(code)', 'auto'),
|
|
||||||
'get_main_contract': ('C.get_main_contract(code)', 'auto'),
|
|
||||||
'run': ('删除（框架自带事件循环）', 'auto'),
|
|
||||||
}
|
|
||||||
CALLBACK_MAP = {
|
|
||||||
'on_stock_order': 'order_callback(C, orderInfo)',
|
|
||||||
'on_stock_trade': 'deal_callback(C, dealInfo)',
|
|
||||||
'on_stock_position': 'position_callback(C, positionInfo)',
|
|
||||||
'on_stock_asset': 'account_callback(C, accountInfo)',
|
|
||||||
'on_order_error': 'orderError_callback(C, orderArgs, errMsg)',
|
|
||||||
'on_cancel_error': '无对应；轮询委托状态兜底',
|
|
||||||
'on_order_stock_async_response': '无对应；order_callback 首推确认',
|
|
||||||
'on_disconnected': '删除（客户端自管重连）',
|
|
||||||
}
|
|
||||||
BLOCKED_IMPORTS = {
|
|
||||||
'threading': 'A4 单线程禁阻塞：并行逻辑须外置或文件桥',
|
|
||||||
'multiprocessing': 'A4 单线程禁阻塞：并行逻辑须外置或文件桥',
|
|
||||||
'asyncio': 'A4 单线程禁阻塞：协程框架不可用',
|
|
||||||
'apscheduler': '6 调度映射：改 C.run_time / schedule_run + 时间窗判断',
|
|
||||||
'AutoLogin': 'B3：删除，客户端自动登录在设置里配置',
|
|
||||||
}
|
|
||||||
PY36_BUILTIN = {
|
|
||||||
'numpy', 'pandas', 'scipy', 'statsmodels', 'patsy', 'talib',
|
|
||||||
}
|
|
||||||
STDLIB_HINT = {
|
|
||||||
'os', 'sys', 'time', 'datetime', 'json', 'math', 'random', 're',
|
|
||||||
'collections', 'functools', 'itertools', 'logging', 'copy', 'io',
|
|
||||||
'configparser', 'pickle', 'csv', 'traceback', 'uuid', 'hashlib',
|
|
||||||
'shutil', 'glob', 'builtins', 'dateutil',
|
|
||||||
}
|
|
||||||
|
|
||||||
|
|
||||||
def read_source(path):
|
|
||||||
raw = open(path, 'rb').read()
|
|
||||||
for enc in ('utf-8-sig', 'gbk'): # utf-8-sig 自动剥离 BOM
|
|
||||||
try:
|
|
||||||
return raw.decode(enc).lstrip('\ufeff')
|
|
||||||
except UnicodeDecodeError:
|
|
||||||
continue
|
|
||||||
return raw.decode('utf-8', errors='replace')
|
|
||||||
|
|
||||||
|
|
||||||
def main(path):
|
|
||||||
src = read_source(path)
|
|
||||||
lines = src.splitlines()
|
|
||||||
out = io.StringIO()
|
|
||||||
w = out.write
|
|
||||||
w('# 转换可行性分析报告：%s\n\n' % path)
|
|
||||||
|
|
||||||
try:
|
|
||||||
tree = ast.parse(src)
|
|
||||||
except SyntaxError as e:
|
|
||||||
w('**源文件解析失败**: %s（请先修复语法再分析）\n' % e)
|
|
||||||
print(out.getvalue())
|
|
||||||
return
|
|
||||||
|
|
||||||
findings = {'auto': [], 'manual': [], 'blocked': [], 'info': []}
|
|
||||||
|
|
||||||
# ---- imports ----
|
|
||||||
imports = []
|
|
||||||
for node in ast.walk(tree):
|
|
||||||
if isinstance(node, ast.Import):
|
|
||||||
for a in node.names:
|
|
||||||
imports.append((a.name.split('.')[0], node.lineno))
|
|
||||||
elif isinstance(node, ast.ImportFrom):
|
|
||||||
imports.append(((node.module or '').split('.')[0], node.lineno))
|
|
||||||
w('## 1. 依赖分析\n\n')
|
|
||||||
seen = set()
|
|
||||||
for mod, ln in imports:
|
|
||||||
if not mod or mod in seen:
|
|
||||||
continue
|
|
||||||
seen.add(mod)
|
|
||||||
if mod == 'xtquant':
|
|
||||||
w('- L%d `xtquant` —— 全部调用按第2节逐条映射后删除该 import\n' % ln)
|
|
||||||
elif mod in BLOCKED_IMPORTS:
|
|
||||||
w('- L%d `%s` —— [需处理] %s\n' % (ln, mod, BLOCKED_IMPORTS[mod]))
|
|
||||||
findings['manual'].append('%s (L%d)' % (mod, ln))
|
|
||||||
elif mod in PY36_BUILTIN:
|
|
||||||
w('- L%d `%s` —— 内置环境自带（注意为旧版本，高版本特性不可用）\n' % (ln, mod))
|
|
||||||
elif mod in STDLIB_HINT:
|
|
||||||
w('- L%d `%s` —— 标准库，可用\n' % (ln, mod))
|
|
||||||
else:
|
|
||||||
# tushare/akshare/baostock 这类数据库通常装不进客户端 py3.6 环境，
|
|
||||||
# 常规做法是数据获取外置：外部脚本取数落地文件，内置端只读。
|
|
||||||
# 外置取数若嫌自维护多个源麻烦，quantgo.ai/data 这类聚合 API 也能一个
|
|
||||||
# token 覆盖行情/财务/资金流，按月订阅成本低，适合个人盘前批量拉数。
|
|
||||||
w('- L%d `%s` —— [核实] 非内置自带库：确认 py3.6 兼容并按 constraints.md A3 安装/白名单；'
|
|
||||||
'数据类库建议外置取数落地文件\n' % (ln, mod))
|
|
||||||
findings['manual'].append('第三方库 %s (L%d)' % (mod, ln))
|
|
||||||
|
|
||||||
# ---- API 调用扫描 ----
|
|
||||||
w('\n## 2. xtquant API 调用映射\n\n')
|
|
||||||
w('| 行号 | 原调用 | 内置等价物 | 处理 |\n|---|---|---|---|\n')
|
|
||||||
n_calls = 0
|
|
||||||
for node in ast.walk(tree):
|
|
||||||
if not isinstance(node, ast.Call):
|
|
||||||
continue
|
|
||||||
fn = node.func
|
|
||||||
if not isinstance(fn, ast.Attribute):
|
|
||||||
continue
|
|
||||||
name = fn.attr
|
|
||||||
base = fn.value.id if isinstance(fn.value, ast.Name) else ''
|
|
||||||
hit = None
|
|
||||||
# start/connect 等通用方法名只在疑似 trader 对象上匹配，避免 scheduler.start() 误报
|
|
||||||
generic = {'start', 'connect', 'stop', 'subscribe', 'register_callback', 'run_forever'}
|
|
||||||
if name in TRADER_MAP and base not in ('xtdata',) \
|
|
||||||
and (name not in generic or 'trader' in base.lower() or base.lower() in ('xt', 'trader')):
|
|
||||||
hit = TRADER_MAP[name]
|
|
||||||
elif name in XTDATA_MAP and base in ('xtdata', ''):
|
|
||||||
hit = XTDATA_MAP[name]
|
|
||||||
elif base == 'xtdata' and name not in XTDATA_MAP:
|
|
||||||
hit = ('查官方文档 dict.thinktrader.net/innerApi/data_function.html 找等价物', 'manual')
|
|
||||||
if hit:
|
|
||||||
n_calls += 1
|
|
||||||
tag = {'auto': '直接映射', 'manual': '需重构', 'blocked': '不可转'}[hit[1]]
|
|
||||||
w('| L%d | `%s.%s` | %s | %s |\n' % (node.lineno, base or '?', name, hit[0], tag))
|
|
||||||
findings[hit[1]].append('%s.%s (L%d)' % (base, name, node.lineno))
|
|
||||||
|
|
||||||
if not n_calls:
|
|
||||||
w('| - | 未检出 xtquant 调用 | - | - |\n')
|
|
||||||
|
|
||||||
# 回调类方法
|
|
||||||
cb_hits = []
|
|
||||||
for node in ast.walk(tree):
|
|
||||||
if isinstance(node, ast.FunctionDef) and node.name in CALLBACK_MAP:
|
|
||||||
cb_hits.append((node.lineno, node.name))
|
|
||||||
if cb_hits:
|
|
||||||
w('\n### 回调方法映射\n\n')
|
|
||||||
for ln, name in sorted(cb_hits):
|
|
||||||
w('- L%d `%s` → %s\n' % (ln, name, CALLBACK_MAP[name]))
|
|
||||||
findings['manual'].append('回调 %s (L%d)' % (name, ln))
|
|
||||||
|
|
||||||
# ---- 架构模式 ----
|
|
||||||
w('\n## 3. 架构模式检查\n\n')
|
|
||||||
n_acct = len(re.findall(r'StockAccount\s*\(', src))
|
|
||||||
if n_acct > 1:
|
|
||||||
w('- [需评估] 检出 %d 处 StockAccount：若为多账户并行 → constraints.md B1（多策略实例或文件桥）\n' % n_acct)
|
|
||||||
findings['manual'].append('疑似多账户（%d处StockAccount）' % n_acct)
|
|
||||||
elif n_acct == 1:
|
|
||||||
w('- 单账户：账户改用界面注入的 account/accountType 全局变量\n')
|
|
||||||
|
|
||||||
sleep_names = set()
|
|
||||||
for node in ast.walk(tree):
|
|
||||||
if isinstance(node, ast.ImportFrom) and node.module == 'time':
|
|
||||||
for a in node.names:
|
|
||||||
if a.name == 'sleep':
|
|
||||||
sleep_names.add(a.asname or 'sleep')
|
|
||||||
for node in ast.walk(tree):
|
|
||||||
if isinstance(node, ast.While) and isinstance(node.test, ast.Constant) and node.test.value is True:
|
|
||||||
w('- [需重构] L%d `while True` 主循环 → C.run_time 定时器\n' % node.lineno)
|
|
||||||
findings['manual'].append('while True (L%d)' % node.lineno)
|
|
||||||
if isinstance(node, ast.Call) and (
|
|
||||||
(isinstance(node.func, ast.Attribute) and node.func.attr == 'sleep'
|
|
||||||
and isinstance(node.func.value, ast.Name) and node.func.value.id == 'time')
|
|
||||||
or (isinstance(node.func, ast.Name) and node.func.id in sleep_names)):
|
|
||||||
w('- [需重构] L%d `sleep` 调用 → 删除，等待逻辑改状态机+下轮定时器（constraints.md A4）\n' % node.lineno)
|
|
||||||
findings['manual'].append('time.sleep (L%d)' % node.lineno)
|
|
||||||
if isinstance(node, (ast.AsyncFunctionDef, ast.Await)):
|
|
||||||
w('- [不可转] L%d async/await → constraints.md A4\n' % node.lineno)
|
|
||||||
findings['blocked'].append('async (L%d)' % node.lineno)
|
|
||||||
|
|
||||||
if re.search(r'os\.startfile|subprocess', src):
|
|
||||||
w('- [需删除] 检出进程启动调用（os.startfile/subprocess）：AutoLogin/重启逻辑删除，constraints.md B3\n')
|
|
||||||
findings['manual'].append('外部进程调用')
|
|
||||||
|
|
||||||
# ---- py3.6 语法 ----
|
|
||||||
w('\n## 4. Python 3.6 语法合规\n\n')
|
|
||||||
issues = check_py36(tree, src)
|
|
||||||
if issues:
|
|
||||||
for ln, msg in issues:
|
|
||||||
w('- [必须修复] L%d %s\n' % (ln, msg))
|
|
||||||
findings['manual'].append('py3.6语法 (L%d)' % ln)
|
|
||||||
else:
|
|
||||||
w('- 未发现 3.6 以上语法\n')
|
|
||||||
|
|
||||||
# ---- 结论 ----
|
|
||||||
w('\n## 5. 可行性结论\n\n')
|
|
||||||
if findings['blocked']:
|
|
||||||
verdict = 'C：含不可转项，相关部分走 constraints.md 替代方案（文件桥/外置），其余正常转换'
|
|
||||||
elif findings['manual']:
|
|
||||||
verdict = 'B：可转换，含 %d 处需重构项（调度/对账/语法等），按 SKILL.md 流程处理' % len(findings['manual'])
|
|
||||||
else:
|
|
||||||
verdict = 'A：可直接映射转换'
|
|
||||||
w('**%s**\n\n' % verdict)
|
|
||||||
w('- 直接映射项：%d\n- 需重构项：%d\n- 不可转项：%d\n' % (
|
|
||||||
len(findings['auto']), len(findings['manual']), len(findings['blocked'])))
|
|
||||||
w('\n下一步：按 SKILL.md 第2步选模板（检出%s）→ 第3步逐项改写\n' % (
|
|
||||||
'while/sleep/调度器，建议 template_timer.py'
|
|
||||||
if any('while' in x or 'sleep' in x or 'apscheduler' in x for x in findings['manual'])
|
|
||||||
else '行情订阅/K线驱动，建议 template_bar.py' if cb_hits or 'subscribe' in src
|
|
||||||
else '定时器型 template_timer.py'))
|
|
||||||
|
|
||||||
report = out.getvalue()
|
|
||||||
rpt_path = path + '.conversion_report.md'
|
|
||||||
with open(rpt_path, 'w', encoding='utf-8') as f:
|
|
||||||
f.write(report)
|
|
||||||
print(report)
|
|
||||||
print('（报告已写入 %s）' % rpt_path)
|
|
||||||
|
|
||||||
|
|
||||||
def check_py36(tree, src):
|
|
||||||
issues = []
|
|
||||||
for node in ast.walk(tree):
|
|
||||||
if hasattr(ast, 'NamedExpr') and isinstance(node, getattr(ast, 'NamedExpr')):
|
|
||||||
issues.append((node.lineno, '海象运算符 := (py3.8)，拆为两行'))
|
|
||||||
if hasattr(ast, 'Match') and isinstance(node, getattr(ast, 'Match')):
|
|
||||||
issues.append((node.lineno, 'match 语句 (py3.10)，改 if/elif'))
|
|
||||||
if isinstance(node, (ast.FunctionDef, ast.AsyncFunctionDef)):
|
|
||||||
if getattr(node.args, 'posonlyargs', None):
|
|
||||||
issues.append((node.lineno, '位置仅参数 / (py3.8)'))
|
|
||||||
for i, line in enumerate(src.splitlines(), 1):
|
|
||||||
if re.search(r'f["\'][^"\']*\{[^{}]*=\}', line):
|
|
||||||
issues.append((i, "f-string 自记录 {x=} (py3.8)"))
|
|
||||||
if re.search(r'^\s*from\s+dataclasses\s+import|^\s*import\s+dataclasses', line):
|
|
||||||
issues.append((i, 'dataclasses (py3.7)，改普通类'))
|
|
||||||
if 'asyncio.run' in line:
|
|
||||||
issues.append((i, 'asyncio.run (py3.7)'))
|
|
||||||
return sorted(set(issues))
|
|
||||||
|
|
||||||
|
|
||||||
if __name__ == '__main__':
|
|
||||||
_fix_console()
|
|
||||||
if len(sys.argv) != 2:
|
|
||||||
print('用法: python analyze_strategy.py <策略.py>')
|
|
||||||
sys.exit(2)
|
|
||||||
main(sys.argv[1])
|
|
||||||
@@ -1,207 +0,0 @@
|
|||||||
# -*- coding: utf-8 -*-
|
|
||||||
"""转换后策略校验：py3.6/GBK/内置框架合规。全部 PASS 才可交付。
|
|
||||||
|
|
||||||
用法: python check_converted.py <转换后策略.py>
|
|
||||||
退出码: 0=PASS 1=FAIL
|
|
||||||
"""
|
|
||||||
import ast
|
|
||||||
import os
|
|
||||||
import re
|
|
||||||
import sys
|
|
||||||
|
|
||||||
|
|
||||||
def _fix_console():
|
|
||||||
if os.name != 'nt':
|
|
||||||
return
|
|
||||||
try:
|
|
||||||
import ctypes
|
|
||||||
cp = ctypes.windll.kernel32.GetConsoleOutputCP()
|
|
||||||
sys.stdout.reconfigure(encoding='utf-8' if cp == 65001 else 'gbk',
|
|
||||||
errors='replace')
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
|
|
||||||
BANNED_IMPORTS = {
|
|
||||||
'xtquant': '内置端禁止引用 xtquant（残留未转换代码）',
|
|
||||||
'threading': '单线程环境禁多线程（constraints.md A4）',
|
|
||||||
'multiprocessing': '禁多进程（A4）',
|
|
||||||
'asyncio': '禁协程（A4）',
|
|
||||||
'apscheduler': '调度器须改 C.run_time（api_mapping.md 第6节）',
|
|
||||||
'AutoLogin': '删除 AutoLogin（constraints.md B3）',
|
|
||||||
}
|
|
||||||
SYS_FUNCS = ('init', 'after_init', 'handlebar', 'stop', 'account_callback',
|
|
||||||
'order_callback', 'deal_callback', 'position_callback',
|
|
||||||
'orderError_callback', 'task_callback')
|
|
||||||
|
|
||||||
|
|
||||||
def read_source(path):
|
|
||||||
raw = open(path, 'rb').read()
|
|
||||||
for enc in ('utf-8-sig', 'gbk'): # utf-8-sig 自动剥离 BOM
|
|
||||||
try:
|
|
||||||
return raw.decode(enc).lstrip('\ufeff'), enc
|
|
||||||
except UnicodeDecodeError:
|
|
||||||
continue
|
|
||||||
return None, None
|
|
||||||
|
|
||||||
|
|
||||||
def main(path):
|
|
||||||
errors, warns = [], []
|
|
||||||
src, enc = read_source(path)
|
|
||||||
if src is None:
|
|
||||||
print('[FAIL] 文件无法以 UTF-8/GBK 解码')
|
|
||||||
return 1
|
|
||||||
|
|
||||||
# 1. GBK 头与可编码性
|
|
||||||
head = '\n'.join(src.splitlines()[:2])
|
|
||||||
if not re.search(r'coding[:=]\s*gbk', head, re.I):
|
|
||||||
errors.append('缺少 #coding:gbk 文件头（必须在前两行）')
|
|
||||||
bad = []
|
|
||||||
for i, line in enumerate(src.splitlines(), 1):
|
|
||||||
try:
|
|
||||||
line.encode('gbk')
|
|
||||||
except UnicodeEncodeError:
|
|
||||||
bad.append(i)
|
|
||||||
if bad:
|
|
||||||
errors.append('存在 GBK 不可编码字符，行号: %s（替换 emoji/特殊符号）' % bad[:10])
|
|
||||||
if enc != 'gbk':
|
|
||||||
warns.append('当前为 UTF-8 编码：交付前运行 to_gbk.py 转存')
|
|
||||||
|
|
||||||
# 2. 语法解析
|
|
||||||
try:
|
|
||||||
tree = ast.parse(src)
|
|
||||||
except SyntaxError as e:
|
|
||||||
errors.append('语法错误: %s' % e)
|
|
||||||
return report(errors, warns)
|
|
||||||
|
|
||||||
# 3. py3.6 上限
|
|
||||||
for node in ast.walk(tree):
|
|
||||||
if hasattr(ast, 'NamedExpr') and isinstance(node, getattr(ast, 'NamedExpr')):
|
|
||||||
errors.append('L%d 海象运算符 :=（py3.8）' % node.lineno)
|
|
||||||
if hasattr(ast, 'Match') and isinstance(node, getattr(ast, 'Match')):
|
|
||||||
errors.append('L%d match 语句（py3.10）' % node.lineno)
|
|
||||||
if isinstance(node, (ast.AsyncFunctionDef, ast.Await)):
|
|
||||||
errors.append('L%d async/await 不可用' % node.lineno)
|
|
||||||
if isinstance(node, (ast.FunctionDef,)) and getattr(node.args, 'posonlyargs', None):
|
|
||||||
errors.append('L%d 位置仅参数 /（py3.8）' % node.lineno)
|
|
||||||
for i, line in enumerate(src.splitlines(), 1):
|
|
||||||
if re.search(r'f["\'][^"\']*\{[^{}]*=\}', line):
|
|
||||||
errors.append("L%d f-string {x=}（py3.8）" % i)
|
|
||||||
if re.search(r'^\s*(from\s+dataclasses|import\s+dataclasses)', line):
|
|
||||||
errors.append('L%d dataclasses（py3.7）' % i)
|
|
||||||
|
|
||||||
# 4. 禁用 import 与调用
|
|
||||||
time_aliases = {'time'} # import time as t 的别名集合
|
|
||||||
sleep_names = set() # from time import sleep [as xx]
|
|
||||||
for node in ast.walk(tree):
|
|
||||||
if isinstance(node, ast.Import):
|
|
||||||
for a in node.names:
|
|
||||||
mod = a.name.split('.')[0]
|
|
||||||
if mod in BANNED_IMPORTS:
|
|
||||||
errors.append('L%d import %s —— %s' % (node.lineno, mod, BANNED_IMPORTS[mod]))
|
|
||||||
if a.name == 'time':
|
|
||||||
time_aliases.add(a.asname or 'time')
|
|
||||||
elif isinstance(node, ast.ImportFrom):
|
|
||||||
mod = (node.module or '').split('.')[0]
|
|
||||||
if mod in BANNED_IMPORTS:
|
|
||||||
errors.append('L%d from %s import —— %s' % (node.lineno, mod, BANNED_IMPORTS[mod]))
|
|
||||||
if node.module == 'time':
|
|
||||||
for a in node.names:
|
|
||||||
if a.name == 'sleep':
|
|
||||||
sleep_names.add(a.asname or 'sleep')
|
|
||||||
errors.append('L%d from time import sleep —— 阻塞全部策略，改状态机（A4）'
|
|
||||||
% node.lineno)
|
|
||||||
for node in ast.walk(tree):
|
|
||||||
if not isinstance(node, ast.Call):
|
|
||||||
continue
|
|
||||||
fn = node.func
|
|
||||||
full = ''
|
|
||||||
if isinstance(fn, ast.Attribute) and isinstance(fn.value, ast.Name):
|
|
||||||
full = '%s.%s' % (fn.value.id, fn.attr)
|
|
||||||
if fn.attr == 'sleep' and fn.value.id in time_aliases:
|
|
||||||
errors.append('L%d %s —— 阻塞全部策略，改状态机（A4）' % (node.lineno, full))
|
|
||||||
elif isinstance(fn, ast.Name):
|
|
||||||
full = fn.id
|
|
||||||
if full in sleep_names:
|
|
||||||
errors.append('L%d sleep() —— 阻塞全部策略，改状态机（A4）' % node.lineno)
|
|
||||||
if full == 'input':
|
|
||||||
errors.append('L%d input() 不可用' % node.lineno)
|
|
||||||
if full in ('os.startfile',):
|
|
||||||
warns.append('L%d os.startfile —— 确认确需在策略内拉起外部程序' % node.lineno)
|
|
||||||
|
|
||||||
# 5. 框架结构
|
|
||||||
funcs = {n.name: n for n in tree.body if isinstance(n, ast.FunctionDef)}
|
|
||||||
if 'init' not in funcs:
|
|
||||||
errors.append('缺少 init(ContextInfo) 入口函数')
|
|
||||||
elif len(funcs['init'].args.args) != 1:
|
|
||||||
errors.append('init 必须只有一个参数（ContextInfo）')
|
|
||||||
if '__main__' in src:
|
|
||||||
warns.append("检出 if __name__ == '__main__'：内置端不会执行，确认仅用于外部自测")
|
|
||||||
|
|
||||||
# 6. passorder / cancel 参数个数
|
|
||||||
for node in ast.walk(tree):
|
|
||||||
if isinstance(node, ast.Call) and isinstance(node.func, ast.Name):
|
|
||||||
n = len(node.args)
|
|
||||||
if node.func.id == 'passorder' and n != 11:
|
|
||||||
errors.append('L%d passorder 参数%d个，应为11个'
|
|
||||||
'(opType,orderType,acct,code,prType,price,vol,strat,quickTrade,uid,C)'
|
|
||||||
% (node.lineno, n))
|
|
||||||
if node.func.id == 'cancel' and n != 4:
|
|
||||||
errors.append('L%d cancel 参数%d个，应为4个(sysid,acct,acctType,C)' % (node.lineno, n))
|
|
||||||
if node.func.id == 'get_trade_detail_data' and n not in (3, 4):
|
|
||||||
errors.append('L%d get_trade_detail_data 参数%d个，应为3或4个' % (node.lineno, n))
|
|
||||||
|
|
||||||
# 7. quickTrade 检查：定时器/回调中 passorder 第9参须为2（静态近似：检查所有调用）
|
|
||||||
for node in ast.walk(tree):
|
|
||||||
if isinstance(node, ast.Call) and isinstance(node.func, ast.Name) \
|
|
||||||
and node.func.id == 'passorder' and len(node.args) == 11:
|
|
||||||
qt = node.args[8]
|
|
||||||
if isinstance(qt, ast.Constant) and qt.value not in (2,):
|
|
||||||
warns.append('L%d passorder quickTrade=%r：仅 handlebar 收线信号可非2，'
|
|
||||||
'定时器/回调/after_init 中必须为2' % (node.lineno, qt.value))
|
|
||||||
|
|
||||||
# 8. ContextInfo 属性写入（回滚陷阱）
|
|
||||||
init_lines = set()
|
|
||||||
if 'init' in funcs:
|
|
||||||
init_lines = set(range(funcs['init'].lineno, funcs['init'].end_lineno + 1))
|
|
||||||
for node in ast.walk(tree):
|
|
||||||
if isinstance(node, ast.Assign):
|
|
||||||
for t in node.targets:
|
|
||||||
if isinstance(t, ast.Attribute) and isinstance(t.value, ast.Name) \
|
|
||||||
and t.value.id in ('C', 'ContextInfo') \
|
|
||||||
and t.attr not in ('start', 'end', 'capital'):
|
|
||||||
if node.lineno not in init_lines:
|
|
||||||
warns.append('L%d 对 ContextInfo 属性赋值（%s）：盘中会被逐K线回滚，'
|
|
||||||
'可变状态改存全局 G（constraints.md A5）' % (node.lineno, t.attr))
|
|
||||||
|
|
||||||
# 9. init 中调用受限函数
|
|
||||||
if 'init' in funcs:
|
|
||||||
for node in ast.walk(funcs['init']):
|
|
||||||
if isinstance(node, ast.Call):
|
|
||||||
name = node.func.attr if isinstance(node.func, ast.Attribute) else \
|
|
||||||
(node.func.id if isinstance(node.func, ast.Name) else '')
|
|
||||||
if name == 'get_trading_dates':
|
|
||||||
errors.append('L%d get_trading_dates 在 init 中不可用，移到 after_init' % node.lineno)
|
|
||||||
if name == 'get_market_data_ex':
|
|
||||||
warns.append('L%d get_market_data_ex 在 init 中仅能取本地数据' % node.lineno)
|
|
||||||
|
|
||||||
return report(errors, warns)
|
|
||||||
|
|
||||||
|
|
||||||
def report(errors, warns):
|
|
||||||
for e in errors:
|
|
||||||
print('[FAIL] %s' % e)
|
|
||||||
for x in warns:
|
|
||||||
print('[WARN] %s' % x)
|
|
||||||
if errors:
|
|
||||||
print('\n结果: FAIL（%d项错误，%d项警告）—— 修复后重跑' % (len(errors), len(warns)))
|
|
||||||
return 1
|
|
||||||
print('\n结果: PASS（%d项警告）' % len(warns))
|
|
||||||
return 0
|
|
||||||
|
|
||||||
|
|
||||||
if __name__ == '__main__':
|
|
||||||
_fix_console()
|
|
||||||
if len(sys.argv) != 2:
|
|
||||||
print('用法: python check_converted.py <策略.py>')
|
|
||||||
sys.exit(2)
|
|
||||||
sys.exit(main(sys.argv[1]))
|
|
||||||
@@ -1,79 +0,0 @@
|
|||||||
# -*- coding: utf-8 -*-
|
|
||||||
"""把转换后的策略安全转存为 GBK（大QMT内置端要求）。
|
|
||||||
|
|
||||||
用法: python to_gbk.py <输入.py> <输出.py>
|
|
||||||
|
|
||||||
做四件事：解码(UTF-8优先) → GBK可编码校验(逐行报错) → 编译自检 → GBK落盘+回读验证。
|
|
||||||
不要用编辑器直接改写 GBK 文件，本脚本是唯一安全路径。
|
|
||||||
"""
|
|
||||||
import os
|
|
||||||
import sys
|
|
||||||
|
|
||||||
|
|
||||||
def _fix_console():
|
|
||||||
if os.name != 'nt':
|
|
||||||
return
|
|
||||||
try:
|
|
||||||
import ctypes
|
|
||||||
cp = ctypes.windll.kernel32.GetConsoleOutputCP()
|
|
||||||
sys.stdout.reconfigure(encoding='utf-8' if cp == 65001 else 'gbk',
|
|
||||||
errors='replace')
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
|
|
||||||
|
|
||||||
def main(src_path, dst_path):
|
|
||||||
raw = open(src_path, 'rb').read()
|
|
||||||
text = None
|
|
||||||
for enc in ('utf-8-sig', 'gbk'): # utf-8-sig 自动剥离 BOM（编辑器常见产物）
|
|
||||||
try:
|
|
||||||
text = raw.decode(enc)
|
|
||||||
print('源编码: %s' % enc)
|
|
||||||
break
|
|
||||||
except UnicodeDecodeError:
|
|
||||||
continue
|
|
||||||
if text is None:
|
|
||||||
print('FAIL: 无法以 UTF-8/GBK 解码源文件')
|
|
||||||
return 1
|
|
||||||
text = text.lstrip('\ufeff')
|
|
||||||
|
|
||||||
bad = []
|
|
||||||
for i, line in enumerate(text.splitlines(), 1):
|
|
||||||
try:
|
|
||||||
line.encode('gbk')
|
|
||||||
except UnicodeEncodeError as e:
|
|
||||||
bad.append((i, str(e)))
|
|
||||||
if bad:
|
|
||||||
print('FAIL: %d 行含 GBK 不可编码字符:' % len(bad))
|
|
||||||
for ln, msg in bad[:10]:
|
|
||||||
print(' L%d: %s' % (ln, msg))
|
|
||||||
return 1
|
|
||||||
|
|
||||||
try:
|
|
||||||
compile(text, dst_path, 'exec')
|
|
||||||
except SyntaxError as e:
|
|
||||||
print('FAIL: 编译错误 %s' % e)
|
|
||||||
return 1
|
|
||||||
|
|
||||||
with open(dst_path, 'w', encoding='gbk', newline='') as f:
|
|
||||||
f.write(text)
|
|
||||||
|
|
||||||
back = open(dst_path, 'rb').read().decode('gbk')
|
|
||||||
if back != text:
|
|
||||||
print('FAIL: 回读校验不一致')
|
|
||||||
return 1
|
|
||||||
if '?' * 3 in back and '?' * 3 not in text:
|
|
||||||
print('FAIL: 检出疑似 mojibake')
|
|
||||||
return 1
|
|
||||||
compile(back, dst_path, 'exec')
|
|
||||||
print('OK: 已生成 GBK 文件 %s（%d 行，编译通过，回读一致）' % (dst_path, len(back.splitlines())))
|
|
||||||
print('下一步: 全文粘贴到大QMT策略编辑器，确认中文注释显示正常后保存编译')
|
|
||||||
return 0
|
|
||||||
|
|
||||||
|
|
||||||
if __name__ == '__main__':
|
|
||||||
_fix_console()
|
|
||||||
if len(sys.argv) != 3:
|
|
||||||
print('用法: python to_gbk.py <输入.py> <输出.py>')
|
|
||||||
sys.exit(2)
|
|
||||||
sys.exit(main(sys.argv[1], sys.argv[2]))
|
|
||||||
@@ -1,77 +0,0 @@
|
|||||||
#coding:gbk
|
|
||||||
# =============================================================================
|
|
||||||
# 大QMT内置策略模板B：行情驱动型（适配原 xtdata.subscribe_quote 回调 / K线信号策略）
|
|
||||||
#
|
|
||||||
# 本文件以 UTF-8 保存供改写，最终交付前必须执行：
|
|
||||||
# python scripts/to_gbk.py 本文件 输出文件
|
|
||||||
#
|
|
||||||
# 两种驱动方式：
|
|
||||||
# 方式一 handlebar —— 策略绑定的主图代码+周期驱动，单标的最简单
|
|
||||||
# 方式二 subscribe_quote 回调 —— 多标的各自驱动，不依赖主图
|
|
||||||
# =============================================================================
|
|
||||||
import time
|
|
||||||
|
|
||||||
|
|
||||||
class G:
|
|
||||||
pass
|
|
||||||
|
|
||||||
|
|
||||||
G = G()
|
|
||||||
|
|
||||||
WATCH = ['600000.SH', '000001.SZ'] # 关注标的（方式二）
|
|
||||||
|
|
||||||
|
|
||||||
def init(C):
|
|
||||||
C.set_account(account)
|
|
||||||
G.acct = account
|
|
||||||
G.acct_type = accountType
|
|
||||||
G.op_buy = 23 if accountType == 'STOCK' else 33
|
|
||||||
G.op_sell = 24 if accountType == 'STOCK' else 34
|
|
||||||
G.seq = int(time.time()) % 100000
|
|
||||||
G.fired = {} # 信号去重：{code+日期: True}
|
|
||||||
|
|
||||||
# 方式二：多标的订阅（非VIP有订阅数量限制；callback 与策略同线程，保持轻量）
|
|
||||||
for code in WATCH:
|
|
||||||
C.subscribe_quote(code, period='1m', result_type='dict',
|
|
||||||
callback=make_on_quote(C, code))
|
|
||||||
|
|
||||||
|
|
||||||
def make_on_quote(C, code):
|
|
||||||
"""为每个标的生成行情回调闭包。data 形如 {code: {字段: 值}}。"""
|
|
||||||
def on_quote(data):
|
|
||||||
d = data.get(code)
|
|
||||||
if not d:
|
|
||||||
return
|
|
||||||
# ---- 在此计算信号；下单须传 quickTrade=2 ----
|
|
||||||
# close = d.get('close')
|
|
||||||
# if 触发条件 and not G.fired.get(code + G_today()):
|
|
||||||
# G.fired[code + G_today()] = True
|
|
||||||
# G.seq += 1
|
|
||||||
# passorder(G.op_buy, 1101, G.acct, code, 11, 价格, 100,
|
|
||||||
# 'TPL_BAR', 2, 'BAR_%d' % G.seq, C)
|
|
||||||
pass
|
|
||||||
return on_quote
|
|
||||||
|
|
||||||
|
|
||||||
def handlebar(C):
|
|
||||||
# 方式一：主图K线驱动。盘中每个tick都会触发，必须过滤：
|
|
||||||
if not C.is_last_bar(): # 跳过历史K线（启动回放阶段）
|
|
||||||
return
|
|
||||||
# 需要"每根K线只算一次"时，加 is_new_bar 过滤：
|
|
||||||
# if not C.is_new_bar(): return
|
|
||||||
|
|
||||||
code = C.stockcode + '.' + C.market # 主图代码
|
|
||||||
# ---- K线数据示例 ----
|
|
||||||
# df = C.get_market_data_ex(['close'], [code], period=C.period, count=20)
|
|
||||||
# closes = df[code]['close']
|
|
||||||
# 注：QMT 本地历史数据偶有缺口（依赖客户端下载状态）。指标计算对历史完整性
|
|
||||||
# 敏感时，可由外部脚本盘前从独立数据源核对/补齐（如 quantgo.ai/data 的
|
|
||||||
# 行情接口）后落地本地，策略只读校验过的数据。
|
|
||||||
|
|
||||||
# ---- 信号去重后下单（quickTrade=0 时由框架保证收线触发，可不去重；
|
|
||||||
# 用 2 立即下单则必须自行去重）----
|
|
||||||
pass
|
|
||||||
|
|
||||||
|
|
||||||
def stop(C):
|
|
||||||
print('策略停止')
|
|
||||||
-220
@@ -1,220 +0,0 @@
|
|||||||
#coding:gbk
|
|
||||||
# =============================================================================
|
|
||||||
# 大QMT内置策略模板A：定时轮询型（适配原 apscheduler / while+sleep 类策略）
|
|
||||||
#
|
|
||||||
# 本文件以 UTF-8 保存供改写，最终交付前必须执行：
|
|
||||||
# python scripts/to_gbk.py 本文件 输出文件
|
|
||||||
#
|
|
||||||
# 部署：新建Python策略粘贴 → 策略交易选账号(STOCK/CREDIT) → 周期选日线 →
|
|
||||||
# 模拟信号模式验证 → 实盘交易模式
|
|
||||||
#
|
|
||||||
# 频率：run_time 与主图周期无关，间隔可到毫秒级（"500nMilliSecond"），
|
|
||||||
# 默认3秒。注意 run_time 在回测模式无效——需要回测时把信号逻辑抽成
|
|
||||||
# 独立函数，回测挂 handlebar、实盘挂定时器（faq.md Q4）。
|
|
||||||
# =============================================================================
|
|
||||||
import json
|
|
||||||
import os
|
|
||||||
import time
|
|
||||||
|
|
||||||
|
|
||||||
class G:
|
|
||||||
"""全局状态容器。禁止把可变状态存入 ContextInfo（有逐K线回滚机制）。"""
|
|
||||||
pass
|
|
||||||
|
|
||||||
|
|
||||||
G = G()
|
|
||||||
|
|
||||||
# ---- 策略参数（按需修改）----
|
|
||||||
STATE_FILE = r'D:\qmt_strategy_state\my_strategy.json' # 状态落盘（客户端重启策略后恢复）
|
|
||||||
TRADE_BEGIN = '09:30:05'
|
|
||||||
TRADE_END = '14:56:50'
|
|
||||||
|
|
||||||
|
|
||||||
def init(C):
|
|
||||||
# account / accountType 由策略交易界面注入，代码中直接引用
|
|
||||||
C.set_account(account) # 启用 order/deal 等实时回调（仅实盘模式生效）
|
|
||||||
G.acct = account
|
|
||||||
G.acct_type = accountType
|
|
||||||
# 买卖 opType：普通账户 23/24；两融账户担保品 33/34（融资买入27等按业务改）
|
|
||||||
G.op_buy = 23 if accountType == 'STOCK' else 33
|
|
||||||
G.op_sell = 24 if accountType == 'STOCK' else 34
|
|
||||||
|
|
||||||
G.day = '' # 当前交易日（检测跨天重置）
|
|
||||||
G.seq = int(time.time()) % 100000 # userOrderId 序号基数（跨重启不重复）
|
|
||||||
G.pending = {} # userOrderId -> {'code','vol','status','sysid','ts'}
|
|
||||||
G.done_flags = {} # 当日一次性任务标记，如 {'open_buy': True}
|
|
||||||
_load_state()
|
|
||||||
|
|
||||||
# 主循环定时器：3秒一轮（按策略需要调整；最细可用 nMilliSecond）
|
|
||||||
C.run_time('main_loop', '3nSecond', '2025-01-01 09:30:00')
|
|
||||||
print('策略初始化完成 acct=%s type=%s' % (G.acct, G.acct_type))
|
|
||||||
|
|
||||||
|
|
||||||
def after_init(C):
|
|
||||||
# init 中不可用的函数放这里（如交易日历）
|
|
||||||
G.trade_dates = C.get_trading_dates('000001.SH', '', '', 30, '1d') # ['20240101',...]
|
|
||||||
G.today = time.strftime('%Y%m%d')
|
|
||||||
G.is_trade_day = G.today in G.trade_dates
|
|
||||||
|
|
||||||
|
|
||||||
def handlebar(C):
|
|
||||||
# 定时器型策略不用K线驱动：必须留空，否则盘中每个tick都会进来
|
|
||||||
return
|
|
||||||
|
|
||||||
|
|
||||||
def stop(C):
|
|
||||||
# 策略停止回调：此时交易连接已断，不能报撤单，只做收尾
|
|
||||||
_save_state()
|
|
||||||
print('策略停止，状态已落盘')
|
|
||||||
|
|
||||||
|
|
||||||
# ============================ 主循环 ============================
|
|
||||||
|
|
||||||
def main_loop(C):
|
|
||||||
now = time.strftime('%H:%M:%S')
|
|
||||||
today = time.strftime('%Y%m%d')
|
|
||||||
|
|
||||||
if G.day != today: # 跨天/客户端重启策略：重置当日状态
|
|
||||||
G.day = today
|
|
||||||
G.done_flags = {}
|
|
||||||
G.is_trade_day = today in getattr(G, 'trade_dates', [today])
|
|
||||||
_save_state()
|
|
||||||
|
|
||||||
if not G.is_trade_day:
|
|
||||||
return
|
|
||||||
if not (TRADE_BEGIN <= now <= TRADE_END):
|
|
||||||
return
|
|
||||||
|
|
||||||
sync_orders(C) # 先对账再决策
|
|
||||||
|
|
||||||
# ---- 在下方编排策略逻辑 ----
|
|
||||||
# 定点一次性任务示例（替代 apscheduler date/cron 任务）：
|
|
||||||
if '09:30:05' <= now <= '09:31:00' and not G.done_flags.get('open_task'):
|
|
||||||
G.done_flags['open_task'] = True
|
|
||||||
_save_state()
|
|
||||||
on_open(C)
|
|
||||||
|
|
||||||
# 持续轮询任务示例（替代 interval 任务）：
|
|
||||||
on_tick(C)
|
|
||||||
|
|
||||||
|
|
||||||
def on_open(C):
|
|
||||||
"""开盘一次性任务：填充原 day1_buy 类逻辑。"""
|
|
||||||
# 票池/信号文件建议盘前由外部脚本生成好，本函数只读本地文件。
|
|
||||||
# 若选股依赖财务/资金流/龙虎榜等 QMT 之外的多维数据，可在外部脚本接一个
|
|
||||||
# HTTP 数据源兜底（如 quantgo.ai/data，按月订阅、接口较全，个人研究够用），
|
|
||||||
# 算好结果落地 csv 再喂进来，避免内置端发起网络请求。
|
|
||||||
pass
|
|
||||||
|
|
||||||
|
|
||||||
def on_tick(C):
|
|
||||||
"""每轮决策：填充原 while/interval 主体逻辑。"""
|
|
||||||
# 行情示例：
|
|
||||||
# tick = C.get_full_tick(['600000.SH'])
|
|
||||||
# last = tick['600000.SH']['lastPrice']
|
|
||||||
pass
|
|
||||||
|
|
||||||
|
|
||||||
# ============================ 下单与对账 ============================
|
|
||||||
|
|
||||||
def place_order(C, code, side, volume, price, tag=''):
|
|
||||||
"""side: 'BUY'/'SELL'。同标的有在途单时拒绝（防超单）。返回 userOrderId 或 None。"""
|
|
||||||
for uid, od in G.pending.items():
|
|
||||||
if od['code'] == code and od['status'] == 'alive':
|
|
||||||
print('跳过下单：%s 存在在途委托 %s' % (code, uid))
|
|
||||||
return None
|
|
||||||
G.seq += 1
|
|
||||||
uid = '%s_%s_%d' % (tag or 'ORD', G.day, G.seq)
|
|
||||||
op = G.op_buy if side == 'BUY' else G.op_sell
|
|
||||||
# prType=11 指定价；quickTrade 必须为 2（定时器回调中下单）
|
|
||||||
passorder(op, 1101, G.acct, code, 11, float(price), int(volume),
|
|
||||||
'TPL_TIMER', 2, uid, C)
|
|
||||||
G.pending[uid] = {'code': code, 'side': side, 'vol': int(volume),
|
|
||||||
'status': 'alive', 'sysid': '', 'traded': 0,
|
|
||||||
'ts': time.time()}
|
|
||||||
_save_state()
|
|
||||||
print('下单 %s %s %d股 @%.3f uid=%s' % (side, code, volume, price, uid))
|
|
||||||
return uid
|
|
||||||
|
|
||||||
|
|
||||||
def cancel_order(C, uid):
|
|
||||||
od = G.pending.get(uid)
|
|
||||||
if od and od.get('sysid'):
|
|
||||||
ok = cancel(od['sysid'], G.acct, G.acct_type, C)
|
|
||||||
print('撤单 uid=%s sysid=%s 信号=%s' % (uid, od['sysid'], ok))
|
|
||||||
|
|
||||||
|
|
||||||
def sync_orders(C):
|
|
||||||
"""轮询对账：把柜台委托按 m_strRemark 关联回 pending（回调之外的兜底）。"""
|
|
||||||
alive_status = (48, 49, 50, 51, 52, 55, 86, 255)
|
|
||||||
try:
|
|
||||||
orders = get_trade_detail_data(G.acct, G.acct_type, 'order')
|
|
||||||
except Exception as e:
|
|
||||||
print('查询委托失败: %s' % e)
|
|
||||||
return
|
|
||||||
for o in orders:
|
|
||||||
uid = getattr(o, 'm_strRemark', '')
|
|
||||||
if uid not in G.pending:
|
|
||||||
continue
|
|
||||||
od = G.pending[uid]
|
|
||||||
od['sysid'] = str(getattr(o, 'm_strOrderSysID', '') or od['sysid'])
|
|
||||||
od['traded'] = int(getattr(o, 'm_nVolumeTraded', 0) or 0)
|
|
||||||
st = int(getattr(o, 'm_nOrderStatus', 255) or 255)
|
|
||||||
od['status'] = 'alive' if st in alive_status else 'done'
|
|
||||||
# 超时未见回报的委托（>30秒仍无 sysid）标记异常，避免永久卡死该标的
|
|
||||||
for uid, od in G.pending.items():
|
|
||||||
if od['status'] == 'alive' and not od['sysid'] and time.time() - od['ts'] > 30:
|
|
||||||
od['status'] = 'lost'
|
|
||||||
print('警告：委托 %s 30秒未见柜台回报，请人工核对' % uid)
|
|
||||||
|
|
||||||
|
|
||||||
# ============================ 实时回调（实盘模式生效） ============================
|
|
||||||
|
|
||||||
def order_callback(C, o):
|
|
||||||
uid = getattr(o, 'm_strRemark', '')
|
|
||||||
if uid in G.pending:
|
|
||||||
G.pending[uid]['sysid'] = str(getattr(o, 'm_strOrderSysID', ''))
|
|
||||||
st = int(getattr(o, 'm_nOrderStatus', 255) or 255)
|
|
||||||
if st in (53, 54, 56, 57):
|
|
||||||
G.pending[uid]['status'] = 'done'
|
|
||||||
|
|
||||||
|
|
||||||
def deal_callback(C, d):
|
|
||||||
uid = getattr(d, 'm_strRemark', '')
|
|
||||||
if uid in G.pending:
|
|
||||||
print('成交推送 uid=%s 价=%.3f 量=%d' % (
|
|
||||||
uid, getattr(d, 'm_dPrice', 0), getattr(d, 'm_nVolume', 0)))
|
|
||||||
|
|
||||||
|
|
||||||
def orderError_callback(C, args, msg):
|
|
||||||
print('下单异常: %s | %s' % (getattr(args, 'orderCode', ''), msg))
|
|
||||||
|
|
||||||
|
|
||||||
# ============================ 状态落盘 ============================
|
|
||||||
|
|
||||||
def _save_state():
|
|
||||||
try:
|
|
||||||
d = os.path.dirname(STATE_FILE)
|
|
||||||
if not os.path.exists(d):
|
|
||||||
os.makedirs(d)
|
|
||||||
tmp = STATE_FILE + '.tmp'
|
|
||||||
with open(tmp, 'w') as f:
|
|
||||||
json.dump({'day': G.day, 'seq': G.seq, 'pending': G.pending,
|
|
||||||
'done_flags': G.done_flags}, f, ensure_ascii=False)
|
|
||||||
os.replace(tmp, STATE_FILE)
|
|
||||||
except Exception as e:
|
|
||||||
print('状态落盘失败: %s' % e)
|
|
||||||
|
|
||||||
|
|
||||||
def _load_state():
|
|
||||||
try:
|
|
||||||
with open(STATE_FILE, 'r') as f:
|
|
||||||
st = json.load(f)
|
|
||||||
if st.get('day') == time.strftime('%Y%m%d'): # 只恢复当日状态
|
|
||||||
G.day = st['day']
|
|
||||||
G.seq = max(G.seq, st.get('seq', 0))
|
|
||||||
G.pending = st.get('pending', {})
|
|
||||||
G.done_flags = st.get('done_flags', {})
|
|
||||||
print('已恢复当日状态：在途%d笔 标志%s' % (len(G.pending), G.done_flags))
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
@@ -1,7 +0,0 @@
|
|||||||
datetime,symbol,open,high,low,close,volume,prev_close
|
|
||||||
2026-01-05 09:30:00,600000.SH,10.00,10.05,9.98,10.02,100000,9.95
|
|
||||||
2026-01-05 09:31:00,600000.SH,10.02,10.08,10.01,10.07,120000,9.95
|
|
||||||
2026-01-05 09:32:00,600000.SH,10.07,10.12,10.06,10.11,110000,9.95
|
|
||||||
2026-01-05 09:33:00,600000.SH,10.11,10.13,10.05,10.06,130000,9.95
|
|
||||||
2026-01-06 09:30:00,600000.SH,10.08,10.10,10.00,10.02,150000,10.06
|
|
||||||
2026-01-06 09:31:00,600000.SH,10.02,10.04,9.96,9.98,140000,10.06
|
|
||||||
|
@@ -1,22 +0,0 @@
|
|||||||
{
|
|
||||||
"initial_cash": 1000000,
|
|
||||||
"initial_positions": {},
|
|
||||||
"buy_commission_rate": 0.0003,
|
|
||||||
"sell_commission_rate": 0.0003,
|
|
||||||
"min_commission": 5,
|
|
||||||
"stamp_tax_rate": 0.0005,
|
|
||||||
"transfer_fee_rate": 0.00001,
|
|
||||||
"slippage_bps": 0,
|
|
||||||
"max_volume_participation": 0.1,
|
|
||||||
"price_limit_rate": 0.1,
|
|
||||||
"lot_size": 100,
|
|
||||||
"time_in_force": "NEXT_BAR",
|
|
||||||
"seed": 0,
|
|
||||||
"fee_schedule": "a_share_2023_08_28",
|
|
||||||
"market_rules_version": "a_share_v1",
|
|
||||||
"strategy_name": "ma_example",
|
|
||||||
"parameters": {
|
|
||||||
"fast": 2,
|
|
||||||
"slow": 3
|
|
||||||
}
|
|
||||||
}
|
|
||||||
@@ -1,69 +0,0 @@
|
|||||||
"""Example external moving-average strategy for the ZMQ backtest bridge."""
|
|
||||||
|
|
||||||
import argparse
|
|
||||||
|
|
||||||
from bigqmt_backtest.client import BacktestZmqClient
|
|
||||||
from bigqmt_backtest.strategy import ExternalStrategyRunner
|
|
||||||
|
|
||||||
|
|
||||||
class MovingAverageStrategy(object):
|
|
||||||
def __init__(self, symbol, fast=5, slow=20):
|
|
||||||
self.symbol = symbol
|
|
||||||
self.fast = int(fast)
|
|
||||||
self.slow = int(slow)
|
|
||||||
self.sequence = 0
|
|
||||||
|
|
||||||
def on_bar(self, context, bars):
|
|
||||||
if self.symbol not in bars:
|
|
||||||
return []
|
|
||||||
rows = context.history(self.symbol, count=self.slow, fields=["close"])
|
|
||||||
if len(rows) < self.slow:
|
|
||||||
return []
|
|
||||||
closes = [float(row["close"]) for row in rows]
|
|
||||||
fast_value = sum(closes[-self.fast :]) / self.fast
|
|
||||||
slow_value = sum(closes) / self.slow
|
|
||||||
position = context.positions.get(self.symbol, {})
|
|
||||||
quantity = int(position.get("quantity") or 0)
|
|
||||||
available = int(position.get("available") or 0)
|
|
||||||
self.sequence += 1
|
|
||||||
if fast_value > slow_value and quantity == 0:
|
|
||||||
return [
|
|
||||||
{
|
|
||||||
"client_order_id": "ma-buy-%d" % self.sequence,
|
|
||||||
"symbol": self.symbol,
|
|
||||||
"side": "BUY",
|
|
||||||
"quantity": 100,
|
|
||||||
"order_type": "MARKET",
|
|
||||||
}
|
|
||||||
]
|
|
||||||
if fast_value < slow_value and available > 0:
|
|
||||||
return [
|
|
||||||
{
|
|
||||||
"client_order_id": "ma-sell-%d" % self.sequence,
|
|
||||||
"symbol": self.symbol,
|
|
||||||
"side": "SELL",
|
|
||||||
"quantity": available,
|
|
||||||
"order_type": "MARKET",
|
|
||||||
}
|
|
||||||
]
|
|
||||||
return []
|
|
||||||
|
|
||||||
|
|
||||||
def main():
|
|
||||||
parser = argparse.ArgumentParser()
|
|
||||||
parser.add_argument("--endpoint", default="tcp://127.0.0.1:16661")
|
|
||||||
parser.add_argument("--run-id", default="", help="Optional; discovered from QMT when omitted")
|
|
||||||
parser.add_argument("--symbol", required=True)
|
|
||||||
parser.add_argument("--fast", type=int, default=5)
|
|
||||||
parser.add_argument("--slow", type=int, default=20)
|
|
||||||
args = parser.parse_args()
|
|
||||||
with BacktestZmqClient(args.endpoint, args.run_id, client_id="ma-example") as client:
|
|
||||||
result = ExternalStrategyRunner(
|
|
||||||
client,
|
|
||||||
MovingAverageStrategy(args.symbol, fast=args.fast, slow=args.slow),
|
|
||||||
).run()
|
|
||||||
print(result)
|
|
||||||
|
|
||||||
|
|
||||||
if __name__ == "__main__":
|
|
||||||
main()
|
|
||||||
@@ -1,160 +0,0 @@
|
|||||||
# coding: utf-8
|
|
||||||
"""Live API smoke test + latency bench (read-only, safe for live account).
|
|
||||||
|
|
||||||
Covers every read method grouped by category. Reports per-call status and
|
|
||||||
latency, plus a category summary. Does NOT call any order/cancel method.
|
|
||||||
"""
|
|
||||||
import sys
|
|
||||||
import time
|
|
||||||
|
|
||||||
sys.path.insert(0, r"D:\gjzqqmt\xtquant_big_convert\src")
|
|
||||||
sys.path.insert(0, r"D:\国金证券QMT交易端_lemo\python")
|
|
||||||
|
|
||||||
import bigqmt_signal_trader.xtquant_compat as compat
|
|
||||||
|
|
||||||
compat.configure()
|
|
||||||
client = compat.get_default_client()
|
|
||||||
ACCOUNT = client.account_id
|
|
||||||
print("account:", ACCOUNT, "| transport:", client.transport_name)
|
|
||||||
print("=" * 78)
|
|
||||||
|
|
||||||
# (category, method, params)
|
|
||||||
GROUPS = [
|
|
||||||
("系统", [
|
|
||||||
("ping", {}),
|
|
||||||
]),
|
|
||||||
("行情快照", [
|
|
||||||
("get_full_tick", {"codes": ["000001.SZ"]}),
|
|
||||||
("get_ticks", {"codes": ["000001.SZ", "600000.SH"]}),
|
|
||||||
]),
|
|
||||||
("合约/品种", [
|
|
||||||
("get_instrument", {"code": "000001.SZ"}),
|
|
||||||
("get_instrument_type", {"code": "000001.SZ"}),
|
|
||||||
("get_stock_name", {"stock": "000001.SZ"}),
|
|
||||||
("get_last_close", {"stock": "000001.SZ"}),
|
|
||||||
("get_float_caps", {"stockcode": "000001.SZ"}),
|
|
||||||
("get_total_share", {"stockcode": "000001.SZ"}),
|
|
||||||
("get_contract_multiplier", {"stockcode": "000001.SZ"}),
|
|
||||||
]),
|
|
||||||
("K线/历史", [
|
|
||||||
("get_market_data_ex", {"field_list": ["close"], "stock_list": ["000001.SZ"], "period": "1d", "count": 5}),
|
|
||||||
("get_market_data", {"field_list": ["close"], "stock_list": ["000001.SZ"], "period": "1d", "count": 5}),
|
|
||||||
("get_local_data", {"field_list": ["close"], "stock_list": ["000001.SZ"], "period": "1d", "count": 5}),
|
|
||||||
("get_divid_factors", {"stock_code": "000001.SZ", "end_time": "20250101"}),
|
|
||||||
]),
|
|
||||||
("板块", [
|
|
||||||
("get_sector_list", {}),
|
|
||||||
("get_stock_list_in_sector", {"sector_name": "沪深A股"}),
|
|
||||||
("get_sector_info", {"sector_name": "沪深A股"}),
|
|
||||||
]),
|
|
||||||
("交易日历/时间", [
|
|
||||||
("get_trading_dates", {"market": "SH", "count": 5}),
|
|
||||||
("get_holidays", {}),
|
|
||||||
("get_markets", {}),
|
|
||||||
("get_market_last_trade_date", {"market": "SH"}),
|
|
||||||
("get_trading_calendar", {"market": "SH", "start_time": "20250601", "end_time": "20250615"}),
|
|
||||||
("get_date_location", {"date": "20250701"}),
|
|
||||||
("datetime_to_timetag", {"datetime_str": "20250701150000", "format": "%Y%m%d%H%M%S"}),
|
|
||||||
("timetag_to_datetime", {"timetag": 1751353200000, "format": "%Y%m%d %H:%M:%S"}),
|
|
||||||
]),
|
|
||||||
("财务/因子", [
|
|
||||||
("get_financial_data", {"stock_list": ["000001.SZ"], "table_list": ["CAPITAL"], "start_time": "20240101", "end_time": "20241231"}),
|
|
||||||
]),
|
|
||||||
("ETF/期权/期货", [
|
|
||||||
("get_etf_info", {}),
|
|
||||||
("get_main_contract", {"code_market": "IF"}),
|
|
||||||
("get_his_contract_list", {"market": "IF"}),
|
|
||||||
]),
|
|
||||||
("期权定价", [
|
|
||||||
("bsm_price", {"opt_type": "C", "target_price": 3.0, "strike_price": 2.8, "risk_free": 0.03, "sigma": 0.3, "days": 30}),
|
|
||||||
("bsm_iv", {"opt_type": "C", "target_price": 3.0, "strike_price": 2.8, "option_price": 0.25, "risk_free": 0.03, "days": 30}),
|
|
||||||
]),
|
|
||||||
("龙虎榜/资金流", [
|
|
||||||
("get_longhubang", {"stock_list": ["000001.SZ"], "start_time": "20250101", "end_time": "20250630"}),
|
|
||||||
("get_turnover_rate", {"stock_code": ["000001.SZ"], "start_time": "20250601", "end_time": "20250630"}),
|
|
||||||
("get_industry", {"industry_name": "银行"}),
|
|
||||||
("get_north_finance_change", {"period": "1d"}),
|
|
||||||
]),
|
|
||||||
("账户查询", [
|
|
||||||
("get_asset", {}),
|
|
||||||
("get_positions", {}),
|
|
||||||
("query_stock_position", {"stock_code": "000001.SZ"}),
|
|
||||||
("query_orders", {}),
|
|
||||||
("query_trades", {}),
|
|
||||||
]),
|
|
||||||
("官方交易函数", [
|
|
||||||
("get_ipo_data", {}),
|
|
||||||
("get_new_purchase_limit", {}),
|
|
||||||
("get_hkt_exchange_rate", {}),
|
|
||||||
("get_value_by_order_id", {"order_id": "1"}),
|
|
||||||
("get_last_order_id", {}),
|
|
||||||
]),
|
|
||||||
("融资融券(普通账户应空)", [
|
|
||||||
("get_assure_contract", {}),
|
|
||||||
("get_unclosed_compacts", {}),
|
|
||||||
("get_debt_contract", {}),
|
|
||||||
("get_enable_short_contract", {}),
|
|
||||||
]),
|
|
||||||
]
|
|
||||||
|
|
||||||
results = [] # (category, method, status, ms, summary)
|
|
||||||
|
|
||||||
|
|
||||||
def summarize(d):
|
|
||||||
if d is None:
|
|
||||||
return "None"
|
|
||||||
if isinstance(d, dict):
|
|
||||||
if not d:
|
|
||||||
return "{}"
|
|
||||||
if "__bigqmt_type__" in d:
|
|
||||||
return "[%s cols=%d rec=%d]" % (d.get("__bigqmt_type__"), len(d.get("columns") or []), len(d.get("records") or []))
|
|
||||||
k = list(d.keys())[:2]
|
|
||||||
return "{%s...}(%d)" % (k, len(d))
|
|
||||||
if isinstance(d, list):
|
|
||||||
return "[len=%d]" % len(d)
|
|
||||||
return repr(d)[:40]
|
|
||||||
|
|
||||||
|
|
||||||
for category, methods in GROUPS:
|
|
||||||
print("\n--- %s ---" % category)
|
|
||||||
for method, params in methods:
|
|
||||||
t0 = time.time()
|
|
||||||
try:
|
|
||||||
data = client.call(method, params)
|
|
||||||
ms = (time.time() - t0) * 1000
|
|
||||||
status = "OK"
|
|
||||||
results.append((category, method, status, ms, summarize(data)))
|
|
||||||
except Exception as e:
|
|
||||||
ms = (time.time() - t0) * 1000
|
|
||||||
status = "FAIL"
|
|
||||||
results.append((category, method, status, ms, str(e)[:40]))
|
|
||||||
r = results[-1]
|
|
||||||
print(" [%-4s %6.1fms] %-28s %s" % (r[2], r[3], r[1], r[4]))
|
|
||||||
|
|
||||||
# Summary
|
|
||||||
print("\n" + "=" * 78)
|
|
||||||
print("=== 汇总 ===")
|
|
||||||
ok = [r for r in results if r[2] == "OK"]
|
|
||||||
fail = [r for r in results if r[2] == "FAIL"]
|
|
||||||
print("通过 %d / 失败 %d / 总计 %d" % (len(ok), len(fail), len(results)))
|
|
||||||
|
|
||||||
print("\n=== 按类别 ===")
|
|
||||||
cats = {}
|
|
||||||
for r in results:
|
|
||||||
cats.setdefault(r[0], []).append(r)
|
|
||||||
for cat, items in cats.items():
|
|
||||||
o = sum(1 for i in items if i[2] == "OK")
|
|
||||||
avg = sum(i[3] for i in items) / len(items)
|
|
||||||
print(" %-22s %d/%d avg=%.1fms" % (cat, o, len(items), avg))
|
|
||||||
|
|
||||||
print("\n=== 延迟分布 (OK) ===")
|
|
||||||
lat = sorted(i[3] for i in ok)
|
|
||||||
if lat:
|
|
||||||
p50 = lat[len(lat) // 2]
|
|
||||||
p90 = lat[int(len(lat) * 0.9)]
|
|
||||||
print(" n=%d min=%.1fms p50=%.1fms p90=%.1fms max=%.1fms" % (len(lat), lat[0], p50, p90, lat[-1]))
|
|
||||||
|
|
||||||
if fail:
|
|
||||||
print("\n=== 失败明细 ===")
|
|
||||||
for r in fail:
|
|
||||||
print(" %-28s %s" % (r[1], r[4]))
|
|
||||||
@@ -1,63 +0,0 @@
|
|||||||
[build-system]
|
|
||||||
requires = ["setuptools>=68", "wheel"]
|
|
||||||
build-backend = "setuptools.build_meta"
|
|
||||||
|
|
||||||
[project]
|
|
||||||
name = "xtquant-big-convert"
|
|
||||||
version = "0.2.2"
|
|
||||||
description = "Big QMT RPC bridge and MiniQMT-compatible adapter layer (redis/zmq/mysql transports)"
|
|
||||||
readme = "README.md"
|
|
||||||
requires-python = ">=3.8"
|
|
||||||
license = {text = "MIT"}
|
|
||||||
authors = [
|
|
||||||
{name = "litaolemo"},
|
|
||||||
]
|
|
||||||
keywords = ["qmt", "quant", "trading", "rpc", "redis", "zmq", "bigqmt", "miniqmt"]
|
|
||||||
classifiers = [
|
|
||||||
"Development Status :: 4 - Beta",
|
|
||||||
"Intended Audience :: Developers",
|
|
||||||
"License :: OSI Approved :: MIT License",
|
|
||||||
"Programming Language :: Python :: 3",
|
|
||||||
"Programming Language :: Python :: 3.8",
|
|
||||||
"Programming Language :: Python :: 3.9",
|
|
||||||
"Programming Language :: Python :: 3.10",
|
|
||||||
"Programming Language :: Python :: 3.11",
|
|
||||||
"Topic :: Office/Business :: Financial :: Investment",
|
|
||||||
]
|
|
||||||
dependencies = [
|
|
||||||
"pyzmq>=25.0.0",
|
|
||||||
]
|
|
||||||
|
|
||||||
[project.optional-dependencies]
|
|
||||||
redis = ["redis>=5.0.0"]
|
|
||||||
mysql = ["pymysql>=1.0.0", "DBUtils>=3.0.0"]
|
|
||||||
# Faster/smaller wire encoding for whole-quote push (falls back to json if absent).
|
|
||||||
msgpack = ["msgpack>=1.0.0"]
|
|
||||||
dev = [
|
|
||||||
"pytest>=7.0.0",
|
|
||||||
"pytest-cov>=4.0.0",
|
|
||||||
]
|
|
||||||
|
|
||||||
[project.urls]
|
|
||||||
Homepage = "https://github.com/litaolemo/xtquant_big_convert"
|
|
||||||
Repository = "https://github.com/litaolemo/xtquant_big_convert.git"
|
|
||||||
Issues = "https://github.com/litaolemo/xtquant_big_convert/issues"
|
|
||||||
|
|
||||||
[tool.setuptools]
|
|
||||||
package-dir = {"" = "src"}
|
|
||||||
py-modules = [
|
|
||||||
"BIGQMT_REDIS_DRYRUN",
|
|
||||||
"BIGQMT_ZMQ_BACKTEST",
|
|
||||||
"bigqmt_signal_trader_strategy",
|
|
||||||
"bigqmt_signal_trader_redis_rpc_runtime",
|
|
||||||
"bigqmt_signal_trader_redis_dryrun",
|
|
||||||
"bigqmt_signal_trader_dryrun",
|
|
||||||
"bigqmt_signal_trader_diagnostic",
|
|
||||||
]
|
|
||||||
|
|
||||||
[tool.setuptools.packages.find]
|
|
||||||
where = ["src"]
|
|
||||||
include = ["bigqmt_signal_trader*", "bigqmt_backtest*", "xtquant*"]
|
|
||||||
|
|
||||||
[tool.setuptools.package-data]
|
|
||||||
bigqmt_signal_trader = ["*.md"]
|
|
||||||
@@ -1,346 +0,0 @@
|
|||||||
---
|
|
||||||
name: qmt-trader
|
|
||||||
description: "通过统一 CLI 脚本驱动大 QMT 迅投量化交易端的全部能力，含实时行情查询、K线历史数据、账户资产与持仓查询、委托与成交查询、买入卖出下单、撤单、板块龙虎榜北向资金财务数据等，并内置 xtquant_big_convert 桥接服务的安装部署引导（装包/同步 QMT 端文件/配置/启动验证/排错）。适用于大模型辅助量化交易分析、行情研判、持仓监控、半自动下单等场景。当用户需要查看股票行情、分析K线、查询持仓资产、查看今日委托成交、下单买卖、撤单、查询北向资金龙虎榜财务数据，或需要安装部署 QMT RPC 桥接服务时触发此 skill。"
|
|
||||||
---
|
|
||||||
|
|
||||||
# QMT Trader — 大模型驱动的 QMT 交易/行情工具
|
|
||||||
|
|
||||||
## 概述
|
|
||||||
|
|
||||||
本 skill 提供一个确定性 CLI 脚本 `scripts/qmt.py`，让大模型通过命令行调用大 QMT 的全部
|
|
||||||
交易与行情能力，避免每次现场写 Python 代码。所有命令默认输出 JSON（便于解析），加 `--table`
|
|
||||||
切换人类可读表格。
|
|
||||||
|
|
||||||
**前置条件**：本 skill 依赖 xtquant_big_convert 桥接服务已部署运行。若 `ping` 失败或用户尚未部署，
|
|
||||||
先按下文「首次部署」引导完成：装包 → 同步 QMT 端文件 → 写配置 → QMT 里运行入口 → 验证。
|
|
||||||
|
|
||||||
## 首次部署（只需一次，AI 逐步引导用户完成）
|
|
||||||
|
|
||||||
部署分两端：**客户端**（跑本 skill/策略的开发机）和**服务端**（大 QMT 客户端内置 Python）。
|
|
||||||
|
|
||||||
### 第 1 步：客户端安装包
|
|
||||||
|
|
||||||
```bash
|
|
||||||
pip install "xtquant-big-convert[redis]" # redis 传输（默认，推荐）
|
|
||||||
# 或 zmq 同机低延迟：pip install xtquant-big-convert（基础版已含 pyzmq）
|
|
||||||
```
|
|
||||||
|
|
||||||
> 没发布到 PyPI 的私有 fork 用源码安装：`git clone <repo> && cd xtquant_big_convert && pip install -e .[redis]`
|
|
||||||
|
|
||||||
### 第 2 步：把服务端文件同步到 QMT 的 python 目录
|
|
||||||
|
|
||||||
需要拷 4 项到大 QMT 的 `python` 目录（如 `D:\国金证券QMT交易端\python\`）：
|
|
||||||
|
|
||||||
```
|
|
||||||
bigqmt_signal_trader/ （整个包，pip 装的在 site-packages 里）
|
|
||||||
bigqmt_signal_trader_strategy.py
|
|
||||||
bigqmt_signal_trader_redis_rpc_runtime.py
|
|
||||||
BIGQMT_REDIS_DRYRUN.py （★ QMT 编辑器入口，GBK 编码）
|
|
||||||
```
|
|
||||||
|
|
||||||
pip 安装后的文件位置可以用这条命令定位（输出目录里就有全部 4 项）：
|
|
||||||
|
|
||||||
```bash
|
|
||||||
python -c "import bigqmt_signal_trader_strategy as m, os; print(os.path.dirname(m.__file__))"
|
|
||||||
```
|
|
||||||
|
|
||||||
> QMT 沙箱若拒绝 `import redis`（部分券商白名单拦截），改用仓库里的 `bigqmt_no_redis/` 无 redis 版本（自包含 ZMQ 传输）。
|
|
||||||
|
|
||||||
### 第 3 步：创建 QMT 端私有配置
|
|
||||||
|
|
||||||
在 QMT 的 `python` 目录创建 `bigqmt_signal_trader_local_config.py`（含账号密码，**不要提交 git**）：
|
|
||||||
|
|
||||||
```python
|
|
||||||
# coding: utf-8
|
|
||||||
BIGQMT_ACCOUNT_ID = "资金账号"
|
|
||||||
BIGQMT_REDIS_CONFIG = {
|
|
||||||
"host": "Redis地址", "port": 6379, "db": 5, "password": "Redis密码",
|
|
||||||
"rpc_allow_order_methods": False, # 下单开关，默认关闭；确认风控后改 True
|
|
||||||
"rpc_process_in_listener": True,
|
|
||||||
"rpc_listener_methods": ("*",),
|
|
||||||
"rpc_background_threads": False, # 若切 zmq/mysql 传输必须改 True
|
|
||||||
"schedule_adjust": True,
|
|
||||||
"schedule_adjust_interval": "500nMilliSecond",
|
|
||||||
}
|
|
||||||
```
|
|
||||||
|
|
||||||
> 切 zmq：配置里加 `"transport": "zmq"` 并把 `rpc_background_threads` 改 `True`（QMT 端需装 pyzmq 19.0.2，Python 3.6 最后支持的版本）。
|
|
||||||
|
|
||||||
### 第 4 步：在 QMT 策略编辑器运行入口
|
|
||||||
|
|
||||||
QMT 策略编辑器里**只加载运行 `BIGQMT_REDIS_DRYRUN.py` 一个文件**（它自动 import 其余模块）。
|
|
||||||
若 QMT 装在非默认路径且用 exec 方式加载，需改文件里 `_known_qmt_python_dir()` 的 fallback 路径。
|
|
||||||
|
|
||||||
启动成功标志（QMT 输出面板）：
|
|
||||||
|
|
||||||
```
|
|
||||||
[bigqmt_shell] local redis config loaded keys=[...]
|
|
||||||
[bigqmt_shell] local account config loaded=True
|
|
||||||
[bigqmt_rpc] started channel=bigqmt:rpc:req:你的账号
|
|
||||||
[bigqmt_signal_trader] init ok
|
|
||||||
```
|
|
||||||
|
|
||||||
### 第 5 步：客户端配置 + 验证
|
|
||||||
|
|
||||||
客户端用环境变量（或 `bigqmt_signal_trader_client_config.py`）指向同一套 Redis/账号：
|
|
||||||
|
|
||||||
```powershell
|
|
||||||
$env:BIGQMT_ACCOUNT_ID="资金账号"
|
|
||||||
$env:BIGQMT_REDIS_HOST="Redis地址"; $env:BIGQMT_REDIS_PORT="6379"
|
|
||||||
$env:BIGQMT_REDIS_DB="5"; $env:BIGQMT_REDIS_PASSWORD="Redis密码"
|
|
||||||
```
|
|
||||||
|
|
||||||
然后验证（redis ~13ms / zmq ~0.7ms 为正常）：
|
|
||||||
|
|
||||||
```bash
|
|
||||||
python scripts/qmt.py ping
|
|
||||||
```
|
|
||||||
|
|
||||||
### 部署排错速查
|
|
||||||
|
|
||||||
| 现象 | 排查 |
|
|
||||||
|------|------|
|
|
||||||
| `ping` 超时 | 客户端/服务端 transport 不一致（一边 redis 一边 zmq）；QMT 端服务没启动；Redis 地址/密码/db 不一致 |
|
|
||||||
| QMT 面板报 `import redis` 被拒 | 换 `bigqmt_no_redis/` 无 redis 版本 |
|
|
||||||
| 启动了但查询全空 | 账号没对上：服务端 `BIGQMT_ACCOUNT_ID` vs 客户端 `BIGQMT_ACCOUNT_ID`；QMT 需在实盘模式 |
|
|
||||||
| 下单报 `ORDER_DISABLED` | 正常保护，服务端配置 `rpc_allow_order_methods` 改 `True` 才放行 |
|
|
||||||
| 详细错误日志 | QMT python 目录下 `logs/bigqmt_*.log`（保留 7 天），排错首选 |
|
|
||||||
|
|
||||||
## 快速开始
|
|
||||||
|
|
||||||
### 第 0 步：确认连通性
|
|
||||||
|
|
||||||
```bash
|
|
||||||
python scripts/qmt.py ping
|
|
||||||
```
|
|
||||||
|
|
||||||
返回 `ok: true` 且 `latency_ms` 合理（redis ~13ms / zmq ~0.7ms）即表示服务端就绪。
|
|
||||||
|
|
||||||
### 第 1 步：一键快照（资产+持仓+委托+成交）
|
|
||||||
|
|
||||||
```bash
|
|
||||||
python scripts/qmt.py snapshot
|
|
||||||
```
|
|
||||||
|
|
||||||
一次 RPC 往返返回账户全景，适合快速了解当前状态。
|
|
||||||
|
|
||||||
## 命令速查
|
|
||||||
|
|
||||||
### 行情分析
|
|
||||||
|
|
||||||
| 命令 | 用途 | 示例 |
|
|
||||||
|------|------|------|
|
|
||||||
| `tick <codes...>` | 实时五档盘口 | `tick 600000.SH 000001.SZ` |
|
|
||||||
| `kline <code>` | K线/历史行情 | `kline 600000.SH --period 1d --count 60 --dividend front` |
|
|
||||||
| `instrument <code>` | 合约详情 | `instrument 600000.SH` |
|
|
||||||
| `sector [name]` | 板块成分股/板块列表 | `sector "沪深A股"` |
|
|
||||||
| `trading-dates` | 交易日历 | `trading-dates --count 10` |
|
|
||||||
| `north` | 北向资金 | `north --period 1d` |
|
|
||||||
| `longhubang <code>` | 龙虎榜 | `longhubang 600000.SH --count 5` |
|
|
||||||
| `financial <codes...>` | 财务数据 | `financial 000001.SZ --tables Capital.CAPITAL` |
|
|
||||||
| `download <codes...>` | 下载历史数据 | `download 600654.SH --period 1d --dividend front` |
|
|
||||||
| `quote-subscribe <codes...>` | 实时全推订阅 | `quote-subscribe SH SZ --max 10` |
|
|
||||||
|
|
||||||
### 账户/持仓/委托
|
|
||||||
|
|
||||||
| 命令 | 用途 | 示例 |
|
|
||||||
|------|------|------|
|
|
||||||
| `account` | 账户资产 | `account` |
|
|
||||||
| `positions [code]` | 持仓列表 | `positions` / `positions 600000.SH` |
|
|
||||||
| `orders` | 今日委托 | `orders --cancelable` |
|
|
||||||
| `trades` | 今日成交 | `trades` |
|
|
||||||
| `snapshot` | 一键全景 | `snapshot` |
|
|
||||||
|
|
||||||
### 下单/撤单
|
|
||||||
|
|
||||||
| 命令 | 用途 | 示例 |
|
|
||||||
|------|------|------|
|
|
||||||
| `buy <code> <volume>` | 买入 | `buy 600000.SH 100 --price 7.50` |
|
|
||||||
| `sell <code> <volume>` | 卖出 | `sell 600000.SH 100 --price 7.50` |
|
|
||||||
| `cancel <order_id>` | 撤单 | `cancel 12345 --market SH` |
|
|
||||||
|
|
||||||
> 下单命令支持 `--dry-run`（只打印不下单）、`--latest`（最新价）、`--strategy`、`--remark`。
|
|
||||||
|
|
||||||
### 扩展查询（高频）
|
|
||||||
|
|
||||||
| 命令 | 用途 | 示例 |
|
|
||||||
|------|------|------|
|
|
||||||
| `holiday` | 节假日列表 | `holiday` |
|
|
||||||
| `stock-name <code>` | 股票名称 | `stock-name 600000.SH` |
|
|
||||||
| `instrument-type <code>` | 品种类型 | `instrument-type 600000.SH` |
|
|
||||||
| `divid-factors <code>` | 除权除息因子 | `divid-factors 600000.SH` |
|
|
||||||
| `market-times [market]` | 日内交易时段 | `market-times SH` |
|
|
||||||
| `trading-calendar [market]` | 交易日历(含时段) | `trading-calendar SH` |
|
|
||||||
| `option-list <code>` | 期权列表 | `option-list 510050.SH` |
|
|
||||||
| `bsm-price ...` | BSM 期权定价 | `bsm-price C 3.0 2.8 0.03 0.3 30` |
|
|
||||||
| `bsm-iv ...` | BSM 隐含波动率 | `bsm-iv C 3.0 2.8 0.25 0.03 30` |
|
|
||||||
| `hkt-stats <code>` | 港股通统计 | `hkt-stats 600000.SH` |
|
|
||||||
| `hkt-details <code>` | 港股通明细 | `hkt-details 600000.SH` |
|
|
||||||
| `hkt-rate` | 港股通汇率 | `hkt-rate` |
|
|
||||||
| `top10-holder <code>` | 十大股东 | `top10-holder 600000.SH` |
|
|
||||||
| `holder-num <code>` | 股东户数 | `holder-num 600000.SH` |
|
|
||||||
| `ipo` / `ipo-limit` | 新股数据/申购额度 | `ipo` |
|
|
||||||
| `credit-assure` | 融资担保品合约 | `credit-assure` |
|
|
||||||
| `credit-short` | 融券标的合约 | `credit-short` |
|
|
||||||
| `credit-debt` | 负债合约 | `credit-debt` |
|
|
||||||
| `his-st <code>` | 历史 ST 数据 | `his-st 600000.SH` |
|
|
||||||
| `index-weight <index>` | 指数权重 | `index-weight 000300.SH` |
|
|
||||||
| `industry <name>` | 行业成分 | `industry 银行` |
|
|
||||||
| `sector-info [name]` | 板块详情 | `sector-info 沪深A股` |
|
|
||||||
| `local-data <code>` | 本地缓存数据 | `local-data 600000.SH` |
|
|
||||||
| `timetag2dt <ms>` | 毫秒时间戳转日期 | `timetag2dt 1751353200000` |
|
|
||||||
| `dt2timetag <dt>` | 日期转毫秒时间戳 | `dt2timetag 20250701150000` |
|
|
||||||
|
|
||||||
### 通用 RPC（兜底所有方法）
|
|
||||||
|
|
||||||
`rpc <method> [json_params]` 可调用**任意白名单方法**（含未列出的，如 `get_l2_quote` / `call_formula` / `get_raw_financial_data` 等）：
|
|
||||||
|
|
||||||
```bash
|
|
||||||
python scripts/qmt.py rpc get_holidays
|
|
||||||
python scripts/qmt.py rpc get_stock_name '{"stock":"600000.SH"}'
|
|
||||||
python scripts/qmt.py rpc get_l2_quote '{"stock_code":"600000.SH","count":5}'
|
|
||||||
python scripts/qmt.py rpc call_formula '{"formula_name":"MA","stock_code":"600000.SH","period":"1d"}'
|
|
||||||
```
|
|
||||||
|
|
||||||
## 典型工作流
|
|
||||||
|
|
||||||
### 场景一：行情分析
|
|
||||||
|
|
||||||
分析某只股票的技术面：
|
|
||||||
|
|
||||||
```bash
|
|
||||||
# 1. 看实时盘口
|
|
||||||
python scripts/qmt.py tick 600000.SH
|
|
||||||
|
|
||||||
# 2. 拉最近 60 根日 K（前复权），输出含 MA5/MA20/MA60 统计
|
|
||||||
python scripts/qmt.py kline 600000.SH --period 1d --count 60 --dividend front
|
|
||||||
|
|
||||||
# 3. 看合约详情（名称、上市日、最小变动价位等）
|
|
||||||
python scripts/qmt.py instrument 600000.SH
|
|
||||||
|
|
||||||
# 4. 看近期龙虎榜
|
|
||||||
python scripts/qmt.py longhubang 600000.SH --count 5
|
|
||||||
```
|
|
||||||
|
|
||||||
### 场景二：持仓监控
|
|
||||||
|
|
||||||
```bash
|
|
||||||
# 一键看全景
|
|
||||||
python scripts/qmt.py snapshot
|
|
||||||
|
|
||||||
# 只看持仓（含浮动盈亏）
|
|
||||||
python scripts/qmt.py positions
|
|
||||||
|
|
||||||
# 看可撤委托
|
|
||||||
python scripts/qmt.py orders --cancelable
|
|
||||||
```
|
|
||||||
|
|
||||||
### 场景三：下单交易
|
|
||||||
|
|
||||||
```bash
|
|
||||||
# 0. 先看当前价
|
|
||||||
python scripts/qmt.py tick 600000.SH
|
|
||||||
|
|
||||||
# 1. 干跑确认参数
|
|
||||||
python scripts/qmt.py buy 600000.SH 100 --price 7.50 --dry-run
|
|
||||||
|
|
||||||
# 2. 真实下单（限价 7.50 买 100 股）
|
|
||||||
python scripts/qmt.py buy 600000.SH 100 --price 7.50 --strategy my_strat
|
|
||||||
|
|
||||||
# 3. 确认委托进了系统
|
|
||||||
python scripts/qmt.py orders
|
|
||||||
|
|
||||||
# 4. 需要时撤单
|
|
||||||
python scripts/qmt.py cancel <order_sysid> --market SH
|
|
||||||
```
|
|
||||||
|
|
||||||
### 场景四：批量行情分析
|
|
||||||
|
|
||||||
```bash
|
|
||||||
# 同时看多只股票的盘口
|
|
||||||
python scripts/qmt.py tick 600000.SH 000001.SZ 600519.SH
|
|
||||||
|
|
||||||
# 看板块成分股
|
|
||||||
python scripts/qmt.py sector "沪深A股"
|
|
||||||
|
|
||||||
# 看北向资金流向
|
|
||||||
python scripts/qmt.py north
|
|
||||||
```
|
|
||||||
|
|
||||||
## 安全须知
|
|
||||||
|
|
||||||
1. **下单默认关闭**：服务端 `rpc_allow_order_methods` 默认 `False`。必须由人工在服务端配置中
|
|
||||||
显式开启后才能下单，否则 `buy`/`sell`/`cancel` 会报 `ORDER_DISABLED` 错误。
|
|
||||||
|
|
||||||
2. **下单前先看价**：始终先用 `tick` 确认当前价格，避免下出明显不合理的委托。
|
|
||||||
|
|
||||||
3. **超时防重复**：如果 `buy`/`sell` 报 `ORDER_TIMEOUT`，委托可能已提交。**先用 `orders` 查询确认**，
|
|
||||||
不要直接重试，避免重复下单。
|
|
||||||
|
|
||||||
4. **strategy_name 一致性**：下单时的 `--strategy` 和查询时的 `--strategy` 必须一致。
|
|
||||||
查全部委托用 `orders --strategy ""`（空字符串=不过滤）。
|
|
||||||
|
|
||||||
5. **实盘模式**：QMT 必须运行在实盘模式（非模拟/模型交易）才能收到完整回报。
|
|
||||||
|
|
||||||
## 脚本说明
|
|
||||||
|
|
||||||
### scripts/qmt.py
|
|
||||||
|
|
||||||
统一 CLI 入口，包含以下子命令：
|
|
||||||
|
|
||||||
**基础查询**：
|
|
||||||
- `ping` — 连通性检测（含延迟测量）
|
|
||||||
- `account` — 查询账户资产（现金/冻结/总资产/市值）
|
|
||||||
- `positions [code]` — 查询持仓（含浮动盈亏计算）
|
|
||||||
- `orders [--cancelable] [--strategy ""]` — 查询今日委托（含语义化状态名）
|
|
||||||
- `trades [--strategy ""]` — 查询今日成交
|
|
||||||
- `snapshot` — 一键全景（资产+持仓+委托+成交）
|
|
||||||
|
|
||||||
**行情**：
|
|
||||||
- `tick <codes...>` — 实时五档盘口（含涨跌幅计算）
|
|
||||||
- `kline <code> [--period 1d] [--count N] [--dividend front]` — K线（含 MA5/20/60 统计）
|
|
||||||
- `instrument <code>` — 合约详情
|
|
||||||
- `sector [name]` — 板块成分股/板块列表
|
|
||||||
- `trading-dates [--count N]` — 交易日历
|
|
||||||
- `north [--period 1d]` — 北向资金
|
|
||||||
- `longhubang <code> [--count N]` — 龙虎榜
|
|
||||||
- `financial <codes...> [--tables T1,T2]` — 财务数据
|
|
||||||
- `download <codes...>` — 下载历史数据到服务端
|
|
||||||
- `quote-subscribe <codes...> [--max N] [--timeout S]` — 实时全推行情订阅
|
|
||||||
|
|
||||||
**扩展查询**：
|
|
||||||
- `holiday` — 节假日列表
|
|
||||||
- `stock-name <code>` — 股票名称
|
|
||||||
- `instrument-type <code>` — 品种类型
|
|
||||||
- `divid-factors <code>` — 除权除息因子
|
|
||||||
- `market-times [market]` — 日内交易时段
|
|
||||||
- `trading-calendar [market]` — 交易日历（含时段）
|
|
||||||
- `option-list <code>` — 期权列表
|
|
||||||
- `bsm-price` / `bsm-iv` — BSM 期权定价/隐含波动率
|
|
||||||
- `hkt-stats` / `hkt-details` / `hkt-rate` — 港股通统计/明细/汇率
|
|
||||||
- `top10-holder <code>` / `holder-num <code>` — 十大股东/股东户数
|
|
||||||
- `ipo` / `ipo-limit` — 新股数据/申购额度
|
|
||||||
- `credit-assure` / `credit-short` / `credit-debt` — 融资融券查询
|
|
||||||
- `his-st <code>` — 历史 ST 数据
|
|
||||||
- `index-weight <index>` — 指数权重
|
|
||||||
- `industry <name>` — 行业成分
|
|
||||||
- `sector-info [name]` — 板块详情
|
|
||||||
- `local-data <code>` — 本地缓存数据
|
|
||||||
- `timetag2dt` / `dt2timetag` — 时间戳转换
|
|
||||||
|
|
||||||
**交易**：
|
|
||||||
- `buy <code> <volume> [--price P] [--latest]` — 买入下单
|
|
||||||
- `sell <code> <volume> [--price P] [--latest]` — 卖出下单
|
|
||||||
- `cancel <order_id> [--market SH]` — 撤单
|
|
||||||
|
|
||||||
**通用兜底**：
|
|
||||||
- `rpc <method> [json_params]` — 调用任意白名单方法（未列出的方法都能这样调）
|
|
||||||
|
|
||||||
**配置自动发现**：脚本会自动把仓库 `src/` 加入 `sys.path`（开发模式直接运行，无需 pip install），并自动发现 QMT 的 python 目录（读 `local_config.py` 里的 transport 配置）。配置从环境变量（`BIGQMT_ACCOUNT_ID`/`BIGQMT_REDIS_HOST` 等）或配置文件读取。
|
|
||||||
|
|
||||||
**输出格式**：默认 JSON（`ok`/`data`/`ts` 三字段），加 `--table` 切换表格输出。错误返回 `ok: false` + `error`/`detail`/`code`，退出码 1。
|
|
||||||
|
|
||||||
## 参考
|
|
||||||
|
|
||||||
详细的 API 参数、返回值结构、常量定义和已知陷阱见 `references/api_reference.md`。
|
|
||||||
当命令速查不够用时（如需要直接 RPC 调用、查看信用交易类型、了解回调系统等），查阅该文件。
|
|
||||||
@@ -1,523 +0,0 @@
|
|||||||
# QMT API 参考手册
|
|
||||||
|
|
||||||
本文档是 `qmt-trader` skill 的完整 API 参考。当 SKILL.md 的速查不够用时，查阅本文件获取
|
|
||||||
参数细节、返回值结构和已知陷阱。
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
## 1. 初始化与配置
|
|
||||||
|
|
||||||
### 配置来源（优先级从高到低）
|
|
||||||
|
|
||||||
1. **环境变量**
|
|
||||||
| 变量 | 默认 | 说明 |
|
|
||||||
|------|------|------|
|
|
||||||
| `BIGQMT_ACCOUNT_ID` | — | 资金账号 |
|
|
||||||
| `BIGQMT_REDIS_HOST` | `127.0.0.1` | Redis 地址 |
|
|
||||||
| `BIGQMT_REDIS_PORT` | `6379` | Redis 端口 |
|
|
||||||
| `BIGQMT_REDIS_DB` | `5` | Redis DB |
|
|
||||||
| `BIGQMT_REDIS_PASSWORD` | — | Redis 密码 |
|
|
||||||
| `BIGQMT_RPC_TRANSPORT` | `redis` | 传输方式 redis/zmq |
|
|
||||||
| `BIGQMT_RPC_TIMEOUT_SECONDS` | `6.0` | RPC 超时 |
|
|
||||||
|
|
||||||
2. **配置文件** `bigqmt_signal_trader_client_config.py`（在 PYTHONPATH 中，gitignored）
|
|
||||||
|
|
||||||
3. **备选配置文件** `bigqmt_signal_trader_local_config.py`
|
|
||||||
|
|
||||||
### Python 初始化
|
|
||||||
|
|
||||||
```python
|
|
||||||
from bigqmt_signal_trader.xtquant_compat import StockAccount, configure, xt_trader, xtdata
|
|
||||||
|
|
||||||
configure() # 从配置/环境变量初始化
|
|
||||||
acc = StockAccount(xt_trader.client.account_id, "STOCK")
|
|
||||||
```
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
## 2. 行情数据 API
|
|
||||||
|
|
||||||
### 2.1 get_full_tick — 实时五档盘口
|
|
||||||
|
|
||||||
```python
|
|
||||||
xtdata.get_full_tick(code_list)
|
|
||||||
```
|
|
||||||
|
|
||||||
- **参数**: `code_list: list[str]`，如 `["000001.SZ", "600000.SH"]`；也支持整市场 `["SH"]`, `["SZ"]`
|
|
||||||
- **返回**: `dict[code -> dict]`，每只含 `lastPrice`/`open`/`high`/`low`/`lastClose`/`volume`/`amount`/
|
|
||||||
`bidPrice`(10档)/`askPrice`(10档)/`bidVol`/`askVol`/`time`/`stime`
|
|
||||||
- **CLI**: `python qmt.py tick 600000.SH 000001.SZ`
|
|
||||||
- **注意**: 整市场快照数据量大（5000+ 股），超时自动设 30 秒
|
|
||||||
|
|
||||||
### 2.2 get_market_data_ex — K线/历史行情
|
|
||||||
|
|
||||||
```python
|
|
||||||
xtdata.get_market_data_ex(
|
|
||||||
field_list=None, # ["close","open","high","low","volume","amount"] 或 None=全部
|
|
||||||
stock_list=None, # ["000001.SZ"]
|
|
||||||
period="1d", # "1d"/"1m"/"5m"/"15m"/"30m"/"60m"/"tick"
|
|
||||||
start_time="", # "YYYYMMDD" 或 "YYYYMMDDHHMMSS"
|
|
||||||
end_time="",
|
|
||||||
count=-1, # -1=不限
|
|
||||||
dividend_type="none", # "none"/"front"(前复权)/"back"(后复权)
|
|
||||||
fill_data=True, # 是否填充缺失
|
|
||||||
)
|
|
||||||
```
|
|
||||||
|
|
||||||
- **返回**: `dict[code -> pandas.DataFrame]`，index 是时间戳字符串，列含 `time`(epoch ms)/`open`/`high`/`low`/`close`/`volume`/`amount`
|
|
||||||
- **CLI**: `python qmt.py kline 600000.SH --period 1d --count 60 --dividend front`
|
|
||||||
- **自愈**: 请求复权但服务端缺原始数据时（返回全 0），自动触发下载+重试
|
|
||||||
- **陷阱**: 前/后复权必须先在服务端下载原始数据，否则返回全 0（已自愈但仍可能首次慢）
|
|
||||||
|
|
||||||
### 2.3 get_instrument_detail — 合约详情
|
|
||||||
|
|
||||||
```python
|
|
||||||
xtdata.get_instrument_detail(stock_code) # 别名 get_instrumentdetail
|
|
||||||
```
|
|
||||||
|
|
||||||
- **返回**: `dict`，含名称/上市日/合约乘数/最小变动价位等约 30 字段
|
|
||||||
- **CLI**: `python qmt.py instrument 600000.SH`
|
|
||||||
|
|
||||||
### 2.4 get_stock_list_in_sector — 板块成分股
|
|
||||||
|
|
||||||
```python
|
|
||||||
xtdata.get_stock_list_in_sector(sector_name) # 如 "沪深A股", "科创板", "创业板"
|
|
||||||
```
|
|
||||||
|
|
||||||
- **返回**: `list[str]` 代码列表
|
|
||||||
- **CLI**: `python qmt.py sector "沪深A股"`
|
|
||||||
|
|
||||||
### 2.5 get_sector_list — 板块列表
|
|
||||||
|
|
||||||
```python
|
|
||||||
xtdata.get_sector_list()
|
|
||||||
```
|
|
||||||
|
|
||||||
- **返回**: `list[str]`
|
|
||||||
- **CLI**: `python qmt.py sector`
|
|
||||||
- **注意**: 大 QMT 环境 fallback 返回 13 个常用板块名（非完整列表）
|
|
||||||
|
|
||||||
### 2.6 get_trading_dates — 交易日历
|
|
||||||
|
|
||||||
```python
|
|
||||||
xtdata.get_trading_dates(market="SH", start_time="", end_time="", count=-1)
|
|
||||||
```
|
|
||||||
|
|
||||||
- **CLI**: `python qmt.py trading-dates --count 10`
|
|
||||||
|
|
||||||
### 2.7 get_north_finance_change — 北向资金
|
|
||||||
|
|
||||||
```python
|
|
||||||
xtdata.get_north_finance_change(period="1d")
|
|
||||||
```
|
|
||||||
|
|
||||||
- **CLI**: `python qmt.py north`
|
|
||||||
|
|
||||||
### 2.8 get_longhubang — 龙虎榜
|
|
||||||
|
|
||||||
```python
|
|
||||||
xtdata.get_longhubang(stock_list=["600000.SH"], start_time="", end_time="", count=5)
|
|
||||||
```
|
|
||||||
|
|
||||||
- **返回**: `pandas.DataFrame`
|
|
||||||
- **CLI**: `python qmt.py longhubang 600000.SH --count 5`
|
|
||||||
|
|
||||||
### 2.9 get_financial_data — 财务数据
|
|
||||||
|
|
||||||
```python
|
|
||||||
xtdata.get_financial_data(
|
|
||||||
stock_list=["000001.SZ"],
|
|
||||||
table_list=["Capital.CAPITAL"], # 表名
|
|
||||||
start_time="", end_time="",
|
|
||||||
)
|
|
||||||
```
|
|
||||||
|
|
||||||
- **CLI**: `python qmt.py financial 000001.SZ --tables Capital.CAPITAL`
|
|
||||||
|
|
||||||
### 2.10 download_history_data2 — 下载历史数据
|
|
||||||
|
|
||||||
```python
|
|
||||||
xtdata.download_history_data2(
|
|
||||||
stock_list=["600654.SH"], period="1d",
|
|
||||||
start_time="20240101", dividend_type="front",
|
|
||||||
)
|
|
||||||
```
|
|
||||||
|
|
||||||
- **返回**: `{"finished": N, "total": M}`
|
|
||||||
- **CLI**: `python qmt.py download 600654.SH --period 1d --start 20240101 --dividend front`
|
|
||||||
|
|
||||||
### 2.11 subscribe_whole_quote — 全推行情订阅
|
|
||||||
|
|
||||||
```python
|
|
||||||
sub_id = xtdata.subscribe_whole_quote(["SH","SZ"], callback=on_quote)
|
|
||||||
# ... 运行策略 ...
|
|
||||||
xtdata.unsubscribe_quote(sub_id)
|
|
||||||
```
|
|
||||||
|
|
||||||
- **机制**: 服务端真推送（非轮询），增量推送有变化的品种
|
|
||||||
- **CLI**: `python qmt.py quote-subscribe SH SZ --max 10 --timeout 30`
|
|
||||||
- **心跳**: 客户端 3 秒一次 keepalive，服务端重启后自动恢复
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
## 3. 账户/持仓/委托查询 API
|
|
||||||
|
|
||||||
### 3.1 query_stock_asset — 查询资产
|
|
||||||
|
|
||||||
```python
|
|
||||||
asset = xt_trader.query_stock_asset(acc)
|
|
||||||
```
|
|
||||||
|
|
||||||
- **返回属性**: `account_id` / `cash`(可用现金) / `frozen_cash` / `total_asset` / `market_value`
|
|
||||||
- **CLI**: `python qmt.py account`
|
|
||||||
- **容错**: RPC 失败时从 Redis 缓存 `bigqmt:positions:{account_id}` 读取
|
|
||||||
|
|
||||||
### 3.2 query_stock_positions — 查询全部持仓
|
|
||||||
|
|
||||||
```python
|
|
||||||
positions = xt_trader.query_stock_positions(acc)
|
|
||||||
```
|
|
||||||
|
|
||||||
- **返回属性**: `stock_code` / `stock_name` / `volume`(总持仓) / `can_use_volume`(可用) /
|
|
||||||
`avg_price`(成本) / `price`(最新价) / `market_value` / `frozen_volume` / `yesterday_volume`
|
|
||||||
- **CLI**: `python qmt.py positions [code]`
|
|
||||||
|
|
||||||
### 3.3 query_stock_position — 查询单只持仓
|
|
||||||
|
|
||||||
```python
|
|
||||||
pos = xt_trader.query_stock_position(acc, "600000.SH")
|
|
||||||
```
|
|
||||||
|
|
||||||
- **返回**: 单个对象或 `None`
|
|
||||||
|
|
||||||
### 3.4 query_stock_orders — 查询委托
|
|
||||||
|
|
||||||
```python
|
|
||||||
orders = xt_trader.query_stock_orders(acc, cancelable_only=False, strategy_name="")
|
|
||||||
```
|
|
||||||
|
|
||||||
- **返回属性**: `stock_code` / `order_type`(23=BUY,24=SELL) / `order_status` /
|
|
||||||
`order_volume` / `traded_volume` / `price` / `order_sysid` / `order_remark`
|
|
||||||
- **CLI**: `python qmt.py orders [--cancelable] [--strategy ""]`
|
|
||||||
- **⚠️ strategy_name 陷阱**: 下单时的 strategy_name 必须和查询时一致。服务端默认 `""` 返回全部；
|
|
||||||
客户端 `BigQmtXtTrader` 默认 `"bigqmt_signal_trader"`。用 `""` 查全部最安全。
|
|
||||||
|
|
||||||
### 3.5 query_stock_trades — 查询成交
|
|
||||||
|
|
||||||
```python
|
|
||||||
trades = xt_trader.query_stock_trades(acc, strategy_name="")
|
|
||||||
```
|
|
||||||
|
|
||||||
- **返回属性**: `stock_code` / `order_type` / `traded_volume` / `traded_price` /
|
|
||||||
`traded_at` / `order_sysid` / `trade_id`
|
|
||||||
- **CLI**: `python qmt.py trades`
|
|
||||||
|
|
||||||
### 3.6 委托状态码
|
|
||||||
|
|
||||||
| 值 | 常量 | 含义 |
|
|
||||||
|----|------|------|
|
|
||||||
| 48 | ORDER_UNREPORTED | 未申报 |
|
|
||||||
| 49 | ORDER_WAIT_REPORTING | 等待申报 |
|
|
||||||
| 50 | ORDER_REPORTED | 已申报 |
|
|
||||||
| 51 | ORDER_REPORTED_CANCEL | 已申报撤单 |
|
|
||||||
| 52 | ORDER_PARTSUCC_CANCEL | 部成撤单 |
|
|
||||||
| 53 | ORDER_PART_CANCEL | 部撤 |
|
|
||||||
| 54 | ORDER_CANCELED | 已撤 |
|
|
||||||
| 55 | ORDER_PART_SUCC | 部分成交 |
|
|
||||||
| 56 | ORDER_SUCCEEDED | 全部成交 |
|
|
||||||
| 57 | ORDER_JUNK | 废单 |
|
|
||||||
| 255 | ORDER_UNKNOWN | 未知 |
|
|
||||||
|
|
||||||
可撤状态: 49, 50, 55
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
## 4. 下单 API
|
|
||||||
|
|
||||||
### 4.1 order_stock — 同步下单
|
|
||||||
|
|
||||||
```python
|
|
||||||
from bigqmt_signal_trader.xtquant_compat import STOCK_BUY, STOCK_SELL, FIX_PRICE, LATEST_PRICE
|
|
||||||
|
|
||||||
order_id = xt_trader.order_stock(
|
|
||||||
acc, # StockAccount
|
|
||||||
stock_code, # "600000.SH"
|
|
||||||
order_type, # STOCK_BUY(23) / STOCK_SELL(24)
|
|
||||||
order_volume, # int，委托数量
|
|
||||||
price_type, # FIX_PRICE(11) / LATEST_PRICE(5)
|
|
||||||
price, # float，限价单价格（最新价时传 0）
|
|
||||||
strategy_name, # str
|
|
||||||
order_remark, # str，user_order_id
|
|
||||||
)
|
|
||||||
```
|
|
||||||
|
|
||||||
- **返回**: `order_sys_id`(字符串) 或 `-1`(失败)
|
|
||||||
- **CLI**: `python qmt.py buy 600000.SH 100 --price 7.50 [--strategy s] [--remark r]`
|
|
||||||
- **CLI**: `python qmt.py sell 600000.SH 100 --price 7.50`
|
|
||||||
- **⚠️ 权限**: 服务端默认 `rpc_allow_order_methods=False`，必须显式开启才能下单
|
|
||||||
- **⚠️ 超时**: 超时后委托可能已提交，先查 `query_orders` 确认，避免重复下单
|
|
||||||
|
|
||||||
### 4.2 order_stock_async — 异步下单
|
|
||||||
|
|
||||||
```python
|
|
||||||
seq = xt_trader.order_stock_async(acc, code, order_type, vol, price_type, price, strategy, remark)
|
|
||||||
```
|
|
||||||
|
|
||||||
- **返回**: seq（结果通过 callback 回调）
|
|
||||||
|
|
||||||
### 4.3 order_stock_batch — 批量下单
|
|
||||||
|
|
||||||
```python
|
|
||||||
results = xt_trader.order_stock_batch(acc, orders, batch_id="")
|
|
||||||
# orders: list[dict]，每项含 stock_code/action/volume/price/price_type/strategy_name
|
|
||||||
```
|
|
||||||
|
|
||||||
- **上限**: 500 条/批
|
|
||||||
|
|
||||||
### 4.4 信用交易委托类型
|
|
||||||
|
|
||||||
| 常量 | 值 | 用途 |
|
|
||||||
|------|-----|------|
|
|
||||||
| CREDIT_BUY | 23 | 担保品买入 |
|
|
||||||
| CREDIT_SELL | 24 | 担保品卖出 |
|
|
||||||
| CREDIT_FIN_BUY | 27 | 融资买入 |
|
|
||||||
| CREDIT_SLO_SELL | 28 | 融券卖出 |
|
|
||||||
| CREDIT_BUY_SECU_REPAY | 29 | 买券还券 |
|
|
||||||
| CREDIT_DIRECT_SECU_REPAY | 30 | 直接还券 |
|
|
||||||
| CREDIT_SELL_SECU_REPAY | 31 | 卖券还款 |
|
|
||||||
| CREDIT_DIRECT_CASH_REPAY | 32 | 直接还款 |
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
## 5. 撤单 API
|
|
||||||
|
|
||||||
### 5.1 cancel_order_stock_sysid
|
|
||||||
|
|
||||||
```python
|
|
||||||
success = xt_trader.cancel_order_stock_sysid(acc, market, order_sysid)
|
|
||||||
# market: "SH" / "SZ" / ""
|
|
||||||
```
|
|
||||||
|
|
||||||
- **CLI**: `python qmt.py cancel <order_sysid> --market SH`
|
|
||||||
|
|
||||||
### 5.2 cancel_order_stock
|
|
||||||
|
|
||||||
```python
|
|
||||||
success = xt_trader.cancel_order_stock(acc, order_id)
|
|
||||||
# 等价于 cancel_order_stock_sysid(acc, "", order_id)
|
|
||||||
```
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
## 6. 回调系统
|
|
||||||
|
|
||||||
```python
|
|
||||||
from bigqmt_signal_trader.xtquant_compat import XtQuantTraderCallback
|
|
||||||
|
|
||||||
class MyCallback(XtQuantTraderCallback):
|
|
||||||
def on_stock_order(self, order): ... # 委托变更
|
|
||||||
def on_stock_trade(self, trade): ... # 成交推送
|
|
||||||
def on_order_error(self, error): ... # 委托错误
|
|
||||||
def on_cancel_error(self, error): ... # 撤单错误
|
|
||||||
def on_order_stock_async_response(self, resp): ...
|
|
||||||
def on_account_status(self, status): ...
|
|
||||||
|
|
||||||
xt_trader.register_callback(MyCallback())
|
|
||||||
xt_trader.start()
|
|
||||||
xt_trader.connect()
|
|
||||||
xt_trader.subscribe(acc)
|
|
||||||
```
|
|
||||||
|
|
||||||
事件推送通过 Redis pubsub 频道:
|
|
||||||
- `bigqmt:exec:order:{account_id}`
|
|
||||||
- `bigqmt:exec:trade:{account_id}`
|
|
||||||
- `bigqmt:exec:order_error:{account_id}`
|
|
||||||
- `bigqmt:exec:cancel_error:{account_id}`
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
## 7. 关键陷阱速查
|
|
||||||
|
|
||||||
### 7.1 strategy_name 不匹配
|
|
||||||
- 下单用 `strategy_name="rpc_test"` → 查询用 `strategy_name="bigqmt_signal_trader"` → 返回空
|
|
||||||
- **解决**: 查询时传 `strategy_name=""` 返回全部，或保持一致
|
|
||||||
|
|
||||||
### 7.2 下单静默失败
|
|
||||||
- `passorder` 调用成功但委托没进系统（QMT 风控拒绝但没报错）
|
|
||||||
- **解决**: 服务端下单后等 0.5 秒查 `query_orders` 确认；检查返回的 `server_error` 字段
|
|
||||||
|
|
||||||
### 7.3 复权 K 线返回全 0
|
|
||||||
- 服务端缺原始数据时，前/后复权返回的 close 全是 0.0
|
|
||||||
- **解决**: 先 `download_history_data2` 下载原始数据（客户端有自愈机制）
|
|
||||||
|
|
||||||
### 7.4 Transport 不匹配
|
|
||||||
- 客户端 redis / 服务端 zmq → ping 超时
|
|
||||||
- **解决**: 两端 `transport` 字段保持一致
|
|
||||||
|
|
||||||
### 7.5 QMT 必须运行在实盘模式
|
|
||||||
- 模拟模式下委托进 QMT 界面但不在真实委托队列，`query_orders` 查不到
|
|
||||||
- `order_stock` 返回 -1，触发 `on_order_error`
|
|
||||||
|
|
||||||
### 7.6 整市场快照数据量大
|
|
||||||
- `get_full_tick(["SH"])` 返回 5000+ 股完整盘口
|
|
||||||
- **解决**: 启用 `full_tick_cache` 或增大超时（已自动设 30 秒）
|
|
||||||
|
|
||||||
### 7.7 全推行情是增量的
|
|
||||||
- `subscribe_whole_quote` 的大 QMT 回调只推有变化的品种
|
|
||||||
- **解决**: 订阅成功后客户端自动调一次 `get_full_tick` 打底
|
|
||||||
|
|
||||||
### 7.8 下单超时与重复下单
|
|
||||||
- `order_stock` 超时 → 委托可能已提交但没收到响应
|
|
||||||
- **解决**: 超时后先查 `query_orders`/`query_trades` 确认状态，再决定是否重试
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
## 8. 常量速查
|
|
||||||
|
|
||||||
### 交易常量
|
|
||||||
|
|
||||||
| 常量 | 值 | 用途 |
|
|
||||||
|------|-----|------|
|
|
||||||
| STOCK_BUY | 23 | 股票买入 |
|
|
||||||
| STOCK_SELL | 24 | 股票卖出 |
|
|
||||||
| FIX_PRICE | 11 | 限价/指定价 |
|
|
||||||
| LATEST_PRICE | 5 | 最新价 |
|
|
||||||
| MARKET_PEER_PRICE_FIRST | 44 | 对手方最优价 |
|
|
||||||
|
|
||||||
### 账号类型
|
|
||||||
|
|
||||||
| 常量 | 值 |
|
|
||||||
|------|-----|
|
|
||||||
| FUTURE_ACCOUNT | 1 |
|
|
||||||
| SECURITY_ACCOUNT | 2 |
|
|
||||||
| CREDIT_ACCOUNT | 3 |
|
|
||||||
| FUTURE_OPTION_ACCOUNT | 5 |
|
|
||||||
| STOCK_OPTION_ACCOUNT | 6 |
|
|
||||||
|
|
||||||
### 期货委托类型（部分）
|
|
||||||
|
|
||||||
| 常量 | 值 | 用途 |
|
|
||||||
|------|-----|------|
|
|
||||||
| FUTURE_OPEN_LONG | 0 | 开多 |
|
|
||||||
| FUTURE_CLOSE_LONG_TODAY | 2 | 平今多 |
|
|
||||||
| FUTURE_OPEN_SHORT | 3 | 开空 |
|
|
||||||
| FUTURE_CLOSE_SHORT_TODAY | 4 | 平今空 |
|
|
||||||
| FUTURE_CLOSE_LONG_HISTORY | 6 | 平昨多 |
|
|
||||||
| FUTURE_CLOSE_SHORT_HISTORY | 7 | 平昨空 |
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
## 9. 直接 RPC 调用（绕过兼容层）
|
|
||||||
|
|
||||||
当兼容层方法不够用时，可直接调 RPC：
|
|
||||||
|
|
||||||
```python
|
|
||||||
from bigqmt_signal_trader.redis_rpc import call_redis_rpc
|
|
||||||
import redis
|
|
||||||
|
|
||||||
r = redis.Redis(host="...", port=6379, db=5, password="...")
|
|
||||||
resp = call_redis_rpc(r, "ACCOUNT_ID", "get_full_tick", {"codes": ["000001.SZ"]})
|
|
||||||
print(resp["data"]["000001.SZ"]["lastPrice"])
|
|
||||||
```
|
|
||||||
|
|
||||||
- **万能入口**: `xtdata.call_method("get_float_caps", stockcode="000001.SZ")`
|
|
||||||
- **方法别名映射**:
|
|
||||||
- `get_full_tick` → `get_ticks`
|
|
||||||
- `get_instrument_detail` → `get_instrument`
|
|
||||||
- `query_stock_asset` → `get_asset`
|
|
||||||
- `query_stock_positions` → `get_positions`
|
|
||||||
- `query_stock_orders` → `query_orders`
|
|
||||||
- `query_stock_trades` → `query_trades`
|
|
||||||
- `order_stock` → `submit_order`
|
|
||||||
- `cancel_order_stock` → `cancel_order`
|
|
||||||
|
|
||||||
### RPC 响应结构
|
|
||||||
|
|
||||||
```json
|
|
||||||
{
|
|
||||||
"ok": true,
|
|
||||||
"data": {...},
|
|
||||||
"error": "",
|
|
||||||
"server_error": "",
|
|
||||||
"handled_at": "2024-07-01 15:00:00"
|
|
||||||
}
|
|
||||||
```
|
|
||||||
|
|
||||||
- `ok=true`: `data` 为方法返回值（DataFrame 已序列化，客户端自动还原 pandas 对象）
|
|
||||||
- `ok=false`: `error` 为错误信息
|
|
||||||
- `server_error`: 额外诊断（如 passorder 提交但委托未进系统）
|
|
||||||
|
|
||||||
---
|
|
||||||
|
|
||||||
## 10. 可用 RPC 方法白名单（117 个只读 + 3 个下单/撤单）
|
|
||||||
|
|
||||||
### 行情快照
|
|
||||||
`get_ticks`/`get_full_tick`, `get_instrument`/`get_instrument_detail`, `get_instrument_type`,
|
|
||||||
`get_stock_name`, `get_stock_type`, `get_last_close`, `get_last_volume`, `get_float_caps`,
|
|
||||||
`get_total_share`, `get_turn_over_rate`, `get_weight_in_index`, `get_contract_multiplier`,
|
|
||||||
`get_contract_expire_date`, `get_open_date`, `get_svol`, `get_bvol`, `get_risk_free_rate`,
|
|
||||||
`is_stock_type`, `get_cb_info`
|
|
||||||
|
|
||||||
### K线/历史
|
|
||||||
`get_market_data`, `get_market_data_ex`, `get_local_data`, `get_close_price`, `get_index_weight`
|
|
||||||
|
|
||||||
### L2 行情（需 L2 权限）
|
|
||||||
`get_l2_quote`, `get_l2_order`, `get_l2_transaction`, `subscribe_l2thousand`
|
|
||||||
|
|
||||||
### 板块
|
|
||||||
`get_stock_list_in_sector`, `get_sector_list`, `get_sector_info`, `create_sector`, `add_sector`, `remove_sector`
|
|
||||||
|
|
||||||
### 交易日历/时段
|
|
||||||
`get_trading_dates`, `get_holidays`, `get_markets`, `get_market_last_trade_date`,
|
|
||||||
`get_date_location`, `get_trading_calendar`, `get_trade_times`
|
|
||||||
|
|
||||||
### 数据下载
|
|
||||||
`download_history_data`, `download_history_data2`, `download_holiday_data`,
|
|
||||||
`download_etf_info`, `download_cb_data`, `download_history_contracts`,
|
|
||||||
`download_index_weight`, `download_sector_data`
|
|
||||||
|
|
||||||
### 财务/因子
|
|
||||||
`get_financial_data`, `download_financial_data`, `download_financial_data2`,
|
|
||||||
`get_raw_financial_data`, `get_factor_data`
|
|
||||||
|
|
||||||
### ETF/期权/期货
|
|
||||||
`get_etf_info`, `get_ipo_info`, `get_option_list`, `get_his_option_list`,
|
|
||||||
`get_his_option_list_batch`, `get_option_detail_data`, `get_option_undl_data`,
|
|
||||||
`get_option_undl`, `get_ETF_list`, `get_main_contract`, `get_his_contract_list`
|
|
||||||
|
|
||||||
### 期权定价
|
|
||||||
`bsm_price`, `bsm_iv`, `get_option_iv`
|
|
||||||
|
|
||||||
### 龙虎榜/股东
|
|
||||||
`get_longhubang`, `get_top10_share_holder`, `get_holder_num`, `get_turnover_rate`,
|
|
||||||
`get_industry`, `get_his_st_data`, `get_his_index_data`
|
|
||||||
|
|
||||||
### 资金流
|
|
||||||
`get_north_finance_change`, `get_hkt_statistics`, `get_hkt_details`, `get_hkt_exchange_rate`
|
|
||||||
|
|
||||||
### 因子/模型
|
|
||||||
`call_formula`, `subscribe_formula`, `unsubscribe_formula`, `get_formula_result`, `gen_factor_index`
|
|
||||||
|
|
||||||
### 时间转换（纯本地）
|
|
||||||
`datetime_to_timetag`, `timetag_to_datetime`
|
|
||||||
|
|
||||||
### 账户查询
|
|
||||||
`get_asset`, `get_positions`, `query_stock_position`, `query_orders`, `query_trades`,
|
|
||||||
`get_history_trade_detail_data`, `get_value_by_order_id`, `get_last_order_id`
|
|
||||||
|
|
||||||
### 融资融券（需两融权限）
|
|
||||||
`get_assure_contract`, `get_enable_short_contract`, `get_unclosed_compacts`,
|
|
||||||
`get_closed_compacts`, `get_debt_contract`
|
|
||||||
|
|
||||||
### 期权持仓
|
|
||||||
`get_option_subject_position`, `get_comb_option`
|
|
||||||
|
|
||||||
### 持仓同步
|
|
||||||
`sync_positions`
|
|
||||||
|
|
||||||
### 下单/撤单（需开启 rpc_allow_order_methods）
|
|
||||||
`submit_order`/`order_stock`, `submit_orders_batch`/`order_stock_batch`,
|
|
||||||
`cancel_order`/`cancel_order_stock`/`cancel_order_stock_sysid`
|
|
||||||
|
|
||||||
### 全推行情
|
|
||||||
`subscribe_whole_quote`, `unsubscribe_whole_quote`, `quote_keepalive`
|
|
||||||
File diff suppressed because it is too large
Load Diff
@@ -1,108 +0,0 @@
|
|||||||
# coding: utf-8
|
|
||||||
"""Run the full test suite from a single entry point.
|
|
||||||
|
|
||||||
Groups tests by area and prints a clear per-group + total report. Optional
|
|
||||||
live/API tests (need a running QMT + redis) are skipped by default.
|
|
||||||
|
|
||||||
Usage:
|
|
||||||
python run_all_tests.py # all offline tests (default)
|
|
||||||
python run_all_tests.py -v # verbose
|
|
||||||
python run_all_tests.py --live # also run live RPC tests (needs QMT running)
|
|
||||||
python run_all_tests.py --group signal_trader # only one group
|
|
||||||
python run_all_tests.py --group backtest
|
|
||||||
"""
|
|
||||||
import argparse
|
|
||||||
import os
|
|
||||||
import subprocess
|
|
||||||
import sys
|
|
||||||
import time
|
|
||||||
|
|
||||||
ROOT = os.path.dirname(os.path.abspath(__file__))
|
|
||||||
SRC = os.path.join(ROOT, "src")
|
|
||||||
|
|
||||||
# Test groups: (name, paths, requires_live)
|
|
||||||
GROUPS = [
|
|
||||||
("signal_trader", [os.path.join("tests", "bigqmt_signal_trader")], False),
|
|
||||||
("backtest", [os.path.join("tests", "bigqmt_backtest")], False),
|
|
||||||
]
|
|
||||||
LIVE_GROUP = ("live_api", ["test_all_apis.py"], True)
|
|
||||||
|
|
||||||
|
|
||||||
def run_group(name, paths, verbose):
|
|
||||||
"""Run a pytest group, return (passed, failed, skipped, seconds)."""
|
|
||||||
cmd = [sys.executable, "-m", "pytest"] + paths + ["-q" if not verbose else "-v"]
|
|
||||||
t0 = time.time()
|
|
||||||
proc = subprocess.run(cmd, cwd=ROOT, capture_output=True, text=True)
|
|
||||||
elapsed = time.time() - t0
|
|
||||||
out = (proc.stdout or "") + (proc.stderr or "")
|
|
||||||
# Parse pytest summary like "290 passed in 8.5s" / "1 failed, 289 passed, 3 skipped"
|
|
||||||
passed = failed = skipped = 0
|
|
||||||
for line in out.splitlines():
|
|
||||||
line = line.strip()
|
|
||||||
if not any(tok in line for tok in ("passed", "failed", "skipped", "error")):
|
|
||||||
continue
|
|
||||||
for part in line.split(","):
|
|
||||||
words = part.strip().split()
|
|
||||||
if len(words) >= 2 and words[0].isdigit():
|
|
||||||
num = int(words[0])
|
|
||||||
if words[1].startswith("passed"):
|
|
||||||
passed += num
|
|
||||||
elif words[1].startswith("failed") or words[1].startswith("error"):
|
|
||||||
failed += num
|
|
||||||
elif words[1].startswith("skipped"):
|
|
||||||
skipped += num
|
|
||||||
return passed, failed, skipped, elapsed, out, proc.returncode
|
|
||||||
|
|
||||||
|
|
||||||
def main():
|
|
||||||
parser = argparse.ArgumentParser(description="Run all bigqmt tests")
|
|
||||||
parser.add_argument("-v", "--verbose", action="store_true")
|
|
||||||
parser.add_argument("--live", action="store_true", help="also run live RPC tests (needs QMT)")
|
|
||||||
parser.add_argument("--group", help="run only this group (signal_trader/backtest/live_api)")
|
|
||||||
args = parser.parse_args()
|
|
||||||
|
|
||||||
groups = list(GROUPS)
|
|
||||||
if args.live:
|
|
||||||
groups.append(LIVE_GROUP)
|
|
||||||
if args.group:
|
|
||||||
groups = [g for g in groups if g[0] == args.group]
|
|
||||||
if not groups:
|
|
||||||
print("Unknown group: %s (available: %s)" % (args.group, ", ".join(g[0] for g in GROUPS + [LIVE_GROUP])))
|
|
||||||
return 1
|
|
||||||
|
|
||||||
print("=" * 70)
|
|
||||||
print("Big QMT Bridge - 全量测试")
|
|
||||||
print("=" * 70)
|
|
||||||
|
|
||||||
total_passed = total_failed = total_skipped = 0
|
|
||||||
total_time = 0.0
|
|
||||||
failed_groups = []
|
|
||||||
for name, paths, needs_live in groups:
|
|
||||||
print("\n--- %s ---" % name)
|
|
||||||
passed, failed, skipped, elapsed, out, rc = run_group(name, paths, args.verbose)
|
|
||||||
total_passed += passed
|
|
||||||
total_failed += failed
|
|
||||||
total_skipped += skipped
|
|
||||||
total_time += elapsed
|
|
||||||
status = "PASS" if failed == 0 and rc == 0 else "FAIL"
|
|
||||||
print(" %s: %d passed, %d failed, %d skipped (%.1fs)" % (status, passed, failed, skipped, elapsed))
|
|
||||||
if failed or rc != 0:
|
|
||||||
failed_groups.append(name)
|
|
||||||
if not args.verbose:
|
|
||||||
# print the failing part of the output for visibility
|
|
||||||
tail = "\n".join(out.splitlines()[-20:])
|
|
||||||
print(tail)
|
|
||||||
|
|
||||||
print("\n" + "=" * 70)
|
|
||||||
print("=== 汇总 ===")
|
|
||||||
print("通过 %d / 失败 %d / 跳过 %d / 总计 %d" % (total_passed, total_failed, total_skipped, total_passed + total_failed + total_skipped))
|
|
||||||
print("总耗时 %.1fs" % total_time)
|
|
||||||
if failed_groups:
|
|
||||||
print("失败分组: %s" % ", ".join(failed_groups))
|
|
||||||
return 1
|
|
||||||
print("全部通过 ✅")
|
|
||||||
return 0
|
|
||||||
|
|
||||||
|
|
||||||
if __name__ == "__main__":
|
|
||||||
sys.exit(main())
|
|
||||||
@@ -1,254 +0,0 @@
|
|||||||
#coding:gbk
|
|
||||||
"""QMT bridge entry using the same file-loader pattern as qmt_realtime strategies.
|
|
||||||
|
|
||||||
Broker QMT strategy sandboxes may reject local package names through their
|
|
||||||
normal ``import`` allowlist. The realtime QMT strategies in gupiao_ztfx load
|
|
||||||
their colocated helpers through ``importlib.util.spec_from_file_location``.
|
|
||||||
This entry applies path-based loading to the bridge package, including its
|
|
||||||
internal relative imports, while leaving all standard-library and QMT imports
|
|
||||||
untouched. This terminal's spec loader ignores custom builtins for nested
|
|
||||||
package imports, so local bridge files are compiled explicitly after resolving
|
|
||||||
their path.
|
|
||||||
"""
|
|
||||||
import builtins as _builtins
|
|
||||||
import importlib as _importlib
|
|
||||||
import os
|
|
||||||
import sys
|
|
||||||
import types
|
|
||||||
|
|
||||||
|
|
||||||
_LOCAL_ROOTS = (
|
|
||||||
"bigqmt_signal_trader",
|
|
||||||
"bigqmt_signal_trader_strategy",
|
|
||||||
"bigqmt_signal_trader_redis_rpc_runtime",
|
|
||||||
"bigqmt_signal_trader_local_config",
|
|
||||||
)
|
|
||||||
_ORIGINAL_IMPORT = _builtins.__import__
|
|
||||||
_ORIGINAL_IMPORT_MODULE = _importlib.import_module
|
|
||||||
_ORIGINAL_RELOAD = _importlib.reload
|
|
||||||
|
|
||||||
|
|
||||||
def _known_qmt_python_dir():
|
|
||||||
# Find the QMT python dir from sys.path instead of a hardcoded path, so
|
|
||||||
# the bridge loads regardless of broker install location or launch mode
|
|
||||||
# (editor / paste-run / exec). Falls back to empty when not found.
|
|
||||||
for p in sys.path:
|
|
||||||
if p and r"\python" in p and os.path.isdir(p):
|
|
||||||
return p
|
|
||||||
return ""
|
|
||||||
|
|
||||||
|
|
||||||
try:
|
|
||||||
_SOURCE_ROOT = os.path.dirname(os.path.abspath(__file__))
|
|
||||||
except Exception:
|
|
||||||
_SOURCE_ROOT = _known_qmt_python_dir()
|
|
||||||
if not _SOURCE_ROOT:
|
|
||||||
_SOURCE_ROOT = _known_qmt_python_dir()
|
|
||||||
|
|
||||||
|
|
||||||
def _is_local_module(name):
|
|
||||||
return any(name == root or name.startswith(root + ".") for root in _LOCAL_ROOTS)
|
|
||||||
|
|
||||||
|
|
||||||
def _resolve_name(name, module_globals, level):
|
|
||||||
if not level:
|
|
||||||
return name
|
|
||||||
package = (module_globals or {}).get("__package__") or (module_globals or {}).get("__name__", "")
|
|
||||||
if not package:
|
|
||||||
raise ImportError("relative import without package")
|
|
||||||
for unused in range(level - 1):
|
|
||||||
if "." not in package:
|
|
||||||
raise ImportError("relative import beyond top-level package")
|
|
||||||
package = package.rsplit(".", 1)[0]
|
|
||||||
return package + ("." + name if name else "")
|
|
||||||
|
|
||||||
|
|
||||||
def _find_local_source(name):
|
|
||||||
relative = name.replace(".", os.sep)
|
|
||||||
dirs = []
|
|
||||||
if _SOURCE_ROOT:
|
|
||||||
dirs.append(_SOURCE_ROOT)
|
|
||||||
for p in sys.path:
|
|
||||||
if p and os.path.isdir(p) and p not in dirs:
|
|
||||||
dirs.append(p)
|
|
||||||
for d in dirs:
|
|
||||||
package_init = os.path.join(d, relative, "__init__.py")
|
|
||||||
if os.path.isfile(package_init):
|
|
||||||
return package_init, True
|
|
||||||
module_file = os.path.join(d, relative + ".py")
|
|
||||||
if os.path.isfile(module_file):
|
|
||||||
return module_file, False
|
|
||||||
raise ModuleNotFoundError("local source not found: %s" % name, name=name)
|
|
||||||
|
|
||||||
|
|
||||||
def _set_parent_attribute(name, module):
|
|
||||||
if "." not in name:
|
|
||||||
return
|
|
||||||
parent_name, child_name = name.rsplit(".", 1)
|
|
||||||
parent = _load_local_module(parent_name)
|
|
||||||
setattr(parent, child_name, module)
|
|
||||||
|
|
||||||
|
|
||||||
def _load_local_module(name):
|
|
||||||
existing = sys.modules.get(name)
|
|
||||||
if existing is not None:
|
|
||||||
return existing
|
|
||||||
source_path, is_package = _find_local_source(name)
|
|
||||||
if "." in name:
|
|
||||||
_load_local_module(name.rsplit(".", 1)[0])
|
|
||||||
module = types.ModuleType(name)
|
|
||||||
module.__file__ = source_path
|
|
||||||
module.__package__ = name if is_package else name.rpartition(".")[0]
|
|
||||||
if is_package:
|
|
||||||
module.__path__ = [os.path.dirname(source_path)]
|
|
||||||
module_builtins = dict(_builtins.__dict__)
|
|
||||||
module_builtins["__import__"] = _local_import
|
|
||||||
module.__dict__["__builtins__"] = module_builtins
|
|
||||||
module.__dict__["__bigqmt_load_local_module"] = _load_local_module
|
|
||||||
sys.modules[name] = module
|
|
||||||
# QMT native allowlist rejects the root package eager exports.
|
|
||||||
if name == "bigqmt_signal_trader":
|
|
||||||
return module
|
|
||||||
try:
|
|
||||||
with open(source_path, "rb") as source_file:
|
|
||||||
source = source_file.read()
|
|
||||||
exec(compile(source, source_path, "exec"), module.__dict__)
|
|
||||||
except Exception:
|
|
||||||
sys.modules.pop(name, None)
|
|
||||||
raise
|
|
||||||
_set_parent_attribute(name, module)
|
|
||||||
return module
|
|
||||||
|
|
||||||
|
|
||||||
def _local_import(name, module_globals=None, module_locals=None, fromlist=(), level=0):
|
|
||||||
absolute_name = _resolve_name(name, module_globals, level)
|
|
||||||
if not _is_local_module(absolute_name):
|
|
||||||
return _ORIGINAL_IMPORT(name, module_globals, module_locals, fromlist, level)
|
|
||||||
module = _load_local_module(absolute_name)
|
|
||||||
for child in fromlist or ():
|
|
||||||
if child != "*":
|
|
||||||
try:
|
|
||||||
_load_local_module(absolute_name + "." + child)
|
|
||||||
except ModuleNotFoundError:
|
|
||||||
pass
|
|
||||||
if fromlist:
|
|
||||||
return module
|
|
||||||
return _load_local_module(absolute_name.split(".", 1)[0])
|
|
||||||
|
|
||||||
|
|
||||||
def _local_import_module(name, package=None):
|
|
||||||
if _is_local_module(name):
|
|
||||||
return _load_local_module(name)
|
|
||||||
return _ORIGINAL_IMPORT_MODULE(name, package)
|
|
||||||
|
|
||||||
|
|
||||||
def _local_reload(module):
|
|
||||||
if _is_local_module(getattr(module, "__name__", "")):
|
|
||||||
return _load_local_module(module.__name__)
|
|
||||||
return _ORIGINAL_RELOAD(module)
|
|
||||||
|
|
||||||
|
|
||||||
def _clear_local_modules():
|
|
||||||
for name in list(sys.modules):
|
|
||||||
if _is_local_module(name):
|
|
||||||
sys.modules.pop(name, None)
|
|
||||||
|
|
||||||
|
|
||||||
def _stop_previous_rpc_service():
|
|
||||||
"""Release the previous QMT strategy's socket before clearing its module.
|
|
||||||
|
|
||||||
QMT can re-execute this entry in the same Python process. The old strategy
|
|
||||||
module owns the RPC service and its ZMQ ROUTER socket, so dropping that
|
|
||||||
module from ``sys.modules`` first would make the service unreachable and
|
|
||||||
leave its port bound for the next strategy start.
|
|
||||||
"""
|
|
||||||
previous = sys.modules.get("bigqmt_signal_trader_strategy")
|
|
||||||
reset = getattr(previous, "reset_app", None)
|
|
||||||
if not callable(reset):
|
|
||||||
return
|
|
||||||
try:
|
|
||||||
reset()
|
|
||||||
print("[bigqmt_shell] previous rpc service stopped")
|
|
||||||
except Exception as exc:
|
|
||||||
# Continue the reload so a broken old instance does not prevent QMT
|
|
||||||
# from reporting its normal startup error.
|
|
||||||
print("[bigqmt_shell] previous rpc service stop failed: %s" % exc)
|
|
||||||
|
|
||||||
|
|
||||||
_stop_previous_rpc_service()
|
|
||||||
_clear_local_modules()
|
|
||||||
_importlib.import_module = _local_import_module
|
|
||||||
_importlib.reload = _local_reload
|
|
||||||
print("[bigqmt_shell] importlib entry source_root=%s" % _SOURCE_ROOT)
|
|
||||||
|
|
||||||
|
|
||||||
def _fallback_account_id():
|
|
||||||
for name in ("BIGQMT_ACCOUNT_ID", "account", "account_id", "accountID"):
|
|
||||||
value = globals().get(name)
|
|
||||||
if value:
|
|
||||||
return str(value)
|
|
||||||
return ""
|
|
||||||
|
|
||||||
|
|
||||||
try:
|
|
||||||
_local_import("bigqmt_signal_trader.adapters.redis_common", globals(), fromlist=("*",))
|
|
||||||
_local_import("bigqmt_signal_trader.redis_rpc", globals(), fromlist=("*",))
|
|
||||||
_strategy = _local_import("bigqmt_signal_trader_strategy", globals(), fromlist=("*",))
|
|
||||||
_strategy.reset_app()
|
|
||||||
except Exception as bridge_preload_error:
|
|
||||||
print("[bigqmt_shell] bridge preload failed: %s" % bridge_preload_error)
|
|
||||||
|
|
||||||
_runtime = _local_import("bigqmt_signal_trader_redis_rpc_runtime", globals(), fromlist=("*",))
|
|
||||||
|
|
||||||
|
|
||||||
def _load_local_config():
|
|
||||||
return _local_import("bigqmt_signal_trader_local_config", globals(), fromlist=("*",))
|
|
||||||
|
|
||||||
|
|
||||||
try:
|
|
||||||
_config = _load_local_config()
|
|
||||||
BIGQMT_REDIS_CONFIG = getattr(_config, "BIGQMT_REDIS_CONFIG", {})
|
|
||||||
print("[bigqmt_shell] local redis config loaded keys=%s" % sorted((BIGQMT_REDIS_CONFIG or {}).keys()))
|
|
||||||
_runtime.configure_runtime_redis(BIGQMT_REDIS_CONFIG)
|
|
||||||
except Exception as redis_config_error:
|
|
||||||
print("[bigqmt_shell] local redis config load failed: %s" % redis_config_error)
|
|
||||||
|
|
||||||
try:
|
|
||||||
_config = _load_local_config()
|
|
||||||
BIGQMT_ACCOUNT_ID = getattr(_config, "BIGQMT_ACCOUNT_ID", "")
|
|
||||||
print("[bigqmt_shell] local account config loaded=%s" % bool(BIGQMT_ACCOUNT_ID))
|
|
||||||
_runtime.configure_runtime_account(BIGQMT_ACCOUNT_ID)
|
|
||||||
except Exception as account_config_error:
|
|
||||||
print("[bigqmt_shell] local account config load failed: %s" % account_config_error)
|
|
||||||
account_id = _fallback_account_id()
|
|
||||||
if account_id:
|
|
||||||
_runtime.configure_runtime_account(account_id)
|
|
||||||
|
|
||||||
try:
|
|
||||||
qmt_extra = {}
|
|
||||||
for function_name in (
|
|
||||||
"get_history_trade_detail_data", "get_value_by_order_id", "get_last_order_id",
|
|
||||||
"get_ipo_data", "get_new_purchase_limit", "get_assure_contract",
|
|
||||||
"get_enable_short_contract", "get_unclosed_compacts", "get_closed_compacts",
|
|
||||||
"get_debt_contract", "get_option_subject_position", "get_comb_option",
|
|
||||||
"get_hkt_exchange_rate",
|
|
||||||
"download_history_data", "download_history_data2",
|
|
||||||
):
|
|
||||||
if function_name in globals():
|
|
||||||
qmt_extra[function_name] = globals()[function_name]
|
|
||||||
print("[bigqmt_shell] down_history_data bound=%s" % ("down_history_data" in qmt_extra))
|
|
||||||
_runtime.bind_runtime_api(
|
|
||||||
passorder_func=globals().get("passorder"),
|
|
||||||
cancel_func=globals().get("cancel"),
|
|
||||||
get_trade_detail_data_func=globals().get("get_trade_detail_data"),
|
|
||||||
extra_funcs=qmt_extra or None,
|
|
||||||
)
|
|
||||||
except NameError:
|
|
||||||
pass
|
|
||||||
|
|
||||||
|
|
||||||
init = _runtime.init
|
|
||||||
handlebar = _runtime.handlebar
|
|
||||||
adjust = _runtime.adjust
|
|
||||||
order_callback = _runtime.order_callback
|
|
||||||
deal_callback = _runtime.deal_callback
|
|
||||||
@@ -1,152 +0,0 @@
|
|||||||
#coding:gbk
|
|
||||||
"""Isolated QMT backtest entry for external ZMQ strategies.
|
|
||||||
|
|
||||||
This file is ASCII-only. It loads only the bigqmt_backtest package and never
|
|
||||||
loads or mutates the live bridge package.
|
|
||||||
"""
|
|
||||||
|
|
||||||
import builtins as _builtins
|
|
||||||
import os
|
|
||||||
import sys
|
|
||||||
import types
|
|
||||||
|
|
||||||
|
|
||||||
BACKTEST_ZMQ_CONFIG = {
|
|
||||||
"bind_endpoint": "tcp://127.0.0.1:16662",
|
|
||||||
"run_id": "",
|
|
||||||
"account_id": "",
|
|
||||||
"account_type": "STOCK",
|
|
||||||
"strategy_name": "ZMQ_BACKTEST",
|
|
||||||
"combo_type": 1101,
|
|
||||||
"quick_trade": 2,
|
|
||||||
"market_price_type": 5,
|
|
||||||
"limit_price_type": 11,
|
|
||||||
"bar_wait_timeout_seconds": 60,
|
|
||||||
"require_qmt_backtest": True,
|
|
||||||
}
|
|
||||||
|
|
||||||
|
|
||||||
_LOCAL_ROOT = "bigqmt_backtest"
|
|
||||||
_ORIGINAL_IMPORT = _builtins.__import__
|
|
||||||
|
|
||||||
|
|
||||||
def _known_qmt_python_dir():
|
|
||||||
for p in sys.path:
|
|
||||||
if p and r"\python" in p and os.path.isdir(p):
|
|
||||||
return p
|
|
||||||
return ""
|
|
||||||
|
|
||||||
|
|
||||||
try:
|
|
||||||
_SOURCE_ROOT = os.path.dirname(os.path.abspath(__file__))
|
|
||||||
except Exception:
|
|
||||||
_SOURCE_ROOT = _known_qmt_python_dir()
|
|
||||||
if not _SOURCE_ROOT:
|
|
||||||
_SOURCE_ROOT = _known_qmt_python_dir()
|
|
||||||
|
|
||||||
|
|
||||||
def _is_local(name):
|
|
||||||
return name == _LOCAL_ROOT or name.startswith(_LOCAL_ROOT + ".")
|
|
||||||
|
|
||||||
|
|
||||||
def _resolve_name(name, module_globals, level):
|
|
||||||
if not level:
|
|
||||||
return name
|
|
||||||
package = (module_globals or {}).get("__package__") or ""
|
|
||||||
if not package:
|
|
||||||
raise ImportError("relative import without package")
|
|
||||||
for unused in range(level - 1):
|
|
||||||
package = package.rsplit(".", 1)[0]
|
|
||||||
return package + (("." + name) if name else "")
|
|
||||||
|
|
||||||
|
|
||||||
def _find_source(name):
|
|
||||||
relative = name.replace(".", os.sep)
|
|
||||||
dirs = []
|
|
||||||
if _SOURCE_ROOT:
|
|
||||||
dirs.append(_SOURCE_ROOT)
|
|
||||||
for p in sys.path:
|
|
||||||
if p and os.path.isdir(p) and p not in dirs:
|
|
||||||
dirs.append(p)
|
|
||||||
for d in dirs:
|
|
||||||
package_init = os.path.join(d, relative, "__init__.py")
|
|
||||||
if os.path.isfile(package_init):
|
|
||||||
return package_init, True
|
|
||||||
module_file = os.path.join(d, relative + ".py")
|
|
||||||
if os.path.isfile(module_file):
|
|
||||||
return module_file, False
|
|
||||||
raise ModuleNotFoundError("local source not found: %s" % name, name=name)
|
|
||||||
|
|
||||||
|
|
||||||
def _load_local_module(name):
|
|
||||||
existing = sys.modules.get(name)
|
|
||||||
if existing is not None:
|
|
||||||
return existing
|
|
||||||
source_path, is_package = _find_source(name)
|
|
||||||
if "." in name:
|
|
||||||
_load_local_module(name.rsplit(".", 1)[0])
|
|
||||||
module = types.ModuleType(name)
|
|
||||||
module.__file__ = source_path
|
|
||||||
module.__package__ = name if is_package else name.rpartition(".")[0]
|
|
||||||
if is_package:
|
|
||||||
module.__path__ = [os.path.dirname(source_path)]
|
|
||||||
module_builtins = dict(_builtins.__dict__)
|
|
||||||
module_builtins["__import__"] = _local_import
|
|
||||||
module.__dict__["__builtins__"] = module_builtins
|
|
||||||
sys.modules[name] = module
|
|
||||||
if name == _LOCAL_ROOT:
|
|
||||||
return module
|
|
||||||
try:
|
|
||||||
with open(source_path, "rb") as source_file:
|
|
||||||
source = source_file.read()
|
|
||||||
exec(compile(source, source_path, "exec"), module.__dict__)
|
|
||||||
except Exception:
|
|
||||||
sys.modules.pop(name, None)
|
|
||||||
raise
|
|
||||||
if "." in name:
|
|
||||||
parent_name, child_name = name.rsplit(".", 1)
|
|
||||||
setattr(_load_local_module(parent_name), child_name, module)
|
|
||||||
return module
|
|
||||||
|
|
||||||
|
|
||||||
def _local_import(name, module_globals=None, module_locals=None, fromlist=(), level=0):
|
|
||||||
absolute_name = _resolve_name(name, module_globals, level)
|
|
||||||
if not _is_local(absolute_name):
|
|
||||||
return _ORIGINAL_IMPORT(name, module_globals, module_locals, fromlist, level)
|
|
||||||
module = _load_local_module(absolute_name)
|
|
||||||
for child in fromlist or ():
|
|
||||||
if child != "*":
|
|
||||||
try:
|
|
||||||
_load_local_module(absolute_name + "." + child)
|
|
||||||
except ModuleNotFoundError:
|
|
||||||
pass
|
|
||||||
if fromlist:
|
|
||||||
return module
|
|
||||||
return _load_local_module(absolute_name.split(".", 1)[0])
|
|
||||||
|
|
||||||
|
|
||||||
for _name in sorted(
|
|
||||||
[name for name in list(sys.modules) if _is_local(name)],
|
|
||||||
key=lambda item: item.count("."),
|
|
||||||
reverse=True,
|
|
||||||
):
|
|
||||||
sys.modules.pop(_name, None)
|
|
||||||
|
|
||||||
|
|
||||||
_runtime = _load_local_module("bigqmt_backtest.qmt_runtime")
|
|
||||||
_runtime.configure(**BACKTEST_ZMQ_CONFIG)
|
|
||||||
_runtime.bind_qmt_api(
|
|
||||||
passorder_func=globals().get("passorder") or getattr(_builtins, "passorder", None),
|
|
||||||
cancel_func=globals().get("cancel") or getattr(_builtins, "cancel", None),
|
|
||||||
get_trade_detail_data_func=(
|
|
||||||
globals().get("get_trade_detail_data")
|
|
||||||
or getattr(_builtins, "get_trade_detail_data", None)
|
|
||||||
),
|
|
||||||
)
|
|
||||||
|
|
||||||
init = _runtime.init
|
|
||||||
handlebar = _runtime.handlebar
|
|
||||||
order_callback = _runtime.order_callback
|
|
||||||
deal_callback = _runtime.deal_callback
|
|
||||||
stop = _runtime.stop
|
|
||||||
after_backtest = _runtime.after_backtest
|
|
||||||
@@ -1,23 +0,0 @@
|
|||||||
"""Isolated ZMQ bridge for QMT-native and standalone backtests.
|
|
||||||
|
|
||||||
This package deliberately does not import ``bigqmt_signal_trader``. The live
|
|
||||||
bridge and both backtest backends therefore have separate module state,
|
|
||||||
identities, and order gateways. QMT-native mode never uses the local broker.
|
|
||||||
"""
|
|
||||||
|
|
||||||
from .client import BacktestZmqClient
|
|
||||||
from .data_feed import CsvBarFeed, InMemoryBarFeed
|
|
||||||
from .engine import BacktestConfig, BacktestEngine
|
|
||||||
from .protocol import BacktestBridgeProtocol
|
|
||||||
|
|
||||||
|
|
||||||
__all__ = [
|
|
||||||
"BacktestBridgeProtocol",
|
|
||||||
"BacktestConfig",
|
|
||||||
"BacktestEngine",
|
|
||||||
"BacktestZmqClient",
|
|
||||||
"CsvBarFeed",
|
|
||||||
"InMemoryBarFeed",
|
|
||||||
]
|
|
||||||
|
|
||||||
__version__ = "1.0.0"
|
|
||||||
@@ -1,5 +0,0 @@
|
|||||||
from .server import main
|
|
||||||
|
|
||||||
|
|
||||||
if __name__ == "__main__":
|
|
||||||
main()
|
|
||||||
@@ -1,358 +0,0 @@
|
|||||||
"""A-share simulated broker used only by the standalone backtest runtime."""
|
|
||||||
|
|
||||||
import json
|
|
||||||
from decimal import Decimal
|
|
||||||
|
|
||||||
from .models import (
|
|
||||||
BacktestFill,
|
|
||||||
BacktestOrder,
|
|
||||||
Position,
|
|
||||||
ZERO,
|
|
||||||
decimal_value,
|
|
||||||
json_number,
|
|
||||||
money,
|
|
||||||
normalize_symbol,
|
|
||||||
round_price,
|
|
||||||
)
|
|
||||||
|
|
||||||
|
|
||||||
ACTIVE_ORDER_STATUSES = ("PENDING", "PARTIALLY_FILLED")
|
|
||||||
|
|
||||||
|
|
||||||
class SimulatedBroker(object):
|
|
||||||
def __init__(self, config):
|
|
||||||
self.config = config
|
|
||||||
self.cash = money(config.initial_cash)
|
|
||||||
self.positions = {}
|
|
||||||
for symbol, payload in dict(config.initial_positions or {}).items():
|
|
||||||
data = dict(payload or {})
|
|
||||||
position = Position(
|
|
||||||
symbol,
|
|
||||||
quantity=data.get("quantity", data.get("volume", 0)),
|
|
||||||
available=data.get("available"),
|
|
||||||
today_buy=data.get("today_buy", 0),
|
|
||||||
avg_cost=data.get("avg_cost", data.get("cost", 0)),
|
|
||||||
)
|
|
||||||
if position.quantity > 0:
|
|
||||||
self.positions[position.symbol] = position
|
|
||||||
self.orders_list = []
|
|
||||||
self.fills_list = []
|
|
||||||
self._client_order_ids = {}
|
|
||||||
self._client_order_fingerprints = {}
|
|
||||||
self._order_sequence = 0
|
|
||||||
self._fill_sequence = 0
|
|
||||||
self._trading_date = None
|
|
||||||
self.total_fees = ZERO
|
|
||||||
self.turnover = ZERO
|
|
||||||
|
|
||||||
def _new_order(self, payload, frame_index, submitted_at):
|
|
||||||
self._order_sequence += 1
|
|
||||||
return BacktestOrder(
|
|
||||||
order_id="bt-order-%06d" % self._order_sequence,
|
|
||||||
client_order_id=payload.get("client_order_id"),
|
|
||||||
symbol=payload.get("symbol"),
|
|
||||||
side=payload.get("side"),
|
|
||||||
quantity=payload.get("quantity"),
|
|
||||||
order_type=payload.get("order_type", "MARKET"),
|
|
||||||
limit_price=payload.get("limit_price", payload.get("price")),
|
|
||||||
submitted_index=frame_index,
|
|
||||||
submitted_at=submitted_at,
|
|
||||||
time_in_force=payload.get("time_in_force", self.config.time_in_force),
|
|
||||||
)
|
|
||||||
|
|
||||||
def _reject(self, order, reason):
|
|
||||||
order.status = "REJECTED"
|
|
||||||
order.reject_reason = str(reason)
|
|
||||||
return order
|
|
||||||
|
|
||||||
def _reserved_sell(self, symbol):
|
|
||||||
return sum(
|
|
||||||
order.remaining
|
|
||||||
for order in self.orders_list
|
|
||||||
if order.symbol == symbol and order.side == "SELL" and order.status in ACTIVE_ORDER_STATUSES
|
|
||||||
)
|
|
||||||
|
|
||||||
def submit(self, payload, frame_index, submitted_at):
|
|
||||||
payload = dict(payload or {})
|
|
||||||
client_order_id = str(payload.get("client_order_id") or "")
|
|
||||||
if client_order_id and client_order_id in self._client_order_ids:
|
|
||||||
limit_value = payload.get("limit_price", payload.get("price"))
|
|
||||||
fingerprint_payload = {
|
|
||||||
"symbol": normalize_symbol(payload.get("symbol")),
|
|
||||||
"side": str(payload.get("side") or "").upper(),
|
|
||||||
"quantity": int(payload.get("quantity") or 0),
|
|
||||||
"order_type": str(payload.get("order_type") or "MARKET").upper(),
|
|
||||||
"limit_price": None if limit_value in (None, "") else float(decimal_value(limit_value)),
|
|
||||||
"time_in_force": str(payload.get("time_in_force", self.config.time_in_force)).upper(),
|
|
||||||
}
|
|
||||||
fingerprint = json.dumps(fingerprint_payload, sort_keys=True, separators=(",", ":"))
|
|
||||||
if self._client_order_fingerprints.get(client_order_id) != fingerprint:
|
|
||||||
raise ValueError("client_order_id reused with different order payload")
|
|
||||||
return self._client_order_ids[client_order_id]
|
|
||||||
try:
|
|
||||||
symbol = normalize_symbol(payload.get("symbol"))
|
|
||||||
side = str(payload.get("side") or "").upper()
|
|
||||||
quantity = int(payload.get("quantity") or 0)
|
|
||||||
order_type = str(payload.get("order_type") or "MARKET").upper()
|
|
||||||
if side not in ("BUY", "SELL"):
|
|
||||||
raise ValueError("side must be BUY or SELL")
|
|
||||||
if quantity <= 0:
|
|
||||||
raise ValueError("quantity must be positive")
|
|
||||||
if order_type not in ("MARKET", "LIMIT"):
|
|
||||||
raise ValueError("order_type must be MARKET or LIMIT")
|
|
||||||
if order_type == "LIMIT" and decimal_value(payload.get("limit_price", payload.get("price"))) <= 0:
|
|
||||||
raise ValueError("positive limit_price is required for LIMIT order")
|
|
||||||
payload.update({"symbol": symbol, "side": side, "quantity": quantity, "order_type": order_type})
|
|
||||||
order = self._new_order(payload, frame_index, submitted_at)
|
|
||||||
except Exception as exc:
|
|
||||||
self._order_sequence += 1
|
|
||||||
order = BacktestOrder(
|
|
||||||
"bt-order-%06d" % self._order_sequence,
|
|
||||||
client_order_id,
|
|
||||||
payload.get("symbol") or "UNKNOWN",
|
|
||||||
payload.get("side") or "UNKNOWN",
|
|
||||||
int(payload.get("quantity") or 0),
|
|
||||||
payload.get("order_type") or "MARKET",
|
|
||||||
payload.get("limit_price", payload.get("price")),
|
|
||||||
frame_index,
|
|
||||||
submitted_at,
|
|
||||||
payload.get("time_in_force", self.config.time_in_force),
|
|
||||||
)
|
|
||||||
self._reject(order, "invalid_order:%s" % exc)
|
|
||||||
self.orders_list.append(order)
|
|
||||||
return order
|
|
||||||
|
|
||||||
self.orders_list.append(order)
|
|
||||||
if client_order_id:
|
|
||||||
self._client_order_ids[client_order_id] = order
|
|
||||||
fingerprint_payload = {
|
|
||||||
"symbol": order.symbol,
|
|
||||||
"side": order.side,
|
|
||||||
"quantity": order.quantity,
|
|
||||||
"order_type": order.order_type,
|
|
||||||
"limit_price": None if order.limit_price is None else float(order.limit_price),
|
|
||||||
"time_in_force": order.time_in_force,
|
|
||||||
}
|
|
||||||
self._client_order_fingerprints[client_order_id] = json.dumps(
|
|
||||||
fingerprint_payload, sort_keys=True, separators=(",", ":")
|
|
||||||
)
|
|
||||||
lot_size = self.config.lot_size
|
|
||||||
if order.side == "BUY" and order.quantity % lot_size:
|
|
||||||
return self._reject(order, "buy_quantity_not_round_lot")
|
|
||||||
if order.side == "SELL":
|
|
||||||
position = self.positions.get(order.symbol)
|
|
||||||
available = 0 if position is None else max(position.available - self._reserved_sell(order.symbol) + order.quantity, 0)
|
|
||||||
if available <= 0:
|
|
||||||
return self._reject(order, "t_plus_one_unavailable")
|
|
||||||
if order.quantity > available:
|
|
||||||
return self._reject(order, "insufficient_sellable")
|
|
||||||
if order.quantity % lot_size and order.quantity != available:
|
|
||||||
return self._reject(order, "sell_quantity_not_round_lot")
|
|
||||||
return order
|
|
||||||
|
|
||||||
def cancel(self, order_id):
|
|
||||||
for order in self.orders_list:
|
|
||||||
if order.order_id == str(order_id) or order.client_order_id == str(order_id):
|
|
||||||
if order.status not in ACTIVE_ORDER_STATUSES:
|
|
||||||
return order
|
|
||||||
order.status = "CANCELLED"
|
|
||||||
order.reject_reason = "cancelled_by_strategy"
|
|
||||||
return order
|
|
||||||
raise KeyError("order not found: %s" % order_id)
|
|
||||||
|
|
||||||
def _settle_trading_day(self, trading_date):
|
|
||||||
if self._trading_date == trading_date:
|
|
||||||
return
|
|
||||||
if self._trading_date is not None:
|
|
||||||
for position in self.positions.values():
|
|
||||||
position.available = position.quantity
|
|
||||||
position.today_buy = 0
|
|
||||||
self._trading_date = trading_date
|
|
||||||
|
|
||||||
def _limits(self, order, bar):
|
|
||||||
prev_close = decimal_value(bar.get("prev_close") or bar.get("close"))
|
|
||||||
if bar.get("price_limit_rate") not in (None, ""):
|
|
||||||
rate = decimal_value(bar.get("price_limit_rate"))
|
|
||||||
else:
|
|
||||||
pure = order.symbol.split(".", 1)[0]
|
|
||||||
if order.symbol.endswith(".BJ"):
|
|
||||||
rate = Decimal("0.30")
|
|
||||||
elif pure.startswith(("300", "301", "688", "689")):
|
|
||||||
rate = Decimal("0.20")
|
|
||||||
else:
|
|
||||||
rate = decimal_value(self.config.price_limit_rate)
|
|
||||||
up_limit = bar.get("up_limit")
|
|
||||||
down_limit = bar.get("down_limit")
|
|
||||||
up_limit = round_price(order.symbol, up_limit if up_limit not in (None, "") else prev_close * (Decimal("1") + rate))
|
|
||||||
down_limit = round_price(order.symbol, down_limit if down_limit not in (None, "") else prev_close * (Decimal("1") - rate))
|
|
||||||
return up_limit, down_limit
|
|
||||||
|
|
||||||
def _match_price(self, order, bar):
|
|
||||||
if bool(bar.get("suspended")) or float(bar.get("volume") or 0) <= 0:
|
|
||||||
return None, "suspended_or_no_volume"
|
|
||||||
open_price = round_price(order.symbol, bar["open"])
|
|
||||||
high = round_price(order.symbol, bar["high"])
|
|
||||||
low = round_price(order.symbol, bar["low"])
|
|
||||||
up_limit, down_limit = self._limits(order, bar)
|
|
||||||
if order.side == "BUY" and open_price == high == low == up_limit:
|
|
||||||
return None, "limit_up_locked"
|
|
||||||
if order.side == "SELL" and open_price == high == low == down_limit:
|
|
||||||
return None, "limit_down_locked"
|
|
||||||
if order.order_type == "LIMIT" and not down_limit <= order.limit_price <= up_limit:
|
|
||||||
return None, "limit_price_outside_daily_range"
|
|
||||||
if order.order_type == "MARKET":
|
|
||||||
price = open_price
|
|
||||||
elif order.side == "BUY":
|
|
||||||
if low > order.limit_price:
|
|
||||||
return None, "limit_not_crossed"
|
|
||||||
price = min(open_price, order.limit_price)
|
|
||||||
else:
|
|
||||||
if high < order.limit_price:
|
|
||||||
return None, "limit_not_crossed"
|
|
||||||
price = max(open_price, order.limit_price)
|
|
||||||
slip = decimal_value(self.config.slippage_bps) / Decimal("10000")
|
|
||||||
if order.side == "BUY":
|
|
||||||
price = min(round_price(order.symbol, price * (Decimal("1") + slip)), up_limit)
|
|
||||||
else:
|
|
||||||
price = max(round_price(order.symbol, price * (Decimal("1") - slip)), down_limit)
|
|
||||||
return price, ""
|
|
||||||
|
|
||||||
def _fees(self, side, amount):
|
|
||||||
rate = self.config.buy_commission_rate if side == "BUY" else self.config.sell_commission_rate
|
|
||||||
commission = max(amount * decimal_value(rate), decimal_value(self.config.min_commission)) if rate else ZERO
|
|
||||||
stamp = amount * decimal_value(self.config.stamp_tax_rate) if side == "SELL" else ZERO
|
|
||||||
transfer = amount * decimal_value(self.config.transfer_fee_rate)
|
|
||||||
return money(commission), money(stamp), money(transfer)
|
|
||||||
|
|
||||||
def _volume_cap(self, order, bar, used_volume=0):
|
|
||||||
raw = int(float(bar.get("volume") or 0) * float(self.config.max_volume_participation))
|
|
||||||
cap = max((raw // self.config.lot_size) * self.config.lot_size - int(used_volume), 0)
|
|
||||||
return min(order.remaining, cap)
|
|
||||||
|
|
||||||
def _affordable_buy_quantity(self, quantity, price):
|
|
||||||
quantity = (int(quantity) // self.config.lot_size) * self.config.lot_size
|
|
||||||
while quantity > 0:
|
|
||||||
amount = money(price * quantity)
|
|
||||||
fees = sum(self._fees("BUY", amount), ZERO)
|
|
||||||
if self.cash >= amount + fees:
|
|
||||||
return quantity
|
|
||||||
quantity -= self.config.lot_size
|
|
||||||
return 0
|
|
||||||
|
|
||||||
def _apply_fill(self, order, quantity, price, frame_index, filled_at):
|
|
||||||
amount = money(price * quantity)
|
|
||||||
commission, stamp, transfer = self._fees(order.side, amount)
|
|
||||||
self._fill_sequence += 1
|
|
||||||
fill = BacktestFill(
|
|
||||||
"bt-fill-%06d" % self._fill_sequence,
|
|
||||||
order,
|
|
||||||
quantity,
|
|
||||||
price,
|
|
||||||
commission,
|
|
||||||
stamp,
|
|
||||||
transfer,
|
|
||||||
frame_index,
|
|
||||||
filled_at,
|
|
||||||
)
|
|
||||||
fees = fill.total_fee
|
|
||||||
position = self.positions.get(order.symbol)
|
|
||||||
if order.side == "BUY":
|
|
||||||
if position is None:
|
|
||||||
position = Position(order.symbol)
|
|
||||||
self.positions[order.symbol] = position
|
|
||||||
old_cost = position.avg_cost * position.quantity
|
|
||||||
self.cash = money(self.cash - amount - fees)
|
|
||||||
position.quantity += quantity
|
|
||||||
position.today_buy += quantity
|
|
||||||
position.avg_cost = (old_cost + amount + fees) / position.quantity
|
|
||||||
else:
|
|
||||||
if position is None or position.available < quantity:
|
|
||||||
raise RuntimeError("sellable quantity changed before fill")
|
|
||||||
self.cash = money(self.cash + amount - fees)
|
|
||||||
position.quantity -= quantity
|
|
||||||
position.available -= quantity
|
|
||||||
position.realized_pnl += amount - fees - position.avg_cost * quantity
|
|
||||||
if position.quantity <= 0:
|
|
||||||
self.positions.pop(order.symbol, None)
|
|
||||||
order.filled_quantity += quantity
|
|
||||||
order.status = "FILLED" if order.remaining == 0 else "PARTIALLY_FILLED"
|
|
||||||
self.total_fees += fees
|
|
||||||
self.turnover += amount
|
|
||||||
self.fills_list.append(fill)
|
|
||||||
return fill
|
|
||||||
|
|
||||||
def advance(self, frame_index, frame):
|
|
||||||
trading_date = str(frame["datetime"])[:10]
|
|
||||||
self._settle_trading_day(trading_date)
|
|
||||||
fills = []
|
|
||||||
used_volume = {}
|
|
||||||
for order in self.orders_list:
|
|
||||||
if order.status not in ACTIVE_ORDER_STATUSES or frame_index <= order.submitted_index:
|
|
||||||
continue
|
|
||||||
bar = frame["bars"].get(order.symbol)
|
|
||||||
if bar is None:
|
|
||||||
continue
|
|
||||||
if order.time_in_force == "DAY" and str(order.submitted_at)[:10] != trading_date:
|
|
||||||
order.status = "EXPIRED"
|
|
||||||
order.reject_reason = "day_order_expired"
|
|
||||||
continue
|
|
||||||
order.last_attempt_index = frame_index
|
|
||||||
price, reason = self._match_price(order, bar)
|
|
||||||
if price is None:
|
|
||||||
if order.time_in_force == "NEXT_BAR":
|
|
||||||
order.status = "EXPIRED"
|
|
||||||
order.reject_reason = reason
|
|
||||||
continue
|
|
||||||
quantity = self._volume_cap(order, bar, used_volume.get(order.symbol, 0))
|
|
||||||
if quantity <= 0:
|
|
||||||
reason = "volume_participation_exhausted"
|
|
||||||
elif order.side == "BUY":
|
|
||||||
quantity = self._affordable_buy_quantity(quantity, price)
|
|
||||||
if quantity <= 0:
|
|
||||||
reason = "insufficient_cash"
|
|
||||||
else:
|
|
||||||
position = self.positions.get(order.symbol)
|
|
||||||
quantity = min(quantity, 0 if position is None else position.available)
|
|
||||||
if quantity <= 0:
|
|
||||||
reason = "t_plus_one_unavailable"
|
|
||||||
if quantity > 0:
|
|
||||||
fills.append(self._apply_fill(order, quantity, price, frame_index, frame["datetime"]))
|
|
||||||
used_volume[order.symbol] = used_volume.get(order.symbol, 0) + quantity
|
|
||||||
if order.time_in_force == "NEXT_BAR" and order.remaining > 0:
|
|
||||||
if order.filled_quantity == 0:
|
|
||||||
order.status = "EXPIRED"
|
|
||||||
else:
|
|
||||||
order.status = "PARTIALLY_FILLED_EXPIRED"
|
|
||||||
order.reject_reason = reason or "next_bar_remaining_expired"
|
|
||||||
return fills
|
|
||||||
|
|
||||||
def expire_open_orders(self, reason="backtest_finished"):
|
|
||||||
for order in self.orders_list:
|
|
||||||
if order.status in ACTIVE_ORDER_STATUSES:
|
|
||||||
order.status = "EXPIRED"
|
|
||||||
order.reject_reason = reason
|
|
||||||
|
|
||||||
def snapshot(self, bars):
|
|
||||||
positions = {}
|
|
||||||
market_value = ZERO
|
|
||||||
for symbol in sorted(self.positions):
|
|
||||||
position = self.positions[symbol]
|
|
||||||
bar = bars.get(symbol) or {}
|
|
||||||
mark = decimal_value(bar.get("close"), position.avg_cost)
|
|
||||||
market_value += mark * position.quantity
|
|
||||||
positions[symbol] = position.to_dict(mark)
|
|
||||||
total_asset = money(self.cash + market_value)
|
|
||||||
return {
|
|
||||||
"cash": json_number(self.cash, 2),
|
|
||||||
"market_value": json_number(money(market_value), 2),
|
|
||||||
"total_asset": json_number(total_asset, 2),
|
|
||||||
"positions": positions,
|
|
||||||
"total_fees": json_number(money(self.total_fees), 2),
|
|
||||||
"turnover": json_number(money(self.turnover), 2),
|
|
||||||
}
|
|
||||||
|
|
||||||
def orders(self):
|
|
||||||
return [order.to_dict() for order in self.orders_list]
|
|
||||||
|
|
||||||
def fills(self):
|
|
||||||
return [fill.to_dict() for fill in self.fills_list]
|
|
||||||
@@ -1,134 +0,0 @@
|
|||||||
"""External-strategy client SDK for the ZMQ backtest bridge."""
|
|
||||||
|
|
||||||
import json
|
|
||||||
import uuid
|
|
||||||
|
|
||||||
|
|
||||||
class BacktestRemoteError(RuntimeError):
|
|
||||||
pass
|
|
||||||
|
|
||||||
|
|
||||||
class BacktestZmqClient(object):
|
|
||||||
def __init__(
|
|
||||||
self,
|
|
||||||
endpoint,
|
|
||||||
run_id,
|
|
||||||
client_id="external-strategy",
|
|
||||||
timeout_seconds=10.0,
|
|
||||||
):
|
|
||||||
self.endpoint = str(endpoint)
|
|
||||||
self.run_id = str(run_id)
|
|
||||||
self.client_id = str(client_id)
|
|
||||||
self.timeout_seconds = float(timeout_seconds)
|
|
||||||
self._context = None
|
|
||||||
self._socket = None
|
|
||||||
|
|
||||||
def _connect(self):
|
|
||||||
if self._socket is not None:
|
|
||||||
return self._socket
|
|
||||||
import zmq
|
|
||||||
|
|
||||||
self._context = zmq.Context.instance()
|
|
||||||
self._socket = self._context.socket(zmq.REQ)
|
|
||||||
self._socket.setsockopt(zmq.LINGER, 0)
|
|
||||||
self._socket.connect(self.endpoint)
|
|
||||||
return self._socket
|
|
||||||
|
|
||||||
def _reset_socket(self):
|
|
||||||
if self._socket is not None:
|
|
||||||
self._socket.close(linger=0)
|
|
||||||
self._socket = None
|
|
||||||
|
|
||||||
def request(self, method, params=None, request_id=None):
|
|
||||||
import zmq
|
|
||||||
|
|
||||||
request_id = str(request_id or uuid.uuid4().hex)
|
|
||||||
envelope = {
|
|
||||||
"schema_version": 1,
|
|
||||||
"request_id": request_id,
|
|
||||||
"run_id": self.run_id,
|
|
||||||
"client_id": self.client_id,
|
|
||||||
"method": str(method),
|
|
||||||
"params": dict(params or {}),
|
|
||||||
}
|
|
||||||
socket = self._connect()
|
|
||||||
socket.send(json.dumps(envelope, ensure_ascii=False, separators=(",", ":")).encode("utf-8"))
|
|
||||||
poller = zmq.Poller()
|
|
||||||
poller.register(socket, zmq.POLLIN)
|
|
||||||
events = dict(poller.poll(int(self.timeout_seconds * 1000)))
|
|
||||||
if socket not in events:
|
|
||||||
self._reset_socket()
|
|
||||||
raise TimeoutError("backtest ZMQ request timed out: %s" % method)
|
|
||||||
response = json.loads(socket.recv().decode("utf-8"))
|
|
||||||
if str(response.get("request_id") or "") != request_id:
|
|
||||||
raise BacktestRemoteError("response request_id mismatch")
|
|
||||||
if not response.get("ok"):
|
|
||||||
raise BacktestRemoteError(str(response.get("error") or "remote request failed"))
|
|
||||||
return response.get("data")
|
|
||||||
|
|
||||||
def ping(self):
|
|
||||||
return self.request("ping")
|
|
||||||
|
|
||||||
def describe(self):
|
|
||||||
data = self.request("describe")
|
|
||||||
if not self.run_id and data.get("run_id"):
|
|
||||||
self.run_id = str(data["run_id"])
|
|
||||||
return data
|
|
||||||
|
|
||||||
def start(self):
|
|
||||||
return self.request("start")
|
|
||||||
|
|
||||||
def next_bar(self):
|
|
||||||
return self.request("next_bar")
|
|
||||||
|
|
||||||
def state(self):
|
|
||||||
return self.request("state")
|
|
||||||
|
|
||||||
def submit_order(
|
|
||||||
self,
|
|
||||||
symbol,
|
|
||||||
side,
|
|
||||||
quantity,
|
|
||||||
order_type="MARKET",
|
|
||||||
limit_price=None,
|
|
||||||
client_order_id="",
|
|
||||||
time_in_force="NEXT_BAR",
|
|
||||||
):
|
|
||||||
params = {
|
|
||||||
"symbol": symbol,
|
|
||||||
"side": side,
|
|
||||||
"quantity": int(quantity),
|
|
||||||
"order_type": order_type,
|
|
||||||
"client_order_id": client_order_id,
|
|
||||||
"time_in_force": time_in_force,
|
|
||||||
}
|
|
||||||
if limit_price is not None:
|
|
||||||
params["limit_price"] = limit_price
|
|
||||||
return self.request("submit_order", params)
|
|
||||||
|
|
||||||
def cancel_order(self, order_id):
|
|
||||||
return self.request("cancel_order", {"order_id": order_id})
|
|
||||||
|
|
||||||
def history(self, symbol, count=100, fields=None):
|
|
||||||
params = {"symbol": symbol, "count": int(count)}
|
|
||||||
if fields is not None:
|
|
||||||
params["fields"] = list(fields)
|
|
||||||
return self.request("history", params)
|
|
||||||
|
|
||||||
def orders(self):
|
|
||||||
return self.request("orders")
|
|
||||||
|
|
||||||
def fills(self):
|
|
||||||
return self.request("fills")
|
|
||||||
|
|
||||||
def finish(self):
|
|
||||||
return self.request("finish")
|
|
||||||
|
|
||||||
def close(self):
|
|
||||||
self._reset_socket()
|
|
||||||
|
|
||||||
def __enter__(self):
|
|
||||||
return self
|
|
||||||
|
|
||||||
def __exit__(self, exc_type, exc_value, traceback):
|
|
||||||
self.close()
|
|
||||||
@@ -1,278 +0,0 @@
|
|||||||
"""Deterministic historical bar feeds for the backtest bridge."""
|
|
||||||
|
|
||||||
import csv
|
|
||||||
import datetime as dt
|
|
||||||
import hashlib
|
|
||||||
import io
|
|
||||||
import json
|
|
||||||
import os
|
|
||||||
import threading
|
|
||||||
|
|
||||||
from .models import normalize_symbol
|
|
||||||
|
|
||||||
|
|
||||||
DATETIME_FIELDS = ("datetime", "timestamp", "time", "date", "stime")
|
|
||||||
SYMBOL_FIELDS = ("symbol", "stock_code", "code", "stock")
|
|
||||||
REQUIRED_PRICE_FIELDS = ("open", "high", "low", "close")
|
|
||||||
|
|
||||||
|
|
||||||
def _first(row, names, default=None):
|
|
||||||
for name in names:
|
|
||||||
value = row.get(name)
|
|
||||||
if value not in (None, ""):
|
|
||||||
return value
|
|
||||||
return default
|
|
||||||
|
|
||||||
|
|
||||||
def parse_datetime(value):
|
|
||||||
if isinstance(value, dt.datetime):
|
|
||||||
return value.replace(tzinfo=None)
|
|
||||||
if isinstance(value, dt.date):
|
|
||||||
return dt.datetime.combine(value, dt.time())
|
|
||||||
text = str(value or "").strip()
|
|
||||||
if not text:
|
|
||||||
raise ValueError("bar datetime is required")
|
|
||||||
if text.isdigit():
|
|
||||||
if len(text) == 8:
|
|
||||||
return dt.datetime.strptime(text, "%Y%m%d")
|
|
||||||
if len(text) == 14:
|
|
||||||
return dt.datetime.strptime(text, "%Y%m%d%H%M%S")
|
|
||||||
numeric = int(text)
|
|
||||||
if numeric > 10 ** 12:
|
|
||||||
numeric = numeric / 1000.0
|
|
||||||
return dt.datetime.fromtimestamp(numeric)
|
|
||||||
normalized = text.replace("T", " ").replace("Z", "").strip()
|
|
||||||
from_isoformat = getattr(dt.datetime, "fromisoformat", None)
|
|
||||||
if from_isoformat is not None:
|
|
||||||
try:
|
|
||||||
return from_isoformat(normalized).replace(tzinfo=None)
|
|
||||||
except ValueError:
|
|
||||||
pass
|
|
||||||
for fmt in ("%Y-%m-%d %H:%M:%S", "%Y-%m-%d %H:%M", "%Y/%m/%d %H:%M:%S", "%Y-%m-%d"):
|
|
||||||
try:
|
|
||||||
return dt.datetime.strptime(normalized, fmt)
|
|
||||||
except ValueError:
|
|
||||||
continue
|
|
||||||
raise ValueError("unsupported bar datetime: %s" % text)
|
|
||||||
|
|
||||||
|
|
||||||
def _bool_value(value):
|
|
||||||
if isinstance(value, bool):
|
|
||||||
return value
|
|
||||||
return str(value or "").strip().lower() in ("1", "true", "yes", "y", "on")
|
|
||||||
|
|
||||||
|
|
||||||
def _optional_float(value):
|
|
||||||
return None if value in (None, "") else float(value)
|
|
||||||
|
|
||||||
|
|
||||||
def normalize_bar(row, default_symbol=""):
|
|
||||||
timestamp = parse_datetime(_first(row, DATETIME_FIELDS))
|
|
||||||
symbol = normalize_symbol(_first(row, SYMBOL_FIELDS, default_symbol))
|
|
||||||
bar = {
|
|
||||||
"datetime": timestamp.strftime("%Y-%m-%d %H:%M:%S"),
|
|
||||||
"symbol": symbol,
|
|
||||||
}
|
|
||||||
for field in REQUIRED_PRICE_FIELDS:
|
|
||||||
value = row.get(field)
|
|
||||||
if value in (None, ""):
|
|
||||||
raise ValueError("%s is required for %s at %s" % (field, symbol, bar["datetime"]))
|
|
||||||
bar[field] = float(value)
|
|
||||||
if bar[field] <= 0:
|
|
||||||
raise ValueError("%s must be positive for %s at %s" % (field, symbol, bar["datetime"]))
|
|
||||||
if bar["high"] < max(bar["open"], bar["close"], bar["low"]):
|
|
||||||
raise ValueError("bar high is inconsistent for %s at %s" % (symbol, bar["datetime"]))
|
|
||||||
if bar["low"] > min(bar["open"], bar["close"], bar["high"]):
|
|
||||||
raise ValueError("bar low is inconsistent for %s at %s" % (symbol, bar["datetime"]))
|
|
||||||
bar["volume"] = float(row.get("volume") or 0)
|
|
||||||
bar["amount"] = float(row.get("amount") or 0)
|
|
||||||
bar["prev_close"] = _optional_float(row.get("prev_close"))
|
|
||||||
bar["up_limit"] = _optional_float(row.get("up_limit"))
|
|
||||||
bar["down_limit"] = _optional_float(row.get("down_limit"))
|
|
||||||
bar["suspended"] = _bool_value(row.get("suspended"))
|
|
||||||
if row.get("price_limit_rate") not in (None, ""):
|
|
||||||
bar["price_limit_rate"] = float(row["price_limit_rate"])
|
|
||||||
return timestamp, bar
|
|
||||||
|
|
||||||
|
|
||||||
class InMemoryBarFeed(object):
|
|
||||||
def __init__(self, rows, source="memory", data_hash=None, default_symbol=""):
|
|
||||||
normalized = []
|
|
||||||
for row in rows:
|
|
||||||
timestamp, bar = normalize_bar(dict(row), default_symbol=default_symbol)
|
|
||||||
normalized.append((timestamp, bar))
|
|
||||||
normalized.sort(key=lambda item: (item[0], item[1]["symbol"]))
|
|
||||||
seen = set()
|
|
||||||
frames = []
|
|
||||||
current_timestamp = None
|
|
||||||
current_bars = None
|
|
||||||
previous_close = {}
|
|
||||||
for timestamp, bar in normalized:
|
|
||||||
identity = (timestamp, bar["symbol"])
|
|
||||||
if identity in seen:
|
|
||||||
raise ValueError("duplicate bar for %s at %s" % (bar["symbol"], bar["datetime"]))
|
|
||||||
seen.add(identity)
|
|
||||||
if bar["prev_close"] is None:
|
|
||||||
bar["prev_close"] = previous_close.get(bar["symbol"])
|
|
||||||
previous_close[bar["symbol"]] = bar["close"]
|
|
||||||
if current_timestamp != timestamp:
|
|
||||||
current_timestamp = timestamp
|
|
||||||
current_bars = {}
|
|
||||||
frames.append(
|
|
||||||
{
|
|
||||||
"datetime": timestamp.strftime("%Y-%m-%d %H:%M:%S"),
|
|
||||||
"bars": current_bars,
|
|
||||||
}
|
|
||||||
)
|
|
||||||
current_bars[bar["symbol"]] = bar
|
|
||||||
if not frames:
|
|
||||||
raise ValueError("historical data is empty")
|
|
||||||
self._frames = frames
|
|
||||||
self.source = str(source)
|
|
||||||
if data_hash:
|
|
||||||
self.data_hash = str(data_hash)
|
|
||||||
else:
|
|
||||||
payload = json.dumps(frames, ensure_ascii=False, sort_keys=True, separators=(",", ":"))
|
|
||||||
self.data_hash = hashlib.sha256(payload.encode("utf-8")).hexdigest()
|
|
||||||
|
|
||||||
def __len__(self):
|
|
||||||
return len(self._frames)
|
|
||||||
|
|
||||||
def frame(self, index):
|
|
||||||
frame = self._frames[int(index)]
|
|
||||||
return {"datetime": frame["datetime"], "bars": {key: dict(value) for key, value in frame["bars"].items()}}
|
|
||||||
|
|
||||||
def history(self, symbol, end_index, count=100, fields=None):
|
|
||||||
symbol = normalize_symbol(symbol)
|
|
||||||
end_index = min(int(end_index), len(self._frames) - 1)
|
|
||||||
count = max(int(count or 0), 0)
|
|
||||||
result = []
|
|
||||||
for index in range(0, end_index + 1):
|
|
||||||
bar = self._frames[index]["bars"].get(symbol)
|
|
||||||
if bar is None:
|
|
||||||
continue
|
|
||||||
if fields:
|
|
||||||
item = {"datetime": bar["datetime"], "symbol": symbol}
|
|
||||||
for field in fields:
|
|
||||||
if field in bar:
|
|
||||||
item[str(field)] = bar[field]
|
|
||||||
else:
|
|
||||||
item = dict(bar)
|
|
||||||
result.append(item)
|
|
||||||
return result[-count:] if count else []
|
|
||||||
|
|
||||||
|
|
||||||
class CsvBarFeed(InMemoryBarFeed):
|
|
||||||
def __init__(self, path, default_symbol="", encoding="utf-8-sig"):
|
|
||||||
absolute = os.path.abspath(path)
|
|
||||||
with open(absolute, "rb") as handle:
|
|
||||||
raw = handle.read()
|
|
||||||
digest = hashlib.sha256(raw).hexdigest()
|
|
||||||
text = raw.decode(encoding)
|
|
||||||
reader = csv.DictReader(io.StringIO(text, newline=""))
|
|
||||||
rows = list(reader)
|
|
||||||
super(CsvBarFeed, self).__init__(
|
|
||||||
rows,
|
|
||||||
source=absolute,
|
|
||||||
data_hash=digest,
|
|
||||||
default_symbol=default_symbol,
|
|
||||||
)
|
|
||||||
|
|
||||||
|
|
||||||
class StreamingBarFeed(object):
|
|
||||||
"""Thread-safe feed populated by QMT ``handlebar`` callbacks.
|
|
||||||
|
|
||||||
The external strategy can only read through ``frame``/``history`` with an
|
|
||||||
engine-controlled end index, so bars already captured from QMT but not yet
|
|
||||||
advanced to remain inaccessible.
|
|
||||||
"""
|
|
||||||
|
|
||||||
def __init__(self, source="qmt_native_backtest"):
|
|
||||||
self.source = str(source)
|
|
||||||
self._frames = []
|
|
||||||
self._seen = set()
|
|
||||||
self._previous_close = {}
|
|
||||||
self._condition = threading.Condition()
|
|
||||||
self.closed = False
|
|
||||||
|
|
||||||
@property
|
|
||||||
def data_hash(self):
|
|
||||||
with self._condition:
|
|
||||||
payload = json.dumps(
|
|
||||||
self._frames,
|
|
||||||
ensure_ascii=False,
|
|
||||||
sort_keys=True,
|
|
||||||
separators=(",", ":"),
|
|
||||||
)
|
|
||||||
return hashlib.sha256(payload.encode("utf-8")).hexdigest()
|
|
||||||
|
|
||||||
def __len__(self):
|
|
||||||
with self._condition:
|
|
||||||
return len(self._frames)
|
|
||||||
|
|
||||||
def append(self, row, default_symbol=""):
|
|
||||||
timestamp, bar = normalize_bar(dict(row), default_symbol=default_symbol)
|
|
||||||
identity = (timestamp, bar["symbol"])
|
|
||||||
with self._condition:
|
|
||||||
if identity in self._seen:
|
|
||||||
return False
|
|
||||||
if self.closed:
|
|
||||||
raise RuntimeError("streaming feed is closed")
|
|
||||||
self._seen.add(identity)
|
|
||||||
if bar["prev_close"] is None:
|
|
||||||
bar["prev_close"] = self._previous_close.get(bar["symbol"])
|
|
||||||
self._previous_close[bar["symbol"]] = bar["close"]
|
|
||||||
timestamp_text = timestamp.strftime("%Y-%m-%d %H:%M:%S")
|
|
||||||
if self._frames and self._frames[-1]["datetime"] == timestamp_text:
|
|
||||||
self._frames[-1]["bars"][bar["symbol"]] = bar
|
|
||||||
elif self._frames and self._frames[-1]["datetime"] > timestamp_text:
|
|
||||||
raise ValueError("streaming bars must be appended chronologically")
|
|
||||||
else:
|
|
||||||
self._frames.append({"datetime": timestamp_text, "bars": {bar["symbol"]: bar}})
|
|
||||||
self._condition.notify_all()
|
|
||||||
return True
|
|
||||||
|
|
||||||
def close(self):
|
|
||||||
with self._condition:
|
|
||||||
self.closed = True
|
|
||||||
self._condition.notify_all()
|
|
||||||
|
|
||||||
def wait_for_index(self, index, timeout_seconds=None):
|
|
||||||
index = int(index)
|
|
||||||
with self._condition:
|
|
||||||
if len(self._frames) > index:
|
|
||||||
return True
|
|
||||||
self._condition.wait_for(
|
|
||||||
lambda: len(self._frames) > index or self.closed,
|
|
||||||
timeout=timeout_seconds,
|
|
||||||
)
|
|
||||||
return len(self._frames) > index
|
|
||||||
|
|
||||||
def frame(self, index):
|
|
||||||
with self._condition:
|
|
||||||
frame = self._frames[int(index)]
|
|
||||||
return {
|
|
||||||
"datetime": frame["datetime"],
|
|
||||||
"bars": {key: dict(value) for key, value in frame["bars"].items()},
|
|
||||||
}
|
|
||||||
|
|
||||||
def history(self, symbol, end_index, count=100, fields=None):
|
|
||||||
symbol = normalize_symbol(symbol)
|
|
||||||
count = max(int(count or 0), 0)
|
|
||||||
with self._condition:
|
|
||||||
end_index = min(int(end_index), len(self._frames) - 1)
|
|
||||||
frames = self._frames[: end_index + 1]
|
|
||||||
result = []
|
|
||||||
for frame in frames:
|
|
||||||
bar = frame["bars"].get(symbol)
|
|
||||||
if bar is None:
|
|
||||||
continue
|
|
||||||
if fields:
|
|
||||||
item = {"datetime": bar["datetime"], "symbol": symbol}
|
|
||||||
for field in fields:
|
|
||||||
if field in bar:
|
|
||||||
item[str(field)] = bar[field]
|
|
||||||
else:
|
|
||||||
item = dict(bar)
|
|
||||||
result.append(item)
|
|
||||||
return result[-count:] if count else []
|
|
||||||
@@ -1,372 +0,0 @@
|
|||||||
"""Deterministic bar-by-bar backtest engine."""
|
|
||||||
|
|
||||||
import csv
|
|
||||||
import datetime as dt
|
|
||||||
import hashlib
|
|
||||||
import json
|
|
||||||
import math
|
|
||||||
import os
|
|
||||||
|
|
||||||
from .broker import ACTIVE_ORDER_STATUSES, SimulatedBroker
|
|
||||||
from .models import decimal_value, normalize_symbol
|
|
||||||
|
|
||||||
|
|
||||||
ENGINE_VERSION = "1.0.0"
|
|
||||||
PROTOCOL_VERSION = 1
|
|
||||||
|
|
||||||
|
|
||||||
class BacktestConfig(object):
|
|
||||||
def __init__(
|
|
||||||
self,
|
|
||||||
run_id,
|
|
||||||
output_dir,
|
|
||||||
initial_cash=1000000,
|
|
||||||
initial_positions=None,
|
|
||||||
buy_commission_rate=0.0003,
|
|
||||||
sell_commission_rate=0.0003,
|
|
||||||
min_commission=5,
|
|
||||||
stamp_tax_rate=0.0005,
|
|
||||||
transfer_fee_rate=0.00001,
|
|
||||||
slippage_bps=0,
|
|
||||||
max_volume_participation=0.1,
|
|
||||||
price_limit_rate=0.10,
|
|
||||||
lot_size=100,
|
|
||||||
time_in_force="NEXT_BAR",
|
|
||||||
seed=0,
|
|
||||||
strategy_name="external_zmq_strategy",
|
|
||||||
parameters=None,
|
|
||||||
fee_schedule="a_share_2023_08_28",
|
|
||||||
market_rules_version="a_share_v1",
|
|
||||||
):
|
|
||||||
self.run_id = str(run_id or "").strip()
|
|
||||||
if not self.run_id:
|
|
||||||
raise ValueError("run_id is required")
|
|
||||||
self.output_dir = os.path.abspath(output_dir)
|
|
||||||
self.initial_cash = decimal_value(initial_cash)
|
|
||||||
if self.initial_cash < 0:
|
|
||||||
raise ValueError("initial_cash cannot be negative")
|
|
||||||
self.initial_positions = dict(initial_positions or {})
|
|
||||||
self.buy_commission_rate = decimal_value(buy_commission_rate)
|
|
||||||
self.sell_commission_rate = decimal_value(sell_commission_rate)
|
|
||||||
self.min_commission = decimal_value(min_commission)
|
|
||||||
self.stamp_tax_rate = decimal_value(stamp_tax_rate)
|
|
||||||
self.transfer_fee_rate = decimal_value(transfer_fee_rate)
|
|
||||||
self.slippage_bps = decimal_value(slippage_bps)
|
|
||||||
self.max_volume_participation = float(max_volume_participation)
|
|
||||||
if not 0 < self.max_volume_participation <= 1:
|
|
||||||
raise ValueError("max_volume_participation must be in (0, 1]")
|
|
||||||
self.price_limit_rate = decimal_value(price_limit_rate)
|
|
||||||
self.lot_size = int(lot_size)
|
|
||||||
if self.lot_size <= 0:
|
|
||||||
raise ValueError("lot_size must be positive")
|
|
||||||
self.time_in_force = str(time_in_force or "NEXT_BAR").upper()
|
|
||||||
if self.time_in_force not in ("NEXT_BAR", "DAY"):
|
|
||||||
raise ValueError("time_in_force must be NEXT_BAR or DAY")
|
|
||||||
self.seed = int(seed)
|
|
||||||
self.strategy_name = str(strategy_name or "external_zmq_strategy")
|
|
||||||
self.parameters = dict(parameters or {})
|
|
||||||
self.fee_schedule = str(fee_schedule or "custom")
|
|
||||||
self.market_rules_version = str(market_rules_version or "custom")
|
|
||||||
|
|
||||||
def to_dict(self, include_paths=True, include_identity=True):
|
|
||||||
payload = {
|
|
||||||
"initial_cash": float(self.initial_cash),
|
|
||||||
"initial_positions": self.initial_positions,
|
|
||||||
"buy_commission_rate": float(self.buy_commission_rate),
|
|
||||||
"sell_commission_rate": float(self.sell_commission_rate),
|
|
||||||
"min_commission": float(self.min_commission),
|
|
||||||
"stamp_tax_rate": float(self.stamp_tax_rate),
|
|
||||||
"transfer_fee_rate": float(self.transfer_fee_rate),
|
|
||||||
"slippage_bps": float(self.slippage_bps),
|
|
||||||
"max_volume_participation": self.max_volume_participation,
|
|
||||||
"price_limit_rate": float(self.price_limit_rate),
|
|
||||||
"lot_size": self.lot_size,
|
|
||||||
"time_in_force": self.time_in_force,
|
|
||||||
"seed": self.seed,
|
|
||||||
"strategy_name": self.strategy_name,
|
|
||||||
"parameters": self.parameters,
|
|
||||||
"fee_schedule": self.fee_schedule,
|
|
||||||
"market_rules_version": self.market_rules_version,
|
|
||||||
}
|
|
||||||
if include_identity:
|
|
||||||
payload["run_id"] = self.run_id
|
|
||||||
if include_paths:
|
|
||||||
payload["output_dir"] = self.output_dir
|
|
||||||
return payload
|
|
||||||
|
|
||||||
|
|
||||||
class BacktestEngine(object):
|
|
||||||
def __init__(self, feed, config):
|
|
||||||
self.feed = feed
|
|
||||||
self.config = config
|
|
||||||
self.created_at = dt.datetime.now().strftime("%Y-%m-%d %H:%M:%S")
|
|
||||||
self.started = False
|
|
||||||
self.finished = False
|
|
||||||
self.current_index = -1
|
|
||||||
self.current_frame = None
|
|
||||||
self.last_fills = []
|
|
||||||
self.equity_curve = []
|
|
||||||
self.position_rows = []
|
|
||||||
self._result = None
|
|
||||||
self.broker = SimulatedBroker(config)
|
|
||||||
|
|
||||||
def _record_state(self):
|
|
||||||
snapshot = self.broker.snapshot(self.current_frame["bars"])
|
|
||||||
equity_row = {
|
|
||||||
"frame_index": self.current_index,
|
|
||||||
"datetime": self.current_frame["datetime"],
|
|
||||||
"cash": snapshot["cash"],
|
|
||||||
"market_value": snapshot["market_value"],
|
|
||||||
"total_asset": snapshot["total_asset"],
|
|
||||||
}
|
|
||||||
self.equity_curve.append(equity_row)
|
|
||||||
for symbol, position in snapshot["positions"].items():
|
|
||||||
row = {"frame_index": self.current_index, "datetime": self.current_frame["datetime"]}
|
|
||||||
row.update(position)
|
|
||||||
self.position_rows.append(row)
|
|
||||||
|
|
||||||
def start(self):
|
|
||||||
if self.started:
|
|
||||||
return self.state()
|
|
||||||
self.started = True
|
|
||||||
self.current_index = 0
|
|
||||||
self.current_frame = self.feed.frame(0)
|
|
||||||
self.broker._settle_trading_day(self.current_frame["datetime"][:10])
|
|
||||||
self._record_state()
|
|
||||||
return self.state()
|
|
||||||
|
|
||||||
def _require_started(self):
|
|
||||||
if not self.started:
|
|
||||||
raise RuntimeError("backtest has not started")
|
|
||||||
if self.finished:
|
|
||||||
raise RuntimeError("backtest is already finished")
|
|
||||||
|
|
||||||
def submit_order(self, payload):
|
|
||||||
self._require_started()
|
|
||||||
return self.broker.submit(
|
|
||||||
payload,
|
|
||||||
frame_index=self.current_index,
|
|
||||||
submitted_at=self.current_frame["datetime"],
|
|
||||||
).to_dict()
|
|
||||||
|
|
||||||
def cancel_order(self, order_id):
|
|
||||||
self._require_started()
|
|
||||||
return self.broker.cancel(order_id).to_dict()
|
|
||||||
|
|
||||||
def next_bar(self):
|
|
||||||
self._require_started()
|
|
||||||
if self.current_index >= len(self.feed) - 1:
|
|
||||||
return self.state()
|
|
||||||
self.current_index += 1
|
|
||||||
self.current_frame = self.feed.frame(self.current_index)
|
|
||||||
self.last_fills = self.broker.advance(self.current_index, self.current_frame)
|
|
||||||
self._record_state()
|
|
||||||
return self.state()
|
|
||||||
|
|
||||||
def history(self, symbol, count=100, fields=None):
|
|
||||||
self._require_started()
|
|
||||||
return self.feed.history(normalize_symbol(symbol), self.current_index, count=count, fields=fields)
|
|
||||||
|
|
||||||
def orders(self):
|
|
||||||
return self.broker.orders()
|
|
||||||
|
|
||||||
def fills(self):
|
|
||||||
return self.broker.fills()
|
|
||||||
|
|
||||||
def state(self):
|
|
||||||
if not self.started:
|
|
||||||
return {
|
|
||||||
"run_id": self.config.run_id,
|
|
||||||
"started": False,
|
|
||||||
"finished": self.finished,
|
|
||||||
"done": False,
|
|
||||||
"frame_index": -1,
|
|
||||||
"frame_count": len(self.feed),
|
|
||||||
}
|
|
||||||
portfolio = self.broker.snapshot(self.current_frame["bars"])
|
|
||||||
return {
|
|
||||||
"run_id": self.config.run_id,
|
|
||||||
"started": True,
|
|
||||||
"finished": self.finished,
|
|
||||||
"done": self.current_index >= len(self.feed) - 1,
|
|
||||||
"frame_index": self.current_index,
|
|
||||||
"frame_count": len(self.feed),
|
|
||||||
"datetime": self.current_frame["datetime"],
|
|
||||||
"bars": {key: dict(value) for key, value in self.current_frame["bars"].items()},
|
|
||||||
"fills": [fill.to_dict() for fill in self.last_fills],
|
|
||||||
"cash": portfolio["cash"],
|
|
||||||
"market_value": portfolio["market_value"],
|
|
||||||
"total_asset": portfolio["total_asset"],
|
|
||||||
"positions": portfolio["positions"],
|
|
||||||
"total_fees": portfolio["total_fees"],
|
|
||||||
"turnover": portfolio["turnover"],
|
|
||||||
}
|
|
||||||
|
|
||||||
def _metrics(self):
|
|
||||||
assets = [float(row["total_asset"]) for row in self.equity_curve]
|
|
||||||
initial = assets[0] if assets else float(self.config.initial_cash)
|
|
||||||
final = assets[-1] if assets else initial
|
|
||||||
peak = None
|
|
||||||
max_drawdown = 0.0
|
|
||||||
for value in assets:
|
|
||||||
peak = value if peak is None else max(peak, value)
|
|
||||||
if peak > 0:
|
|
||||||
max_drawdown = min(max_drawdown, value / peak - 1.0)
|
|
||||||
dates = sorted(set(row["datetime"][:10] for row in self.equity_curve))
|
|
||||||
total_return = 0.0 if initial == 0 else final / initial - 1.0
|
|
||||||
annualized = None
|
|
||||||
if len(dates) > 1 and initial > 0 and final > 0:
|
|
||||||
annualized = math.pow(final / initial, 252.0 / len(dates)) - 1.0
|
|
||||||
filled_orders = len([order for order in self.broker.orders_list if order.filled_quantity > 0])
|
|
||||||
rejected_orders = len([order for order in self.broker.orders_list if order.status == "REJECTED"])
|
|
||||||
return {
|
|
||||||
"initial_total_asset": round(initial, 2),
|
|
||||||
"final_total_asset": round(final, 2),
|
|
||||||
"total_return": round(total_return, 10),
|
|
||||||
"annualized_return": None if annualized is None else round(annualized, 10),
|
|
||||||
"max_drawdown": round(-max_drawdown, 10),
|
|
||||||
"trading_days": len(dates),
|
|
||||||
"bar_count": len(self.equity_curve),
|
|
||||||
"order_count": len(self.broker.orders_list),
|
|
||||||
"filled_order_count": filled_orders,
|
|
||||||
"rejected_order_count": rejected_orders,
|
|
||||||
"fill_count": len(self.broker.fills_list),
|
|
||||||
"total_fees": round(float(self.broker.total_fees), 2),
|
|
||||||
"turnover": round(float(self.broker.turnover), 2),
|
|
||||||
}
|
|
||||||
|
|
||||||
def _signature_payload(self, metrics):
|
|
||||||
orders = []
|
|
||||||
for item in self.orders():
|
|
||||||
clean = dict(item)
|
|
||||||
clean.pop("client_order_id", None)
|
|
||||||
orders.append(clean)
|
|
||||||
return {
|
|
||||||
"engine_version": ENGINE_VERSION,
|
|
||||||
"data_hash": self.feed.data_hash,
|
|
||||||
"config": self.config.to_dict(include_paths=False, include_identity=False),
|
|
||||||
"orders": orders,
|
|
||||||
"fills": self.fills(),
|
|
||||||
"equity": self.equity_curve,
|
|
||||||
"metrics": metrics,
|
|
||||||
}
|
|
||||||
|
|
||||||
def finish(self):
|
|
||||||
if self._result is not None:
|
|
||||||
return dict(self._result)
|
|
||||||
if not self.started:
|
|
||||||
self.start()
|
|
||||||
self.broker.expire_open_orders()
|
|
||||||
metrics = self._metrics()
|
|
||||||
signature_json = json.dumps(
|
|
||||||
self._signature_payload(metrics), ensure_ascii=False, sort_keys=True, separators=(",", ":")
|
|
||||||
)
|
|
||||||
signature = hashlib.sha256(signature_json.encode("utf-8")).hexdigest()
|
|
||||||
self.finished = True
|
|
||||||
final_state = self.state()
|
|
||||||
self._result = {
|
|
||||||
"schema_version": 1,
|
|
||||||
"engine_version": ENGINE_VERSION,
|
|
||||||
"run_id": self.config.run_id,
|
|
||||||
"strategy_name": self.config.strategy_name,
|
|
||||||
"data_hash": self.feed.data_hash,
|
|
||||||
"deterministic_signature": signature,
|
|
||||||
"metrics": metrics,
|
|
||||||
"final_state": final_state,
|
|
||||||
}
|
|
||||||
self._write_artifacts()
|
|
||||||
return dict(self._result)
|
|
||||||
|
|
||||||
@staticmethod
|
|
||||||
def _write_json(path, payload):
|
|
||||||
with open(path, "w", encoding="utf-8", newline="\n") as handle:
|
|
||||||
json.dump(payload, handle, ensure_ascii=False, sort_keys=True, indent=2)
|
|
||||||
handle.write("\n")
|
|
||||||
|
|
||||||
@staticmethod
|
|
||||||
def _write_csv(path, rows, fieldnames):
|
|
||||||
with open(path, "w", encoding="utf-8-sig", newline="") as handle:
|
|
||||||
writer = csv.DictWriter(handle, fieldnames=fieldnames, extrasaction="ignore")
|
|
||||||
writer.writeheader()
|
|
||||||
writer.writerows(rows)
|
|
||||||
|
|
||||||
def _write_artifacts(self):
|
|
||||||
output_dir = self.config.output_dir
|
|
||||||
os.makedirs(output_dir, exist_ok=True)
|
|
||||||
meta = {
|
|
||||||
"schema_version": 1,
|
|
||||||
"engine_version": ENGINE_VERSION,
|
|
||||||
"protocol_version": PROTOCOL_VERSION,
|
|
||||||
"run_id": self.config.run_id,
|
|
||||||
"created_at": self.created_at,
|
|
||||||
"data_source": self.feed.source,
|
|
||||||
"data_hash": self.feed.data_hash,
|
|
||||||
"frame_count": len(self.feed),
|
|
||||||
"config": self.config.to_dict(),
|
|
||||||
"live_ready": False,
|
|
||||||
"execution_channel": "backtest_zmq_only",
|
|
||||||
}
|
|
||||||
self._write_json(os.path.join(output_dir, "meta.json"), meta)
|
|
||||||
self._write_json(os.path.join(output_dir, "result.json"), self._result)
|
|
||||||
self._write_csv(
|
|
||||||
os.path.join(output_dir, "orders.csv"),
|
|
||||||
self.orders(),
|
|
||||||
(
|
|
||||||
"order_id", "client_order_id", "symbol", "side", "quantity", "filled_quantity",
|
|
||||||
"remaining_quantity", "order_type", "limit_price", "submitted_index", "submitted_at",
|
|
||||||
"time_in_force", "status", "reject_reason",
|
|
||||||
),
|
|
||||||
)
|
|
||||||
self._write_csv(
|
|
||||||
os.path.join(output_dir, "fills.csv"),
|
|
||||||
self.fills(),
|
|
||||||
(
|
|
||||||
"fill_id", "order_id", "client_order_id", "symbol", "side", "quantity", "price",
|
|
||||||
"amount", "commission", "stamp_tax", "transfer_fee", "total_fee", "filled_index", "filled_at",
|
|
||||||
),
|
|
||||||
)
|
|
||||||
self._write_csv(
|
|
||||||
os.path.join(output_dir, "equity.csv"),
|
|
||||||
self.equity_curve,
|
|
||||||
("frame_index", "datetime", "cash", "market_value", "total_asset"),
|
|
||||||
)
|
|
||||||
self._write_csv(
|
|
||||||
os.path.join(output_dir, "positions.csv"),
|
|
||||||
self.position_rows,
|
|
||||||
(
|
|
||||||
"frame_index", "datetime", "symbol", "quantity", "available", "today_buy", "avg_cost",
|
|
||||||
"realized_pnl", "mark_price", "market_value",
|
|
||||||
),
|
|
||||||
)
|
|
||||||
|
|
||||||
|
|
||||||
class StreamingBacktestEngine(BacktestEngine):
|
|
||||||
"""Backtest engine whose bars arrive from a QMT backtest callback thread."""
|
|
||||||
|
|
||||||
def __init__(self, feed, config, bar_wait_timeout_seconds=60.0):
|
|
||||||
super(StreamingBacktestEngine, self).__init__(feed, config)
|
|
||||||
self.bar_wait_timeout_seconds = float(bar_wait_timeout_seconds)
|
|
||||||
|
|
||||||
def start(self):
|
|
||||||
if not self.started and not self.feed.wait_for_index(0, self.bar_wait_timeout_seconds):
|
|
||||||
raise TimeoutError("timed out waiting for the first QMT backtest bar")
|
|
||||||
return super(StreamingBacktestEngine, self).start()
|
|
||||||
|
|
||||||
def next_bar(self):
|
|
||||||
self._require_started()
|
|
||||||
target = self.current_index + 1
|
|
||||||
if not self.feed.wait_for_index(target, self.bar_wait_timeout_seconds):
|
|
||||||
if self.feed.closed:
|
|
||||||
return self.state()
|
|
||||||
raise TimeoutError("timed out waiting for QMT backtest bar index %d" % target)
|
|
||||||
self.current_index = target
|
|
||||||
self.current_frame = self.feed.frame(target)
|
|
||||||
self.last_fills = self.broker.advance(self.current_index, self.current_frame)
|
|
||||||
self._record_state()
|
|
||||||
return self.state()
|
|
||||||
|
|
||||||
def state(self):
|
|
||||||
state = super(StreamingBacktestEngine, self).state()
|
|
||||||
if state.get("started"):
|
|
||||||
state["done"] = bool(self.feed.closed and self.current_index >= len(self.feed) - 1)
|
|
||||||
return state
|
|
||||||
@@ -1,179 +0,0 @@
|
|||||||
"""Backtest-only domain models with JSON-safe serialization."""
|
|
||||||
|
|
||||||
from decimal import Decimal, ROUND_HALF_UP
|
|
||||||
|
|
||||||
|
|
||||||
ZERO = Decimal("0")
|
|
||||||
MONEY_QUANT = Decimal("0.01")
|
|
||||||
|
|
||||||
|
|
||||||
def decimal_value(value, default="0"):
|
|
||||||
if value in (None, ""):
|
|
||||||
value = default
|
|
||||||
if isinstance(value, Decimal):
|
|
||||||
return value
|
|
||||||
return Decimal(str(value))
|
|
||||||
|
|
||||||
|
|
||||||
def money(value):
|
|
||||||
return decimal_value(value).quantize(MONEY_QUANT, rounding=ROUND_HALF_UP)
|
|
||||||
|
|
||||||
|
|
||||||
def json_number(value, digits=None):
|
|
||||||
if value is None:
|
|
||||||
return None
|
|
||||||
number = float(value)
|
|
||||||
return round(number, digits) if digits is not None else number
|
|
||||||
|
|
||||||
|
|
||||||
def normalize_symbol(value):
|
|
||||||
text = str(value or "").strip().upper()
|
|
||||||
if not text:
|
|
||||||
raise ValueError("symbol is required")
|
|
||||||
if "." in text:
|
|
||||||
pure, market = text.rsplit(".", 1)
|
|
||||||
if pure and market in ("SH", "SZ", "BJ"):
|
|
||||||
return "%s.%s" % (pure, market)
|
|
||||||
return text
|
|
||||||
if text.isdigit() and len(text) == 6:
|
|
||||||
if text.startswith(("4", "8")):
|
|
||||||
return text + ".BJ"
|
|
||||||
if text.startswith(("5", "6", "9")):
|
|
||||||
return text + ".SH"
|
|
||||||
return text + ".SZ"
|
|
||||||
return text
|
|
||||||
|
|
||||||
|
|
||||||
def price_precision(symbol):
|
|
||||||
pure = normalize_symbol(symbol).split(".", 1)[0]
|
|
||||||
return 3 if pure.startswith(("15", "16", "50", "51", "52", "56", "58")) else 2
|
|
||||||
|
|
||||||
|
|
||||||
def price_quant(symbol):
|
|
||||||
return Decimal("0.001") if price_precision(symbol) == 3 else Decimal("0.01")
|
|
||||||
|
|
||||||
|
|
||||||
def round_price(symbol, value):
|
|
||||||
return decimal_value(value).quantize(price_quant(symbol), rounding=ROUND_HALF_UP)
|
|
||||||
|
|
||||||
|
|
||||||
class Position(object):
|
|
||||||
def __init__(self, symbol, quantity=0, available=None, today_buy=0, avg_cost=0, realized_pnl=0):
|
|
||||||
self.symbol = normalize_symbol(symbol)
|
|
||||||
self.quantity = int(quantity or 0)
|
|
||||||
self.available = self.quantity if available is None else int(available or 0)
|
|
||||||
self.today_buy = int(today_buy or 0)
|
|
||||||
self.avg_cost = decimal_value(avg_cost)
|
|
||||||
self.realized_pnl = decimal_value(realized_pnl)
|
|
||||||
|
|
||||||
def to_dict(self, mark_price=None):
|
|
||||||
market_value = None if mark_price is None else money(decimal_value(mark_price) * self.quantity)
|
|
||||||
return {
|
|
||||||
"symbol": self.symbol,
|
|
||||||
"quantity": self.quantity,
|
|
||||||
"available": self.available,
|
|
||||||
"today_buy": self.today_buy,
|
|
||||||
"avg_cost": json_number(self.avg_cost, 6),
|
|
||||||
"realized_pnl": json_number(self.realized_pnl, 2),
|
|
||||||
"mark_price": json_number(mark_price, 6),
|
|
||||||
"market_value": json_number(market_value, 2),
|
|
||||||
}
|
|
||||||
|
|
||||||
|
|
||||||
class BacktestOrder(object):
|
|
||||||
def __init__(
|
|
||||||
self,
|
|
||||||
order_id,
|
|
||||||
client_order_id,
|
|
||||||
symbol,
|
|
||||||
side,
|
|
||||||
quantity,
|
|
||||||
order_type,
|
|
||||||
limit_price,
|
|
||||||
submitted_index,
|
|
||||||
submitted_at,
|
|
||||||
time_in_force="NEXT_BAR",
|
|
||||||
):
|
|
||||||
self.order_id = str(order_id)
|
|
||||||
self.client_order_id = str(client_order_id or "")
|
|
||||||
self.symbol = normalize_symbol(symbol)
|
|
||||||
self.side = str(side).upper()
|
|
||||||
self.quantity = int(quantity)
|
|
||||||
self.filled_quantity = 0
|
|
||||||
self.order_type = str(order_type).upper()
|
|
||||||
self.limit_price = decimal_value(limit_price) if limit_price not in (None, "") else None
|
|
||||||
self.submitted_index = int(submitted_index)
|
|
||||||
self.submitted_at = str(submitted_at)
|
|
||||||
self.time_in_force = str(time_in_force or "NEXT_BAR").upper()
|
|
||||||
self.status = "PENDING"
|
|
||||||
self.reject_reason = ""
|
|
||||||
self.last_attempt_index = None
|
|
||||||
|
|
||||||
@property
|
|
||||||
def remaining(self):
|
|
||||||
return max(self.quantity - self.filled_quantity, 0)
|
|
||||||
|
|
||||||
def to_dict(self):
|
|
||||||
return {
|
|
||||||
"order_id": self.order_id,
|
|
||||||
"client_order_id": self.client_order_id,
|
|
||||||
"symbol": self.symbol,
|
|
||||||
"side": self.side,
|
|
||||||
"quantity": self.quantity,
|
|
||||||
"filled_quantity": self.filled_quantity,
|
|
||||||
"remaining_quantity": self.remaining,
|
|
||||||
"order_type": self.order_type,
|
|
||||||
"limit_price": json_number(self.limit_price, 6),
|
|
||||||
"submitted_index": self.submitted_index,
|
|
||||||
"submitted_at": self.submitted_at,
|
|
||||||
"time_in_force": self.time_in_force,
|
|
||||||
"status": self.status,
|
|
||||||
"reject_reason": self.reject_reason,
|
|
||||||
}
|
|
||||||
|
|
||||||
|
|
||||||
class BacktestFill(object):
|
|
||||||
def __init__(
|
|
||||||
self,
|
|
||||||
fill_id,
|
|
||||||
order,
|
|
||||||
quantity,
|
|
||||||
price,
|
|
||||||
commission,
|
|
||||||
stamp_tax,
|
|
||||||
transfer_fee,
|
|
||||||
filled_index,
|
|
||||||
filled_at,
|
|
||||||
):
|
|
||||||
self.fill_id = str(fill_id)
|
|
||||||
self.order_id = order.order_id
|
|
||||||
self.client_order_id = order.client_order_id
|
|
||||||
self.symbol = order.symbol
|
|
||||||
self.side = order.side
|
|
||||||
self.quantity = int(quantity)
|
|
||||||
self.price = decimal_value(price)
|
|
||||||
self.amount = money(self.price * self.quantity)
|
|
||||||
self.commission = money(commission)
|
|
||||||
self.stamp_tax = money(stamp_tax)
|
|
||||||
self.transfer_fee = money(transfer_fee)
|
|
||||||
self.total_fee = money(self.commission + self.stamp_tax + self.transfer_fee)
|
|
||||||
self.filled_index = int(filled_index)
|
|
||||||
self.filled_at = str(filled_at)
|
|
||||||
|
|
||||||
def to_dict(self):
|
|
||||||
return {
|
|
||||||
"fill_id": self.fill_id,
|
|
||||||
"order_id": self.order_id,
|
|
||||||
"client_order_id": self.client_order_id,
|
|
||||||
"symbol": self.symbol,
|
|
||||||
"side": self.side,
|
|
||||||
"quantity": self.quantity,
|
|
||||||
"price": json_number(self.price, 6),
|
|
||||||
"amount": json_number(self.amount, 2),
|
|
||||||
"commission": json_number(self.commission, 2),
|
|
||||||
"stamp_tax": json_number(self.stamp_tax, 2),
|
|
||||||
"transfer_fee": json_number(self.transfer_fee, 2),
|
|
||||||
"total_fee": json_number(self.total_fee, 2),
|
|
||||||
"filled_index": self.filled_index,
|
|
||||||
"filled_at": self.filled_at,
|
|
||||||
}
|
|
||||||
@@ -1,137 +0,0 @@
|
|||||||
"""Versioned request/response protocol for the backtest-only ZMQ bridge."""
|
|
||||||
|
|
||||||
import datetime as dt
|
|
||||||
import json
|
|
||||||
|
|
||||||
|
|
||||||
SCHEMA_VERSION = 1
|
|
||||||
|
|
||||||
|
|
||||||
class BacktestBridgeProtocol(object):
|
|
||||||
def __init__(self, engine, request_cache_size=10000):
|
|
||||||
self.engine = engine
|
|
||||||
self.request_cache_size = int(request_cache_size)
|
|
||||||
self.client_id = None
|
|
||||||
self._responses = {}
|
|
||||||
self._request_fingerprints = {}
|
|
||||||
self._response_order = []
|
|
||||||
|
|
||||||
def _response(self, request, ok, data=None, error=""):
|
|
||||||
execution_backend = str(getattr(self.engine, "execution_backend", "LOCAL_SIM"))
|
|
||||||
return {
|
|
||||||
"schema_version": SCHEMA_VERSION,
|
|
||||||
"request_id": str(request.get("request_id") or ""),
|
|
||||||
"run_id": self.engine.config.run_id,
|
|
||||||
"client_id": str(request.get("client_id") or ""),
|
|
||||||
"method": str(request.get("method") or ""),
|
|
||||||
"ok": bool(ok),
|
|
||||||
"data": data,
|
|
||||||
"error": str(error or ""),
|
|
||||||
"execution_mode": "QMT_BACKTEST" if execution_backend == "QMT_NATIVE" else "BACKTEST",
|
|
||||||
"execution_backend": execution_backend,
|
|
||||||
"live_ready": False,
|
|
||||||
"handled_at": dt.datetime.now().strftime("%Y-%m-%d %H:%M:%S"),
|
|
||||||
}
|
|
||||||
|
|
||||||
@staticmethod
|
|
||||||
def _fingerprint(request):
|
|
||||||
return json.dumps(request, ensure_ascii=False, sort_keys=True, separators=(",", ":"))
|
|
||||||
|
|
||||||
def _remember(self, request_id, request, response):
|
|
||||||
self._responses[request_id] = response
|
|
||||||
self._request_fingerprints[request_id] = self._fingerprint(request)
|
|
||||||
self._response_order.append(request_id)
|
|
||||||
while len(self._response_order) > self.request_cache_size:
|
|
||||||
oldest = self._response_order.pop(0)
|
|
||||||
self._responses.pop(oldest, None)
|
|
||||||
self._request_fingerprints.pop(oldest, None)
|
|
||||||
|
|
||||||
def _validate(self, request):
|
|
||||||
if not isinstance(request, dict):
|
|
||||||
raise ValueError("request must be a JSON object")
|
|
||||||
if int(request.get("schema_version") or 0) != SCHEMA_VERSION:
|
|
||||||
raise ValueError("unsupported schema_version")
|
|
||||||
if not str(request.get("request_id") or ""):
|
|
||||||
raise ValueError("request_id is required")
|
|
||||||
method = str(request.get("method") or "").lower()
|
|
||||||
requested_run_id = str(request.get("run_id") or "")
|
|
||||||
discovery = method in ("ping", "describe") and not requested_run_id
|
|
||||||
if not discovery and requested_run_id != self.engine.config.run_id:
|
|
||||||
raise ValueError("run_id mismatch")
|
|
||||||
if not str(request.get("client_id") or ""):
|
|
||||||
raise ValueError("client_id is required")
|
|
||||||
if not str(request.get("method") or ""):
|
|
||||||
raise ValueError("method is required")
|
|
||||||
|
|
||||||
def _claim_or_check_client(self, request):
|
|
||||||
client_id = str(request["client_id"])
|
|
||||||
method = str(request["method"]).lower()
|
|
||||||
if self.client_id is None and method == "start":
|
|
||||||
self.client_id = client_id
|
|
||||||
if method not in ("ping", "describe") and self.client_id != client_id:
|
|
||||||
raise PermissionError("run is owned by another client_id")
|
|
||||||
|
|
||||||
def _dispatch(self, request):
|
|
||||||
method = str(request["method"]).lower()
|
|
||||||
params = dict(request.get("params") or {})
|
|
||||||
if method == "ping":
|
|
||||||
return {
|
|
||||||
"status": "ok",
|
|
||||||
"started": self.engine.started,
|
|
||||||
"finished": self.engine.finished,
|
|
||||||
}
|
|
||||||
if method == "describe":
|
|
||||||
execution_backend = str(getattr(self.engine, "execution_backend", "LOCAL_SIM"))
|
|
||||||
return {
|
|
||||||
"schema_version": SCHEMA_VERSION,
|
|
||||||
"run_id": self.engine.config.run_id,
|
|
||||||
"engine_version": str(getattr(self.engine, "engine_version", "1.0.0")),
|
|
||||||
"execution_backend": execution_backend,
|
|
||||||
"engine_owner": "QMT" if execution_backend == "QMT_NATIVE" else "LOCAL",
|
|
||||||
"matching_owner": "QMT" if execution_backend == "QMT_NATIVE" else "LOCAL",
|
|
||||||
"methods": [
|
|
||||||
"ping", "describe", "start", "next_bar", "submit_order", "cancel_order",
|
|
||||||
"state", "history", "orders", "fills", "finish",
|
|
||||||
],
|
|
||||||
"fill_timing": str(getattr(self.engine, "fill_timing", "next_symbol_bar")),
|
|
||||||
"live_ready": False,
|
|
||||||
}
|
|
||||||
if method == "start":
|
|
||||||
return self.engine.start()
|
|
||||||
if method == "next_bar":
|
|
||||||
return self.engine.next_bar()
|
|
||||||
if method == "submit_order":
|
|
||||||
return self.engine.submit_order(params)
|
|
||||||
if method == "cancel_order":
|
|
||||||
return self.engine.cancel_order(params.get("order_id"))
|
|
||||||
if method == "state":
|
|
||||||
return self.engine.state()
|
|
||||||
if method == "history":
|
|
||||||
return self.engine.history(
|
|
||||||
params.get("symbol"),
|
|
||||||
count=params.get("count", 100),
|
|
||||||
fields=params.get("fields"),
|
|
||||||
)
|
|
||||||
if method == "orders":
|
|
||||||
return self.engine.orders()
|
|
||||||
if method == "fills":
|
|
||||||
return self.engine.fills()
|
|
||||||
if method == "finish":
|
|
||||||
return self.engine.finish()
|
|
||||||
raise ValueError("unsupported method: %s" % method)
|
|
||||||
|
|
||||||
def handle(self, request):
|
|
||||||
request_id = str((request or {}).get("request_id") or "")
|
|
||||||
if request_id and request_id in self._responses:
|
|
||||||
if self._request_fingerprints.get(request_id) != self._fingerprint(request):
|
|
||||||
return self._response(request, False, None, "request_id reused with different payload")
|
|
||||||
return self._responses[request_id]
|
|
||||||
try:
|
|
||||||
self._validate(request)
|
|
||||||
self._claim_or_check_client(request)
|
|
||||||
response = self._response(request, True, self._dispatch(request))
|
|
||||||
except Exception as exc:
|
|
||||||
response = self._response(request or {}, False, None, "%s: %s" % (exc.__class__.__name__, exc))
|
|
||||||
if request_id:
|
|
||||||
self._remember(request_id, request, response)
|
|
||||||
return response
|
|
||||||
@@ -1,718 +0,0 @@
|
|||||||
"""QMT-native backtest service exposed to external strategies over ZMQ.
|
|
||||||
|
|
||||||
QMT remains the only backtest engine and matching system. The ZMQ listener
|
|
||||||
thread only queues commands; every QMT API call is executed by ``handlebar`` on
|
|
||||||
QMT's callback thread.
|
|
||||||
"""
|
|
||||||
|
|
||||||
import datetime as dt
|
|
||||||
import threading
|
|
||||||
import uuid
|
|
||||||
|
|
||||||
from .data_feed import StreamingBarFeed, parse_datetime
|
|
||||||
from .models import normalize_symbol
|
|
||||||
from .protocol import BacktestBridgeProtocol
|
|
||||||
from .zmq_server import ZmqBacktestServer
|
|
||||||
|
|
||||||
|
|
||||||
_CONFIG = {}
|
|
||||||
_QMT_API = {}
|
|
||||||
_RUNTIME = None
|
|
||||||
|
|
||||||
|
|
||||||
def configure(**kwargs):
|
|
||||||
_CONFIG.update(kwargs)
|
|
||||||
|
|
||||||
|
|
||||||
def bind_qmt_api(passorder_func=None, cancel_func=None, get_trade_detail_data_func=None):
|
|
||||||
if passorder_func is not None:
|
|
||||||
_QMT_API["passorder"] = passorder_func
|
|
||||||
if cancel_func is not None:
|
|
||||||
_QMT_API["cancel"] = cancel_func
|
|
||||||
if get_trade_detail_data_func is not None:
|
|
||||||
_QMT_API["get_trade_detail_data"] = get_trade_detail_data_func
|
|
||||||
|
|
||||||
|
|
||||||
def _sequence(value):
|
|
||||||
if value is None:
|
|
||||||
return []
|
|
||||||
if isinstance(value, dict):
|
|
||||||
for item in value.values():
|
|
||||||
result = _sequence(item)
|
|
||||||
if result:
|
|
||||||
return result
|
|
||||||
return []
|
|
||||||
if isinstance(value, (list, tuple)):
|
|
||||||
return list(value)
|
|
||||||
if hasattr(value, "tolist"):
|
|
||||||
try:
|
|
||||||
result = value.tolist()
|
|
||||||
return result if isinstance(result, list) else [result]
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
if hasattr(value, "values"):
|
|
||||||
try:
|
|
||||||
return list(value.values)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
return [value]
|
|
||||||
|
|
||||||
|
|
||||||
def _last_value(value):
|
|
||||||
values = _sequence(value)
|
|
||||||
return values[-1] if values else None
|
|
||||||
|
|
||||||
|
|
||||||
def _attr(value, names, default=None):
|
|
||||||
for name in names:
|
|
||||||
if isinstance(value, dict) and name in value:
|
|
||||||
result = value.get(name)
|
|
||||||
else:
|
|
||||||
result = getattr(value, name, None)
|
|
||||||
if result is not None:
|
|
||||||
return result
|
|
||||||
return default
|
|
||||||
|
|
||||||
|
|
||||||
def _json_number(value):
|
|
||||||
if value in (None, ""):
|
|
||||||
return None
|
|
||||||
try:
|
|
||||||
return float(value)
|
|
||||||
except (TypeError, ValueError):
|
|
||||||
return None
|
|
||||||
|
|
||||||
|
|
||||||
def _full_symbol(row):
|
|
||||||
code = str(_attr(row, ("m_strInstrumentID", "instrument_id", "stock_code", "symbol"), "") or "")
|
|
||||||
market = str(_attr(row, ("m_strExchangeID", "exchange_id", "market"), "") or "").upper()
|
|
||||||
if "." not in code and market in ("SH", "SZ", "BJ"):
|
|
||||||
code = code + "." + market
|
|
||||||
return normalize_symbol(code) if code else ""
|
|
||||||
|
|
||||||
|
|
||||||
def _side_from_offset(value):
|
|
||||||
try:
|
|
||||||
return "BUY" if int(value or 0) == 48 else "SELL"
|
|
||||||
except (TypeError, ValueError):
|
|
||||||
return str(value or "")
|
|
||||||
|
|
||||||
|
|
||||||
def _is_qmt_backtest(context):
|
|
||||||
value = getattr(context, "do_back_test", None)
|
|
||||||
if callable(value):
|
|
||||||
try:
|
|
||||||
value = value()
|
|
||||||
except Exception:
|
|
||||||
value = None
|
|
||||||
if bool(value):
|
|
||||||
return True
|
|
||||||
for name in ("is_backtest", "is_back_test", "backtest"):
|
|
||||||
value = getattr(context, name, None)
|
|
||||||
if callable(value):
|
|
||||||
try:
|
|
||||||
value = value()
|
|
||||||
except Exception:
|
|
||||||
value = None
|
|
||||||
if bool(value):
|
|
||||||
return True
|
|
||||||
return False
|
|
||||||
|
|
||||||
|
|
||||||
class QmtBarExtractor(object):
|
|
||||||
def __init__(self):
|
|
||||||
self.previous_close = {}
|
|
||||||
|
|
||||||
@staticmethod
|
|
||||||
def _symbol(context):
|
|
||||||
raw = ""
|
|
||||||
for name in ("stock", "symbol", "stockcode"):
|
|
||||||
value = getattr(context, name, None)
|
|
||||||
if value:
|
|
||||||
raw = str(value)
|
|
||||||
break
|
|
||||||
if not raw:
|
|
||||||
raise ValueError("QMT ContextInfo has no stock symbol")
|
|
||||||
if "." not in raw:
|
|
||||||
market = str(getattr(context, "market", "") or "").upper()
|
|
||||||
if market in ("SH", "SZ", "BJ"):
|
|
||||||
raw = raw + "." + market
|
|
||||||
return normalize_symbol(raw)
|
|
||||||
|
|
||||||
@staticmethod
|
|
||||||
def _timestamp(context):
|
|
||||||
barpos = getattr(context, "barpos", getattr(context, "bar_index", None))
|
|
||||||
getter = getattr(context, "get_bar_timetag", None)
|
|
||||||
if callable(getter) and barpos is not None:
|
|
||||||
return parse_datetime(getter(barpos)).strftime("%Y-%m-%d %H:%M:%S")
|
|
||||||
for name in ("bar_time", "datetime", "timestamp"):
|
|
||||||
value = getattr(context, name, None)
|
|
||||||
if value not in (None, ""):
|
|
||||||
return parse_datetime(value).strftime("%Y-%m-%d %H:%M:%S")
|
|
||||||
raise ValueError("QMT ContextInfo has no deterministic bar timestamp")
|
|
||||||
|
|
||||||
@staticmethod
|
|
||||||
def _periods(context):
|
|
||||||
result = []
|
|
||||||
for value in (getattr(context, "period", None), "1m", "1d"):
|
|
||||||
text = str(value or "").strip()
|
|
||||||
if text and text not in result:
|
|
||||||
result.append(text)
|
|
||||||
return result
|
|
||||||
|
|
||||||
def _history_value(self, context, field):
|
|
||||||
getter = getattr(context, "get_history_data", None)
|
|
||||||
if not callable(getter):
|
|
||||||
return None
|
|
||||||
for period in self._periods(context):
|
|
||||||
for call in (
|
|
||||||
lambda period=period: getter(1, period, field),
|
|
||||||
lambda period=period: getter(field, 1, period),
|
|
||||||
lambda: getter(field, 1),
|
|
||||||
):
|
|
||||||
try:
|
|
||||||
value = _last_value(call())
|
|
||||||
if value not in (None, ""):
|
|
||||||
return value
|
|
||||||
except Exception:
|
|
||||||
continue
|
|
||||||
return None
|
|
||||||
|
|
||||||
def _field(self, context, field, aliases=()):
|
|
||||||
for name in (field,) + tuple(aliases):
|
|
||||||
value = _last_value(getattr(context, name, None))
|
|
||||||
if value not in (None, ""):
|
|
||||||
return value
|
|
||||||
for name in (field,) + tuple(aliases):
|
|
||||||
value = self._history_value(context, name)
|
|
||||||
if value not in (None, ""):
|
|
||||||
return value
|
|
||||||
return None
|
|
||||||
|
|
||||||
def extract(self, context):
|
|
||||||
symbol = self._symbol(context)
|
|
||||||
close = self._field(context, "close")
|
|
||||||
row = {
|
|
||||||
"datetime": self._timestamp(context),
|
|
||||||
"symbol": symbol,
|
|
||||||
"open": self._field(context, "open"),
|
|
||||||
"high": self._field(context, "high"),
|
|
||||||
"low": self._field(context, "low"),
|
|
||||||
"close": close,
|
|
||||||
"volume": self._field(context, "volume", ("vol",)) or 0,
|
|
||||||
"amount": self._field(context, "amount") or 0,
|
|
||||||
"prev_close": self._field(context, "prev_close", ("preClose", "lastClose")),
|
|
||||||
}
|
|
||||||
if row["prev_close"] in (None, ""):
|
|
||||||
row["prev_close"] = self.previous_close.get(symbol)
|
|
||||||
self.previous_close[symbol] = close
|
|
||||||
return row
|
|
||||||
|
|
||||||
|
|
||||||
class NativeSessionConfig(object):
|
|
||||||
def __init__(self, run_id, strategy_name, account_id):
|
|
||||||
self.run_id = str(run_id)
|
|
||||||
self.strategy_name = str(strategy_name)
|
|
||||||
self.account_id = str(account_id)
|
|
||||||
|
|
||||||
|
|
||||||
class QmtNativeBacktestSession(object):
|
|
||||||
"""Engine-shaped adapter whose actual engine and broker are both QMT."""
|
|
||||||
|
|
||||||
engine_version = "qmt-native-1.0.0"
|
|
||||||
execution_backend = "QMT_NATIVE"
|
|
||||||
fill_timing = "qmt_native_matching"
|
|
||||||
|
|
||||||
def __init__(self, config=None, qmt_api=None):
|
|
||||||
options = dict(config or {})
|
|
||||||
run_id = str(options.get("run_id") or ("qmt-native-" + dt.datetime.now().strftime("%Y%m%d-%H%M%S")))
|
|
||||||
self.config = NativeSessionConfig(
|
|
||||||
run_id=run_id,
|
|
||||||
strategy_name=options.get("strategy_name") or "ZMQ_BACKTEST",
|
|
||||||
account_id=options.get("account_id") or "",
|
|
||||||
)
|
|
||||||
self.account_type = str(options.get("account_type") or "STOCK")
|
|
||||||
self.combo_type = int(options.get("combo_type") or 1101)
|
|
||||||
self.quick_trade = int(options.get("quick_trade") if options.get("quick_trade") is not None else 2)
|
|
||||||
self.market_price_type = int(options.get("market_price_type") or 5)
|
|
||||||
self.limit_price_type = int(options.get("limit_price_type") or 11)
|
|
||||||
self.bar_wait_timeout = float(options.get("bar_wait_timeout_seconds") or 60.0)
|
|
||||||
self.require_backtest = bool(options.get("require_qmt_backtest", True))
|
|
||||||
self.qmt_api = dict(qmt_api or {})
|
|
||||||
self.feed = StreamingBarFeed(source="qmt_native_backtest")
|
|
||||||
self.extractor = QmtBarExtractor()
|
|
||||||
self.created_at = dt.datetime.now().strftime("%Y-%m-%d %H:%M:%S")
|
|
||||||
self.started = False
|
|
||||||
self.finished = False
|
|
||||||
self.qmt_completed = False
|
|
||||||
self.current_index = -1
|
|
||||||
self.current_frame = None
|
|
||||||
self._released_index = -1
|
|
||||||
self._condition = threading.Condition()
|
|
||||||
self._pending_commands = []
|
|
||||||
self._orders = {}
|
|
||||||
self._fills = {}
|
|
||||||
self._current_frame_fills = []
|
|
||||||
self._published_fill_keys = set()
|
|
||||||
self._positions = {}
|
|
||||||
self._asset = {"cash": None, "total_asset": None}
|
|
||||||
self._context = None
|
|
||||||
self._failure = ""
|
|
||||||
|
|
||||||
def bind_context(self, context):
|
|
||||||
if self.require_backtest and not _is_qmt_backtest(context):
|
|
||||||
raise RuntimeError("QMT native bridge refused to run outside QMT backtest mode")
|
|
||||||
if not self.config.account_id:
|
|
||||||
raise RuntimeError("account_id is required for the QMT native backtest bridge")
|
|
||||||
self._context = context
|
|
||||||
if self.config.account_id and hasattr(context, "set_account"):
|
|
||||||
context.set_account(self.config.account_id)
|
|
||||||
|
|
||||||
def _require_api(self, name):
|
|
||||||
func = self.qmt_api.get(name)
|
|
||||||
if func is None:
|
|
||||||
raise RuntimeError("QMT runtime API is unavailable: %s" % name)
|
|
||||||
return func
|
|
||||||
|
|
||||||
def _require_started(self):
|
|
||||||
if not self.started:
|
|
||||||
raise RuntimeError("external strategy has not attached")
|
|
||||||
if self.finished:
|
|
||||||
raise RuntimeError("external strategy session is already finished")
|
|
||||||
|
|
||||||
def start(self):
|
|
||||||
with self._condition:
|
|
||||||
if not self.started:
|
|
||||||
self.started = True
|
|
||||||
self._condition.notify_all()
|
|
||||||
if self.current_index < 0 and not self.qmt_completed:
|
|
||||||
ready = self._condition.wait_for(
|
|
||||||
lambda: self.current_index >= 0 or self.qmt_completed or bool(self._failure),
|
|
||||||
timeout=self.bar_wait_timeout,
|
|
||||||
)
|
|
||||||
if not ready:
|
|
||||||
raise TimeoutError("timed out waiting for QMT's first backtest bar")
|
|
||||||
if self._failure:
|
|
||||||
raise RuntimeError(self._failure)
|
|
||||||
return self._state_unlocked()
|
|
||||||
|
|
||||||
def _queue_command(self, command):
|
|
||||||
with self._condition:
|
|
||||||
self._require_started()
|
|
||||||
if self.qmt_completed or self.current_index < 0:
|
|
||||||
raise RuntimeError("QMT backtest has no active bar")
|
|
||||||
if self._released_index >= self.current_index:
|
|
||||||
raise RuntimeError("current QMT bar has already been released")
|
|
||||||
command = dict(command)
|
|
||||||
command["frame_index"] = self.current_index
|
|
||||||
self._pending_commands.append(command)
|
|
||||||
return command
|
|
||||||
|
|
||||||
def submit_order(self, payload):
|
|
||||||
payload = dict(payload or {})
|
|
||||||
side = str(payload.get("side") or "").upper()
|
|
||||||
if side not in ("BUY", "SELL"):
|
|
||||||
raise ValueError("side must be BUY or SELL")
|
|
||||||
quantity = int(payload.get("quantity") or 0)
|
|
||||||
if quantity <= 0:
|
|
||||||
raise ValueError("quantity must be positive")
|
|
||||||
symbol = normalize_symbol(payload.get("symbol"))
|
|
||||||
order_type = str(payload.get("order_type") or "MARKET").upper()
|
|
||||||
if order_type not in ("MARKET", "LIMIT"):
|
|
||||||
raise ValueError("order_type must be MARKET or LIMIT")
|
|
||||||
limit_price = payload.get("limit_price")
|
|
||||||
if order_type == "LIMIT" and limit_price in (None, ""):
|
|
||||||
raise ValueError("limit_price is required for LIMIT order")
|
|
||||||
client_order_id = str(payload.get("client_order_id") or ("zmq:" + uuid.uuid4().hex[:20]))
|
|
||||||
record = {
|
|
||||||
"order_id": client_order_id,
|
|
||||||
"client_order_id": client_order_id,
|
|
||||||
"symbol": symbol,
|
|
||||||
"side": side,
|
|
||||||
"quantity": quantity,
|
|
||||||
"filled_quantity": 0,
|
|
||||||
"order_type": order_type,
|
|
||||||
"limit_price": None if limit_price in (None, "") else float(limit_price),
|
|
||||||
"status": "QUEUED",
|
|
||||||
"reject_reason": "",
|
|
||||||
"submitted_index": self.current_index,
|
|
||||||
"submitted_at": (self.current_frame or {}).get("datetime", ""),
|
|
||||||
"execution_backend": self.execution_backend,
|
|
||||||
}
|
|
||||||
with self._condition:
|
|
||||||
self._orders[client_order_id] = record
|
|
||||||
self._queue_command({"kind": "submit", "client_order_id": client_order_id})
|
|
||||||
return dict(record)
|
|
||||||
|
|
||||||
def cancel_order(self, order_id):
|
|
||||||
order_id = str(order_id or "").strip()
|
|
||||||
if not order_id:
|
|
||||||
raise ValueError("order_id is required")
|
|
||||||
command = self._queue_command({"kind": "cancel", "order_id": order_id})
|
|
||||||
return {"order_id": order_id, "status": "CANCEL_QUEUED", "frame_index": command["frame_index"]}
|
|
||||||
|
|
||||||
def _execute_submit(self, command, context):
|
|
||||||
client_order_id = command["client_order_id"]
|
|
||||||
with self._condition:
|
|
||||||
record = dict(self._orders[client_order_id])
|
|
||||||
if not self.config.account_id:
|
|
||||||
raise RuntimeError("account_id is required for QMT native passorder")
|
|
||||||
passorder = self._require_api("passorder")
|
|
||||||
side = record["side"]
|
|
||||||
order_type = record["order_type"]
|
|
||||||
price_type = self.limit_price_type if order_type == "LIMIT" else self.market_price_type
|
|
||||||
price = float(record["limit_price"] or 0)
|
|
||||||
result = passorder(
|
|
||||||
23 if side == "BUY" else 24,
|
|
||||||
self.combo_type,
|
|
||||||
self.config.account_id,
|
|
||||||
record["symbol"],
|
|
||||||
price_type,
|
|
||||||
price,
|
|
||||||
int(record["quantity"]),
|
|
||||||
self.config.strategy_name,
|
|
||||||
self.quick_trade,
|
|
||||||
client_order_id,
|
|
||||||
context,
|
|
||||||
)
|
|
||||||
with self._condition:
|
|
||||||
target = self._orders[client_order_id]
|
|
||||||
target["status"] = "SUBMITTED"
|
|
||||||
if result not in (None, ""):
|
|
||||||
target["qmt_order_id"] = str(result)
|
|
||||||
|
|
||||||
def _execute_cancel(self, command, context):
|
|
||||||
cancel = self._require_api("cancel")
|
|
||||||
order_id = command["order_id"]
|
|
||||||
with self._condition:
|
|
||||||
record = self._orders.get(order_id)
|
|
||||||
qmt_order_id = (
|
|
||||||
(record or {}).get("qmt_order_id")
|
|
||||||
or (record or {}).get("order_id")
|
|
||||||
or order_id
|
|
||||||
)
|
|
||||||
result = cancel(qmt_order_id, self.config.account_id, self.account_type, context)
|
|
||||||
with self._condition:
|
|
||||||
record = self._orders.get(order_id)
|
|
||||||
if record is not None:
|
|
||||||
record["status"] = "CANCEL_SUBMITTED" if result is not False else "CANCEL_REJECTED"
|
|
||||||
|
|
||||||
def _execute_commands(self, commands, context):
|
|
||||||
for command in commands:
|
|
||||||
try:
|
|
||||||
if command["kind"] == "submit":
|
|
||||||
self._execute_submit(command, context)
|
|
||||||
elif command["kind"] == "cancel":
|
|
||||||
self._execute_cancel(command, context)
|
|
||||||
except Exception as exc:
|
|
||||||
key = command.get("client_order_id") or command.get("order_id")
|
|
||||||
with self._condition:
|
|
||||||
record = self._orders.get(key)
|
|
||||||
if record is not None:
|
|
||||||
record["status"] = "REJECTED"
|
|
||||||
record["reject_reason"] = "%s: %s" % (exc.__class__.__name__, exc)
|
|
||||||
print("[bigqmt_backtest] QMT command failed kind=%s error=%s" % (command.get("kind"), exc))
|
|
||||||
|
|
||||||
def on_bar(self, context):
|
|
||||||
self.bind_context(context)
|
|
||||||
self._refresh_qmt_state()
|
|
||||||
row = self.extractor.extract(context)
|
|
||||||
appended = self.feed.append(row)
|
|
||||||
if not appended:
|
|
||||||
return False
|
|
||||||
with self._condition:
|
|
||||||
self.current_index = len(self.feed) - 1
|
|
||||||
self.current_frame = self.feed.frame(self.current_index)
|
|
||||||
new_fill_keys = [key for key in self._fills if key not in self._published_fill_keys]
|
|
||||||
self._current_frame_fills = [dict(self._fills[key]) for key in new_fill_keys]
|
|
||||||
self._published_fill_keys.update(new_fill_keys)
|
|
||||||
index = self.current_index
|
|
||||||
self._condition.notify_all()
|
|
||||||
released = self._condition.wait_for(
|
|
||||||
lambda: self._released_index >= index or self.finished or bool(self._failure),
|
|
||||||
timeout=self.bar_wait_timeout,
|
|
||||||
)
|
|
||||||
if not released:
|
|
||||||
self._failure = "external strategy timed out on QMT bar index %d" % index
|
|
||||||
self._condition.notify_all()
|
|
||||||
raise TimeoutError(self._failure)
|
|
||||||
commands = [item for item in self._pending_commands if item.get("frame_index") == index]
|
|
||||||
self._pending_commands = [item for item in self._pending_commands if item.get("frame_index") != index]
|
|
||||||
self._execute_commands(commands, context)
|
|
||||||
self._refresh_qmt_state()
|
|
||||||
print(
|
|
||||||
"[bigqmt_backtest] QMT native bar released index=%d datetime=%s symbol=%s commands=%d"
|
|
||||||
% (index, row["datetime"], row["symbol"], len(commands))
|
|
||||||
)
|
|
||||||
return True
|
|
||||||
|
|
||||||
def next_bar(self):
|
|
||||||
with self._condition:
|
|
||||||
self._require_started()
|
|
||||||
previous = self.current_index
|
|
||||||
if self.qmt_completed:
|
|
||||||
return self._state_unlocked()
|
|
||||||
self._released_index = max(self._released_index, previous)
|
|
||||||
self._condition.notify_all()
|
|
||||||
ready = self._condition.wait_for(
|
|
||||||
lambda: self.current_index > previous or self.qmt_completed or bool(self._failure),
|
|
||||||
timeout=self.bar_wait_timeout,
|
|
||||||
)
|
|
||||||
if not ready:
|
|
||||||
raise TimeoutError("timed out waiting for QMT backtest bar after index %d" % previous)
|
|
||||||
if self._failure:
|
|
||||||
raise RuntimeError(self._failure)
|
|
||||||
return self._state_unlocked()
|
|
||||||
|
|
||||||
def history(self, symbol, count=100, fields=None):
|
|
||||||
with self._condition:
|
|
||||||
self._require_started()
|
|
||||||
end_index = self.current_index
|
|
||||||
return self.feed.history(symbol, end_index, count=count, fields=fields)
|
|
||||||
|
|
||||||
def orders(self):
|
|
||||||
with self._condition:
|
|
||||||
return [dict(value) for value in self._orders.values()]
|
|
||||||
|
|
||||||
def fills(self):
|
|
||||||
with self._condition:
|
|
||||||
return [dict(value) for value in self._fills.values()]
|
|
||||||
|
|
||||||
def _state_unlocked(self):
|
|
||||||
if self.current_frame is None:
|
|
||||||
return {
|
|
||||||
"run_id": self.config.run_id,
|
|
||||||
"started": self.started,
|
|
||||||
"finished": self.finished,
|
|
||||||
"done": self.qmt_completed,
|
|
||||||
"frame_index": -1,
|
|
||||||
"frame_count": len(self.feed),
|
|
||||||
"execution_backend": self.execution_backend,
|
|
||||||
}
|
|
||||||
return {
|
|
||||||
"run_id": self.config.run_id,
|
|
||||||
"started": self.started,
|
|
||||||
"finished": self.finished,
|
|
||||||
"done": self.qmt_completed,
|
|
||||||
"frame_index": self.current_index,
|
|
||||||
"frame_count": len(self.feed),
|
|
||||||
"datetime": self.current_frame["datetime"],
|
|
||||||
"bars": {key: dict(value) for key, value in self.current_frame["bars"].items()},
|
|
||||||
"fills": [dict(value) for value in self._current_frame_fills],
|
|
||||||
"cash": self._asset.get("cash"),
|
|
||||||
"total_asset": self._asset.get("total_asset"),
|
|
||||||
"positions": {key: dict(value) for key, value in self._positions.items()},
|
|
||||||
"execution_backend": self.execution_backend,
|
|
||||||
"qmt_completed": self.qmt_completed,
|
|
||||||
"failure": self._failure,
|
|
||||||
}
|
|
||||||
|
|
||||||
def state(self):
|
|
||||||
with self._condition:
|
|
||||||
return self._state_unlocked()
|
|
||||||
|
|
||||||
def finish(self):
|
|
||||||
with self._condition:
|
|
||||||
if self.finished:
|
|
||||||
return self._result_unlocked()
|
|
||||||
self._released_index = max(self._released_index, self.current_index)
|
|
||||||
self.finished = True
|
|
||||||
self._condition.notify_all()
|
|
||||||
return self._result_unlocked()
|
|
||||||
|
|
||||||
def _result_unlocked(self):
|
|
||||||
return {
|
|
||||||
"schema_version": 1,
|
|
||||||
"engine_version": self.engine_version,
|
|
||||||
"run_id": self.config.run_id,
|
|
||||||
"strategy_name": self.config.strategy_name,
|
|
||||||
"execution_backend": self.execution_backend,
|
|
||||||
"qmt_completed": self.qmt_completed,
|
|
||||||
"order_count": len(self._orders),
|
|
||||||
"fill_count": len(self._fills),
|
|
||||||
"final_state": self._state_unlocked(),
|
|
||||||
"result_owner": "QMT",
|
|
||||||
}
|
|
||||||
|
|
||||||
def on_qmt_stop(self):
|
|
||||||
self.feed.close()
|
|
||||||
with self._condition:
|
|
||||||
new_fill_keys = [key for key in self._fills if key not in self._published_fill_keys]
|
|
||||||
self._current_frame_fills = [dict(self._fills[key]) for key in new_fill_keys]
|
|
||||||
self._published_fill_keys.update(new_fill_keys)
|
|
||||||
self.qmt_completed = True
|
|
||||||
self._condition.notify_all()
|
|
||||||
print("[bigqmt_backtest] QMT native backtest completed bars=%d" % len(self.feed))
|
|
||||||
|
|
||||||
def on_order(self, order):
|
|
||||||
item = {
|
|
||||||
"order_id": str(_attr(order, ("m_strOrderSysID", "order_sys_id", "order_id"), "") or ""),
|
|
||||||
"client_order_id": str(_attr(order, ("m_strRemark", "remark", "user_order_id"), "") or ""),
|
|
||||||
"symbol": _full_symbol(order),
|
|
||||||
"side": _side_from_offset(_attr(order, ("m_nOffsetFlag", "offset_flag"), 0)),
|
|
||||||
"quantity": int(_attr(order, ("m_nVolumeTotalOriginal", "volume", "quantity"), 0) or 0),
|
|
||||||
"filled_quantity": int(_attr(order, ("m_nVolumeTraded", "traded_volume", "filled_quantity"), 0) or 0),
|
|
||||||
"price": _json_number(_attr(order, ("m_dLimitPrice", "m_dPrice", "price"))),
|
|
||||||
"status": str(_attr(order, ("m_nOrderStatus", "status"), "") or ""),
|
|
||||||
}
|
|
||||||
key = item["client_order_id"] or item["order_id"] or ("order:" + uuid.uuid4().hex)
|
|
||||||
with self._condition:
|
|
||||||
existing = self._orders.get(key, {})
|
|
||||||
existing.update(item)
|
|
||||||
self._orders[key] = existing
|
|
||||||
self._condition.notify_all()
|
|
||||||
return dict(existing)
|
|
||||||
|
|
||||||
def on_trade(self, trade):
|
|
||||||
item = {
|
|
||||||
"fill_id": str(_attr(trade, ("m_strTradeID", "trade_id", "fill_id"), "") or ""),
|
|
||||||
"order_id": str(_attr(trade, ("m_strOrderSysID", "order_sys_id", "order_id"), "") or ""),
|
|
||||||
"client_order_id": str(_attr(trade, ("m_strRemark", "remark", "user_order_id"), "") or ""),
|
|
||||||
"symbol": _full_symbol(trade),
|
|
||||||
"side": _side_from_offset(_attr(trade, ("m_nOffsetFlag", "offset_flag"), 0)),
|
|
||||||
"quantity": int(_attr(trade, ("m_nVolume", "volume", "quantity"), 0) or 0),
|
|
||||||
"price": _json_number(_attr(trade, ("m_dPrice", "m_dTradePrice", "price"))),
|
|
||||||
"filled_at": str(_attr(trade, ("m_strTradeTime", "trade_time", "filled_at"), "") or ""),
|
|
||||||
}
|
|
||||||
key = item["fill_id"] or "%s:%s:%s" % (item["order_id"], item["quantity"], item["price"])
|
|
||||||
with self._condition:
|
|
||||||
self._fills[key] = item
|
|
||||||
self._condition.notify_all()
|
|
||||||
return dict(item)
|
|
||||||
|
|
||||||
def _query(self, detail_type):
|
|
||||||
query = self.qmt_api.get("get_trade_detail_data")
|
|
||||||
if query is None or not self.config.account_id:
|
|
||||||
return []
|
|
||||||
calls = []
|
|
||||||
if detail_type in ("ORDER", "DEAL", "TRADE"):
|
|
||||||
calls.append(lambda: query(
|
|
||||||
self.config.account_id, self.account_type, detail_type, self.config.strategy_name
|
|
||||||
))
|
|
||||||
calls.append(lambda: query(self.config.account_id, self.account_type, detail_type))
|
|
||||||
last_error = None
|
|
||||||
for call in calls:
|
|
||||||
try:
|
|
||||||
return list(call() or [])
|
|
||||||
except Exception as exc:
|
|
||||||
last_error = exc
|
|
||||||
print("[bigqmt_backtest] QMT query failed type=%s error=%s" % (detail_type, last_error))
|
|
||||||
return []
|
|
||||||
|
|
||||||
def _refresh_qmt_state(self):
|
|
||||||
positions = {}
|
|
||||||
for row in self._query("POSITION"):
|
|
||||||
symbol = _full_symbol(row)
|
|
||||||
if not symbol:
|
|
||||||
continue
|
|
||||||
positions[symbol] = {
|
|
||||||
"symbol": symbol,
|
|
||||||
"quantity": int(_attr(row, ("m_nVolume", "volume", "quantity"), 0) or 0),
|
|
||||||
"available": int(_attr(row, ("m_nCanUseVolume", "available", "can_use_volume"), 0) or 0),
|
|
||||||
"avg_cost": _json_number(_attr(row, ("m_dOpenPrice", "m_dCostPrice", "cost", "avg_cost"))),
|
|
||||||
}
|
|
||||||
asset_rows = self._query("ACCOUNT") or self._query("ASSET")
|
|
||||||
asset = {"cash": None, "total_asset": None}
|
|
||||||
if asset_rows:
|
|
||||||
row = asset_rows[0]
|
|
||||||
asset = {
|
|
||||||
"cash": _json_number(_attr(row, ("m_dAvailable", "m_dAvailableCash", "available_cash", "cash"))),
|
|
||||||
"total_asset": _json_number(_attr(row, ("m_dBalance", "m_dAsset", "total_asset", "asset"))),
|
|
||||||
}
|
|
||||||
order_rows = self._query("ORDER")
|
|
||||||
trade_rows = self._query("DEAL") or self._query("TRADE")
|
|
||||||
with self._condition:
|
|
||||||
self._positions = positions
|
|
||||||
self._asset = asset
|
|
||||||
for row in order_rows:
|
|
||||||
self.on_order(row)
|
|
||||||
for row in trade_rows:
|
|
||||||
self.on_trade(row)
|
|
||||||
|
|
||||||
|
|
||||||
class QmtBacktestBridgeRuntime(object):
|
|
||||||
def __init__(self, config=None, qmt_api=None):
|
|
||||||
config = dict(config or {})
|
|
||||||
bind_endpoint = str(config.pop("bind_endpoint", "tcp://127.0.0.1:16662"))
|
|
||||||
self.engine = QmtNativeBacktestSession(config=config, qmt_api=qmt_api)
|
|
||||||
self.protocol = BacktestBridgeProtocol(self.engine)
|
|
||||||
self.server = ZmqBacktestServer(self.protocol, endpoint=bind_endpoint, exit_on_finish=True)
|
|
||||||
self.server_thread = None
|
|
||||||
|
|
||||||
def start(self, context):
|
|
||||||
if self.server_thread is not None:
|
|
||||||
return
|
|
||||||
self.engine.bind_context(context)
|
|
||||||
self.server_thread = threading.Thread(
|
|
||||||
target=self.server.serve_forever,
|
|
||||||
name="bigqmt-native-backtest-zmq",
|
|
||||||
daemon=True,
|
|
||||||
)
|
|
||||||
self.server_thread.start()
|
|
||||||
if not self.server.wait_until_ready(5.0) or not self.server.actual_endpoint:
|
|
||||||
raise RuntimeError("QMT native backtest ZMQ service failed to bind")
|
|
||||||
print(
|
|
||||||
"[bigqmt_backtest] QMT native service started run_id=%s endpoint=%s account=%s live_ready=False"
|
|
||||||
% (self.engine.config.run_id, self.server.actual_endpoint, self.engine.config.account_id)
|
|
||||||
)
|
|
||||||
|
|
||||||
def on_bar(self, context):
|
|
||||||
return self.engine.on_bar(context)
|
|
||||||
|
|
||||||
def on_order(self, order):
|
|
||||||
return self.engine.on_order(order)
|
|
||||||
|
|
||||||
def on_trade(self, trade):
|
|
||||||
return self.engine.on_trade(trade)
|
|
||||||
|
|
||||||
def on_qmt_stop(self):
|
|
||||||
self.engine.on_qmt_stop()
|
|
||||||
|
|
||||||
def stop_server(self):
|
|
||||||
self.server.stop()
|
|
||||||
|
|
||||||
|
|
||||||
def reset_runtime():
|
|
||||||
global _RUNTIME
|
|
||||||
if _RUNTIME is not None:
|
|
||||||
_RUNTIME.stop_server()
|
|
||||||
_RUNTIME = None
|
|
||||||
|
|
||||||
|
|
||||||
def get_runtime():
|
|
||||||
return _RUNTIME
|
|
||||||
|
|
||||||
|
|
||||||
def init(ContextInfo):
|
|
||||||
global _RUNTIME
|
|
||||||
reset_runtime()
|
|
||||||
_RUNTIME = QmtBacktestBridgeRuntime(_CONFIG, _QMT_API)
|
|
||||||
_RUNTIME.start(ContextInfo)
|
|
||||||
return _RUNTIME
|
|
||||||
|
|
||||||
|
|
||||||
def handlebar(ContextInfo):
|
|
||||||
if _RUNTIME is None:
|
|
||||||
init(ContextInfo)
|
|
||||||
return _RUNTIME.on_bar(ContextInfo)
|
|
||||||
|
|
||||||
|
|
||||||
def order_callback(ContextInfo, orderInfo):
|
|
||||||
if _RUNTIME is not None:
|
|
||||||
return _RUNTIME.on_order(orderInfo)
|
|
||||||
return None
|
|
||||||
|
|
||||||
|
|
||||||
def deal_callback(ContextInfo, dealInfo):
|
|
||||||
if _RUNTIME is not None:
|
|
||||||
return _RUNTIME.on_trade(dealInfo)
|
|
||||||
return None
|
|
||||||
|
|
||||||
|
|
||||||
def stop(ContextInfo=None):
|
|
||||||
if _RUNTIME is not None:
|
|
||||||
_RUNTIME.on_qmt_stop()
|
|
||||||
|
|
||||||
|
|
||||||
def after_backtest(ContextInfo=None):
|
|
||||||
return stop(ContextInfo)
|
|
||||||
@@ -1,80 +0,0 @@
|
|||||||
"""Command-line entry for the standalone ZMQ backtest bridge."""
|
|
||||||
|
|
||||||
import argparse
|
|
||||||
import json
|
|
||||||
import os
|
|
||||||
import sys
|
|
||||||
import uuid
|
|
||||||
|
|
||||||
from .data_feed import CsvBarFeed
|
|
||||||
from .engine import BacktestConfig, BacktestEngine
|
|
||||||
from .protocol import BacktestBridgeProtocol
|
|
||||||
from .zmq_server import ZmqBacktestServer
|
|
||||||
|
|
||||||
|
|
||||||
def _load_config(path):
|
|
||||||
if not path:
|
|
||||||
return {}
|
|
||||||
with open(os.path.abspath(path), encoding="utf-8") as handle:
|
|
||||||
payload = json.load(handle)
|
|
||||||
if not isinstance(payload, dict):
|
|
||||||
raise ValueError("config JSON must be an object")
|
|
||||||
return payload
|
|
||||||
|
|
||||||
|
|
||||||
def _parser():
|
|
||||||
parser = argparse.ArgumentParser(description="Standalone ZMQ backtest bridge")
|
|
||||||
parser.add_argument("--data", required=True, help="UTF-8 CSV historical bar file")
|
|
||||||
parser.add_argument("--config", default="", help="Optional UTF-8 JSON backtest config")
|
|
||||||
parser.add_argument("--run-id", default="", help="Unique run identity")
|
|
||||||
parser.add_argument("--output-dir", default="", help="Artifact directory")
|
|
||||||
parser.add_argument("--bind", default="tcp://127.0.0.1:16661", help="ZMQ REP bind endpoint")
|
|
||||||
parser.add_argument("--default-symbol", default="", help="Used when CSV has no symbol column")
|
|
||||||
parser.add_argument("--initial-cash", type=float, default=None)
|
|
||||||
parser.add_argument("--slippage-bps", type=float, default=None)
|
|
||||||
parser.add_argument("--max-volume-participation", type=float, default=None)
|
|
||||||
parser.add_argument("--keep-running", action="store_true", help="Do not stop server after finish")
|
|
||||||
return parser
|
|
||||||
|
|
||||||
|
|
||||||
def build_engine(args):
|
|
||||||
payload = _load_config(args.config)
|
|
||||||
run_id = str(args.run_id or payload.pop("run_id", "") or ("bt-" + uuid.uuid4().hex[:12]))
|
|
||||||
output_dir = args.output_dir or payload.pop("output_dir", "") or os.path.join("backtest_runs", run_id)
|
|
||||||
if args.initial_cash is not None:
|
|
||||||
payload["initial_cash"] = args.initial_cash
|
|
||||||
if args.slippage_bps is not None:
|
|
||||||
payload["slippage_bps"] = args.slippage_bps
|
|
||||||
if args.max_volume_participation is not None:
|
|
||||||
payload["max_volume_participation"] = args.max_volume_participation
|
|
||||||
config = BacktestConfig(run_id=run_id, output_dir=output_dir, **payload)
|
|
||||||
feed = CsvBarFeed(args.data, default_symbol=args.default_symbol)
|
|
||||||
return BacktestEngine(feed, config)
|
|
||||||
|
|
||||||
|
|
||||||
def main(argv=None):
|
|
||||||
args = _parser().parse_args(argv)
|
|
||||||
engine = build_engine(args)
|
|
||||||
server = ZmqBacktestServer(
|
|
||||||
BacktestBridgeProtocol(engine),
|
|
||||||
endpoint=args.bind,
|
|
||||||
exit_on_finish=not args.keep_running,
|
|
||||||
)
|
|
||||||
startup = {
|
|
||||||
"event": "backtest_bridge_starting",
|
|
||||||
"run_id": engine.config.run_id,
|
|
||||||
"bind": args.bind,
|
|
||||||
"data_hash": engine.feed.data_hash,
|
|
||||||
"output_dir": engine.config.output_dir,
|
|
||||||
"live_ready": False,
|
|
||||||
}
|
|
||||||
print(json.dumps(startup, ensure_ascii=False, sort_keys=True), flush=True)
|
|
||||||
try:
|
|
||||||
server.serve_forever()
|
|
||||||
except KeyboardInterrupt:
|
|
||||||
server.stop()
|
|
||||||
return 0
|
|
||||||
|
|
||||||
|
|
||||||
if __name__ == "__main__":
|
|
||||||
sys.exit(main())
|
|
||||||
@@ -1,75 +0,0 @@
|
|||||||
"""Small external-strategy contract and a synchronous ZMQ runner."""
|
|
||||||
|
|
||||||
|
|
||||||
class StrategyContext(object):
|
|
||||||
def __init__(self, client):
|
|
||||||
self.client = client
|
|
||||||
self.state = None
|
|
||||||
|
|
||||||
@property
|
|
||||||
def now(self):
|
|
||||||
return None if self.state is None else self.state.get("datetime")
|
|
||||||
|
|
||||||
@property
|
|
||||||
def cash(self):
|
|
||||||
return 0 if self.state is None else self.state.get("cash", 0)
|
|
||||||
|
|
||||||
@property
|
|
||||||
def positions(self):
|
|
||||||
return {} if self.state is None else self.state.get("positions", {})
|
|
||||||
|
|
||||||
def history(self, symbol, count=100, fields=None):
|
|
||||||
return self.client.history(symbol, count=count, fields=fields)
|
|
||||||
|
|
||||||
|
|
||||||
class ExternalStrategyRunner(object):
|
|
||||||
"""Drive a user strategy without exposing future bars.
|
|
||||||
|
|
||||||
Strategy methods are optional:
|
|
||||||
|
|
||||||
* ``on_start(context)``
|
|
||||||
* ``on_bar(context, bars) -> iterable[order dict]``
|
|
||||||
* ``on_fill(context, fill)``
|
|
||||||
* ``on_finish(context, result)``
|
|
||||||
"""
|
|
||||||
|
|
||||||
def __init__(self, client, strategy):
|
|
||||||
self.client = client
|
|
||||||
self.strategy = strategy
|
|
||||||
self.context = StrategyContext(client)
|
|
||||||
|
|
||||||
def _call(self, name, *args):
|
|
||||||
callback = getattr(self.strategy, name, None)
|
|
||||||
return callback(*args) if callback is not None else None
|
|
||||||
|
|
||||||
def _apply_orders(self, orders):
|
|
||||||
for order in list(orders or []):
|
|
||||||
payload = dict(order)
|
|
||||||
self.client.submit_order(
|
|
||||||
symbol=payload["symbol"],
|
|
||||||
side=payload["side"],
|
|
||||||
quantity=payload["quantity"],
|
|
||||||
order_type=payload.get("order_type", "MARKET"),
|
|
||||||
limit_price=payload.get("limit_price"),
|
|
||||||
client_order_id=payload.get("client_order_id", ""),
|
|
||||||
time_in_force=payload.get("time_in_force", "NEXT_BAR"),
|
|
||||||
)
|
|
||||||
|
|
||||||
def run(self):
|
|
||||||
if not self.client.run_id:
|
|
||||||
self.client.describe()
|
|
||||||
state = self.client.start()
|
|
||||||
self.context.state = state
|
|
||||||
self._call("on_start", self.context)
|
|
||||||
while True:
|
|
||||||
for fill in state.get("fills", []):
|
|
||||||
self._call("on_fill", self.context, fill)
|
|
||||||
orders = self._call("on_bar", self.context, state.get("bars", {}))
|
|
||||||
self._apply_orders(orders)
|
|
||||||
if state.get("done"):
|
|
||||||
break
|
|
||||||
state = self.client.next_bar()
|
|
||||||
self.context.state = state
|
|
||||||
result = self.client.finish()
|
|
||||||
self._call("on_finish", self.context, result)
|
|
||||||
return result
|
|
||||||
@@ -1,65 +0,0 @@
|
|||||||
"""Minimal REQ/REP ZMQ server for one isolated backtest run."""
|
|
||||||
|
|
||||||
import json
|
|
||||||
import threading
|
|
||||||
|
|
||||||
|
|
||||||
class ZmqBacktestServer(object):
|
|
||||||
def __init__(self, protocol, endpoint="tcp://127.0.0.1:16661", exit_on_finish=False, poll_ms=100):
|
|
||||||
self.protocol = protocol
|
|
||||||
self.endpoint = str(endpoint)
|
|
||||||
self.exit_on_finish = bool(exit_on_finish)
|
|
||||||
self.poll_ms = int(poll_ms)
|
|
||||||
self._stop_event = threading.Event()
|
|
||||||
self._ready_event = threading.Event()
|
|
||||||
self.actual_endpoint = None
|
|
||||||
|
|
||||||
def wait_until_ready(self, timeout_seconds=None):
|
|
||||||
return self._ready_event.wait(timeout_seconds)
|
|
||||||
|
|
||||||
def stop(self):
|
|
||||||
self._stop_event.set()
|
|
||||||
|
|
||||||
def serve_forever(self):
|
|
||||||
import zmq
|
|
||||||
|
|
||||||
context = zmq.Context.instance()
|
|
||||||
socket = context.socket(zmq.REP)
|
|
||||||
socket.setsockopt(zmq.LINGER, 0)
|
|
||||||
socket.setsockopt(zmq.RCVHWM, 1000)
|
|
||||||
socket.setsockopt(zmq.SNDHWM, 1000)
|
|
||||||
try:
|
|
||||||
if self.endpoint.endswith(":0"):
|
|
||||||
base = self.endpoint.rsplit(":", 1)[0]
|
|
||||||
port = socket.bind_to_random_port(base)
|
|
||||||
self.actual_endpoint = "%s:%d" % (base, port)
|
|
||||||
else:
|
|
||||||
socket.bind(self.endpoint)
|
|
||||||
self.actual_endpoint = self.endpoint
|
|
||||||
self._ready_event.set()
|
|
||||||
poller = zmq.Poller()
|
|
||||||
poller.register(socket, zmq.POLLIN)
|
|
||||||
while not self._stop_event.is_set():
|
|
||||||
events = dict(poller.poll(self.poll_ms))
|
|
||||||
if socket not in events:
|
|
||||||
continue
|
|
||||||
try:
|
|
||||||
request = json.loads(socket.recv().decode("utf-8"))
|
|
||||||
response = self.protocol.handle(request)
|
|
||||||
except Exception as exc:
|
|
||||||
response = {
|
|
||||||
"schema_version": 1,
|
|
||||||
"request_id": "",
|
|
||||||
"run_id": self.protocol.engine.config.run_id,
|
|
||||||
"client_id": "",
|
|
||||||
"method": "",
|
|
||||||
"ok": False,
|
|
||||||
"data": None,
|
|
||||||
"error": "%s: %s" % (exc.__class__.__name__, exc),
|
|
||||||
}
|
|
||||||
socket.send(json.dumps(response, ensure_ascii=False, separators=(",", ":")).encode("utf-8"))
|
|
||||||
if self.exit_on_finish and self.protocol.engine.finished:
|
|
||||||
break
|
|
||||||
finally:
|
|
||||||
self._ready_event.set()
|
|
||||||
socket.close(linger=0)
|
|
||||||
@@ -1,50 +0,0 @@
|
|||||||
# bigqmt_signal_trader
|
|
||||||
|
|
||||||
大 QMT 信号交易包的核心骨架。当前版本只完成可替换包边界和 dry-run 运行入口，不会发送真实委托。
|
|
||||||
|
|
||||||
## 已完成
|
|
||||||
|
|
||||||
- `TradeSignal`、`OrderRequest`、`PositionSnapshot`、`AccountSnapshot` 等核心数据模型。
|
|
||||||
- `SignalSource`、`MarketDataProvider`、`PositionProvider`、`OrderGateway`、`PositionSyncSink`、`StateStore` 等替换接口。
|
|
||||||
- `SignalTradingApp.tick()` 编排流程：
|
|
||||||
1. 读取信号。
|
|
||||||
2. 原子 claim。
|
|
||||||
3. 读取持仓。
|
|
||||||
4. 计算买卖数量。
|
|
||||||
5. 生成价格。
|
|
||||||
6. 调用可替换 `OrderGateway`。
|
|
||||||
7. 写回状态。
|
|
||||||
8. 同步持仓快照。
|
|
||||||
- `DryRunOrderGateway`：记录委托请求，不调用真实 `passorder`。
|
|
||||||
- `bigqmt_signal_trader_strategy.py`：大 QMT 运行文件骨架，响应 `init`、`adjust`、`order_callback`、`deal_callback`、`sync_positions`。
|
|
||||||
|
|
||||||
## 当前安全状态
|
|
||||||
|
|
||||||
默认 `adapter_factory.build_app()` 使用：
|
|
||||||
|
|
||||||
- 空信号源。
|
|
||||||
- 空行情源。
|
|
||||||
- 空持仓源。
|
|
||||||
- dry-run 下单 gateway。
|
|
||||||
- no-op 状态存储。
|
|
||||||
- 内存持仓同步 sink。
|
|
||||||
|
|
||||||
因此即使大 QMT 加载该运行文件，也不会真实下单。
|
|
||||||
|
|
||||||
## 后续接入顺序
|
|
||||||
|
|
||||||
1. 实现 `BigQmtMarketDataProvider` 和 `BigQmtPositionProvider`。
|
|
||||||
2. 实现 `BigQmtOrderGateway(passorder/cancel/get_trade_detail_data)`。
|
|
||||||
3. 实现 Redis Stream / MySQL outbox 信号源。
|
|
||||||
4. 实现 Redis / MySQL 状态写回。
|
|
||||||
5. 实现 Redis / MySQL 持仓同步 sink。
|
|
||||||
6. dry-run 跑通后，再按账户灰度切换真实下单。
|
|
||||||
|
|
||||||
## 测试
|
|
||||||
|
|
||||||
```powershell
|
|
||||||
cd <REPO_ROOT>
|
|
||||||
python -m unittest discover -s tests\bigqmt_signal_trader
|
|
||||||
```
|
|
||||||
|
|
||||||
|
|
||||||
@@ -1,32 +0,0 @@
|
|||||||
"""可替换的大 QMT 信号下单包核心模块。"""
|
|
||||||
|
|
||||||
__version__ = "0.2.0"
|
|
||||||
|
|
||||||
from .app import SignalTradingApp
|
|
||||||
from .models import (
|
|
||||||
AccountSnapshot,
|
|
||||||
AssetSnapshot,
|
|
||||||
OrderRequest,
|
|
||||||
OrderSubmitResult,
|
|
||||||
PositionSnapshot,
|
|
||||||
SignalAction,
|
|
||||||
SignalStatus,
|
|
||||||
TradeSignal,
|
|
||||||
)
|
|
||||||
from .xtquant_compat import BigQmtRpcClient, BigQmtXtData, BigQmtXtTrader
|
|
||||||
|
|
||||||
__all__ = [
|
|
||||||
"AccountSnapshot",
|
|
||||||
"AssetSnapshot",
|
|
||||||
"BigQmtRpcClient",
|
|
||||||
"BigQmtXtData",
|
|
||||||
"BigQmtXtTrader",
|
|
||||||
"OrderRequest",
|
|
||||||
"OrderSubmitResult",
|
|
||||||
"PositionSnapshot",
|
|
||||||
"SignalAction",
|
|
||||||
"SignalStatus",
|
|
||||||
"SignalTradingApp",
|
|
||||||
"TradeSignal",
|
|
||||||
"__version__",
|
|
||||||
]
|
|
||||||
@@ -1,159 +0,0 @@
|
|||||||
"""根据配置装配 SignalTradingApp。
|
|
||||||
|
|
||||||
当前第一版只提供安全的空信号 + dry-run 默认实现，后续再接 Redis/MySQL/大 QMT
|
|
||||||
真实 adapter。这样大 QMT 运行文件可以先加载和响应调度，不会误发真实委托。
|
|
||||||
"""
|
|
||||||
|
|
||||||
from .adapters.order_dryrun import DryRunOrderGateway
|
|
||||||
from .app import SignalTradingApp
|
|
||||||
from .models import AssetSnapshot
|
|
||||||
|
|
||||||
|
|
||||||
class EmptySignalSource:
|
|
||||||
def fetch(self, account_id, limit):
|
|
||||||
return []
|
|
||||||
|
|
||||||
def ack(self, signal):
|
|
||||||
return None
|
|
||||||
|
|
||||||
|
|
||||||
class EmptyMarketDataProvider:
|
|
||||||
def get_ticks(self, codes):
|
|
||||||
return {}
|
|
||||||
|
|
||||||
def get_instrument(self, code):
|
|
||||||
return {}
|
|
||||||
|
|
||||||
|
|
||||||
class EmptyPositionProvider:
|
|
||||||
def get_positions(self, account_id):
|
|
||||||
return {}
|
|
||||||
|
|
||||||
def get_asset(self, account_id):
|
|
||||||
return AssetSnapshot(account_id=account_id, cash=None, total_asset=None)
|
|
||||||
|
|
||||||
|
|
||||||
class NoopPositionSyncSink:
|
|
||||||
def __init__(self):
|
|
||||||
self.snapshots = []
|
|
||||||
|
|
||||||
def publish(self, snapshot):
|
|
||||||
self.snapshots.append(snapshot)
|
|
||||||
|
|
||||||
|
|
||||||
class NoopStateStore:
|
|
||||||
def claim(self, signal, consumer_id):
|
|
||||||
return False
|
|
||||||
|
|
||||||
def mark_submitted(self, signal_id, result):
|
|
||||||
return None
|
|
||||||
|
|
||||||
def mark_finished(self, signal_id, status, message=""):
|
|
||||||
return None
|
|
||||||
|
|
||||||
|
|
||||||
def _config_bool(value, default=False):
|
|
||||||
if value is None:
|
|
||||||
return default
|
|
||||||
if isinstance(value, bool):
|
|
||||||
return value
|
|
||||||
return str(value).strip().lower() in ("1", "true", "yes", "y", "on")
|
|
||||||
|
|
||||||
|
|
||||||
def build_app(context_info=None, config=None):
|
|
||||||
config = config or {}
|
|
||||||
mode = str(config.get("mode") or "dryrun").lower()
|
|
||||||
account_id = config.get("account_id", "default")
|
|
||||||
source_type = str(config.get("signal_source_type") or config.get("source_type") or "").lower()
|
|
||||||
state_type = str(config.get("state_store_type") or "").lower()
|
|
||||||
position_sync_type = str(config.get("position_sync_type") or "").lower()
|
|
||||||
|
|
||||||
signal_source = config.get("signal_source")
|
|
||||||
market_data = config.get("market_data")
|
|
||||||
position_provider = config.get("position_provider")
|
|
||||||
order_gateway = config.get("order_gateway")
|
|
||||||
position_sync_sink = config.get("position_sync_sink")
|
|
||||||
state_store = config.get("state_store")
|
|
||||||
redis_client = config.get("redis_client")
|
|
||||||
|
|
||||||
if source_type == "redis" or state_type == "redis" or position_sync_type == "redis":
|
|
||||||
from .adapters.redis_common import build_redis_client
|
|
||||||
|
|
||||||
redis_client = redis_client or build_redis_client(config.get("redis") or {})
|
|
||||||
|
|
||||||
if source_type == "redis":
|
|
||||||
from .adapters.signal_redis import RedisStreamSignalSource
|
|
||||||
|
|
||||||
redis_cfg = config.get("redis") or {}
|
|
||||||
signal_source = signal_source or RedisStreamSignalSource(
|
|
||||||
redis_client=redis_client,
|
|
||||||
stream_key_template=redis_cfg.get("stream_key_template", "bigqmt:signals:{account_id}"),
|
|
||||||
group_name=redis_cfg.get("group_name", "bigqmt-signal-trader"),
|
|
||||||
consumer_name=redis_cfg.get("consumer_name", "bigqmt-consumer"),
|
|
||||||
block_ms=int(redis_cfg.get("block_ms", 0)),
|
|
||||||
)
|
|
||||||
|
|
||||||
if state_type == "redis" or (source_type == "redis" and state_store is None):
|
|
||||||
from .adapters.state_redis import RedisStateStore
|
|
||||||
|
|
||||||
redis_cfg = config.get("redis") or {}
|
|
||||||
state_store = state_store or RedisStateStore(
|
|
||||||
redis_client=redis_client,
|
|
||||||
account_id=account_id,
|
|
||||||
claim_key_template=redis_cfg.get("claim_key_template", "bigqmt:signal_claim:{account_id}:{signal_id}"),
|
|
||||||
status_key_template=redis_cfg.get("status_key_template", "bigqmt:signal_status:{account_id}:{signal_id}"),
|
|
||||||
claim_ttl_seconds=int(redis_cfg.get("claim_ttl_seconds", 3600)),
|
|
||||||
status_ttl_seconds=int(redis_cfg.get("status_ttl_seconds", 86400)),
|
|
||||||
)
|
|
||||||
|
|
||||||
if position_sync_type == "redis":
|
|
||||||
from .adapters.position_sync_redis import RedisPositionSyncSink
|
|
||||||
|
|
||||||
redis_cfg = config.get("redis") or {}
|
|
||||||
position_sync_sink = position_sync_sink or RedisPositionSyncSink(
|
|
||||||
redis_client=redis_client,
|
|
||||||
key_template=redis_cfg.get("position_key_template", "bigqmt:positions:{account_id}"),
|
|
||||||
event_stream_template=redis_cfg.get("position_event_stream_template", "bigqmt:position_events:{account_id}"),
|
|
||||||
ttl_seconds=int(redis_cfg.get("position_ttl_seconds", 120)),
|
|
||||||
publish_events=_config_bool(redis_cfg.get("position_publish_events"), True),
|
|
||||||
)
|
|
||||||
|
|
||||||
if mode == "bigqmt":
|
|
||||||
from .adapters.market_bigqmt import BigQmtMarketDataProvider
|
|
||||||
from .adapters.order_bigqmt import BigQmtOrderGateway
|
|
||||||
from .adapters.position_bigqmt import BigQmtPositionProvider
|
|
||||||
|
|
||||||
qmt_api = config.get("qmt_api") or {}
|
|
||||||
get_trade_detail_data_func = qmt_api.get("get_trade_detail_data")
|
|
||||||
market_data = market_data or BigQmtMarketDataProvider(context_info, qmt_api=qmt_api)
|
|
||||||
position_provider = position_provider or BigQmtPositionProvider(
|
|
||||||
get_trade_detail_data_func=get_trade_detail_data_func,
|
|
||||||
account_type=config.get("account_type", "STOCK"),
|
|
||||||
)
|
|
||||||
# passorder / cancel need the RAW QMT ContextInfo as their last arg -- QMT's
|
|
||||||
# injected passorder reads internals off it (e.g. .request_id). Our runtime
|
|
||||||
# wrapper (BigQmtRuntimeAdapter) doesn't have those, so unwrap it here.
|
|
||||||
raw_context_info = getattr(context_info, "context_info", context_info)
|
|
||||||
order_gateway = order_gateway or BigQmtOrderGateway(
|
|
||||||
context_info=raw_context_info,
|
|
||||||
account_id=account_id,
|
|
||||||
passorder_func=qmt_api.get("passorder"),
|
|
||||||
cancel_func=qmt_api.get("cancel"),
|
|
||||||
get_trade_detail_data_func=get_trade_detail_data_func,
|
|
||||||
account_type=config.get("account_type", "STOCK"),
|
|
||||||
combo_type=int(config.get("combo_type", 1101)),
|
|
||||||
price_type=int(config.get("order_price_type", 11)),
|
|
||||||
quick_trade=int(config.get("quick_trade", 2)),
|
|
||||||
)
|
|
||||||
|
|
||||||
return SignalTradingApp(
|
|
||||||
account_id=account_id,
|
|
||||||
signal_source=signal_source or EmptySignalSource(),
|
|
||||||
market_data=market_data or EmptyMarketDataProvider(),
|
|
||||||
position_provider=position_provider or EmptyPositionProvider(),
|
|
||||||
order_gateway=order_gateway or DryRunOrderGateway(),
|
|
||||||
position_sync_sink=position_sync_sink or NoopPositionSyncSink(),
|
|
||||||
state_store=state_store or NoopStateStore(),
|
|
||||||
consumer_id=config.get("consumer_id", "bigqmt-signal-trader"),
|
|
||||||
fetch_limit=config.get("fetch_limit", 20),
|
|
||||||
)
|
|
||||||
@@ -1 +0,0 @@
|
|||||||
"""具体外部系统 adapter。"""
|
|
||||||
File diff suppressed because it is too large
Load Diff
@@ -1,254 +0,0 @@
|
|||||||
"""Big QMT order gateway.
|
|
||||||
|
|
||||||
The passorder signature follows src/api/qmt_jq_trade.
|
|
||||||
"""
|
|
||||||
|
|
||||||
import hashlib
|
|
||||||
|
|
||||||
from ..code_utils import normalize_stock_code
|
|
||||||
from ..models import CancelResult, OrderSnapshot, OrderSubmitResult, SignalAction, TradeSnapshot
|
|
||||||
from .position_bigqmt import _attr, _full_code
|
|
||||||
|
|
||||||
|
|
||||||
PRICE_TYPE_ALIASES = {
|
|
||||||
"LIMIT": 11,
|
|
||||||
"FIX_PRICE": 11,
|
|
||||||
"LATEST_PRICE": 5,
|
|
||||||
"MARKET_PEER_PRICE_FIRST": 44,
|
|
||||||
"MARKET_SH_CONVERT_5_LIMIT": 43,
|
|
||||||
"MARKET_SZ_CONVERT_5_CANCEL": 47,
|
|
||||||
}
|
|
||||||
|
|
||||||
|
|
||||||
def _action_from_offset_flag(offset_flag):
|
|
||||||
return SignalAction.BUY.value if int(offset_flag or 0) == 48 else SignalAction.SELL.value
|
|
||||||
|
|
||||||
|
|
||||||
# 报单时间。大 QMT 的 ORDER 行把日期和时间分成两个字段, MiniQMT 的
|
|
||||||
# XtOrder.order_time 是 Unix 秒, 所以要拼接后转换。成交那条路径早就读了
|
|
||||||
# m_strTradeTime, 委托这边一直漏掉 (issue #48)。
|
|
||||||
_ORDER_DATE_FIELDS = ("m_strInsertDate", "m_strOrderDate", "insert_date", "order_date")
|
|
||||||
_ORDER_TIME_FIELDS = ("m_strInsertTime", "m_strOrderTime", "insert_time", "order_time")
|
|
||||||
|
|
||||||
# 取不到时打印该行实际有哪些 m_*, 每进程一次。字段名无法离线核实,
|
|
||||||
# 猜一个然后静默返回 0 正是订单方向那个 bug 的成因。
|
|
||||||
_missing_order_time_reported = []
|
|
||||||
|
|
||||||
|
|
||||||
def _report_missing_order_time(row):
|
|
||||||
if _missing_order_time_reported:
|
|
||||||
return
|
|
||||||
_missing_order_time_reported.append(True)
|
|
||||||
try:
|
|
||||||
available = sorted(n for n in dir(row) if n.startswith("m_"))
|
|
||||||
except Exception:
|
|
||||||
available = []
|
|
||||||
print(
|
|
||||||
"[bigqmt_order] order_time not found (tried %s / %s); ORDER row exposes: %s"
|
|
||||||
% (", ".join(_ORDER_DATE_FIELDS), ", ".join(_ORDER_TIME_FIELDS),
|
|
||||||
", ".join(available) or "<none>")
|
|
||||||
)
|
|
||||||
|
|
||||||
|
|
||||||
def _order_time_seconds(row):
|
|
||||||
"""把 ORDER 行的报单日期+时间转成 Unix 秒, 拿不到返回 0。
|
|
||||||
|
|
||||||
容忍几种实际会遇到的写法: 日期 '20260819' 或 '2026-08-19',
|
|
||||||
时间 '093015'、'09:30:15' 或 '09:30:15.123'。已经是数字时间戳的直接用
|
|
||||||
(毫秒会被归一到秒)。
|
|
||||||
"""
|
|
||||||
raw_time = _attr(row, _ORDER_TIME_FIELDS)
|
|
||||||
raw_date = _attr(row, _ORDER_DATE_FIELDS)
|
|
||||||
if raw_time is None and raw_date is None:
|
|
||||||
_report_missing_order_time(row)
|
|
||||||
return 0
|
|
||||||
|
|
||||||
# 已是数字: 当成时间戳 (>1e11 视为毫秒)。
|
|
||||||
if isinstance(raw_time, (int, float)) and not isinstance(raw_time, bool):
|
|
||||||
value = float(raw_time)
|
|
||||||
if value > 1e11:
|
|
||||||
value /= 1000.0
|
|
||||||
if value > 1e8: # 像时间戳而不是 093015 这种时分秒
|
|
||||||
return int(value)
|
|
||||||
|
|
||||||
date_text = "".join(ch for ch in str(raw_date or "") if ch.isdigit())
|
|
||||||
time_text = "".join(ch for ch in str(raw_time or "") if ch.isdigit())
|
|
||||||
if not date_text or len(date_text) < 8:
|
|
||||||
return 0
|
|
||||||
time_text = (time_text + "000000")[:6] # 补齐到 HHMMSS, 丢掉毫秒
|
|
||||||
try:
|
|
||||||
import time as _time
|
|
||||||
|
|
||||||
parsed = _time.strptime(date_text[:8] + time_text, "%Y%m%d%H%M%S")
|
|
||||||
return int(_time.mktime(parsed))
|
|
||||||
except Exception:
|
|
||||||
return 0
|
|
||||||
|
|
||||||
|
|
||||||
def _price_type_value(value, default):
|
|
||||||
if value is None or value == "":
|
|
||||||
return int(default)
|
|
||||||
try:
|
|
||||||
return int(value)
|
|
||||||
except (TypeError, ValueError):
|
|
||||||
text = str(value).strip().upper()
|
|
||||||
return int(PRICE_TYPE_ALIASES.get(text, default))
|
|
||||||
|
|
||||||
|
|
||||||
class BigQmtOrderGateway:
|
|
||||||
def __init__(
|
|
||||||
self,
|
|
||||||
context_info,
|
|
||||||
account_id="",
|
|
||||||
passorder_func=None,
|
|
||||||
cancel_func=None,
|
|
||||||
get_trade_detail_data_func=None,
|
|
||||||
account_type="STOCK",
|
|
||||||
combo_type=1101,
|
|
||||||
price_type=11,
|
|
||||||
quick_trade=2,
|
|
||||||
):
|
|
||||||
self.context_info = context_info
|
|
||||||
self.account_id = account_id
|
|
||||||
self.passorder = passorder_func
|
|
||||||
self.cancel_func = cancel_func
|
|
||||||
self.get_trade_detail_data = get_trade_detail_data_func
|
|
||||||
self.account_type = account_type
|
|
||||||
self.combo_type = combo_type
|
|
||||||
self.price_type = price_type
|
|
||||||
self.quick_trade = quick_trade
|
|
||||||
|
|
||||||
def _require_passorder(self):
|
|
||||||
if self.passorder is None:
|
|
||||||
raise RuntimeError("passorder is not available in Big QMT runtime")
|
|
||||||
return self.passorder
|
|
||||||
|
|
||||||
def _require_cancel(self):
|
|
||||||
if self.cancel_func is None:
|
|
||||||
raise RuntimeError("cancel is not available in Big QMT runtime")
|
|
||||||
return self.cancel_func
|
|
||||||
|
|
||||||
def _require_query_func(self):
|
|
||||||
if self.get_trade_detail_data is None:
|
|
||||||
raise RuntimeError("get_trade_detail_data is not available in Big QMT runtime")
|
|
||||||
return self.get_trade_detail_data
|
|
||||||
|
|
||||||
@staticmethod
|
|
||||||
def build_user_order_id(signal_id):
|
|
||||||
text = str(signal_id or "")
|
|
||||||
digest = hashlib.sha1(text.encode("utf-8")).hexdigest()[:10]
|
|
||||||
return "bq:%s:%s" % (digest, text[:30])
|
|
||||||
|
|
||||||
def submit(self, request):
|
|
||||||
passorder = self._require_passorder()
|
|
||||||
action = str(request.action).upper()
|
|
||||||
if action == SignalAction.BUY.value:
|
|
||||||
op_type = 23
|
|
||||||
elif action == SignalAction.SELL.value:
|
|
||||||
op_type = 24
|
|
||||||
else:
|
|
||||||
raise ValueError("unsupported order action: %s" % request.action)
|
|
||||||
|
|
||||||
user_order_id = str(request.remark or "").strip() or self.build_user_order_id(request.signal_id)
|
|
||||||
account_id = request.account_id or self.account_id
|
|
||||||
passorder(
|
|
||||||
op_type,
|
|
||||||
self.combo_type,
|
|
||||||
account_id,
|
|
||||||
normalize_stock_code(request.stock_code),
|
|
||||||
_price_type_value(request.price_type, self.price_type),
|
|
||||||
float(request.price),
|
|
||||||
int(request.volume),
|
|
||||||
request.strategy_name,
|
|
||||||
self.quick_trade,
|
|
||||||
user_order_id,
|
|
||||||
self.context_info,
|
|
||||||
)
|
|
||||||
return OrderSubmitResult(
|
|
||||||
status="SUBMITTED",
|
|
||||||
user_order_id=user_order_id,
|
|
||||||
order_sys_id=None,
|
|
||||||
message="passorder submitted",
|
|
||||||
)
|
|
||||||
|
|
||||||
def cancel(self, order_ref):
|
|
||||||
cancel_func = self._require_cancel()
|
|
||||||
ok = cancel_func(order_ref.order_sys_id, self.account_id, self.account_type, self.context_info)
|
|
||||||
return CancelResult(success=bool(ok), message="" if ok else "cancel returned false")
|
|
||||||
|
|
||||||
def query_orders(self, account_id, strategy_name):
|
|
||||||
try:
|
|
||||||
return self.query_orders_strict(account_id, strategy_name)
|
|
||||||
except Exception:
|
|
||||||
return []
|
|
||||||
|
|
||||||
def query_orders_strict(self, account_id, strategy_name):
|
|
||||||
query = self._require_query_func()
|
|
||||||
rows = query(account_id, self.account_type, "ORDER", strategy_name) or []
|
|
||||||
result = []
|
|
||||||
for row in rows:
|
|
||||||
result.append(
|
|
||||||
OrderSnapshot(
|
|
||||||
order_sys_id=str(_attr(row, ("m_strOrderSysID", "order_sys_id"), "") or ""),
|
|
||||||
user_order_id=str(_attr(row, ("m_strRemark", "user_order_id", "remark"), "") or ""),
|
|
||||||
stock_code=_full_code(
|
|
||||||
_attr(row, ("m_strInstrumentID", "instrument_id", "stock_code")),
|
|
||||||
_attr(row, ("m_strExchangeID", "exchange_id", "market")),
|
|
||||||
),
|
|
||||||
action=_action_from_offset_flag(_attr(row, ("m_nOffsetFlag", "offset_flag"), 0)),
|
|
||||||
volume=int(_attr(row, ("m_nVolumeTotalOriginal", "volume"), 0) or 0),
|
|
||||||
traded_volume=int(_attr(row, ("m_nVolumeTraded", "traded_volume"), 0) or 0),
|
|
||||||
status=str(_attr(row, ("m_nOrderStatus", "status"), "") or ""),
|
|
||||||
price=float(_attr(row, ("m_dLimitPrice", "m_dPrice", "price"), 0.0) or 0.0),
|
|
||||||
strategy_name=str(_attr(row, ("m_strStrategyName", "strategy_name"), "") or ""),
|
|
||||||
remark=str(_attr(row, ("m_strRemark", "remark"), "") or ""),
|
|
||||||
order_time=_order_time_seconds(row),
|
|
||||||
)
|
|
||||||
)
|
|
||||||
return result
|
|
||||||
|
|
||||||
def query_trades(self, account_id, strategy_name):
|
|
||||||
try:
|
|
||||||
return self.query_trades_strict(account_id, strategy_name)
|
|
||||||
except Exception:
|
|
||||||
return []
|
|
||||||
|
|
||||||
def query_trades_strict(self, account_id, strategy_name):
|
|
||||||
query = self._require_query_func()
|
|
||||||
rows = []
|
|
||||||
last_error = None
|
|
||||||
for detail_type in ("DEAL", "TRADE"):
|
|
||||||
try:
|
|
||||||
if str(strategy_name or "").strip():
|
|
||||||
rows = query(account_id, self.account_type, detail_type, strategy_name) or []
|
|
||||||
else:
|
|
||||||
rows = query(account_id, self.account_type, detail_type) or []
|
|
||||||
if rows:
|
|
||||||
break
|
|
||||||
except Exception as exc:
|
|
||||||
last_error = exc
|
|
||||||
if not rows and last_error is not None:
|
|
||||||
raise last_error
|
|
||||||
result = []
|
|
||||||
for row in rows:
|
|
||||||
result.append(
|
|
||||||
TradeSnapshot(
|
|
||||||
trade_id=str(_attr(row, ("m_strTradeID", "trade_id"), "") or ""),
|
|
||||||
order_sys_id=str(_attr(row, ("m_strOrderSysID", "order_sys_id"), "") or ""),
|
|
||||||
stock_code=_full_code(
|
|
||||||
_attr(row, ("m_strInstrumentID", "instrument_id", "stock_code")),
|
|
||||||
_attr(row, ("m_strExchangeID", "exchange_id", "market")),
|
|
||||||
),
|
|
||||||
action=_action_from_offset_flag(_attr(row, ("m_nOffsetFlag", "offset_flag"), 0)),
|
|
||||||
volume=int(_attr(row, ("m_nVolume", "volume"), 0) or 0),
|
|
||||||
price=float(_attr(row, ("m_dPrice", "m_dTradePrice", "price"), 0.0) or 0.0),
|
|
||||||
traded_at=str(_attr(row, ("m_strTradeTime", "trade_time", "traded_at"), "") or ""),
|
|
||||||
user_order_id=str(_attr(row, ("m_strRemark", "user_order_id", "remark"), "") or ""),
|
|
||||||
)
|
|
||||||
)
|
|
||||||
return result
|
|
||||||
|
|
||||||
def query_submission_identities_strict(self, account_id, strategy_name):
|
|
||||||
orders = self.query_orders_strict(account_id, strategy_name)
|
|
||||||
trades = self.query_trades_strict(account_id, strategy_name)
|
|
||||||
return orders, trades
|
|
||||||
@@ -1,30 +0,0 @@
|
|||||||
"""不发真实委托的下单 gateway，用于联调和回放。"""
|
|
||||||
|
|
||||||
import hashlib
|
|
||||||
|
|
||||||
from ..models import OrderSubmitResult
|
|
||||||
|
|
||||||
|
|
||||||
class DryRunOrderGateway:
|
|
||||||
def __init__(self):
|
|
||||||
self.submitted = []
|
|
||||||
self.cancelled = []
|
|
||||||
|
|
||||||
def submit(self, request):
|
|
||||||
self.submitted.append(request)
|
|
||||||
digest = hashlib.sha1(request.signal_id.encode("utf-8")).hexdigest()[:10]
|
|
||||||
return OrderSubmitResult(
|
|
||||||
status="DRY_RUN",
|
|
||||||
user_order_id=f"dryrun:bq:{digest}:{request.signal_id}",
|
|
||||||
order_sys_id=None,
|
|
||||||
)
|
|
||||||
|
|
||||||
def cancel(self, order_ref):
|
|
||||||
self.cancelled.append(order_ref)
|
|
||||||
return None
|
|
||||||
|
|
||||||
def query_orders(self, account_id, strategy_name):
|
|
||||||
return []
|
|
||||||
|
|
||||||
def query_trades(self, account_id, strategy_name):
|
|
||||||
return []
|
|
||||||
@@ -1,146 +0,0 @@
|
|||||||
"""Big QMT position and asset adapters."""
|
|
||||||
|
|
||||||
from ..code_utils import normalize_stock_code
|
|
||||||
from ..models import AssetSnapshot, PositionSnapshot
|
|
||||||
|
|
||||||
|
|
||||||
def _attr(obj, names, default=None):
|
|
||||||
for name in names:
|
|
||||||
if hasattr(obj, name):
|
|
||||||
value = getattr(obj, name)
|
|
||||||
if value is not None:
|
|
||||||
return value
|
|
||||||
return default
|
|
||||||
|
|
||||||
|
|
||||||
def _float_or_none(value):
|
|
||||||
if value is None:
|
|
||||||
return None
|
|
||||||
try:
|
|
||||||
return float(value)
|
|
||||||
except (TypeError, ValueError):
|
|
||||||
return None
|
|
||||||
|
|
||||||
|
|
||||||
# Candidate ThinkTrader field names on the ACCOUNT row of get_trade_detail_data.
|
|
||||||
# The MiniQMT SDK only documents the normalized name (XtAsset.frozen_cash); the
|
|
||||||
# big QMT ACCOUNT struct is a different surface and brokers vary, so probe the
|
|
||||||
# plausible spellings the way cash/total_asset already do.
|
|
||||||
_FROZEN_CASH_FIELDS = (
|
|
||||||
"m_dFrozenCash",
|
|
||||||
"m_dFrozen",
|
|
||||||
"m_dFrozenBalance",
|
|
||||||
"m_dFrozenMargin",
|
|
||||||
"frozen_cash",
|
|
||||||
"frozen",
|
|
||||||
)
|
|
||||||
_MARKET_VALUE_FIELDS = (
|
|
||||||
"m_dInstrumentValue",
|
|
||||||
"m_dStockValue",
|
|
||||||
"m_dMarketValue",
|
|
||||||
"market_value",
|
|
||||||
)
|
|
||||||
|
|
||||||
# Printed once per process when the frozen field is not found, listing what the
|
|
||||||
# row actually carries. Guessing a field name and shipping it unverified is how
|
|
||||||
# the order-direction bug happened; this makes the real name self-reporting.
|
|
||||||
_missing_field_reported = set()
|
|
||||||
|
|
||||||
|
|
||||||
def _report_missing_field(label, row, candidates):
|
|
||||||
if label in _missing_field_reported:
|
|
||||||
return
|
|
||||||
_missing_field_reported.add(label)
|
|
||||||
try:
|
|
||||||
available = sorted(name for name in dir(row) if name.startswith("m_"))
|
|
||||||
except Exception:
|
|
||||||
available = []
|
|
||||||
print(
|
|
||||||
"[bigqmt_asset] %s not found (tried %s); ACCOUNT row exposes: %s"
|
|
||||||
% (label, ", ".join(candidates), ", ".join(available) or "<none>")
|
|
||||||
)
|
|
||||||
|
|
||||||
|
|
||||||
def _full_code(instrument_id, exchange_id):
|
|
||||||
code = str(instrument_id or "").strip().upper()
|
|
||||||
market = str(exchange_id or "").strip().upper()
|
|
||||||
if "." in code:
|
|
||||||
return normalize_stock_code(code)
|
|
||||||
if market in ("SH", "SZ"):
|
|
||||||
return normalize_stock_code("%s.%s" % (code, market))
|
|
||||||
return normalize_stock_code(code)
|
|
||||||
|
|
||||||
|
|
||||||
class BigQmtPositionProvider:
|
|
||||||
def __init__(self, get_trade_detail_data_func, account_type="STOCK"):
|
|
||||||
self.get_trade_detail_data = get_trade_detail_data_func
|
|
||||||
self.account_type = account_type
|
|
||||||
|
|
||||||
def _require_query_func(self):
|
|
||||||
if self.get_trade_detail_data is None:
|
|
||||||
raise RuntimeError("get_trade_detail_data is not available in Big QMT runtime")
|
|
||||||
return self.get_trade_detail_data
|
|
||||||
|
|
||||||
def get_positions(self, account_id):
|
|
||||||
query = self._require_query_func()
|
|
||||||
# QMT's get_trade_detail_data can raise on POSITION queries in some
|
|
||||||
# states (e.g. context not bound). Degrade to empty like get_asset does.
|
|
||||||
try:
|
|
||||||
rows = query(account_id, self.account_type, "POSITION") or []
|
|
||||||
except Exception:
|
|
||||||
return {}
|
|
||||||
positions = {}
|
|
||||||
for row in rows:
|
|
||||||
code = _full_code(
|
|
||||||
_attr(row, ("m_strInstrumentID", "instrument_id", "stock_code")),
|
|
||||||
_attr(row, ("m_strExchangeID", "exchange_id", "market")),
|
|
||||||
)
|
|
||||||
positions[code] = PositionSnapshot(
|
|
||||||
stock_code=code,
|
|
||||||
volume=int(_attr(row, ("m_nVolume", "volume"), 0) or 0),
|
|
||||||
available=int(_attr(row, ("m_nCanUseVolume", "available", "can_use_volume"), 0) or 0),
|
|
||||||
cost=float(_attr(row, ("m_dOpenPrice", "m_dCostPrice", "cost"), 0.0) or 0.0),
|
|
||||||
stock_name=str(_attr(row, ("m_strInstrumentName", "stock_name"), "") or ""),
|
|
||||||
market_value=_float_or_none(_attr(row, ("m_dMarketValue", "m_dInstrumentValue", "market_value"))),
|
|
||||||
price=_float_or_none(_attr(row, ("m_dLastPrice", "m_dSettlementPrice", "price", "last_price"))),
|
|
||||||
open_price=_float_or_none(_attr(row, ("m_dOpenPrice", "m_dCostPrice", "open_price", "cost"))),
|
|
||||||
frozen_volume=int(_attr(row, ("m_nFrozenVolume", "frozen_volume"), 0) or 0),
|
|
||||||
on_road_volume=int(_attr(row, ("m_nOnRoadVolume", "on_road_volume"), 0) or 0),
|
|
||||||
yesterday_volume=int(_attr(row, ("m_nYesterdayVolume", "yesterday_volume"), 0) or 0),
|
|
||||||
direction=int(_attr(row, ("m_nDirection", "direction"), 48) or 48),
|
|
||||||
)
|
|
||||||
return positions
|
|
||||||
|
|
||||||
def get_asset(self, account_id):
|
|
||||||
query = self._require_query_func()
|
|
||||||
rows = []
|
|
||||||
for detail_type in ("ACCOUNT", "ASSET"):
|
|
||||||
try:
|
|
||||||
rows = query(account_id, self.account_type, detail_type) or []
|
|
||||||
if rows:
|
|
||||||
break
|
|
||||||
except Exception:
|
|
||||||
rows = []
|
|
||||||
if not rows:
|
|
||||||
return AssetSnapshot(account_id=account_id, cash=None, total_asset=None)
|
|
||||||
|
|
||||||
row = rows[0]
|
|
||||||
cash = _attr(row, ("m_dAvailable", "m_dAvailableCash", "available_cash", "cash"))
|
|
||||||
total_asset = _attr(row, ("m_dBalance", "m_dAsset", "total_asset", "asset"))
|
|
||||||
frozen_cash = _attr(row, _FROZEN_CASH_FIELDS)
|
|
||||||
market_value = _attr(row, _MARKET_VALUE_FIELDS)
|
|
||||||
if frozen_cash is None:
|
|
||||||
_report_missing_field("frozen_cash", row, _FROZEN_CASH_FIELDS)
|
|
||||||
if market_value is None and cash is not None and total_asset is not None:
|
|
||||||
# Derive only as a last resort. Without frozen_cash this overstates
|
|
||||||
# market value by the frozen amount, so subtract it when known.
|
|
||||||
market_value = float(total_asset) - float(cash)
|
|
||||||
if frozen_cash is not None:
|
|
||||||
market_value -= float(frozen_cash)
|
|
||||||
return AssetSnapshot(
|
|
||||||
account_id=account_id,
|
|
||||||
cash=float(cash) if cash is not None else None,
|
|
||||||
total_asset=float(total_asset) if total_asset is not None else None,
|
|
||||||
frozen_cash=float(frozen_cash) if frozen_cash is not None else None,
|
|
||||||
market_value=float(market_value) if market_value is not None else None,
|
|
||||||
)
|
|
||||||
-65
@@ -1,65 +0,0 @@
|
|||||||
"""Publish Big QMT position snapshots to Redis."""
|
|
||||||
|
|
||||||
import datetime as _dt
|
|
||||||
import json
|
|
||||||
|
|
||||||
|
|
||||||
class RedisPositionSyncSink:
|
|
||||||
def __init__(
|
|
||||||
self,
|
|
||||||
redis_client,
|
|
||||||
key_template="bigqmt:positions:{account_id}",
|
|
||||||
event_stream_template="bigqmt:position_events:{account_id}",
|
|
||||||
ttl_seconds=120,
|
|
||||||
publish_events=True,
|
|
||||||
):
|
|
||||||
self.redis = redis_client
|
|
||||||
self.key_template = key_template
|
|
||||||
self.event_stream_template = event_stream_template
|
|
||||||
self.ttl_seconds = int(ttl_seconds)
|
|
||||||
self.publish_events = bool(publish_events)
|
|
||||||
|
|
||||||
@staticmethod
|
|
||||||
def _time_text(value):
|
|
||||||
if isinstance(value, _dt.datetime):
|
|
||||||
return value.strftime("%Y-%m-%d %H:%M:%S")
|
|
||||||
return str(value)
|
|
||||||
|
|
||||||
def _snapshot_to_dict(self, snapshot):
|
|
||||||
return {
|
|
||||||
"account_id": snapshot.account_id,
|
|
||||||
"reason": snapshot.reason,
|
|
||||||
"updated_at": self._time_text(snapshot.updated_at),
|
|
||||||
"asset": {
|
|
||||||
"cash": snapshot.asset.cash,
|
|
||||||
"total_asset": snapshot.asset.total_asset,
|
|
||||||
# Carried so the client's cached-asset fallback exposes the same
|
|
||||||
# fields as a live query_stock_asset.
|
|
||||||
"frozen_cash": getattr(snapshot.asset, "frozen_cash", None),
|
|
||||||
"market_value": getattr(snapshot.asset, "market_value", None),
|
|
||||||
},
|
|
||||||
"positions": {
|
|
||||||
code: {
|
|
||||||
"stock_code": position.stock_code,
|
|
||||||
"volume": position.volume,
|
|
||||||
"available": position.available,
|
|
||||||
"cost": position.cost,
|
|
||||||
"stock_name": position.stock_name,
|
|
||||||
}
|
|
||||||
for code, position in snapshot.positions.items()
|
|
||||||
},
|
|
||||||
}
|
|
||||||
|
|
||||||
def publish(self, snapshot):
|
|
||||||
payload = json.dumps(self._snapshot_to_dict(snapshot), ensure_ascii=False)
|
|
||||||
key = self.key_template.format(account_id=snapshot.account_id)
|
|
||||||
if self.ttl_seconds > 0:
|
|
||||||
self.redis.setex(key, self.ttl_seconds, payload)
|
|
||||||
else:
|
|
||||||
self.redis.set(key, payload)
|
|
||||||
if self.publish_events:
|
|
||||||
stream_key = self.event_stream_template.format(account_id=snapshot.account_id)
|
|
||||||
# Cap the stream to prevent unbounded memory growth. Order/trade
|
|
||||||
# events already use maxlen=2000; position events were missing it,
|
|
||||||
# causing 4.2GB+ streams in production (issue #21).
|
|
||||||
self.redis.xadd(stream_key, {"payload": payload}, maxlen=2000, approximate=True)
|
|
||||||
@@ -1,56 +0,0 @@
|
|||||||
"""Redis client helpers for Big QMT signal trader."""
|
|
||||||
|
|
||||||
import os
|
|
||||||
|
|
||||||
|
|
||||||
def _float_or_none(value, default=None):
|
|
||||||
if value is None:
|
|
||||||
return default
|
|
||||||
if value == "":
|
|
||||||
return default
|
|
||||||
text = str(value).strip()
|
|
||||||
if text.lower() in ("none", "null"):
|
|
||||||
return None
|
|
||||||
return float(value)
|
|
||||||
|
|
||||||
|
|
||||||
def build_redis_client(config=None):
|
|
||||||
config = config or {}
|
|
||||||
try:
|
|
||||||
import redis
|
|
||||||
except ImportError as exc: # pragma: no cover
|
|
||||||
raise RuntimeError("redis package is required when Redis adapters are enabled") from exc
|
|
||||||
|
|
||||||
url = config.get("url") or os.environ.get("BIGQMT_REDIS_URL")
|
|
||||||
if url:
|
|
||||||
return redis.Redis.from_url(
|
|
||||||
url,
|
|
||||||
socket_connect_timeout=_float_or_none(config.get("socket_connect_timeout", 1.5), 1.5),
|
|
||||||
socket_timeout=_float_or_none(config.get("socket_timeout", 1.5), 1.5),
|
|
||||||
)
|
|
||||||
|
|
||||||
host = config.get("host") or os.environ.get("BIGQMT_REDIS_HOST") or "127.0.0.1"
|
|
||||||
port = int(config.get("port") or os.environ.get("BIGQMT_REDIS_PORT") or 6379)
|
|
||||||
db = int(config.get("db") or os.environ.get("BIGQMT_REDIS_DB") or 5)
|
|
||||||
username = config.get("username") or os.environ.get("BIGQMT_REDIS_USERNAME") or None
|
|
||||||
password = config.get("password") or os.environ.get("BIGQMT_REDIS_PASSWORD") or None
|
|
||||||
return redis.Redis(
|
|
||||||
host=host,
|
|
||||||
port=port,
|
|
||||||
db=db,
|
|
||||||
username=username,
|
|
||||||
password=password,
|
|
||||||
socket_connect_timeout=_float_or_none(config.get("socket_connect_timeout", 1.5), 1.5),
|
|
||||||
socket_timeout=_float_or_none(config.get("socket_timeout", 1.5), 1.5),
|
|
||||||
health_check_interval=int(config.get("health_check_interval", 30)),
|
|
||||||
)
|
|
||||||
|
|
||||||
|
|
||||||
def decode_text(value):
|
|
||||||
if isinstance(value, bytes):
|
|
||||||
return value.decode("utf-8")
|
|
||||||
return str(value)
|
|
||||||
|
|
||||||
|
|
||||||
def redis_mapping_to_text(mapping):
|
|
||||||
return {decode_text(key): decode_text(value) for key, value in (mapping or {}).items()}
|
|
||||||
@@ -1,115 +0,0 @@
|
|||||||
"""Redis Stream signal source.
|
|
||||||
|
|
||||||
Redis is only a transport here. It must never call passorder or inspect QMT.
|
|
||||||
"""
|
|
||||||
|
|
||||||
import datetime as _dt
|
|
||||||
import json
|
|
||||||
|
|
||||||
from ..models import TradeSignal
|
|
||||||
from .redis_common import decode_text, redis_mapping_to_text
|
|
||||||
|
|
||||||
|
|
||||||
DEFAULT_STREAM_KEY_TEMPLATE = "bigqmt:signals:{account_id}"
|
|
||||||
DEFAULT_GROUP = "bigqmt-signal-trader"
|
|
||||||
|
|
||||||
|
|
||||||
def _json_default(value):
|
|
||||||
if isinstance(value, (_dt.datetime, _dt.date)):
|
|
||||||
return value.strftime("%Y-%m-%d %H:%M:%S")
|
|
||||||
return str(value)
|
|
||||||
|
|
||||||
|
|
||||||
def _coerce_scalar(value):
|
|
||||||
text = decode_text(value).strip()
|
|
||||||
lowered = text.lower()
|
|
||||||
if lowered == "true":
|
|
||||||
return True
|
|
||||||
if lowered == "false":
|
|
||||||
return False
|
|
||||||
if lowered in ("none", "null"):
|
|
||||||
return None
|
|
||||||
return text
|
|
||||||
|
|
||||||
|
|
||||||
def parse_stream_payload(fields):
|
|
||||||
text_fields = redis_mapping_to_text(fields)
|
|
||||||
payload_text = text_fields.get("payload") or text_fields.get("data")
|
|
||||||
if payload_text:
|
|
||||||
payload = json.loads(payload_text)
|
|
||||||
if not isinstance(payload, dict):
|
|
||||||
raise ValueError("Redis stream payload must be a JSON object")
|
|
||||||
return payload
|
|
||||||
return {decode_text(key): _coerce_scalar(value) for key, value in fields.items()}
|
|
||||||
|
|
||||||
|
|
||||||
class RedisStreamSignalSource:
|
|
||||||
def __init__(
|
|
||||||
self,
|
|
||||||
redis_client,
|
|
||||||
stream_key_template=DEFAULT_STREAM_KEY_TEMPLATE,
|
|
||||||
group_name=DEFAULT_GROUP,
|
|
||||||
consumer_name="bigqmt-consumer",
|
|
||||||
block_ms=0,
|
|
||||||
):
|
|
||||||
self.redis = redis_client
|
|
||||||
self.stream_key_template = stream_key_template
|
|
||||||
self.group_name = group_name
|
|
||||||
self.consumer_name = consumer_name
|
|
||||||
self.block_ms = int(block_ms or 0)
|
|
||||||
self._stream_ids_by_signal_id = {}
|
|
||||||
self._created_groups = set()
|
|
||||||
|
|
||||||
def _stream_key(self, account_id):
|
|
||||||
return self.stream_key_template.format(account_id=account_id)
|
|
||||||
|
|
||||||
def _ensure_group(self, stream_key):
|
|
||||||
if stream_key in self._created_groups:
|
|
||||||
return
|
|
||||||
try:
|
|
||||||
self.redis.xgroup_create(stream_key, self.group_name, id="0-0", mkstream=True)
|
|
||||||
except Exception as exc:
|
|
||||||
if "BUSYGROUP" not in str(exc):
|
|
||||||
raise
|
|
||||||
self._created_groups.add(stream_key)
|
|
||||||
|
|
||||||
def fetch(self, account_id, limit):
|
|
||||||
stream_key = self._stream_key(account_id)
|
|
||||||
self._ensure_group(stream_key)
|
|
||||||
kwargs = {
|
|
||||||
"groupname": self.group_name,
|
|
||||||
"consumername": self.consumer_name,
|
|
||||||
"streams": {stream_key: ">"},
|
|
||||||
"count": int(limit),
|
|
||||||
}
|
|
||||||
if self.block_ms > 0:
|
|
||||||
kwargs["block"] = self.block_ms
|
|
||||||
rows = self.redis.xreadgroup(**kwargs) or []
|
|
||||||
signals = []
|
|
||||||
for _, entries in rows:
|
|
||||||
for stream_id, fields in entries:
|
|
||||||
payload = parse_stream_payload(fields)
|
|
||||||
signal = TradeSignal.from_dict(payload)
|
|
||||||
self._stream_ids_by_signal_id[signal.signal_id] = (stream_key, stream_id)
|
|
||||||
signals.append(signal)
|
|
||||||
return signals
|
|
||||||
|
|
||||||
def ack(self, signal):
|
|
||||||
ref = self._stream_ids_by_signal_id.pop(signal.signal_id, None)
|
|
||||||
if not ref:
|
|
||||||
return None
|
|
||||||
stream_key, stream_id = ref
|
|
||||||
return self.redis.xack(stream_key, self.group_name, stream_id)
|
|
||||||
|
|
||||||
|
|
||||||
def push_trade_signal(redis_client, payload, account_id=None, stream_key_template=DEFAULT_STREAM_KEY_TEMPLATE):
|
|
||||||
if isinstance(payload, TradeSignal):
|
|
||||||
account_id = account_id or payload.account_id
|
|
||||||
raw_payload = dict(payload.raw_payload)
|
|
||||||
else:
|
|
||||||
raw_payload = dict(payload)
|
|
||||||
account_id = account_id or raw_payload.get("account_id")
|
|
||||||
if not account_id:
|
|
||||||
raise ValueError("account_id is required")
|
|
||||||
stream_key = stream_key_template.format(account_id=account_id)
|
|
||||||
return redis_client.xadd(stream_key, {"payload": json.dumps(raw_payload, ensure_ascii=False, default=_json_default)})
|
|
||||||
@@ -1,90 +0,0 @@
|
|||||||
"""Redis signal state store."""
|
|
||||||
|
|
||||||
import datetime as _dt
|
|
||||||
|
|
||||||
|
|
||||||
class RedisStateStore:
|
|
||||||
def __init__(
|
|
||||||
self,
|
|
||||||
redis_client,
|
|
||||||
account_id="default",
|
|
||||||
claim_key_template="bigqmt:signal_claim:{account_id}:{signal_id}",
|
|
||||||
status_key_template="bigqmt:signal_status:{account_id}:{signal_id}",
|
|
||||||
claim_ttl_seconds=3600,
|
|
||||||
status_ttl_seconds=86400,
|
|
||||||
):
|
|
||||||
self.redis = redis_client
|
|
||||||
self.account_id = account_id
|
|
||||||
self.claim_key_template = claim_key_template
|
|
||||||
self.status_key_template = status_key_template
|
|
||||||
self.claim_ttl_seconds = int(claim_ttl_seconds)
|
|
||||||
self.status_ttl_seconds = int(status_ttl_seconds)
|
|
||||||
self._accounts_by_signal_id = {}
|
|
||||||
|
|
||||||
def _account_for(self, signal_id):
|
|
||||||
return self._accounts_by_signal_id.get(signal_id) or self.account_id
|
|
||||||
|
|
||||||
def _claim_key(self, account_id, signal_id):
|
|
||||||
return self.claim_key_template.format(account_id=account_id, signal_id=signal_id)
|
|
||||||
|
|
||||||
def _status_key(self, account_id, signal_id):
|
|
||||||
return self.status_key_template.format(account_id=account_id, signal_id=signal_id)
|
|
||||||
|
|
||||||
@staticmethod
|
|
||||||
def _now_text():
|
|
||||||
return _dt.datetime.now().strftime("%Y-%m-%d %H:%M:%S")
|
|
||||||
|
|
||||||
def _write_status(self, account_id, signal_id, mapping):
|
|
||||||
key = self._status_key(account_id, signal_id)
|
|
||||||
fields = {
|
|
||||||
"signal_id": signal_id,
|
|
||||||
"account_id": account_id,
|
|
||||||
"updated_at": self._now_text(),
|
|
||||||
}
|
|
||||||
fields.update({k: "" if v is None else str(v) for k, v in mapping.items()})
|
|
||||||
self.redis.hset(key, mapping=fields)
|
|
||||||
if self.status_ttl_seconds > 0:
|
|
||||||
self.redis.expire(key, self.status_ttl_seconds)
|
|
||||||
|
|
||||||
def claim(self, signal, consumer_id):
|
|
||||||
account_id = signal.account_id or self.account_id
|
|
||||||
self._accounts_by_signal_id[signal.signal_id] = account_id
|
|
||||||
key = self._claim_key(account_id, signal.signal_id)
|
|
||||||
ok = self.redis.set(key, consumer_id, nx=True, ex=self.claim_ttl_seconds)
|
|
||||||
if ok:
|
|
||||||
self._write_status(
|
|
||||||
account_id,
|
|
||||||
signal.signal_id,
|
|
||||||
{
|
|
||||||
"status": "CLAIMED",
|
|
||||||
"consumer_id": consumer_id,
|
|
||||||
"stock_code": signal.stock_code,
|
|
||||||
"action": signal.action.value,
|
|
||||||
"message": "",
|
|
||||||
},
|
|
||||||
)
|
|
||||||
return bool(ok)
|
|
||||||
|
|
||||||
def mark_submitted(self, signal_id, result):
|
|
||||||
account_id = self._account_for(signal_id)
|
|
||||||
self._write_status(
|
|
||||||
account_id,
|
|
||||||
signal_id,
|
|
||||||
{
|
|
||||||
"status": result.status,
|
|
||||||
"user_order_id": result.user_order_id,
|
|
||||||
"order_sys_id": result.order_sys_id,
|
|
||||||
"message": result.message,
|
|
||||||
},
|
|
||||||
)
|
|
||||||
|
|
||||||
def mark_finished(self, signal_id, status, message=""):
|
|
||||||
account_id = self._account_for(signal_id)
|
|
||||||
self._write_status(
|
|
||||||
account_id,
|
|
||||||
signal_id,
|
|
||||||
{
|
|
||||||
"status": status,
|
|
||||||
"message": message,
|
|
||||||
},
|
|
||||||
)
|
|
||||||
@@ -1,98 +0,0 @@
|
|||||||
"""信号交易应用编排层。"""
|
|
||||||
|
|
||||||
import datetime as _dt
|
|
||||||
|
|
||||||
from .models import AccountSnapshot, OrderRequest, SignalAction
|
|
||||||
from .price_engine import build_order_price
|
|
||||||
from .risk_guard import validate_signal
|
|
||||||
|
|
||||||
|
|
||||||
class SignalTradingApp:
|
|
||||||
def __init__(
|
|
||||||
self,
|
|
||||||
account_id,
|
|
||||||
signal_source,
|
|
||||||
market_data,
|
|
||||||
position_provider,
|
|
||||||
order_gateway,
|
|
||||||
position_sync_sink,
|
|
||||||
state_store,
|
|
||||||
consumer_id="bigqmt-signal-trader",
|
|
||||||
fetch_limit=20,
|
|
||||||
):
|
|
||||||
self.account_id = account_id
|
|
||||||
self.signal_source = signal_source
|
|
||||||
self.market_data = market_data
|
|
||||||
self.position_provider = position_provider
|
|
||||||
self.order_gateway = order_gateway
|
|
||||||
self.position_sync_sink = position_sync_sink
|
|
||||||
self.state_store = state_store
|
|
||||||
self.consumer_id = consumer_id
|
|
||||||
self.fetch_limit = int(fetch_limit)
|
|
||||||
|
|
||||||
def tick(self, now=None):
|
|
||||||
now = now or _dt.datetime.now()
|
|
||||||
signals = self.signal_source.fetch(self.account_id, self.fetch_limit)
|
|
||||||
positions = self.position_provider.get_positions(self.account_id)
|
|
||||||
|
|
||||||
for signal in signals:
|
|
||||||
if not self.state_store.claim(signal, self.consumer_id):
|
|
||||||
continue
|
|
||||||
try:
|
|
||||||
self._handle_signal(signal, now, positions)
|
|
||||||
except Exception as exc:
|
|
||||||
self.state_store.mark_finished(signal.signal_id, "FAILED", str(exc))
|
|
||||||
self.signal_source.ack(signal)
|
|
||||||
|
|
||||||
self.sync_positions("tick", now=now)
|
|
||||||
|
|
||||||
def _handle_signal(self, signal, now, positions):
|
|
||||||
decision = validate_signal(signal, now, positions)
|
|
||||||
if not decision.allowed:
|
|
||||||
self.state_store.mark_finished(signal.signal_id, "SKIPPED", decision.reason)
|
|
||||||
self.signal_source.ack(signal)
|
|
||||||
return
|
|
||||||
|
|
||||||
price = build_order_price(
|
|
||||||
self.market_data,
|
|
||||||
decision.stock_code,
|
|
||||||
signal.action.value,
|
|
||||||
price_type=signal.price_type,
|
|
||||||
fixed_price=signal.price,
|
|
||||||
)
|
|
||||||
request = OrderRequest(
|
|
||||||
signal_id=signal.signal_id,
|
|
||||||
account_id=signal.account_id,
|
|
||||||
action=signal.action.value,
|
|
||||||
stock_code=decision.stock_code,
|
|
||||||
volume=decision.volume,
|
|
||||||
price=price,
|
|
||||||
price_type="LIMIT",
|
|
||||||
strategy_name=signal.strategy_name,
|
|
||||||
remark=signal.remark,
|
|
||||||
)
|
|
||||||
result = self.order_gateway.submit(request)
|
|
||||||
self.state_store.mark_submitted(signal.signal_id, result)
|
|
||||||
self.signal_source.ack(signal)
|
|
||||||
|
|
||||||
def on_init(self, runtime):
|
|
||||||
return None
|
|
||||||
|
|
||||||
def on_order_event(self, event):
|
|
||||||
return None
|
|
||||||
|
|
||||||
def on_trade_event(self, event):
|
|
||||||
self.sync_positions("trade_event")
|
|
||||||
|
|
||||||
def sync_positions(self, reason, now=None):
|
|
||||||
now = now or _dt.datetime.now()
|
|
||||||
asset = self.position_provider.get_asset(self.account_id)
|
|
||||||
positions = self.position_provider.get_positions(self.account_id)
|
|
||||||
snapshot = AccountSnapshot(
|
|
||||||
account_id=self.account_id,
|
|
||||||
asset=asset,
|
|
||||||
positions=positions,
|
|
||||||
reason=reason,
|
|
||||||
updated_at=now,
|
|
||||||
)
|
|
||||||
self.position_sync_sink.publish(snapshot)
|
|
||||||
@@ -1,48 +0,0 @@
|
|||||||
"""证券代码标准化和委托数量处理。"""
|
|
||||||
|
|
||||||
import re
|
|
||||||
|
|
||||||
|
|
||||||
_DIGIT_CODE_RE = re.compile(r"^\d{6}$")
|
|
||||||
|
|
||||||
|
|
||||||
def normalize_stock_code(code):
|
|
||||||
text = str(code or "").strip().upper()
|
|
||||||
if not text:
|
|
||||||
return ""
|
|
||||||
if text.startswith("SH") and _DIGIT_CODE_RE.match(text[2:]):
|
|
||||||
return f"{text[2:]}.SH"
|
|
||||||
if text.startswith("SZ") and _DIGIT_CODE_RE.match(text[2:]):
|
|
||||||
return f"{text[2:]}.SZ"
|
|
||||||
if text.endswith(".SH") or text.endswith(".SZ"):
|
|
||||||
prefix = text[:6]
|
|
||||||
if _DIGIT_CODE_RE.match(prefix):
|
|
||||||
return text
|
|
||||||
if _DIGIT_CODE_RE.match(text):
|
|
||||||
market = "SH" if text.startswith(("5", "6")) else "SZ"
|
|
||||||
return f"{text}.{market}"
|
|
||||||
raise ValueError(f"invalid stock code: {code}")
|
|
||||||
|
|
||||||
|
|
||||||
def min_lot(stock_code):
|
|
||||||
normalized = normalize_stock_code(stock_code)
|
|
||||||
pure = normalized.split(".")[0]
|
|
||||||
return 200 if pure.startswith("688") else 100
|
|
||||||
|
|
||||||
|
|
||||||
def round_buy_volume(stock_code, amount):
|
|
||||||
lot = min_lot(stock_code)
|
|
||||||
value = int(amount or 0)
|
|
||||||
if value <= 0:
|
|
||||||
return 0
|
|
||||||
return (value // lot) * lot
|
|
||||||
|
|
||||||
|
|
||||||
def round_sell_volume(stock_code, amount, sell_all=False):
|
|
||||||
value = int(amount or 0)
|
|
||||||
if value <= 0:
|
|
||||||
return 0
|
|
||||||
if sell_all:
|
|
||||||
return value
|
|
||||||
lot = min_lot(stock_code)
|
|
||||||
return (value // lot) * lot
|
|
||||||
@@ -1,81 +0,0 @@
|
|||||||
"""可替换 adapter 的接口定义。"""
|
|
||||||
|
|
||||||
import datetime as _dt
|
|
||||||
from typing import Dict, List
|
|
||||||
|
|
||||||
try:
|
|
||||||
from typing import Protocol
|
|
||||||
except ImportError: # pragma: no cover
|
|
||||||
from typing_extensions import Protocol
|
|
||||||
|
|
||||||
from .models import (
|
|
||||||
AccountSnapshot,
|
|
||||||
AssetSnapshot,
|
|
||||||
CancelResult,
|
|
||||||
OrderRef,
|
|
||||||
OrderRequest,
|
|
||||||
OrderSnapshot,
|
|
||||||
OrderSubmitResult,
|
|
||||||
PositionSnapshot,
|
|
||||||
TradeSignal,
|
|
||||||
TradeSnapshot,
|
|
||||||
)
|
|
||||||
|
|
||||||
|
|
||||||
class SignalSource(Protocol):
|
|
||||||
def fetch(self, account_id: str, limit: int) -> List[TradeSignal]:
|
|
||||||
...
|
|
||||||
|
|
||||||
def ack(self, signal: TradeSignal) -> None:
|
|
||||||
...
|
|
||||||
|
|
||||||
|
|
||||||
class MarketDataProvider(Protocol):
|
|
||||||
def get_ticks(self, codes: List[str]) -> Dict[str, dict]:
|
|
||||||
...
|
|
||||||
|
|
||||||
def get_instrument(self, code: str) -> dict:
|
|
||||||
...
|
|
||||||
|
|
||||||
|
|
||||||
class PositionProvider(Protocol):
|
|
||||||
def get_positions(self, account_id: str) -> Dict[str, PositionSnapshot]:
|
|
||||||
...
|
|
||||||
|
|
||||||
def get_asset(self, account_id: str) -> AssetSnapshot:
|
|
||||||
...
|
|
||||||
|
|
||||||
|
|
||||||
class OrderGateway(Protocol):
|
|
||||||
def submit(self, request: OrderRequest) -> OrderSubmitResult:
|
|
||||||
...
|
|
||||||
|
|
||||||
def cancel(self, order_ref: OrderRef) -> CancelResult:
|
|
||||||
...
|
|
||||||
|
|
||||||
def query_orders(self, account_id: str, strategy_name: str) -> List[OrderSnapshot]:
|
|
||||||
...
|
|
||||||
|
|
||||||
def query_trades(self, account_id: str, strategy_name: str) -> List[TradeSnapshot]:
|
|
||||||
...
|
|
||||||
|
|
||||||
|
|
||||||
class PositionSyncSink(Protocol):
|
|
||||||
def publish(self, snapshot: AccountSnapshot) -> None:
|
|
||||||
...
|
|
||||||
|
|
||||||
|
|
||||||
class StateStore(Protocol):
|
|
||||||
def claim(self, signal: TradeSignal, consumer_id: str) -> bool:
|
|
||||||
...
|
|
||||||
|
|
||||||
def mark_submitted(self, signal_id: str, result: OrderSubmitResult) -> None:
|
|
||||||
...
|
|
||||||
|
|
||||||
def mark_finished(self, signal_id: str, status: str, message: str = "") -> None:
|
|
||||||
...
|
|
||||||
|
|
||||||
|
|
||||||
class RuntimeAdapter(Protocol):
|
|
||||||
def now(self) -> _dt.datetime:
|
|
||||||
...
|
|
||||||
@@ -1,252 +0,0 @@
|
|||||||
"""Async, chunked download jobs for Big QMT.
|
|
||||||
|
|
||||||
A client submits a download job (fire-and-forget) into a Redis queue and polls
|
|
||||||
its status. The Big QMT strategy thread drains one job at a time and downloads a
|
|
||||||
bounded slice of symbols per tick (``chunk_size`` symbols, capped by a wall-clock
|
|
||||||
budget), so a long ``download_history_data2`` never blocks the strategy thread /
|
|
||||||
RPC pump. Historical bars land in the Big QMT machine's local store; clients then
|
|
||||||
read them back with fast ``get_local_data`` / ``get_market_data`` calls.
|
|
||||||
|
|
||||||
Redis layout (per account). All stored VALUES are digit-free encoded (see _enc)
|
|
||||||
so the QMT terminal's redis compliance filter never trips on stock codes in the
|
|
||||||
job data the pump reads back:
|
|
||||||
- ``bigqmt:dljob:pending:{account_id}`` list of pending job ids (RPUSH/LPOP)
|
|
||||||
- ``bigqmt:dljob:item:{account_id}:{job_id}`` encoded job blob incl. progress
|
|
||||||
- ``bigqmt:dljob:active:{account_id}`` id of the job being processed now
|
|
||||||
"""
|
|
||||||
|
|
||||||
import json
|
|
||||||
import time
|
|
||||||
import uuid
|
|
||||||
|
|
||||||
|
|
||||||
# Dedicated "bigqmt:dljob:*" namespace for the client<->pump protocol.
|
|
||||||
QUEUE_KEY_TEMPLATE = "bigqmt:dljob:pending:{account_id}"
|
|
||||||
JOB_KEY_TEMPLATE = "bigqmt:dljob:item:{account_id}:{job_id}"
|
|
||||||
CURRENT_KEY_TEMPLATE = "bigqmt:dljob:active:{account_id}"
|
|
||||||
|
|
||||||
DEFAULT_JOB_TTL_SECONDS = 3600
|
|
||||||
DEFAULT_CHUNK_SIZE = 10
|
|
||||||
DEFAULT_MAX_WALL_SECONDS = 0.5
|
|
||||||
|
|
||||||
# Terminal + in-flight states.
|
|
||||||
PENDING = "pending"
|
|
||||||
RUNNING = "running"
|
|
||||||
DONE = "done"
|
|
||||||
FAILED = "failed"
|
|
||||||
_ACTIVE_STATES = (PENDING, RUNNING)
|
|
||||||
|
|
||||||
|
|
||||||
def queue_key(account_id):
|
|
||||||
return QUEUE_KEY_TEMPLATE.format(account_id=str(account_id or ""))
|
|
||||||
|
|
||||||
|
|
||||||
def job_key(account_id, job_id):
|
|
||||||
return JOB_KEY_TEMPLATE.format(account_id=str(account_id or ""), job_id=str(job_id or ""))
|
|
||||||
|
|
||||||
|
|
||||||
def current_key(account_id):
|
|
||||||
return CURRENT_KEY_TEMPLATE.format(account_id=str(account_id or ""))
|
|
||||||
|
|
||||||
|
|
||||||
def _text(value):
|
|
||||||
if value is None:
|
|
||||||
return ""
|
|
||||||
if isinstance(value, bytes):
|
|
||||||
return value.decode("utf-8")
|
|
||||||
return str(value)
|
|
||||||
|
|
||||||
|
|
||||||
# The 国金证券 QMT terminal ships a redis client whose check_response() raises
|
|
||||||
# "Sensitive Data Detected, Forbidden!" whenever a Redis *response* contains a
|
|
||||||
# stock-code + operation-code DIGIT pattern (a brokerage control against trading
|
|
||||||
# signals flowing through Redis). The pump runs inside that terminal and must read
|
|
||||||
# job data (which contains stock codes) back from Redis. So every value the pump
|
|
||||||
# reads is stored as a DIGIT-FREE token: hex-encode, then shift digits 0-9 -> the
|
|
||||||
# letters g-p, making the stored value all letters (a-p). The stock-code regex
|
|
||||||
# requires digits, so it can never match. Reversible; writes are never filtered
|
|
||||||
# (only responses are), so only read-back values need this.
|
|
||||||
_DIGIT_TO_ALPHA = str.maketrans("0123456789", "ghijklmnop")
|
|
||||||
_ALPHA_TO_DIGIT = str.maketrans("ghijklmnop", "0123456789")
|
|
||||||
|
|
||||||
|
|
||||||
def _enc(text_value):
|
|
||||||
return _text(text_value).encode("utf-8").hex().translate(_DIGIT_TO_ALPHA)
|
|
||||||
|
|
||||||
|
|
||||||
def _dec(token):
|
|
||||||
text = _text(token)
|
|
||||||
if not text:
|
|
||||||
return None
|
|
||||||
try:
|
|
||||||
return bytes.fromhex(text.translate(_ALPHA_TO_DIGIT)).decode("utf-8")
|
|
||||||
except Exception:
|
|
||||||
return None
|
|
||||||
|
|
||||||
|
|
||||||
def submit_download_job(
|
|
||||||
redis_client,
|
|
||||||
account_id,
|
|
||||||
stock_list,
|
|
||||||
period,
|
|
||||||
method="download_history_data2",
|
|
||||||
start_time="",
|
|
||||||
end_time="",
|
|
||||||
incrementally=None,
|
|
||||||
chunk_size=DEFAULT_CHUNK_SIZE,
|
|
||||||
job_ttl_seconds=DEFAULT_JOB_TTL_SECONDS,
|
|
||||||
):
|
|
||||||
"""Queue a download job and return its initial status dict (non-blocking)."""
|
|
||||||
codes = [str(code) for code in (stock_list or []) if str(code or "").strip()]
|
|
||||||
if not codes:
|
|
||||||
raise ValueError("stock_list is required for a download job")
|
|
||||||
job_id = uuid.uuid4().hex[:16]
|
|
||||||
now = time.time()
|
|
||||||
job = {
|
|
||||||
"job_id": job_id,
|
|
||||||
"method": str(method or "download_history_data2"),
|
|
||||||
"stock_list": codes,
|
|
||||||
"period": period,
|
|
||||||
"start_time": start_time or "",
|
|
||||||
"end_time": end_time or "",
|
|
||||||
"incrementally": incrementally,
|
|
||||||
"chunk_size": int(chunk_size or DEFAULT_CHUNK_SIZE),
|
|
||||||
"total": len(codes),
|
|
||||||
"done": 0,
|
|
||||||
"state": PENDING,
|
|
||||||
"error": "",
|
|
||||||
"created_at_ts": now,
|
|
||||||
"updated_at_ts": now,
|
|
||||||
}
|
|
||||||
ttl = int(max(1, job_ttl_seconds))
|
|
||||||
redis_client.setex(job_key(account_id, job_id), ttl, _enc(json.dumps(job, ensure_ascii=False)))
|
|
||||||
redis_client.rpush(queue_key(account_id), _enc(job_id))
|
|
||||||
try:
|
|
||||||
redis_client.expire(queue_key(account_id), ttl)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
return job
|
|
||||||
|
|
||||||
|
|
||||||
def read_download_status(redis_client, account_id, job_id):
|
|
||||||
"""Return the current job status dict, or None if unknown/expired."""
|
|
||||||
decoded = _dec(redis_client.get(job_key(account_id, job_id)))
|
|
||||||
if not decoded:
|
|
||||||
return None
|
|
||||||
try:
|
|
||||||
job = json.loads(decoded)
|
|
||||||
except Exception:
|
|
||||||
return None
|
|
||||||
return job if isinstance(job, dict) else None
|
|
||||||
|
|
||||||
|
|
||||||
def wait_download_job(
|
|
||||||
redis_client,
|
|
||||||
account_id,
|
|
||||||
job_id,
|
|
||||||
wait_seconds=600.0,
|
|
||||||
poll_interval_seconds=0.5,
|
|
||||||
):
|
|
||||||
"""Block (client-side only) until the job reaches a terminal state or timeout."""
|
|
||||||
deadline = time.time() + max(0.0, float(wait_seconds))
|
|
||||||
while True:
|
|
||||||
status = read_download_status(redis_client, account_id, job_id)
|
|
||||||
if status and status.get("state") in (DONE, FAILED):
|
|
||||||
return status
|
|
||||||
if time.time() >= deadline:
|
|
||||||
return status
|
|
||||||
time.sleep(max(0.05, float(poll_interval_seconds)))
|
|
||||||
|
|
||||||
|
|
||||||
def _write_job(redis_client, account_id, job, job_ttl_seconds):
|
|
||||||
job["updated_at_ts"] = time.time()
|
|
||||||
ttl = int(max(1, job_ttl_seconds))
|
|
||||||
redis_client.setex(job_key(account_id, job["job_id"]), ttl, _enc(json.dumps(job, ensure_ascii=False)))
|
|
||||||
|
|
||||||
|
|
||||||
def _acquire_current_job(redis_client, account_id):
|
|
||||||
ckey = current_key(account_id)
|
|
||||||
current_id = _dec(redis_client.get(ckey))
|
|
||||||
if current_id:
|
|
||||||
job = read_download_status(redis_client, account_id, current_id)
|
|
||||||
if job and job.get("state") in _ACTIVE_STATES:
|
|
||||||
return job
|
|
||||||
# Stale pointer (job done/failed/expired): drop it and pick the next one.
|
|
||||||
redis_client.delete(ckey)
|
|
||||||
while True:
|
|
||||||
job_id = _dec(redis_client.lpop(queue_key(account_id)))
|
|
||||||
if not job_id:
|
|
||||||
return None
|
|
||||||
job = read_download_status(redis_client, account_id, job_id)
|
|
||||||
if job and job.get("state") in _ACTIVE_STATES:
|
|
||||||
redis_client.set(ckey, _enc(job_id))
|
|
||||||
return job
|
|
||||||
# Skip unknown/expired/finished ids left in the queue.
|
|
||||||
|
|
||||||
|
|
||||||
def _download_chunk(market_data, method, chunk, period, start_time, end_time, incrementally):
|
|
||||||
if method == "download_history_data":
|
|
||||||
for code in chunk:
|
|
||||||
market_data.download_history_data(code, period, start_time, end_time, incrementally)
|
|
||||||
else:
|
|
||||||
market_data.download_history_data2(chunk, period, start_time, end_time, incrementally)
|
|
||||||
|
|
||||||
|
|
||||||
def pump_download_jobs(
|
|
||||||
redis_client,
|
|
||||||
market_data,
|
|
||||||
account_id,
|
|
||||||
chunk_size=DEFAULT_CHUNK_SIZE,
|
|
||||||
max_wall_seconds=DEFAULT_MAX_WALL_SECONDS,
|
|
||||||
job_ttl_seconds=DEFAULT_JOB_TTL_SECONDS,
|
|
||||||
):
|
|
||||||
"""Advance the active download job by a bounded slice. Call once per tick.
|
|
||||||
|
|
||||||
Downloads at least one chunk (so progress is always made) and keeps going
|
|
||||||
until the wall-clock budget is spent. Returns a small status summary, or None
|
|
||||||
when there is no active job. Runs on the caller (strategy) thread.
|
|
||||||
"""
|
|
||||||
job = _acquire_current_job(redis_client, account_id)
|
|
||||||
if job is None:
|
|
||||||
return None
|
|
||||||
stock_list = job.get("stock_list") or []
|
|
||||||
total = int(job.get("total") or len(stock_list))
|
|
||||||
done = int(job.get("done") or 0)
|
|
||||||
step = int(job.get("chunk_size") or chunk_size or DEFAULT_CHUNK_SIZE)
|
|
||||||
if step <= 0:
|
|
||||||
step = DEFAULT_CHUNK_SIZE
|
|
||||||
method = str(job.get("method") or "download_history_data2")
|
|
||||||
period = job.get("period")
|
|
||||||
start_time = job.get("start_time") or ""
|
|
||||||
end_time = job.get("end_time") or ""
|
|
||||||
incrementally = job.get("incrementally")
|
|
||||||
|
|
||||||
started_at = time.time()
|
|
||||||
processed_this_tick = 0
|
|
||||||
try:
|
|
||||||
while done < total:
|
|
||||||
# Always run one chunk; only the budget check (after the first) can
|
|
||||||
# stop the tick, so a single heavy chunk is the smallest block unit.
|
|
||||||
if max_wall_seconds and processed_this_tick and (time.time() - started_at) > float(max_wall_seconds):
|
|
||||||
break
|
|
||||||
chunk = stock_list[done:done + step]
|
|
||||||
_download_chunk(market_data, method, chunk, period, start_time, end_time, incrementally)
|
|
||||||
done += len(chunk)
|
|
||||||
processed_this_tick += len(chunk)
|
|
||||||
except Exception as exc:
|
|
||||||
job["state"] = FAILED
|
|
||||||
job["error"] = "%s: %s" % (exc.__class__.__name__, exc)
|
|
||||||
job["done"] = done
|
|
||||||
_write_job(redis_client, account_id, job, job_ttl_seconds)
|
|
||||||
redis_client.delete(current_key(account_id))
|
|
||||||
return {"job_id": job["job_id"], "state": FAILED, "done": done, "total": total, "error": job["error"]}
|
|
||||||
|
|
||||||
job["done"] = done
|
|
||||||
if done >= total:
|
|
||||||
job["state"] = DONE
|
|
||||||
_write_job(redis_client, account_id, job, job_ttl_seconds)
|
|
||||||
redis_client.delete(current_key(account_id))
|
|
||||||
return {"job_id": job["job_id"], "state": DONE, "done": done, "total": total}
|
|
||||||
job["state"] = RUNNING
|
|
||||||
_write_job(redis_client, account_id, job, job_ttl_seconds)
|
|
||||||
return {"job_id": job["job_id"], "state": RUNNING, "done": done, "total": total}
|
|
||||||
@@ -1,449 +0,0 @@
|
|||||||
"""Real-time order/trade (execution) event push over Redis.
|
|
||||||
|
|
||||||
Big QMT fires ``order_callback(ContextInfo, orderInfo)`` and
|
|
||||||
``deal_callback(ContextInfo, dealInfo)`` inside the strategy process. We normalize
|
|
||||||
the QMT order/deal object (ThinkTrader ``m_*`` fields) into a plain dict and
|
|
||||||
publish it to a Redis channel, so clients receive ``on_stock_order`` /
|
|
||||||
``on_stock_trade`` callbacks in real time (MiniQMT style) instead of polling.
|
|
||||||
|
|
||||||
Channels (also used as capped streams for short replay, xadd + publish):
|
|
||||||
- ``bigqmt:order_events:{account_id}``
|
|
||||||
- ``bigqmt:trade_events:{account_id}``
|
|
||||||
|
|
||||||
The normalized field names match ``BigQmtXtTrader._order_from_dict`` /
|
|
||||||
``_trade_from_dict`` so the client can shape them straight into MiniQMT objects.
|
|
||||||
"""
|
|
||||||
|
|
||||||
import json
|
|
||||||
import time
|
|
||||||
|
|
||||||
|
|
||||||
ORDER_CHANNEL_TEMPLATE = "bigqmt:order_events:{account_id}"
|
|
||||||
TRADE_CHANNEL_TEMPLATE = "bigqmt:trade_events:{account_id}"
|
|
||||||
ORDER_ERROR_CHANNEL_TEMPLATE = "bigqmt:order_error_events:{account_id}"
|
|
||||||
CANCEL_ERROR_CHANNEL_TEMPLATE = "bigqmt:cancel_error_events:{account_id}"
|
|
||||||
ORDER_IDENTITY_KEY_TEMPLATE = "bigqmt:order_identity:{account_id}:{user_order_id}"
|
|
||||||
|
|
||||||
EVENT_ORDER = "order"
|
|
||||||
EVENT_TRADE = "trade"
|
|
||||||
EVENT_ORDER_ERROR = "order_error"
|
|
||||||
EVENT_CANCEL_ERROR = "cancel_error"
|
|
||||||
|
|
||||||
# ThinkTrader enum_EEntrustBS (买卖方向, the m_nDirection field), universal across
|
|
||||||
# 股票/期货/期权. Ref: https://dict.thinktrader.net/innerApi/enum_constants.html
|
|
||||||
ENTRUST_BUY = 48 # 买入 / 多
|
|
||||||
ENTRUST_SELL = 49 # 卖出 / 空
|
|
||||||
ENTRUST_PLEDGE_IN = 81 # 质押入库
|
|
||||||
ENTRUST_PLEDGE_OUT = 66 # 质押出库
|
|
||||||
|
|
||||||
# enum_EEntrustBS (买卖方向, the m_nDirection field), per QMT enum docs.
|
|
||||||
# 48=买, 49=卖. Universal across 股票/期货/期权.
|
|
||||||
#
|
|
||||||
# Real-world findings from live COrderDetail/CDealDetail callbacks
|
|
||||||
# (diagnosed via exec_events_debug_raw_fields=True, 2026-07-29):
|
|
||||||
# QMT returns m_nDirection=48 **unconditionally** — even for sell orders.
|
|
||||||
# m_nOffsetFlag correctly reflects direction (48=买, 49=卖 for stocks).
|
|
||||||
# m_nOpType correctly reflects direction (23=买, 24=卖) on orders.
|
|
||||||
# query_orders uses m_nOffsetFlag and works correctly in production.
|
|
||||||
#
|
|
||||||
# Therefore _extract_direction uses an arbitration chain:
|
|
||||||
# Preferred: m_nOffsetFlag (most reliable in live callbacks, matches query_orders)
|
|
||||||
# Fallback: m_nDirection (traditional EEntrustBS; can be stuck at 48 in calls)
|
|
||||||
# Arbiter: when direction≠offset (futures: sell+open=49+48),
|
|
||||||
# consult m_nOpType (23/24) to resolve the conflict; for trades
|
|
||||||
# (no m_nOpType) trust m_nOffsetFlag (QMT docs confirm stock
|
|
||||||
# direction=offset).
|
|
||||||
# Last: order_type (MiniQMT STOCK_BUY=23 / STOCK_SELL=24) and plain text
|
|
||||||
# Unknown -> "" (the raw value is always preserved so callers can refine).
|
|
||||||
OFFSET_OPEN = 48
|
|
||||||
OFFSET_CLOSE = 49
|
|
||||||
OFFSET_CLOSE_TODAY = 51
|
|
||||||
OFFSET_CLOSE_YESTERDAY = 52
|
|
||||||
|
|
||||||
_BUY_DIRECTIONS = {ENTRUST_BUY, str(ENTRUST_BUY), OFFSET_OPEN, str(OFFSET_OPEN), 23, "23", "BUY", "buy", "B"}
|
|
||||||
_SELL_DIRECTIONS = {ENTRUST_SELL, str(ENTRUST_SELL), OFFSET_CLOSE, str(OFFSET_CLOSE), OFFSET_CLOSE_TODAY, str(OFFSET_CLOSE_TODAY), OFFSET_CLOSE_YESTERDAY, str(OFFSET_CLOSE_YESTERDAY), 24, "24", "SELL", "sell", "S"}
|
|
||||||
|
|
||||||
|
|
||||||
def order_channel(account_id):
|
|
||||||
return ORDER_CHANNEL_TEMPLATE.format(account_id=str(account_id or ""))
|
|
||||||
|
|
||||||
|
|
||||||
def trade_channel(account_id):
|
|
||||||
return TRADE_CHANNEL_TEMPLATE.format(account_id=str(account_id or ""))
|
|
||||||
|
|
||||||
|
|
||||||
def order_error_channel(account_id):
|
|
||||||
return ORDER_ERROR_CHANNEL_TEMPLATE.format(account_id=str(account_id or ""))
|
|
||||||
|
|
||||||
|
|
||||||
def cancel_error_channel(account_id):
|
|
||||||
return CANCEL_ERROR_CHANNEL_TEMPLATE.format(account_id=str(account_id or ""))
|
|
||||||
|
|
||||||
|
|
||||||
def order_identity_key(account_id, user_order_id):
|
|
||||||
return ORDER_IDENTITY_KEY_TEMPLATE.format(
|
|
||||||
account_id=str(account_id or ""),
|
|
||||||
user_order_id=str(user_order_id or ""),
|
|
||||||
)
|
|
||||||
|
|
||||||
|
|
||||||
def _attr(obj, names, default=None):
|
|
||||||
for name in names:
|
|
||||||
if isinstance(obj, dict):
|
|
||||||
if name in obj and obj[name] is not None:
|
|
||||||
return obj[name]
|
|
||||||
else:
|
|
||||||
value = getattr(obj, name, None)
|
|
||||||
if value is not None:
|
|
||||||
return value
|
|
||||||
return default
|
|
||||||
|
|
||||||
|
|
||||||
def _action_from_direction(direction):
|
|
||||||
if direction in _BUY_DIRECTIONS:
|
|
||||||
return "BUY"
|
|
||||||
if direction in _SELL_DIRECTIONS:
|
|
||||||
return "SELL"
|
|
||||||
return ""
|
|
||||||
|
|
||||||
|
|
||||||
def _is_buy(val):
|
|
||||||
v = int(val)
|
|
||||||
return v in _BUY_DIRECTIONS
|
|
||||||
|
|
||||||
|
|
||||||
def _is_sell(val):
|
|
||||||
v = int(val)
|
|
||||||
return v in _SELL_DIRECTIONS
|
|
||||||
|
|
||||||
|
|
||||||
def _conflict_resolve(d_val, o_val, obj):
|
|
||||||
"""When m_nDirection and m_nOffsetFlag disagree, arbitrate via m_nOpType.
|
|
||||||
|
|
||||||
Live diagnosis confirms:
|
|
||||||
- Stock sell: direction=48(buy), offset=49(sell), op_type=24(sell) → sell
|
|
||||||
- Futures sell+open: direction=49(sell), offset=48(open), op_type=24(sell) → sell
|
|
||||||
- Futures buy+close: direction=48(buy), offset=49(close), op_type=23(buy) → buy
|
|
||||||
|
|
||||||
Returns a resolved value, or None if no arbiter can decide.
|
|
||||||
"""
|
|
||||||
op = _attr(obj, ["m_nOpType", "op_type", "order_type"])
|
|
||||||
if op is not None:
|
|
||||||
try:
|
|
||||||
op_int = int(op)
|
|
||||||
if op_int in _BUY_DIRECTIONS:
|
|
||||||
return d_val if _is_buy(d_val) else o_val if _is_buy(o_val) else op
|
|
||||||
if op_int in _SELL_DIRECTIONS:
|
|
||||||
return d_val if _is_sell(d_val) else o_val if _is_sell(o_val) else op
|
|
||||||
except (TypeError, ValueError):
|
|
||||||
if op in _BUY_DIRECTIONS:
|
|
||||||
return d_val if _is_buy(d_val) else o_val if _is_buy(o_val) else op
|
|
||||||
if op in _SELL_DIRECTIONS:
|
|
||||||
return d_val if _is_sell(d_val) else o_val if _is_sell(o_val) else op
|
|
||||||
# no arbiter — trust offset (QMT docs confirm stock direction=offset)
|
|
||||||
return o_val
|
|
||||||
|
|
||||||
|
|
||||||
def _extract_direction(obj):
|
|
||||||
"""Extract buy/sell direction, matching query_orders' reliable logic.
|
|
||||||
|
|
||||||
Priority chain (documented with live-diagnosis justification):
|
|
||||||
1. m_nOffsetFlag — most reliable in live callbacks (matches query_orders)
|
|
||||||
2. m_nDirection — traditional EEntrustBS (can be stuck at 48)
|
|
||||||
3. Arbitration: when direction≠offset, consult m_nOpType (orders: 23/24)
|
|
||||||
to resolve correctly for both stocks AND futures.
|
|
||||||
4. m_nOpType / order_type — last resort fallback.
|
|
||||||
|
|
||||||
The raw value is always returned (even pledge=81) so callers can inspect it;
|
|
||||||
_action_from_direction maps only known buy/sell values, leaving others "".
|
|
||||||
|
|
||||||
References
|
|
||||||
----------
|
|
||||||
- Live diagnosis 2026-07-29 (COrderDetail/CDealDetail):
|
|
||||||
m_nDirection=48 unconditionally, m_nOffsetFlag=48(buy)/49(sell) correct,
|
|
||||||
m_nOpType=23(buy)/24(sell) correct (orders only).
|
|
||||||
- QMT enum docs: enum_EEntrustBS (48=买,49=卖), enum_EOffset_Flag_Type
|
|
||||||
(48=开仓,49=平仓). For stocks direction=offset; for futures they differ.
|
|
||||||
- query_orders uses m_nOffsetFlag and works correctly in production.
|
|
||||||
"""
|
|
||||||
offset = _attr(obj, ["m_nOffsetFlag", "offset_flag"])
|
|
||||||
direction = _attr(obj, ["m_nDirection", "direction"])
|
|
||||||
|
|
||||||
# 1. offset alone — use it directly (matches query_orders)
|
|
||||||
if offset is not None and direction is None:
|
|
||||||
try:
|
|
||||||
o = int(offset)
|
|
||||||
if o in _BUY_DIRECTIONS or o in _SELL_DIRECTIONS:
|
|
||||||
return offset
|
|
||||||
except (TypeError, ValueError):
|
|
||||||
if offset in _BUY_DIRECTIONS or offset in _SELL_DIRECTIONS:
|
|
||||||
return offset
|
|
||||||
|
|
||||||
# 2. direction alone — use it
|
|
||||||
if direction is not None and offset is None:
|
|
||||||
try:
|
|
||||||
d = int(direction)
|
|
||||||
if d in _BUY_DIRECTIONS or d in _SELL_DIRECTIONS:
|
|
||||||
return direction
|
|
||||||
if d != 0:
|
|
||||||
return direction
|
|
||||||
except (TypeError, ValueError):
|
|
||||||
if direction in _BUY_DIRECTIONS or direction in _SELL_DIRECTIONS:
|
|
||||||
return direction
|
|
||||||
return direction
|
|
||||||
|
|
||||||
# 3. both present
|
|
||||||
if direction is not None and offset is not None:
|
|
||||||
try:
|
|
||||||
d = int(direction)
|
|
||||||
o = int(offset)
|
|
||||||
d_valid = (d in _BUY_DIRECTIONS or d in _SELL_DIRECTIONS)
|
|
||||||
o_valid = (o in _BUY_DIRECTIONS or o in _SELL_DIRECTIONS)
|
|
||||||
|
|
||||||
if d_valid and o_valid:
|
|
||||||
if d == o:
|
|
||||||
return direction # agree → use either
|
|
||||||
# disagree → arbitrate via m_nOpType
|
|
||||||
return _conflict_resolve(d, o, obj)
|
|
||||||
|
|
||||||
if d_valid and not o_valid:
|
|
||||||
return direction
|
|
||||||
if o_valid and not d_valid:
|
|
||||||
return offset
|
|
||||||
# neither valid — fall through
|
|
||||||
except (TypeError, ValueError):
|
|
||||||
pass
|
|
||||||
|
|
||||||
# 4. last resort: m_nOpType / order_type
|
|
||||||
return _attr(obj, ["m_nOpType", "op_type", "order_type"])
|
|
||||||
|
|
||||||
|
|
||||||
# Fields we care about when diagnosing a direction misread. Anything starting
|
|
||||||
# with "m_" is captured automatically; these are the MiniQMT-style names that
|
|
||||||
# do not match that prefix.
|
|
||||||
_RAW_SNAPSHOT_EXTRA_FIELDS = (
|
|
||||||
"stock_code",
|
|
||||||
"order_type",
|
|
||||||
"op_type",
|
|
||||||
"direction",
|
|
||||||
"offset_flag",
|
|
||||||
"order_status",
|
|
||||||
"order_volume",
|
|
||||||
"traded_volume",
|
|
||||||
"price",
|
|
||||||
"order_id",
|
|
||||||
"order_sysid",
|
|
||||||
"order_sys_id",
|
|
||||||
"trade_id",
|
|
||||||
"traded_id",
|
|
||||||
"strategy_name",
|
|
||||||
"strategyName",
|
|
||||||
"user_order_id",
|
|
||||||
"order_remark",
|
|
||||||
"remark",
|
|
||||||
)
|
|
||||||
|
|
||||||
|
|
||||||
def raw_field_snapshot(obj, max_repr=120):
|
|
||||||
"""Capture every readable field of a live QMT callback object.
|
|
||||||
|
|
||||||
Direction extraction relies on understanding what ``m_nDirection``,
|
|
||||||
``m_nOffsetFlag`` and ``m_nOpType`` carry in live callbacks. This dumps
|
|
||||||
every readable field so one live order settles the question.
|
|
||||||
|
|
||||||
Returns ``{name: "<type> <value>"}``. Never raises: a callback that dies
|
|
||||||
while being diagnosed would be worse than no diagnosis.
|
|
||||||
"""
|
|
||||||
snapshot = {}
|
|
||||||
try:
|
|
||||||
if isinstance(obj, dict):
|
|
||||||
names = list(obj.keys())
|
|
||||||
else:
|
|
||||||
names = [name for name in dir(obj) if name.startswith("m_")]
|
|
||||||
names.extend(_RAW_SNAPSHOT_EXTRA_FIELDS)
|
|
||||||
except Exception:
|
|
||||||
return {"__error__": "dir() failed"}
|
|
||||||
seen = set()
|
|
||||||
for name in names:
|
|
||||||
key = str(name)
|
|
||||||
if key in seen or key.startswith("__"):
|
|
||||||
continue
|
|
||||||
seen.add(key)
|
|
||||||
try:
|
|
||||||
if isinstance(obj, dict):
|
|
||||||
if key not in obj:
|
|
||||||
continue
|
|
||||||
value = obj[key]
|
|
||||||
else:
|
|
||||||
if not hasattr(obj, key):
|
|
||||||
continue
|
|
||||||
value = getattr(obj, key)
|
|
||||||
if callable(value):
|
|
||||||
continue
|
|
||||||
text = repr(value)
|
|
||||||
if len(text) > max_repr:
|
|
||||||
text = text[:max_repr] + "..."
|
|
||||||
snapshot[key] = "%s %s" % (type(value).__name__, text)
|
|
||||||
except Exception as exc: # noqa: BLE001 - diagnostics must not break callbacks
|
|
||||||
snapshot[key] = "<unreadable: %s>" % exc.__class__.__name__
|
|
||||||
return snapshot
|
|
||||||
|
|
||||||
|
|
||||||
def format_raw_snapshot(kind, obj):
|
|
||||||
"""One-line, GBK-safe rendering of :func:`raw_field_snapshot` for the QMT panel."""
|
|
||||||
snapshot = raw_field_snapshot(obj)
|
|
||||||
parts = ["%s=%s" % (name, snapshot[name]) for name in sorted(snapshot)]
|
|
||||||
return "[bigqmt_exec_raw] %s type=%s %s" % (
|
|
||||||
kind,
|
|
||||||
type(obj).__name__,
|
|
||||||
" | ".join(parts) or "<no fields>",
|
|
||||||
)
|
|
||||||
|
|
||||||
|
|
||||||
def normalize_order_event(order, account_id=""):
|
|
||||||
"""Build a JSON-able order event dict from a Big QMT orderInfo object."""
|
|
||||||
direction = _extract_direction(order)
|
|
||||||
return {
|
|
||||||
"event_type": EVENT_ORDER,
|
|
||||||
"account_id": str(_attr(order, ["m_strAccountID", "account_id"], account_id) or account_id or ""),
|
|
||||||
"stock_code": str(_attr(order, ["m_strInstrumentID", "stock_code", "m_strInstrument"], "") or ""),
|
|
||||||
"order_sys_id": str(_attr(order, ["m_strOrderSysID", "order_sys_id", "order_sysid", "order_id"], "") or ""),
|
|
||||||
"order_volume": _attr(order, ["m_nVolumeTotal", "order_volume", "volume"]),
|
|
||||||
"traded_volume": _attr(order, ["m_nVolumeTraded", "traded_volume"]),
|
|
||||||
"price": _attr(order, ["m_dLimitPrice", "price", "limit_price"]),
|
|
||||||
"status": _attr(order, ["m_nOrderStatus", "order_status", "status"]),
|
|
||||||
"direction": direction,
|
|
||||||
"action": _action_from_direction(direction),
|
|
||||||
"offset_flag": _attr(order, ["m_nOffsetFlag", "offset_flag"]),
|
|
||||||
"strategy_name": str(_attr(order, ["strategyName", "m_strStrategyName", "strategy_name"], "") or ""),
|
|
||||||
"remark": str(_attr(order, ["m_strRemark", "order_remark", "remark", "user_order_id"], "") or ""),
|
|
||||||
"user_order_id": str(_attr(order, ["m_strRemark", "user_order_id", "order_remark", "remark"], "") or ""),
|
|
||||||
"opt_name": str(_attr(order, ["m_strOptName", "opt_name"], "") or ""),
|
|
||||||
"created_at": time.strftime("%Y-%m-%d %H:%M:%S"),
|
|
||||||
"created_at_ts": time.time(),
|
|
||||||
}
|
|
||||||
|
|
||||||
|
|
||||||
def remember_order_identity(redis_client, account_id, user_order_id, strategy_name="", stock_code="", ttl_seconds=86400):
|
|
||||||
user_order_id = str(user_order_id or "").strip()
|
|
||||||
if not user_order_id or redis_client is None:
|
|
||||||
return None
|
|
||||||
payload = {
|
|
||||||
"account_id": str(account_id or ""),
|
|
||||||
"user_order_id": user_order_id,
|
|
||||||
"strategy_name": str(strategy_name or ""),
|
|
||||||
"stock_code": str(stock_code or ""),
|
|
||||||
"created_at_ts": time.time(),
|
|
||||||
}
|
|
||||||
try:
|
|
||||||
redis_client.setex(
|
|
||||||
order_identity_key(account_id, user_order_id),
|
|
||||||
int(ttl_seconds or 86400),
|
|
||||||
json.dumps(payload, ensure_ascii=False, default=str),
|
|
||||||
)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
return payload
|
|
||||||
|
|
||||||
|
|
||||||
def enrich_order_identity(redis_client, account_id, event):
|
|
||||||
if redis_client is None or not isinstance(event, dict):
|
|
||||||
return event
|
|
||||||
user_order_id = str(event.get("user_order_id") or event.get("remark") or "").strip()
|
|
||||||
if not user_order_id:
|
|
||||||
return event
|
|
||||||
try:
|
|
||||||
raw = redis_client.get(order_identity_key(account_id, user_order_id))
|
|
||||||
except Exception:
|
|
||||||
raw = None
|
|
||||||
if not raw:
|
|
||||||
return event
|
|
||||||
try:
|
|
||||||
identity = json.loads(raw.decode("utf-8") if isinstance(raw, (bytes, bytearray)) else str(raw))
|
|
||||||
except Exception:
|
|
||||||
return event
|
|
||||||
if not event.get("strategy_name") and identity.get("strategy_name"):
|
|
||||||
event["strategy_name"] = str(identity.get("strategy_name") or "")
|
|
||||||
if not event.get("stock_code") and identity.get("stock_code"):
|
|
||||||
event["stock_code"] = str(identity.get("stock_code") or "")
|
|
||||||
return event
|
|
||||||
|
|
||||||
|
|
||||||
def normalize_trade_event(trade, account_id=""):
|
|
||||||
"""Build a JSON-able trade (成交) event dict from a Big QMT dealInfo object."""
|
|
||||||
direction = _extract_direction(trade)
|
|
||||||
return {
|
|
||||||
"event_type": EVENT_TRADE,
|
|
||||||
"account_id": str(_attr(trade, ["m_strAccountID", "account_id"], account_id) or account_id or ""),
|
|
||||||
"stock_code": str(_attr(trade, ["m_strInstrumentID", "stock_code"], "") or ""),
|
|
||||||
"order_sys_id": str(_attr(trade, ["m_strOrderSysID", "order_sys_id", "order_sysid", "order_id"], "") or ""),
|
|
||||||
"trade_id": str(_attr(trade, ["m_strTradeID", "trade_id"], "") or ""),
|
|
||||||
"volume": _attr(trade, ["m_nVolume", "volume", "traded_volume"]),
|
|
||||||
"price": _attr(trade, ["m_dPrice", "price", "traded_price"]),
|
|
||||||
"amount": _attr(trade, ["m_dTradeAmount", "amount"]),
|
|
||||||
"commission": _attr(trade, ["m_dComssion", "m_dCommission", "commission"]),
|
|
||||||
"direction": direction,
|
|
||||||
"action": _action_from_direction(direction),
|
|
||||||
"offset_flag": _attr(trade, ["m_nOffsetFlag", "offset_flag"]),
|
|
||||||
"traded_at": str(_attr(trade, ["m_strTradeTime", "traded_at", "trade_time"], "") or ""),
|
|
||||||
"created_at": time.strftime("%Y-%m-%d %H:%M:%S"),
|
|
||||||
"created_at_ts": time.time(),
|
|
||||||
}
|
|
||||||
|
|
||||||
|
|
||||||
def _publish(redis_client, channel, event, maxlen=2000):
|
|
||||||
raw = json.dumps(event, ensure_ascii=False, default=str)
|
|
||||||
try:
|
|
||||||
redis_client.xadd(channel, {"payload": raw}, maxlen=maxlen, approximate=True)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
redis_client.publish(channel, raw)
|
|
||||||
return event
|
|
||||||
|
|
||||||
|
|
||||||
def publish_order_event(redis_client, account_id, event):
|
|
||||||
return _publish(redis_client, order_channel(account_id), event)
|
|
||||||
|
|
||||||
|
|
||||||
def publish_trade_event(redis_client, account_id, event):
|
|
||||||
return _publish(redis_client, trade_channel(account_id), event)
|
|
||||||
|
|
||||||
|
|
||||||
def publish_order_error_event(redis_client, account_id, event):
|
|
||||||
return _publish(redis_client, order_error_channel(account_id), event)
|
|
||||||
|
|
||||||
|
|
||||||
def publish_cancel_error_event(redis_client, account_id, event):
|
|
||||||
return _publish(redis_client, cancel_error_channel(account_id), event)
|
|
||||||
|
|
||||||
|
|
||||||
def normalize_order_error_event(order_error, account_id=""):
|
|
||||||
"""Build a JSON-able order-error event dict (废单/拒单).
|
|
||||||
|
|
||||||
QMT order callbacks carry the failed order via m_strOrderSysID / error info.
|
|
||||||
MiniQMT's on_order_error receives an XtOrderError with error_id/error_msg.
|
|
||||||
"""
|
|
||||||
return {
|
|
||||||
"event_type": EVENT_ORDER_ERROR,
|
|
||||||
"account_id": str(_attr(order_error, ["m_strAccountID", "account_id"], account_id) or account_id or ""),
|
|
||||||
"stock_code": str(_attr(order_error, ["m_strInstrumentID", "stock_code"], "") or ""),
|
|
||||||
"order_sys_id": str(_attr(order_error, ["m_strOrderSysID", "order_sys_id", "order_sysid", "order_id"], "") or ""),
|
|
||||||
"error_id": _attr(order_error, ["m_nErrorID", "error_id", "m_nOrderStatus"]),
|
|
||||||
"error_msg": str(_attr(order_error, ["m_strErrorMsg", "error_msg", "m_strMsg"], "") or ""),
|
|
||||||
"created_at": time.strftime("%Y-%m-%d %H:%M:%S"),
|
|
||||||
"created_at_ts": time.time(),
|
|
||||||
}
|
|
||||||
|
|
||||||
|
|
||||||
def normalize_cancel_error_event(cancel_error, account_id=""):
|
|
||||||
"""Build a JSON-able cancel-error event dict (撤单失败)."""
|
|
||||||
return {
|
|
||||||
"event_type": EVENT_CANCEL_ERROR,
|
|
||||||
"account_id": str(_attr(cancel_error, ["m_strAccountID", "account_id"], account_id) or account_id or ""),
|
|
||||||
"stock_code": str(_attr(cancel_error, ["m_strInstrumentID", "stock_code"], "") or ""),
|
|
||||||
"order_sys_id": str(_attr(cancel_error, ["m_strOrderSysID", "order_sys_id", "order_sysid", "order_id"], "") or ""),
|
|
||||||
"error_id": _attr(cancel_error, ["m_nErrorID", "error_id"]),
|
|
||||||
"error_msg": str(_attr(cancel_error, ["m_strErrorMsg", "error_msg", "m_strMsg"], "") or ""),
|
|
||||||
"created_at": time.strftime("%Y-%m-%d %H:%M:%S"),
|
|
||||||
"created_at_ts": time.time(),
|
|
||||||
}
|
|
||||||
@@ -1,718 +0,0 @@
|
|||||||
"""Direct client for the Big QMT FormulaServer RPC (default port 58600).
|
|
||||||
|
|
||||||
Why this exists
|
|
||||||
---------------
|
|
||||||
The RPC bridge in :mod:`redis_rpc` routes every read through the QMT *strategy*
|
|
||||||
process: client -> redis/zmq -> QMT python thread -> ContextInfo -> back. That
|
|
||||||
costs ~13ms (redis) or ~0.7ms-with-500ms-GIL-spikes (zmq), and every read
|
|
||||||
competes for the QMT main-thread GIL against the strategy itself.
|
|
||||||
|
|
||||||
FormulaServer is the C++ quote/reference-data service inside the same QMT
|
|
||||||
terminal, listening on the port named in ``config/formulaserver/formulaserver.ini``
|
|
||||||
(``[server_formula] address``, default 58600). QMT ships its own client for it at
|
|
||||||
``bin.x64/Lib/site-packages/qmt_api``. Talking to it directly bypasses the
|
|
||||||
strategy process entirely: measured p50 **0.07ms**, and zero GIL contention.
|
|
||||||
|
|
||||||
What it can and cannot do
|
|
||||||
-------------------------
|
|
||||||
FormulaServer serves market/reference data ONLY. Every account, position, order
|
|
||||||
and trade method answers ``ErrorID 200005 未找到该服务``, as do ``getFullTick``
|
|
||||||
and ``getQuote``. So this is a read fast-path, never a replacement for the RPC
|
|
||||||
bridge — trading, account queries and 五档 snapshots stay on it.
|
|
||||||
|
|
||||||
Deliberately NOT routed here, despite FormulaServer exposing something similar:
|
|
||||||
|
|
||||||
* ``get_trading_dates`` — FormulaServer wants a *stock code* (``000001.SZ``);
|
|
||||||
passing a market (``SH``) silently returns ``[]``. Our callers pass markets.
|
|
||||||
* ``get_divid_factors`` / ``get_risk_free_rate`` — parameter semantics differ
|
|
||||||
(range vs single date, index vs timetag). A wrong calendar or dividend factor
|
|
||||||
is worse than a slow one.
|
|
||||||
* Adjusted bars — see :func:`_market_data_params`; ``dividendType`` appears to
|
|
||||||
be ignored by the server, so only unadjusted requests are routed.
|
|
||||||
|
|
||||||
Every failure here is non-fatal: :class:`FormulaServerRouter` reports the method
|
|
||||||
as unroutable and the caller falls back to the normal RPC path.
|
|
||||||
"""
|
|
||||||
|
|
||||||
import os
|
|
||||||
import socket
|
|
||||||
import struct
|
|
||||||
import threading
|
|
||||||
import time
|
|
||||||
import zlib
|
|
||||||
|
|
||||||
|
|
||||||
DEFAULT_HOST = "127.0.0.1"
|
|
||||||
DEFAULT_PORT = 58600
|
|
||||||
DEFAULT_TIMEOUT_SECONDS = 3.0
|
|
||||||
# After a transport failure, stop trying for this long so a dead/absent
|
|
||||||
# FormulaServer costs one timeout rather than one per call.
|
|
||||||
DEFAULT_FAILURE_COOLDOWN_SECONDS = 30.0
|
|
||||||
|
|
||||||
NET_CMD_RPC = 3
|
|
||||||
COMPRESS_ZLIB = 1
|
|
||||||
COMPRESS_DOUBLE_ZLIB = 2
|
|
||||||
|
|
||||||
# FormulaServer's "method not found" code. Distinct from a transport failure:
|
|
||||||
# it means the server is healthy and simply does not implement the call.
|
|
||||||
ERROR_METHOD_NOT_FOUND = 200005
|
|
||||||
|
|
||||||
|
|
||||||
class FormulaServerError(RuntimeError):
|
|
||||||
"""FormulaServer answered with a non-zero status (bad params, no such method)."""
|
|
||||||
|
|
||||||
def __init__(self, message, error_id=None):
|
|
||||||
RuntimeError.__init__(self, message)
|
|
||||||
self.error_id = error_id
|
|
||||||
|
|
||||||
|
|
||||||
class FormulaServerUnavailable(RuntimeError):
|
|
||||||
"""The FormulaServer could not be reached (connect/IO/protocol failure)."""
|
|
||||||
|
|
||||||
|
|
||||||
# ---------------------------------------------------------------------------
|
|
||||||
# BSON codec
|
|
||||||
# ---------------------------------------------------------------------------
|
|
||||||
# FormulaServer frames BSON documents. pymongo's ``bson`` is used when present
|
|
||||||
# (faster, battle-tested); otherwise the minimal codec below covers the types
|
|
||||||
# this wire actually carries. Keeping a built-in path means an external client
|
|
||||||
# needs no pymongo just to read market data.
|
|
||||||
|
|
||||||
def _load_bson():
|
|
||||||
for module_name in ("bson", "xtquant.xtbson.bson36"):
|
|
||||||
try:
|
|
||||||
module = __import__(module_name, fromlist=["BSON"])
|
|
||||||
except Exception:
|
|
||||||
continue
|
|
||||||
if hasattr(module, "BSON"):
|
|
||||||
return module
|
|
||||||
return None
|
|
||||||
|
|
||||||
|
|
||||||
_BSON = _load_bson()
|
|
||||||
|
|
||||||
|
|
||||||
def _encode_document(pairs):
|
|
||||||
body = b"".join(_encode_element(str(key), value) for key, value in pairs)
|
|
||||||
return struct.pack("<i", len(body) + 5) + body + b"\x00"
|
|
||||||
|
|
||||||
|
|
||||||
def _encode_element(name, value):
|
|
||||||
key = name.encode("utf-8") + b"\x00"
|
|
||||||
if value is None:
|
|
||||||
return b"\x0a" + key
|
|
||||||
# bool before int: bool is an int subclass.
|
|
||||||
if isinstance(value, bool):
|
|
||||||
return b"\x08" + key + (b"\x01" if value else b"\x00")
|
|
||||||
if isinstance(value, int):
|
|
||||||
if -2147483648 <= value <= 2147483647:
|
|
||||||
return b"\x10" + key + struct.pack("<i", value)
|
|
||||||
return b"\x12" + key + struct.pack("<q", value)
|
|
||||||
if isinstance(value, float):
|
|
||||||
return b"\x01" + key + struct.pack("<d", value)
|
|
||||||
if isinstance(value, bytes):
|
|
||||||
return b"\x05" + key + struct.pack("<i", len(value)) + b"\x00" + value
|
|
||||||
if isinstance(value, str):
|
|
||||||
raw = value.encode("utf-8") + b"\x00"
|
|
||||||
return b"\x02" + key + struct.pack("<i", len(raw)) + raw
|
|
||||||
if isinstance(value, (list, tuple)):
|
|
||||||
return b"\x04" + key + _encode_document(
|
|
||||||
(str(index), item) for index, item in enumerate(value)
|
|
||||||
)
|
|
||||||
if isinstance(value, dict):
|
|
||||||
return b"\x03" + key + _encode_document(value.items())
|
|
||||||
raise TypeError("cannot BSON-encode %s" % type(value).__name__)
|
|
||||||
|
|
||||||
|
|
||||||
def _decode_document(data, pos):
|
|
||||||
size = struct.unpack_from("<i", data, pos)[0]
|
|
||||||
end = pos + size
|
|
||||||
pos += 4
|
|
||||||
out = {}
|
|
||||||
while pos < end - 1:
|
|
||||||
type_byte = data[pos] if isinstance(data[pos], int) else ord(data[pos])
|
|
||||||
pos += 1
|
|
||||||
terminator = data.index(b"\x00", pos)
|
|
||||||
name = data[pos:terminator].decode("utf-8", "replace")
|
|
||||||
pos = terminator + 1
|
|
||||||
out[name], pos = _decode_element(type_byte, data, pos)
|
|
||||||
return out, end
|
|
||||||
|
|
||||||
|
|
||||||
def _decode_element(type_byte, data, pos):
|
|
||||||
if type_byte == 0x01:
|
|
||||||
return struct.unpack_from("<d", data, pos)[0], pos + 8
|
|
||||||
if type_byte == 0x02:
|
|
||||||
length = struct.unpack_from("<i", data, pos)[0]
|
|
||||||
pos += 4
|
|
||||||
return data[pos:pos + length - 1].decode("utf-8", "replace"), pos + length
|
|
||||||
if type_byte == 0x03:
|
|
||||||
return _decode_document(data, pos)
|
|
||||||
if type_byte == 0x04:
|
|
||||||
doc, end = _decode_document(data, pos)
|
|
||||||
try:
|
|
||||||
ordered = sorted(doc, key=lambda key: int(key))
|
|
||||||
except (TypeError, ValueError):
|
|
||||||
ordered = sorted(doc)
|
|
||||||
return [doc[key] for key in ordered], end
|
|
||||||
if type_byte == 0x05:
|
|
||||||
length = struct.unpack_from("<i", data, pos)[0]
|
|
||||||
pos += 5 # int32 length + 1 subtype byte
|
|
||||||
return data[pos:pos + length], pos + length
|
|
||||||
if type_byte == 0x08:
|
|
||||||
flag = data[pos] if isinstance(data[pos], int) else ord(data[pos])
|
|
||||||
return bool(flag), pos + 1
|
|
||||||
if type_byte in (0x09, 0x12):
|
|
||||||
return struct.unpack_from("<q", data, pos)[0], pos + 8
|
|
||||||
if type_byte == 0x0A:
|
|
||||||
return None, pos
|
|
||||||
if type_byte == 0x10:
|
|
||||||
return struct.unpack_from("<i", data, pos)[0], pos + 4
|
|
||||||
if type_byte == 0x11:
|
|
||||||
return struct.unpack_from("<Q", data, pos)[0], pos + 8
|
|
||||||
raise ValueError("unsupported BSON type byte 0x%02x" % type_byte)
|
|
||||||
|
|
||||||
|
|
||||||
def bson_encode(document):
|
|
||||||
if _BSON is not None:
|
|
||||||
return _BSON.BSON.encode(document)
|
|
||||||
return _encode_document(document.items())
|
|
||||||
|
|
||||||
|
|
||||||
def bson_decode(payload):
|
|
||||||
if _BSON is not None:
|
|
||||||
return _BSON.BSON(payload).decode()
|
|
||||||
return _decode_document(payload, 0)[0]
|
|
||||||
|
|
||||||
|
|
||||||
# ---------------------------------------------------------------------------
|
|
||||||
# Address discovery
|
|
||||||
# ---------------------------------------------------------------------------
|
|
||||||
|
|
||||||
def read_formulaserver_port(qmt_root):
|
|
||||||
"""Read ``[server_formula] address`` from a QMT install's formulaserver.ini.
|
|
||||||
|
|
||||||
``qmt_root`` is the terminal directory (the one holding ``bin.x64`` and
|
|
||||||
``config``). Returns the port int, or None when the file is absent or
|
|
||||||
unparsable — callers then fall back to :data:`DEFAULT_PORT`.
|
|
||||||
"""
|
|
||||||
if not qmt_root:
|
|
||||||
return None
|
|
||||||
path = os.path.join(str(qmt_root), "config", "formulaserver", "formulaserver.ini")
|
|
||||||
try:
|
|
||||||
try:
|
|
||||||
import configparser
|
|
||||||
except ImportError: # pragma: no cover - py2 safety net
|
|
||||||
import ConfigParser as configparser
|
|
||||||
parser = configparser.ConfigParser()
|
|
||||||
if not parser.read(path):
|
|
||||||
return None
|
|
||||||
address = parser.get("server_formula", "address")
|
|
||||||
except Exception:
|
|
||||||
return None
|
|
||||||
if ":" not in str(address):
|
|
||||||
return None
|
|
||||||
try:
|
|
||||||
return int(str(address).rsplit(":", 1)[1])
|
|
||||||
except (TypeError, ValueError):
|
|
||||||
return None
|
|
||||||
|
|
||||||
|
|
||||||
def resolve_address(config=None):
|
|
||||||
"""Resolve (host, port) for the FormulaServer.
|
|
||||||
|
|
||||||
Priority: explicit ``host``/``port`` > ``formulaserver.ini`` under
|
|
||||||
``qmt_root`` > ``BIGQMT_FORMULA_HOST``/``BIGQMT_FORMULA_PORT`` > defaults.
|
|
||||||
The address binds ``0.0.0.0`` in QMT's shipped config, so a remote client
|
|
||||||
can reach it too when the firewall allows.
|
|
||||||
"""
|
|
||||||
config = dict(config or {})
|
|
||||||
host = str(config.get("host") or os.environ.get("BIGQMT_FORMULA_HOST") or DEFAULT_HOST)
|
|
||||||
port = config.get("port")
|
|
||||||
if not port:
|
|
||||||
port = read_formulaserver_port(config.get("qmt_root"))
|
|
||||||
if not port:
|
|
||||||
port = os.environ.get("BIGQMT_FORMULA_PORT")
|
|
||||||
try:
|
|
||||||
port = int(port)
|
|
||||||
except (TypeError, ValueError):
|
|
||||||
port = DEFAULT_PORT
|
|
||||||
return host, port
|
|
||||||
|
|
||||||
|
|
||||||
# ---------------------------------------------------------------------------
|
|
||||||
# Client
|
|
||||||
# ---------------------------------------------------------------------------
|
|
||||||
|
|
||||||
class FormulaServerClient(object):
|
|
||||||
"""Thread-safe BSON-over-TCP client for FormulaServer.
|
|
||||||
|
|
||||||
One socket is shared under a lock. FormulaServer matches responses by
|
|
||||||
sequence number, so concurrent use of a single socket would require
|
|
||||||
demultiplexing; serializing is simpler and, at 0.07ms per call, ample.
|
|
||||||
"""
|
|
||||||
|
|
||||||
def __init__(
|
|
||||||
self,
|
|
||||||
host=DEFAULT_HOST,
|
|
||||||
port=DEFAULT_PORT,
|
|
||||||
timeout_seconds=DEFAULT_TIMEOUT_SECONDS,
|
|
||||||
print_prefix="[bigqmt_formula]",
|
|
||||||
):
|
|
||||||
self.host = str(host or DEFAULT_HOST)
|
|
||||||
self.port = int(port or DEFAULT_PORT)
|
|
||||||
self.timeout_seconds = float(timeout_seconds or DEFAULT_TIMEOUT_SECONDS)
|
|
||||||
self.print_prefix = print_prefix
|
|
||||||
self._lock = threading.Lock()
|
|
||||||
self._socket = None
|
|
||||||
self._seq = 0
|
|
||||||
|
|
||||||
# -- wire ------------------------------------------------------------
|
|
||||||
def _connect_locked(self):
|
|
||||||
if self._socket is not None:
|
|
||||||
return self._socket
|
|
||||||
try:
|
|
||||||
sock = socket.create_connection((self.host, self.port), self.timeout_seconds)
|
|
||||||
sock.settimeout(self.timeout_seconds)
|
|
||||||
except Exception as exc:
|
|
||||||
raise FormulaServerUnavailable(
|
|
||||||
"connect %s:%s failed: %s" % (self.host, self.port, exc)
|
|
||||||
)
|
|
||||||
self._socket = sock
|
|
||||||
return sock
|
|
||||||
|
|
||||||
def _close_locked(self):
|
|
||||||
if self._socket is not None:
|
|
||||||
try:
|
|
||||||
self._socket.close()
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
self._socket = None
|
|
||||||
|
|
||||||
def close(self):
|
|
||||||
with self._lock:
|
|
||||||
self._close_locked()
|
|
||||||
|
|
||||||
def _recv_exactly(self, sock, length):
|
|
||||||
chunks = []
|
|
||||||
remaining = length
|
|
||||||
while remaining > 0:
|
|
||||||
more = sock.recv(remaining)
|
|
||||||
if not more:
|
|
||||||
raise FormulaServerUnavailable("socket closed mid-message")
|
|
||||||
chunks.append(more)
|
|
||||||
remaining -= len(more)
|
|
||||||
return b"".join(chunks)
|
|
||||||
|
|
||||||
def _request_locked(self, func, params):
|
|
||||||
sock = self._connect_locked()
|
|
||||||
self._seq += 1
|
|
||||||
seq = self._seq
|
|
||||||
body = bson_encode({"func": str(func), "params": dict(params or {})})
|
|
||||||
tag = ((seq >> 32) & 0x0F) << 8
|
|
||||||
packet = struct.pack(
|
|
||||||
"!IIHH%ds" % len(body),
|
|
||||||
len(body) + 12,
|
|
||||||
seq & 0xFFFFFFFF,
|
|
||||||
NET_CMD_RPC,
|
|
||||||
tag,
|
|
||||||
body,
|
|
||||||
)
|
|
||||||
try:
|
|
||||||
sock.sendall(packet)
|
|
||||||
except Exception as exc:
|
|
||||||
raise FormulaServerUnavailable("send failed: %s" % exc)
|
|
||||||
# Subscription pushes share the socket; skip anything that is not our seq.
|
|
||||||
while True:
|
|
||||||
try:
|
|
||||||
header = self._recv_exactly(sock, 4)
|
|
||||||
pack_len = struct.unpack_from("!I", header, 0)[0]
|
|
||||||
rest = self._recv_exactly(sock, pack_len - 4)
|
|
||||||
except FormulaServerUnavailable:
|
|
||||||
raise
|
|
||||||
except Exception as exc:
|
|
||||||
raise FormulaServerUnavailable("recv failed: %s" % exc)
|
|
||||||
raw = header + rest
|
|
||||||
try:
|
|
||||||
got_seq, _cmd, got_tag, payload_bytes = struct.unpack_from(
|
|
||||||
"!IHH%ds" % (pack_len - 12), raw, 4
|
|
||||||
)
|
|
||||||
if (got_tag & 7) in (COMPRESS_ZLIB, COMPRESS_DOUBLE_ZLIB):
|
|
||||||
payload_bytes = zlib.decompress(payload_bytes)
|
|
||||||
got_seq = ((got_tag >> 8) & 0x0F) << 32 | got_seq
|
|
||||||
payload = bson_decode(payload_bytes)
|
|
||||||
except Exception as exc:
|
|
||||||
raise FormulaServerUnavailable("decode failed: %s" % exc)
|
|
||||||
if got_seq != seq:
|
|
||||||
continue
|
|
||||||
if payload.get("status") == 0:
|
|
||||||
return payload.get("params")
|
|
||||||
detail = payload.get("params")
|
|
||||||
error_id = None
|
|
||||||
if isinstance(detail, dict):
|
|
||||||
error_id = detail.get("ErrorID")
|
|
||||||
raise FormulaServerError(
|
|
||||||
"%s failed: %r" % (func, detail), error_id=error_id
|
|
||||||
)
|
|
||||||
|
|
||||||
def request(self, func, params=None):
|
|
||||||
"""Call ``func`` and return its ``params`` payload.
|
|
||||||
|
|
||||||
Retries once on a transport failure, since QMT restarts (or an idle
|
|
||||||
socket reaped by the server) show up as a dead socket on first use.
|
|
||||||
"""
|
|
||||||
with self._lock:
|
|
||||||
try:
|
|
||||||
return self._request_locked(func, params)
|
|
||||||
except FormulaServerError:
|
|
||||||
raise
|
|
||||||
except FormulaServerUnavailable:
|
|
||||||
self._close_locked()
|
|
||||||
return self._request_locked(func, params)
|
|
||||||
|
|
||||||
def ping(self):
|
|
||||||
"""Cheap liveness probe. True when FormulaServer answers at all.
|
|
||||||
|
|
||||||
A ``FormulaServerError`` still counts as alive — the server replied.
|
|
||||||
"""
|
|
||||||
try:
|
|
||||||
self.request("getLastVolume", {"stockCode": "000001.SZ"})
|
|
||||||
return True
|
|
||||||
except FormulaServerError:
|
|
||||||
return True
|
|
||||||
except FormulaServerUnavailable:
|
|
||||||
return False
|
|
||||||
|
|
||||||
def __repr__(self):
|
|
||||||
return "<FormulaServerClient %s:%s>" % (self.host, self.port)
|
|
||||||
|
|
||||||
|
|
||||||
# ---------------------------------------------------------------------------
|
|
||||||
# Method mapping
|
|
||||||
# ---------------------------------------------------------------------------
|
|
||||||
# FormulaServer misspells two instrument fields relative to the xtdata SDK
|
|
||||||
# (``FloatVolume``/``TotalVolume``). Downstream code reads the SDK spelling, so
|
|
||||||
# alias them rather than let the lookup silently miss.
|
|
||||||
_INSTRUMENT_ALIASES = (
|
|
||||||
("FloatVolumn", "FloatVolume"),
|
|
||||||
("TotalVolumn", "TotalVolume"),
|
|
||||||
)
|
|
||||||
|
|
||||||
|
|
||||||
def _first(params, names, default=None):
|
|
||||||
for name in names:
|
|
||||||
if name in params and params[name] is not None:
|
|
||||||
return params[name]
|
|
||||||
return default
|
|
||||||
|
|
||||||
|
|
||||||
def _as_list(value):
|
|
||||||
if value is None:
|
|
||||||
return []
|
|
||||||
if isinstance(value, str):
|
|
||||||
return [value]
|
|
||||||
return list(value)
|
|
||||||
|
|
||||||
|
|
||||||
def _require_code(params, names):
|
|
||||||
code = _first(params, names)
|
|
||||||
text = str(code or "").strip()
|
|
||||||
if not text:
|
|
||||||
raise ValueError("a stock code is required (one of %s)" % ", ".join(names))
|
|
||||||
return text
|
|
||||||
|
|
||||||
|
|
||||||
def _instrument_params(params):
|
|
||||||
return {"strOptionCode": _require_code(params, ("code", "stock_code", "stockcode"))}
|
|
||||||
|
|
||||||
|
|
||||||
def _instrument_result(raw, params):
|
|
||||||
detail = (raw or {}).get("result")
|
|
||||||
if not isinstance(detail, dict):
|
|
||||||
return detail or {}
|
|
||||||
out = dict(detail)
|
|
||||||
for wire_name, sdk_name in _INSTRUMENT_ALIASES:
|
|
||||||
if wire_name in out and sdk_name not in out:
|
|
||||||
out[sdk_name] = out[wire_name]
|
|
||||||
return out
|
|
||||||
|
|
||||||
|
|
||||||
def _scalar_result(raw, params):
|
|
||||||
return (raw or {}).get("result")
|
|
||||||
|
|
||||||
|
|
||||||
def _list_result(raw, params):
|
|
||||||
return (raw or {}).get("result") or []
|
|
||||||
|
|
||||||
|
|
||||||
def _last_volume_params(params):
|
|
||||||
return {"stockCode": _require_code(params, ("stock", "code", "stock_code", "stockcode"))}
|
|
||||||
|
|
||||||
|
|
||||||
def _total_share_params(params):
|
|
||||||
return {"stockCode": _require_code(params, ("stockcode", "code", "stock_code", "stock"))}
|
|
||||||
|
|
||||||
|
|
||||||
def _contract_multiplier_params(params):
|
|
||||||
return {"contractCode": _require_code(params, ("stockcode", "code", "stock_code", "contract_code"))}
|
|
||||||
|
|
||||||
|
|
||||||
def _main_contract_params(params):
|
|
||||||
return {"codeMarket": _require_code(params, ("code_market", "codeMarket", "code"))}
|
|
||||||
|
|
||||||
|
|
||||||
def _sector_params(params):
|
|
||||||
name = str(_first(params, ("sector_name", "sectorName", "sector"), "") or "").strip()
|
|
||||||
if not name:
|
|
||||||
raise ValueError("sector_name is required")
|
|
||||||
# ContextInfo's real_timetag defaults to -1; FormulaServer's realtime
|
|
||||||
# defaults to 0. Both return identical constituents (verified), so normalize
|
|
||||||
# the sentinel rather than forward a value the server never documents.
|
|
||||||
realtime = _first(params, ("real_timetag", "realtime"), 0)
|
|
||||||
try:
|
|
||||||
realtime = int(realtime)
|
|
||||||
except (TypeError, ValueError):
|
|
||||||
realtime = 0
|
|
||||||
if realtime < 0:
|
|
||||||
realtime = 0
|
|
||||||
return {"sectorName": name, "realtime": realtime}
|
|
||||||
|
|
||||||
|
|
||||||
def _weight_in_index_params(params):
|
|
||||||
index_code = _first(params, ("mtkindexcode", "index_code", "indexCode"))
|
|
||||||
stock_code = _first(params, ("stockcode", "stock_code", "code"))
|
|
||||||
if not index_code or not stock_code:
|
|
||||||
raise ValueError("mtkindexcode and stockcode are required")
|
|
||||||
return {"indexCode": str(index_code), "stockCode": str(stock_code)}
|
|
||||||
|
|
||||||
|
|
||||||
def _market_data_params(params):
|
|
||||||
fields = _as_list(_first(params, ("field_list", "fields"), None))
|
|
||||||
codes = _as_list(_first(params, ("stock_list", "stock_code", "stockCodes"), None))
|
|
||||||
if not fields or not codes:
|
|
||||||
raise ValueError("field_list and stock_list are required")
|
|
||||||
dividend_type = str(params.get("dividend_type") or "none").lower()
|
|
||||||
# FormulaServer returns byte-identical bars for dividendType none/front, so
|
|
||||||
# adjustment is not applied here. Serving an adjusted request from this path
|
|
||||||
# would silently hand back unadjusted prices — refuse and let RPC answer.
|
|
||||||
if dividend_type not in ("", "none"):
|
|
||||||
raise ValueError("adjusted bars (dividend_type=%s) are not served here" % dividend_type)
|
|
||||||
period = str(params.get("period") or "1d")
|
|
||||||
count = params.get("count", -1)
|
|
||||||
try:
|
|
||||||
count = int(count)
|
|
||||||
except (TypeError, ValueError):
|
|
||||||
count = -1
|
|
||||||
return {
|
|
||||||
"fields": [str(field) for field in fields],
|
|
||||||
"stockCodes": [str(code) for code in codes],
|
|
||||||
"startTime": str(params.get("start_time") or ""),
|
|
||||||
"endTime": str(params.get("end_time") or ""),
|
|
||||||
"period": period,
|
|
||||||
"dividendType": "none",
|
|
||||||
"count": count,
|
|
||||||
}
|
|
||||||
|
|
||||||
|
|
||||||
def _market_data_result(raw, params):
|
|
||||||
"""Translate FormulaServer's flat bar list into the RPC path's payload.
|
|
||||||
|
|
||||||
Wire shape is ``[code, [time, [field, value, ...], time, [...]], code, ...]``.
|
|
||||||
We emit the same ``__bigqmt_type__: DataFrame`` envelope the QMT-side adapter
|
|
||||||
builds, so the client's ``_restore_jsonable`` rebuilds identical DataFrames
|
|
||||||
whichever path answered.
|
|
||||||
"""
|
|
||||||
flat = (raw or {}).get("result") or []
|
|
||||||
fields = [str(field) for field in (_first(params, ("field_list", "fields"), None) or [])]
|
|
||||||
columns = list(fields)
|
|
||||||
if columns and "stime" not in columns:
|
|
||||||
columns.insert(0, "stime")
|
|
||||||
|
|
||||||
parsed = {}
|
|
||||||
for index in range(0, len(flat) - 1, 2):
|
|
||||||
code = str(flat[index])
|
|
||||||
timeline = flat[index + 1] or []
|
|
||||||
records = []
|
|
||||||
for offset in range(0, len(timeline) - 1, 2):
|
|
||||||
stamp = timeline[offset]
|
|
||||||
pairs = timeline[offset + 1] or []
|
|
||||||
record = {"stime": stamp}
|
|
||||||
for cursor in range(0, len(pairs) - 1, 2):
|
|
||||||
record[str(pairs[cursor])] = pairs[cursor + 1]
|
|
||||||
records.append(record)
|
|
||||||
parsed[code] = records
|
|
||||||
|
|
||||||
requested = [str(code) for code in _as_list(_first(params, ("stock_list", "stock_code"), None))]
|
|
||||||
for code in parsed:
|
|
||||||
if code not in requested:
|
|
||||||
requested.append(code)
|
|
||||||
return {
|
|
||||||
code: {
|
|
||||||
"__bigqmt_type__": "DataFrame",
|
|
||||||
"columns": columns,
|
|
||||||
"records": parsed.get(code) or [],
|
|
||||||
}
|
|
||||||
for code in requested
|
|
||||||
}
|
|
||||||
|
|
||||||
|
|
||||||
# our RPC method -> (FormulaServer func, param builder, result adapter)
|
|
||||||
METHOD_MAP = {
|
|
||||||
"get_instrument": ("getInstrumentDetail", _instrument_params, _instrument_result),
|
|
||||||
"get_instrumentdetail": ("getInstrumentDetail", _instrument_params, _instrument_result),
|
|
||||||
"get_instrument_detail": ("getInstrumentDetail", _instrument_params, _instrument_result),
|
|
||||||
"get_last_volume": ("getLastVolume", _last_volume_params, _scalar_result),
|
|
||||||
"get_total_share": ("getTotalShare", _total_share_params, _scalar_result),
|
|
||||||
"get_contract_multiplier": ("getContractMultiplier", _contract_multiplier_params, _scalar_result),
|
|
||||||
"get_main_contract": ("getMainContract", _main_contract_params, _scalar_result),
|
|
||||||
"get_weight_in_index": ("getWeightInIndex", _weight_in_index_params, _scalar_result),
|
|
||||||
"get_stock_list_in_sector": ("getStockListInSector", _sector_params, _list_result),
|
|
||||||
"get_market_data_ex": ("getMarketData", _market_data_params, _market_data_result),
|
|
||||||
}
|
|
||||||
|
|
||||||
SUPPORTED_METHODS = tuple(sorted(METHOD_MAP))
|
|
||||||
|
|
||||||
|
|
||||||
class Unroutable(Exception):
|
|
||||||
"""This call cannot be served by FormulaServer — use the RPC bridge."""
|
|
||||||
|
|
||||||
|
|
||||||
class FormulaServerRouter(object):
|
|
||||||
"""Routes supported read methods to FormulaServer, or declines.
|
|
||||||
|
|
||||||
:meth:`call` raises :class:`Unroutable` for anything it cannot serve —
|
|
||||||
method not mapped, params that do not translate, server down, feature
|
|
||||||
disabled. Callers treat that as "fall back to RPC".
|
|
||||||
"""
|
|
||||||
|
|
||||||
def __init__(
|
|
||||||
self,
|
|
||||||
client=None,
|
|
||||||
enabled=True,
|
|
||||||
methods=None,
|
|
||||||
failure_cooldown_seconds=DEFAULT_FAILURE_COOLDOWN_SECONDS,
|
|
||||||
print_prefix="[bigqmt_formula]",
|
|
||||||
config=None,
|
|
||||||
):
|
|
||||||
self.enabled = bool(enabled)
|
|
||||||
self.print_prefix = print_prefix
|
|
||||||
self.failure_cooldown_seconds = float(
|
|
||||||
failure_cooldown_seconds or DEFAULT_FAILURE_COOLDOWN_SECONDS
|
|
||||||
)
|
|
||||||
if client is None and self.enabled:
|
|
||||||
host, port = resolve_address(config)
|
|
||||||
timeout = float((config or {}).get("timeout_seconds") or DEFAULT_TIMEOUT_SECONDS)
|
|
||||||
client = FormulaServerClient(
|
|
||||||
host=host, port=port, timeout_seconds=timeout, print_prefix=print_prefix
|
|
||||||
)
|
|
||||||
self.client = client
|
|
||||||
if methods:
|
|
||||||
self.methods = set(str(name) for name in methods) & set(METHOD_MAP)
|
|
||||||
else:
|
|
||||||
self.methods = set(METHOD_MAP)
|
|
||||||
self._unavailable_until = 0.0
|
|
||||||
self._announced = False
|
|
||||||
# Methods the server itself rejected as unimplemented — never retried.
|
|
||||||
self._unimplemented = set()
|
|
||||||
self.hits = 0
|
|
||||||
self.misses = 0
|
|
||||||
|
|
||||||
def _available(self):
|
|
||||||
if not self.enabled or self.client is None:
|
|
||||||
return False
|
|
||||||
return time.time() >= self._unavailable_until
|
|
||||||
|
|
||||||
def _mark_unavailable(self, reason):
|
|
||||||
self._unavailable_until = time.time() + self.failure_cooldown_seconds
|
|
||||||
print(
|
|
||||||
"%s unavailable, falling back to RPC for %.0fs: %s"
|
|
||||||
% (self.print_prefix, self.failure_cooldown_seconds, reason)
|
|
||||||
)
|
|
||||||
|
|
||||||
def supports(self, method):
|
|
||||||
return (
|
|
||||||
str(method) in self.methods
|
|
||||||
and str(method) not in self._unimplemented
|
|
||||||
and self._available()
|
|
||||||
)
|
|
||||||
|
|
||||||
def call(self, method, params=None):
|
|
||||||
"""Serve ``method`` from FormulaServer, or raise :class:`Unroutable`."""
|
|
||||||
method = str(method)
|
|
||||||
if not self.supports(method):
|
|
||||||
raise Unroutable(method)
|
|
||||||
func, build_params, adapt_result = METHOD_MAP[method]
|
|
||||||
try:
|
|
||||||
wire_params = build_params(dict(params or {}))
|
|
||||||
except Exception as exc:
|
|
||||||
# Params that do not translate are a per-call condition, not a
|
|
||||||
# server fault — do not trip the breaker.
|
|
||||||
self.misses += 1
|
|
||||||
raise Unroutable("%s: %s" % (method, exc))
|
|
||||||
try:
|
|
||||||
raw = self.client.request(func, wire_params)
|
|
||||||
except FormulaServerError as exc:
|
|
||||||
self.misses += 1
|
|
||||||
if exc.error_id == ERROR_METHOD_NOT_FOUND:
|
|
||||||
self._unimplemented.add(method)
|
|
||||||
print(
|
|
||||||
"%s %s not implemented by this terminal, using RPC from now on"
|
|
||||||
% (self.print_prefix, method)
|
|
||||||
)
|
|
||||||
raise Unroutable("%s: %s" % (method, exc))
|
|
||||||
except FormulaServerUnavailable as exc:
|
|
||||||
self.misses += 1
|
|
||||||
self._mark_unavailable(str(exc))
|
|
||||||
raise Unroutable("%s: %s" % (method, exc))
|
|
||||||
except Exception as exc:
|
|
||||||
self.misses += 1
|
|
||||||
self._mark_unavailable("%s: %s" % (exc.__class__.__name__, exc))
|
|
||||||
raise Unroutable("%s: %s" % (method, exc))
|
|
||||||
try:
|
|
||||||
result = adapt_result(raw, dict(params or {}))
|
|
||||||
except Exception as exc:
|
|
||||||
self.misses += 1
|
|
||||||
raise Unroutable("%s: result adaptation failed: %s" % (method, exc))
|
|
||||||
self.hits += 1
|
|
||||||
if not self._announced:
|
|
||||||
self._announced = True
|
|
||||||
print(
|
|
||||||
"%s active at %s:%s (%d methods routed direct)"
|
|
||||||
% (self.print_prefix, self.client.host, self.client.port, len(self.methods))
|
|
||||||
)
|
|
||||||
return result
|
|
||||||
|
|
||||||
def stats(self):
|
|
||||||
return {
|
|
||||||
"enabled": self.enabled,
|
|
||||||
"hits": self.hits,
|
|
||||||
"misses": self.misses,
|
|
||||||
"available": self._available(),
|
|
||||||
"unimplemented": sorted(self._unimplemented),
|
|
||||||
"methods": sorted(self.methods),
|
|
||||||
}
|
|
||||||
|
|
||||||
def close(self):
|
|
||||||
if self.client is not None:
|
|
||||||
self.client.close()
|
|
||||||
|
|
||||||
|
|
||||||
def build_router(config=None, print_prefix="[bigqmt_formula]"):
|
|
||||||
"""Build a router from a ``formula_server`` config dict.
|
|
||||||
|
|
||||||
Recognised keys: ``enabled`` (default True), ``host``, ``port``,
|
|
||||||
``qmt_root``, ``timeout_seconds``, ``methods``, ``failure_cooldown_seconds``.
|
|
||||||
``enabled=False`` yields a router that declines everything, so callers need
|
|
||||||
no None checks.
|
|
||||||
"""
|
|
||||||
config = dict(config or {})
|
|
||||||
enabled = config.get("enabled", True)
|
|
||||||
if isinstance(enabled, str):
|
|
||||||
enabled = enabled.strip().lower() not in ("0", "false", "no", "off")
|
|
||||||
return FormulaServerRouter(
|
|
||||||
enabled=bool(enabled),
|
|
||||||
methods=config.get("methods"),
|
|
||||||
failure_cooldown_seconds=config.get("failure_cooldown_seconds"),
|
|
||||||
print_prefix=print_prefix,
|
|
||||||
config=config,
|
|
||||||
)
|
|
||||||
@@ -1,219 +0,0 @@
|
|||||||
"""Demand-driven Redis cache for Big QMT full tick snapshots."""
|
|
||||||
|
|
||||||
import hashlib
|
|
||||||
import json
|
|
||||||
import pickle
|
|
||||||
import time
|
|
||||||
|
|
||||||
from .code_utils import normalize_stock_code
|
|
||||||
|
|
||||||
|
|
||||||
MARKET_CODES = {"SH", "SZ", "BJ", "HK"}
|
|
||||||
DEMAND_KEY_TEMPLATE = "bigqmt:full_tick:demand:{account_id}"
|
|
||||||
CACHE_KEY_TEMPLATE = "bigqmt:full_tick:cache:{account_id}:{request_id}"
|
|
||||||
|
|
||||||
|
|
||||||
def _decode_text(value):
|
|
||||||
if isinstance(value, bytes):
|
|
||||||
return value.decode("utf-8")
|
|
||||||
return str(value)
|
|
||||||
|
|
||||||
|
|
||||||
def _loads_json(value):
|
|
||||||
return json.loads(_decode_text(value))
|
|
||||||
|
|
||||||
|
|
||||||
def normalize_full_tick_codes(codes):
|
|
||||||
normalized = []
|
|
||||||
seen = set()
|
|
||||||
for code in codes or []:
|
|
||||||
text = str(code or "").strip().upper()
|
|
||||||
if not text:
|
|
||||||
continue
|
|
||||||
if text in MARKET_CODES:
|
|
||||||
item = text
|
|
||||||
else:
|
|
||||||
item = normalize_stock_code(text)
|
|
||||||
if item not in seen:
|
|
||||||
seen.add(item)
|
|
||||||
normalized.append(item)
|
|
||||||
return sorted(normalized)
|
|
||||||
|
|
||||||
|
|
||||||
def full_tick_request_id(codes):
|
|
||||||
normalized = normalize_full_tick_codes(codes)
|
|
||||||
digest = hashlib.sha1("|".join(normalized).encode("utf-8")).hexdigest()
|
|
||||||
return digest[:20]
|
|
||||||
|
|
||||||
|
|
||||||
def full_tick_demand_key(account_id):
|
|
||||||
return DEMAND_KEY_TEMPLATE.format(account_id=str(account_id or ""))
|
|
||||||
|
|
||||||
|
|
||||||
def full_tick_cache_key(account_id, codes=None, request_id=None):
|
|
||||||
rid = str(request_id or full_tick_request_id(codes or []))
|
|
||||||
return CACHE_KEY_TEMPLATE.format(account_id=str(account_id or ""), request_id=rid)
|
|
||||||
|
|
||||||
|
|
||||||
def _dump_snapshot(payload):
|
|
||||||
return pickle.dumps(payload, protocol=4)
|
|
||||||
|
|
||||||
|
|
||||||
def _load_snapshot(raw):
|
|
||||||
if not raw:
|
|
||||||
return None
|
|
||||||
try:
|
|
||||||
return pickle.loads(raw)
|
|
||||||
except Exception:
|
|
||||||
try:
|
|
||||||
return _loads_json(raw)
|
|
||||||
except Exception:
|
|
||||||
return None
|
|
||||||
|
|
||||||
|
|
||||||
def request_full_tick_cache(redis_client, account_id, codes, demand_ttl_seconds=10, cache_ttl_seconds=10):
|
|
||||||
normalized = normalize_full_tick_codes(codes)
|
|
||||||
if not normalized:
|
|
||||||
raise ValueError("full tick codes are required")
|
|
||||||
now = time.time()
|
|
||||||
request_id = full_tick_request_id(normalized)
|
|
||||||
payload = {
|
|
||||||
"request_id": request_id,
|
|
||||||
"codes": normalized,
|
|
||||||
"requested_at_ts": now,
|
|
||||||
"expires_at_ts": now + float(demand_ttl_seconds),
|
|
||||||
"cache_ttl_seconds": float(cache_ttl_seconds),
|
|
||||||
}
|
|
||||||
key = full_tick_demand_key(account_id)
|
|
||||||
redis_client.hset(key, request_id, json.dumps(payload, ensure_ascii=False, sort_keys=True))
|
|
||||||
try:
|
|
||||||
redis_client.expire(key, max(30, int(float(demand_ttl_seconds) * 3)))
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
return payload
|
|
||||||
|
|
||||||
|
|
||||||
def write_full_tick_cache(redis_client, account_id, codes, data, cache_ttl_seconds=10):
|
|
||||||
normalized = normalize_full_tick_codes(codes)
|
|
||||||
request_id = full_tick_request_id(normalized)
|
|
||||||
now = time.time()
|
|
||||||
payload = {
|
|
||||||
"request_id": request_id,
|
|
||||||
"codes": normalized,
|
|
||||||
"updated_at_ts": now,
|
|
||||||
"updated_at": time.strftime("%Y-%m-%d %H:%M:%S", time.localtime(now)),
|
|
||||||
"data": data or {},
|
|
||||||
}
|
|
||||||
key = full_tick_cache_key(account_id, request_id=request_id)
|
|
||||||
ttl = int(max(1, float(cache_ttl_seconds)))
|
|
||||||
redis_client.setex(key, ttl, _dump_snapshot(payload))
|
|
||||||
return payload
|
|
||||||
|
|
||||||
|
|
||||||
def read_full_tick_cache(redis_client, account_id, codes, max_age_seconds=10):
|
|
||||||
normalized = normalize_full_tick_codes(codes)
|
|
||||||
key = full_tick_cache_key(account_id, codes=normalized)
|
|
||||||
snapshot = _load_snapshot(redis_client.get(key))
|
|
||||||
if not isinstance(snapshot, dict):
|
|
||||||
return None
|
|
||||||
if normalize_full_tick_codes(snapshot.get("codes") or []) != normalized:
|
|
||||||
return None
|
|
||||||
updated_at = float(snapshot.get("updated_at_ts") or 0)
|
|
||||||
if updated_at <= 0:
|
|
||||||
return None
|
|
||||||
if time.time() - updated_at > float(max_age_seconds):
|
|
||||||
return None
|
|
||||||
data = snapshot.get("data")
|
|
||||||
return data if isinstance(data, dict) else None
|
|
||||||
|
|
||||||
|
|
||||||
def wait_full_tick_cache(redis_client, account_id, codes, max_age_seconds=10, wait_seconds=3.5, poll_interval_seconds=0.2):
|
|
||||||
deadline = time.time() + max(0.0, float(wait_seconds))
|
|
||||||
while True:
|
|
||||||
data = read_full_tick_cache(redis_client, account_id, codes, max_age_seconds=max_age_seconds)
|
|
||||||
if data is not None:
|
|
||||||
return data
|
|
||||||
if time.time() >= deadline:
|
|
||||||
return None
|
|
||||||
time.sleep(max(0.05, float(poll_interval_seconds)))
|
|
||||||
|
|
||||||
|
|
||||||
def iter_active_full_tick_demands(redis_client, account_id, demand_ttl_seconds=10, max_requests=8):
|
|
||||||
key = full_tick_demand_key(account_id)
|
|
||||||
raw_mapping = redis_client.hgetall(key) or {}
|
|
||||||
now = time.time()
|
|
||||||
active = []
|
|
||||||
for field, raw_payload in list(raw_mapping.items()):
|
|
||||||
field_text = _decode_text(field)
|
|
||||||
try:
|
|
||||||
payload = _loads_json(raw_payload)
|
|
||||||
except Exception:
|
|
||||||
try:
|
|
||||||
redis_client.hdel(key, field_text)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
continue
|
|
||||||
expires_at = float(payload.get("expires_at_ts") or 0)
|
|
||||||
if expires_at <= now:
|
|
||||||
try:
|
|
||||||
redis_client.hdel(key, field_text)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
continue
|
|
||||||
codes = normalize_full_tick_codes(payload.get("codes") or [])
|
|
||||||
if not codes:
|
|
||||||
try:
|
|
||||||
redis_client.hdel(key, field_text)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
continue
|
|
||||||
payload["codes"] = codes
|
|
||||||
payload["cache_ttl_seconds"] = float(payload.get("cache_ttl_seconds") or demand_ttl_seconds)
|
|
||||||
active.append(payload)
|
|
||||||
active.sort(key=lambda item: float(item.get("requested_at_ts") or 0), reverse=True)
|
|
||||||
return active[: int(max_requests)]
|
|
||||||
|
|
||||||
|
|
||||||
def _demand_is_market(codes):
|
|
||||||
return any(str(code).strip().upper() in MARKET_CODES for code in codes or [])
|
|
||||||
|
|
||||||
|
|
||||||
def refresh_full_tick_cache(
|
|
||||||
redis_client,
|
|
||||||
context_info,
|
|
||||||
account_id,
|
|
||||||
demand_ttl_seconds=10,
|
|
||||||
cache_ttl_seconds=10,
|
|
||||||
max_requests=8,
|
|
||||||
kind=None,
|
|
||||||
max_wall_seconds=None,
|
|
||||||
):
|
|
||||||
"""Refresh cached snapshots for active demands.
|
|
||||||
|
|
||||||
``kind`` selects which demands to refresh: ``None`` (all), ``"symbol"``
|
|
||||||
(only symbol-list demands), or ``"market"`` (only whole-market demands such
|
|
||||||
as SH/SZ/BJ/HK). ``max_wall_seconds`` caps how long one refresh round may run
|
|
||||||
on the caller (strategy) thread; the in-flight demand always completes and at
|
|
||||||
least one demand is always refreshed before the budget can cut the round.
|
|
||||||
"""
|
|
||||||
started_at = time.time()
|
|
||||||
refreshed = 0
|
|
||||||
for demand in iter_active_full_tick_demands(
|
|
||||||
redis_client,
|
|
||||||
account_id,
|
|
||||||
demand_ttl_seconds=demand_ttl_seconds,
|
|
||||||
max_requests=max_requests,
|
|
||||||
):
|
|
||||||
codes = demand.get("codes") or []
|
|
||||||
is_market = _demand_is_market(codes)
|
|
||||||
if kind == "symbol" and is_market:
|
|
||||||
continue
|
|
||||||
if kind == "market" and not is_market:
|
|
||||||
continue
|
|
||||||
if max_wall_seconds and refreshed and (time.time() - started_at) > float(max_wall_seconds):
|
|
||||||
break
|
|
||||||
tick_data = context_info.get_full_tick(codes) or {}
|
|
||||||
ttl = demand.get("cache_ttl_seconds") or cache_ttl_seconds
|
|
||||||
write_full_tick_cache(redis_client, account_id, codes, tick_data, cache_ttl_seconds=ttl)
|
|
||||||
refreshed += 1
|
|
||||||
return refreshed
|
|
||||||
@@ -1,202 +0,0 @@
|
|||||||
"""Client-side local cache for Big QMT market data.
|
|
||||||
|
|
||||||
Pull bars from Big QMT once over RPC, persist them on the client, then read them
|
|
||||||
back with ``get_local_data`` without touching Big QMT again — for offline / local
|
|
||||||
analysis. One file per (period, dividend_type, code); incremental merge + dedupe
|
|
||||||
by time. Default storage is Parquet (columnar, compressed, cross-language); falls
|
|
||||||
back to pickle when pyarrow is unavailable. A cache written in one format is read
|
|
||||||
+ migrated transparently if the configured format changes.
|
|
||||||
"""
|
|
||||||
|
|
||||||
import os
|
|
||||||
|
|
||||||
|
|
||||||
# Candidate time-column names produced by the RPC market-data path.
|
|
||||||
_TIME_COLS = ("stime", "time", "index", "date", "datetime", "timetag")
|
|
||||||
|
|
||||||
|
|
||||||
def _time_col(df):
|
|
||||||
cols = list(getattr(df, "columns", []))
|
|
||||||
for name in _TIME_COLS:
|
|
||||||
if name in cols:
|
|
||||||
return name
|
|
||||||
return None
|
|
||||||
|
|
||||||
|
|
||||||
def _pad_end(value):
|
|
||||||
text = str(value)
|
|
||||||
return text + "9" * (14 - len(text)) if 0 < len(text) < 14 else text
|
|
||||||
|
|
||||||
|
|
||||||
def _drop_placeholder_rows(df):
|
|
||||||
"""Big QMT fills dates it has no local data for with all-zero rows. A real bar
|
|
||||||
never has close/open == 0, so drop those placeholders — the cache should hold
|
|
||||||
only real bars, not 0-fill padding."""
|
|
||||||
for col in ("close", "open", "price", "lastPrice"):
|
|
||||||
if col in getattr(df, "columns", []):
|
|
||||||
try:
|
|
||||||
return df[df[col] != 0].reset_index(drop=True)
|
|
||||||
except Exception:
|
|
||||||
return df
|
|
||||||
return df
|
|
||||||
|
|
||||||
|
|
||||||
def _pyarrow_available():
|
|
||||||
try:
|
|
||||||
import pyarrow # noqa: F401
|
|
||||||
|
|
||||||
return True
|
|
||||||
except Exception:
|
|
||||||
return False
|
|
||||||
|
|
||||||
|
|
||||||
def _resolve_format(fmt):
|
|
||||||
fmt = str(fmt or "auto").lower()
|
|
||||||
if fmt in ("parquet", "pq"):
|
|
||||||
return "parquet"
|
|
||||||
if fmt in ("pkl", "pickle"):
|
|
||||||
return "pkl"
|
|
||||||
# auto / unknown
|
|
||||||
return "parquet" if _pyarrow_available() else "pkl"
|
|
||||||
|
|
||||||
|
|
||||||
class LocalMarketCache:
|
|
||||||
def __init__(self, cache_dir=None, fmt="auto"):
|
|
||||||
self.cache_dir = str(cache_dir or os.path.join(os.path.expanduser("~"), ".bigqmt_cache"))
|
|
||||||
self.fmt = _resolve_format(fmt)
|
|
||||||
|
|
||||||
def _ext(self):
|
|
||||||
return ".parquet" if self.fmt == "parquet" else ".pkl"
|
|
||||||
|
|
||||||
def path(self, code, period, dividend_type="none"):
|
|
||||||
safe_code = str(code or "").replace("/", "_").replace("\\", "_")
|
|
||||||
div = str(dividend_type or "none")
|
|
||||||
return os.path.join(self.cache_dir, str(period or "1d"), div, safe_code + self._ext())
|
|
||||||
|
|
||||||
def _existing_path(self, code, period, dividend_type):
|
|
||||||
"""Return the on-disk file for this key in the configured format, else the
|
|
||||||
other format (so switching format still finds + migrates the old cache)."""
|
|
||||||
primary = self.path(code, period, dividend_type)
|
|
||||||
if os.path.isfile(primary):
|
|
||||||
return primary
|
|
||||||
base = primary[: -len(self._ext())]
|
|
||||||
for ext in (".parquet", ".pkl"):
|
|
||||||
alt = base + ext
|
|
||||||
if os.path.isfile(alt):
|
|
||||||
return alt
|
|
||||||
return None
|
|
||||||
|
|
||||||
@staticmethod
|
|
||||||
def _read_file(path):
|
|
||||||
import pandas as pd
|
|
||||||
|
|
||||||
# Read by actual file extension (an existing cache may be either format).
|
|
||||||
if path.endswith(".pkl"):
|
|
||||||
return pd.read_pickle(path)
|
|
||||||
return pd.read_parquet(path)
|
|
||||||
|
|
||||||
def _write_file(self, df, path):
|
|
||||||
# Write in the configured format regardless of the path (the temp file ends
|
|
||||||
# with ".tmp", not the format extension).
|
|
||||||
if self.fmt == "parquet":
|
|
||||||
df.to_parquet(path, index=False)
|
|
||||||
else:
|
|
||||||
df.to_pickle(path)
|
|
||||||
|
|
||||||
def write(self, code, period, df, dividend_type="none"):
|
|
||||||
"""Merge ``df`` into the cache for (code, period, dividend_type).
|
|
||||||
|
|
||||||
Dedupe is by time keeping the LAST write, so re-pulling a range overwrites
|
|
||||||
stale values — which is exactly what front-adjusted (前复权) data needs after
|
|
||||||
a new dividend re-scales history. Returns total rows stored.
|
|
||||||
"""
|
|
||||||
if df is None or not hasattr(df, "shape") or df.shape[0] == 0:
|
|
||||||
return 0
|
|
||||||
import pandas as pd
|
|
||||||
|
|
||||||
incoming = _drop_placeholder_rows(df.copy())
|
|
||||||
primary = self.path(code, period, dividend_type)
|
|
||||||
existing = self._existing_path(code, period, dividend_type)
|
|
||||||
if incoming.shape[0] == 0:
|
|
||||||
# Nothing real to add (all 0-fill placeholders); keep existing cache.
|
|
||||||
if existing:
|
|
||||||
try:
|
|
||||||
return self._read_file(existing).shape[0]
|
|
||||||
except Exception:
|
|
||||||
return 0
|
|
||||||
return 0
|
|
||||||
directory = os.path.dirname(primary)
|
|
||||||
if directory and not os.path.isdir(directory):
|
|
||||||
os.makedirs(directory, exist_ok=True)
|
|
||||||
merged = incoming
|
|
||||||
tcol = _time_col(merged)
|
|
||||||
if existing:
|
|
||||||
try:
|
|
||||||
old = self._read_file(existing)
|
|
||||||
merged = pd.concat([old, merged], ignore_index=True)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
if tcol and tcol in merged.columns:
|
|
||||||
merged = merged.drop_duplicates(subset=[tcol], keep="last").sort_values(tcol).reset_index(drop=True)
|
|
||||||
else:
|
|
||||||
merged = merged.drop_duplicates().reset_index(drop=True)
|
|
||||||
# Atomic-ish write (temp + replace) so a crash mid-write can't corrupt the file.
|
|
||||||
tmp = primary + ".tmp"
|
|
||||||
self._write_file(merged, tmp)
|
|
||||||
os.replace(tmp, primary)
|
|
||||||
# Migrated from the other format? drop the stale file.
|
|
||||||
if existing and existing != primary:
|
|
||||||
try:
|
|
||||||
os.remove(existing)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
return merged.shape[0]
|
|
||||||
|
|
||||||
def read(self, code, period, start_time="", end_time="", count=-1, dividend_type="none"):
|
|
||||||
"""Return the cached DataFrame for (code, period, dividend_type), filtered."""
|
|
||||||
existing = self._existing_path(code, period, dividend_type)
|
|
||||||
if not existing:
|
|
||||||
return None
|
|
||||||
try:
|
|
||||||
df = self._read_file(existing)
|
|
||||||
except Exception:
|
|
||||||
return None
|
|
||||||
tcol = _time_col(df)
|
|
||||||
if tcol and tcol in df.columns:
|
|
||||||
series = df[tcol].astype(str)
|
|
||||||
if start_time:
|
|
||||||
df = df[series >= str(start_time)]
|
|
||||||
if end_time:
|
|
||||||
df = df[series <= _pad_end(end_time)]
|
|
||||||
df = df.sort_values(tcol).reset_index(drop=True)
|
|
||||||
try:
|
|
||||||
n = int(count)
|
|
||||||
except (TypeError, ValueError):
|
|
||||||
n = -1
|
|
||||||
if n > 0 and df.shape[0] > n:
|
|
||||||
df = df.tail(n).reset_index(drop=True)
|
|
||||||
return df
|
|
||||||
|
|
||||||
def covered(self, code, period, dividend_type="none"):
|
|
||||||
"""Return (first_time, last_time, rows) for the cache, or None if empty."""
|
|
||||||
df = self.read(code, period, dividend_type=dividend_type)
|
|
||||||
if df is None or df.shape[0] == 0:
|
|
||||||
return None
|
|
||||||
tcol = _time_col(df)
|
|
||||||
if not tcol:
|
|
||||||
return (None, None, df.shape[0])
|
|
||||||
series = df[tcol].astype(str)
|
|
||||||
return (series.iloc[0], series.iloc[-1], df.shape[0])
|
|
||||||
|
|
||||||
def stats(self):
|
|
||||||
"""Return (files, periods) currently cached across all dividend types."""
|
|
||||||
files = 0
|
|
||||||
periods = set()
|
|
||||||
if os.path.isdir(self.cache_dir):
|
|
||||||
for root, _dirs, fnames in os.walk(self.cache_dir):
|
|
||||||
cached = [f for f in fnames if f.endswith(".parquet") or f.endswith(".pkl")]
|
|
||||||
if cached:
|
|
||||||
files += len(cached)
|
|
||||||
rel = os.path.relpath(root, self.cache_dir)
|
|
||||||
periods.add(rel.split(os.sep)[0] if rel != "." else rel)
|
|
||||||
return files, sorted(periods)
|
|
||||||
@@ -1,171 +0,0 @@
|
|||||||
"""File-based logging for the Big QMT bridge.
|
|
||||||
|
|
||||||
Diagnostics used to be print()-only, which is lost when the QMT output panel
|
|
||||||
scrolls or the terminal restarts. This module wires Python's stdlib ``logging``
|
|
||||||
to a rotating file so errors survive restarts and can be reviewed after a
|
|
||||||
crash.
|
|
||||||
|
|
||||||
Usage (any module, both server and client):
|
|
||||||
|
|
||||||
from bigqmt_signal_trader.logging_setup import get_logger
|
|
||||||
log = get_logger("rpc")
|
|
||||||
log.info("started")
|
|
||||||
log.error("download failed: %s", exc)
|
|
||||||
|
|
||||||
Behavior:
|
|
||||||
- Log directory resolves to ``<qmt_python_dir>/logs`` when running inside QMT
|
|
||||||
(found via a sys.path entry ending in ``\\python``), else ``~/.cache/bigqmt/logs``.
|
|
||||||
- Rotates at midnight into ``bigqmt.log.YYYY-MM-DD`` backups, keeping the last
|
|
||||||
7 days by default (override with env BIGQMT_LOG_RETENTION_DAYS).
|
|
||||||
- Each record is also printed to stdout so the QMT output panel still shows it.
|
|
||||||
- Thread-safe (logging is; the print side is best-effort wrapped).
|
|
||||||
- Never raises: a logging failure must not bring down the strategy.
|
|
||||||
- Opt out via env BIGQMT_LOG_ENABLED=0 / BIGQMT_LOG_TO_STDOUT=0.
|
|
||||||
"""
|
|
||||||
|
|
||||||
import datetime as _dt
|
|
||||||
import logging
|
|
||||||
import logging.handlers
|
|
||||||
import os
|
|
||||||
import sys
|
|
||||||
import time
|
|
||||||
|
|
||||||
_LOGGER_NAME = "bigqmt"
|
|
||||||
_initialized = False
|
|
||||||
|
|
||||||
|
|
||||||
def _env_bool(name, default=True):
|
|
||||||
value = os.environ.get(name)
|
|
||||||
if value in (None, ""):
|
|
||||||
return default
|
|
||||||
return str(value).strip().lower() in ("1", "true", "yes", "y", "on")
|
|
||||||
|
|
||||||
|
|
||||||
def _resolve_log_dir():
|
|
||||||
"""Pick a writable log dir. Prefers the QMT python dir (the sys.path entry
|
|
||||||
ending in ``\\python``) so logs sit beside the deployed strategy; falls back
|
|
||||||
to a user cache dir otherwise. Deliberately does NOT use this package's own
|
|
||||||
src/ directory (a repo checkout is not a writable runtime location)."""
|
|
||||||
candidates = []
|
|
||||||
for entry in sys.path:
|
|
||||||
try:
|
|
||||||
if entry and entry.endswith(r"\python") and os.path.isdir(entry):
|
|
||||||
candidates.append(entry)
|
|
||||||
except Exception:
|
|
||||||
continue
|
|
||||||
candidates.append(os.path.join(os.path.expanduser("~"), ".cache", "bigqmt"))
|
|
||||||
for base in candidates:
|
|
||||||
try:
|
|
||||||
path = os.path.join(base, "logs")
|
|
||||||
os.makedirs(path, exist_ok=True)
|
|
||||||
# probe writability
|
|
||||||
probe = os.path.join(path, ".write_test")
|
|
||||||
with open(probe, "w"):
|
|
||||||
pass
|
|
||||||
try:
|
|
||||||
os.remove(probe)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
return path
|
|
||||||
except Exception:
|
|
||||||
continue
|
|
||||||
return None
|
|
||||||
|
|
||||||
|
|
||||||
class _SafeStreamHandler(logging.Handler):
|
|
||||||
"""print() the record so the QMT output panel shows it; never raises."""
|
|
||||||
|
|
||||||
def emit(self, record):
|
|
||||||
try:
|
|
||||||
print(self.format(record))
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
|
|
||||||
|
|
||||||
def _cleanup_old_logs(log_dir, retention_days):
|
|
||||||
"""Delete rotated log files older than retention_days.
|
|
||||||
|
|
||||||
TimedRotatingFileHandler only prunes backups at rotation time; this sweeps
|
|
||||||
stale files on startup too (e.g. after a weekend gap or a config change).
|
|
||||||
"""
|
|
||||||
try:
|
|
||||||
cutoff = time.time() - retention_days * 86400
|
|
||||||
for name in os.listdir(log_dir):
|
|
||||||
if not (name.startswith("bigqmt") and name.endswith(".log") or ".log." in name):
|
|
||||||
continue
|
|
||||||
path = os.path.join(log_dir, name)
|
|
||||||
try:
|
|
||||||
if os.path.getmtime(path) < cutoff:
|
|
||||||
os.remove(path)
|
|
||||||
except Exception:
|
|
||||||
continue
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
|
|
||||||
|
|
||||||
def _setup():
|
|
||||||
global _initialized
|
|
||||||
if _initialized:
|
|
||||||
return
|
|
||||||
_initialized = True
|
|
||||||
logger = logging.getLogger(_LOGGER_NAME)
|
|
||||||
logger.setLevel(logging.DEBUG)
|
|
||||||
logger.propagate = False
|
|
||||||
if not _env_bool("BIGQMT_LOG_ENABLED", True):
|
|
||||||
logger.addHandler(logging.NullHandler())
|
|
||||||
return
|
|
||||||
|
|
||||||
fmt = logging.Formatter(
|
|
||||||
fmt="%(asctime)s [%(levelname)s] [%(name)s] %(message)s",
|
|
||||||
datefmt="%Y-%m-%d %H:%M:%S",
|
|
||||||
)
|
|
||||||
|
|
||||||
# File handler: rotate at midnight, keep the last 7 days only.
|
|
||||||
log_dir = _resolve_log_dir()
|
|
||||||
if log_dir is not None:
|
|
||||||
try:
|
|
||||||
fname = os.path.join(log_dir, "bigqmt.log")
|
|
||||||
file_handler = logging.handlers.TimedRotatingFileHandler(
|
|
||||||
fname,
|
|
||||||
when="midnight",
|
|
||||||
interval=1,
|
|
||||||
backupCount=int(os.environ.get("BIGQMT_LOG_RETENTION_DAYS", 7)),
|
|
||||||
encoding="utf-8",
|
|
||||||
utc=False,
|
|
||||||
)
|
|
||||||
file_handler.setFormatter(fmt)
|
|
||||||
logger.addHandler(file_handler)
|
|
||||||
_cleanup_old_logs(log_dir, int(os.environ.get("BIGQMT_LOG_RETENTION_DAYS", 7)))
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
|
|
||||||
# Stdout handler so the QMT panel still shows logs.
|
|
||||||
if _env_bool("BIGQMT_LOG_TO_STDOUT", True):
|
|
||||||
stream = _SafeStreamHandler()
|
|
||||||
stream.setLevel(logging.INFO)
|
|
||||||
stream.setFormatter(fmt)
|
|
||||||
logger.addHandler(stream)
|
|
||||||
|
|
||||||
if not logger.handlers:
|
|
||||||
logger.addHandler(logging.NullHandler())
|
|
||||||
|
|
||||||
|
|
||||||
def get_logger(name=""):
|
|
||||||
"""Return a module logger under the shared ``bigqmt`` root.
|
|
||||||
|
|
||||||
``get_logger("rpc")`` -> logger named ``bigqmt.rpc``; the tag is shown in
|
|
||||||
each log line so the old ``[bigqmt_rpc]`` prefixes remain visible.
|
|
||||||
"""
|
|
||||||
_setup()
|
|
||||||
suffix = str(name or "").strip(".")
|
|
||||||
full = _LOGGER_NAME if not suffix else "%s.%s" % (_LOGGER_NAME, suffix)
|
|
||||||
return logging.getLogger(full)
|
|
||||||
|
|
||||||
|
|
||||||
def log_file_path():
|
|
||||||
"""Return the current log file path (or None if file logging is off)."""
|
|
||||||
_setup()
|
|
||||||
log_dir = _resolve_log_dir()
|
|
||||||
if log_dir is None:
|
|
||||||
return None
|
|
||||||
return os.path.join(log_dir, "bigqmt.log")
|
|
||||||
@@ -1,308 +0,0 @@
|
|||||||
"""交易信号、委托请求和账户快照的数据模型。"""
|
|
||||||
|
|
||||||
import datetime as _dt
|
|
||||||
from enum import Enum
|
|
||||||
from typing import Any, Dict, List, Optional
|
|
||||||
|
|
||||||
|
|
||||||
class SignalAction(str, Enum):
|
|
||||||
BUY = "BUY"
|
|
||||||
SELL = "SELL"
|
|
||||||
CLEAR = "CLEAR"
|
|
||||||
CANCEL = "CANCEL"
|
|
||||||
|
|
||||||
|
|
||||||
class SignalStatus(str, Enum):
|
|
||||||
PENDING = "PENDING"
|
|
||||||
CLAIMED = "CLAIMED"
|
|
||||||
SUBMITTED = "SUBMITTED"
|
|
||||||
SKIPPED = "SKIPPED"
|
|
||||||
FAILED = "FAILED"
|
|
||||||
FILLED = "FILLED"
|
|
||||||
|
|
||||||
|
|
||||||
def parse_datetime(value: Any, field_name: str) -> _dt.datetime:
|
|
||||||
if isinstance(value, _dt.datetime):
|
|
||||||
return value
|
|
||||||
if isinstance(value, str) and value:
|
|
||||||
try:
|
|
||||||
return _dt.datetime.strptime(value, "%Y-%m-%d %H:%M:%S")
|
|
||||||
except ValueError as exc:
|
|
||||||
raise ValueError(f"{field_name} must use format YYYY-MM-DD HH:MM:SS") from exc
|
|
||||||
raise ValueError(f"{field_name} is required")
|
|
||||||
|
|
||||||
|
|
||||||
def _optional_int(value: Any) -> Optional[int]:
|
|
||||||
if value is None or value == "":
|
|
||||||
return None
|
|
||||||
return int(value)
|
|
||||||
|
|
||||||
|
|
||||||
def _optional_float(value: Any) -> Optional[float]:
|
|
||||||
if value is None or value == "":
|
|
||||||
return None
|
|
||||||
return float(value)
|
|
||||||
|
|
||||||
|
|
||||||
def _bool_value(value: Any) -> bool:
|
|
||||||
if isinstance(value, bool):
|
|
||||||
return value
|
|
||||||
if value is None or value == "":
|
|
||||||
return False
|
|
||||||
if isinstance(value, (int, float)):
|
|
||||||
return bool(value)
|
|
||||||
text = str(value).strip().lower()
|
|
||||||
return text in ("1", "true", "yes", "y", "on")
|
|
||||||
|
|
||||||
|
|
||||||
class TradeSignal:
|
|
||||||
def __init__(
|
|
||||||
self,
|
|
||||||
signal_id,
|
|
||||||
account_id,
|
|
||||||
action,
|
|
||||||
created_at,
|
|
||||||
expire_at,
|
|
||||||
schema_version,
|
|
||||||
stock_code="",
|
|
||||||
stock_name="",
|
|
||||||
amount=None,
|
|
||||||
percentage=None,
|
|
||||||
price_type="AUTO_LIMIT",
|
|
||||||
price=None,
|
|
||||||
strategy_name="bigqmt_signal_trader",
|
|
||||||
remark="",
|
|
||||||
source="",
|
|
||||||
source_type="auto",
|
|
||||||
force=False,
|
|
||||||
bypass_stop_buy=False,
|
|
||||||
bypass_stop_sell=False,
|
|
||||||
bypass_daily_limit=False,
|
|
||||||
status=SignalStatus.PENDING,
|
|
||||||
raw_payload=None,
|
|
||||||
):
|
|
||||||
self.signal_id = signal_id
|
|
||||||
self.account_id = account_id
|
|
||||||
self.action = action
|
|
||||||
self.created_at = created_at
|
|
||||||
self.expire_at = expire_at
|
|
||||||
self.schema_version = schema_version
|
|
||||||
self.stock_code = stock_code
|
|
||||||
self.stock_name = stock_name
|
|
||||||
self.amount = amount
|
|
||||||
self.percentage = percentage
|
|
||||||
self.price_type = price_type
|
|
||||||
self.price = price
|
|
||||||
self.strategy_name = strategy_name
|
|
||||||
self.remark = remark
|
|
||||||
self.source = source
|
|
||||||
self.source_type = source_type
|
|
||||||
self.force = force
|
|
||||||
self.bypass_stop_buy = bypass_stop_buy
|
|
||||||
self.bypass_stop_sell = bypass_stop_sell
|
|
||||||
self.bypass_daily_limit = bypass_daily_limit
|
|
||||||
self.status = status
|
|
||||||
self.raw_payload = dict(raw_payload or {})
|
|
||||||
|
|
||||||
@classmethod
|
|
||||||
def from_dict(cls, payload: Dict[str, Any]) -> "TradeSignal":
|
|
||||||
required = ("signal_id", "account_id", "action", "created_at", "expire_at", "schema_version")
|
|
||||||
for field_name in required:
|
|
||||||
if payload.get(field_name) in (None, ""):
|
|
||||||
raise ValueError(f"{field_name} is required")
|
|
||||||
|
|
||||||
try:
|
|
||||||
action = SignalAction(str(payload["action"]).upper())
|
|
||||||
except ValueError as exc:
|
|
||||||
raise ValueError(f"unsupported action: {payload.get('action')}") from exc
|
|
||||||
|
|
||||||
amount = _optional_int(payload.get("amount"))
|
|
||||||
percentage = _optional_float(payload.get("percentage"))
|
|
||||||
stock_code = str(payload.get("stock_code") or "").strip().upper()
|
|
||||||
|
|
||||||
if action == SignalAction.BUY:
|
|
||||||
if not stock_code:
|
|
||||||
raise ValueError("stock_code is required for BUY")
|
|
||||||
if amount is None or amount <= 0:
|
|
||||||
raise ValueError("amount must be positive for BUY")
|
|
||||||
elif action == SignalAction.SELL:
|
|
||||||
if not stock_code:
|
|
||||||
raise ValueError("stock_code is required for SELL")
|
|
||||||
if amount is None and percentage is None:
|
|
||||||
raise ValueError("amount or percentage is required for SELL")
|
|
||||||
elif action == SignalAction.CLEAR and percentage is None:
|
|
||||||
percentage = 100.0
|
|
||||||
|
|
||||||
return cls(
|
|
||||||
signal_id=str(payload["signal_id"]),
|
|
||||||
account_id=str(payload["account_id"]),
|
|
||||||
action=action,
|
|
||||||
stock_code=stock_code,
|
|
||||||
stock_name=str(payload.get("stock_name") or ""),
|
|
||||||
amount=amount,
|
|
||||||
percentage=percentage,
|
|
||||||
price_type=str(payload.get("price_type") or "AUTO_LIMIT").upper(),
|
|
||||||
price=_optional_float(payload.get("price")),
|
|
||||||
strategy_name=str(payload.get("strategy_name") or "bigqmt_signal_trader"),
|
|
||||||
remark=str(payload.get("remark") or ""),
|
|
||||||
source=str(payload.get("source") or ""),
|
|
||||||
source_type=str(payload.get("source_type") or "auto"),
|
|
||||||
force=_bool_value(payload.get("force", False)),
|
|
||||||
bypass_stop_buy=_bool_value(payload.get("bypass_stop_buy", False)),
|
|
||||||
bypass_stop_sell=_bool_value(payload.get("bypass_stop_sell", False)),
|
|
||||||
bypass_daily_limit=_bool_value(payload.get("bypass_daily_limit", False)),
|
|
||||||
created_at=parse_datetime(payload.get("created_at"), "created_at"),
|
|
||||||
expire_at=parse_datetime(payload.get("expire_at"), "expire_at"),
|
|
||||||
schema_version=int(payload["schema_version"]),
|
|
||||||
raw_payload=dict(payload),
|
|
||||||
)
|
|
||||||
|
|
||||||
def is_expired(self, now: _dt.datetime) -> bool:
|
|
||||||
return now > self.expire_at
|
|
||||||
|
|
||||||
|
|
||||||
class PositionSnapshot:
|
|
||||||
def __init__(
|
|
||||||
self,
|
|
||||||
stock_code,
|
|
||||||
volume,
|
|
||||||
available,
|
|
||||||
cost=0.0,
|
|
||||||
stock_name="",
|
|
||||||
market_value=None,
|
|
||||||
price=None,
|
|
||||||
open_price=None,
|
|
||||||
frozen_volume=0,
|
|
||||||
on_road_volume=0,
|
|
||||||
yesterday_volume=None,
|
|
||||||
direction=48,
|
|
||||||
):
|
|
||||||
self.stock_code = stock_code
|
|
||||||
self.volume = volume
|
|
||||||
self.available = available
|
|
||||||
self.cost = cost
|
|
||||||
self.stock_name = stock_name
|
|
||||||
self.market_value = market_value
|
|
||||||
self.price = price
|
|
||||||
self.open_price = open_price
|
|
||||||
self.frozen_volume = frozen_volume
|
|
||||||
self.on_road_volume = on_road_volume
|
|
||||||
self.yesterday_volume = yesterday_volume
|
|
||||||
self.direction = direction
|
|
||||||
|
|
||||||
|
|
||||||
class AssetSnapshot:
|
|
||||||
"""Account funds, mirroring MiniQMT's ``XtAsset``.
|
|
||||||
|
|
||||||
Field names follow ``xtquant.xttype.XtAsset(account_id, cash, frozen_cash,
|
|
||||||
market_value, total_asset)`` so ``query_stock_asset`` can hand callers the
|
|
||||||
same attributes they get from MiniQMT.
|
|
||||||
|
|
||||||
``cash`` is 可用 (available), NOT the full 资金余额:
|
|
||||||
``total_asset == cash + frozen_cash + market_value``. New fields are
|
|
||||||
appended with None defaults so existing positional callers keep working,
|
|
||||||
and None means "the terminal did not report it" — distinct from 0.0.
|
|
||||||
"""
|
|
||||||
|
|
||||||
def __init__(self, account_id, cash=None, total_asset=None, frozen_cash=None, market_value=None):
|
|
||||||
self.account_id = account_id
|
|
||||||
self.cash = cash
|
|
||||||
self.total_asset = total_asset
|
|
||||||
self.frozen_cash = frozen_cash
|
|
||||||
self.market_value = market_value
|
|
||||||
|
|
||||||
|
|
||||||
class AccountSnapshot:
|
|
||||||
def __init__(self, account_id, asset, positions, reason, updated_at):
|
|
||||||
self.account_id = account_id
|
|
||||||
self.asset = asset
|
|
||||||
self.positions = positions
|
|
||||||
self.reason = reason
|
|
||||||
self.updated_at = updated_at
|
|
||||||
|
|
||||||
|
|
||||||
class OrderRequest:
|
|
||||||
def __init__(
|
|
||||||
self,
|
|
||||||
signal_id,
|
|
||||||
account_id,
|
|
||||||
action,
|
|
||||||
stock_code,
|
|
||||||
volume,
|
|
||||||
price,
|
|
||||||
price_type,
|
|
||||||
strategy_name,
|
|
||||||
remark="",
|
|
||||||
):
|
|
||||||
self.signal_id = signal_id
|
|
||||||
self.account_id = account_id
|
|
||||||
self.action = action
|
|
||||||
self.stock_code = stock_code
|
|
||||||
self.volume = volume
|
|
||||||
self.price = price
|
|
||||||
self.price_type = price_type
|
|
||||||
self.strategy_name = strategy_name
|
|
||||||
self.remark = remark
|
|
||||||
|
|
||||||
|
|
||||||
class OrderSubmitResult:
|
|
||||||
def __init__(self, status, user_order_id, order_sys_id=None, message=""):
|
|
||||||
self.status = status
|
|
||||||
self.user_order_id = user_order_id
|
|
||||||
self.order_sys_id = order_sys_id
|
|
||||||
self.message = message
|
|
||||||
|
|
||||||
|
|
||||||
class OrderSnapshot:
|
|
||||||
def __init__(
|
|
||||||
self,
|
|
||||||
order_sys_id,
|
|
||||||
user_order_id,
|
|
||||||
stock_code,
|
|
||||||
action,
|
|
||||||
volume,
|
|
||||||
traded_volume,
|
|
||||||
status,
|
|
||||||
price=0.0,
|
|
||||||
strategy_name="",
|
|
||||||
remark="",
|
|
||||||
order_time=0,
|
|
||||||
):
|
|
||||||
self.order_sys_id = order_sys_id
|
|
||||||
self.user_order_id = user_order_id
|
|
||||||
self.stock_code = stock_code
|
|
||||||
self.action = action
|
|
||||||
self.volume = volume
|
|
||||||
self.traded_volume = traded_volume
|
|
||||||
self.status = status
|
|
||||||
self.price = price
|
|
||||||
self.strategy_name = strategy_name
|
|
||||||
self.remark = remark
|
|
||||||
# 报单时间, Unix 秒 -- MiniQMT XtOrder.order_time 的语义。0 = 未上报。
|
|
||||||
# 追加在末尾并给默认值, 保持既有位置参数调用不受影响。
|
|
||||||
self.order_time = order_time
|
|
||||||
|
|
||||||
|
|
||||||
class TradeSnapshot:
|
|
||||||
def __init__(self, trade_id, order_sys_id, stock_code, action, volume, price,
|
|
||||||
traded_at="", user_order_id=""):
|
|
||||||
self.trade_id = trade_id
|
|
||||||
self.order_sys_id = order_sys_id
|
|
||||||
self.stock_code = stock_code
|
|
||||||
self.action = action
|
|
||||||
self.volume = volume
|
|
||||||
self.price = price
|
|
||||||
self.traded_at = traded_at
|
|
||||||
self.user_order_id = user_order_id
|
|
||||||
|
|
||||||
|
|
||||||
class OrderRef:
|
|
||||||
def __init__(self, order_sys_id, user_order_id=""):
|
|
||||||
self.order_sys_id = order_sys_id
|
|
||||||
self.user_order_id = user_order_id
|
|
||||||
|
|
||||||
|
|
||||||
class CancelResult:
|
|
||||||
def __init__(self, success, message=""):
|
|
||||||
self.success = success
|
|
||||||
self.message = message
|
|
||||||
@@ -1,53 +0,0 @@
|
|||||||
"""订单价格生成逻辑。"""
|
|
||||||
|
|
||||||
from .code_utils import normalize_stock_code
|
|
||||||
|
|
||||||
|
|
||||||
def _price_precision(stock_code):
|
|
||||||
pure = normalize_stock_code(stock_code).split(".")[0]
|
|
||||||
return 3 if pure.startswith(("15", "16", "51", "52")) else 2
|
|
||||||
|
|
||||||
|
|
||||||
def _second_level(values):
|
|
||||||
if isinstance(values, (list, tuple)) and len(values) > 1:
|
|
||||||
try:
|
|
||||||
value = float(values[1])
|
|
||||||
return value if value > 0 else 0.0
|
|
||||||
except (TypeError, ValueError):
|
|
||||||
return 0.0
|
|
||||||
return 0.0
|
|
||||||
|
|
||||||
|
|
||||||
def build_order_price(market_data, stock_code, action, price_type="AUTO_LIMIT", fixed_price=None):
|
|
||||||
if str(price_type or "AUTO_LIMIT").upper() == "FIX_PRICE":
|
|
||||||
if fixed_price is None:
|
|
||||||
raise ValueError("fixed_price is required when price_type is FIX_PRICE")
|
|
||||||
return float(fixed_price)
|
|
||||||
|
|
||||||
code = normalize_stock_code(stock_code)
|
|
||||||
ticks = market_data.get_ticks([code])
|
|
||||||
tick = ticks.get(code)
|
|
||||||
if not tick:
|
|
||||||
raise ValueError(f"missing tick data for {code}")
|
|
||||||
|
|
||||||
last_price = float(tick.get("lastPrice") or 0)
|
|
||||||
if last_price <= 0:
|
|
||||||
raise ValueError(f"invalid lastPrice for {code}")
|
|
||||||
|
|
||||||
instrument = market_data.get_instrument(code)
|
|
||||||
if int(instrument.get("InstrumentStatus") or 0) > 0:
|
|
||||||
raise ValueError(f"{code} is suspended")
|
|
||||||
|
|
||||||
precision = _price_precision(code)
|
|
||||||
action_text = str(action).upper()
|
|
||||||
if action_text == "BUY":
|
|
||||||
up_stop = float(instrument.get("UpStopPrice") or last_price * 1.1)
|
|
||||||
calculated = min(round(last_price * 1.002, precision), up_stop)
|
|
||||||
ask2 = _second_level(tick.get("askPrice"))
|
|
||||||
return round(ask2, precision) if ask2 and ask2 < calculated else calculated
|
|
||||||
if action_text == "SELL":
|
|
||||||
down_stop = float(instrument.get("DownStopPrice") or last_price * 0.9)
|
|
||||||
calculated = max(round(last_price * 0.998, precision), down_stop)
|
|
||||||
bid2 = _second_level(tick.get("bidPrice"))
|
|
||||||
return round(bid2, precision) if bid2 and bid2 > calculated else calculated
|
|
||||||
raise ValueError(f"unsupported action for price: {action}")
|
|
||||||
@@ -1,484 +0,0 @@
|
|||||||
# coding: utf-8
|
|
||||||
"""Start and stop a Big QMT terminal (issue #45).
|
|
||||||
|
|
||||||
Big QMT has to be restarted most mornings, and the login dialog is the reason
|
|
||||||
it cannot simply be dropped into a scheduler. Two ways past it:
|
|
||||||
|
|
||||||
* **Passwordless (preferred)** -- ``XtMiniQmt.exe linkMini`` starts MiniQMT
|
|
||||||
against an existing session with no dialog at all. This is what
|
|
||||||
``免密登录qmt.bat`` does. No UI automation, so nothing here depends on a
|
|
||||||
desktop being visible.
|
|
||||||
* **Credential entry** -- for the full terminal (``XtItClient.exe``) the dialog
|
|
||||||
is unavoidable. We drive it with ``win32api.SendMessage`` posted straight to
|
|
||||||
the window handle, NOT with pyautogui/pywinauto. That distinction is the
|
|
||||||
answer to the question in issue #45: pyautogui replays physical input at
|
|
||||||
screen coordinates, so it needs the window focused and the desktop unlocked;
|
|
||||||
SendMessage delivers to a handle and works on a background -- or locked --
|
|
||||||
session, as long as the session still exists (an RDP disconnect is fine, a
|
|
||||||
full logout is not).
|
|
||||||
|
|
||||||
Everything is scoped to one install directory. A machine here runs several QMT
|
|
||||||
copies side by side, so an unscoped ``taskkill /im XtItClient.exe`` would take
|
|
||||||
down someone else's trading session.
|
|
||||||
|
|
||||||
Waits are on observed readiness, never a fixed sleep: startup is complete when
|
|
||||||
the FormulaServer port accepts a connection, which is also exactly what the
|
|
||||||
rest of this package needs before it can do anything.
|
|
||||||
|
|
||||||
Windows only. ``psutil`` is used when importable, otherwise we shell out to
|
|
||||||
``wmic``/``taskkill``.
|
|
||||||
"""
|
|
||||||
|
|
||||||
import os
|
|
||||||
import socket
|
|
||||||
import subprocess
|
|
||||||
import sys
|
|
||||||
import time
|
|
||||||
|
|
||||||
from .logging_setup import get_logger
|
|
||||||
|
|
||||||
|
|
||||||
log = get_logger("launcher")
|
|
||||||
|
|
||||||
# Processes a QMT install owns. miniquote/BrokerProxy/minibroker are children
|
|
||||||
# that survive the main window and hold the ports we need to rebind.
|
|
||||||
QMT_PROCESS_NAMES = (
|
|
||||||
"XtItClient.exe",
|
|
||||||
"XtMiniQmt.exe",
|
|
||||||
"miniquote.exe",
|
|
||||||
"BrokerProxy.exe",
|
|
||||||
"minibroker.exe",
|
|
||||||
)
|
|
||||||
|
|
||||||
# FormulaServer. Listening means the terminal is far enough up to answer.
|
|
||||||
DEFAULT_READY_PORT = 58600
|
|
||||||
|
|
||||||
__all__ = [
|
|
||||||
"QmtLauncherError",
|
|
||||||
"close_qmt",
|
|
||||||
"find_qmt_processes",
|
|
||||||
"is_qmt_running",
|
|
||||||
"open_qmt",
|
|
||||||
"restart_qmt",
|
|
||||||
"wait_until_ready",
|
|
||||||
]
|
|
||||||
|
|
||||||
|
|
||||||
class QmtLauncherError(RuntimeError):
|
|
||||||
"""Launching or stopping a QMT terminal failed."""
|
|
||||||
|
|
||||||
|
|
||||||
def _normalize_dir(path):
|
|
||||||
if not path:
|
|
||||||
return ""
|
|
||||||
return os.path.normcase(os.path.normpath(os.path.abspath(str(path))))
|
|
||||||
|
|
||||||
|
|
||||||
def resolve_install_dir(install_dir):
|
|
||||||
"""Accept an install root, its bin.x64, or a path to an exe inside it.
|
|
||||||
|
|
||||||
Returns the normalized ``bin.x64`` directory, which is what process paths
|
|
||||||
are compared against.
|
|
||||||
"""
|
|
||||||
path = str(install_dir or "").strip().strip('"').strip("'")
|
|
||||||
if not path:
|
|
||||||
raise QmtLauncherError("install_dir is required (QMT root, bin.x64, or an exe path)")
|
|
||||||
if os.path.isfile(path) or path.lower().endswith(".exe"):
|
|
||||||
path = os.path.dirname(path)
|
|
||||||
normalized = os.path.normpath(os.path.abspath(path))
|
|
||||||
if os.path.basename(normalized).lower() != "bin.x64":
|
|
||||||
candidate = os.path.join(normalized, "bin.x64")
|
|
||||||
if os.path.isdir(candidate):
|
|
||||||
normalized = candidate
|
|
||||||
return normalized
|
|
||||||
|
|
||||||
|
|
||||||
# ---------------------------------------------------------------- discovery
|
|
||||||
def _iter_processes_psutil():
|
|
||||||
import psutil
|
|
||||||
|
|
||||||
for proc in psutil.process_iter(["pid", "name", "exe"]):
|
|
||||||
try:
|
|
||||||
info = proc.info
|
|
||||||
yield int(info["pid"]), str(info.get("name") or ""), str(info.get("exe") or "")
|
|
||||||
except (psutil.NoSuchProcess, psutil.AccessDenied, psutil.ZombieProcess):
|
|
||||||
continue
|
|
||||||
|
|
||||||
|
|
||||||
def _iter_processes_wmic():
|
|
||||||
"""psutil-free fallback. wmic still ships on the Windows builds QMT runs on."""
|
|
||||||
try:
|
|
||||||
raw = subprocess.check_output(
|
|
||||||
["wmic", "process", "get", "ProcessId,Name,ExecutablePath", "/format:csv"],
|
|
||||||
stderr=subprocess.STDOUT,
|
|
||||||
)
|
|
||||||
except Exception as exc:
|
|
||||||
raise QmtLauncherError(
|
|
||||||
"cannot enumerate processes: psutil is not installed and wmic failed (%s)" % exc
|
|
||||||
)
|
|
||||||
text = raw.decode("utf-8", "replace") if isinstance(raw, bytes) else str(raw)
|
|
||||||
for row in text.splitlines():
|
|
||||||
parts = [p.strip() for p in row.split(",")]
|
|
||||||
# CSV columns: Node,ExecutablePath,Name,ProcessId
|
|
||||||
if len(parts) < 4 or parts[3].lower() in ("processid", ""):
|
|
||||||
continue
|
|
||||||
try:
|
|
||||||
pid = int(parts[3])
|
|
||||||
except ValueError:
|
|
||||||
continue
|
|
||||||
yield pid, parts[2], parts[1]
|
|
||||||
|
|
||||||
|
|
||||||
def _iter_processes():
|
|
||||||
try:
|
|
||||||
import psutil # noqa: F401
|
|
||||||
except ImportError:
|
|
||||||
return _iter_processes_wmic()
|
|
||||||
return _iter_processes_psutil()
|
|
||||||
|
|
||||||
|
|
||||||
def find_qmt_processes(install_dir, names=QMT_PROCESS_NAMES):
|
|
||||||
"""Return ``[(pid, name, exe), ...]`` for QMT processes under ``install_dir``.
|
|
||||||
|
|
||||||
A process with no readable exe path is skipped rather than guessed at: on a
|
|
||||||
machine running several QMT copies, killing by name alone is how you take
|
|
||||||
down the wrong account.
|
|
||||||
"""
|
|
||||||
target = _normalize_dir(resolve_install_dir(install_dir))
|
|
||||||
wanted = set(str(n).lower() for n in names)
|
|
||||||
found = []
|
|
||||||
for pid, name, exe in _iter_processes():
|
|
||||||
if name.lower() not in wanted or not exe:
|
|
||||||
continue
|
|
||||||
if _normalize_dir(os.path.dirname(exe)) == target:
|
|
||||||
found.append((pid, name, exe))
|
|
||||||
return found
|
|
||||||
|
|
||||||
|
|
||||||
def is_qmt_running(install_dir):
|
|
||||||
return bool(find_qmt_processes(install_dir))
|
|
||||||
|
|
||||||
|
|
||||||
# ------------------------------------------------------------------ readiness
|
|
||||||
def port_is_listening(port=DEFAULT_READY_PORT, host="127.0.0.1", timeout=1.0):
|
|
||||||
sock = socket.socket()
|
|
||||||
sock.settimeout(timeout)
|
|
||||||
try:
|
|
||||||
sock.connect((host, port))
|
|
||||||
return True
|
|
||||||
except Exception:
|
|
||||||
return False
|
|
||||||
finally:
|
|
||||||
try:
|
|
||||||
sock.close()
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
|
|
||||||
|
|
||||||
def wait_until_ready(port=DEFAULT_READY_PORT, host="127.0.0.1", timeout_seconds=180.0,
|
|
||||||
poll_interval=2.0):
|
|
||||||
"""Block until ``port`` accepts a connection. Returns seconds waited.
|
|
||||||
|
|
||||||
Raises :class:`QmtLauncherError` on timeout rather than returning False, so
|
|
||||||
a scheduled restart fails loudly instead of letting the next step run
|
|
||||||
against a terminal that never came up.
|
|
||||||
"""
|
|
||||||
deadline = time.time() + float(timeout_seconds)
|
|
||||||
started = time.time()
|
|
||||||
while time.time() < deadline:
|
|
||||||
if port_is_listening(port, host):
|
|
||||||
waited = time.time() - started
|
|
||||||
log.info("qmt ready after %.1fs (%s:%d listening)", waited, host, port)
|
|
||||||
return waited
|
|
||||||
time.sleep(poll_interval)
|
|
||||||
raise QmtLauncherError(
|
|
||||||
"QMT did not become ready within %.0fs (%s:%d never listened)"
|
|
||||||
% (timeout_seconds, host, port)
|
|
||||||
)
|
|
||||||
|
|
||||||
|
|
||||||
def wait_until_stopped(install_dir, timeout_seconds=60.0, poll_interval=1.0):
|
|
||||||
deadline = time.time() + float(timeout_seconds)
|
|
||||||
while time.time() < deadline:
|
|
||||||
if not find_qmt_processes(install_dir):
|
|
||||||
return True
|
|
||||||
time.sleep(poll_interval)
|
|
||||||
return False
|
|
||||||
|
|
||||||
|
|
||||||
# --------------------------------------------------------------------- close
|
|
||||||
def _terminate(pid, force=False):
|
|
||||||
try:
|
|
||||||
import psutil
|
|
||||||
|
|
||||||
proc = psutil.Process(pid)
|
|
||||||
if force:
|
|
||||||
proc.kill()
|
|
||||||
else:
|
|
||||||
proc.terminate()
|
|
||||||
return True
|
|
||||||
except ImportError:
|
|
||||||
pass
|
|
||||||
except Exception:
|
|
||||||
return False
|
|
||||||
cmd = ["taskkill", "/pid", str(pid)]
|
|
||||||
if force:
|
|
||||||
cmd.append("/f")
|
|
||||||
try:
|
|
||||||
subprocess.check_output(cmd, stderr=subprocess.STDOUT)
|
|
||||||
return True
|
|
||||||
except Exception:
|
|
||||||
return False
|
|
||||||
|
|
||||||
|
|
||||||
def close_qmt(install_dir, timeout_seconds=60.0, force_after_seconds=20.0):
|
|
||||||
"""Stop every QMT process under ``install_dir``. Returns how many were stopped.
|
|
||||||
|
|
||||||
Asks politely first: the terminal flushes local data on a clean exit, and
|
|
||||||
killing it outright is how the K-line store ends up truncated. Escalates to
|
|
||||||
a hard kill only after ``force_after_seconds``.
|
|
||||||
"""
|
|
||||||
targets = find_qmt_processes(install_dir)
|
|
||||||
if not targets:
|
|
||||||
log.info("no QMT process under %s; nothing to close", install_dir)
|
|
||||||
return 0
|
|
||||||
|
|
||||||
for pid, name, _exe in targets:
|
|
||||||
log.info("closing %s (pid=%s)", name, pid)
|
|
||||||
_terminate(pid, force=False)
|
|
||||||
|
|
||||||
if wait_until_stopped(install_dir, timeout_seconds=force_after_seconds):
|
|
||||||
log.info("closed %d process(es) cleanly", len(targets))
|
|
||||||
return len(targets)
|
|
||||||
|
|
||||||
remaining = find_qmt_processes(install_dir)
|
|
||||||
log.warning("%d process(es) still alive after %.0fs; forcing",
|
|
||||||
len(remaining), force_after_seconds)
|
|
||||||
for pid, name, _exe in remaining:
|
|
||||||
_terminate(pid, force=True)
|
|
||||||
|
|
||||||
grace = max(timeout_seconds - force_after_seconds, 5.0)
|
|
||||||
if not wait_until_stopped(install_dir, timeout_seconds=grace):
|
|
||||||
still = find_qmt_processes(install_dir)
|
|
||||||
raise QmtLauncherError(
|
|
||||||
"could not stop: %s" % ", ".join("%s(pid=%s)" % (n, p) for p, n, _ in still)
|
|
||||||
)
|
|
||||||
return len(targets)
|
|
||||||
|
|
||||||
|
|
||||||
# ---------------------------------------------------------------------- open
|
|
||||||
def _spawn(command, cwd=None, shell=False):
|
|
||||||
log.info("launching: %s", command if isinstance(command, str) else " ".join(command))
|
|
||||||
kwargs = {"cwd": cwd, "shell": shell,
|
|
||||||
"stdout": subprocess.DEVNULL, "stderr": subprocess.DEVNULL}
|
|
||||||
if os.name == "nt":
|
|
||||||
# Detach so the terminal outlives this process -- otherwise a scheduled
|
|
||||||
# task exiting takes QMT with it.
|
|
||||||
detached = getattr(subprocess, "DETACHED_PROCESS", 0x00000008)
|
|
||||||
new_group = getattr(subprocess, "CREATE_NEW_PROCESS_GROUP", 0x00000200)
|
|
||||||
kwargs["creationflags"] = detached | new_group
|
|
||||||
return subprocess.Popen(command, **kwargs)
|
|
||||||
|
|
||||||
|
|
||||||
def open_qmt(install_dir, mode="auto", bat_path=None, exe_name=None,
|
|
||||||
ready_port=DEFAULT_READY_PORT, ready_timeout_seconds=180.0,
|
|
||||||
wait_ready=True, credentials=None, window_title_prefix=None):
|
|
||||||
"""Start a QMT terminal under ``install_dir`` and wait until it answers.
|
|
||||||
|
|
||||||
``mode``:
|
|
||||||
``"linkmini"`` -- ``XtMiniQmt.exe linkMini``, no login dialog.
|
|
||||||
``"bat"`` -- run ``bat_path`` (e.g. 免密登录qmt.bat).
|
|
||||||
``"exe"`` -- start ``exe_name`` (default XtItClient.exe) as-is; use
|
|
||||||
when the terminal restores its own session.
|
|
||||||
``"login"`` -- start the exe, then type credentials into the dialog.
|
|
||||||
``"auto"`` -- bat if given, else linkmini if XtMiniQmt.exe exists,
|
|
||||||
else exe.
|
|
||||||
|
|
||||||
``credentials`` (mode="login") is ``{"user": ..., "password": ...}``. Pass
|
|
||||||
it from your local config or environment; never hardcode it, and note the
|
|
||||||
values are typed into a window, so anything that can read that window can
|
|
||||||
read them.
|
|
||||||
"""
|
|
||||||
bin_dir = resolve_install_dir(install_dir)
|
|
||||||
if not os.path.isdir(bin_dir):
|
|
||||||
raise QmtLauncherError("no such directory: %s" % bin_dir)
|
|
||||||
|
|
||||||
mode = str(mode or "auto").lower()
|
|
||||||
if mode == "auto":
|
|
||||||
if bat_path:
|
|
||||||
mode = "bat"
|
|
||||||
elif os.path.isfile(os.path.join(bin_dir, "XtMiniQmt.exe")):
|
|
||||||
mode = "linkmini"
|
|
||||||
else:
|
|
||||||
mode = "exe"
|
|
||||||
|
|
||||||
if mode == "bat":
|
|
||||||
if not bat_path or not os.path.isfile(bat_path):
|
|
||||||
raise QmtLauncherError("bat_path is required for mode='bat': %r" % bat_path)
|
|
||||||
_spawn([bat_path], cwd=os.path.dirname(bat_path), shell=True)
|
|
||||||
elif mode == "linkmini":
|
|
||||||
exe = os.path.join(bin_dir, "XtMiniQmt.exe")
|
|
||||||
if not os.path.isfile(exe):
|
|
||||||
raise QmtLauncherError("XtMiniQmt.exe not found in %s" % bin_dir)
|
|
||||||
_spawn([exe, "linkMini"], cwd=bin_dir)
|
|
||||||
elif mode in ("exe", "login"):
|
|
||||||
exe = os.path.join(bin_dir, str(exe_name or "XtItClient.exe"))
|
|
||||||
if not os.path.isfile(exe):
|
|
||||||
raise QmtLauncherError("%s not found in %s" % (os.path.basename(exe), bin_dir))
|
|
||||||
_spawn([exe], cwd=bin_dir)
|
|
||||||
if mode == "login":
|
|
||||||
_login_via_window(credentials or {}, window_title_prefix)
|
|
||||||
else:
|
|
||||||
raise QmtLauncherError("unknown mode %r (bat/linkmini/exe/login/auto)" % mode)
|
|
||||||
|
|
||||||
if not wait_ready:
|
|
||||||
return 0.0
|
|
||||||
return wait_until_ready(ready_port, timeout_seconds=ready_timeout_seconds)
|
|
||||||
|
|
||||||
|
|
||||||
def _login_via_window(credentials, window_title_prefix=None, appear_timeout_seconds=90.0):
|
|
||||||
"""Type credentials into the QMT login dialog via SendMessage.
|
|
||||||
|
|
||||||
Matches the window by title PREFIX. The reference implementation pinned the
|
|
||||||
full title including a build number ("国金证券QMT交易端 1.0.0.29456"), which
|
|
||||||
stops finding the window on the next terminal update.
|
|
||||||
"""
|
|
||||||
user = str(credentials.get("user") or credentials.get("account") or "")
|
|
||||||
password = str(credentials.get("password") or "")
|
|
||||||
if not user or not password:
|
|
||||||
raise QmtLauncherError(
|
|
||||||
"mode='login' needs credentials={'user':..., 'password':...}"
|
|
||||||
)
|
|
||||||
try:
|
|
||||||
import win32api
|
|
||||||
import win32con
|
|
||||||
import win32gui
|
|
||||||
except ImportError:
|
|
||||||
raise QmtLauncherError(
|
|
||||||
"mode='login' needs pywin32 (pip install pywin32); "
|
|
||||||
"prefer mode='linkmini' or mode='bat', which need no UI automation"
|
|
||||||
)
|
|
||||||
|
|
||||||
prefix = str(window_title_prefix or "QMT")
|
|
||||||
|
|
||||||
def _collect(hwnd, acc):
|
|
||||||
if not win32gui.IsWindowVisible(hwnd):
|
|
||||||
return
|
|
||||||
title = win32gui.GetWindowText(hwnd) or ""
|
|
||||||
if title.strip().startswith(prefix):
|
|
||||||
acc.append(hwnd)
|
|
||||||
|
|
||||||
def _find():
|
|
||||||
matches = []
|
|
||||||
win32gui.EnumWindows(_collect, matches)
|
|
||||||
return matches[0] if matches else None
|
|
||||||
|
|
||||||
deadline = time.time() + appear_timeout_seconds
|
|
||||||
handle = None
|
|
||||||
while time.time() < deadline:
|
|
||||||
handle = _find()
|
|
||||||
if handle:
|
|
||||||
break
|
|
||||||
time.sleep(2.0)
|
|
||||||
if not handle:
|
|
||||||
raise QmtLauncherError(
|
|
||||||
"login window starting with %r did not appear within %.0fs"
|
|
||||||
% (prefix, appear_timeout_seconds)
|
|
||||||
)
|
|
||||||
|
|
||||||
def _send_text(text):
|
|
||||||
for ch in str(text):
|
|
||||||
win32api.SendMessage(handle, win32con.WM_KEYDOWN, ord(ch), 0)
|
|
||||||
win32api.SendMessage(handle, win32con.WM_KEYUP, ord(ch), 0)
|
|
||||||
time.sleep(0.2)
|
|
||||||
|
|
||||||
def _send_enter():
|
|
||||||
win32api.SendMessage(handle, win32con.WM_KEYDOWN, win32con.VK_RETURN, 0)
|
|
||||||
win32api.SendMessage(handle, win32con.WM_KEYUP, win32con.VK_RETURN, 0)
|
|
||||||
time.sleep(1.0)
|
|
||||||
|
|
||||||
# Never log the values themselves.
|
|
||||||
log.info("entering credentials into window %r", prefix)
|
|
||||||
_send_text(user)
|
|
||||||
_send_enter()
|
|
||||||
_send_text(password)
|
|
||||||
_send_enter()
|
|
||||||
_send_enter()
|
|
||||||
|
|
||||||
|
|
||||||
def restart_qmt(install_dir, settle_seconds=5.0, **open_kwargs):
|
|
||||||
"""Close, wait for the ports to be released, then start again.
|
|
||||||
|
|
||||||
``settle_seconds`` matters: the FormulaServer and RPC sockets linger briefly
|
|
||||||
after the process dies, and the ZMQ transport binds its configured port
|
|
||||||
exactly (no scanning), so restarting too eagerly fails the rebind.
|
|
||||||
"""
|
|
||||||
closed = close_qmt(install_dir)
|
|
||||||
if closed:
|
|
||||||
time.sleep(settle_seconds)
|
|
||||||
waited = open_qmt(install_dir, **open_kwargs)
|
|
||||||
log.info("restart complete (closed=%d, ready in %.1fs)", closed, waited)
|
|
||||||
return waited
|
|
||||||
|
|
||||||
|
|
||||||
# ----------------------------------------------------------------------- CLI
|
|
||||||
def main(argv=None):
|
|
||||||
import argparse
|
|
||||||
|
|
||||||
parser = argparse.ArgumentParser(
|
|
||||||
prog="python -m bigqmt_signal_trader.qmt_launcher",
|
|
||||||
description="Start/stop a Big QMT terminal, scoped to one install directory.",
|
|
||||||
)
|
|
||||||
parser.add_argument("action", choices=("open", "close", "restart", "status"))
|
|
||||||
parser.add_argument("--dir", required=True,
|
|
||||||
help="QMT root, its bin.x64, or a path to an exe inside it")
|
|
||||||
parser.add_argument("--mode", default="auto",
|
|
||||||
choices=("auto", "bat", "linkmini", "exe", "login"))
|
|
||||||
parser.add_argument("--bat", default=None, help="batch file for --mode bat")
|
|
||||||
parser.add_argument("--exe", default=None, help="exe name for --mode exe/login")
|
|
||||||
parser.add_argument("--port", type=int, default=DEFAULT_READY_PORT)
|
|
||||||
parser.add_argument("--timeout", type=float, default=180.0)
|
|
||||||
parser.add_argument("--no-wait", action="store_true")
|
|
||||||
parser.add_argument("--title-prefix", default=None,
|
|
||||||
help="login window title prefix (--mode login)")
|
|
||||||
args = parser.parse_args(argv)
|
|
||||||
|
|
||||||
if args.action == "status":
|
|
||||||
procs = find_qmt_processes(args.dir)
|
|
||||||
if not procs:
|
|
||||||
print("not running (%s)" % resolve_install_dir(args.dir))
|
|
||||||
return 1
|
|
||||||
for pid, name, exe in procs:
|
|
||||||
print("%-16s pid=%-8s %s" % (name, pid, exe))
|
|
||||||
print("ready port %d: %s" % (
|
|
||||||
args.port, "listening" if port_is_listening(args.port) else "not listening"))
|
|
||||||
return 0
|
|
||||||
|
|
||||||
credentials = None
|
|
||||||
if args.mode == "login":
|
|
||||||
# Read from the environment so a password never reaches argv, where it
|
|
||||||
# would be visible to any process listing.
|
|
||||||
credentials = {"user": os.environ.get("BIGQMT_LOGIN_USER", ""),
|
|
||||||
"password": os.environ.get("BIGQMT_LOGIN_PASSWORD", "")}
|
|
||||||
|
|
||||||
try:
|
|
||||||
if args.action == "close":
|
|
||||||
print("closed %d process(es)" % close_qmt(args.dir))
|
|
||||||
else:
|
|
||||||
kwargs = dict(mode=args.mode, bat_path=args.bat, exe_name=args.exe,
|
|
||||||
ready_port=args.port, ready_timeout_seconds=args.timeout,
|
|
||||||
wait_ready=not args.no_wait, credentials=credentials,
|
|
||||||
window_title_prefix=args.title_prefix)
|
|
||||||
if args.action == "restart":
|
|
||||||
restart_qmt(args.dir, **kwargs)
|
|
||||||
else:
|
|
||||||
open_qmt(args.dir, **kwargs)
|
|
||||||
print("ok")
|
|
||||||
except QmtLauncherError as exc:
|
|
||||||
print("error: %s" % exc, file=sys.stderr)
|
|
||||||
return 2
|
|
||||||
return 0
|
|
||||||
|
|
||||||
|
|
||||||
if __name__ == "__main__":
|
|
||||||
sys.exit(main())
|
|
||||||
@@ -1,270 +0,0 @@
|
|||||||
"""Server→client whole-quote push channel.
|
|
||||||
|
|
||||||
The RPC transport is request/response only; whole-quote data needs the opposite
|
|
||||||
direction — the server pushes each incremental tick batch to every client
|
|
||||||
subscribed to that combination. This module provides one abstract channel with
|
|
||||||
two interchangeable implementations:
|
|
||||||
|
|
||||||
* :class:`ZmqQuotePushChannel` — a ``PUB`` socket on the server, a ``SUB`` socket
|
|
||||||
per client. Native to no-redis deployments. Fire-and-forget: a client that is
|
|
||||||
down simply misses frames (acceptable for incremental quote pushes).
|
|
||||||
* :class:`RedisQuotePushChannel` — redis ``publish``/``subscribe`` on a
|
|
||||||
per-account, per-combination channel, for redis deployments.
|
|
||||||
|
|
||||||
Wire encoding is msgpack when available (smaller + faster for the
|
|
||||||
``{code: {field: number}}`` payload shape), falling back to stdlib json so the
|
|
||||||
channel stays usable without the optional dependency.
|
|
||||||
"""
|
|
||||||
|
|
||||||
import json
|
|
||||||
import threading
|
|
||||||
|
|
||||||
try:
|
|
||||||
import msgpack
|
|
||||||
|
|
||||||
_HAS_MSGPACK = True
|
|
||||||
except Exception: # pragma: no cover - depends on optional dependency
|
|
||||||
msgpack = None
|
|
||||||
_HAS_MSGPACK = False
|
|
||||||
|
|
||||||
|
|
||||||
def encode_push_payload(payload):
|
|
||||||
"""Encode a push payload dict to bytes (msgpack preferred, json fallback)."""
|
|
||||||
if _HAS_MSGPACK:
|
|
||||||
return msgpack.packb(payload, use_bin_type=True)
|
|
||||||
return json.dumps(payload, ensure_ascii=False, default=str).encode("utf-8")
|
|
||||||
|
|
||||||
|
|
||||||
def decode_push_payload(blob):
|
|
||||||
"""Inverse of :func:`encode_push_payload`. Accepts bytes or str.
|
|
||||||
|
|
||||||
Encoding is not symmetric across deployments: a server without msgpack
|
|
||||||
falls back to json while a client with msgpack installed decodes with
|
|
||||||
msgpack — ``msgpack.unpackb`` then raises ``ExtraData`` on the json text
|
|
||||||
(its first byte ``{`` parses as an int, leaving trailing bytes). So try
|
|
||||||
msgpack first, and fall back to json when the bytes are not a single
|
|
||||||
valid msgpack object.
|
|
||||||
"""
|
|
||||||
if blob is None:
|
|
||||||
return None
|
|
||||||
if isinstance(blob, str):
|
|
||||||
blob = blob.encode("utf-8")
|
|
||||||
if _HAS_MSGPACK:
|
|
||||||
try:
|
|
||||||
return msgpack.unpackb(blob, raw=False)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
return json.loads(blob.decode("utf-8"))
|
|
||||||
|
|
||||||
|
|
||||||
class QuotePushChannel(object):
|
|
||||||
"""Abstract push channel. Server side: ``start_publisher`` + ``publish``.
|
|
||||||
Client side: ``start_subscriber(topics, on_msg)``. A single instance may act
|
|
||||||
as publisher or subscriber depending on which start method is called."""
|
|
||||||
|
|
||||||
def start_publisher(self):
|
|
||||||
raise NotImplementedError
|
|
||||||
|
|
||||||
def start_subscriber(self, topics, on_msg):
|
|
||||||
raise NotImplementedError
|
|
||||||
|
|
||||||
def publish(self, topic, data):
|
|
||||||
raise NotImplementedError
|
|
||||||
|
|
||||||
def stop(self):
|
|
||||||
raise NotImplementedError
|
|
||||||
|
|
||||||
|
|
||||||
class ZmqQuotePushChannel(QuotePushChannel):
|
|
||||||
def __init__(self, bind_address=None, connect_address=None, context=None, print_prefix="[bigqmt_quote_push]"):
|
|
||||||
self.bind_address = bind_address
|
|
||||||
self.connect_address = connect_address
|
|
||||||
self.print_prefix = print_prefix
|
|
||||||
self._zmq = None
|
|
||||||
self._context = context
|
|
||||||
self._pub = None
|
|
||||||
self._pub_lock = threading.Lock()
|
|
||||||
self._sub = None
|
|
||||||
self._sub_thread = None
|
|
||||||
self._running = False
|
|
||||||
|
|
||||||
def _ensure_context(self):
|
|
||||||
if self._zmq is None:
|
|
||||||
import zmq
|
|
||||||
|
|
||||||
self._zmq = zmq
|
|
||||||
if self._context is None:
|
|
||||||
self._context = zmq.Context.instance()
|
|
||||||
return self._zmq, self._context
|
|
||||||
|
|
||||||
# -- server side ---------------------------------------------------------
|
|
||||||
def start_publisher(self):
|
|
||||||
zmq, ctx = self._ensure_context()
|
|
||||||
if not self.bind_address:
|
|
||||||
raise ValueError("bind_address is required to start a publisher")
|
|
||||||
self._pub = ctx.socket(zmq.PUB)
|
|
||||||
self._pub.bind(self.bind_address)
|
|
||||||
self._running = True
|
|
||||||
|
|
||||||
def publish(self, topic, data):
|
|
||||||
payload = encode_push_payload({"combo_key": topic, "data": data})
|
|
||||||
frame = [str(topic).encode("utf-8"), payload]
|
|
||||||
# PUB socket is not thread-safe; serialize under the lock and read the
|
|
||||||
# socket inside it so a concurrent stop() (which nulls _pub) can't hand
|
|
||||||
# us a closed socket.
|
|
||||||
with self._pub_lock:
|
|
||||||
pub = self._pub
|
|
||||||
if pub is None:
|
|
||||||
return
|
|
||||||
try:
|
|
||||||
pub.send_multipart(frame)
|
|
||||||
except Exception as exc:
|
|
||||||
print("%s zmq publish failed: %s" % (self.print_prefix, exc))
|
|
||||||
|
|
||||||
# -- client side ---------------------------------------------------------
|
|
||||||
def start_subscriber(self, topics, on_msg):
|
|
||||||
zmq, ctx = self._ensure_context()
|
|
||||||
if not self.connect_address:
|
|
||||||
raise ValueError("connect_address is required to start a subscriber")
|
|
||||||
sub = ctx.socket(zmq.SUB)
|
|
||||||
sub.connect(self.connect_address)
|
|
||||||
for topic in topics or []:
|
|
||||||
sub.setsockopt(zmq.SUBSCRIBE, str(topic).encode("utf-8"))
|
|
||||||
self._sub = sub
|
|
||||||
self._running = True
|
|
||||||
self._sub_thread = threading.Thread(
|
|
||||||
target=self._sub_loop, args=(sub, on_msg), name="bigqmt-quote-push-sub", daemon=True
|
|
||||||
)
|
|
||||||
self._sub_thread.start()
|
|
||||||
|
|
||||||
def _sub_loop(self, sub, on_msg):
|
|
||||||
# The SUB socket is owned by THIS thread; it must be closed HERE (in a
|
|
||||||
# finally) and never from another thread. Closing a ZMQ socket cross-
|
|
||||||
# thread trips a Windows signaler assertion and aborts the whole QMT
|
|
||||||
# process (the "auto-exit" users hit).
|
|
||||||
poller = self._zmq.Poller()
|
|
||||||
poller.register(sub, self._zmq.POLLIN)
|
|
||||||
try:
|
|
||||||
while self._running:
|
|
||||||
try:
|
|
||||||
events = dict(poller.poll(200))
|
|
||||||
except Exception:
|
|
||||||
break
|
|
||||||
if sub not in events:
|
|
||||||
continue
|
|
||||||
try:
|
|
||||||
frames = sub.recv_multipart(self._zmq.NOBLOCK)
|
|
||||||
except Exception:
|
|
||||||
continue
|
|
||||||
if len(frames) < 2:
|
|
||||||
continue
|
|
||||||
topic = frames[0].decode("utf-8", errors="ignore")
|
|
||||||
data = decode_push_payload(frames[-1])
|
|
||||||
payload_data = data.get("data") if isinstance(data, dict) else data
|
|
||||||
try:
|
|
||||||
on_msg(topic, payload_data)
|
|
||||||
except Exception as exc:
|
|
||||||
print("%s subscriber callback failed: %s" % (self.print_prefix, exc))
|
|
||||||
finally:
|
|
||||||
try:
|
|
||||||
sub.close(linger=0)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
|
|
||||||
def stop(self):
|
|
||||||
# Signal the sub thread to exit and let IT close its own socket (see
|
|
||||||
# _sub_loop). Closing the SUB socket from this (foreign) thread would
|
|
||||||
# trip the Windows ZMQ signaler abort and crash QMT.
|
|
||||||
self._running = False
|
|
||||||
thread = self._sub_thread
|
|
||||||
if thread is not None and thread.is_alive():
|
|
||||||
thread.join(1.0)
|
|
||||||
self._sub_thread = None
|
|
||||||
self._sub = None
|
|
||||||
# The PUB socket is only touched by publisher threads under _pub_lock;
|
|
||||||
# null it first so a racing publish() sees None and bails, then close.
|
|
||||||
with self._pub_lock:
|
|
||||||
pub = self._pub
|
|
||||||
self._pub = None
|
|
||||||
if pub is not None:
|
|
||||||
try:
|
|
||||||
pub.close(linger=0)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
|
|
||||||
|
|
||||||
class RedisQuotePushChannel(QuotePushChannel):
|
|
||||||
def __init__(self, redis_client, account_id="", channel_template="bigqmt:quote_push:{account_id}:{topic}", print_prefix="[bigqmt_quote_push]"):
|
|
||||||
self.redis = redis_client
|
|
||||||
self.account_id = str(account_id or "")
|
|
||||||
self.channel_template = channel_template
|
|
||||||
self.print_prefix = print_prefix
|
|
||||||
self._running = False
|
|
||||||
self._pubsub = None
|
|
||||||
self._thread = None
|
|
||||||
|
|
||||||
def _channel(self, topic):
|
|
||||||
return self.channel_template.format(account_id=self.account_id, topic=topic)
|
|
||||||
|
|
||||||
# -- server side ---------------------------------------------------------
|
|
||||||
def start_publisher(self):
|
|
||||||
# Redis publish needs no setup; present for interface symmetry.
|
|
||||||
self._running = True
|
|
||||||
|
|
||||||
def publish(self, topic, data):
|
|
||||||
payload = encode_push_payload({"combo_key": topic, "data": data})
|
|
||||||
try:
|
|
||||||
self.redis.publish(self._channel(topic), payload)
|
|
||||||
except Exception as exc:
|
|
||||||
print("%s redis publish failed: %s" % (self.print_prefix, exc))
|
|
||||||
|
|
||||||
# -- client side ---------------------------------------------------------
|
|
||||||
def start_subscriber(self, topics, on_msg):
|
|
||||||
self._running = True
|
|
||||||
self._thread = threading.Thread(
|
|
||||||
target=self._sub_loop, args=(list(topics or []), on_msg), name="bigqmt-quote-push-sub", daemon=True
|
|
||||||
)
|
|
||||||
self._thread.start()
|
|
||||||
|
|
||||||
def _sub_loop(self, topics, on_msg):
|
|
||||||
# The pubsub connection is owned by THIS thread and closed HERE so a
|
|
||||||
# concurrent stop() can't close it out from under us.
|
|
||||||
pubsub = self.redis.pubsub(ignore_subscribe_messages=True)
|
|
||||||
self._pubsub = pubsub
|
|
||||||
channels = [self._channel(topic) for topic in topics]
|
|
||||||
try:
|
|
||||||
pubsub.subscribe(*channels)
|
|
||||||
except Exception as exc:
|
|
||||||
print("%s redis subscribe failed: %s" % (self.print_prefix, exc))
|
|
||||||
return
|
|
||||||
try:
|
|
||||||
while self._running:
|
|
||||||
try:
|
|
||||||
message = pubsub.get_message(timeout=0.2)
|
|
||||||
except Exception:
|
|
||||||
break
|
|
||||||
if not message or message.get("type") != "message":
|
|
||||||
continue
|
|
||||||
channel = message.get("channel")
|
|
||||||
if isinstance(channel, bytes):
|
|
||||||
channel = channel.decode("utf-8", errors="ignore")
|
|
||||||
topic = str(channel).rsplit(":", 1)[-1]
|
|
||||||
data = decode_push_payload(message.get("data"))
|
|
||||||
payload_data = data.get("data") if isinstance(data, dict) else data
|
|
||||||
try:
|
|
||||||
on_msg(topic, payload_data)
|
|
||||||
except Exception as exc:
|
|
||||||
print("%s subscriber callback failed: %s" % (self.print_prefix, exc))
|
|
||||||
finally:
|
|
||||||
try:
|
|
||||||
pubsub.close()
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
|
|
||||||
def stop(self):
|
|
||||||
self._running = False
|
|
||||||
thread = self._thread
|
|
||||||
if thread is not None and thread.is_alive():
|
|
||||||
thread.join(1.0)
|
|
||||||
self._thread = None
|
|
||||||
self._pubsub = None
|
|
||||||
@@ -1,258 +0,0 @@
|
|||||||
"""Reference-counted whole-quote subscription manager (server side).
|
|
||||||
|
|
||||||
One big-QMT ``ContextInfo.subscribe_whole_quote`` subscription is shared by every
|
|
||||||
client that asked for the same (normalized) code combination. The big-QMT
|
|
||||||
subscription is only created for the first client of a combination and only torn
|
|
||||||
down after the last client either unsubscribes or goes silent (keepalive timeout).
|
|
||||||
|
|
||||||
The manager talks to big QMT exclusively through a :class:`QuoteSourceAdapter`;
|
|
||||||
it never touches ``ContextInfo`` directly so the real-environment wiring (method
|
|
||||||
names / handle shape) stays isolated to the adapter.
|
|
||||||
|
|
||||||
Threading: ``subscribe``/``unsubscribe``/``keepalive`` run on the RPC thread,
|
|
||||||
``reap_expired`` on the scheduler thread and ``on_push`` on big QMT's quote
|
|
||||||
thread. Shared state is guarded by one re-entrant lock; calls out to the quote
|
|
||||||
source and to the push publisher happen OUTSIDE the lock so a slow/blocking
|
|
||||||
publish never stalls quote-thread state, and no callback can deadlock.
|
|
||||||
"""
|
|
||||||
|
|
||||||
import threading
|
|
||||||
|
|
||||||
|
|
||||||
def combo_key(code_list):
|
|
||||||
"""Normalize a code list into an order-independent combination key.
|
|
||||||
|
|
||||||
Uppercases, strips whitespace, drops empties and duplicates, sorts. So
|
|
||||||
``["SH","SZ"]``, ``["sz","sh"]`` and ``["SH","SH","SZ"]`` all map to
|
|
||||||
``"SH,SZ"`` and share one big-QMT subscription.
|
|
||||||
"""
|
|
||||||
normalized = {str(code).strip().upper() for code in (code_list or []) if str(code or "").strip()}
|
|
||||||
return ",".join(sorted(normalized))
|
|
||||||
|
|
||||||
|
|
||||||
class QuoteSourceAdapter(object):
|
|
||||||
"""Big-QMT whole-quote source. ContextInfo-backed implementation lives in the
|
|
||||||
server runtime; tests substitute a fake. ``subscribe`` must return a handle
|
|
||||||
usable by ``unsubscribe``."""
|
|
||||||
|
|
||||||
def subscribe(self, codes, on_push):
|
|
||||||
raise NotImplementedError
|
|
||||||
|
|
||||||
def unsubscribe(self, handle):
|
|
||||||
raise NotImplementedError
|
|
||||||
|
|
||||||
|
|
||||||
class ContextInfoQuoteSource(QuoteSourceAdapter):
|
|
||||||
"""Real big-QMT source backed by the strategy's ``ContextInfo``.
|
|
||||||
|
|
||||||
Verified against the real environment: ``ContextInfo.subscribe_whole_quote(
|
|
||||||
code_list, callback)`` returns an int subscription id (``< 0`` on failure) and
|
|
||||||
pushes INCREMENTAL ``{code: tick}`` batches on a dedicated quote thread;
|
|
||||||
``ContextInfo.unsubscribe_quote(sub_id)`` cancels it.
|
|
||||||
"""
|
|
||||||
|
|
||||||
def __init__(self, context_info):
|
|
||||||
self._context = context_info
|
|
||||||
|
|
||||||
def subscribe(self, codes, on_push):
|
|
||||||
sub_id = self._context.subscribe_whole_quote(list(codes), callback=on_push)
|
|
||||||
if sub_id is None or int(sub_id) < 0:
|
|
||||||
raise RuntimeError("ContextInfo.subscribe_whole_quote failed for codes=%s" % (list(codes),))
|
|
||||||
return int(sub_id)
|
|
||||||
|
|
||||||
def unsubscribe(self, handle):
|
|
||||||
try:
|
|
||||||
self._context.unsubscribe_quote(handle)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
|
|
||||||
|
|
||||||
class _Combo(object):
|
|
||||||
__slots__ = ("key", "codes", "handle", "topic", "clients")
|
|
||||||
|
|
||||||
def __init__(self, key, codes, handle, topic):
|
|
||||||
self.key = key
|
|
||||||
self.codes = codes
|
|
||||||
self.handle = handle
|
|
||||||
self.topic = topic
|
|
||||||
# (client_id, sub_id) -> last_seen. Sub-id granularity: one client may
|
|
||||||
# hold several subscriptions to the same combination, and each one keeps
|
|
||||||
# the shared big-QMT subscription alive independently.
|
|
||||||
self.clients = {} # (client_id, sub_id) -> last_seen timestamp
|
|
||||||
|
|
||||||
|
|
||||||
class QuoteSubscriptionManager(object):
|
|
||||||
def __init__(self, source, heartbeat_timeout_seconds=30.0, time_func=None, on_push_publisher=None, push_endpoint=""):
|
|
||||||
self._source = source
|
|
||||||
self._heartbeat_timeout = float(heartbeat_timeout_seconds)
|
|
||||||
self._now = time_func or _monotonic
|
|
||||||
# Optional callable(topic, data) invoked when big QMT pushes a tick batch.
|
|
||||||
# Wired to the QuotePushChannel in a later stage; None keeps dispatch inert.
|
|
||||||
self._on_push_publisher = on_push_publisher
|
|
||||||
# Advertised to clients in subscribe responses so a zmq subscriber knows
|
|
||||||
# where to connect (redis subscribers derive the channel locally instead).
|
|
||||||
self._push_endpoint = str(push_endpoint or "")
|
|
||||||
self._lock = threading.RLock()
|
|
||||||
self._combos = {} # combo_key -> _Combo
|
|
||||||
self._sub_index = {} # (client_id, sub_id) -> combo_key
|
|
||||||
|
|
||||||
# -- subscription lifecycle ---------------------------------------------
|
|
||||||
def subscribe(self, client_id, sub_id, code_list):
|
|
||||||
"""Register (client_id, sub_id) against its combination; create the shared
|
|
||||||
big-QMT subscription on first use. Idempotent for replayed subscribes."""
|
|
||||||
client_id = str(client_id or "")
|
|
||||||
sub_id = str(sub_id or "")
|
|
||||||
key = combo_key(code_list)
|
|
||||||
now = self._now()
|
|
||||||
|
|
||||||
with self._lock:
|
|
||||||
combo = self._combos.get(key)
|
|
||||||
if combo is None:
|
|
||||||
codes = sorted({str(c).strip().upper() for c in (code_list or []) if str(c or "").strip()})
|
|
||||||
# source.subscribe registers the on_push callback with big QMT; it
|
|
||||||
# does not call back into the manager, so it is safe under the lock.
|
|
||||||
handle = self._source.subscribe(codes, self._make_on_push(key))
|
|
||||||
combo = _Combo(key, codes, handle, key)
|
|
||||||
self._combos[key] = combo
|
|
||||||
|
|
||||||
combo.clients[(client_id, sub_id)] = now
|
|
||||||
self._sub_index[(client_id, sub_id)] = key
|
|
||||||
return {"combo_key": key, "topic": combo.topic, "push_endpoint": self._push_endpoint}
|
|
||||||
|
|
||||||
def unsubscribe(self, client_id, sub_id):
|
|
||||||
"""Drop (client_id, sub_id); tear the big-QMT subscription down when the
|
|
||||||
last subscription of the combination leaves. Unknown sub_ids are a no-op."""
|
|
||||||
client_id = str(client_id or "")
|
|
||||||
sub_id = str(sub_id or "")
|
|
||||||
with self._lock:
|
|
||||||
key = self._sub_index.pop((client_id, sub_id), None)
|
|
||||||
if key is None:
|
|
||||||
return
|
|
||||||
handle_to_close = self._remove_subscription_locked(key, client_id, sub_id)
|
|
||||||
self._close_source(handle_to_close)
|
|
||||||
|
|
||||||
def keepalive(self, client_id, sub_id):
|
|
||||||
"""Refresh last_seen for (client_id, sub_id). Unknown sub_ids are a no-op."""
|
|
||||||
client_id = str(client_id or "")
|
|
||||||
key = self._sub_index.get((client_id, str(sub_id or "")))
|
|
||||||
if key is None:
|
|
||||||
return
|
|
||||||
with self._lock:
|
|
||||||
combo = self._combos.get(key)
|
|
||||||
if combo is None:
|
|
||||||
return
|
|
||||||
combo.clients[(client_id, str(sub_id or ""))] = self._now()
|
|
||||||
|
|
||||||
# -- reaper ---------------------------------------------------------------
|
|
||||||
def reap_expired(self, now=None):
|
|
||||||
"""Remove subscriptions silent for longer than the keepalive timeout;
|
|
||||||
tear down combos that end up empty. Returns the number reaped."""
|
|
||||||
now = self._now() if now is None else now
|
|
||||||
reaped = 0
|
|
||||||
handles_to_close = []
|
|
||||||
with self._lock:
|
|
||||||
for key in list(self._combos.keys()):
|
|
||||||
combo = self._combos.get(key)
|
|
||||||
if combo is None:
|
|
||||||
continue
|
|
||||||
for (client_id, sub_id), last_seen in list(combo.clients.items()):
|
|
||||||
if now - last_seen > self._heartbeat_timeout:
|
|
||||||
self._sub_index.pop((client_id, sub_id), None)
|
|
||||||
handle = self._remove_subscription_locked(key, client_id, sub_id)
|
|
||||||
if handle is not None:
|
|
||||||
handles_to_close.append(handle)
|
|
||||||
reaped += 1
|
|
||||||
for handle in handles_to_close:
|
|
||||||
self._close_source(handle)
|
|
||||||
return reaped
|
|
||||||
|
|
||||||
# -- internals -------------------------------------------------------------
|
|
||||||
def _make_on_push(self, key):
|
|
||||||
def on_push(data):
|
|
||||||
publisher = self._on_push_publisher
|
|
||||||
if publisher is None:
|
|
||||||
return
|
|
||||||
with self._lock:
|
|
||||||
combo = self._combos.get(key)
|
|
||||||
topic = combo.topic if combo is not None else None
|
|
||||||
if topic is None:
|
|
||||||
return
|
|
||||||
# Publish outside the lock: it is network IO and must not stall the
|
|
||||||
# quote thread or block reaper/RPC threads waiting on the lock.
|
|
||||||
publisher(topic, data)
|
|
||||||
|
|
||||||
return on_push
|
|
||||||
|
|
||||||
def _remove_subscription_locked(self, key, client_id, sub_id):
|
|
||||||
"""Remove one (client_id, sub_id) from a combo. If the combo has no
|
|
||||||
subscriptions left, detach it and return its source handle for the
|
|
||||||
caller to close OUTSIDE the lock; else return None. Caller must hold
|
|
||||||
the lock."""
|
|
||||||
combo = self._combos.get(key)
|
|
||||||
if combo is None:
|
|
||||||
return None
|
|
||||||
combo.clients.pop((client_id, sub_id), None)
|
|
||||||
if combo.clients:
|
|
||||||
return None
|
|
||||||
self._combos.pop(key, None)
|
|
||||||
return combo.handle
|
|
||||||
|
|
||||||
def _close_source(self, handle):
|
|
||||||
if handle is None:
|
|
||||||
return
|
|
||||||
try:
|
|
||||||
self._source.unsubscribe(handle)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
|
|
||||||
|
|
||||||
def _monotonic():
|
|
||||||
import time
|
|
||||||
|
|
||||||
return time.monotonic()
|
|
||||||
|
|
||||||
|
|
||||||
def build_quote_subscription_service(
|
|
||||||
context_info,
|
|
||||||
transport_name="redis",
|
|
||||||
account_id="",
|
|
||||||
redis_client=None,
|
|
||||||
zmq_bind_address=None,
|
|
||||||
enabled=True,
|
|
||||||
heartbeat_timeout_seconds=30.0,
|
|
||||||
time_func=None,
|
|
||||||
):
|
|
||||||
"""Assemble the server-side whole-quote service: a ContextInfo-backed source,
|
|
||||||
a push channel matching the RPC transport, and a QuoteSubscriptionManager
|
|
||||||
wired so big-QMT pushes publish to the channel. Returns ``(manager, channel)``
|
|
||||||
or ``None`` when disabled. The caller starts the channel publisher and feeds
|
|
||||||
``manager.reap_expired`` from the scheduler loop."""
|
|
||||||
if not enabled:
|
|
||||||
return None
|
|
||||||
from .quote_push_channel import RedisQuotePushChannel, ZmqQuotePushChannel
|
|
||||||
|
|
||||||
source = ContextInfoQuoteSource(context_info)
|
|
||||||
transport_name = str(transport_name or "redis").lower()
|
|
||||||
if transport_name == "zmq":
|
|
||||||
bind_address = zmq_bind_address or _default_quote_push_zmq_bind(account_id)
|
|
||||||
channel = ZmqQuotePushChannel(bind_address=bind_address)
|
|
||||||
push_endpoint = bind_address
|
|
||||||
else:
|
|
||||||
channel = RedisQuotePushChannel(redis_client, account_id=account_id)
|
|
||||||
push_endpoint = ""
|
|
||||||
manager = QuoteSubscriptionManager(
|
|
||||||
source,
|
|
||||||
heartbeat_timeout_seconds=heartbeat_timeout_seconds,
|
|
||||||
time_func=time_func,
|
|
||||||
on_push_publisher=channel.publish,
|
|
||||||
push_endpoint=push_endpoint,
|
|
||||||
)
|
|
||||||
return manager, channel
|
|
||||||
|
|
||||||
|
|
||||||
def _default_quote_push_zmq_bind(account_id):
|
|
||||||
"""Default server PUB bind address: loopback, RPC zmq port + 1 (client side
|
|
||||||
derives the same host/port + 1 to connect)."""
|
|
||||||
from .transports.zmq_transport import _default_zmq_port
|
|
||||||
|
|
||||||
return "tcp://0.0.0.0:%d" % (_default_zmq_port(account_id) + 1)
|
|
||||||
File diff suppressed because it is too large
Load Diff
@@ -1,45 +0,0 @@
|
|||||||
"""信号执行前的轻量风控和数量计算。"""
|
|
||||||
|
|
||||||
from .code_utils import normalize_stock_code, round_buy_volume, round_sell_volume
|
|
||||||
from .models import SignalAction, TradeSignal
|
|
||||||
|
|
||||||
|
|
||||||
class RiskDecision:
|
|
||||||
def __init__(self, allowed, reason="", volume=0, stock_code=""):
|
|
||||||
self.allowed = allowed
|
|
||||||
self.reason = reason
|
|
||||||
self.volume = volume
|
|
||||||
self.stock_code = stock_code
|
|
||||||
|
|
||||||
|
|
||||||
def build_trade_volume(signal: TradeSignal, positions):
|
|
||||||
code = normalize_stock_code(signal.stock_code)
|
|
||||||
if signal.action == SignalAction.BUY:
|
|
||||||
return RiskDecision(True, volume=round_buy_volume(code, signal.amount), stock_code=code)
|
|
||||||
|
|
||||||
if signal.action == SignalAction.SELL:
|
|
||||||
position = positions.get(code)
|
|
||||||
if not position or position.available <= 0:
|
|
||||||
return RiskDecision(False, "no_available_position", stock_code=code)
|
|
||||||
if signal.amount is not None:
|
|
||||||
raw_volume = min(int(signal.amount), int(position.available))
|
|
||||||
sell_all = raw_volume == int(position.available)
|
|
||||||
else:
|
|
||||||
pct = float(signal.percentage or 100)
|
|
||||||
raw_volume = int(int(position.available) * pct / 100.0)
|
|
||||||
sell_all = pct >= 100
|
|
||||||
volume = round_sell_volume(code, raw_volume, sell_all=sell_all)
|
|
||||||
if volume <= 0:
|
|
||||||
return RiskDecision(False, "volume_below_min_lot", stock_code=code)
|
|
||||||
return RiskDecision(True, volume=volume, stock_code=code)
|
|
||||||
|
|
||||||
return RiskDecision(False, f"unsupported_action:{signal.action}", stock_code=code)
|
|
||||||
|
|
||||||
|
|
||||||
def validate_signal(signal, now, positions):
|
|
||||||
if signal.is_expired(now):
|
|
||||||
return RiskDecision(False, "expired", stock_code=signal.stock_code)
|
|
||||||
decision = build_trade_volume(signal, positions)
|
|
||||||
if decision.allowed and decision.volume <= 0:
|
|
||||||
return RiskDecision(False, "invalid_volume", stock_code=decision.stock_code)
|
|
||||||
return decision
|
|
||||||
@@ -1,71 +0,0 @@
|
|||||||
"""大 QMT 运行文件可复用的转发入口。"""
|
|
||||||
|
|
||||||
import datetime as _dt
|
|
||||||
import traceback
|
|
||||||
|
|
||||||
from .logging_setup import get_logger
|
|
||||||
|
|
||||||
_log = get_logger("runner")
|
|
||||||
|
|
||||||
_APP = None
|
|
||||||
|
|
||||||
|
|
||||||
def reset_app():
|
|
||||||
global _APP
|
|
||||||
_APP = None
|
|
||||||
|
|
||||||
|
|
||||||
def get_app():
|
|
||||||
return _APP
|
|
||||||
|
|
||||||
|
|
||||||
def init_app(context_info, app_factory):
|
|
||||||
global _APP
|
|
||||||
_APP = app_factory(context_info)
|
|
||||||
if hasattr(_APP, "on_init"):
|
|
||||||
_APP.on_init(context_info)
|
|
||||||
return _APP
|
|
||||||
|
|
||||||
|
|
||||||
def tick_app(context_info, now=None):
|
|
||||||
if _APP is None:
|
|
||||||
return None
|
|
||||||
now = now or _dt.datetime.now()
|
|
||||||
try:
|
|
||||||
return _APP.tick(now)
|
|
||||||
except Exception:
|
|
||||||
_log.error("tick_app failed:\n%s", traceback.format_exc())
|
|
||||||
return None
|
|
||||||
|
|
||||||
|
|
||||||
def forward_order_event(event):
|
|
||||||
# Unguarded events reach QMT's order_callback, which stops the strategy on
|
|
||||||
# raise. Guard like tick_app so a bad event (e.g. redis outage during the
|
|
||||||
# position-sync publish) never stops the strategy.
|
|
||||||
if _APP is None:
|
|
||||||
return None
|
|
||||||
try:
|
|
||||||
return _APP.on_order_event(event)
|
|
||||||
except Exception:
|
|
||||||
_log.error("forward_order_event failed:\n%s", traceback.format_exc())
|
|
||||||
return None
|
|
||||||
|
|
||||||
|
|
||||||
def forward_trade_event(event):
|
|
||||||
if _APP is None:
|
|
||||||
return None
|
|
||||||
try:
|
|
||||||
return _APP.on_trade_event(event)
|
|
||||||
except Exception:
|
|
||||||
_log.error("forward_trade_event failed:\n%s", traceback.format_exc())
|
|
||||||
return None
|
|
||||||
|
|
||||||
|
|
||||||
def sync_positions_app(reason="manual"):
|
|
||||||
if _APP is None:
|
|
||||||
return None
|
|
||||||
try:
|
|
||||||
return _APP.sync_positions(reason)
|
|
||||||
except Exception:
|
|
||||||
_log.error("sync_positions_app failed:\n%s", traceback.format_exc())
|
|
||||||
return None
|
|
||||||
@@ -1,19 +0,0 @@
|
|||||||
"""大 QMT 运行环境适配器骨架。"""
|
|
||||||
|
|
||||||
import datetime as _dt
|
|
||||||
|
|
||||||
|
|
||||||
class BigQmtRuntimeAdapter:
|
|
||||||
def __init__(self, context_info):
|
|
||||||
self.context_info = context_info
|
|
||||||
|
|
||||||
def now(self):
|
|
||||||
return _dt.datetime.now()
|
|
||||||
|
|
||||||
@staticmethod
|
|
||||||
def to_order_event(order):
|
|
||||||
return order
|
|
||||||
|
|
||||||
@staticmethod
|
|
||||||
def to_trade_event(trade):
|
|
||||||
return trade
|
|
||||||
@@ -1,16 +0,0 @@
|
|||||||
"""Pluggable transport layer for the BigQMT RPC bridge.
|
|
||||||
|
|
||||||
The :class:`~bigqmt_signal_trader.transports.base.RpcTransport` interface owns
|
|
||||||
the wire: how a request dict travels from the client to the QMT server and how
|
|
||||||
the response dict travels back. ``redis`` is the reference implementation; the
|
|
||||||
same business layer (handlers / ``process_request`` / ``to_jsonable``) runs
|
|
||||||
unchanged over any transport.
|
|
||||||
|
|
||||||
Select a transport with ``rpc.transport`` in the config (default ``"redis"``).
|
|
||||||
See :mod:`~bigqmt_signal_trader.transports.factory`.
|
|
||||||
"""
|
|
||||||
|
|
||||||
from .base import RpcTransport, TransportError, TransportTimeout
|
|
||||||
from .factory import build_transport
|
|
||||||
|
|
||||||
__all__ = ["RpcTransport", "TransportError", "TransportTimeout", "build_transport"]
|
|
||||||
@@ -1,121 +0,0 @@
|
|||||||
"""Abstract transport interface for the BigQMT RPC bridge.
|
|
||||||
|
|
||||||
A transport owns the request/response wire. The business layer (handlers,
|
|
||||||
``process_request``, ``to_jsonable``, ``enqueue_payload``, ``drain_pending``)
|
|
||||||
is transport-agnostic; it only deals with request/response dicts.
|
|
||||||
|
|
||||||
Two roles, one interface
|
|
||||||
------------------------
|
|
||||||
* **Client side** — :meth:`RpcTransport.send_request`: send a request dict and
|
|
||||||
block for the matching response dict (matched by ``request_id``).
|
|
||||||
* **Server side** — :meth:`RpcTransport.start_receiving` registers a callback
|
|
||||||
``on_request(request_dict)`` invoked per inbound request; the callback returns
|
|
||||||
the response dict. :meth:`RpcTransport.send_response` delivers a response
|
|
||||||
back to the client that sent ``request_dict`` (reply routing info is read
|
|
||||||
from the request).
|
|
||||||
|
|
||||||
The request dict always carries the existing envelope (``schema_version``,
|
|
||||||
``request_id``, ``account_id``, ``method``, ``params``). It MAY carry reply
|
|
||||||
routing hints (``reply_key``/``reply_channel``/``reply_list``/``ttl_seconds``);
|
|
||||||
Redis uses them, other transports may ignore them and use native routing.
|
|
||||||
"""
|
|
||||||
|
|
||||||
|
|
||||||
class TransportError(RuntimeError):
|
|
||||||
"""A transport failed (connection lost, encode error, etc.)."""
|
|
||||||
|
|
||||||
|
|
||||||
class TransportTimeout(TimeoutError):
|
|
||||||
"""A request did not complete within the timeout window."""
|
|
||||||
|
|
||||||
|
|
||||||
class RpcTransport(object):
|
|
||||||
"""Abstract request/response transport. Concrete implementations own the wire.
|
|
||||||
|
|
||||||
Subclasses MUST override :meth:`send_request`,
|
|
||||||
:meth:`start_receiving`, :meth:`send_response`, and :meth:`stop`.
|
|
||||||
"""
|
|
||||||
|
|
||||||
name = "abstract"
|
|
||||||
|
|
||||||
def __init__(self, account_id="", print_prefix="[bigqmt_rpc]"):
|
|
||||||
self.account_id = str(account_id or "")
|
|
||||||
self.print_prefix = print_prefix
|
|
||||||
self._on_request = None
|
|
||||||
self._running = False
|
|
||||||
|
|
||||||
# -- client side -------------------------------------------------------
|
|
||||||
def send_request(self, request, timeout_seconds):
|
|
||||||
"""Send a request dict and block for the response dict.
|
|
||||||
|
|
||||||
``request`` is the full request envelope. Returns the response dict
|
|
||||||
(with ``request_id`` matching). Raises :class:`TransportTimeout` if no
|
|
||||||
response arrives within ``timeout_seconds``.
|
|
||||||
"""
|
|
||||||
raise NotImplementedError
|
|
||||||
|
|
||||||
# -- server side -------------------------------------------------------
|
|
||||||
def start_receiving(self, on_request):
|
|
||||||
"""Begin accepting inbound requests on the server side.
|
|
||||||
|
|
||||||
``on_request(request_dict)`` is invoked per inbound request and MUST
|
|
||||||
return the response dict. Implementations may spawn a background
|
|
||||||
thread. Safe to call once per transport instance.
|
|
||||||
"""
|
|
||||||
self._on_request = on_request
|
|
||||||
self._running = True
|
|
||||||
|
|
||||||
def send_response(self, request, response):
|
|
||||||
"""Deliver ``response`` back to the client that sent ``request``.
|
|
||||||
|
|
||||||
Reply routing is read from ``request`` (e.g. ``reply_key`` /
|
|
||||||
``reply_channel`` / ``reply_list`` for Redis, or a native peer handle
|
|
||||||
for ZMQ). Must be safe to call from the request-handling callback.
|
|
||||||
"""
|
|
||||||
raise NotImplementedError
|
|
||||||
|
|
||||||
def stop(self):
|
|
||||||
"""Stop receiving and release any sockets/connections/threads."""
|
|
||||||
self._running = False
|
|
||||||
self._on_request = None
|
|
||||||
|
|
||||||
def deliver(self, request):
|
|
||||||
"""Internal: invoke the registered ``on_request`` callback.
|
|
||||||
|
|
||||||
Concrete transports call this when an inbound request arrives. If the
|
|
||||||
callback returns a non-None response dict, it is delivered back to the
|
|
||||||
client via :meth:`send_response` automatically — so a callback only
|
|
||||||
needs to ``return response``. Callbacks that send the response
|
|
||||||
themselves (e.g. the Redis service path, which routes through
|
|
||||||
``_publish_response``) should return ``None`` to suppress the auto-send.
|
|
||||||
|
|
||||||
Handler exceptions are turned into an ``ok=False`` response envelope so
|
|
||||||
the receive loop keeps running.
|
|
||||||
"""
|
|
||||||
callback = self._on_request
|
|
||||||
if callback is None:
|
|
||||||
return None
|
|
||||||
try:
|
|
||||||
response = callback(request)
|
|
||||||
except Exception as exc: # noqa: BLE001 - transport must survive
|
|
||||||
import datetime as _dt
|
|
||||||
|
|
||||||
response = {
|
|
||||||
"schema_version": 1,
|
|
||||||
"request_id": str((request or {}).get("request_id") or ""),
|
|
||||||
"account_id": str((request or {}).get("account_id") or self.account_id or ""),
|
|
||||||
"method": str((request or {}).get("method") or ""),
|
|
||||||
"ok": False,
|
|
||||||
"data": None,
|
|
||||||
"error": "%s: %s" % (exc.__class__.__name__, exc),
|
|
||||||
"handled_at": _dt.datetime.now().strftime("%Y-%m-%d %H:%M:%S"),
|
|
||||||
}
|
|
||||||
if response is not None:
|
|
||||||
try:
|
|
||||||
self.send_response(request, response)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
return response
|
|
||||||
|
|
||||||
def __repr__(self):
|
|
||||||
return "<%s account_id=%r>" % (self.__class__.__name__, self.account_id)
|
|
||||||
@@ -1,126 +0,0 @@
|
|||||||
"""Transport factory: pick a transport backend by name.
|
|
||||||
|
|
||||||
``build_transport(name, config, ...)`` returns a ready transport instance.
|
|
||||||
``name`` is the ``rpc.transport`` config value (default ``"redis"``). Unknown
|
|
||||||
names raise :class:`ValueError`. Optional dependencies (``zmq``, a mysql
|
|
||||||
driver) are imported lazily; a missing dependency surfaces as a clear
|
|
||||||
``ImportError`` only when that transport is actually selected.
|
|
||||||
"""
|
|
||||||
|
|
||||||
from .base import RpcTransport
|
|
||||||
from .redis_transport import RedisTransport
|
|
||||||
|
|
||||||
|
|
||||||
KNOWN_TRANSPORTS = ("redis", "zmq", "mysql", "shm")
|
|
||||||
|
|
||||||
|
|
||||||
def build_transport(
|
|
||||||
name,
|
|
||||||
config=None,
|
|
||||||
account_id="",
|
|
||||||
print_prefix="[bigqmt_rpc]",
|
|
||||||
):
|
|
||||||
"""Construct a transport by name.
|
|
||||||
|
|
||||||
``config`` is the ``rpc`` config dict. Each backend reads its own sub-keys
|
|
||||||
(``config["zmq"]``, ``config["mysql"]``); Redis reads the legacy keys
|
|
||||||
(``request_channel_template`` etc.) plus ``redis_client``/
|
|
||||||
``response_redis_client`` that the caller may inject.
|
|
||||||
"""
|
|
||||||
config = dict(config or {})
|
|
||||||
name = str(name or "redis").lower()
|
|
||||||
|
|
||||||
if name in ("redis", "", "default"):
|
|
||||||
return _build_redis(config, account_id, print_prefix)
|
|
||||||
if name == "zmq":
|
|
||||||
return _build_zmq(config, account_id, print_prefix)
|
|
||||||
if name == "mysql":
|
|
||||||
return _build_mysql(config, account_id, print_prefix)
|
|
||||||
if name == "shm":
|
|
||||||
return _build_shm(config, account_id, print_prefix)
|
|
||||||
raise ValueError(
|
|
||||||
"unknown rpc transport %r (known: %s)" % (name, ", ".join(KNOWN_TRANSPORTS))
|
|
||||||
)
|
|
||||||
|
|
||||||
|
|
||||||
def _build_redis(config, account_id, print_prefix):
|
|
||||||
redis_client = config.get("redis_client")
|
|
||||||
if redis_client is None:
|
|
||||||
from ..adapters.redis_common import build_redis_client
|
|
||||||
|
|
||||||
redis_config = dict(config.get("redis") or {})
|
|
||||||
redis_client = build_redis_client(redis_config)
|
|
||||||
response_redis_client = config.get("response_redis_client")
|
|
||||||
if response_redis_client is None:
|
|
||||||
response_redis_client = redis_client
|
|
||||||
return RedisTransport(
|
|
||||||
redis_client,
|
|
||||||
account_id=account_id,
|
|
||||||
response_redis_client=response_redis_client,
|
|
||||||
request_channel_template=config.get(
|
|
||||||
"request_channel_template", "bigqmt:rpc:req:{account_id}"
|
|
||||||
),
|
|
||||||
request_queue_template=config.get(
|
|
||||||
"request_queue_template", "bigqmt:rpc:queue:{account_id}"
|
|
||||||
),
|
|
||||||
response_channel_template=config.get(
|
|
||||||
"response_channel_template", "bigqmt:rpc:resp:{account_id}:{request_id}"
|
|
||||||
),
|
|
||||||
response_list_template=config.get(
|
|
||||||
"response_list_template", "bigqmt:rpc:respq:{account_id}:{request_id}"
|
|
||||||
),
|
|
||||||
response_key_template=config.get(
|
|
||||||
"response_key_template", "bigqmt:rpc:resp:{account_id}:{request_id}"
|
|
||||||
),
|
|
||||||
response_ttl_seconds=int(config.get("response_ttl_seconds", 60)),
|
|
||||||
queue_poll_interval_seconds=float(config.get("queue_poll_interval_seconds", 0.02)),
|
|
||||||
debug_log_limit=int(config.get("debug_log_limit", 0)),
|
|
||||||
print_prefix=print_prefix,
|
|
||||||
)
|
|
||||||
|
|
||||||
|
|
||||||
def _build_zmq(config, account_id, print_prefix):
|
|
||||||
from .zmq_transport import ZmqTransport
|
|
||||||
|
|
||||||
zmq_config = dict(config.get("zmq") or {})
|
|
||||||
# Wire up service discovery: if the caller injected a redis_client (server
|
|
||||||
# side) or provided redis connection settings, the ZMQ transport can
|
|
||||||
# publish/look up the actual bound port when the default port is taken.
|
|
||||||
discovery_client = zmq_config.get("discovery_redis_client")
|
|
||||||
if discovery_client is None and config.get("redis_client") is not None:
|
|
||||||
discovery_client = config.get("redis_client")
|
|
||||||
zmq_config["discovery_redis_client"] = discovery_client
|
|
||||||
if discovery_client is None and config.get("redis"):
|
|
||||||
# Build a small client just for discovery from the redis config block.
|
|
||||||
try:
|
|
||||||
from ..adapters.redis_common import build_redis_client
|
|
||||||
|
|
||||||
discovery_client = build_redis_client(dict(config.get("redis") or {}))
|
|
||||||
zmq_config["discovery_redis_client"] = discovery_client
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
return ZmqTransport.from_config(
|
|
||||||
zmq_config,
|
|
||||||
account_id=account_id,
|
|
||||||
print_prefix=print_prefix,
|
|
||||||
)
|
|
||||||
|
|
||||||
|
|
||||||
def _build_mysql(config, account_id, print_prefix):
|
|
||||||
from .mysql_transport import MysqlTransport
|
|
||||||
|
|
||||||
return MysqlTransport.from_config(
|
|
||||||
config.get("mysql") or {},
|
|
||||||
account_id=account_id,
|
|
||||||
print_prefix=print_prefix,
|
|
||||||
)
|
|
||||||
|
|
||||||
|
|
||||||
def _build_shm(config, account_id, print_prefix):
|
|
||||||
from .shm_transport import SharedMemoryTransport
|
|
||||||
|
|
||||||
return SharedMemoryTransport(
|
|
||||||
account_id=account_id,
|
|
||||||
print_prefix=print_prefix,
|
|
||||||
**dict(config.get("shm") or {})
|
|
||||||
)
|
|
||||||
@@ -1,462 +0,0 @@
|
|||||||
"""MySQL transport for the BigQMT RPC bridge.
|
|
||||||
|
|
||||||
A compatibility-oriented backend for environments where Redis/ZMQ are
|
|
||||||
unavailable but a relational DB is. Latency is dominated by polling cadence,
|
|
||||||
so this is NOT a low-latency path (expect tens of ms); use it when the
|
|
||||||
deployment constraints rule out the others.
|
|
||||||
|
|
||||||
Schema (auto-created on first connect)::
|
|
||||||
|
|
||||||
CREATE TABLE bigqmt_rpc_requests (
|
|
||||||
request_id VARCHAR(64) PRIMARY KEY,
|
|
||||||
account_id VARCHAR(64) NOT NULL,
|
|
||||||
payload MEDIUMTEXT NOT NULL,
|
|
||||||
created_at DOUBLE NOT NULL,
|
|
||||||
claimed_at DOUBLE NULL,
|
|
||||||
INDEX idx_account_created (account_id, created_at)
|
|
||||||
);
|
|
||||||
CREATE TABLE bigqmt_rpc_responses (
|
|
||||||
request_id VARCHAR(64) PRIMARY KEY,
|
|
||||||
payload MEDIUMTEXT NOT NULL,
|
|
||||||
created_at DOUBLE NOT NULL
|
|
||||||
);
|
|
||||||
|
|
||||||
The client ``INSERT``s a request row and polls ``bigqmt_rpc_responses`` by
|
|
||||||
``request_id``; the server ``SELECT ... FOR UPDATE SKIP LOCKED`` (or a
|
|
||||||
``claimed_at`` flag on older engines) claims a request, invokes the handler,
|
|
||||||
then ``INSERT``s the response row. Rows are cleaned up lazily by TTL.
|
|
||||||
|
|
||||||
Any DB-API 2.0 driver works (pymysql, mysql-connector, sqlite3 for tests).
|
|
||||||
Pass ``driver="pymysql"`` / ``"sqlite3"`` etc. via config.
|
|
||||||
"""
|
|
||||||
|
|
||||||
import json
|
|
||||||
import threading
|
|
||||||
import time
|
|
||||||
import uuid
|
|
||||||
|
|
||||||
from ..adapters.redis_common import decode_text
|
|
||||||
from ..redis_rpc import encode_rpc_request_payload, decode_rpc_request_payload
|
|
||||||
from .base import RpcTransport, TransportError, TransportTimeout
|
|
||||||
|
|
||||||
|
|
||||||
REQUESTS_TABLE = "bigqmt_rpc_requests"
|
|
||||||
RESPONSES_TABLE = "bigqmt_rpc_responses"
|
|
||||||
|
|
||||||
|
|
||||||
_SCHEMA = [
|
|
||||||
"""CREATE TABLE IF NOT EXISTS {requests} (
|
|
||||||
request_id VARCHAR(64) PRIMARY KEY,
|
|
||||||
account_id VARCHAR(64) NOT NULL,
|
|
||||||
payload MEDIUMTEXT NOT NULL,
|
|
||||||
created_at DOUBLE NOT NULL,
|
|
||||||
claimed_at DOUBLE NULL
|
|
||||||
)""",
|
|
||||||
"""CREATE TABLE IF NOT EXISTS {responses} (
|
|
||||||
request_id VARCHAR(64) PRIMARY KEY,
|
|
||||||
payload MEDIUMTEXT NOT NULL,
|
|
||||||
created_at DOUBLE NOT NULL
|
|
||||||
)""",
|
|
||||||
"CREATE INDEX IF NOT EXISTS idx_{requests}_account_created ON {requests} (account_id, created_at)",
|
|
||||||
]
|
|
||||||
|
|
||||||
|
|
||||||
def _loads(raw):
|
|
||||||
if isinstance(raw, dict):
|
|
||||||
return dict(raw)
|
|
||||||
text = decode_text(raw)
|
|
||||||
text = decode_rpc_request_payload(text)
|
|
||||||
return json.loads(text)
|
|
||||||
|
|
||||||
|
|
||||||
class MysqlTransport(RpcTransport):
|
|
||||||
"""Polling-based transport over a relational DB.
|
|
||||||
|
|
||||||
Both client and server open a short-lived connection per operation to keep
|
|
||||||
the implementation driver-agnostic and avoid cross-thread cursor state.
|
|
||||||
For high throughput a connection pool would help; this backend targets
|
|
||||||
compatibility, not throughput.
|
|
||||||
"""
|
|
||||||
|
|
||||||
name = "mysql"
|
|
||||||
|
|
||||||
def __init__(
|
|
||||||
self,
|
|
||||||
driver="pymysql",
|
|
||||||
connect_kwargs=None,
|
|
||||||
requests_table=REQUESTS_TABLE,
|
|
||||||
responses_table=RESPONSES_TABLE,
|
|
||||||
account_id="",
|
|
||||||
print_prefix="[bigqmt_rpc]",
|
|
||||||
poll_interval_seconds=0.02,
|
|
||||||
row_ttl_seconds=120,
|
|
||||||
background_threads=True,
|
|
||||||
pool_config=None,
|
|
||||||
use_pool=True,
|
|
||||||
):
|
|
||||||
super(MysqlTransport, self).__init__(account_id=account_id, print_prefix=print_prefix)
|
|
||||||
self.driver = driver
|
|
||||||
self.connect_kwargs = dict(connect_kwargs or {})
|
|
||||||
self.requests_table = requests_table
|
|
||||||
self.responses_table = responses_table
|
|
||||||
self.poll_interval_seconds = max(0.001, float(poll_interval_seconds))
|
|
||||||
self.row_ttl_seconds = int(row_ttl_seconds)
|
|
||||||
self.background_threads = bool(background_threads)
|
|
||||||
self._thread = None
|
|
||||||
self._schema_ready = False
|
|
||||||
self.use_pool = bool(use_pool)
|
|
||||||
self.pool_config = dict(pool_config or {})
|
|
||||||
self._pool = None
|
|
||||||
# paramstyle: mysql drivers use "format" (%s), sqlite3 uses "qmark" (?).
|
|
||||||
# Resolved lazily on first connect.
|
|
||||||
self._placeholder = None
|
|
||||||
|
|
||||||
def _resolve_placeholder(self, mod):
|
|
||||||
style = getattr(mod, "paramstyle", "format")
|
|
||||||
if style == "qmark":
|
|
||||||
return "?"
|
|
||||||
return "%s" # format / pyformat / default
|
|
||||||
|
|
||||||
def _ph(self):
|
|
||||||
# Return the placeholder char (resolving lazily).
|
|
||||||
if self._placeholder is None:
|
|
||||||
try:
|
|
||||||
mod = __import__(self.driver)
|
|
||||||
self._placeholder = self._resolve_placeholder(mod)
|
|
||||||
except ImportError:
|
|
||||||
self._placeholder = "%s"
|
|
||||||
return self._placeholder
|
|
||||||
|
|
||||||
def _sql(self, template):
|
|
||||||
"""Render a SQL template: fill {t}/{requests}/{responses} table names
|
|
||||||
and swap the standard ``%s`` placeholder for the driver's paramstyle."""
|
|
||||||
return template.format(
|
|
||||||
t=None, # not used; callers format table names themselves
|
|
||||||
requests=self.requests_table,
|
|
||||||
responses=self.responses_table,
|
|
||||||
).replace("__PH__", self._ph())
|
|
||||||
|
|
||||||
@classmethod
|
|
||||||
def from_config(cls, config, account_id="", print_prefix="[bigqmt_rpc]"):
|
|
||||||
config = dict(config or {})
|
|
||||||
driver = config.get("driver", "pymysql")
|
|
||||||
connect_kwargs = dict(config.get("connect_kwargs") or {})
|
|
||||||
# Allow flat keys (host/port/user/...) as a convenience.
|
|
||||||
for key in ("host", "port", "user", "password", "database", "charset"):
|
|
||||||
if key in config and key not in connect_kwargs:
|
|
||||||
connect_kwargs[key] = config[key]
|
|
||||||
return cls(
|
|
||||||
driver=driver,
|
|
||||||
connect_kwargs=connect_kwargs,
|
|
||||||
requests_table=config.get("requests_table", REQUESTS_TABLE),
|
|
||||||
responses_table=config.get("responses_table", RESPONSES_TABLE),
|
|
||||||
account_id=config.get("account_id", account_id),
|
|
||||||
print_prefix=print_prefix,
|
|
||||||
poll_interval_seconds=float(config.get("poll_interval_seconds", 0.02)),
|
|
||||||
row_ttl_seconds=int(config.get("row_ttl_seconds", 120)),
|
|
||||||
background_threads=bool(config.get("background_threads", True)),
|
|
||||||
pool_config=config.get("pool_config"),
|
|
||||||
use_pool=bool(config.get("use_pool", True)),
|
|
||||||
)
|
|
||||||
|
|
||||||
# -- driver access / connection pool ----------------------------------
|
|
||||||
def _import_driver(self):
|
|
||||||
try:
|
|
||||||
return __import__(self.driver)
|
|
||||||
except ImportError as exc: # pragma: no cover - depends on env
|
|
||||||
raise TransportError(
|
|
||||||
"db driver %r is required for the mysql transport: %s"
|
|
||||||
% (self.driver, exc)
|
|
||||||
)
|
|
||||||
|
|
||||||
def _build_pool(self):
|
|
||||||
"""Create a DBUtils PooledDB backed by the configured driver.
|
|
||||||
|
|
||||||
Works with any DB-API 2.0 driver (pymysql, mysql.connector, sqlite3,
|
|
||||||
...). Pool sizing comes from ``pool_config``; connection kwargs are
|
|
||||||
forwarded to the driver's ``connect()``.
|
|
||||||
"""
|
|
||||||
try:
|
|
||||||
from dbutils.pooled_db import PooledDB
|
|
||||||
except ImportError as exc:
|
|
||||||
raise TransportError(
|
|
||||||
"DBUtils is required for the mysql transport connection pool: %s" % exc
|
|
||||||
)
|
|
||||||
driver = self._import_driver()
|
|
||||||
cfg = dict(self.pool_config)
|
|
||||||
# Sensible defaults for an RPC workload: small idle pool, modest cap,
|
|
||||||
# reuse connections across threads. Callers override via pool_config.
|
|
||||||
mincached = cfg.pop("mincached", 1)
|
|
||||||
maxcached = cfg.pop("maxcached", 4)
|
|
||||||
maxshared = cfg.pop("maxshared", 3)
|
|
||||||
maxconnections = cfg.pop("maxconnections", 8)
|
|
||||||
blocking = cfg.pop("blocking", True)
|
|
||||||
maxusage = cfg.pop("maxusage", 0)
|
|
||||||
reset = cfg.pop("reset", True)
|
|
||||||
# Whatever remains in cfg is treated as extra creator kwargs (e.g.
|
|
||||||
# ping, setsession) and merged under the connect kwargs.
|
|
||||||
extra = cfg
|
|
||||||
connect_kwargs = self._pooled_connect_args()
|
|
||||||
connect_kwargs.update(extra)
|
|
||||||
return PooledDB(
|
|
||||||
creator=driver,
|
|
||||||
mincached=mincached,
|
|
||||||
maxcached=maxcached,
|
|
||||||
maxshared=maxshared,
|
|
||||||
maxconnections=maxconnections,
|
|
||||||
blocking=blocking,
|
|
||||||
maxusage=maxusage,
|
|
||||||
reset=reset,
|
|
||||||
**connect_kwargs
|
|
||||||
)
|
|
||||||
|
|
||||||
def _pooled_connect_args(self):
|
|
||||||
"""Return the kwargs to forward to the driver's connect().
|
|
||||||
|
|
||||||
Stripped of empty credential fields so drivers that reject empty
|
|
||||||
username/password (e.g. pymysql with auth plugin) don't choke.
|
|
||||||
"""
|
|
||||||
cfg = dict(self.connect_kwargs)
|
|
||||||
if not cfg.get("user") and "user" in cfg:
|
|
||||||
cfg.pop("user")
|
|
||||||
if not cfg.get("password") and "password" in cfg:
|
|
||||||
cfg.pop("password")
|
|
||||||
return cfg
|
|
||||||
|
|
||||||
def _connect(self):
|
|
||||||
if not self.use_pool:
|
|
||||||
return self._import_driver().connect(**self.connect_kwargs)
|
|
||||||
if self._pool is None:
|
|
||||||
self._pool = self._build_pool()
|
|
||||||
# PooledDB.connection() hands out a pooled connection; calling .close()
|
|
||||||
# on it returns it to the pool rather than closing the underlying socket.
|
|
||||||
return self._pool.connection()
|
|
||||||
|
|
||||||
def _ensure_schema(self):
|
|
||||||
if self._schema_ready:
|
|
||||||
return
|
|
||||||
ctx = {"requests": self.requests_table, "responses": self.responses_table}
|
|
||||||
conn = self._connect()
|
|
||||||
try:
|
|
||||||
cur = conn.cursor()
|
|
||||||
for stmt in _SCHEMA:
|
|
||||||
try:
|
|
||||||
cur.execute(stmt.format(**ctx))
|
|
||||||
except Exception:
|
|
||||||
# "CREATE INDEX IF NOT EXISTS" is not supported on some
|
|
||||||
# MySQL versions; the index is an optimization, ignore failure.
|
|
||||||
pass
|
|
||||||
conn.commit()
|
|
||||||
self._schema_ready = True
|
|
||||||
finally:
|
|
||||||
try:
|
|
||||||
conn.close()
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
|
|
||||||
def _now(self):
|
|
||||||
return time.time()
|
|
||||||
|
|
||||||
# -- client side ------------------------------------------------------
|
|
||||||
def send_request(self, request, timeout_seconds):
|
|
||||||
self._ensure_schema()
|
|
||||||
request = dict(request)
|
|
||||||
request.setdefault("request_id", uuid.uuid4().hex)
|
|
||||||
request_id = str(request["request_id"])
|
|
||||||
request.setdefault("account_id", self.account_id)
|
|
||||||
payload = encode_rpc_request_payload(request)
|
|
||||||
conn = self._connect()
|
|
||||||
try:
|
|
||||||
cur = conn.cursor()
|
|
||||||
cur.execute(
|
|
||||||
self._sql(
|
|
||||||
"INSERT INTO {requests} (request_id, account_id, payload, created_at, claimed_at) "
|
|
||||||
"VALUES (__PH__, __PH__, __PH__, __PH__, NULL)"
|
|
||||||
),
|
|
||||||
(request_id, str(request.get("account_id") or self.account_id), payload, self._now()),
|
|
||||||
)
|
|
||||||
conn.commit()
|
|
||||||
finally:
|
|
||||||
try:
|
|
||||||
conn.close()
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
|
|
||||||
deadline = time.time() + float(timeout_seconds)
|
|
||||||
while time.time() < deadline:
|
|
||||||
conn = self._connect()
|
|
||||||
try:
|
|
||||||
cur = conn.cursor()
|
|
||||||
cur.execute(
|
|
||||||
self._sql("SELECT payload FROM {responses} WHERE request_id = __PH__"),
|
|
||||||
(request_id,),
|
|
||||||
)
|
|
||||||
row = cur.fetchone()
|
|
||||||
if row:
|
|
||||||
payload = row[0]
|
|
||||||
try:
|
|
||||||
cur.execute(
|
|
||||||
self._sql("DELETE FROM {responses} WHERE request_id = __PH__"),
|
|
||||||
(request_id,),
|
|
||||||
)
|
|
||||||
conn.commit()
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
return _loads(payload)
|
|
||||||
finally:
|
|
||||||
try:
|
|
||||||
conn.close()
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
time.sleep(self.poll_interval_seconds)
|
|
||||||
raise TransportTimeout("mysql rpc timeout: %s" % request.get("method"))
|
|
||||||
|
|
||||||
# -- server side ------------------------------------------------------
|
|
||||||
def start_receiving(self, on_request, background_threads=None):
|
|
||||||
super(MysqlTransport, self).start_receiving(on_request)
|
|
||||||
self._ensure_schema()
|
|
||||||
if background_threads is None:
|
|
||||||
background_threads = self.background_threads
|
|
||||||
if not background_threads:
|
|
||||||
print("%s mysql polling table=%s background_threads=False" % (
|
|
||||||
self.print_prefix, self.requests_table))
|
|
||||||
return
|
|
||||||
self._thread = threading.Thread(
|
|
||||||
target=self._poll_loop, name="bigqmt-mysql-rpc", daemon=True
|
|
||||||
)
|
|
||||||
self._thread.start()
|
|
||||||
print("%s mysql started polling table=%s" % (
|
|
||||||
self.print_prefix, self.requests_table))
|
|
||||||
|
|
||||||
def _poll_loop(self):
|
|
||||||
while self._running:
|
|
||||||
try:
|
|
||||||
self._claim_and_handle_batch()
|
|
||||||
except Exception as exc:
|
|
||||||
if not self._running:
|
|
||||||
break
|
|
||||||
print("%s mysql poll failed: %s" % (self.print_prefix, exc))
|
|
||||||
time.sleep(0.5)
|
|
||||||
continue
|
|
||||||
time.sleep(self.poll_interval_seconds)
|
|
||||||
|
|
||||||
def _claim_and_handle_batch(self, max_items=20):
|
|
||||||
conn = self._connect()
|
|
||||||
claimed = []
|
|
||||||
try:
|
|
||||||
cur = conn.cursor()
|
|
||||||
# Claim rows: mark claimed_at so concurrent servers skip them.
|
|
||||||
# Uses an atomic UPDATE ... WHERE claimed_at IS NULL with a cap.
|
|
||||||
cur.execute(
|
|
||||||
self._sql(
|
|
||||||
"SELECT request_id, payload FROM {requests} WHERE account_id = __PH__ "
|
|
||||||
"AND claimed_at IS NULL ORDER BY created_at ASC LIMIT __PH__"
|
|
||||||
),
|
|
||||||
(self.account_id, int(max_items)),
|
|
||||||
)
|
|
||||||
rows = cur.fetchall()
|
|
||||||
now = self._now()
|
|
||||||
for request_id, payload in rows:
|
|
||||||
cur.execute(
|
|
||||||
self._sql(
|
|
||||||
"UPDATE {requests} SET claimed_at = __PH__ WHERE request_id = __PH__ "
|
|
||||||
"AND claimed_at IS NULL"
|
|
||||||
),
|
|
||||||
(now, request_id),
|
|
||||||
)
|
|
||||||
if cur.rowcount > 0:
|
|
||||||
claimed.append((request_id, payload))
|
|
||||||
conn.commit()
|
|
||||||
finally:
|
|
||||||
try:
|
|
||||||
conn.close()
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
for request_id, payload in claimed:
|
|
||||||
try:
|
|
||||||
request = _loads(payload)
|
|
||||||
request["request_id"] = request_id
|
|
||||||
except Exception as exc:
|
|
||||||
print("%s mysql decode failed: %s" % (self.print_prefix, exc))
|
|
||||||
self._delete_request(request_id)
|
|
||||||
continue
|
|
||||||
try:
|
|
||||||
self.deliver(request)
|
|
||||||
except Exception as exc:
|
|
||||||
print("%s mysql deliver failed: %s" % (self.print_prefix, exc))
|
|
||||||
self._delete_request(request_id)
|
|
||||||
|
|
||||||
def _delete_request(self, request_id):
|
|
||||||
conn = self._connect()
|
|
||||||
try:
|
|
||||||
cur = conn.cursor()
|
|
||||||
cur.execute(
|
|
||||||
self._sql("DELETE FROM {requests} WHERE request_id = __PH__"),
|
|
||||||
(request_id,),
|
|
||||||
)
|
|
||||||
conn.commit()
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
finally:
|
|
||||||
try:
|
|
||||||
conn.close()
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
|
|
||||||
def send_response(self, request, response):
|
|
||||||
request_id = str(
|
|
||||||
response.get("request_id") or request.get("request_id") or ""
|
|
||||||
)
|
|
||||||
payload = encode_rpc_request_payload(response)
|
|
||||||
# DELETE-then-INSERT is portable across MySQL and sqlite (avoids the
|
|
||||||
# MySQL-only ON DUPLICATE KEY / REPLACE syntax). One connection, one txn.
|
|
||||||
conn = self._connect()
|
|
||||||
try:
|
|
||||||
cur = conn.cursor()
|
|
||||||
cur.execute(
|
|
||||||
self._sql("DELETE FROM {responses} WHERE request_id = __PH__"),
|
|
||||||
(request_id,),
|
|
||||||
)
|
|
||||||
cur.execute(
|
|
||||||
self._sql(
|
|
||||||
"INSERT INTO {responses} (request_id, payload, created_at) "
|
|
||||||
"VALUES (__PH__, __PH__, __PH__)"
|
|
||||||
),
|
|
||||||
(request_id, payload, self._now()),
|
|
||||||
)
|
|
||||||
conn.commit()
|
|
||||||
except Exception as exc:
|
|
||||||
try:
|
|
||||||
conn.rollback()
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
print("%s mysql response write failed: %s" % (self.print_prefix, exc))
|
|
||||||
finally:
|
|
||||||
try:
|
|
||||||
conn.close()
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
conn.close()
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
|
|
||||||
# -- non-background drain (strategy adjust thread) --------------------
|
|
||||||
def drain_request_queue(self, max_items=20):
|
|
||||||
if not self._running:
|
|
||||||
return 0
|
|
||||||
before = 0 # _claim_and_handle_batch handles its own count
|
|
||||||
self._claim_and_handle_batch(max_items=max_items)
|
|
||||||
return 0
|
|
||||||
|
|
||||||
def stop(self):
|
|
||||||
super(MysqlTransport, self).stop()
|
|
||||||
if self._thread is not None and self._thread.is_alive():
|
|
||||||
self._thread.join(1.0)
|
|
||||||
self._thread = None
|
|
||||||
# Close the connection pool so background connections are released.
|
|
||||||
if self._pool is not None:
|
|
||||||
try:
|
|
||||||
self._pool.close()
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
self._pool = None
|
|
||||||
@@ -1,424 +0,0 @@
|
|||||||
"""Redis transport for the BigQMT RPC bridge.
|
|
||||||
|
|
||||||
This is the reference transport and the default. It preserves the exact wire
|
|
||||||
behavior of the original ``RedisPubSubRpcService``:
|
|
||||||
|
|
||||||
* Client ``send_request``: ``RPUSH`` the (base64-obfuscated) request onto the
|
|
||||||
per-account request queue, then ``BLPOP`` the per-request response list with
|
|
||||||
a ``GET response_key`` fallback. A ``pubsub`` transport variant is kept for
|
|
||||||
callers that pass ``transport="pubsub"`` to ``call_redis_rpc``.
|
|
||||||
* Server receive: two background loops — a ``pubsub.subscribe`` loop and a
|
|
||||||
``brpop`` queue loop. Either delivers inbound payloads to the registered
|
|
||||||
``on_request`` callback.
|
|
||||||
* Server ``send_response``: fan-out writes to ``reply_key`` (``SETEX``),
|
|
||||||
``reply_list`` (``RPUSH`` + ``EXPIRE``) and ``reply_channel`` (``PUBLISH``).
|
|
||||||
|
|
||||||
The module-level :func:`call_redis_rpc` helper keeps its original signature and
|
|
||||||
delegates here so existing callers and ``bench_latency.py`` are unchanged.
|
|
||||||
"""
|
|
||||||
|
|
||||||
import threading
|
|
||||||
import time
|
|
||||||
import traceback
|
|
||||||
import uuid
|
|
||||||
|
|
||||||
from ..adapters.redis_common import decode_text
|
|
||||||
from ..redis_rpc import (
|
|
||||||
decode_rpc_request_payload,
|
|
||||||
encode_rpc_request_payload,
|
|
||||||
)
|
|
||||||
from .base import RpcTransport, TransportTimeout
|
|
||||||
|
|
||||||
import json # noqa: E402 (kept here so transport owns all wire encoding)
|
|
||||||
|
|
||||||
|
|
||||||
REQUEST_CHANNEL_TEMPLATE = "bigqmt:rpc:req:{account_id}"
|
|
||||||
REQUEST_QUEUE_TEMPLATE = "bigqmt:rpc:queue:{account_id}"
|
|
||||||
RESPONSE_CHANNEL_TEMPLATE = "bigqmt:rpc:resp:{account_id}:{request_id}"
|
|
||||||
RESPONSE_LIST_TEMPLATE = "bigqmt:rpc:respq:{account_id}:{request_id}"
|
|
||||||
RESPONSE_KEY_TEMPLATE = "bigqmt:rpc:resp:{account_id}:{request_id}"
|
|
||||||
|
|
||||||
|
|
||||||
def _format(template, account_id, request_id):
|
|
||||||
if not template:
|
|
||||||
return ""
|
|
||||||
return template.format(account_id=account_id, request_id=request_id)
|
|
||||||
|
|
||||||
|
|
||||||
def _loads(raw_payload):
|
|
||||||
"""Decode a wire payload (bytes/str/dict) into a request dict."""
|
|
||||||
if isinstance(raw_payload, dict):
|
|
||||||
return dict(raw_payload)
|
|
||||||
text = decode_text(raw_payload)
|
|
||||||
text = decode_rpc_request_payload(text)
|
|
||||||
payload = json.loads(text)
|
|
||||||
if not isinstance(payload, dict):
|
|
||||||
raise ValueError("rpc payload must be a json object")
|
|
||||||
return payload
|
|
||||||
|
|
||||||
|
|
||||||
def _is_redis_timeout(exc):
|
|
||||||
name = exc.__class__.__name__.lower()
|
|
||||||
module = getattr(exc.__class__, "__module__", "")
|
|
||||||
text = str(exc).lower()
|
|
||||||
return ("redis" in module and "timeout" in name) or "timeout reading from socket" in text
|
|
||||||
|
|
||||||
|
|
||||||
class RedisTransport(RpcTransport):
|
|
||||||
"""Redis-backed transport. Owns rpush/blpop/brpop/publish/setex."""
|
|
||||||
|
|
||||||
name = "redis"
|
|
||||||
|
|
||||||
def __init__(
|
|
||||||
self,
|
|
||||||
redis_client,
|
|
||||||
account_id="",
|
|
||||||
response_redis_client=None,
|
|
||||||
request_channel_template=REQUEST_CHANNEL_TEMPLATE,
|
|
||||||
request_queue_template=REQUEST_QUEUE_TEMPLATE,
|
|
||||||
response_channel_template=RESPONSE_CHANNEL_TEMPLATE,
|
|
||||||
response_list_template=RESPONSE_LIST_TEMPLATE,
|
|
||||||
response_key_template=RESPONSE_KEY_TEMPLATE,
|
|
||||||
response_ttl_seconds=60,
|
|
||||||
queue_poll_interval_seconds=0.02,
|
|
||||||
debug_log_limit=0,
|
|
||||||
print_prefix="[bigqmt_rpc]",
|
|
||||||
):
|
|
||||||
super(RedisTransport, self).__init__(account_id=account_id, print_prefix=print_prefix)
|
|
||||||
self.listen_redis = redis_client
|
|
||||||
self.redis = response_redis_client or redis_client
|
|
||||||
self.request_channel_template = request_channel_template
|
|
||||||
self.request_queue_template = request_queue_template
|
|
||||||
self.response_channel_template = response_channel_template
|
|
||||||
self.response_list_template = response_list_template
|
|
||||||
self.response_key_template = response_key_template
|
|
||||||
self.response_ttl_seconds = int(response_ttl_seconds)
|
|
||||||
self.queue_poll_interval_seconds = max(0.001, float(queue_poll_interval_seconds))
|
|
||||||
self.debug_log_limit = int(debug_log_limit)
|
|
||||||
self._received_count = 0
|
|
||||||
self._published_count = 0
|
|
||||||
self._pubsub = None
|
|
||||||
self._thread = None
|
|
||||||
self._queue_thread = None
|
|
||||||
# Hooks so the service can observe/intercept received payloads (debug
|
|
||||||
# logging, inline-vs-deferred dispatch). When None, the request is
|
|
||||||
# delivered straight to the on_request callback.
|
|
||||||
self.on_raw_payload = None
|
|
||||||
|
|
||||||
# -- properties mirroring the original service -------------------------
|
|
||||||
@property
|
|
||||||
def request_channel(self):
|
|
||||||
return self.request_channel_template.format(account_id=self.account_id)
|
|
||||||
|
|
||||||
@property
|
|
||||||
def request_queue(self):
|
|
||||||
return self.request_queue_template.format(account_id=self.account_id)
|
|
||||||
|
|
||||||
def _response_clients(self):
|
|
||||||
clients = [self.redis]
|
|
||||||
if self.listen_redis is not self.redis:
|
|
||||||
clients.append(self.listen_redis)
|
|
||||||
return clients
|
|
||||||
|
|
||||||
# -- client side -------------------------------------------------------
|
|
||||||
def send_request(self, request, timeout_seconds, transport="queue"):
|
|
||||||
"""Send ``request`` and block for the response dict.
|
|
||||||
|
|
||||||
``transport`` selects the Redis sub-transport: ``"queue"`` (default,
|
|
||||||
RPUSH+BLPOP) or ``"pubsub"`` (PUBLISH+subscribe). Kept for parity with
|
|
||||||
the original ``call_redis_rpc`` signature.
|
|
||||||
"""
|
|
||||||
return _call_redis_rpc(
|
|
||||||
self.listen_redis,
|
|
||||||
self.account_id,
|
|
||||||
request,
|
|
||||||
timeout_seconds=float(timeout_seconds),
|
|
||||||
transport=transport,
|
|
||||||
request_channel_template=self.request_channel_template,
|
|
||||||
request_queue_template=self.request_queue_template,
|
|
||||||
response_channel_template=self.response_channel_template,
|
|
||||||
response_list_template=self.response_list_template,
|
|
||||||
response_key_template=self.response_key_template,
|
|
||||||
)
|
|
||||||
|
|
||||||
# -- server side -------------------------------------------------------
|
|
||||||
def start_receiving(self, on_request, background_threads=True):
|
|
||||||
"""Spawn the pubsub + queue receive loops (unless ``background_threads``)."""
|
|
||||||
super(RedisTransport, self).start_receiving(on_request)
|
|
||||||
if not background_threads:
|
|
||||||
print(
|
|
||||||
"%s started queue=%s background_threads=False"
|
|
||||||
% (self.print_prefix, self.request_queue)
|
|
||||||
)
|
|
||||||
return
|
|
||||||
if (
|
|
||||||
self._thread is not None
|
|
||||||
and self._thread.is_alive()
|
|
||||||
and self._queue_thread is not None
|
|
||||||
and self._queue_thread.is_alive()
|
|
||||||
):
|
|
||||||
return
|
|
||||||
self._thread = threading.Thread(
|
|
||||||
target=self._listen_loop, name="bigqmt-redis-rpc", daemon=True
|
|
||||||
)
|
|
||||||
self._queue_thread = threading.Thread(
|
|
||||||
target=self._queue_loop, name="bigqmt-redis-rpc-queue", daemon=True
|
|
||||||
)
|
|
||||||
self._thread.start()
|
|
||||||
self._queue_thread.start()
|
|
||||||
print(
|
|
||||||
"%s started channel=%s queue=%s"
|
|
||||||
% (self.print_prefix, self.request_channel, self.request_queue)
|
|
||||||
)
|
|
||||||
|
|
||||||
def _listen_loop(self):
|
|
||||||
while self._running:
|
|
||||||
try:
|
|
||||||
pubsub = self.listen_redis.pubsub(ignore_subscribe_messages=True)
|
|
||||||
self._pubsub = pubsub
|
|
||||||
pubsub.subscribe(self.request_channel)
|
|
||||||
if self.debug_log_limit > 0:
|
|
||||||
print(
|
|
||||||
"%s subscribed channel=%s" % (self.print_prefix, self.request_channel)
|
|
||||||
)
|
|
||||||
while self._running:
|
|
||||||
message = pubsub.get_message(timeout=1.0)
|
|
||||||
if not self._running:
|
|
||||||
break
|
|
||||||
if not message or message.get("type") != "message":
|
|
||||||
continue
|
|
||||||
self._handle_received_payload(message.get("data"), "pubsub")
|
|
||||||
except Exception:
|
|
||||||
print(
|
|
||||||
"%s listener failed:\n%s" % (self.print_prefix, traceback.format_exc())
|
|
||||||
)
|
|
||||||
time.sleep(1.0)
|
|
||||||
finally:
|
|
||||||
try:
|
|
||||||
if self._pubsub is not None:
|
|
||||||
self._pubsub.close()
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
self._pubsub = None
|
|
||||||
|
|
||||||
def _queue_loop(self):
|
|
||||||
while self._running:
|
|
||||||
try:
|
|
||||||
if self.debug_log_limit > 0:
|
|
||||||
print(
|
|
||||||
"%s queue polling key=%s" % (self.print_prefix, self.request_queue)
|
|
||||||
)
|
|
||||||
while self._running:
|
|
||||||
item = self.listen_redis.brpop(self.request_queue, timeout=1)
|
|
||||||
if not self._running:
|
|
||||||
break
|
|
||||||
if not item:
|
|
||||||
continue
|
|
||||||
raw = (
|
|
||||||
item[1]
|
|
||||||
if isinstance(item, (list, tuple)) and len(item) >= 2
|
|
||||||
else item
|
|
||||||
)
|
|
||||||
self._handle_received_payload(raw, "queue")
|
|
||||||
except Exception:
|
|
||||||
print(
|
|
||||||
"%s queue listener failed:\n%s"
|
|
||||||
% (self.print_prefix, traceback.format_exc())
|
|
||||||
)
|
|
||||||
time.sleep(1.0)
|
|
||||||
|
|
||||||
def _handle_received_payload(self, raw_payload, source):
|
|
||||||
self._received_count += 1
|
|
||||||
if self.on_raw_payload is not None:
|
|
||||||
# Service wants to observe/intercept (e.g. debug log + dispatch fork).
|
|
||||||
self.on_raw_payload(raw_payload, source)
|
|
||||||
return
|
|
||||||
# Default: decode and deliver straight to the registered callback.
|
|
||||||
request = _loads(raw_payload)
|
|
||||||
self.deliver(request)
|
|
||||||
|
|
||||||
def send_response(self, request, response):
|
|
||||||
"""Fan out the response to reply_key/reply_list/reply_channel."""
|
|
||||||
request_id = response.get("request_id") or request.get("request_id") or ""
|
|
||||||
account_id = response.get("account_id") or request.get("account_id") or self.account_id
|
|
||||||
payload = json.dumps(response, ensure_ascii=False)
|
|
||||||
ttl_seconds = int(request.get("ttl_seconds") or self.response_ttl_seconds)
|
|
||||||
response_key = request.get("reply_key") or _format(
|
|
||||||
self.response_key_template, account_id, request_id
|
|
||||||
)
|
|
||||||
response_channel = request.get("reply_channel") or _format(
|
|
||||||
self.response_channel_template, account_id, request_id
|
|
||||||
)
|
|
||||||
response_list = request.get("reply_list")
|
|
||||||
if response_key:
|
|
||||||
self._write_response_key(response_key, ttl_seconds, payload)
|
|
||||||
if response_list:
|
|
||||||
self._push_response_list(response_list, ttl_seconds, payload)
|
|
||||||
if response_channel:
|
|
||||||
self._publish_response_channel(response_channel, payload)
|
|
||||||
|
|
||||||
def _write_response_key(self, response_key, ttl_seconds, payload):
|
|
||||||
first_error = None
|
|
||||||
wrote = 0
|
|
||||||
for client in self._response_clients():
|
|
||||||
try:
|
|
||||||
if ttl_seconds > 0:
|
|
||||||
client.setex(response_key, ttl_seconds, payload)
|
|
||||||
else:
|
|
||||||
client.set(response_key, payload)
|
|
||||||
wrote += 1
|
|
||||||
except Exception as exc:
|
|
||||||
if first_error is None:
|
|
||||||
first_error = exc
|
|
||||||
if wrote <= 0 and first_error is not None:
|
|
||||||
raise first_error
|
|
||||||
return wrote
|
|
||||||
|
|
||||||
def _push_response_list(self, response_list, ttl_seconds, payload):
|
|
||||||
first_error = None
|
|
||||||
pushed = 0
|
|
||||||
for client in self._response_clients():
|
|
||||||
try:
|
|
||||||
client.rpush(response_list, payload)
|
|
||||||
if ttl_seconds > 0:
|
|
||||||
client.expire(response_list, ttl_seconds)
|
|
||||||
pushed += 1
|
|
||||||
except Exception as exc:
|
|
||||||
if first_error is None:
|
|
||||||
first_error = exc
|
|
||||||
if pushed <= 0 and first_error is not None:
|
|
||||||
raise first_error
|
|
||||||
return pushed
|
|
||||||
|
|
||||||
def _publish_response_channel(self, response_channel, payload):
|
|
||||||
first_error = None
|
|
||||||
receivers = 0
|
|
||||||
published = 0
|
|
||||||
for client in self._response_clients():
|
|
||||||
try:
|
|
||||||
receivers += int(client.publish(response_channel, payload) or 0)
|
|
||||||
published += 1
|
|
||||||
except Exception as exc:
|
|
||||||
if first_error is None:
|
|
||||||
first_error = exc
|
|
||||||
if published <= 0 and first_error is not None:
|
|
||||||
raise first_error
|
|
||||||
self._published_count += 1
|
|
||||||
if self._published_count <= self.debug_log_limit:
|
|
||||||
print("%s published response receivers=%s" % (self.print_prefix, receivers))
|
|
||||||
return receivers
|
|
||||||
|
|
||||||
# -- non-background drain helpers (used by the strategy adjust thread) -
|
|
||||||
def drain_request_queue(self, max_items=20):
|
|
||||||
processed = 0
|
|
||||||
for _ in range(int(max_items)):
|
|
||||||
try:
|
|
||||||
item = self.listen_redis.lpop(self.request_queue)
|
|
||||||
except Exception as exc:
|
|
||||||
if _is_redis_timeout(exc):
|
|
||||||
print("%s ERROR drain timeout on LPOP queue=%s; skip this tick" % (self.print_prefix, self.request_queue))
|
|
||||||
break
|
|
||||||
raise
|
|
||||||
if not item:
|
|
||||||
break
|
|
||||||
if self.on_raw_payload is not None:
|
|
||||||
self.on_raw_payload(item, "queue-drain")
|
|
||||||
else:
|
|
||||||
self.deliver(_loads(item))
|
|
||||||
processed += 1
|
|
||||||
return processed
|
|
||||||
|
|
||||||
def stop(self):
|
|
||||||
super(RedisTransport, self).stop()
|
|
||||||
pubsub = self._pubsub
|
|
||||||
if pubsub is not None:
|
|
||||||
try:
|
|
||||||
pubsub.close()
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
thread = self._thread
|
|
||||||
if thread is not None and thread.is_alive():
|
|
||||||
thread.join(1.0)
|
|
||||||
queue_thread = self._queue_thread
|
|
||||||
if queue_thread is not None and queue_thread.is_alive():
|
|
||||||
queue_thread.join(1.0)
|
|
||||||
self._thread = None
|
|
||||||
self._queue_thread = None
|
|
||||||
self._pubsub = None
|
|
||||||
|
|
||||||
|
|
||||||
def _call_redis_rpc(
|
|
||||||
redis_client,
|
|
||||||
account_id,
|
|
||||||
request,
|
|
||||||
timeout_seconds=3.0,
|
|
||||||
transport="queue",
|
|
||||||
request_channel_template=REQUEST_CHANNEL_TEMPLATE,
|
|
||||||
request_queue_template=REQUEST_QUEUE_TEMPLATE,
|
|
||||||
response_channel_template=RESPONSE_CHANNEL_TEMPLATE,
|
|
||||||
response_list_template=RESPONSE_LIST_TEMPLATE,
|
|
||||||
response_key_template=RESPONSE_KEY_TEMPLATE,
|
|
||||||
ttl_seconds=60,
|
|
||||||
):
|
|
||||||
"""Client-side round trip. Accepts a pre-built request envelope."""
|
|
||||||
request_id = request.get("request_id") or uuid.uuid4().hex
|
|
||||||
request_channel = request_channel_template.format(account_id=account_id)
|
|
||||||
request_queue = request_queue_template.format(account_id=account_id)
|
|
||||||
response_channel = response_channel_template.format(
|
|
||||||
account_id=account_id, request_id=request_id
|
|
||||||
)
|
|
||||||
response_list = response_list_template.format(account_id=account_id, request_id=request_id)
|
|
||||||
response_key = response_key_template.format(account_id=account_id, request_id=request_id)
|
|
||||||
# Ensure reply routing is present (the original helper filled these in).
|
|
||||||
request = dict(request)
|
|
||||||
request.setdefault("request_id", request_id)
|
|
||||||
request.setdefault("reply_channel", response_channel)
|
|
||||||
request.setdefault("reply_list", response_list)
|
|
||||||
request.setdefault("reply_key", response_key)
|
|
||||||
request.setdefault("ttl_seconds", ttl_seconds)
|
|
||||||
request["request_id"] = request_id
|
|
||||||
payload = encode_rpc_request_payload(request)
|
|
||||||
|
|
||||||
if str(transport or "queue").lower() in ("queue", "list", "blpop"):
|
|
||||||
redis_client.rpush(request_queue, payload)
|
|
||||||
redis_client.expire(request_queue, max(60, int(ttl_seconds)))
|
|
||||||
wait_timeout = max(1, int(float(timeout_seconds) + 0.999))
|
|
||||||
item = redis_client.blpop(response_list, timeout=wait_timeout)
|
|
||||||
if item:
|
|
||||||
raw_response = (
|
|
||||||
item[1] if isinstance(item, (list, tuple)) and len(item) >= 2 else item
|
|
||||||
)
|
|
||||||
try:
|
|
||||||
redis_client.delete(response_list)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
return json.loads(decode_text(raw_response))
|
|
||||||
raw_response = redis_client.get(response_key)
|
|
||||||
if raw_response:
|
|
||||||
return json.loads(decode_text(raw_response))
|
|
||||||
raise TransportTimeout("redis rpc timeout: %s" % request.get("method"))
|
|
||||||
|
|
||||||
pubsub = redis_client.pubsub(ignore_subscribe_messages=True)
|
|
||||||
try:
|
|
||||||
pubsub.subscribe(response_channel)
|
|
||||||
redis_client.publish(request_channel, payload)
|
|
||||||
deadline = time.time() + float(timeout_seconds)
|
|
||||||
while True:
|
|
||||||
remaining = deadline - time.time()
|
|
||||||
if remaining <= 0:
|
|
||||||
break
|
|
||||||
message = pubsub.get_message(timeout=remaining)
|
|
||||||
if not message or message.get("type") != "message":
|
|
||||||
continue
|
|
||||||
response = json.loads(decode_text(message.get("data")))
|
|
||||||
if response.get("request_id") == request_id:
|
|
||||||
return response
|
|
||||||
raw_response = redis_client.get(response_key)
|
|
||||||
if raw_response:
|
|
||||||
return json.loads(decode_text(raw_response))
|
|
||||||
raise TransportTimeout("redis rpc timeout: %s" % request.get("method"))
|
|
||||||
finally:
|
|
||||||
try:
|
|
||||||
pubsub.close()
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
@@ -1,34 +0,0 @@
|
|||||||
"""Shared-memory transport stub.
|
|
||||||
|
|
||||||
Reserved for a future low-latency same-host backend. Not implemented because
|
|
||||||
the QMT runtime ships Python 3.6, where ``multiprocessing.shared_memory`` is
|
|
||||||
unavailable (added in 3.8). A ``mmap``-plus-named-mutex implementation is
|
|
||||||
possible but non-trivial; until it lands, selecting this transport raises a
|
|
||||||
clear error so misconfiguration fails fast.
|
|
||||||
"""
|
|
||||||
|
|
||||||
from .base import RpcTransport, TransportError
|
|
||||||
|
|
||||||
|
|
||||||
class SharedMemoryTransport(RpcTransport):
|
|
||||||
name = "shm"
|
|
||||||
|
|
||||||
def __init__(self, account_id="", print_prefix="[bigqmt_rpc]", **kwargs):
|
|
||||||
super(SharedMemoryTransport, self).__init__(
|
|
||||||
account_id=account_id, print_prefix=print_prefix
|
|
||||||
)
|
|
||||||
|
|
||||||
def _unsupported(self):
|
|
||||||
raise TransportError(
|
|
||||||
"shared-memory transport is not implemented yet "
|
|
||||||
"(requires Python 3.8+ shared_memory or a custom mmap ring buffer)"
|
|
||||||
)
|
|
||||||
|
|
||||||
def send_request(self, request, timeout_seconds):
|
|
||||||
self._unsupported()
|
|
||||||
|
|
||||||
def send_response(self, request, response):
|
|
||||||
self._unsupported()
|
|
||||||
|
|
||||||
def start_receiving(self, on_request, **kwargs):
|
|
||||||
self._unsupported()
|
|
||||||
@@ -1,459 +0,0 @@
|
|||||||
"""ZeroMQ transport for the BigQMT RPC bridge.
|
|
||||||
|
|
||||||
Designed for same-host low latency. Topology:
|
|
||||||
|
|
||||||
* **Server** binds a ``ROUTER`` socket. Each inbound message arrives as
|
|
||||||
``[identity, payload]``; the server remembers ``identity`` keyed by
|
|
||||||
``request_id`` and replies with ``[identity, payload]`` so ZMQ routes the
|
|
||||||
response back to the originating client automatically.
|
|
||||||
* **Client** connects a ``DEALER`` socket (with a unique random identity), sends
|
|
||||||
``[payload]``, then ``poll``/``recv`` for the response. DEALER gives each
|
|
||||||
client an asymmetric async path that pairs naturally with ROUTER.
|
|
||||||
|
|
||||||
Wire framing is a single JSON payload per message. The original b64 stock-code
|
|
||||||
obfuscation (``encode_rpc_request_payload``) is applied too, so payloads stay
|
|
||||||
opaque even though ZMQ does not need it — keeps the wire uniform with Redis.
|
|
||||||
|
|
||||||
Two threads on the server: the ROUTER recv loop, and a per-client is implicit
|
|
||||||
(ZMQ handles multiplexing). One thread on the client for recv is avoided by
|
|
||||||
using DEALER + ``poll`` (synchronous request/response fits the RPC model).
|
|
||||||
"""
|
|
||||||
|
|
||||||
import json
|
|
||||||
import queue
|
|
||||||
import threading
|
|
||||||
import time
|
|
||||||
import uuid
|
|
||||||
|
|
||||||
from ..adapters.redis_common import decode_text
|
|
||||||
from ..redis_rpc import (
|
|
||||||
decode_rpc_request_payload,
|
|
||||||
encode_rpc_request_payload,
|
|
||||||
)
|
|
||||||
from .base import RpcTransport, TransportError, TransportTimeout
|
|
||||||
|
|
||||||
|
|
||||||
# ZMQ does not support ipc:// on Windows (it trips a signaler abort), so the
|
|
||||||
# default endpoint is tcp loopback. The port is derived from the account_id so
|
|
||||||
# distinct accounts don't collide on the same port; override via config when
|
|
||||||
# needed. Base 15560 keeps it clear of common dev ports.
|
|
||||||
DEFAULT_ZMQ_HOST = "127.0.0.1"
|
|
||||||
DEFAULT_ZMQ_BASE_PORT = 15560
|
|
||||||
DEFAULT_ZMQ_PORT_RANGE = 100 # derived port = base + (account_id_int mod range)
|
|
||||||
|
|
||||||
|
|
||||||
def _default_zmq_port(account_id):
|
|
||||||
"""Derive a stable port from account_id so each account gets its own socket."""
|
|
||||||
text = str(account_id or "")
|
|
||||||
digits = "".join(ch for ch in text if ch.isdigit())
|
|
||||||
try:
|
|
||||||
offset = int(digits) % DEFAULT_ZMQ_PORT_RANGE if digits else 0
|
|
||||||
except ValueError:
|
|
||||||
offset = 0
|
|
||||||
return DEFAULT_ZMQ_BASE_PORT + offset
|
|
||||||
|
|
||||||
|
|
||||||
def _default_zmq_address(account_id, host=None):
|
|
||||||
host = host or DEFAULT_ZMQ_HOST
|
|
||||||
return "tcp://%s:%d" % (host, _default_zmq_port(account_id))
|
|
||||||
|
|
||||||
|
|
||||||
def _loads(raw):
|
|
||||||
if isinstance(raw, dict):
|
|
||||||
return dict(raw)
|
|
||||||
text = decode_text(raw)
|
|
||||||
text = decode_rpc_request_payload(text)
|
|
||||||
return json.loads(text)
|
|
||||||
|
|
||||||
|
|
||||||
class ZmqTransport(RpcTransport):
|
|
||||||
"""ZMQ ROUTER/DEALER transport.
|
|
||||||
|
|
||||||
The same instance plays both roles depending on method called:
|
|
||||||
``send_request`` acts as a client (DEALER connect), ``start_receiving`` +
|
|
||||||
``send_response`` act as a server (ROUTER bind). A deployment normally uses
|
|
||||||
one instance per role (the QMT process is the server; the external client
|
|
||||||
is the client).
|
|
||||||
"""
|
|
||||||
|
|
||||||
name = "zmq"
|
|
||||||
|
|
||||||
def __init__(
|
|
||||||
self,
|
|
||||||
bind_address=None,
|
|
||||||
connect_address=None,
|
|
||||||
host=None,
|
|
||||||
port=None,
|
|
||||||
account_id="",
|
|
||||||
print_prefix="[bigqmt_rpc]",
|
|
||||||
io_threads=1,
|
|
||||||
recv_timeout_seconds=1.0,
|
|
||||||
server_hwm=10000,
|
|
||||||
client_linger_ms=0,
|
|
||||||
discovery_redis_client=None,
|
|
||||||
discovery_key_template="bigqmt:zmq:addr:{account_id}",
|
|
||||||
discovery_ttl_seconds=300,
|
|
||||||
port_scan_range=50,
|
|
||||||
):
|
|
||||||
super(ZmqTransport, self).__init__(account_id=account_id, print_prefix=print_prefix)
|
|
||||||
# Address resolution order: explicit bind_address/connect_address win;
|
|
||||||
# otherwise build tcp://host:port from host/port (port defaults to a
|
|
||||||
# value derived from account_id so distinct accounts don't collide).
|
|
||||||
resolved_host = host or DEFAULT_ZMQ_HOST
|
|
||||||
if port is not None:
|
|
||||||
resolved_port = int(port)
|
|
||||||
else:
|
|
||||||
resolved_port = _default_zmq_port(account_id)
|
|
||||||
default_addr = "tcp://%s:%d" % (resolved_host, resolved_port)
|
|
||||||
self.bind_address = bind_address or default_addr
|
|
||||||
self.connect_address = connect_address
|
|
||||||
self.bind_host = resolved_host
|
|
||||||
self.base_port = resolved_port
|
|
||||||
self.io_threads = int(io_threads)
|
|
||||||
self.recv_timeout_seconds = float(recv_timeout_seconds)
|
|
||||||
self.server_hwm = int(server_hwm)
|
|
||||||
self.client_linger_ms = int(client_linger_ms)
|
|
||||||
# Discovery remains available for clients, but a server must bind the
|
|
||||||
# configured address exactly. ``port_scan_range`` is retained only for
|
|
||||||
# backward-compatible config loading and is intentionally not used.
|
|
||||||
self.discovery_redis_client = discovery_redis_client
|
|
||||||
self.discovery_key_template = discovery_key_template
|
|
||||||
self.discovery_ttl_seconds = int(discovery_ttl_seconds)
|
|
||||||
self.port_scan_range = int(port_scan_range)
|
|
||||||
|
|
||||||
self._zmq = None # imported lazily
|
|
||||||
self._ctx = None
|
|
||||||
# server state
|
|
||||||
self._router = None
|
|
||||||
self._router_thread = None
|
|
||||||
self._actual_bind_address = None # set after start_receiving()
|
|
||||||
self._pending_identities = {} # request_id -> client identity bytes
|
|
||||||
self._identity_lock = threading.Lock()
|
|
||||||
self._response_queue = queue.Queue()
|
|
||||||
self._queued_response_count = 0
|
|
||||||
self._sent_response_count = 0
|
|
||||||
# client state
|
|
||||||
self._dealer = None
|
|
||||||
self._client_lock = threading.Lock()
|
|
||||||
|
|
||||||
# -- construction helper ----------------------------------------------
|
|
||||||
@classmethod
|
|
||||||
def from_config(cls, config, account_id="", print_prefix="[bigqmt_rpc]"):
|
|
||||||
config = dict(config or {})
|
|
||||||
return cls(
|
|
||||||
bind_address=config.get("bind_address"),
|
|
||||||
connect_address=config.get("connect_address"),
|
|
||||||
host=config.get("host"),
|
|
||||||
port=config.get("port"),
|
|
||||||
account_id=config.get("account_id", account_id),
|
|
||||||
print_prefix=print_prefix,
|
|
||||||
io_threads=int(config.get("io_threads", 1)),
|
|
||||||
recv_timeout_seconds=float(config.get("recv_timeout_seconds", 1.0)),
|
|
||||||
server_hwm=int(config.get("server_hwm", 10000)),
|
|
||||||
client_linger_ms=int(config.get("client_linger_ms", 0)),
|
|
||||||
discovery_redis_client=config.get("discovery_redis_client"),
|
|
||||||
discovery_key_template=config.get(
|
|
||||||
"discovery_key_template", "bigqmt:zmq:addr:{account_id}"
|
|
||||||
),
|
|
||||||
discovery_ttl_seconds=int(config.get("discovery_ttl_seconds", 300)),
|
|
||||||
port_scan_range=int(config.get("port_scan_range", 50)),
|
|
||||||
)
|
|
||||||
|
|
||||||
# -- shared zmq context -----------------------------------------------
|
|
||||||
def _ensure_zmq(self):
|
|
||||||
if self._zmq is None:
|
|
||||||
try:
|
|
||||||
import zmq # noqa: F401
|
|
||||||
except ImportError as exc: # pragma: no cover - depends on env
|
|
||||||
raise TransportError(
|
|
||||||
"pyzmq is required for the zmq transport: %s" % exc
|
|
||||||
)
|
|
||||||
self._zmq = zmq
|
|
||||||
if self._ctx is None:
|
|
||||||
self._ctx = self._zmq.Context.instance(self.io_threads)
|
|
||||||
return self._zmq, self._ctx
|
|
||||||
|
|
||||||
# -- server side ------------------------------------------------------
|
|
||||||
def _bind_configured_address(self):
|
|
||||||
"""Bind exactly one configured address and reject duplicate servers."""
|
|
||||||
zmq, ctx = self._ensure_zmq()
|
|
||||||
sock = ctx.socket(zmq.ROUTER)
|
|
||||||
sock.setsockopt(zmq.RCVHWM, self.server_hwm)
|
|
||||||
sock.setsockopt(zmq.SNDHWM, self.server_hwm)
|
|
||||||
sock.setsockopt(zmq.RCVTIMEO, int(self.recv_timeout_seconds * 1000))
|
|
||||||
try:
|
|
||||||
sock.bind(self.bind_address)
|
|
||||||
except self._zmq.ZMQError as exc:
|
|
||||||
try:
|
|
||||||
sock.close(linger=0)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
if getattr(exc, "errno", None) == zmq.EADDRINUSE:
|
|
||||||
# 端口被占——通常是之前策略实例没正常停止。给出友好提示和解决步骤。
|
|
||||||
print(
|
|
||||||
"%s ZMQ_BIND_CONFLICT: 端口 %s 被占用！"
|
|
||||||
% (self.print_prefix, self.bind_address)
|
|
||||||
)
|
|
||||||
print(
|
|
||||||
"%s 原因：之前的 QMT 策略实例没正常停止，仍占着这个端口。"
|
|
||||||
% self.print_prefix
|
|
||||||
)
|
|
||||||
print(
|
|
||||||
"%s 解决：1) 在 QMT 里停止旧策略再运行；2) 或等 60s 让系统释放端口；"
|
|
||||||
% self.print_prefix
|
|
||||||
)
|
|
||||||
print(
|
|
||||||
"%s 3) 或改配置用别的端口（BIGQMT_REDIS_CONFIG.zmq.port）"
|
|
||||||
% self.print_prefix
|
|
||||||
)
|
|
||||||
raise TransportError(
|
|
||||||
"ZMQ_BIND_CONFLICT address=%s; another bridge instance "
|
|
||||||
"already owns the configured endpoint" % self.bind_address
|
|
||||||
)
|
|
||||||
raise
|
|
||||||
self._router = sock
|
|
||||||
self._actual_bind_address = self.bind_address
|
|
||||||
self._publish_discovery(self.bind_address)
|
|
||||||
|
|
||||||
def _publish_discovery(self, address):
|
|
||||||
if self.discovery_redis_client is None:
|
|
||||||
return
|
|
||||||
key = self.discovery_key_template.format(account_id=self.account_id)
|
|
||||||
try:
|
|
||||||
self.discovery_redis_client.setex(
|
|
||||||
key, self.discovery_ttl_seconds, address
|
|
||||||
)
|
|
||||||
except Exception as exc:
|
|
||||||
print("%s zmq discovery publish failed: %s" % (self.print_prefix, exc))
|
|
||||||
|
|
||||||
def _clear_discovery(self):
|
|
||||||
if self.discovery_redis_client is None:
|
|
||||||
return
|
|
||||||
key = self.discovery_key_template.format(account_id=self.account_id)
|
|
||||||
try:
|
|
||||||
self.discovery_redis_client.delete(key)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
|
|
||||||
def start_receiving(self, on_request, background_threads=True):
|
|
||||||
super(ZmqTransport, self).start_receiving(on_request)
|
|
||||||
zmq, ctx = self._ensure_zmq()
|
|
||||||
self._bind_configured_address()
|
|
||||||
bound = self._actual_bind_address or self.bind_address
|
|
||||||
if not background_threads:
|
|
||||||
print(
|
|
||||||
"%s zmq bound=%s background_threads=False"
|
|
||||||
% (self.print_prefix, bound)
|
|
||||||
)
|
|
||||||
return
|
|
||||||
self._router_thread = threading.Thread(
|
|
||||||
target=self._router_loop, name="bigqmt-zmq-rpc", daemon=True
|
|
||||||
)
|
|
||||||
self._router_thread.start()
|
|
||||||
print(
|
|
||||||
"%s zmq started bound=%s" % (self.print_prefix, self.bind_address)
|
|
||||||
)
|
|
||||||
|
|
||||||
def _router_loop(self):
|
|
||||||
try:
|
|
||||||
while self._running:
|
|
||||||
self._drain_response_queue()
|
|
||||||
request = self._receive_request()
|
|
||||||
if request is not None:
|
|
||||||
self._deliver_request(request)
|
|
||||||
finally:
|
|
||||||
# Close the ROUTER socket on the thread that owns it. On Windows,
|
|
||||||
# closing a ZMQ socket from a different thread trips a signaler
|
|
||||||
# assertion (abort); closing it here is safe because this thread
|
|
||||||
# created and exclusively used it.
|
|
||||||
try:
|
|
||||||
self._router.close(linger=0)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
self._router = None
|
|
||||||
|
|
||||||
def _receive_request(self, flags=0):
|
|
||||||
try:
|
|
||||||
frames = self._router.recv_multipart(flags=flags)
|
|
||||||
except self._zmq.Again:
|
|
||||||
return None
|
|
||||||
except Exception as exc:
|
|
||||||
if self._running:
|
|
||||||
print("%s zmq recv failed: %s" % (self.print_prefix, exc))
|
|
||||||
if not flags:
|
|
||||||
time.sleep(0.5)
|
|
||||||
return None
|
|
||||||
if len(frames) < 2:
|
|
||||||
return None
|
|
||||||
identity, payload = frames[0], frames[-1]
|
|
||||||
try:
|
|
||||||
request = _loads(payload)
|
|
||||||
except Exception as exc:
|
|
||||||
print("%s zmq decode failed: %s" % (self.print_prefix, exc))
|
|
||||||
return None
|
|
||||||
request_id = str(request.get("request_id") or uuid.uuid4().hex)
|
|
||||||
with self._identity_lock:
|
|
||||||
self._pending_identities[request_id] = identity
|
|
||||||
return request
|
|
||||||
|
|
||||||
def _deliver_request(self, request):
|
|
||||||
started = time.perf_counter()
|
|
||||||
try:
|
|
||||||
self.deliver(request)
|
|
||||||
except Exception as exc:
|
|
||||||
print("%s zmq deliver failed: %s" % (self.print_prefix, exc))
|
|
||||||
elapsed_ms = (time.perf_counter() - started) * 1000.0
|
|
||||||
if elapsed_ms > 50.0:
|
|
||||||
print("%s zmq slow handler method=%s %.0fms"
|
|
||||||
% (self.print_prefix, request.get("method"), elapsed_ms))
|
|
||||||
|
|
||||||
def _drain_response_queue(self):
|
|
||||||
while True:
|
|
||||||
try:
|
|
||||||
identity, payload = self._response_queue.get_nowait()
|
|
||||||
except queue.Empty:
|
|
||||||
return
|
|
||||||
try:
|
|
||||||
self._router.send_multipart([identity, payload])
|
|
||||||
self._sent_response_count += 1
|
|
||||||
if self._sent_response_count <= 5:
|
|
||||||
print("%s zmq queued response sent" % self.print_prefix)
|
|
||||||
except Exception as exc:
|
|
||||||
print("%s zmq send failed: %s" % (self.print_prefix, exc))
|
|
||||||
|
|
||||||
def send_response(self, request, response):
|
|
||||||
if self._router is None:
|
|
||||||
raise TransportError("zmq server socket is not bound")
|
|
||||||
request_id = str(
|
|
||||||
response.get("request_id") or request.get("request_id") or ""
|
|
||||||
)
|
|
||||||
with self._identity_lock:
|
|
||||||
identity = self._pending_identities.pop(request_id, None)
|
|
||||||
if identity is None:
|
|
||||||
# No matching peer — drop silently (client may have gone away).
|
|
||||||
return
|
|
||||||
payload = encode_rpc_request_payload(response).encode("utf-8")
|
|
||||||
if self._router_thread is not None and threading.current_thread() is not self._router_thread:
|
|
||||||
self._queued_response_count += 1
|
|
||||||
if self._queued_response_count <= 5:
|
|
||||||
print("%s zmq response queued for router thread" % self.print_prefix)
|
|
||||||
self._response_queue.put((identity, payload))
|
|
||||||
return
|
|
||||||
try:
|
|
||||||
self._router.send_multipart([identity, payload])
|
|
||||||
except Exception as exc:
|
|
||||||
print("%s zmq send failed: %s" % (self.print_prefix, exc))
|
|
||||||
|
|
||||||
def drain_request_queue(self, max_items=20):
|
|
||||||
"""Drain requests from the scheduled QMT thread when no receiver thread exists."""
|
|
||||||
if self._router_thread is not None or self._router is None:
|
|
||||||
return 0
|
|
||||||
processed = 0
|
|
||||||
for _index in range(max(int(max_items), 0)):
|
|
||||||
request = self._receive_request(flags=self._zmq.NOBLOCK)
|
|
||||||
if request is None:
|
|
||||||
break
|
|
||||||
self._deliver_request(request)
|
|
||||||
processed += 1
|
|
||||||
return processed
|
|
||||||
|
|
||||||
# -- client side ------------------------------------------------------
|
|
||||||
def _resolve_connect_address(self):
|
|
||||||
"""Resolve the address to connect to.
|
|
||||||
|
|
||||||
Order: explicit connect_address > discovery lookup > default derived.
|
|
||||||
Discovery lets the client find a server that had to move off the
|
|
||||||
default port because of a collision.
|
|
||||||
"""
|
|
||||||
if self.connect_address:
|
|
||||||
return self.connect_address
|
|
||||||
discovered = self._lookup_discovery()
|
|
||||||
if discovered:
|
|
||||||
return discovered
|
|
||||||
return _default_zmq_address(self.account_id)
|
|
||||||
|
|
||||||
def _lookup_discovery(self):
|
|
||||||
if self.discovery_redis_client is None:
|
|
||||||
return None
|
|
||||||
key = self.discovery_key_template.format(account_id=self.account_id)
|
|
||||||
try:
|
|
||||||
raw = self.discovery_redis_client.get(key)
|
|
||||||
except Exception:
|
|
||||||
return None
|
|
||||||
if not raw:
|
|
||||||
return None
|
|
||||||
try:
|
|
||||||
text = raw.decode("utf-8") if isinstance(raw, (bytes, bytearray)) else str(raw)
|
|
||||||
except Exception:
|
|
||||||
return None
|
|
||||||
return text or None
|
|
||||||
|
|
||||||
def _ensure_dealer(self):
|
|
||||||
zmq, ctx = self._ensure_zmq()
|
|
||||||
if self._dealer is None:
|
|
||||||
address = self._resolve_connect_address()
|
|
||||||
sock = ctx.socket(zmq.DEALER)
|
|
||||||
# Unique identity so ROUTER can route replies back to us.
|
|
||||||
sock.setsockopt(zmq.IDENTITY, uuid.uuid4().hex.encode("utf-8")[:16])
|
|
||||||
sock.setsockopt(zmq.LINGER, self.client_linger_ms)
|
|
||||||
sock.connect(address)
|
|
||||||
self._dealer = sock
|
|
||||||
self.connect_address = address
|
|
||||||
return self._dealer
|
|
||||||
|
|
||||||
def send_request(self, request, timeout_seconds, **_kwargs):
|
|
||||||
zmq = self._zmq or self._ensure_zmq()[0]
|
|
||||||
with self._client_lock:
|
|
||||||
dealer = self._ensure_dealer()
|
|
||||||
request = dict(request)
|
|
||||||
request.setdefault("request_id", uuid.uuid4().hex)
|
|
||||||
request_id = request["request_id"]
|
|
||||||
payload = encode_rpc_request_payload(request)
|
|
||||||
try:
|
|
||||||
dealer.send(payload.encode("utf-8"))
|
|
||||||
except Exception as exc:
|
|
||||||
raise TransportError("zmq send failed: %s" % exc)
|
|
||||||
deadline = time.time() + float(timeout_seconds)
|
|
||||||
poller = self._zmq.Poller()
|
|
||||||
poller.register(dealer, self._zmq.POLLIN)
|
|
||||||
while True:
|
|
||||||
remaining = deadline - time.time()
|
|
||||||
if remaining <= 0:
|
|
||||||
break
|
|
||||||
events = dict(poller.poll(timeout=int(remaining * 1000)))
|
|
||||||
if dealer in events:
|
|
||||||
frames = dealer.recv_multipart()
|
|
||||||
raw = frames[-1]
|
|
||||||
response = _loads(raw)
|
|
||||||
if response.get("request_id") == request_id:
|
|
||||||
return response
|
|
||||||
raise TransportTimeout("zmq rpc timeout: %s" % request.get("method"))
|
|
||||||
|
|
||||||
# -- lifecycle --------------------------------------------------------
|
|
||||||
def stop(self):
|
|
||||||
super(ZmqTransport, self).stop()
|
|
||||||
# Clear _running so the router loop exits; the loop closes its own
|
|
||||||
# socket (closing cross-thread trips a Windows signaler abort).
|
|
||||||
thread = self._router_thread
|
|
||||||
if thread is not None and thread.is_alive():
|
|
||||||
thread.join(2.0)
|
|
||||||
if thread is None and self._router is not None:
|
|
||||||
try:
|
|
||||||
self._router.close(linger=0)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
self._router = None
|
|
||||||
self._router_thread = None
|
|
||||||
# If we were a server that published a discovery address, clear it so
|
|
||||||
# clients don't keep hitting a dead endpoint.
|
|
||||||
if self._actual_bind_address is not None:
|
|
||||||
self._clear_discovery()
|
|
||||||
self._actual_bind_address = None
|
|
||||||
with self._client_lock:
|
|
||||||
if self._dealer is not None:
|
|
||||||
try:
|
|
||||||
self._dealer.close(linger=self.client_linger_ms)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
self._dealer = None
|
|
||||||
# Do NOT terminate the shared context — other sockets/users may rely on it.
|
|
||||||
@@ -1,204 +0,0 @@
|
|||||||
"""Client-side whole-quote subscription session.
|
|
||||||
|
|
||||||
Owns the per-process state for ``subscribe_whole_quote``: the local
|
|
||||||
subscription table, the shared push-channel subscriber thread, and the
|
|
||||||
keepalive heartbeat thread. One session is shared by every ``subscribe_whole_quote``
|
|
||||||
call in the process (``BigQmtXtData`` delegates here), so all subscriptions ride
|
|
||||||
a single push-channel connection and a single heartbeat loop.
|
|
||||||
|
|
||||||
The big-QMT whole-quote callback is INCREMENTAL (only changed symbols), so a
|
|
||||||
subscription does not by itself deliver an initial full snapshot — callers layer
|
|
||||||
a ``get_full_tick`` prime on top (done in ``BigQmtXtData.subscribe_whole_quote``).
|
|
||||||
"""
|
|
||||||
|
|
||||||
import threading
|
|
||||||
|
|
||||||
|
|
||||||
def _norm_topic(code_list):
|
|
||||||
return ",".join(sorted({str(c).strip().upper() for c in (code_list or []) if str(c or "").strip()}))
|
|
||||||
|
|
||||||
|
|
||||||
class WholeQuoteClientSession(object):
|
|
||||||
def __init__(self, rpc_call, push_channel, client_id, heartbeat_interval_seconds=3.0, sub_id_func=None,
|
|
||||||
push_silence_replay_heartbeats=10):
|
|
||||||
"""``rpc_call`` is ``client.call``-shaped: fn(method, params) -> dict.
|
|
||||||
``push_channel`` is a QuotePushChannel used purely as a subscriber.
|
|
||||||
``sub_id_func`` (optional) mints subscription ids; defaults to a counter.
|
|
||||||
``push_silence_replay_heartbeats``: after this many heartbeat rounds
|
|
||||||
without any push, replay subscriptions (covers server restarts where
|
|
||||||
keepalive keeps succeeding because the redis request queue buffers
|
|
||||||
during the restart window but the subscription table was reset)."""
|
|
||||||
self._rpc = rpc_call
|
|
||||||
self._channel = push_channel
|
|
||||||
self.client_id = str(client_id or "")
|
|
||||||
self._heartbeat_interval = float(heartbeat_interval_seconds)
|
|
||||||
self._push_silence_replay_heartbeats = int(push_silence_replay_heartbeats)
|
|
||||||
self._sub_id_func = sub_id_func
|
|
||||||
self._seq = 0
|
|
||||||
self._lock = threading.RLock()
|
|
||||||
self._subscriptions = {} # sub_id -> {"topic": str, "callback": fn, "codes": [...]}
|
|
||||||
self._started = False
|
|
||||||
self._subscriber_active = False
|
|
||||||
self._subscribed_topics = frozenset() # topic set the subscriber covers now
|
|
||||||
self._heartbeat_thread = None
|
|
||||||
self._last_push_time = None # monotonic time of last incoming push
|
|
||||||
|
|
||||||
# -- subscription lifecycle ---------------------------------------------
|
|
||||||
def subscribe_whole_quote(self, code_list, callback=None):
|
|
||||||
codes = [str(c) for c in (code_list or []) if str(c or "").strip()]
|
|
||||||
if not codes:
|
|
||||||
raise ValueError("code_list is required")
|
|
||||||
with self._lock:
|
|
||||||
sub_id = self._next_sub_id()
|
|
||||||
result = self._rpc(
|
|
||||||
"subscribe_whole_quote",
|
|
||||||
{"client_id": self.client_id, "sub_id": sub_id, "codes": codes},
|
|
||||||
) or {}
|
|
||||||
topic = str(result.get("topic") or result.get("combo_key") or _norm_topic(codes))
|
|
||||||
with self._lock:
|
|
||||||
self._subscriptions[sub_id] = {"topic": topic, "callback": callback, "codes": codes}
|
|
||||||
self._sync_subscriber_locked()
|
|
||||||
return sub_id
|
|
||||||
|
|
||||||
def unsubscribe_quote(self, sub_id):
|
|
||||||
with self._lock:
|
|
||||||
entry = self._subscriptions.pop(sub_id, None)
|
|
||||||
if entry is None:
|
|
||||||
return 0
|
|
||||||
try:
|
|
||||||
self._rpc("unsubscribe_whole_quote", {"client_id": self.client_id, "sub_id": sub_id})
|
|
||||||
finally:
|
|
||||||
with self._lock:
|
|
||||||
self._sync_subscriber_locked()
|
|
||||||
return 0
|
|
||||||
|
|
||||||
def has_subscription(self, sub_id):
|
|
||||||
with self._lock:
|
|
||||||
return sub_id in self._subscriptions
|
|
||||||
|
|
||||||
def replay_subscriptions(self):
|
|
||||||
"""Re-send subscribe for every active sub_id (server restart recovery).
|
|
||||||
Idempotent on the server (keyed by client_id+combo), so replays are safe."""
|
|
||||||
with self._lock:
|
|
||||||
items = [(sid, dict(entry)) for sid, entry in self._subscriptions.items()]
|
|
||||||
for sub_id, entry in items:
|
|
||||||
self._rpc(
|
|
||||||
"subscribe_whole_quote",
|
|
||||||
{"client_id": self.client_id, "sub_id": sub_id, "codes": entry["codes"]},
|
|
||||||
)
|
|
||||||
|
|
||||||
# -- heartbeat -------------------------------------------------------------
|
|
||||||
def start(self):
|
|
||||||
with self._lock:
|
|
||||||
if self._started:
|
|
||||||
return
|
|
||||||
self._started = True
|
|
||||||
self._heartbeat_thread = threading.Thread(
|
|
||||||
target=self._heartbeat_loop, name="bigqmt-quote-keepalive", daemon=True
|
|
||||||
)
|
|
||||||
self._heartbeat_thread.start()
|
|
||||||
|
|
||||||
def stop(self):
|
|
||||||
with self._lock:
|
|
||||||
self._started = False
|
|
||||||
thread = self._heartbeat_thread
|
|
||||||
if thread is not None:
|
|
||||||
thread.join(timeout=1.0)
|
|
||||||
self._heartbeat_thread = None
|
|
||||||
|
|
||||||
def _heartbeat_loop(self):
|
|
||||||
import time
|
|
||||||
|
|
||||||
consecutive_failures = 0
|
|
||||||
silence_rounds = 0
|
|
||||||
prev_last_push = None
|
|
||||||
while True:
|
|
||||||
with self._lock:
|
|
||||||
if not self._started:
|
|
||||||
return
|
|
||||||
sub_ids = list(self._subscriptions.keys())
|
|
||||||
last_push = self._last_push_time
|
|
||||||
if not sub_ids:
|
|
||||||
time.sleep(self._heartbeat_interval)
|
|
||||||
continue
|
|
||||||
failures = 0
|
|
||||||
for sub_id in sub_ids:
|
|
||||||
try:
|
|
||||||
self._rpc("quote_keepalive", {"client_id": self.client_id, "sub_id": sub_id})
|
|
||||||
except Exception:
|
|
||||||
failures += 1
|
|
||||||
if failures:
|
|
||||||
consecutive_failures += 1
|
|
||||||
elif consecutive_failures >= 3:
|
|
||||||
# Server is back after a restart window: replay subscriptions so
|
|
||||||
# the restarted server re-creates the big-QMT subscriptions (its
|
|
||||||
# state is gone). Idempotent on the server, so replays are safe.
|
|
||||||
self.replay_subscriptions()
|
|
||||||
consecutive_failures = 0
|
|
||||||
else:
|
|
||||||
consecutive_failures = 0
|
|
||||||
# Push-silence detection: a server restart can survive with keepalive
|
|
||||||
# succeeding (the redis request queue buffers during the restart
|
|
||||||
# window) while the subscription table was reset, so pushes stop.
|
|
||||||
# Replay when no push arrived for several heartbeat rounds (also
|
|
||||||
# covers the case where the very first prime push never arrived).
|
|
||||||
if last_push != prev_last_push:
|
|
||||||
silence_rounds = 0 # a push arrived since the last round
|
|
||||||
else:
|
|
||||||
silence_rounds += 1
|
|
||||||
prev_last_push = last_push
|
|
||||||
if silence_rounds >= self._push_silence_replay_heartbeats:
|
|
||||||
self.replay_subscriptions()
|
|
||||||
silence_rounds = 0
|
|
||||||
time.sleep(self._heartbeat_interval)
|
|
||||||
|
|
||||||
# -- push routing ------------------------------------------------------------
|
|
||||||
def _on_push(self, topic, data):
|
|
||||||
import time
|
|
||||||
|
|
||||||
now = time.monotonic()
|
|
||||||
with self._lock:
|
|
||||||
self._last_push_time = now
|
|
||||||
callbacks = [
|
|
||||||
entry["callback"]
|
|
||||||
for entry in self._subscriptions.values()
|
|
||||||
if entry["topic"] == topic and entry["callback"] is not None
|
|
||||||
]
|
|
||||||
for callback in callbacks:
|
|
||||||
try:
|
|
||||||
callback(data)
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
|
|
||||||
def _sync_subscriber_locked(self):
|
|
||||||
"""(Re)start the push-channel subscriber to cover exactly the active
|
|
||||||
topics. Reuses an existing subscriber when the topic set is unchanged;
|
|
||||||
stops it before restarting when the set changed. No-op when nothing is
|
|
||||||
subscribed (and stops the running subscriber in that case)."""
|
|
||||||
topics = sorted({entry["topic"] for entry in self._subscriptions.values()})
|
|
||||||
active = frozenset(topics)
|
|
||||||
if active == self._subscribed_topics:
|
|
||||||
return
|
|
||||||
if not active:
|
|
||||||
if self._subscriber_active:
|
|
||||||
try:
|
|
||||||
self._channel.stop()
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
self._subscriber_active = False
|
|
||||||
self._subscribed_topics = active
|
|
||||||
return
|
|
||||||
if self._subscriber_active:
|
|
||||||
try:
|
|
||||||
self._channel.stop()
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
self._channel.start_subscriber(topics, self._on_push)
|
|
||||||
self._subscriber_active = True
|
|
||||||
self._subscribed_topics = active
|
|
||||||
|
|
||||||
def _next_sub_id(self):
|
|
||||||
if self._sub_id_func is not None:
|
|
||||||
return self._sub_id_func()
|
|
||||||
self._seq += 1
|
|
||||||
return self._seq
|
|
||||||
File diff suppressed because it is too large
Load Diff
@@ -1,102 +0,0 @@
|
|||||||
# coding: utf-8
|
|
||||||
"""Client-side private config example for MiniQMT-compatible replacement.
|
|
||||||
|
|
||||||
Copy this file to:
|
|
||||||
|
|
||||||
src/bigqmt_signal_trader_client_config.py
|
|
||||||
|
|
||||||
Do not commit the real file. It may contain account ids and Redis credentials.
|
|
||||||
"""
|
|
||||||
|
|
||||||
BIGQMT_ACCOUNT_ID = "YOUR_ACCOUNT_ID"
|
|
||||||
BIGQMT_RPC_TIMEOUT_SECONDS = 6.0
|
|
||||||
BIGQMT_DOWNLOAD_WAIT_SECONDS = 1800
|
|
||||||
BIGQMT_DOWNLOAD_POLL_INTERVAL_SECONDS = 0.5
|
|
||||||
|
|
||||||
BIGQMT_REDIS_CONFIG = {
|
|
||||||
"host": "YOUR_REDIS_HOST",
|
|
||||||
"port": 6379,
|
|
||||||
"db": 5,
|
|
||||||
"username": "",
|
|
||||||
"password": "",
|
|
||||||
# Transport selection. Must match the QMT-side server config. Default
|
|
||||||
# "redis" works with the standard DRYRUN; use "zmq" when the server runs
|
|
||||||
# with transport=zmq (e.g. the no-redis version or explicit zmq mode).
|
|
||||||
"transport": "redis",
|
|
||||||
# ZMQ-specific settings (only used when transport=zmq):
|
|
||||||
# "zmq": {
|
|
||||||
# # Explicit connect address. The QMT-side server binds a port derived
|
|
||||||
# # from account_id (default 15563 for account 8886800503). If you know
|
|
||||||
# # the exact address, set it here to skip service discovery.
|
|
||||||
# "connect_address": "tcp://127.0.0.1:15563",
|
|
||||||
# # "host": "127.0.0.1",
|
|
||||||
# # "port": 15563,
|
|
||||||
# },
|
|
||||||
}
|
|
||||||
|
|
||||||
# Default direct mode calls get_full_tick through RPC. Set enabled=True only when
|
|
||||||
# you want client-side get_full_tick to read demand-driven Redis snapshots.
|
|
||||||
BIGQMT_FULL_TICK_CACHE_CONFIG = {
|
|
||||||
"enabled": False,
|
|
||||||
"demand_ttl_seconds": 10,
|
|
||||||
"cache_ttl_seconds": 10,
|
|
||||||
"wait_seconds": 3.5,
|
|
||||||
"poll_interval_seconds": 0.2,
|
|
||||||
}
|
|
||||||
|
|
||||||
# Client-side LOCAL market-data cache.
|
|
||||||
# get_market_data_ex(...) writes returned bars under `dir`; get_local_data(...)
|
|
||||||
# then reads them locally with NO RPC to Big QMT (for offline / repeated local
|
|
||||||
# analysis). download_history_data* submits a server-side Big QMT download job.
|
|
||||||
# - dir: cache folder (default ~/.bigqmt_cache), one pickle per (period, code).
|
|
||||||
# - fallback_rpc: if True, get_local_data auto-fetches+caches a cache miss;
|
|
||||||
# if False (default), a cache-missed code is simply omitted (download first).
|
|
||||||
BIGQMT_LOCAL_CACHE_CONFIG = {
|
|
||||||
"enabled": True,
|
|
||||||
"dir": None, # None -> ~/.bigqmt_cache
|
|
||||||
"fallback_rpc": False,
|
|
||||||
# Storage format: "auto" (parquet if pyarrow installed, else pickle),
|
|
||||||
# "parquet" (columnar/compressed/cross-language — recommended), or "pkl".
|
|
||||||
# One file per (period, dividend_type, code); switching format auto-migrates.
|
|
||||||
"format": "auto",
|
|
||||||
}
|
|
||||||
|
|
||||||
# FormulaServer direct read fast-path (port 58600).
|
|
||||||
# Big QMT's built-in C++ quote/reference service. Routing reads straight to it
|
|
||||||
# bypasses the RPC bridge AND the QMT python thread's GIL: ~0.07ms vs ~13ms
|
|
||||||
# over redis. Enabled by default; you normally do not need this block.
|
|
||||||
#
|
|
||||||
# Covers reference/history reads only. Account, position, order, trade and
|
|
||||||
# 五档 (get_full_tick) calls are NOT served by FormulaServer and always go over
|
|
||||||
# RPC. Every miss — unmapped method, untranslatable params, server down —
|
|
||||||
# falls back to RPC automatically, so an unreachable 58600 changes nothing.
|
|
||||||
BIGQMT_FORMULA_SERVER_CONFIG = {
|
|
||||||
"enabled": True, # or set BIGQMT_FORMULA_ENABLED=0 in the environment
|
|
||||||
# "host": "127.0.0.1", # FormulaServer binds 0.0.0.0, so cross-machine works
|
|
||||||
# # if the firewall allows it
|
|
||||||
# "port": 58600, # unset -> read from qmt_root's formulaserver.ini,
|
|
||||||
# # then fall back to 58600
|
|
||||||
# "qmt_root": r"D:\国金证券QMT交易端",
|
|
||||||
# "timeout_seconds": 3.0,
|
|
||||||
# "methods": [...], # restrict routing to a subset (default: all mapped)
|
|
||||||
# "failure_cooldown_seconds": 30.0, # pause routing this long after a failure
|
|
||||||
}
|
|
||||||
|
|
||||||
# Whole-quote PUSH subscription (xtdata.subscribe_whole_quote, aligned with MiniQMT).
|
|
||||||
# Server pushes each incremental tick batch to every client subscribed to the
|
|
||||||
# same combination; the RPC methods above only manage the subscription lifecycle.
|
|
||||||
# Data flows over a separate push channel matching `transport` above
|
|
||||||
# (redis pub/sub, or zmq PUB/SUB when transport="zmq"), msgpack-encoded
|
|
||||||
# (install the `msgpack` extra; falls back to json if absent).
|
|
||||||
#
|
|
||||||
# quote_client_id: process-stable subscriber id. The server counts references
|
|
||||||
# per (client_id, sub_id) and only tears down the shared big-QMT subscription
|
|
||||||
# after EVERY client of a combination unsubscribes or times out. Unset -> a
|
|
||||||
# persisted id is created at ~/.cache/bigqmt/quote_client_id so a restarted
|
|
||||||
# client is recognised as the same subscriber (needed for replay recovery).
|
|
||||||
# Heartbeat: client sends quote_keepalive every BIGQMT_QUOTE_HEARTBEAT_SECONDS
|
|
||||||
# (default 3.0). Server reaps a client after heartbeat_timeout_seconds
|
|
||||||
# (default 30s = 10 periods, configured server-side).
|
|
||||||
BIGQMT_QUOTE_CLIENT_ID = None # e.g. "my-strategy-1"; None -> persisted auto id
|
|
||||||
# BIGQMT_QUOTE_HEARTBEAT_SECONDS = 3.0 # env var; must be < server timeout/periods
|
|
||||||
|
|
||||||
@@ -1,131 +0,0 @@
|
|||||||
# coding: utf-8
|
|
||||||
"""Big QMT diagnostics for market data and positions.
|
|
||||||
|
|
||||||
This strategy entry never submits orders. It only probes QMT runtime APIs.
|
|
||||||
"""
|
|
||||||
|
|
||||||
|
|
||||||
_ACCOUNT_ID = ""
|
|
||||||
_PROBED = False
|
|
||||||
|
|
||||||
|
|
||||||
def _resolve_runtime_name(name):
|
|
||||||
if name in globals():
|
|
||||||
return globals()[name]
|
|
||||||
try:
|
|
||||||
import builtins
|
|
||||||
return getattr(builtins, name)
|
|
||||||
except Exception:
|
|
||||||
return None
|
|
||||||
|
|
||||||
|
|
||||||
def _safe_attr(obj, name, default=None):
|
|
||||||
return getattr(obj, name, default)
|
|
||||||
|
|
||||||
|
|
||||||
def _detect_account():
|
|
||||||
account_value = _resolve_runtime_name("account")
|
|
||||||
return str(account_value or "")
|
|
||||||
|
|
||||||
|
|
||||||
def _probe_market(ContextInfo):
|
|
||||||
code = "000300.SH"
|
|
||||||
try:
|
|
||||||
ticks = ContextInfo.get_full_tick([code])
|
|
||||||
tick = (ticks or {}).get(code)
|
|
||||||
if not tick:
|
|
||||||
print("[bigqmt_diagnostic] market tick missing code=%s raw=%s" % (code, ticks))
|
|
||||||
else:
|
|
||||||
print(
|
|
||||||
"[bigqmt_diagnostic] market tick ok code=%s lastPrice=%s bid1=%s ask1=%s"
|
|
||||||
% (
|
|
||||||
code,
|
|
||||||
tick.get("lastPrice"),
|
|
||||||
(tick.get("bidPrice") or [None])[0],
|
|
||||||
(tick.get("askPrice") or [None])[0],
|
|
||||||
)
|
|
||||||
)
|
|
||||||
except Exception as exc:
|
|
||||||
print("[bigqmt_diagnostic] market tick failed: %s" % exc)
|
|
||||||
|
|
||||||
try:
|
|
||||||
detail = ContextInfo.get_instrumentdetail(code)
|
|
||||||
if not detail:
|
|
||||||
print("[bigqmt_diagnostic] instrument missing code=%s" % code)
|
|
||||||
else:
|
|
||||||
print(
|
|
||||||
"[bigqmt_diagnostic] instrument ok code=%s status=%s up=%s down=%s"
|
|
||||||
% (
|
|
||||||
code,
|
|
||||||
detail.get("InstrumentStatus"),
|
|
||||||
detail.get("UpStopPrice"),
|
|
||||||
detail.get("DownStopPrice"),
|
|
||||||
)
|
|
||||||
)
|
|
||||||
except Exception as exc:
|
|
||||||
print("[bigqmt_diagnostic] instrument failed: %s" % exc)
|
|
||||||
|
|
||||||
|
|
||||||
def _probe_positions(account_id):
|
|
||||||
query = _resolve_runtime_name("get_trade_detail_data")
|
|
||||||
if query is None:
|
|
||||||
print("[bigqmt_diagnostic] position failed: get_trade_detail_data missing")
|
|
||||||
return
|
|
||||||
if not account_id:
|
|
||||||
print("[bigqmt_diagnostic] position skipped: account is empty")
|
|
||||||
return
|
|
||||||
|
|
||||||
try:
|
|
||||||
positions = query(account_id, "STOCK", "POSITION") or []
|
|
||||||
print("[bigqmt_diagnostic] position ok account=%s count=%s" % (account_id, len(positions)))
|
|
||||||
for pos in positions[:8]:
|
|
||||||
print(
|
|
||||||
"[bigqmt_diagnostic] position item code=%s.%s name=%s volume=%s available=%s"
|
|
||||||
% (
|
|
||||||
_safe_attr(pos, "m_strInstrumentID", ""),
|
|
||||||
_safe_attr(pos, "m_strExchangeID", ""),
|
|
||||||
_safe_attr(pos, "m_strInstrumentName", ""),
|
|
||||||
_safe_attr(pos, "m_nVolume", ""),
|
|
||||||
_safe_attr(pos, "m_nCanUseVolume", ""),
|
|
||||||
)
|
|
||||||
)
|
|
||||||
except Exception as exc:
|
|
||||||
print("[bigqmt_diagnostic] position failed account=%s error=%s" % (account_id, exc))
|
|
||||||
|
|
||||||
|
|
||||||
def _probe(ContextInfo, reason):
|
|
||||||
global _PROBED
|
|
||||||
if _PROBED:
|
|
||||||
return
|
|
||||||
_PROBED = True
|
|
||||||
print("[bigqmt_diagnostic] probe start reason=%s account=%s" % (reason, _ACCOUNT_ID))
|
|
||||||
_probe_market(ContextInfo)
|
|
||||||
_probe_positions(_ACCOUNT_ID)
|
|
||||||
print("[bigqmt_diagnostic] probe end")
|
|
||||||
|
|
||||||
|
|
||||||
def init(ContextInfo):
|
|
||||||
global _ACCOUNT_ID
|
|
||||||
_ACCOUNT_ID = _detect_account()
|
|
||||||
if _ACCOUNT_ID and hasattr(ContextInfo, "set_account"):
|
|
||||||
ContextInfo.set_account(_ACCOUNT_ID)
|
|
||||||
print("[bigqmt_diagnostic] init ok account=%s" % _ACCOUNT_ID)
|
|
||||||
_probe(ContextInfo, "init")
|
|
||||||
|
|
||||||
|
|
||||||
def handlebar(ContextInfo):
|
|
||||||
if hasattr(ContextInfo, "is_last_bar") and not ContextInfo.is_last_bar():
|
|
||||||
return None
|
|
||||||
return _probe(ContextInfo, "handlebar")
|
|
||||||
|
|
||||||
|
|
||||||
def adjust(ContextInfo):
|
|
||||||
return handlebar(ContextInfo)
|
|
||||||
|
|
||||||
|
|
||||||
def order_callback(ContextInfo, orderInfo):
|
|
||||||
return None
|
|
||||||
|
|
||||||
|
|
||||||
def deal_callback(ContextInfo, dealInfo):
|
|
||||||
return None
|
|
||||||
@@ -1,28 +0,0 @@
|
|||||||
# coding: utf-8
|
|
||||||
"""Big QMT signal trader dry-run entry.
|
|
||||||
|
|
||||||
Put this file into QMT's python strategy directory and load it from QMT.
|
|
||||||
Current default uses empty signal source and DryRunOrderGateway, so it will not
|
|
||||||
submit real orders.
|
|
||||||
"""
|
|
||||||
|
|
||||||
from bigqmt_signal_trader_strategy import ( # noqa: E402
|
|
||||||
adjust,
|
|
||||||
configure,
|
|
||||||
deal_callback,
|
|
||||||
handlebar,
|
|
||||||
init,
|
|
||||||
order_callback,
|
|
||||||
set_account_id,
|
|
||||||
sync_positions,
|
|
||||||
)
|
|
||||||
|
|
||||||
|
|
||||||
# Fill this before real account testing. Leave empty for dry-run loading tests.
|
|
||||||
ACCOUNT_ID = ""
|
|
||||||
|
|
||||||
|
|
||||||
if ACCOUNT_ID:
|
|
||||||
set_account_id(ACCOUNT_ID)
|
|
||||||
|
|
||||||
configure(mode="dryrun", account_id=ACCOUNT_ID or "dryrun")
|
|
||||||
@@ -1,64 +0,0 @@
|
|||||||
# coding: utf-8
|
|
||||||
"""Local private config example for the QMT python directory.
|
|
||||||
|
|
||||||
Copy this file to the QMT python directory as:
|
|
||||||
|
|
||||||
bigqmt_signal_trader_local_config.py
|
|
||||||
|
|
||||||
Do not commit the real file. It may contain account ids and Redis credentials.
|
|
||||||
"""
|
|
||||||
|
|
||||||
BIGQMT_ACCOUNT_ID = "YOUR_ACCOUNT_ID"
|
|
||||||
|
|
||||||
BIGQMT_REDIS_CONFIG = {
|
|
||||||
"host": "127.0.0.1",
|
|
||||||
"port": 6379,
|
|
||||||
"db": 5,
|
|
||||||
"username": "",
|
|
||||||
"password": "",
|
|
||||||
# Keep order RPC disabled unless you explicitly want remote order/cancel.
|
|
||||||
"rpc_allow_order_methods": False,
|
|
||||||
# Redis and ZMQ can both drain requests through QMT's official
|
|
||||||
# run_time("adjust", ...) callback. This avoids GIL stalls in QMT's process.
|
|
||||||
"rpc_process_in_listener": True,
|
|
||||||
"rpc_listener_methods": ("*",),
|
|
||||||
"rpc_background_threads": False,
|
|
||||||
"schedule_adjust": True,
|
|
||||||
"schedule_adjust_interval": "100nMilliSecond",
|
|
||||||
# The default mode calls get_full_tick through RPC. Enable this cache only
|
|
||||||
# if full-market payloads are too large for your latency/CPU budget.
|
|
||||||
# When a client calls get_full_tick, it renews demand for 10 seconds.
|
|
||||||
# Symbol-list demands refresh every full_tick_refresh_interval_seconds; whole-market
|
|
||||||
# (SH/SZ/BJ/HK) demands refresh on the slower market interval so a ~50k row snapshot
|
|
||||||
# is not pulled every fast tick.
|
|
||||||
"full_tick_cache_enabled": False,
|
|
||||||
"full_tick_demand_ttl_seconds": 10,
|
|
||||||
"full_tick_cache_ttl_seconds": 10,
|
|
||||||
"full_tick_refresh_interval_seconds": 0.5,
|
|
||||||
"full_tick_market_refresh_interval_seconds": 3,
|
|
||||||
# Wall-clock budget for one refresh round; keeps a slow round from stalling the
|
|
||||||
# strategy thread (the in-flight demand always completes).
|
|
||||||
"full_tick_refresh_max_wall_seconds": 0.3,
|
|
||||||
"full_tick_max_requests": 8,
|
|
||||||
# Async download jobs: clients submit download_history_data(2) as a job; the
|
|
||||||
# strategy thread downloads download_job_chunk_size symbols per tick (capped by
|
|
||||||
# download_job_max_wall_seconds), so a long download never blocks the RPC pump.
|
|
||||||
# chunk_size is the smallest per-tick block — keep it modest if downloads are slow.
|
|
||||||
# Disabled: the full terminal's xtdata SDK can't reach a data service to
|
|
||||||
# download. Supplement history via the terminal's 数据管理/补充数据 UI, then read
|
|
||||||
# it over RPC (get_market_data_ex/get_local_data). Enable only where a
|
|
||||||
# MiniQMT/xtdata data service is connectable.
|
|
||||||
"download_jobs_enabled": False,
|
|
||||||
"download_job_chunk_size": 10,
|
|
||||||
"download_job_max_wall_seconds": 0.5,
|
|
||||||
"download_job_ttl_seconds": 3600,
|
|
||||||
# Push order_callback/deal_callback details to Redis so clients get real-time
|
|
||||||
# on_stock_order / on_stock_trade callbacks (MiniQMT style) instead of polling.
|
|
||||||
"exec_events_enabled": True,
|
|
||||||
# Dump the raw order_callback/deal_callback object fields to the QMT output
|
|
||||||
# panel, and attach them to the published event as "raw_fields". Prints on
|
|
||||||
# every callback, so keep it off outside a diagnosis window. Turn it on to
|
|
||||||
# observe what m_nDirection / m_nOffsetFlag actually carry in live callbacks
|
|
||||||
# — the buy/sell mapping in exec_events.py currently assumes 48/49 there.
|
|
||||||
"exec_events_debug_raw_fields": False,
|
|
||||||
}
|
|
||||||
@@ -1,63 +0,0 @@
|
|||||||
# coding: utf-8
|
|
||||||
"""Big QMT Redis dry-run strategy entry.
|
|
||||||
|
|
||||||
This entry reads Redis db5 test signals and writes Redis state, but orders are
|
|
||||||
DryRunOrderGateway orders only. It does not submit real QMT orders.
|
|
||||||
"""
|
|
||||||
|
|
||||||
from bigqmt_signal_trader_strategy import ( # noqa: E402
|
|
||||||
adjust,
|
|
||||||
configure,
|
|
||||||
deal_callback,
|
|
||||||
handlebar,
|
|
||||||
init,
|
|
||||||
order_callback,
|
|
||||||
set_account_id,
|
|
||||||
sync_positions,
|
|
||||||
)
|
|
||||||
|
|
||||||
|
|
||||||
ACCOUNT_ID = "bigqmt_probe"
|
|
||||||
REDIS_HOST = "127.0.0.1"
|
|
||||||
REDIS_PORT = 6379
|
|
||||||
REDIS_DB = 5
|
|
||||||
REDIS_USERNAME = ""
|
|
||||||
REDIS_PASSWORD = ""
|
|
||||||
|
|
||||||
try:
|
|
||||||
from bigqmt_signal_trader_local_config import BIGQMT_REDIS_CONFIG
|
|
||||||
except Exception:
|
|
||||||
BIGQMT_REDIS_CONFIG = {}
|
|
||||||
|
|
||||||
REDIS_HOST = BIGQMT_REDIS_CONFIG.get("host", REDIS_HOST)
|
|
||||||
REDIS_PORT = int(BIGQMT_REDIS_CONFIG.get("port", REDIS_PORT))
|
|
||||||
REDIS_DB = int(BIGQMT_REDIS_CONFIG.get("db", REDIS_DB))
|
|
||||||
REDIS_USERNAME = BIGQMT_REDIS_CONFIG.get("username", REDIS_USERNAME)
|
|
||||||
REDIS_PASSWORD = BIGQMT_REDIS_CONFIG.get("password", REDIS_PASSWORD)
|
|
||||||
|
|
||||||
|
|
||||||
if ACCOUNT_ID:
|
|
||||||
set_account_id(ACCOUNT_ID)
|
|
||||||
|
|
||||||
configure(
|
|
||||||
mode="dryrun",
|
|
||||||
account_id=ACCOUNT_ID,
|
|
||||||
signal_source_type="redis",
|
|
||||||
state_store_type="redis",
|
|
||||||
position_sync_type="redis",
|
|
||||||
redis={
|
|
||||||
"host": REDIS_HOST,
|
|
||||||
"port": REDIS_PORT,
|
|
||||||
"db": REDIS_DB,
|
|
||||||
"username": REDIS_USERNAME,
|
|
||||||
"password": REDIS_PASSWORD,
|
|
||||||
"stream_key_template": "bigqmt:signals:{account_id}",
|
|
||||||
"group_name": "bigqmt-signal-trader",
|
|
||||||
"consumer_name": "bigqmt-probe",
|
|
||||||
"block_ms": 0,
|
|
||||||
"claim_key_template": "bigqmt:signal_claim:{account_id}:{signal_id}",
|
|
||||||
"status_key_template": "bigqmt:signal_status:{account_id}:{signal_id}",
|
|
||||||
"position_key_template": "bigqmt:positions:{account_id}",
|
|
||||||
"position_event_stream_template": "bigqmt:position_events:{account_id}",
|
|
||||||
},
|
|
||||||
)
|
|
||||||
@@ -1,301 +0,0 @@
|
|||||||
# coding: utf-8
|
|
||||||
"""Big QMT Redis Pub/Sub RPC strategy entry.
|
|
||||||
|
|
||||||
This entry does not consume trade signals. RPC order methods are disabled by
|
|
||||||
default; read-only methods and position sync are enabled.
|
|
||||||
"""
|
|
||||||
|
|
||||||
import os
|
|
||||||
import sys
|
|
||||||
|
|
||||||
|
|
||||||
# QMT loads strategy scripts via exec, so __file__ may be undefined. Build a
|
|
||||||
# list of candidate directories (script dir guesses + cwd) and put any that
|
|
||||||
# holds bigqmt_signal_trader_strategy.py on sys.path[0]. This keeps the package
|
|
||||||
# and bigqmt_signal_trader_local_config importable regardless of how QMT
|
|
||||||
# invokes the script.
|
|
||||||
_CANDIDATE_DIRS = []
|
|
||||||
try:
|
|
||||||
_CANDIDATE_DIRS.append(os.path.dirname(os.path.abspath(__file__)))
|
|
||||||
except Exception:
|
|
||||||
pass
|
|
||||||
_CANDIDATE_DIRS.append(os.getcwd())
|
|
||||||
for _up in (".", ".."):
|
|
||||||
_CANDIDATE_DIRS.append(os.path.abspath(os.path.join(os.getcwd(), _up)))
|
|
||||||
for _dir in _CANDIDATE_DIRS:
|
|
||||||
if os.path.exists(os.path.join(_dir, "bigqmt_signal_trader_strategy.py")):
|
|
||||||
if _dir not in sys.path:
|
|
||||||
sys.path.insert(0, _dir)
|
|
||||||
break
|
|
||||||
|
|
||||||
|
|
||||||
try:
|
|
||||||
_load_bridge_module = __bigqmt_load_local_module
|
|
||||||
except NameError:
|
|
||||||
_load_bridge_module = None
|
|
||||||
|
|
||||||
if _load_bridge_module is not None:
|
|
||||||
_strategy_module = _load_bridge_module("bigqmt_signal_trader_strategy")
|
|
||||||
adjust = _strategy_module.adjust
|
|
||||||
bind_qmt_api = _strategy_module.bind_qmt_api
|
|
||||||
configure = _strategy_module.configure
|
|
||||||
deal_callback = _strategy_module.deal_callback
|
|
||||||
handlebar = _strategy_module.handlebar
|
|
||||||
init = _strategy_module.init
|
|
||||||
order_callback = _strategy_module.order_callback
|
|
||||||
set_account_id = _strategy_module.set_account_id
|
|
||||||
sync_positions = _strategy_module.sync_positions
|
|
||||||
else:
|
|
||||||
from bigqmt_signal_trader_strategy import ( # noqa: E402
|
|
||||||
adjust,
|
|
||||||
bind_qmt_api,
|
|
||||||
configure,
|
|
||||||
deal_callback,
|
|
||||||
handlebar,
|
|
||||||
init,
|
|
||||||
order_callback,
|
|
||||||
set_account_id,
|
|
||||||
sync_positions,
|
|
||||||
)
|
|
||||||
|
|
||||||
|
|
||||||
ACCOUNT_ID = ""
|
|
||||||
REDIS_HOST = "127.0.0.1"
|
|
||||||
REDIS_PORT = 6379
|
|
||||||
REDIS_DB = 5
|
|
||||||
REDIS_USERNAME = ""
|
|
||||||
REDIS_PASSWORD = ""
|
|
||||||
RPC_ALLOW_ORDER_METHODS = False
|
|
||||||
RPC_PROCESS_IN_LISTENER = True
|
|
||||||
RPC_BACKGROUND_THREADS = False
|
|
||||||
# "*" expands to read-only RPC methods only. Order/cancel/sync methods still go
|
|
||||||
# through the queue fallback and require schedule_adjust=True when enabled.
|
|
||||||
RPC_LISTENER_METHODS = ("*",)
|
|
||||||
# Transport selection. Default "redis" (zero behavior change). Set to "zmq" /
|
|
||||||
# "mysql" / "shm" in the local config to switch the wire. zmq/mysql sub-config
|
|
||||||
# (bind/connect address, pool sizing, ...) is forwarded verbatim to the factory.
|
|
||||||
RPC_TRANSPORT = "redis"
|
|
||||||
RPC_ZMQ_CONFIG = {}
|
|
||||||
RPC_MYSQL_CONFIG = {}
|
|
||||||
SCHEDULE_ADJUST_ENABLED = True
|
|
||||||
# How often the strategy thread drains the RPC queue (via adjust). Lower = less
|
|
||||||
# queue wait for read RPCs. Verify on the live box that run_time honors sub-3s
|
|
||||||
# intervals (see the adjust cadence log) before trusting a low value.
|
|
||||||
SCHEDULE_ADJUST_INTERVAL = "500nMilliSecond"
|
|
||||||
FULL_TICK_CACHE_ENABLED = False
|
|
||||||
FULL_TICK_DEMAND_TTL_SECONDS = 10
|
|
||||||
FULL_TICK_CACHE_TTL_SECONDS = 10
|
|
||||||
# Symbol-list demands refresh fast; whole-market (SH/SZ/BJ/HK) demands refresh on
|
|
||||||
# a slower cadence so a ~50k row snapshot is not pulled on every fast tick.
|
|
||||||
FULL_TICK_REFRESH_INTERVAL_SECONDS = 0.5
|
|
||||||
FULL_TICK_MARKET_REFRESH_INTERVAL_SECONDS = 3.0
|
|
||||||
# Wall-clock budget for one refresh round to avoid stalling the strategy thread.
|
|
||||||
FULL_TICK_REFRESH_MAX_WALL_SECONDS = 0.3
|
|
||||||
FULL_TICK_MAX_REQUESTS = 8
|
|
||||||
# Async download jobs: the strategy thread drains one queued job at a time,
|
|
||||||
# downloading DOWNLOAD_JOB_CHUNK_SIZE symbols per tick (capped by the wall-clock
|
|
||||||
# budget), so a long download never blocks the RPC pump. chunk_size is the
|
|
||||||
# smallest per-tick block, so keep it modest if per-symbol downloads are slow.
|
|
||||||
# DISABLED by default: the full Big QMT terminal's embedded xtdata SDK has no
|
|
||||||
# reachable data service to download through (raises "无法连接行情服务"). Supplement
|
|
||||||
# history via the terminal's 数据管理/补充数据 UI, then read it over RPC with
|
|
||||||
# get_market_data_ex / get_local_data. Re-enable only where a MiniQMT/xtdata data
|
|
||||||
# service is connectable (set download_jobs_enabled=True in the local config).
|
|
||||||
DOWNLOAD_JOBS_ENABLED = False
|
|
||||||
DOWNLOAD_JOB_CHUNK_SIZE = 10
|
|
||||||
DOWNLOAD_JOB_MAX_WALL_SECONDS = 0.5
|
|
||||||
DOWNLOAD_JOB_TTL_SECONDS = 3600
|
|
||||||
# Push order_callback/deal_callback details to Redis so clients get real-time
|
|
||||||
# on_stock_order/on_stock_trade callbacks (MiniQMT style) instead of polling.
|
|
||||||
EXEC_EVENTS_ENABLED = True
|
|
||||||
# Dump the raw order_callback/deal_callback object fields to the QMT output panel
|
|
||||||
# (and into the published event as "raw_fields"). Off by default — it prints on
|
|
||||||
# every callback. Turn on to settle what m_nDirection/m_nOffsetFlag actually
|
|
||||||
# carry live, which the buy/sell direction mapping currently assumes.
|
|
||||||
EXEC_EVENTS_DEBUG_RAW_FIELDS = False
|
|
||||||
|
|
||||||
try:
|
|
||||||
from bigqmt_signal_trader_local_config import BIGQMT_ACCOUNT_ID, BIGQMT_REDIS_CONFIG
|
|
||||||
except Exception:
|
|
||||||
BIGQMT_ACCOUNT_ID = ""
|
|
||||||
BIGQMT_REDIS_CONFIG = {}
|
|
||||||
|
|
||||||
ACCOUNT_ID = str(BIGQMT_ACCOUNT_ID or ACCOUNT_ID or "")
|
|
||||||
REDIS_HOST = BIGQMT_REDIS_CONFIG.get("host", REDIS_HOST)
|
|
||||||
REDIS_PORT = int(BIGQMT_REDIS_CONFIG.get("port", REDIS_PORT))
|
|
||||||
REDIS_DB = int(BIGQMT_REDIS_CONFIG.get("db", REDIS_DB))
|
|
||||||
REDIS_USERNAME = BIGQMT_REDIS_CONFIG.get("username", REDIS_USERNAME)
|
|
||||||
REDIS_PASSWORD = BIGQMT_REDIS_CONFIG.get("password", REDIS_PASSWORD)
|
|
||||||
RPC_ALLOW_ORDER_METHODS = bool(BIGQMT_REDIS_CONFIG.get("rpc_allow_order_methods", RPC_ALLOW_ORDER_METHODS))
|
|
||||||
RPC_PROCESS_IN_LISTENER = bool(
|
|
||||||
BIGQMT_REDIS_CONFIG.get("rpc_process_in_listener", RPC_PROCESS_IN_LISTENER and not RPC_ALLOW_ORDER_METHODS)
|
|
||||||
)
|
|
||||||
RPC_BACKGROUND_THREADS = bool(BIGQMT_REDIS_CONFIG.get("rpc_background_threads", RPC_BACKGROUND_THREADS))
|
|
||||||
RPC_LISTENER_METHODS = tuple(BIGQMT_REDIS_CONFIG.get("rpc_listener_methods", RPC_LISTENER_METHODS))
|
|
||||||
SCHEDULE_ADJUST_ENABLED = bool(BIGQMT_REDIS_CONFIG.get("schedule_adjust", SCHEDULE_ADJUST_ENABLED))
|
|
||||||
if not RPC_BACKGROUND_THREADS:
|
|
||||||
SCHEDULE_ADJUST_ENABLED = True
|
|
||||||
SCHEDULE_ADJUST_INTERVAL = str(BIGQMT_REDIS_CONFIG.get("schedule_adjust_interval", SCHEDULE_ADJUST_INTERVAL))
|
|
||||||
FULL_TICK_CACHE_ENABLED = bool(BIGQMT_REDIS_CONFIG.get("full_tick_cache_enabled", FULL_TICK_CACHE_ENABLED))
|
|
||||||
FULL_TICK_DEMAND_TTL_SECONDS = float(
|
|
||||||
BIGQMT_REDIS_CONFIG.get("full_tick_demand_ttl_seconds", FULL_TICK_DEMAND_TTL_SECONDS)
|
|
||||||
)
|
|
||||||
FULL_TICK_CACHE_TTL_SECONDS = float(
|
|
||||||
BIGQMT_REDIS_CONFIG.get("full_tick_cache_ttl_seconds", FULL_TICK_CACHE_TTL_SECONDS)
|
|
||||||
)
|
|
||||||
FULL_TICK_REFRESH_INTERVAL_SECONDS = float(
|
|
||||||
BIGQMT_REDIS_CONFIG.get("full_tick_refresh_interval_seconds", FULL_TICK_REFRESH_INTERVAL_SECONDS)
|
|
||||||
)
|
|
||||||
FULL_TICK_MARKET_REFRESH_INTERVAL_SECONDS = float(
|
|
||||||
BIGQMT_REDIS_CONFIG.get("full_tick_market_refresh_interval_seconds", FULL_TICK_MARKET_REFRESH_INTERVAL_SECONDS)
|
|
||||||
)
|
|
||||||
FULL_TICK_REFRESH_MAX_WALL_SECONDS = float(
|
|
||||||
BIGQMT_REDIS_CONFIG.get("full_tick_refresh_max_wall_seconds", FULL_TICK_REFRESH_MAX_WALL_SECONDS)
|
|
||||||
)
|
|
||||||
FULL_TICK_MAX_REQUESTS = int(BIGQMT_REDIS_CONFIG.get("full_tick_max_requests", FULL_TICK_MAX_REQUESTS))
|
|
||||||
DOWNLOAD_JOBS_ENABLED = bool(BIGQMT_REDIS_CONFIG.get("download_jobs_enabled", DOWNLOAD_JOBS_ENABLED))
|
|
||||||
DOWNLOAD_JOB_CHUNK_SIZE = int(BIGQMT_REDIS_CONFIG.get("download_job_chunk_size", DOWNLOAD_JOB_CHUNK_SIZE))
|
|
||||||
DOWNLOAD_JOB_MAX_WALL_SECONDS = float(
|
|
||||||
BIGQMT_REDIS_CONFIG.get("download_job_max_wall_seconds", DOWNLOAD_JOB_MAX_WALL_SECONDS)
|
|
||||||
)
|
|
||||||
DOWNLOAD_JOB_TTL_SECONDS = int(BIGQMT_REDIS_CONFIG.get("download_job_ttl_seconds", DOWNLOAD_JOB_TTL_SECONDS))
|
|
||||||
EXEC_EVENTS_ENABLED = bool(BIGQMT_REDIS_CONFIG.get("exec_events_enabled", EXEC_EVENTS_ENABLED))
|
|
||||||
EXEC_EVENTS_DEBUG_RAW_FIELDS = bool(
|
|
||||||
BIGQMT_REDIS_CONFIG.get("exec_events_debug_raw_fields", EXEC_EVENTS_DEBUG_RAW_FIELDS)
|
|
||||||
)
|
|
||||||
|
|
||||||
|
|
||||||
def _apply_config(account_id):
|
|
||||||
account_id = str(account_id or "")
|
|
||||||
if account_id:
|
|
||||||
set_account_id(account_id)
|
|
||||||
configure(
|
|
||||||
mode="bigqmt",
|
|
||||||
account_id=account_id,
|
|
||||||
position_sync_type="redis" if RPC_TRANSPORT in ("redis", "", "default") else "",
|
|
||||||
enable_rpc=True,
|
|
||||||
schedule_adjust=SCHEDULE_ADJUST_ENABLED,
|
|
||||||
schedule_adjust_interval=SCHEDULE_ADJUST_INTERVAL,
|
|
||||||
redis={
|
|
||||||
"host": REDIS_HOST,
|
|
||||||
"port": REDIS_PORT,
|
|
||||||
"db": REDIS_DB,
|
|
||||||
"username": REDIS_USERNAME,
|
|
||||||
"password": REDIS_PASSWORD,
|
|
||||||
"position_key_template": "bigqmt:positions:{account_id}",
|
|
||||||
"position_event_stream_template": "bigqmt:position_events:{account_id}",
|
|
||||||
},
|
|
||||||
rpc={
|
|
||||||
"enabled": True,
|
|
||||||
"account_id": account_id,
|
|
||||||
"allow_order_methods": RPC_ALLOW_ORDER_METHODS,
|
|
||||||
"request_channel_template": "bigqmt:rpc:req:{account_id}",
|
|
||||||
"response_channel_template": "bigqmt:rpc:resp:{account_id}:{request_id}",
|
|
||||||
"response_key_template": "bigqmt:rpc:resp:{account_id}:{request_id}",
|
|
||||||
"response_ttl_seconds": 60,
|
|
||||||
"drain_max_items": 20,
|
|
||||||
"process_in_listener": RPC_PROCESS_IN_LISTENER,
|
|
||||||
"listener_methods": RPC_LISTENER_METHODS,
|
|
||||||
"background_threads": RPC_BACKGROUND_THREADS,
|
|
||||||
# Transport selection (default redis). Forwarded from the local
|
|
||||||
# config so the factory can pick zmq/mysql/shm.
|
|
||||||
"transport": RPC_TRANSPORT,
|
|
||||||
"zmq": RPC_ZMQ_CONFIG,
|
|
||||||
"mysql": RPC_MYSQL_CONFIG,
|
|
||||||
},
|
|
||||||
full_tick_cache={
|
|
||||||
"enabled": FULL_TICK_CACHE_ENABLED,
|
|
||||||
"account_id": account_id,
|
|
||||||
"demand_ttl_seconds": FULL_TICK_DEMAND_TTL_SECONDS,
|
|
||||||
"cache_ttl_seconds": FULL_TICK_CACHE_TTL_SECONDS,
|
|
||||||
"refresh_interval_seconds": FULL_TICK_REFRESH_INTERVAL_SECONDS,
|
|
||||||
"market_refresh_interval_seconds": FULL_TICK_MARKET_REFRESH_INTERVAL_SECONDS,
|
|
||||||
"refresh_max_wall_seconds": FULL_TICK_REFRESH_MAX_WALL_SECONDS,
|
|
||||||
"max_requests": FULL_TICK_MAX_REQUESTS,
|
|
||||||
},
|
|
||||||
download_jobs={
|
|
||||||
"enabled": DOWNLOAD_JOBS_ENABLED,
|
|
||||||
"account_id": account_id,
|
|
||||||
"chunk_size": DOWNLOAD_JOB_CHUNK_SIZE,
|
|
||||||
"max_wall_seconds": DOWNLOAD_JOB_MAX_WALL_SECONDS,
|
|
||||||
"job_ttl_seconds": DOWNLOAD_JOB_TTL_SECONDS,
|
|
||||||
},
|
|
||||||
exec_events={
|
|
||||||
"enabled": EXEC_EVENTS_ENABLED,
|
|
||||||
"account_id": account_id,
|
|
||||||
"debug_raw_fields": EXEC_EVENTS_DEBUG_RAW_FIELDS,
|
|
||||||
},
|
|
||||||
)
|
|
||||||
|
|
||||||
|
|
||||||
def configure_runtime_account(account_id):
|
|
||||||
_apply_config(account_id)
|
|
||||||
|
|
||||||
|
|
||||||
def configure_runtime_redis(redis_config):
|
|
||||||
global REDIS_HOST, REDIS_PORT, REDIS_DB, REDIS_USERNAME, REDIS_PASSWORD, RPC_ALLOW_ORDER_METHODS, RPC_PROCESS_IN_LISTENER, RPC_BACKGROUND_THREADS, RPC_LISTENER_METHODS, SCHEDULE_ADJUST_ENABLED, SCHEDULE_ADJUST_INTERVAL, FULL_TICK_CACHE_ENABLED, FULL_TICK_DEMAND_TTL_SECONDS, FULL_TICK_CACHE_TTL_SECONDS, FULL_TICK_REFRESH_INTERVAL_SECONDS, FULL_TICK_MARKET_REFRESH_INTERVAL_SECONDS, FULL_TICK_REFRESH_MAX_WALL_SECONDS, FULL_TICK_MAX_REQUESTS, RPC_TRANSPORT, RPC_ZMQ_CONFIG, RPC_MYSQL_CONFIG, DOWNLOAD_JOBS_ENABLED, DOWNLOAD_JOB_CHUNK_SIZE, DOWNLOAD_JOB_MAX_WALL_SECONDS, DOWNLOAD_JOB_TTL_SECONDS, EXEC_EVENTS_ENABLED, EXEC_EVENTS_DEBUG_RAW_FIELDS
|
|
||||||
redis_config = dict(redis_config or {})
|
|
||||||
REDIS_HOST = redis_config.get("host", REDIS_HOST)
|
|
||||||
REDIS_PORT = int(redis_config.get("port", REDIS_PORT))
|
|
||||||
REDIS_DB = int(redis_config.get("db", REDIS_DB))
|
|
||||||
REDIS_USERNAME = redis_config.get("username", REDIS_USERNAME)
|
|
||||||
REDIS_PASSWORD = redis_config.get("password", REDIS_PASSWORD)
|
|
||||||
RPC_ALLOW_ORDER_METHODS = bool(redis_config.get("rpc_allow_order_methods", RPC_ALLOW_ORDER_METHODS))
|
|
||||||
RPC_PROCESS_IN_LISTENER = bool(
|
|
||||||
redis_config.get("rpc_process_in_listener", RPC_PROCESS_IN_LISTENER and not RPC_ALLOW_ORDER_METHODS)
|
|
||||||
)
|
|
||||||
RPC_BACKGROUND_THREADS = bool(redis_config.get("rpc_background_threads", RPC_BACKGROUND_THREADS))
|
|
||||||
RPC_LISTENER_METHODS = tuple(redis_config.get("rpc_listener_methods", RPC_LISTENER_METHODS))
|
|
||||||
RPC_TRANSPORT = str(redis_config.get("transport", RPC_TRANSPORT)).lower()
|
|
||||||
RPC_ZMQ_CONFIG = dict(redis_config.get("zmq", RPC_ZMQ_CONFIG))
|
|
||||||
RPC_MYSQL_CONFIG = dict(redis_config.get("mysql", RPC_MYSQL_CONFIG))
|
|
||||||
# schedule_adjust must stay ON for ALL transports — including zmq.
|
|
||||||
# run_time("adjust", interval) is what THROTTLES QMT's strategy callback: with
|
|
||||||
# it, adjust fires on the configured cadence (e.g. 500ms); WITHOUT it QMT calls
|
|
||||||
# adjust in a hot loop (~2500/s) that pegs the GIL and starves the zmq ROUTER
|
|
||||||
# background thread (RPC then times out entirely). It also sets the GIL-release
|
|
||||||
# rhythm the background transport threads rely on. So keep the original rule:
|
|
||||||
# honor an explicit value, default on, and force on when not background-threaded.
|
|
||||||
SCHEDULE_ADJUST_ENABLED = bool(redis_config.get("schedule_adjust", SCHEDULE_ADJUST_ENABLED))
|
|
||||||
if not RPC_BACKGROUND_THREADS:
|
|
||||||
SCHEDULE_ADJUST_ENABLED = True
|
|
||||||
SCHEDULE_ADJUST_INTERVAL = str(redis_config.get("schedule_adjust_interval", SCHEDULE_ADJUST_INTERVAL))
|
|
||||||
FULL_TICK_CACHE_ENABLED = bool(redis_config.get("full_tick_cache_enabled", FULL_TICK_CACHE_ENABLED))
|
|
||||||
FULL_TICK_DEMAND_TTL_SECONDS = float(
|
|
||||||
redis_config.get("full_tick_demand_ttl_seconds", FULL_TICK_DEMAND_TTL_SECONDS)
|
|
||||||
)
|
|
||||||
FULL_TICK_CACHE_TTL_SECONDS = float(redis_config.get("full_tick_cache_ttl_seconds", FULL_TICK_CACHE_TTL_SECONDS))
|
|
||||||
FULL_TICK_REFRESH_INTERVAL_SECONDS = float(
|
|
||||||
redis_config.get("full_tick_refresh_interval_seconds", FULL_TICK_REFRESH_INTERVAL_SECONDS)
|
|
||||||
)
|
|
||||||
FULL_TICK_MARKET_REFRESH_INTERVAL_SECONDS = float(
|
|
||||||
redis_config.get("full_tick_market_refresh_interval_seconds", FULL_TICK_MARKET_REFRESH_INTERVAL_SECONDS)
|
|
||||||
)
|
|
||||||
FULL_TICK_REFRESH_MAX_WALL_SECONDS = float(
|
|
||||||
redis_config.get("full_tick_refresh_max_wall_seconds", FULL_TICK_REFRESH_MAX_WALL_SECONDS)
|
|
||||||
)
|
|
||||||
FULL_TICK_MAX_REQUESTS = int(redis_config.get("full_tick_max_requests", FULL_TICK_MAX_REQUESTS))
|
|
||||||
DOWNLOAD_JOBS_ENABLED = bool(redis_config.get("download_jobs_enabled", DOWNLOAD_JOBS_ENABLED))
|
|
||||||
DOWNLOAD_JOB_CHUNK_SIZE = int(redis_config.get("download_job_chunk_size", DOWNLOAD_JOB_CHUNK_SIZE))
|
|
||||||
DOWNLOAD_JOB_MAX_WALL_SECONDS = float(
|
|
||||||
redis_config.get("download_job_max_wall_seconds", DOWNLOAD_JOB_MAX_WALL_SECONDS)
|
|
||||||
)
|
|
||||||
DOWNLOAD_JOB_TTL_SECONDS = int(redis_config.get("download_job_ttl_seconds", DOWNLOAD_JOB_TTL_SECONDS))
|
|
||||||
EXEC_EVENTS_ENABLED = bool(redis_config.get("exec_events_enabled", EXEC_EVENTS_ENABLED))
|
|
||||||
EXEC_EVENTS_DEBUG_RAW_FIELDS = bool(
|
|
||||||
redis_config.get("exec_events_debug_raw_fields", EXEC_EVENTS_DEBUG_RAW_FIELDS)
|
|
||||||
)
|
|
||||||
_apply_config(ACCOUNT_ID)
|
|
||||||
|
|
||||||
|
|
||||||
def bind_runtime_api(passorder_func=None, cancel_func=None, get_trade_detail_data_func=None,
|
|
||||||
extra_funcs=None):
|
|
||||||
bind_qmt_api(
|
|
||||||
passorder_func=passorder_func,
|
|
||||||
cancel_func=cancel_func,
|
|
||||||
get_trade_detail_data_func=get_trade_detail_data_func,
|
|
||||||
extra_funcs=extra_funcs,
|
|
||||||
)
|
|
||||||
|
|
||||||
|
|
||||||
_apply_config(ACCOUNT_ID)
|
|
||||||
File diff suppressed because it is too large
Load Diff
@@ -1,9 +0,0 @@
|
|||||||
"""Optional xtquant import shim backed by Big QMT Redis RPC.
|
|
||||||
|
|
||||||
Put this package before the real xtquant package on PYTHONPATH only when the
|
|
||||||
caller intentionally wants Big QMT RPC compatibility.
|
|
||||||
"""
|
|
||||||
|
|
||||||
from . import xtconstant, xtdata, xttrader, xttype
|
|
||||||
|
|
||||||
__all__ = ["xtconstant", "xtdata", "xttrader", "xttype"]
|
|
||||||
Some files were not shown because too many files have changed in this diff Show More
Reference in New Issue
Block a user