完成预下单优化
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@@ -119,19 +119,16 @@ class QmtV(XtQuantTraderCallback):
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# ====== 市场回调方法 -- 以下方法由XtQuantData调用 ======
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def onDataUpdate(self, data):
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# 收集所有市场数据用于市场监控
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PrintLog(LogLevel.INFO, f'- [市场数据更新] {len(data)}')
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eBus.event_bus.publish(eBus.MarketDataUpdate, data)
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now = time.time()
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if now - self.lastMarketDataUpdateTimestamp < 5:
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self.isMarketActive = True
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PrintLog(LogLevel.INFO, f'- [市场状态变更] 市场已 Active') # 市场已 inactive
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self.lastMarketDataUpdateTimestamp = now
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def marketStatusNotifier(self):
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# 市场状态通知器
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tmpMarketStatus = False
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while True:
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PrintLog(LogLevel.INFO, f'- [市场状态检查器] {self.isMarketActive}')
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tmpTime = time.time()
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time.sleep(10)
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if tmpMarketStatus != self.isMarketActive and tmpTime - self.lastMarketDataUpdateTimestamp < 5:
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@@ -24,8 +24,16 @@ class SFGridStrategy:
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self.todayDownStopPrice=qmtv.dailyDownStop(tradeTarget.stock_code) # type: ignore
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PrintLog(LogLevel.INFO, f'|- 标的{tradeTarget.targetName()}初始化: 停涨价 {self.todayUpStopPrice}, 停跌价 {self.todayDownStopPrice}')
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self.orderGrid = {} # grid index, order_seq | order_id
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self.loadExistOrders()
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self.enabledTrading(tradeTarget.enabled) # type: ignore
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self.dataUpdateLock = threading.Lock()
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def loadExistOrders(self):
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orders = qmtv.queryPendingOrder(self.tradeTarget.stock_code, self.getName()) # type: ignore
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for order in orders:
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gridIdx = int(order.order_remark.split(',')[1])
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self.orderGrid[gridIdx] = order.order_id
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PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 初始化: 加载现有订单, grid-{gridIdx} order_id:{self.orderGrid[gridIdx]}')
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def onMarketActiveSwitch(self, isActive: bool):
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if isActive and self.tradeTarget.enabled:
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@@ -48,39 +56,50 @@ class SFGridStrategy:
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OrderTypeInit, # remark # type: ignore
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self.getName(), # strategy_name
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)
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self.orderGrid[xtconstant.STOCK_BUY] = tmpOrderSeq # seq
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self.orderGrid[1] = tmpOrderSeq # seq
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PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 初始化: 建仓单，建仓价: {price:.3f}')
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else:
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currentIdx = self.tradeTarget.grid_index # type: ignore
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orders = qmtv.queryPendingOrder(self.tradeTarget.stock_code, self.getName()) # type: ignore
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# 向上下一单，向下下一单
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if currentIdx > 0: # 可以下空单
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sellPrice = self.tradeTarget.getPriceGrid()[currentIdx - 1]
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tmpOrderSeq = qmtv.orderAsync(
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str(self.tradeTarget.stock_code),
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self.tradeTarget.grid_volume,
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xtconstant.STOCK_SELL,
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sellPrice,
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xtconstant.FIX_PRICE,
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OrderTypeSell, # remark # type: ignore
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self.getName(), # strategy_name
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)
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self.orderGrid[xtconstant.STOCK_SELL] = tmpOrderSeq # seq
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PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 初始化: 下空单，价格: {sellPrice:.3f}')
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sellIdx = currentIdx - 1
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sellPrice = self.tradeTarget.getPriceGrid()[sellIdx]
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remark = f'{OrderTypeSell},{sellIdx}'
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if len([order for order in orders if order.order_type == xtconstant.STOCK_SELL and order.price == sellPrice]) == 0:
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# 不存在策略内同价位订单，下单
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tmpOrderSeq = qmtv.orderAsync(
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str(self.tradeTarget.stock_code),
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self.tradeTarget.grid_volume,
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xtconstant.STOCK_SELL,
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sellPrice,
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xtconstant.FIX_PRICE,
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remark, # remark # type: ignore
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self.getName(), # strategy_name
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)
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self.orderGrid[sellIdx] = tmpOrderSeq # seq
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PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 初始化: 下空单，价格: {sellPrice:.3f}')
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else:
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PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 初始化: 已存在同价位空单，跳过下单')
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if currentIdx < len(self.tradeTarget.getPriceGrid()) - 1: # 可以下多单
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buyPrice = self.tradeTarget.getPriceGrid()[currentIdx + 1]
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tmpOrderSeq = qmtv.orderAsync(
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buyIdx = currentIdx + 1
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buyPrice = self.tradeTarget.getPriceGrid()[buyIdx]
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remark = f'{OrderTypeBuy},{buyIdx}'
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if len([order for order in orders if order.order_type == xtconstant.STOCK_BUY and order.price == buyPrice]) == 0:
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tmpOrderSeq = qmtv.orderAsync(
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str(self.tradeTarget.stock_code),
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self.tradeTarget.grid_volume,
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xtconstant.STOCK_BUY,
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buyPrice,
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xtconstant.FIX_PRICE,
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OrderTypeBuy, # remark # type: ignore
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remark, # remark # type: ignore
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self.getName(), # strategy_name
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)
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self.orderGrid[xtconstant.STOCK_BUY] = tmpOrderSeq # seq
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PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 初始化: 下多单，价格: {buyPrice:.3f}')
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self.orderGrid[buyIdx] = tmpOrderSeq # seq
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PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 初始化: 下多单，价格: {buyPrice:.3f}')
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else:
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PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 初始化: 已存在同价位多单，跳过下单')
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def deleteTradeTarget(self, tradeTarget:model.SFGridTradeTarget):
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PrintLog(LogLevel.INFO, f'|- 标的{tradeTarget.targetName()}信息删除: START')
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@@ -96,18 +115,18 @@ class SFGridStrategy:
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self.tradeTarget.enabled = enabled # type: ignore
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if enabled:
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print(f" |- 标的{self.tradeTarget.targetName()}交易启动, 持仓量：{self.tradeTarget.current_position}")
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PrintLog(LogLevel.INFO, f" |- 标的{self.tradeTarget.targetName()}交易启动, 持仓量：{self.tradeTarget.current_position}")
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if self.tradeTarget.status == 0: # 未建仓
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print(f" |- 标的{self.tradeTarget.targetName()}初始状态, 设置网格序号 1,")
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PrintLog(LogLevel.INFO, f" |- 标的{self.tradeTarget.targetName()}初始状态, 设置网格序号 1,")
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self.tradeTarget.grid_index = 1 # pyright: ignore[reportAttributeAccessIssue]
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else: # 已建仓
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# 交易阶段，检查仓位，检查现有订单
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print(f" |- 标的{self.tradeTarget.targetName()}已有仓位或非初始状态 无需建初始仓 当前仓位: {self.tradeTarget.current_position} 状态: {self.tradeTarget.status}")
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PrintLog(LogLevel.INFO, f" |- 标的{self.tradeTarget.targetName()}已有仓位或非初始状态 无需建初始仓 当前仓位: {self.tradeTarget.current_position} 状态: {self.tradeTarget.status}")
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minRequirePosition:int = self.tradeTarget.grid_volume * int(self.tradeTarget.grid_index) # type: ignore
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if minRequirePosition <= int(self.tradeTarget.current_position): # type: ignore
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print(f' |- 仓位检查: 持仓需求充足, (gridVolume*gridIndex)={minRequirePosition}, 当前持仓：{self.tradeTarget.current_position}')
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PrintLog(LogLevel.INFO, f' |- 仓位检查: 持仓需求充足, (gridVolume*gridIndex)={minRequirePosition}, 当前持仓：{self.tradeTarget.current_position}')
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else:
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print(f' |- 仓位检查: 持仓需求不足, (gridVolume*gridIndex)={minRequirePosition}, 当前持仓：{self.tradeTarget.current_position}, 交易启动失败')
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PrintLog(LogLevel.INFO, f' |- 仓位检查: 持仓需求不足, (gridVolume*gridIndex)={minRequirePosition}, 当前持仓：{self.tradeTarget.current_position}, 交易启动失败')
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self.tradeTarget.enabled = False # type: ignore
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self.refreshGridOrder()
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else:
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@@ -128,11 +147,10 @@ class SFGridStrategy:
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self.dataUpdateLock.acquire()
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try:
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if response.strategy_name == self.getName() and response.seq == self.tradeTarget.current_order_no:
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print(f"委托创建通知 onOrderCreateAsync[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}]: {response.order_id}")
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for gridIdx, orderNo in self.orderGrid.items():
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if orderNo == response.seq:
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self.orderGrid[gridIdx] = response.order_id
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break
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PrintLog(LogLevel.INFO, f"委托创建通知 onOrderCreateAsync[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}]: {response.order_id}")
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idx = response.order_remark.split(',')[1]
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self.orderGrid[idx] = response.order_id
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PrintLog(LogLevel.INFO, f"委托创建通知 onOrderCreateAsync 更新 grid-{idx} seq:{response.seq} -> order_id:{response.order_id}")
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except Exception as e:
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PrintLog(LogLevel.ERROR, f"|- 委托创建通知 onOrderCreateAsync[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}]: {response.order_id} - {str(e)}")
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finally:
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@@ -159,24 +177,23 @@ class SFGridStrategy:
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if tmpOrderNo == trade.order_id:
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if idx > self.tradeTarget.grid_index:
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type = "下移一格"
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self.tradeTarget.grid_index +=1
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elif idx < self.tradeTarget.grid_index:
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type = "上移一格"
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self.tradeTarget.grid_index -= 1
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elif idx == self.tradeTarget.grid_index:
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type = "保持格, 理论上不应该输出"
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self.tradeTarget.grid_index = idx
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self.saveProxy()
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break
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PrintLog(LogLevel.INFO, f'|- 委托成交通知[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} - 原网格位置 {oriIdx}, 现网格位置 {self.tradeTarget.grid_index}')
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self.saveProxy()
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self.printTradeReport(trade, type)
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PrintLog(LogLevel.INFO, f"|- 成交报告[{self.tradeTarget.targetName()}] : ====================================")
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PrintLog(LogLevel.INFO, f"|- 标的[{self.tradeTarget.targetName()}] {type}-单号{self.tradeTarget.current_order_no}已成交 ")
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PrintLog(LogLevel.INFO, f' 成交价: {trade.traded_price} 成交量: {trade.traded_volume}')
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PrintLog(LogLevel.INFO, f' 手续费 : {trade.commission:.3f}')
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self.refreshGridOrder() # 更新网格订单
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finally:
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self.dataUpdateLock.release()
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def printTradeReport(self, trade:XtTrade, type:str):
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PrintLog(LogLevel.INFO, f"|- 成交报告[{self.tradeTarget.targetName()}] : ====================================")
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PrintLog(LogLevel.INFO, f"|- 标的[{self.tradeTarget.targetName()}] {type}-单号{self.tradeTarget.current_order_no}已成交 ")
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PrintLog(LogLevel.INFO, f' 成交价: {trade.traded_price} 成交量: {trade.traded_volume}')
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PrintLog(LogLevel.INFO, f' 手续费 : {trade.commission:.3f}')
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def getName(self):
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@@ -57,10 +57,10 @@ class TradeTargetUI(ttk.Frame):
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if stock_code in self.stockCodeIdMap:
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id:int = self.stockCodeIdMap[stock_code]
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tradeTarget = self.tradeTargetData[id]
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timeStr = datetime.fromtimestamp(tickData['time']/1000)
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PrintLog(LogLevel.INFO, f'|- 市价更新[{tradeTarget.targetName()}] - {timeStr.strftime("%H:%M:%S")} 市场数据更新======================={id}')
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# timeStr = datetime.fromtimestamp(tickData['time']/1000)
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lastPrice = float("{:.3f}".format(tickData['lastPrice']))
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tradeTarget.market_price = lastPrice # type: ignore
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# PrintLog(LogLevel.INFO, f'|- 市价更新[{tradeTarget.targetName()}] - {timeStr.strftime("%H:%M:%S")} 市价更新: {lastPrice}======================{id}')
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self.updateTradeTarget(tradeTarget, False) # 市价更新
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else:
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# 非目标交易，发布市场数据更新事件用于市场监控
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@@ -151,7 +151,7 @@ class TradeTargetUI(ttk.Frame):
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while True:
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self.after(0, self.refresh_table)
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self.after(0, self.populate_market_table)
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time.sleep(0.2) # 每0.5秒刷新一次
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time.sleep(0.5) # 每0.5秒刷新一次
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def create_tables_area(self, parent):
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