完成预下单优化

core/qmt.py

@@ -119,19 +119,16 @@ class QmtV(XtQuantTraderCallback):
     # ====== 市场回调方法 -- 以下方法由XtQuantData调用 ======
     def onDataUpdate(self, data):
         # 收集所有市场数据用于市场监控
-        PrintLog(LogLevel.INFO, f'- [市场数据更新] {len(data)}')
         eBus.event_bus.publish(eBus.MarketDataUpdate, data)
         now = time.time()
         if now - self.lastMarketDataUpdateTimestamp < 5:
             self.isMarketActive = True
-            PrintLog(LogLevel.INFO, f'- [市场状态变更] 市场已 Active') # 市场已 inactive
         self.lastMarketDataUpdateTimestamp = now
 
     def marketStatusNotifier(self):
         # 市场状态通知器
         tmpMarketStatus = False
         while True:
-            PrintLog(LogLevel.INFO, f'- [市场状态检查器] {self.isMarketActive}')
             tmpTime = time.time()
             time.sleep(10)
             if tmpMarketStatus != self.isMarketActive and tmpTime - self.lastMarketDataUpdateTimestamp < 5:

core/sfgrid/sfgrid_strategy.py

@@ -24,9 +24,17 @@ class SFGridStrategy:
         self.todayDownStopPrice=qmtv.dailyDownStop(tradeTarget.stock_code) # type: ignore
         PrintLog(LogLevel.INFO, f'|- 标的{tradeTarget.targetName()}初始化: 停涨价 {self.todayUpStopPrice}, 停跌价 {self.todayDownStopPrice}')
         self.orderGrid = {} # grid index, order_seq | order_id
+        self.loadExistOrders()
         self.enabledTrading(tradeTarget.enabled)  # type: ignore
         self.dataUpdateLock = threading.Lock()
     
+    def loadExistOrders(self):
+        orders = qmtv.queryPendingOrder(self.tradeTarget.stock_code, self.getName()) # type: ignore
+        for order in orders:
+            gridIdx = int(order.order_remark.split(',')[1])
+            self.orderGrid[gridIdx] = order.order_id
+            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]}')
+
     def onMarketActiveSwitch(self, isActive: bool):
         if isActive and self.tradeTarget.enabled:
             self.refreshGridOrder()
@@ -48,39 +56,50 @@ class SFGridStrategy:
                 OrderTypeInit, # remark  # type: ignore
                 self.getName(), # strategy_name
             )
-            self.orderGrid[xtconstant.STOCK_BUY] = tmpOrderSeq # seq
+            self.orderGrid[1] = tmpOrderSeq # seq
             PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 初始化: 建仓单，建仓价: {price:.3f}')
         else:
             currentIdx = self.tradeTarget.grid_index # type: ignore
+            orders = qmtv.queryPendingOrder(self.tradeTarget.stock_code, self.getName()) # type: ignore
 
             # 向上下一单，向下下一单
             if currentIdx > 0: # 可以下空单
-                sellPrice = self.tradeTarget.getPriceGrid()[currentIdx - 1]
+                sellIdx = currentIdx - 1
+                sellPrice = self.tradeTarget.getPriceGrid()[sellIdx]
+                remark = f'{OrderTypeSell},{sellIdx}'
+                if len([order for order in orders if order.order_type == xtconstant.STOCK_SELL and order.price == sellPrice]) == 0:
+                    # 不存在策略内同价位订单，下单
                     tmpOrderSeq = qmtv.orderAsync(
                                 str(self.tradeTarget.stock_code), 
                                 self.tradeTarget.grid_volume,
                                 xtconstant.STOCK_SELL, 
                                 sellPrice,
                                 xtconstant.FIX_PRICE,
-                            OrderTypeSell, # remark  # type: ignore
+                                remark, # remark  # type: ignore
                                 self.getName(), # strategy_name
                                 )
-                self.orderGrid[xtconstant.STOCK_SELL] = tmpOrderSeq # seq
+                    self.orderGrid[sellIdx] = tmpOrderSeq # seq
                     PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 初始化: 下空单，价格: {sellPrice:.3f}')
+                else:
+                    PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 初始化: 已存在同价位空单，跳过下单')
             if currentIdx < len(self.tradeTarget.getPriceGrid()) - 1: # 可以下多单
-                buyPrice = self.tradeTarget.getPriceGrid()[currentIdx + 1]
+                buyIdx = currentIdx + 1
+                buyPrice = self.tradeTarget.getPriceGrid()[buyIdx]
+                remark = f'{OrderTypeBuy},{buyIdx}'
+                if len([order for order in orders if order.order_type == xtconstant.STOCK_BUY and order.price == buyPrice]) == 0:
                     tmpOrderSeq = qmtv.orderAsync(
                             str(self.tradeTarget.stock_code), 
                             self.tradeTarget.grid_volume,
                             xtconstant.STOCK_BUY, 
                             buyPrice,
                             xtconstant.FIX_PRICE,
-                            OrderTypeBuy, # remark  # type: ignore
+                            remark, # remark  # type: ignore
                             self.getName(), # strategy_name
                             )
-                self.orderGrid[xtconstant.STOCK_BUY] = tmpOrderSeq # seq
+                    self.orderGrid[buyIdx] = tmpOrderSeq # seq
                     PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 初始化: 下多单，价格: {buyPrice:.3f}')
-
+                else:
+                    PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 初始化: 已存在同价位多单，跳过下单')
     
     def deleteTradeTarget(self, tradeTarget:model.SFGridTradeTarget):
         PrintLog(LogLevel.INFO, f'|- 标的{tradeTarget.targetName()}信息删除: START')
@@ -96,18 +115,18 @@ class SFGridStrategy:
         self.tradeTarget.enabled = enabled  # type: ignore
 
         if enabled:
-            print(f"  |- 标的{self.tradeTarget.targetName()}交易启动, 持仓量：{self.tradeTarget.current_position}")
+            PrintLog(LogLevel.INFO, f"  |- 标的{self.tradeTarget.targetName()}交易启动, 持仓量：{self.tradeTarget.current_position}")
             if self.tradeTarget.status == 0: # 未建仓
-                print(f"  |- 标的{self.tradeTarget.targetName()}初始状态, 设置网格序号 1,")
+                PrintLog(LogLevel.INFO, f"  |- 标的{self.tradeTarget.targetName()}初始状态, 设置网格序号 1,")
                 self.tradeTarget.grid_index = 1  # pyright: ignore[reportAttributeAccessIssue]
             else: # 已建仓
                 # 交易阶段，检查仓位，检查现有订单
-                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}")
+                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}")
                 minRequirePosition:int = self.tradeTarget.grid_volume * int(self.tradeTarget.grid_index)  # type: ignore
                 if minRequirePosition <= int(self.tradeTarget.current_position):  # type: ignore
-                    print(f'  |- 仓位检查: 持仓需求充足, (gridVolume*gridIndex)={minRequirePosition}, 当前持仓：{self.tradeTarget.current_position}')
+                    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}')
                 else:
-                    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')
+                    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')
                     self.tradeTarget.enabled = False  # type: ignore
             self.refreshGridOrder()
         else:
@@ -128,11 +147,10 @@ class SFGridStrategy:
         self.dataUpdateLock.acquire()
         try:
             if response.strategy_name == self.getName() and response.seq == self.tradeTarget.current_order_no:
-                print(f"委托创建通知 onOrderCreateAsync[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}]: {response.order_id}")
+                PrintLog(LogLevel.INFO, f"委托创建通知 onOrderCreateAsync[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}]: {response.order_id}")
-                for gridIdx, orderNo in self.orderGrid.items():
+                idx = response.order_remark.split(',')[1]
-                    if orderNo == response.seq:
+                self.orderGrid[idx] = response.order_id
-                        self.orderGrid[gridIdx] = response.order_id
+                PrintLog(LogLevel.INFO, f"委托创建通知 onOrderCreateAsync 更新 grid-{idx} seq:{response.seq} -> order_id:{response.order_id}")
-                        break
         except Exception as e:
             PrintLog(LogLevel.ERROR, f"|- 委托创建通知 onOrderCreateAsync[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}]: {response.order_id} - {str(e)}")
         finally:
@@ -159,24 +177,23 @@ class SFGridStrategy:
                     if tmpOrderNo == trade.order_id:
                         if idx > self.tradeTarget.grid_index:
                             type = "下移一格"
+                            self.tradeTarget.grid_index +=1
                         elif idx < self.tradeTarget.grid_index:
                             type = "上移一格"
+                            self.tradeTarget.grid_index -= 1
                         elif idx == self.tradeTarget.grid_index:
                             type = "保持格, 理论上不应该输出"
-                        self.tradeTarget.grid_index = idx
+                        self.saveProxy()
                         break
                 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}')
-            self.saveProxy()
-            self.printTradeReport(trade, type)
-            self.refreshGridOrder() # 更新网格订单
-        finally:
-            self.dataUpdateLock.release()
             
-    def printTradeReport(self, trade:XtTrade, type:str):
             PrintLog(LogLevel.INFO, f"|- 成交报告[{self.tradeTarget.targetName()}] : ====================================")
             PrintLog(LogLevel.INFO, f"|- 标的[{self.tradeTarget.targetName()}] {type}-单号{self.tradeTarget.current_order_no}已成交 ")
             PrintLog(LogLevel.INFO, f'   成交价: {trade.traded_price} 成交量: {trade.traded_volume}')
             PrintLog(LogLevel.INFO, f'   手续费  : {trade.commission:.3f}')
+            self.refreshGridOrder() # 更新网格订单
+        finally:
+            self.dataUpdateLock.release()
 
 
     def getName(self):

core/sfgrid/sfgrid_ui.py

@@ -57,10 +57,10 @@ class TradeTargetUI(ttk.Frame):
             if stock_code in self.stockCodeIdMap:
                 id:int = self.stockCodeIdMap[stock_code]
                 tradeTarget = self.tradeTargetData[id]
-                timeStr = datetime.fromtimestamp(tickData['time']/1000)
+                # timeStr = datetime.fromtimestamp(tickData['time']/1000)
-                PrintLog(LogLevel.INFO, f'|- 市价更新[{tradeTarget.targetName()}] - {timeStr.strftime("%H:%M:%S")} 市场数据更新======================={id}')
                 lastPrice = float("{:.3f}".format(tickData['lastPrice']))    
                 tradeTarget.market_price = lastPrice  # type: ignore
+                # PrintLog(LogLevel.INFO, f'|- 市价更新[{tradeTarget.targetName()}] - {timeStr.strftime("%H:%M:%S")} 市价更新: {lastPrice}======================{id}')
                 self.updateTradeTarget(tradeTarget, False) # 市价更新
             else:
                 # 非目标交易，发布市场数据更新事件用于市场监控
@@ -151,7 +151,7 @@ class TradeTargetUI(ttk.Frame):
         while True:
             self.after(0, self.refresh_table)
             self.after(0, self.populate_market_table)
-            time.sleep(0.2)  # 每0.5秒刷新一次
+            time.sleep(0.5)  # 每0.5秒刷新一次
 
 
     def create_tables_area(self, parent):