实现策略核心交易逻辑

sfgrid_trade_controller.py

@@ -3,7 +3,7 @@ import strategy_db
 from util import getInstrumentName, getStockPosition
 
 from xtquant import xttrader, xtdata, xtconstant
-from xtquant.xttype import StockAccount, XtOrder
+from xtquant.xttype import StockAccount, XtOrder, XtTrade
 import sfgrid_constants
 
 
@@ -14,7 +14,6 @@ class StockTradeController:
         self.xt_trader = xt_trader
         self.account = account
         self.currentPosition = getStockPosition(self.tradeTarget.stock_code, self.xt_trader, self.account)
-        self.tradeRecords = strategy_db.TradeRecord.select().where(strategy_db.TradeRecord.stock_code == self.tradeTarget.stock_code).order_by(strategy_db.TradeRecord.trade_time.desc())
 
 
     def enabledTrading(self, enabled: bool):
@@ -28,14 +27,7 @@ class StockTradeController:
                 print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 建初始仓 买单准备中...\n")
                 self.tradeTarget.grid_index = 1
                 self.tradeTarget.save()
-                self.initBuyOrderId = self.xt_trader.order_stock(
-                    self.account, 
-                    self.tradeTarget.stock_code, 
-                    xtconstant.STOCK_BUY, 
-                    sfgrid_constants.grid_volume,
-                    xtconstant.FIX_PRICE,
-                    sfgrid_constants.grid_price[self.tradeTarget.grid_index], 
-                    'sf_grid', f'{self.tradeTarget.stock_code}_init_buy')
+                self.init_stock_position()
                 print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 建初始仓 买单已发出 InitBuyOrderId: {self.initBuyOrderId} Price: {sfgrid_constants.grid_price[self.tradeTarget.grid_index]} Volume: {sfgrid_constants.grid_volume}\n")
             else:
                 print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 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}\n")
@@ -46,21 +38,91 @@ class StockTradeController:
 
     def onDataUpdate(self, data):
         if self.isEnabled():
-            print(f"标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 行情数据更新 {data[self.tradeTarget.stock_code]}\n")
+            print(f"\n标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 行情数据更新 {data[self.tradeTarget.stock_code]}")
 
-    def onOrderUpdate(self, order:XtOrder):
-        pass
+    def onOrderTrade(self, trade:XtTrade):
+        indicator = False
+        if trade.order_id == self.initBuyOrderId and self.tradeTarget.status == 0:
+            # 此时为建仓成交
+            self.tradeTarget.current_position += sfgrid_constants.grid_volume # 当前持仓数，账户原有持仓不在策略范围内
+            self.tradeTarget.last_trade_price = trade.traded_price
+            self.tradeTarget.grid_index = 1
+            self.tradeTarget.status = 1
+            self.tradeTarget.save()
+            print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 建初始仓订单ID: {self.initBuyOrderId}已成交 \n")
+            print(f'   成交价: {trade.traded_price} 成交量: {trade.traded_volume}\n')
+            print(f'   当前持仓: {self.tradeTarget.current_position}\n')
+            print(f'   网格坐标: {self.tradeTarget.grid_index}\n')
+            indicator = True # 双向下单
+        elif trade.order_id == self.sellOrderId and self.tradeTarget.status == 1:
+            # 上涨一格：此时空单成交
+            print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 上涨 卖单已成交 订单ID: {self.sellOrderId} Price: {sfgrid_constants.grid_price[self.tradeTarget.grid_index]} Volume: {sfgrid_constants.grid_volume} 手续费: {trade.commission}\n")
+            self.tradeTarget.current_position = -sfgrid_constants.grid_volume
+            self.tradeTarget.last_trade_price = trade.traded_price
+            self.tradeTarget.grid_index += 1
+            self.tradeTarget.save()
+            print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 上涨 卖单已成交 订单ID: {self.sellOrderId} Price: {sfgrid_constants.grid_price[self.tradeTarget.grid_index]} Volume: {sfgrid_constants.grid_volume} 手续费: {trade.commission}\n")
+            print(f'   成交价: {trade.traded_price} 成交量: {trade.traded_volume}\n')
+            print(f'   当前持仓: {self.tradeTarget.current_position}\n')
+            print(f'   网格坐标: {self.tradeTarget.grid_index}\n')
+            indicator = True # 双向下单
+        elif trade.order_id == self.buyOrderId and self.tradeTarget.status == 1:
+            # 下跌一格：此时多单成交
+            self.tradeTarget.current_position = +sfgrid_constants.grid_volume
+            self.tradeTarget.last_trade_price = trade.traded_price
+            self.tradeTarget.grid_index -= 1
+            self.tradeTarget.save()
+            print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 下跌 买单已成交 订单ID: {self.buyOrderId} Price: {sfgrid_constants.grid_price[self.tradeTarget.grid_index]} Volume: {sfgrid_constants.grid_volume} 手续费: {trade.commission}\n")
+            print(f'   成交价: {trade.traded_price} 成交量: {trade.traded_volume}\n')
+            print(f'   当前持仓: {self.tradeTarget.current_position}\n')
+            print(f'   网格坐标: {self.tradeTarget.grid_index}\n')
+            indicator = True # 双向下单
+        else:
+            # 打印订单信息和订单状态
+            print(f'非策略内部订单，或订单状态不满足监控条件 {trade.order_id} {trade.stock_code}-{trade.instrument_name} {trade.commission}')
 
-    # Description: 程序启动后
-    def check_stock_position(self):
-        volume = getStockPosition(self.tradeTarget.stock_code, self.xt_trader, self.account)
-        pass
+        if indicator and self.isEnabled():
+            self.two_way_order() # 双向下单
 
 
     # Description: 新标的，建基础仓
     def init_stock_position(self):
-        pass
+        self.initBuyOrderId = self.xt_trader.order_stock(
+            self.account, 
+            self.tradeTarget.stock_code, 
+            xtconstant.STOCK_BUY, 
+            sfgrid_constants.grid_volume,
+            xtconstant.FIX_PRICE,
+            sfgrid_constants.grid_price[self.tradeTarget.grid_index], 
+            'sf_grid', f'{self.tradeTarget.stock_code}_init_buy')
+        print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 建初始仓 买单已发出 InitBuyOrderId: {self.initBuyOrderId} Price: {sfgrid_constants.grid_price[self.tradeTarget.grid_index]} Volume: {sfgrid_constants.grid_volume}\n")
 
-    # Description: 双向下单
+
+    # Description: 网格跳格，双向下单
     def two_way_order(self):
-        pass
+        if self.tradeTarget.grid_index+1 < len(sfgrid_constants.grid_price): # 价格没有超过网格下边界，可以下多单
+            currentPrice = sfgrid_constants.grid_price[self.tradeTarget.grid_index]
+            buyPrice = sfgrid_constants.grid_price[self.tradeTarget.grid_index+1]
+            self.buyOrderId = self.xt_trader.order_stock(
+                        self.account, 
+                        self.tradeTarget.stock_code, 
+                        xtconstant.STOCK_BUY, 
+                        sfgrid_constants.grid_volume,
+                        xtconstant.FIX_PRICE,
+                        buyPrice, 
+                        'sf_grid', f'{self.tradeTarget.stock_code}_grid_down_{self.tradeTarget.grid_index}_{currentPrice}_{buyPrice}')
+            self.tradeTarget.current_buy_price = buyPrice
+        
+        if self.tradeTarget.grid_index-1 >=0: # 价格没有超过网格上边界，可以下空单
+            currentPrice = sfgrid_constants.grid_price[self.tradeTarget.grid_index]
+            sellPrice = sfgrid_constants.grid_price[self.tradeTarget.grid_index-1]
+            self.sellOrderId = self.xt_trader.order_stock(
+                        self.account, 
+                        self.tradeTarget.stock_code, 
+                        xtconstant.STOCK_SELL, 
+                        sfgrid_constants.grid_volume,
+                        xtconstant.FIX_PRICE,
+                        sellPrice, 
+                        'sf_grid', f'{self.tradeTarget.stock_code}_grid_up_{self.tradeTarget.grid_index}_{currentPrice}_{sellPrice}')
+            self.tradeTarget.current_sell_price = sellPrice
+        self.tradeTarget.save()