策略调试
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@@ -115,7 +115,7 @@ class SFGridController(XtQuantTraderCallback):
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for i in range(len(self.instrument_pool)):
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target: strategy_db.TradeTarget = self.instrument_pool[i]
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status = "新建" if target.status == 0 else "已建初始仓"
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print(f' [序号-{i}] 股票代码: {target.stock_code}-{target.stock_name} 当前持仓: {target.current_position} 网格索引: {target.grid_index} Price {sfgrid_constants.grid_price[target.grid_index]} 状态: {status} 启用交易线程: {target.enabled}')
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print(f' [序号-{i}] 股票代码: {target.stock_code}-{target.stock_name} 当前持仓: {getStockPosition(target.stock_code, self.xt_trader, self.account)} 网格索引: {target.grid_index} Price {sfgrid_constants.grid_price[target.grid_index]} 状态: {status} 启用交易线程: {target.enabled}')
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def print_position_info(self):
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positions = self.xt_trader.query_stock_positions(self.account)
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@@ -236,7 +236,7 @@ class SFGridController(XtQuantTraderCallback):
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else:
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print(f"委托下单回调 投资备注 {order.order_remark} 不匹配 {ctrl.getName()}")
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def test_sim_trade(self, index: int, price:float, orderType: int):
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def test_sim_trade(self, index: int, orderType: int):
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tradeTarget:strategy_db.TradeTarget = self.instrument_pool[index]
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ctrl:StockTradeController = self.stock_trade_ctrl[tradeTarget.stock_code]
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trade: XtTrade = None
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@@ -245,7 +245,7 @@ class SFGridController(XtQuantTraderCallback):
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sfgrid_constants.account_no,
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'300083.SZ',
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xtconstant.STOCK_BUY,
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1, 1, price, sfgrid_constants.grid_volume, 1000,
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1, 1, tradeTarget.current_buy_price, sfgrid_constants.grid_volume, 1000,
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tradeTarget.current_buy_order_no,
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None, ctrl.getName(), None, None, None, None, None, tradeTarget.stock_name)
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else:
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@@ -63,44 +63,40 @@ class StockTradeController:
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def onOrderTrade(self, trade:XtTrade):
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indicator = False
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if self.tradeTarget.status == 0 and trade.order_id == self.initBuyOrderId :
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print(f'{trade.order_id} == {self.initBuyOrderId} {self.tradeTarget.status}')
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# 此时为建仓成交
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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
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self.tradeTarget.last_trade_price = trade.traded_price
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self.tradeTarget.grid_index = 1
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self.tradeTarget.status = 1
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self.tradeTarget.save()
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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")
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print(f' 成交价: {trade.traded_price} 成交量: {trade.traded_volume}\n')
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print(f' 当前持仓: {self.tradeTarget.current_position}\n')
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print(f' 网格坐标: {self.tradeTarget.grid_index}\n')
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print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 建初始仓订单ID: {self.initBuyOrderId}已成交 ")
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print(f' 成交价: {trade.traded_price} 成交量: {trade.traded_volume}')
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print(f' 当前持仓: {getStockPosition(self.tradeTarget.stock_code, self.xt_trader, self.account)}')
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print(f' 网格坐标: {self.tradeTarget.grid_index}')
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indicator = True # 双向下单
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elif trade.order_id == self.tradeTarget.current_sell_order_no and self.tradeTarget.status == 1:
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print(f'{trade.order_id} == {self.tradeTarget.current_sell_order_no} {self.tradeTarget.status}')
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# 上涨一格：此时空单成交
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print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 上涨 卖单已成交 订单ID: {self.tradeTarget.current_sell_order_no} Price: {sfgrid_constants.grid_price[self.tradeTarget.grid_index]} Volume: {sfgrid_constants.grid_volume} 手续费: {trade.commission}\n")
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self.tradeTarget.current_position = -sfgrid_constants.grid_volume
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self.tradeTarget.last_trade_price = trade.traded_price
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self.tradeTarget.grid_index += 1
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self.tradeTarget.grid_index -= 1
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self.tradeTarget.save()
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print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 上涨 卖单已成交 订单ID: {self.tradeTarget.current_sell_order_no} Price: {sfgrid_constants.grid_price[self.tradeTarget.grid_index]} Volume: {sfgrid_constants.grid_volume} 手续费: {trade.commission}\n")
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print(f' 成交价: {trade.traded_price} 成交量: {trade.traded_volume}\n')
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print(f' 当前持仓: {self.tradeTarget.current_position}\n')
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print(f' 网格坐标: {self.tradeTarget.grid_index}\n')
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print(f' 成交价: {trade.traded_price} 成交量: {trade.traded_volume}')
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print(f' 当前持仓: {getStockPosition(self.tradeTarget.stock_code, self.xt_trader, self.account)}')
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print(f' 网格坐标: {self.tradeTarget.grid_index}')
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cancelResult = self.xt_trader.cancel_order_stock(self.account, self.tradeTarget.current_sell_order_no)
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print(f' 上涨一格，空单成交，对侧买单已撤单 cancelResult: {cancelResult == 0}')
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indicator = True # 双向下单
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elif trade.order_id == self.tradeTarget.current_buy_order_no and self.tradeTarget.status == 1:
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print(f'{trade.order_id} == {self.tradeTarget.current_buy_order_no} {self.tradeTarget.status}')
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# 下跌一格：此时多单成交
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self.tradeTarget.current_position = +sfgrid_constants.grid_volume
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self.tradeTarget.last_trade_price = trade.traded_price
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self.tradeTarget.grid_index -= 1
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self.tradeTarget.grid_index += 1
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self.tradeTarget.save()
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print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 下跌 买单已成交 订单ID: {self.tradeTarget.current_buy_order_no} Price: {sfgrid_constants.grid_price[self.tradeTarget.grid_index]} Volume: {sfgrid_constants.grid_volume} 手续费: {trade.commission}\n")
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print(f' 成交价: {trade.traded_price} 成交量: {trade.traded_volume}\n')
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print(f' 当前持仓: {self.tradeTarget.current_position}\n')
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print(f' 网格坐标: {self.tradeTarget.grid_index}\n')
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print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 下跌 买单已成交 订单ID: {self.tradeTarget.current_buy_order_no} Price: {sfgrid_constants.grid_price[self.tradeTarget.grid_index]} Volume: {sfgrid_constants.grid_volume} 手续费: {trade.commission}")
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print(f' 成交价: {trade.traded_price} 成交量: {trade.traded_volume}')
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print(f' 当前持仓: {getStockPosition(self.tradeTarget.stock_code, self.xt_trader, self.account)}')
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print(f' 网格坐标: {self.tradeTarget.grid_index}')
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cancelResult = self.xt_trader.cancel_order_stock(self.account, self.tradeTarget.current_buy_order_no)
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print(f' 下跌一格，多单成交，对侧卖单已撤单 cancelResult: {cancelResult == 0}')
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indicator = True # 双向下单
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@@ -127,6 +123,8 @@ class StockTradeController:
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# Description: 网格跳格，双向下单
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def two_way_order(self, buy, sell):
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print(f'current grid index = {self.tradeTarget.grid_index}, grid count = {len(sfgrid_constants.grid_price)}')
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if buy and 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
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currentPrice = sfgrid_constants.grid_price[self.tradeTarget.grid_index]
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buyPrice = sfgrid_constants.grid_price[self.tradeTarget.grid_index+1]
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@@ -139,8 +137,7 @@ class StockTradeController:
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buyPrice,
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self.getName(), f'{self.tradeTarget.stock_code}_grid_down_{self.tradeTarget.grid_index}_{currentPrice}_{buyPrice}')
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self.tradeTarget.current_buy_price = buyPrice
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self.tradeTarget.save()
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print(f' |- 下网格多单 OrderId {self.tradeTarget.current_buy_order_no}, 下单价 {buyPrice}, 下单量 {sfgrid_constants.grid_volume}')
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print(f' |- 下网格多单 OrderId {self.tradeTarget.current_buy_order_no}, 网格基准价 {currentPrice}, 下单价 {buyPrice}, 下单量 {sfgrid_constants.grid_volume}')
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if sell and self.tradeTarget.grid_index-1 >=0: # 价格没有超过网格上边界，可以下空单
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currentPrice = sfgrid_constants.grid_price[self.tradeTarget.grid_index]
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@@ -154,5 +151,5 @@ class StockTradeController:
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sellPrice,
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self.getName(), f'{self.tradeTarget.stock_code}_grid_up_{self.tradeTarget.grid_index}_{currentPrice}_{sellPrice}')
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self.tradeTarget.current_sell_price = sellPrice
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print(f' |- 下网格多单 OrderId {self.tradeTarget.current_sell_order_no}, 下单价 {sellPrice}, 下单量 {sfgrid_constants.grid_volume}')
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print(f' |- 下网格多单 OrderId {self.tradeTarget.current_sell_order_no}, 网格基准价 {currentPrice}, 下单价 {sellPrice}, 下单量 {sfgrid_constants.grid_volume}')
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self.tradeTarget.save()
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