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策略调试

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GDP\solonot
2025-10-30 17:41:58 +08:00
parent db08437418
commit 59f34ae161
2 changed files with 20 additions and 23 deletions
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core/main_controller.py
+3 -3
View File
@@ -115,7 +115,7 @@ class SFGridController(XtQuantTraderCallback):
for i in range(len(self.instrument_pool)): for i in range(len(self.instrument_pool)):
target: strategy_db.TradeTarget = self.instrument_pool[i] target: strategy_db.TradeTarget = self.instrument_pool[i]
status = "新建" if target.status == 0 else "已建初始仓" status = "新建" if target.status == 0 else "已建初始仓"
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}') 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}')
def print_position_info(self): def print_position_info(self):
positions = self.xt_trader.query_stock_positions(self.account) positions = self.xt_trader.query_stock_positions(self.account)
@@ -236,7 +236,7 @@ class SFGridController(XtQuantTraderCallback):
else: else:
print(f"委托下单回调 投资备注 {order.order_remark} 不匹配 {ctrl.getName()}") print(f"委托下单回调 投资备注 {order.order_remark} 不匹配 {ctrl.getName()}")
def test_sim_trade(self, index: int, price:float, orderType: int): def test_sim_trade(self, index: int, orderType: int):
tradeTarget:strategy_db.TradeTarget = self.instrument_pool[index] tradeTarget:strategy_db.TradeTarget = self.instrument_pool[index]
ctrl:StockTradeController = self.stock_trade_ctrl[tradeTarget.stock_code] ctrl:StockTradeController = self.stock_trade_ctrl[tradeTarget.stock_code]
trade: XtTrade = None trade: XtTrade = None
@@ -245,7 +245,7 @@ class SFGridController(XtQuantTraderCallback):
sfgrid_constants.account_no, sfgrid_constants.account_no,
'300083.SZ', '300083.SZ',
xtconstant.STOCK_BUY, xtconstant.STOCK_BUY,
1, 1, price, sfgrid_constants.grid_volume, 1000, 1, 1, tradeTarget.current_buy_price, sfgrid_constants.grid_volume, 1000,
tradeTarget.current_buy_order_no, tradeTarget.current_buy_order_no,
None, ctrl.getName(), None, None, None, None, None, tradeTarget.stock_name) None, ctrl.getName(), None, None, None, None, None, tradeTarget.stock_name)
else: else:
core/sfgrid_trade_controller.py
+17 -20
View File
@@ -63,44 +63,40 @@ class StockTradeController:
def onOrderTrade(self, trade:XtTrade): def onOrderTrade(self, trade:XtTrade):
indicator = False indicator = False
if self.tradeTarget.status == 0 and trade.order_id == self.initBuyOrderId : if self.tradeTarget.status == 0 and trade.order_id == self.initBuyOrderId :
print(f'{trade.order_id} == {self.initBuyOrderId} {self.tradeTarget.status}')
# 此时为建仓成交 # 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.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.last_trade_price = trade.traded_price
self.tradeTarget.grid_index = 1 self.tradeTarget.grid_index = 1
self.tradeTarget.status = 1 self.tradeTarget.status = 1
self.tradeTarget.save() 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"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 建初始仓订单ID: {self.initBuyOrderId}已成交 ")
print(f' 成交价: {trade.traded_price} 成交量: {trade.traded_volume}\n') print(f' 成交价: {trade.traded_price} 成交量: {trade.traded_volume}')
print(f' 当前持仓: {self.tradeTarget.current_position}\n') print(f' 当前持仓: {getStockPosition(self.tradeTarget.stock_code, self.xt_trader, self.account)}')
print(f' 网格坐标: {self.tradeTarget.grid_index}\n') print(f' 网格坐标: {self.tradeTarget.grid_index}')
indicator = True # 双向下单 indicator = True # 双向下单
elif trade.order_id == self.tradeTarget.current_sell_order_no and self.tradeTarget.status == 1: elif trade.order_id == self.tradeTarget.current_sell_order_no and self.tradeTarget.status == 1:
print(f'{trade.order_id} == {self.tradeTarget.current_sell_order_no} {self.tradeTarget.status}')
# 上涨一格：此时空单成交 # 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.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")
self.tradeTarget.current_position = -sfgrid_constants.grid_volume self.tradeTarget.current_position = -sfgrid_constants.grid_volume
self.tradeTarget.last_trade_price = trade.traded_price self.tradeTarget.last_trade_price = trade.traded_price
self.tradeTarget.grid_index += 1 self.tradeTarget.grid_index -= 1
self.tradeTarget.save() 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.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") 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")
print(f' 成交价: {trade.traded_price} 成交量: {trade.traded_volume}\n') print(f' 成交价: {trade.traded_price} 成交量: {trade.traded_volume}')
print(f' 当前持仓: {self.tradeTarget.current_position}\n') print(f' 当前持仓: {getStockPosition(self.tradeTarget.stock_code, self.xt_trader, self.account)}')
print(f' 网格坐标: {self.tradeTarget.grid_index}\n') print(f' 网格坐标: {self.tradeTarget.grid_index}')
cancelResult = self.xt_trader.cancel_order_stock(self.account, self.tradeTarget.current_sell_order_no) cancelResult = self.xt_trader.cancel_order_stock(self.account, self.tradeTarget.current_sell_order_no)
print(f' 上涨一格，空单成交，对侧买单已撤单 cancelResult: {cancelResult == 0}') print(f' 上涨一格，空单成交，对侧买单已撤单 cancelResult: {cancelResult == 0}')
indicator = True # 双向下单 indicator = True # 双向下单
elif trade.order_id == self.tradeTarget.current_buy_order_no and self.tradeTarget.status == 1: elif trade.order_id == self.tradeTarget.current_buy_order_no and self.tradeTarget.status == 1:
print(f'{trade.order_id} == {self.tradeTarget.current_buy_order_no} {self.tradeTarget.status}')
# 下跌一格：此时多单成交 # 下跌一格：此时多单成交
self.tradeTarget.current_position = +sfgrid_constants.grid_volume self.tradeTarget.current_position = +sfgrid_constants.grid_volume
self.tradeTarget.last_trade_price = trade.traded_price self.tradeTarget.last_trade_price = trade.traded_price
self.tradeTarget.grid_index -= 1 self.tradeTarget.grid_index += 1
self.tradeTarget.save() 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.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") 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}")
print(f' 成交价: {trade.traded_price} 成交量: {trade.traded_volume}\n') print(f' 成交价: {trade.traded_price} 成交量: {trade.traded_volume}')
print(f' 当前持仓: {self.tradeTarget.current_position}\n') print(f' 当前持仓: {getStockPosition(self.tradeTarget.stock_code, self.xt_trader, self.account)}')
print(f' 网格坐标: {self.tradeTarget.grid_index}\n') print(f' 网格坐标: {self.tradeTarget.grid_index}')
cancelResult = self.xt_trader.cancel_order_stock(self.account, self.tradeTarget.current_buy_order_no) cancelResult = self.xt_trader.cancel_order_stock(self.account, self.tradeTarget.current_buy_order_no)
print(f' 下跌一格，多单成交，对侧卖单已撤单 cancelResult: {cancelResult == 0}') print(f' 下跌一格，多单成交，对侧卖单已撤单 cancelResult: {cancelResult == 0}')
indicator = True # 双向下单 indicator = True # 双向下单
@@ -127,6 +123,8 @@ class StockTradeController:
# Description: 网格跳格，双向下单 # Description: 网格跳格，双向下单
def two_way_order(self, buy, sell): def two_way_order(self, buy, sell):
print(f'current grid index = {self.tradeTarget.grid_index}, grid count = {len(sfgrid_constants.grid_price)}')
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 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
currentPrice = sfgrid_constants.grid_price[self.tradeTarget.grid_index] currentPrice = sfgrid_constants.grid_price[self.tradeTarget.grid_index]
buyPrice = sfgrid_constants.grid_price[self.tradeTarget.grid_index+1] buyPrice = sfgrid_constants.grid_price[self.tradeTarget.grid_index+1]
@@ -139,8 +137,7 @@ class StockTradeController:
buyPrice, buyPrice,
self.getName(), f'{self.tradeTarget.stock_code}_grid_down_{self.tradeTarget.grid_index}_{currentPrice}_{buyPrice}') self.getName(), f'{self.tradeTarget.stock_code}_grid_down_{self.tradeTarget.grid_index}_{currentPrice}_{buyPrice}')
self.tradeTarget.current_buy_price = buyPrice self.tradeTarget.current_buy_price = buyPrice
self.tradeTarget.save() 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}')
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}')
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 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
currentPrice = sfgrid_constants.grid_price[self.tradeTarget.grid_index] currentPrice = sfgrid_constants.grid_price[self.tradeTarget.grid_index]
@@ -154,5 +151,5 @@ class StockTradeController:
sellPrice, sellPrice,
self.getName(), f'{self.tradeTarget.stock_code}_grid_up_{self.tradeTarget.grid_index}_{currentPrice}_{sellPrice}') self.getName(), f'{self.tradeTarget.stock_code}_grid_up_{self.tradeTarget.grid_index}_{currentPrice}_{sellPrice}')
self.tradeTarget.current_sell_price = sellPrice self.tradeTarget.current_sell_price = sellPrice
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}') 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}')
self.tradeTarget.save() self.tradeTarget.save()