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框架调整

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GDP\solonot
2025-10-28 17:15:37 +08:00
parent 26cf98ce17
commit 5dbf4b79d9
6 changed files with 124 additions and 100 deletions
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callbacks.py
-68
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@@ -1,68 +0,0 @@
from xttrader import XtQuantTraderCallback
import datetime
class MyXtQuantTraderCallback(XtQuantTraderCallback):
def on_disconnected(self):
"""
连接断开
:return:
"""
print(datetime.datetime.now(), '连接断开回调')
def on_stock_order(self, order):
"""
委托回报推送
:param order: XtOrder对象
:return:
"""
print(datetime.datetime.now(), '委托回调 投资备注', order.order_remark)
def on_stock_trade(self, trade):
"""
成交变动推送
:param trade: XtTrade对象
:return:
"""
print(datetime.datetime.now(), '成交回调', trade.order_remark, f"委托方向(48买 49卖) {trade.offset_flag} 成交价格 {trade.traded_price} 成交数量 {trade.traded_volume}")
def on_order_error(self, order_error):
"""
委托失败推送
:param order_error:XtOrderError 对象
:return:
"""
# print("on order_error callback")
# print(order_error.order_id, order_error.error_id, order_error.error_msg)
print(f"委托报错回调 {order_error.order_remark} {order_error.error_msg}")
def on_cancel_error(self, cancel_error):
"""
撤单失败推送
:param cancel_error: XtCancelError 对象
:return:
"""
print(datetime.datetime.now(), sys._getframe().f_code.co_name)
def on_order_stock_async_response(self, response):
"""
异步下单回报推送
:param response: XtOrderResponse 对象
:return:
"""
print(f"异步委托回调 投资备注: {response.order_remark}")
def on_cancel_order_stock_async_response(self, response):
"""
:param response: XtCancelOrderResponse 对象
:return:
"""
print(datetime.datetime.now(), sys._getframe().f_code.co_name)
def on_account_status(self, status):
"""
:param response: XtAccountStatus 对象
:return:
"""
print(datetime.datetime.now(), sys._getframe().f_code.co_name)
example.db
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strategy_controller.py → main_controller.py
+97 -21
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@@ -2,37 +2,40 @@
import time, sys
sys.stdout.reconfigure(encoding='utf-8') # 设置标准输出编码为UTF-8
import strategy_db
from stock_trade_controller import StockTradeController
import sfgrid_constants
from sfgrid_trade_controller import StockTradeController
from util import getInstrumentName, getStockPosition
from xtquant.xttrader import XtQuantTrader
from xtquant.xttype import StockAccount
from xtquant import xtdata
from xtquant.xttrader import XtQuantTraderCallback
import datetime
class SFGridController:
def __init__(self, account_no: str = '99082560'):
print('=== 数据库模块初始化 ===\n')
class SFGridController(XtQuantTraderCallback):
def __init__(self, account_no: str, miniQmtPath: str):
super().__init__()
xtdata.enable_hello = False
strategy_db.db.connect()
strategy_db.db.create_tables([strategy_db.TradeTarget])
print('=== 三疯网格策略控制器初始化 ===\n')
self.init_instrument_pool()
self.init_trader(r'D:\\Programs\\DTQMT\\userdata_mini')
print('- 数据库模块初始化完成')
self.init_trader(miniQmtPath)
self.init_trade_account(account_no, 'STOCK')
self.grid_price = [11, 10, 9, 8, 7, 6, 5, 4, 3, 2, 1]
self.stock_trade_ctrl = {}
self.init_instrument_pool()
self.seq = None
print('=== 三疯网格策略控制器初始化完成 ===\n')
print('- 三疯交易系统初始化完成')
def startMarketData(self):
print('=== 三疯网格策略 启动市场数据接收 ===\n')
print('- 启动市场数据订阅')
self.seq = xtdata.subscribe_whole_quote(['SH', 'SZ'], callback=self.onDataUpdate)
if self.seq == -1:
print('市场数据订阅失败\n')
print('- 市场数据订阅失败')
else:
print(f'市场数据订阅成功, 订阅号={self.seq}\n')
print(f'- 市场数据订阅成功, 订阅号={self.seq}')
def stopMarketData(self):
print('=== 三疯网格策略 停止市场数据接收 ===\n')
print('- 停止市场数据订阅')
if self.seq is not None and self.seq > 0:
xtdata.unsubscribe_quote(self.seq)
@@ -80,13 +83,14 @@ class SFGridController:
def init_trader(self, path):
session_id = int(time.time())
self.xt_trader = XtQuantTrader(path, session_id)
self.xt_trader.register_callback(self)
self.xt_trader.start()
self.xt_trader.connect()
print(f'交易对象初始化完成, {self.xt_trader.connected}')
print(f'- 交易对象初始化完成, {self.xt_trader.connected}')
def init_trade_account(self, account_id, account_type):
self.account= StockAccount(account_id, account_type)
print(f'交易账号对象初始化完成, {self.account}')
print(f'- 交易账号对象初始化完成, 账号: {self.account.account_id}')
def init_instrument_pool(self):
self.instrument_pool = strategy_db.TradeTarget.select()
@@ -95,20 +99,20 @@ class SFGridController:
stockTradeController = StockTradeController(tradeTarget, self.xt_trader, self.account, tradeTarget.enabled)
self.stock_trade_ctrl[tradeTarget.stock_code] = stockTradeController
print(f'初始化标的池初始化完成 , 共 {len(self.instrument_pool)} 个标的\n')
self.print_pool()
print(f'- 初始化标的池初始化完成 , 共 {len(self.instrument_pool)} 个标的')
def print_pool(self):
print("\n=== 标的池信息 ===")
print("- 标的池信息")
for i in range(len(self.instrument_pool)):
target: strategy_db.TradeTarget = self.instrument_pool[i]
status = "新建" if target.status == 0 else "已建初始仓"
print(f"[Index-{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+1} Price {self.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: {target.current_position} 网格索引: {target.grid_index+1} Price {sfgrid_constants.grid_price[target.grid_index]} 状态: {status} 启用交易线程: {target.enabled}")
def print_position_info(self):
positions = self.xt_trader.query_stock_positions(self.account)
if positions:
print("\n=== 持仓信息 ===")
print("\n- 持仓信息")
for pos in positions:
if pos.m_nVolume <=0:
continue
@@ -145,7 +149,7 @@ class SFGridController:
print("\n当前无委托记录")
# 初始化指定标的交易线程
# 初始化指定标的交易控制器
def start_stock_trade(self, index: int):
tradeTarget = self.instrument_pool[index]
# check existing thread
@@ -159,7 +163,7 @@ class SFGridController:
else:
stockTradeController = StockTradeController(tradeTarget, self.xt_trader, self.account, tradeTarget.enabled)
self.stock_trade_ctrl[tradeTarget.stock_code] = stockTradeController
print(f"创建标的交易控制器 {tradeTarget.stock_code} {getInstrumentName(tradeTarget.stock_code)}\n")
print(f"|- 创建标的交易控制器 {tradeTarget.stock_code} {getInstrumentName(tradeTarget.stock_code)}")
def pause_stock_trade(self, index: int):
@@ -174,3 +178,75 @@ class SFGridController:
else:
print(f"标的交易控制器不存在 {tradeTarget.stock_code} {getInstrumentName(tradeTarget.stock_code)}\n")
# ====== 市场回调方法 -- 以下方法由XtQuantTrader调用 ======
def on_connected(self):
"""
连接成功推送
"""
print(datetime.datetime.now(), '连接成功回调')
def on_disconnected(self):
"""
连接断开
:return:
"""
print(datetime.datetime.now(), '连接断开回调')
def on_stock_order(self, order):
"""
委托回报推送
:param order: XtOrder对象
:return:
"""
print(datetime.datetime.now(), '委托回调 投资备注', order.order_remark)
def on_stock_trade(self, trade):
"""
成交变动推送
:param trade: XtTrade对象
:return:
"""
print(datetime.datetime.now(), '成交回调', trade.order_remark, f"委托方向(48买 49卖) {trade.offset_flag} 成交价格 {trade.traded_price} 成交数量 {trade.traded_volume}")
def on_order_error(self, order_error):
"""
委托失败推送
:param order_error:XtOrderError 对象
:return:
"""
# print("on order_error callback")
# print(order_error.order_id, order_error.error_id, order_error.error_msg)
print(f"委托报错回调 {order_error.order_remark} {order_error.error_msg}")
def on_cancel_error(self, cancel_error):
"""
撤单失败推送
:param cancel_error: XtCancelError 对象
:return:
"""
print(datetime.datetime.now(), sys._getframe().f_code.co_name)
def on_order_stock_async_response(self, response):
"""
异步下单回报推送
:param response: XtOrderResponse 对象
:return:
"""
print(f"异步委托回调 投资备注: {response.order_remark}")
def on_cancel_order_stock_async_response(self, response):
"""
:param response: XtCancelOrderResponse 对象
:return:
"""
print(datetime.datetime.now(), sys._getframe().f_code.co_name)
def on_account_status(self, status):
"""
:param response: XtAccountStatus 对象
:return:
"""
print(datetime.datetime.now(), sys._getframe().f_code.co_name)
sfgrid_constants.py
+4
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@@ -0,0 +1,4 @@
miniQMTPath = r'D:\\Programs\\DTQMT\\userdata_mini' # miniQMT软件的安装路径
grid_price = [11, 10, 9, 8, 7, 6, 5, 4, 3, 2, 1] # 网格价格设置，从高到低
grid_volume = 100 # 每个网格的交易手数
account_no = '99082560' # 交易账号
stock_trade_controller.py → sfgrid_trade_controller.py
+17 -7
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@@ -1,33 +1,43 @@
import threading
import time
from strategy_db import TradeTarget
import strategy_db
from util import getInstrumentName, getStockPosition
from xtquant import xttrader, xtdata
from xtquant import xttrader, xtdata, xtconstant
from xtquant.xttype import StockAccount
import sfgrid_constants
class StockTradeController:
def __init__(self, tradeTarget: TradeTarget, xt_trader: xttrader.XtQuantTrader, account: StockAccount, enabled: bool = False):
super().__init__() #必须调用父类的初始化方法
self.tradeTarget = tradeTarget
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())
print(f"创建标的交易线程 {self.tradeTarget.stock_code} {getInstrumentName(self.tradeTarget.stock_code)} {tradeTarget}\n")
xtdata.subscribe_quote(tradeTarget.stock_code, period='tick', start_time='', end_time='', count=0, callback=self.onDataUpdate)
print(f"|- 创建标的 {tradeTarget.stock_code} {getInstrumentName(tradeTarget.stock_code)} 交易控制器")
def enabledTrading(self, enabled: bool):
self.tradeTarget.enabled = enabled
self.tradeTarget.save()
# 建仓状态检查
if self.tradeTarget.current_position == 0 and self.tradeTarget.status == 0:
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')
def isEnabled(self) -> bool:
return self.tradeTarget.enabled
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")
sfgrid.py → starter.py
+6 -4
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@@ -1,7 +1,9 @@
# coding:utf-8
import sys
import sfgrid_constants
sys.stdout.reconfigure(encoding='utf-8') # 设置标准输出编码为UTF-8
from strategy_controller import SFGridController
from main_controller import SFGridController
ctrl:SFGridController
@@ -37,8 +39,8 @@ def pauseTrade(index:int):
def help():
print("可用命令:")
print(" ===================================================")
print(" startMarketData() - 启动市场数据接收")
print(" stopMarketData() - 停止市场数据接收")
print(" startMarketData() - 启动市场数据接收")
print(" stopMarketData() - 停止市场数据接收")
print(" addTradeTarget(stock_code) - 添加交易标的")
print(" accountInfo() - 打印账户信息")
print(" positionInfo() - 打印持仓信息")
@@ -49,6 +51,6 @@ def help():
print(" ctrl - 访问控制器实例")
if __name__ == '__main__':
ctrl = SFGridController('99082560')
ctrl = SFGridController(sfgrid_constants.account_no, sfgrid_constants.miniQMTPath)
# 交互阻塞
interact()