框架调整

callbacks.py

@@ -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)

main_controller.py

@@ -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:
+class SFGridController(XtQuantTraderCallback):
-    def __init__(self, account_no: str = '99082560'):
+    def __init__(self, account_no: str, miniQmtPath: str):
-        print('=== 数据库模块初始化 ===\n')
+        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')
+        print('- 数据库模块初始化完成')
-        self.init_instrument_pool()
+        self.init_trader(miniQmtPath)
-        self.init_trader(r'D:\\Programs\\DTQMT\\userdata_mini')
         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

@@ -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

sfgrid_trade_controller.py

@@ -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")
+        print(f"|- 创建标的 {tradeTarget.stock_code} {getInstrumentName(tradeTarget.stock_code)} 交易控制器")
-        xtdata.subscribe_quote(tradeTarget.stock_code, period='tick', start_time='', end_time='', count=0, callback=self.onDataUpdate)
     
     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")

starter.py

@@ -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
 
@@ -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()