测试与逻辑修正

core/sfgrid_trade_controller.py

@@ -1,9 +1,10 @@
 from core.strategy_db import TradeTarget
-from core.util import getStockPosition, queryPendingOrder
+from core.util import getStockPosition, is_trading_time, queryPendingOrder
 
 from xtquant import xttrader, xtconstant
 from xtquant.xttype import StockAccount, XtOrder, XtTrade
 import sfgrid_constants
+import datetime
 
 
 class StockTradeController:
@@ -29,7 +30,7 @@ class StockTradeController:
                 self.xt_trader.cancel_order_stock(self.account, order.order_id)
 
         if enabled:
-            print(f"  |- 标的交易启动 {self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}")
+            print(f"  |- 标的交易启动 {self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}, position {self.tradeTarget.current_position}")
             # 建仓状态检查
             if self.tradeTarget.current_position == 0 and self.tradeTarget.status == 0:
                 print(f"  |- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 建初始仓 买单准备中...")
@@ -39,15 +40,13 @@ class StockTradeController:
                 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}")
             else:
                 # 交易阶段，检查仓位，检查现有订单
-                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: {getStockPosition(self.tradeTarget.stock_code, self.xt_trader, self.account)} 状态: {self.tradeTarget.status}")
-                currentPosition = getStockPosition(self.tradeTarget.stock_code, self.xt_trader, self.account)
-                if sfgrid_constants.grid_volume * TradeTarget.current_position >= currentPosition:
-                    print(f'  |- 仓位检查: 持仓需求充足, (gridVolume*gridIndex)={sfgrid_constants.grid_volume * self.tradeTarget.current_position}, 当前持仓：{currentPosition}')
+                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}")
+                if sfgrid_constants.grid_volume * self.tradeTarget.grid_index <= self.tradeTarget.current_position:
+                    print(f'  |- 仓位检查: 持仓需求充足, (gridVolume*gridIndex)={sfgrid_constants.grid_volume * self.tradeTarget.grid_index}, 当前持仓：{self.tradeTarget.current_position}')
                 else:
-                    print(f'  |- 仓位检查: 持仓需求不足, (gridVolume*gridIndex)={sfgrid_constants.grid_volume * self.tradeTarget.current_position}, 当前持仓：{currentPosition}')
-                    
-                self.two_way_order(True, True)
-
+                    print(f'  |- 仓位检查: 持仓需求不足, (gridVolume*gridIndex)={sfgrid_constants.grid_volume * self.tradeTarget.grid_index}, 当前持仓：{self.tradeTarget.current_position}')
+                if is_trading_time():
+                    self.two_way_order(True, True)
 
 
     def isEnabled(self) -> bool:
@@ -64,7 +63,7 @@ class StockTradeController:
         indicator = False
         if self.tradeTarget.status == 0 and trade.order_id == self.initBuyOrderId :
             # 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 += trade.traded_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
@@ -76,7 +75,7 @@ class StockTradeController:
             indicator = True # 双向下单
         elif trade.order_id == self.tradeTarget.current_sell_order_no and self.tradeTarget.status == 1:
             # 上涨一格：此时空单成交
-            self.tradeTarget.current_position = -sfgrid_constants.grid_volume
+            self.tradeTarget.current_position -= trade.traded_volume
             self.tradeTarget.last_trade_price = trade.traded_price
             self.tradeTarget.grid_index -= 1
             self.tradeTarget.save()
@@ -89,11 +88,11 @@ class StockTradeController:
             indicator = True # 双向下单
         elif trade.order_id == self.tradeTarget.current_buy_order_no 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.current_position += trade.traded_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.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"|- 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: {trade.traded_price} Volume: {sfgrid_constants.grid_volume} 手续费: {trade.commission}")
             print(f'   成交价: {trade.traded_price} 成交量: {trade.traded_volume}')
             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}')
@@ -104,7 +103,8 @@ class StockTradeController:
             # 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}')
 
-        if indicator and self.isEnabled():
+        if indicator and self.isEnabled() and is_trading_time():
+            print(f'goto two way order')
             self.two_way_order(True, True) # 双向下单
 
 
@@ -123,8 +123,7 @@ class StockTradeController:
 
     # Description: 网格跳格，双向下单
     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
             currentPrice = sfgrid_constants.grid_price[self.tradeTarget.grid_index]
             buyPrice = sfgrid_constants.grid_price[self.tradeTarget.grid_index+1]
@@ -134,8 +133,10 @@ class StockTradeController:
                         xtconstant.STOCK_BUY, 
                         sfgrid_constants.grid_volume,
                         xtconstant.FIX_PRICE,
-                        buyPrice, 
-                        self.getName(), f'{self.tradeTarget.stock_code}_grid_down_{self.tradeTarget.grid_index}_{currentPrice}_{buyPrice}')
+                        buyPrice,
+                        self.getName(), # strategy_name
+                        f'{self.tradeTarget.stock_code}_grid_down_{self.tradeTarget.grid_index}_{currentPrice}_{buyPrice}' # remark
+                        )
             self.tradeTarget.current_buy_price = buyPrice
             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}')
         
@@ -151,5 +152,5 @@ class StockTradeController:
                         sellPrice, 
                         self.getName(), f'{self.tradeTarget.stock_code}_grid_up_{self.tradeTarget.grid_index}_{currentPrice}_{sellPrice}')
             self.tradeTarget.current_sell_price = sellPrice
-            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}')
+            print(f'  |- 下网格空单 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()