update
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+1
-1
@@ -1,7 +1,7 @@
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[config]
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miniQMTPath=D:\\Programs\\DTQMT\\userdata_mini
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; miniQMTPath=D:\\Programs\\DTQMT_MN\\userdata_mini ; 测试账号
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grid_price=1.665,1.660,1.655,1.650,1.645,1.640,1.635,1.630,1.625,1.620,1.615
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grid_price=1.665,1.660,1.655,1.650,1.645,1.640,1.635,1.630,1.625,1.620,1.615,1.610
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; grid_price=11.0,10.0,9.0,8.0,7.0,6.0,5.0,4.0,3.0,2.0,1.0
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grid_volume = 200
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account_no = '99082560'
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+101
-93
@@ -61,111 +61,119 @@ class SFGridStrategy:
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return bool(self.tradeTarget.enabled)
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def onDataUpdate(self, data):
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if not self.isEnabled():
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return
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print(f'|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 市价更新-START')
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self.dataUpdateLock.acquire()
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index = self.tradeTarget.grid_index
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price = sfgrid_constants.grid_price[int(index)] # pyright: ignore[reportArgumentType]
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lowPrice = sfgrid_constants.grid_price[int(index) + 1] # pyright: ignore[reportArgumentType]
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highPrice = sfgrid_constants.grid_price[int(index) - 1] # pyright: ignore[reportArgumentType]
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try:
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index = self.tradeTarget.grid_index
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price = sfgrid_constants.grid_price[int(index)] # pyright: ignore[reportArgumentType]
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lowPrice = sfgrid_constants.grid_price[int(index) + 1] if len(sfgrid_constants.grid_price)>int(index) + 1 else -1.0 # pyright: ignore[reportArgumentType]
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highPrice = sfgrid_constants.grid_price[int(index) - 1] # pyright: ignore[reportArgumentType]
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lastPrice = float("{:.3f}".format(data[self.tradeTarget.stock_code]['lastPrice']))
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print(f"标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 市价: {lastPrice}, 网格序号: {index}, 网格价格: {price}, 计划多单价: {lowPrice}, 计划空单价: {highPrice}")
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lastPrice = float("{:.3f}".format(data[self.tradeTarget.stock_code]['lastPrice']))
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print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 市价信息-价格: {lastPrice}, 网格序号: {index}, 网格价格: {price}, 计划多单价: {lowPrice}, 计划空单价: {highPrice}")
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if lastPrice <= lowPrice: # 下下方多单
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orders = queryPendingOrder(str(self.tradeTarget.stock_code), self.getName(), self.xt_trader, self.account)
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if len([order for order in orders if order.order_type == xtconstant.STOCK_BUY and order.price == lowPrice]) > 0:
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# 已存在未交易的多单
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print(f' |- 已存在未交易的多单，不重复下单')
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else:
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print(f' |- 下网格多单')
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self.tradeTarget.current_buy_order_no = self.xt_trader.order_stock_async(
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self.account,
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str(self.tradeTarget.stock_code),
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xtconstant.STOCK_BUY,
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sfgrid_constants.grid_volume,
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xtconstant.FIX_PRICE,
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lowPrice,
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self.getName(), # strategy_name
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self.tradeTarget.stock_code # remark # type: ignore
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)
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self.tradeTarget.grid_index = int(index) + 1 # type: ignore
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self.tradeTarget.current_buy_price = float(lowPrice) # type: ignore
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print(f' |- 下网格多单号 {self.tradeTarget.current_buy_order_no}, 网格基准价 {price}, 下单价 {lowPrice}, 下单量 {sfgrid_constants.grid_volume}')
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elif lastPrice == highPrice: # 下上方空单
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orders = queryPendingOrder(str(self.tradeTarget.stock_code), self.getName(), self.xt_trader, self.account)
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if len([order for order in orders if order.order_type == xtconstant.STOCK_SELL and order.price == highPrice]) > 0:
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# 已存在未交易的空单
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print(f' |- 已存在未交易的空单，不重复下单')
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else:
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print(f' |- 下网格空单')
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self.tradeTarget.current_sell_order_no = self.xt_trader.order_stock_async(
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if lastPrice <= lowPrice: # 下下方多单
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orders = queryPendingOrder(str(self.tradeTarget.stock_code), self.getName(), self.xt_trader, self.account)
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if len([order for order in orders if order.order_type == xtconstant.STOCK_BUY and order.price == lowPrice]) > 0:
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# 已存在未交易的多单
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print(f' |- 已存在未交易的多单，不重复下单')
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else:
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print(f' |- 下网格多单')
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self.tradeTarget.current_buy_order_no = self.xt_trader.order_stock_async(
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self.account,
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str(self.tradeTarget.stock_code),
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xtconstant.STOCK_SELL,
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xtconstant.STOCK_BUY,
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sfgrid_constants.grid_volume,
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xtconstant.FIX_PRICE,
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highPrice,
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self.getName(),
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self.tradeTarget.stock_code) # type: ignore
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self.tradeTarget.grid_index = int(index) - 1 # type: ignore
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self.tradeTarget.current_sell_price = float(highPrice) # type: ignore
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print(f' |- 下网格空单号 {self.tradeTarget.current_sell_order_no}, 网格基准价 {price}, 下单价 {highPrice}, 下单量 {sfgrid_constants.grid_volume}')
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self.tradeTarget.save()
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self.dataUpdateLock.release()
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lowPrice,
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self.getName(), # strategy_name
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self.tradeTarget.stock_code # remark # type: ignore
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)
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self.tradeTarget.current_buy_price = float(lowPrice) # type: ignore
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print(f' |- 下网格多单号 {self.tradeTarget.current_buy_order_no}, 网格基准价 {price}, 下单价 {lowPrice}, 下单量 {sfgrid_constants.grid_volume}')
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elif lastPrice == highPrice: # 下上方空单
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orders = queryPendingOrder(str(self.tradeTarget.stock_code), self.getName(), self.xt_trader, self.account)
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if len([order for order in orders if order.order_type == xtconstant.STOCK_SELL and order.price == highPrice]) > 0:
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# 已存在未交易的空单
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print(f' |- 已存在未交易的空单，不重复下单')
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else:
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print(f' |- 下网格空单')
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self.tradeTarget.current_sell_order_no = self.xt_trader.order_stock_async(
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self.account,
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str(self.tradeTarget.stock_code),
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xtconstant.STOCK_SELL,
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sfgrid_constants.grid_volume,
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xtconstant.FIX_PRICE,
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highPrice,
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self.getName(),
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self.tradeTarget.stock_code) # type: ignore
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self.tradeTarget.current_sell_price = float(highPrice) # type: ignore
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print(f' |- 下网格空单号 {self.tradeTarget.current_sell_order_no}, 网格基准价 {price}, 下单价 {highPrice}, 下单量 {sfgrid_constants.grid_volume}')
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self.tradeTarget.save()
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finally:
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print('onDataUpdate release lock')
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self.dataUpdateLock.release()
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print(f'|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 市价更新-END')
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def onAsyncOrderResponse(self, order:XtOrderResponse):
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print(f' |- 委托下单回调')
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self.dataUpdateLock.acquire()
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stockCode = order.order_remark
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orderSeq = order.seq
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if (self.tradeTarget.status == 1): # 正常交易阶段订单下单成功
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if self.tradeTarget.current_buy_order_no == order.seq:
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self.tradeTarget.current_buy_order_no = order.order_id
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elif self.tradeTarget.current_sell_order_no == order.seq:
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self.tradeTarget.current_sell_order_no = order.order_id
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else:
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print(f' |- 委托回调: 委托单 {order.order_id} {stockCode} {orderSeq} 不在策略监控范围内')
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return
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rc = self.tradeTarget.save()
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try:
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stockCode = order.order_remark
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orderSeq = order.seq
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if (self.tradeTarget.status == 1): # 正常交易阶段订单下单成功
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if self.tradeTarget.current_buy_order_no == order.seq:
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self.tradeTarget.current_buy_order_no = order.order_id
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elif self.tradeTarget.current_sell_order_no == order.seq:
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self.tradeTarget.current_sell_order_no = order.order_id
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else:
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print(f' |- 委托回调: 委托单 {order.order_id} {stockCode} {orderSeq} 不在策略监控范围内')
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rc = self.tradeTarget.save()
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finally:
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print('onAsyncOrderResponse release lock')
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self.dataUpdateLock.release()
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print(f' |- 委托下单成功[{rc}]: 委托单 {order.order_id} {stockCode} {orderSeq} ')
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self.dataUpdateLock.release()
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def onOrderTrade(self, trade:XtTrade):
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print(f' |- 委托成交通知')
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self.dataUpdateLock.acquire()
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if int(self.tradeTarget.status) == 0 and trade.order_id == self.initBuyOrderId : # type: ignore
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# 此时为建仓成交
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self.tradeTarget.current_position = int(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 # type: ignore
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self.tradeTarget.last_trade_price = float(trade.traded_price) # type: ignore
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self.tradeTarget.grid_index = 1 # type: ignore
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self.tradeTarget.status = 1 # type: ignore
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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 ")
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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: {self.tradeTarget.current_position}')
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print(f' 网格坐标: {self.tradeTarget.grid_index}')
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elif trade.order_id == self.tradeTarget.current_sell_order_no and int(self.tradeTarget.status) == 1: # type: ignore
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# 上涨一格：此时空单成交
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self.tradeTarget.current_position = int(self.tradeTarget.current_position) - trade.traded_volume # type: ignore
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self.tradeTarget.last_trade_price = float(trade.traded_price) # type: ignore
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self.tradeTarget.grid_index = int(self.tradeTarget.grid_index) - 1 # type: ignore
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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[int(self.tradeTarget.grid_index)]} Volume: {sfgrid_constants.grid_volume} 手续费: {trade.commission}\n") # type: ignore
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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: {self.tradeTarget.current_position}')
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print(f' 网格坐标: {self.tradeTarget.grid_index}')
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elif trade.order_id == self.tradeTarget.current_buy_order_no and int(self.tradeTarget.status) == 1: # type: ignore
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# 下跌一格：此时多单成交
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self.tradeTarget.current_position = int(self.tradeTarget.current_position) + trade.traded_volume # type: ignore
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self.tradeTarget.last_trade_price = float(trade.traded_price) # type: ignore
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self.tradeTarget.grid_index = int(self.tradeTarget.grid_index) + 1 # type: ignore
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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: {trade.traded_price} 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: {self.tradeTarget.current_position}')
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print(f' 网格坐标: {self.tradeTarget.grid_index}')
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else:
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# 打印订单信息和订单状态
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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}')
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self.dataUpdateLock.release()
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try:
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if int(self.tradeTarget.status) == 0 and trade.order_id == self.initBuyOrderId : # type: ignore
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# 此时为建仓成交
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self.tradeTarget.current_position = int(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 # type: ignore
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self.tradeTarget.last_trade_price = float(trade.traded_price) # type: ignore
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self.tradeTarget.grid_index = 1 # type: ignore
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self.tradeTarget.status = 1 # type: ignore
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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 ")
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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: {self.tradeTarget.current_position}')
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print(f' 网格坐标: {self.tradeTarget.grid_index}')
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elif trade.order_id == self.tradeTarget.current_sell_order_no and int(self.tradeTarget.status) == 1: # type: ignore
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# 上涨一格：此时空单成交
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self.tradeTarget.current_position = int(self.tradeTarget.current_position) - trade.traded_volume # type: ignore
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self.tradeTarget.last_trade_price = float(trade.traded_price) # type: ignore
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self.tradeTarget.grid_index = int(self.tradeTarget.grid_index) - 1 # type: ignore
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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[int(self.tradeTarget.grid_index)]} Volume: {sfgrid_constants.grid_volume} 手续费: {trade.commission}\n") # type: ignore
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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: {self.tradeTarget.current_position}')
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print(f' 网格坐标: {self.tradeTarget.grid_index}')
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elif trade.order_id == self.tradeTarget.current_buy_order_no and int(self.tradeTarget.status) == 1: # type: ignore
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# 下跌一格：此时多单成交
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self.tradeTarget.current_position = int(self.tradeTarget.current_position) + trade.traded_volume # type: ignore
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self.tradeTarget.last_trade_price = float(trade.traded_price) # type: ignore
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self.tradeTarget.grid_index = int(self.tradeTarget.grid_index) + 1 # type: ignore
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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: {trade.traded_price} 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: {self.tradeTarget.current_position}')
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print(f' 网格坐标: {self.tradeTarget.grid_index}')
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else:
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# 打印订单信息和订单状态
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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}')
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finally:
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print('onOrderTrade release lock')
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self.dataUpdateLock.release()
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print(f' |- 委托成交处理完成 {trade.stock_code}')
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