调整下单逻辑，避免超过涨跌停价位无法下单的情况。

2025-11-04 11:52:14 +08:00
parent 9429898077
commit c6d253b293
7 changed files with 109 additions and 54 deletions
@@ -52,6 +52,7 @@ class SFGridController(XtQuantTraderCallback):

        self.seq = None
        print('- [成功]三疯交易系统初始化完成')
+        self.startMarketData()


    def startMarketData(self):
@@ -1,9 +1,12 @@
+from re import L
+from core import util
 from core.strategy_db import TradeTarget
 from core.util import is_trading_time, queryPendingOrder

 from xtquant import xttrader, xtconstant
 from xtquant.xttype import StockAccount, XtOrder, XtOrderResponse, XtTrade
 import sfgrid_constants
+import threading


 class StockTradeController:
@@ -13,6 +16,7 @@ class StockTradeController:
        self.xt_trader: xttrader.XtQuantTrader = xt_trader
        self.account:StockAccount = account
        self.enabledTrading(enabled)
+        self.dataUpdateLock = threading.Lock()
    
    def getName(self):
        return "SFGRID"
@@ -44,18 +48,68 @@ class StockTradeController:
                    print(f'  |- 仓位检查: 持仓需求充足, (gridVolume*gridIndex)={minRequirePosition}, 当前持仓：{self.tradeTarget.current_position}')
                else:
                    print(f'  |- 仓位检查: 持仓需求不足, (gridVolume*gridIndex)={minRequirePosition}, 当前持仓：{self.tradeTarget.current_position}')
-                if is_trading_time():
-                    self.two_way_order(True, True)


    def isEnabled(self) -> bool:
        return bool(self.tradeTarget.enabled)

    def onDataUpdate(self, data):
-        if self.isEnabled():
-            print(f"\n标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 行情数据更新 {data[self.tradeTarget.stock_code]}")
+        if not self.isEnabled():
+            return
+        self.dataUpdateLock.acquire()
+        index =  self.tradeTarget.grid_index
+        price = sfgrid_constants.grid_price[int(index)]  # pyright: ignore[reportArgumentType]
+        lowPrice = sfgrid_constants.grid_price[int(index) + 1]  # pyright: ignore[reportArgumentType]
+        highPrice = sfgrid_constants.grid_price[int(index) - 1]  # pyright: ignore[reportArgumentType]
+
+        lastPrice = float("{:.3f}".format(data[self.tradeTarget.stock_code]['lastPrice']))     
+        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}")
+
+        if lastPrice <= lowPrice: # 下下方多单
+            orders = queryPendingOrder(str(self.tradeTarget.stock_code), self.getName(), self.xt_trader, self.account)
+            if len([order for order in orders if order.order_type == xtconstant.STOCK_BUY and order.price == lowPrice]) > 0:
+                # 已存在未交易的多单
+                print(f'  |- 已存在未交易的多单，不重复下单')
+            else:
+                print(f'  |- 下网格多单')
+                self.tradeTarget.current_buy_order_no = self.xt_trader.order_stock_async(
+                        self.account, 
+                        str(self.tradeTarget.stock_code), 
+                        xtconstant.STOCK_BUY, 
+                        sfgrid_constants.grid_volume,
+                        xtconstant.FIX_PRICE,
+                        lowPrice,
+                        self.getName(), # strategy_name
+                        self.tradeTarget.stock_code # remark  # type: ignore
+                        )
+                self.tradeTarget.grid_index = int(index) + 1  # type: ignore
+                self.tradeTarget.current_buy_price = float(lowPrice)  # type: ignore
+                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}')
+        elif lastPrice == highPrice: # 下上方空单
+            orders = queryPendingOrder(str(self.tradeTarget.stock_code), self.getName(), self.xt_trader, self.account)
+            if len([order for order in orders if order.order_type == xtconstant.STOCK_SELL and order.price == highPrice]) > 0:
+                # 已存在未交易的空单
+                print(f'  |- 已存在未交易的空单，不重复下单')
+            else:
+                print(f'  |- 下网格空单')
+                self.tradeTarget.current_sell_order_no = self.xt_trader.order_stock_async(
+                            self.account, 
+                            str(self.tradeTarget.stock_code), 
+                            xtconstant.STOCK_SELL, 
+                            sfgrid_constants.grid_volume,
+                            xtconstant.FIX_PRICE,
+                            highPrice, 
+                            self.getName(), 
+                            self.tradeTarget.stock_code)  # type: ignore
+                self.tradeTarget.grid_index = int(index) - 1  # type: ignore
+                self.tradeTarget.current_sell_price = float(highPrice)  # type: ignore
+                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}')
+        self.tradeTarget.save()
+        self.dataUpdateLock.release()
+        
    
    def onAsyncOrderResponse(self, order:XtOrderResponse):
+        self.dataUpdateLock.acquire()
        stockCode = order.order_remark
        orderSeq = order.seq
        if self.tradeTarget.current_buy_order_no == order.seq:
@@ -65,12 +119,12 @@ class StockTradeController:
        else:
            print(f'  |- 委托回调: 委托单 {order.order_id} {stockCode} {orderSeq} 不在策略监控范围内')
            return
-        
        rc = self.tradeTarget.save()
        print(f'  |- 委托回调: 委托单 {order.order_id} {stockCode} {orderSeq} 处理结果: {rc}')
+        self.dataUpdateLock.release()

    def onOrderTrade(self, trade:XtTrade):
-        indicator = False
+        self.dataUpdateLock.acquire()
        if int(self.tradeTarget.status) == 0 and trade.order_id == self.initBuyOrderId :  # type: ignore
            # 此时为建仓成交
            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
@@ -82,7 +136,6 @@ class StockTradeController:
            print(f'   成交价: {trade.traded_price} 成交量: {trade.traded_volume}')
            print(f'   当前持仓: {self.tradeTarget.current_position}')
            print(f'   网格坐标: {self.tradeTarget.grid_index}')
-            indicator = True # 双向下单
        elif trade.order_id == self.tradeTarget.current_sell_order_no and int(self.tradeTarget.status) == 1:  # type: ignore
            # 上涨一格：此时空单成交
            self.tradeTarget.current_position = int(self.tradeTarget.current_position) - trade.traded_volume  # type: ignore
@@ -95,7 +148,6 @@ class StockTradeController:
            print(f'   网格坐标: {self.tradeTarget.grid_index}')
            cancelResult = self.xt_trader.cancel_order_stock_async(self.account, self.tradeTarget.current_buy_order_no)
            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
        elif trade.order_id == self.tradeTarget.current_buy_order_no and int(self.tradeTarget.status) == 1:  # type: ignore
            # 下跌一格：此时多单成交
            self.tradeTarget.current_position = int(self.tradeTarget.current_position) + trade.traded_volume  # type: ignore
@@ -108,14 +160,11 @@ class StockTradeController:
            print(f'   网格坐标: {self.tradeTarget.grid_index}')
            cancelResult = self.xt_trader.cancel_order_stock_async(self.account, self.tradeTarget.current_sell_order_no)
            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
        else:
            # 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() and is_trading_time():
-            print(f'goto two way order')
-            self.two_way_order(True, True) # 双向下单
+        
+        self.dataUpdateLock.release()


    # Description: 新标的，建基础仓
@@ -132,37 +181,37 @@ class StockTradeController:


    # Description: 网格跳格，双向下单
-    def two_way_order(self, buy, sell):
-        print(f'|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 网格跳格，双向下单')
-        print(f'  |- 网格坐标: {self.tradeTarget.grid_index}, buy:{buy}, sell:{sell}')
-        if buy and int(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  # type: ignore
-            currentPrice = sfgrid_constants.grid_price[int(self.tradeTarget.grid_index)]  # type: ignore
-            buyPrice = sfgrid_constants.grid_price[int(self.tradeTarget.grid_index)+1]  # type: ignore
-            self.tradeTarget.current_buy_order_no = self.xt_trader.order_stock_async(
-                        self.account, 
-                        str(self.tradeTarget.stock_code), 
-                        xtconstant.STOCK_BUY, 
-                        sfgrid_constants.grid_volume,
-                        xtconstant.FIX_PRICE,
-                        buyPrice,
-                        self.getName(), # strategy_name
-                        self.tradeTarget.stock_code # remark  # type: ignore
-                        )
-            self.tradeTarget.current_buy_price = float(buyPrice)  # type: ignore
-            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}')
+    # def two_way_order(self, buy, sell):
+    #     print(f'|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 网格跳格，双向下单')
+    #     print(f'  |- 网格坐标: {self.tradeTarget.grid_index}, buy:{buy}, sell:{sell}')
+    #     if buy and int(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  # type: ignore
+    #         currentPrice = sfgrid_constants.grid_price[int(self.tradeTarget.grid_index)]  # type: ignore
+    #         buyPrice = sfgrid_constants.grid_price[int(self.tradeTarget.grid_index)+1]  # type: ignore
+    #         self.tradeTarget.current_buy_order_no = self.xt_trader.order_stock_async(
+    #                     self.account, 
+    #                     str(self.tradeTarget.stock_code), 
+    #                     xtconstant.STOCK_BUY, 
+    #                     sfgrid_constants.grid_volume,
+    #                     xtconstant.FIX_PRICE,
+    #                     buyPrice,
+    #                     self.getName(), # strategy_name
+    #                     self.tradeTarget.stock_code # remark  # type: ignore
+    #                     )
+    #         self.tradeTarget.current_buy_price = float(buyPrice)  # type: ignore
+    #         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}')
        
-        if sell and int(self.tradeTarget.grid_index)-1 >=0: # 价格没有超过网格上边界，可以下空单  # type: ignore
-            currentPrice = sfgrid_constants.grid_price[int(self.tradeTarget.grid_index)]  # type: ignore
-            sellPrice = sfgrid_constants.grid_price[int(self.tradeTarget.grid_index)-1]  # type: ignore
-            self.tradeTarget.current_sell_order_no = self.xt_trader.order_stock_async(
-                        self.account, 
-                        str(self.tradeTarget.stock_code), 
-                        xtconstant.STOCK_SELL, 
-                        sfgrid_constants.grid_volume,
-                        xtconstant.FIX_PRICE,
-                        sellPrice, 
-                        self.getName(), 
-                        self.tradeTarget.stock_code)  # type: ignore
-            self.tradeTarget.current_sell_price = float(sellPrice)  # type: ignore
-            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()
+    #     if sell and int(self.tradeTarget.grid_index)-1 >=0: # 价格没有超过网格上边界，可以下空单  # type: ignore
+    #         currentPrice = sfgrid_constants.grid_price[int(self.tradeTarget.grid_index)]  # type: ignore
+    #         sellPrice = sfgrid_constants.grid_price[int(self.tradeTarget.grid_index)-1]  # type: ignore
+    #         self.tradeTarget.current_sell_order_no = self.xt_trader.order_stock_async(
+    #                     self.account, 
+    #                     str(self.tradeTarget.stock_code), 
+    #                     xtconstant.STOCK_SELL, 
+    #                     sfgrid_constants.grid_volume,
+    #                     xtconstant.FIX_PRICE,
+    #                     sellPrice, 
+    #                     self.getName(), 
+    #                     self.tradeTarget.stock_code)  # type: ignore
+    #         self.tradeTarget.current_sell_price = float(sellPrice)  # type: ignore
+    #         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()
@@ -1,7 +1,10 @@
+from typing import Any
+
+
 import sfgrid_constants
 import xtquant.xtconstant as xtconstant
 from xtquant import xtdata, xttrader
-from xtquant.xttype import StockAccount, XtPosition
+from xtquant.xttype import StockAccount, XtOrder, XtPosition

 import datetime
 def is_trading_time():
@@ -58,7 +61,7 @@ def getStockPosition(stock_code: str, xt_trader: xttrader.XtQuantTrader, account
 def minPosition(gridIndex:int):
    return sfgrid_constants.grid_volume * gridIndex

-def queryPendingOrder(stock_code:str, tag: str, xt_trader: xttrader.XtQuantTrader, account: StockAccount):
+def queryPendingOrder(stock_code:str, tag: str, xt_trader: xttrader.XtQuantTrader, account: StockAccount) -> list[XtOrder]:  
    if stock_code == None or tag == None:
        return []
    orders = xt_trader.query_stock_orders(account)