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调整下单逻辑，避免超过涨跌停价位无法下单的情况。

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GDP\solonot
2025-11-04 11:52:14 +08:00
parent 9429898077
commit c6d253b293
7 changed files with 109 additions and 54 deletions
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config.ini
+4 -1
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@@ -1,6 +1,9 @@
[config]
miniQMTPath=D:\\Programs\\DTQMT\\userdata_mini
; miniQMTPath=D:\\Programs\\DTQMT_MN\\userdata_mini ; 测试账号
grid_price=1.665,1.660,1.655,1.650,1.645,1.640,1.635,1.630,1.625,1.620,1.615
grid_volume = 100
; grid_price=11.0,10.0,9.0,8.0,7.0,6.0,5.0,4.0,3.0,2.0,1.0
grid_volume = 200
account_no = '99082560'
; account_no = '89009170' ; 测试账号
max_enabled_targets = 10
core/main_controller.py
+1
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@@ -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):
core/sfgrid_trade_controller.py
+94 -45
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@@ -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()
core/util.py
+5 -2
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@@ -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)
example.db
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sfgrid_constants.py
+4 -4
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@@ -2,13 +2,13 @@ from typing import List
import configparser
# miniQMTPath = r'D:\\Programs\\DTQMT_MN\\userdata_mini' # miniQMT软件的安装路径
# miniQMTPath = r'D:\\Programs\\DTQMT\\userdata_mini' # miniQMT软件的安装路径
miniQMTPath = r'D:\\Programs\\DTQMT\\userdata_mini' # miniQMT软件的安装路径
# miniQMTPath = ''
# grid_price = [11, 10, 9, 8, 7, 6, 5, 4, 3, 2, 1] # 网格价格设置，从高到低
grid_price:List[float] = [] # 网格价格设置，从高到低
grid_volume:int = 100 # 每个网格的交易手数
# account_no:str = '99082560'
# account_no = '89009170' # 交易账号
account_no:str = '99082560'
# account_no:str = '89009170' # 交易账号
max_enabled_targets:int = 10
def initConfig():
@@ -21,7 +21,7 @@ def initConfig():
grid_price = [float(item) for item in str_list]
print(f'网格设置：{grid_price}')
grid_volume = config.getint('config','grid_volume')
account_no = config.get('config','account_no')
# account_no = config.get('config','account_no')
print(f'账号: {account_no}')
max_enabled_targets = config.getint('config','max_enabled_targets')
print(f'最大启用目标数: {max_enabled_targets}')
starter.py
-1
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@@ -43,7 +43,6 @@ def pauseTrade(index:int):
def stockTradeCtrl(index: int):
return ctrl.stock_trade_ctrl[ctrl.instrument_pool[index].stock_code]
def help():
print("基础指令:")
print(" ===================================================")