update
This commit is contained in:
@@ -34,13 +34,13 @@ class SFGridTradeTarget(BaseModel):
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if self.priceGrid is None or len(self.priceGrid) == 0:
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for i in range(self.grid_upper_count): # type: ignore
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upperPrice = self.grid_start_price + (self.grid_upper_count - i) * self.grid_size
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self.priceGrid.append(upperPrice)
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self.priceGrid.append(round(upperPrice, 3))
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self.priceGrid.append(self.grid_start_price)
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for i in range(self.grid_lower_count): # type: ignore 5
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lowerPrice = self.grid_start_price - (i + 1) * self.grid_size
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self.priceGrid.append(lowerPrice)
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self.priceGrid.append(round(lowerPrice, 3))
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return self.priceGrid
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+90
-134
@@ -1,11 +1,11 @@
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from core import util
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from core.logger import LogLevel, PrintLog
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from core.qmt import qmtv
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from core.sfgrid import bus_events
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from core.sfgrid.bus_events import EventTradeTargetUpdate
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import core.sfgrid.model as model
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from core import constants
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from core.eventbus import event_bus
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from core.constants import OrderTypeBuy, OrderTypeInit, OrderTypeSell
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from core.constants import OrderTypeBuy, OrderTypeSell, OrderTypeInit
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from core.util import is_trading_time
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from xtquant import xtconstant
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@@ -18,26 +18,69 @@ class SFGridStrategy:
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def __init__(self, tradeTarget: model.SFGridTradeTarget):
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self.tradeTarget:model.SFGridTradeTarget = tradeTarget
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self.enabledTrading(tradeTarget.enabled) # type: ignore
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event_bus.subscribe(eBus.MarketOrderCreated, self.onOrderCreateAsync)
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event_bus.subscribe(eBus.MarketOrderTraded, self.onOrderTrade)
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self.todayUpStopPrice=qmtv.dailyUpStop(tradeTarget.stock_code) # type: ignore
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self.todayDownStopPrice=qmtv.dailyDownStop(tradeTarget.stock_code) # type: ignore
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self.refreshPlanPrice()
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PrintLog(LogLevel.INFO, f'|- 标的{tradeTarget.targetName()}初始化: 停涨价 {self.todayUpStopPrice}, 停跌价 {self.todayDownStopPrice}')
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self.orderGrid = {} # grid index, order_seq | order_id
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self.enabledTrading(tradeTarget.enabled) # type: ignore
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self.dataUpdateLock = threading.Lock()
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def onMarketActiveSwitch(self, isActive: bool):
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if isActive and self.tradeTarget.enabled:
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self.refreshGridOrder()
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def updateTradeTarget(self, inTradeTarget:model.SFGridTradeTarget):
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# PrintLog(LogLevel.INFO, f'|- 标的{self.tradeTarget.targetName()}信息更新: START')
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# self.dataUpdateLock.acquire()
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# PrintLog(LogLevel.INFO ,f'|- 标的{self.tradeTarget.targetName()}信息更新: LOCKED')
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# try:
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self.tradeTarget = inTradeTarget
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self.refreshPlanPrice()
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# finally:
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# PrintLog(LogLevel.INFO ,f'|- 标的{self.tradeTarget.targetName()}信息更新: UNLOCKED')
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# self.dataUpdateLock.release()
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# self.refreshPlanPrice()
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# PrintLog(LogLevel.INFO ,f'|- 标的{self.tradeTarget.targetName()}信息更新: END')
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def refreshGridOrder(self): # 下网格单
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if not qmtv.isMarketActive:
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return
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currentIdx:int = 0
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if self.tradeTarget.status == 0:
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price = self.tradeTarget.getPriceGrid()[0]
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tmpOrderSeq = qmtv.orderAsync(
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str(self.tradeTarget.stock_code),
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self.tradeTarget.grid_volume,
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xtconstant.STOCK_BUY,
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price,
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xtconstant.FIX_PRICE,
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OrderTypeInit, # remark # type: ignore
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self.getName(), # strategy_name
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)
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self.orderGrid[xtconstant.STOCK_BUY] = tmpOrderSeq # seq
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PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 初始化: 建仓单，建仓价: {price:.3f}')
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else:
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currentIdx = self.tradeTarget.grid_index # type: ignore
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# 向上下一单，向下下一单
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if currentIdx > 0: # 可以下空单
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sellPrice = self.tradeTarget.getPriceGrid()[currentIdx - 1]
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tmpOrderSeq = qmtv.orderAsync(
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str(self.tradeTarget.stock_code),
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self.tradeTarget.grid_volume,
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xtconstant.STOCK_SELL,
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sellPrice,
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xtconstant.FIX_PRICE,
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OrderTypeSell, # remark # type: ignore
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self.getName(), # strategy_name
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)
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self.orderGrid[xtconstant.STOCK_SELL] = tmpOrderSeq # seq
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PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 初始化: 下空单，价格: {sellPrice:.3f}')
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if currentIdx < len(self.tradeTarget.getPriceGrid()) - 1: # 可以下多单
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buyPrice = self.tradeTarget.getPriceGrid()[currentIdx + 1]
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tmpOrderSeq = qmtv.orderAsync(
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str(self.tradeTarget.stock_code),
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self.tradeTarget.grid_volume,
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xtconstant.STOCK_BUY,
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buyPrice,
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xtconstant.FIX_PRICE,
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OrderTypeBuy, # remark # type: ignore
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self.getName(), # strategy_name
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)
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self.orderGrid[xtconstant.STOCK_BUY] = tmpOrderSeq # seq
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PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 初始化: 下多单，价格: {buyPrice:.3f}')
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def deleteTradeTarget(self, tradeTarget:model.SFGridTradeTarget):
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PrintLog(LogLevel.INFO, f'|- 标的{tradeTarget.targetName()}信息删除: START')
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@@ -57,7 +100,6 @@ class SFGridStrategy:
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if self.tradeTarget.status == 0: # 未建仓
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print(f" |- 标的{self.tradeTarget.targetName()}初始状态, 设置网格序号 1,")
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self.tradeTarget.grid_index = 1 # pyright: ignore[reportAttributeAccessIssue]
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self.refreshPlanPrice()
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else: # 已建仓
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# 交易阶段，检查仓位，检查现有订单
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print(f" |- 标的{self.tradeTarget.targetName()}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}")
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@@ -67,6 +109,7 @@ class SFGridStrategy:
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else:
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print(f' |- 仓位检查: 持仓需求不足, (gridVolume*gridIndex)={minRequirePosition}, 当前持仓：{self.tradeTarget.current_position}, 交易启动失败')
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self.tradeTarget.enabled = False # type: ignore
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self.refreshGridOrder()
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else:
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orders = qmtv.queryPendingOrder(self.tradeTarget.stock_code, self.getName()) # type: ignore
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for order in orders:
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@@ -81,116 +124,51 @@ class SFGridStrategy:
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print(f'|- 检查交易状态[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}] - {self.tradeTarget.enabled}')
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return bool(self.tradeTarget.enabled) # 修复返回类型问题
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def onDataUpdate(self, inTradeTarget:model.SFGridTradeTarget):
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if not is_trading_time():
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return
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if not self.tradeTarget.enabled: # 策略中止，自动交易暂停
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return
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self.dataUpdateLock.acquire()
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try:
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lastPrice = inTradeTarget.market_price
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orderPrice:float = -1
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orderType = -1
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index: int = self.tradeTarget.grid_index # pyright: ignore[reportAssignmentType]
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orderRemark= ""
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if self.tradeTarget.enabled and self.tradeTarget.status == 0 and lastPrice <= inTradeTarget.getPriceGrid()[1]: # 已启用，未建仓，准备建仓单信息
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PrintLog(LogLevel.INFO, f'|- 市价更新[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}] - 准备建仓单信息')
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orderPrice = inTradeTarget.getPriceGrid()[1]
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orderType = xtconstant.STOCK_BUY
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orderRemark = OrderTypeInit
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elif self.tradeTarget.enabled and self.tradeTarget.status == 1 and self.tradeTarget.plan_buy_price > 0 and lastPrice <= self.tradeTarget.plan_buy_price:
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# 已启用，已建仓，准备网格多单信息
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PrintLog(LogLevel.INFO, f'|- 市价更新[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}] - 准备网格多单信息')
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orderPrice = self.tradeTarget.plan_buy_price # type: ignore
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orderType = xtconstant.STOCK_BUY
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orderRemark = OrderTypeBuy
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elif self.tradeTarget.enabled and self.tradeTarget.status == 1 and self.tradeTarget.plan_buy_price > 0 and lastPrice >= self.tradeTarget.plan_sell_price:
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# 已启用，已建仓，准备网格空单信息
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PrintLog(LogLevel.INFO, f'|- 市价更新[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}] - 准备网格空单信息')
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orderPrice = self.tradeTarget.plan_sell_price # type: ignore
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orderType = xtconstant.STOCK_SELL
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orderRemark = OrderTypeSell
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# status = "未建初始仓" if self.tradeTarget.status == 0 else "已建初始仓"
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PrintLog(LogLevel.INFO, f'|- 市价更新[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}] - 当前持仓 : \t{self.tradeTarget.current_position}')
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PrintLog(LogLevel.INFO, f'|- 市价更新[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}] - 当前价格 : \t{lastPrice}')
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PrintLog(LogLevel.INFO, f'|- 市价更新[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}] - 计划卖出价 : \t{self.tradeTarget.plan_sell_price:.3f}')
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PrintLog(LogLevel.INFO, f'|- 市价更新[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}] - 网格价格({index}): \t{self.tradeTarget.getPriceGrid()[index]:.3f}')
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PrintLog(LogLevel.INFO, f'|- 市价更新[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}] - 计划买入价 : \t{self.tradeTarget.plan_buy_price:.3f}')
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if orderType != -1:
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orders = qmtv.queryPendingOrder(str(self.tradeTarget.stock_code), self.getName())
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if len([order for order in orders if order.order_type == orderType and order.price == orderPrice]) > 0:
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# 已存在未交易的多单
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PrintLog(LogLevel.INFO, f'|- 市价更新[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}] - 已存在未交易的{"多单" if orderType == xtconstant.STOCK_BUY else "空单"}，不重复下单')
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else:
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PrintLog(LogLevel.INFO, f'|- 市价更新[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}] - 下网格{"多单" if orderType == xtconstant.STOCK_BUY else "空单"}')
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self.tradeTarget.current_order_no = qmtv.orderAsync(
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str(self.tradeTarget.stock_code),
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self.tradeTarget.grid_volume,
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orderType,
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orderPrice,
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xtconstant.FIX_PRICE,
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orderRemark, # remark # type: ignore
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self.getName(), # strategy_name
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)
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orderTypeName = ""
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if orderRemark == OrderTypeBuy:
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orderTypeName = "多单"
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elif orderRemark == OrderTypeSell:
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orderTypeName = "空单"
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elif orderRemark == OrderTypeInit:
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orderTypeName = "建仓单"
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gridBasePrice = -1 if index>=len(inTradeTarget.getPriceGrid()) or index < 0 else inTradeTarget.getPriceGrid()[int(index)] # pyright: ignore[reportArgumentType]
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PrintLog(LogLevel.INFO, f'|- {orderTypeName}委托[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}] - 单号 {self.tradeTarget.current_order_no}, 网格基准价 {gridBasePrice:.3f}, 下单价 {orderPrice:.3f}, 下单量 {self.tradeTarget.grid_volume}')
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finally:
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self.saveProxy()
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self.dataUpdateLock.release()
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def onOrderCreateAsync(self, response:XtOrderResponse):
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def onOrderCreateAsync(self, response:XtOrderResponse): # 下单成功回调，更新orderID到 self.orderGrid
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self.dataUpdateLock.acquire()
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try:
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if response.strategy_name == self.getName() and response.seq == self.tradeTarget.current_order_no:
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print(f"委托创建通知 onOrderCreateAsync[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}]: {response.order_id}")
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self.tradeTarget.current_order_no = response.order_id
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self.saveProxy()
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for gridIdx, orderNo in self.orderGrid.items():
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if orderNo == response.seq:
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self.orderGrid[gridIdx] = response.order_id
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break
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except Exception as e:
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PrintLog(LogLevel.ERROR, f"|- 委托创建通知 onOrderCreateAsync[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}]: {response.order_id} - {str(e)}")
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finally:
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self.dataUpdateLock.release()
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self.dataUpdateLock.release()
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def onOrderTrade(self, trade:XtTrade):
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def onOrderTrade(self, trade:XtTrade): # TODO 委托成交通知,处理成交后网格切换
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if trade.strategy_name != self.getName():
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return
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PrintLog(LogLevel.INFO, f'|- 委托成交通知[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}-{trade.order_id}]:START, {trade.order_id}')
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PrintLog(LogLevel.INFO, f'|- 委托成交通知[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}-{trade.order_id}] : {trade.order_id}')
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self.dataUpdateLock.acquire()
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try:
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type:str = ""
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if self.tradeTarget.status == 0 and trade.order_id == self.tradeTarget.current_order_no and trade.order_remark == constants.OrderTypeInit:
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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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if trade.order_remark == OrderTypeInit:
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PrintLog(LogLevel.INFO, f'|- 委托成交通知[{self.tradeTarget.targetName()}-{trade.order_id}] - 建仓单成交')
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self.tradeTarget.status = 1 # type: ignore
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type = "建初始仓"
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elif trade.order_id == self.tradeTarget.current_order_no and self.tradeTarget.status == 1 and trade.order_type == xtconstant.STOCK_SELL: # 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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type = "上涨一格"
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elif trade.order_id == self.tradeTarget.current_order_no and self.tradeTarget.status == 1 and trade.order_type == xtconstant.STOCK_BUY: # 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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type = "下跌一格"
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self.tradeTarget.grid_index = 1 # type: ignore
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self.saveProxy()
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type = "建仓单"
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else:
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type = "其他异常状态"
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self.refreshPlanPrice()
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PrintLog(LogLevel.INFO, f'|- 委托成交通知[{self.tradeTarget.targetName()}-{trade.order_id}] - 网格单成交')
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oriIdx = self.tradeTarget.grid_index
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for idx, tmpOrderNo in self.orderGrid.items():
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if tmpOrderNo == trade.order_id:
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if idx > self.tradeTarget.grid_index:
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type = "下移一格"
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elif idx < self.tradeTarget.grid_index:
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type = "上移一格"
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elif idx == self.tradeTarget.grid_index:
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type = "保持格, 理论上不应该输出"
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self.tradeTarget.grid_index = idx
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break
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PrintLog(LogLevel.INFO, f'|- 委托成交通知[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} - 原网格位置 {oriIdx}, 现网格位置 {self.tradeTarget.grid_index}')
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self.saveProxy()
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self.printTradeReport(trade, type)
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self.refreshGridOrder() # 更新网格订单
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finally:
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self.dataUpdateLock.release()
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@@ -201,28 +179,6 @@ class SFGridStrategy:
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PrintLog(LogLevel.INFO, f' 手续费 : {trade.commission:.3f}')
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def refreshPlanPrice(self):
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buyIdx = 0
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sellIdx= 0
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if self.tradeTarget.status == 0: # 未建仓
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self.tradeTarget.grid_index = 0 # type: ignore
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buyIdx = 1
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sellIdx = 0
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else:
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buyIdx: int = self.tradeTarget.grid_index + 1 # pyright: ignore[reportAssignmentType]
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sellIdx: int = self.tradeTarget.grid_index - 1
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if self.tradeTarget.grid_index > 0: # 可以下空单
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self.tradeTarget.plan_sell_price = float(self.tradeTarget.getPriceGrid()[sellIdx]) # pyright: ignore[reportAttributeAccessIssue]
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else:
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self.tradeTarget.plan_sell_price = -1.0 # type: ignore
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if self.tradeTarget.grid_index < len(self.tradeTarget.getPriceGrid()) - 1:
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self.tradeTarget.plan_buy_price = float(self.tradeTarget.getPriceGrid()[buyIdx]) # pyright: ignore[reportAttributeAccessIssue]
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else:
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self.tradeTarget.plan_buy_price = -1.0 # pyright: ignore[reportAttributeAccessIssue]
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event_bus.publish(EventTradeTargetUpdate, self.tradeTarget)
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def getName(self):
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return "SFGRID"
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@@ -61,7 +61,7 @@ class TradeTargetUI(ttk.Frame):
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PrintLog(LogLevel.INFO, f'|- 市价更新[{tradeTarget.targetName()}] - {timeStr.strftime("%H:%M:%S")} 市场数据更新======================={id}')
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lastPrice = float("{:.3f}".format(tickData['lastPrice']))
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tradeTarget.market_price = lastPrice # type: ignore
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self.updateTradeTarget(tradeTarget, False, True) # 市价更新
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self.updateTradeTarget(tradeTarget, False) # 市价更新
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else:
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# 非目标交易，发布市场数据更新事件用于市场监控
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lastPrice = tickData['lastPrice']
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@@ -90,7 +90,7 @@ class TradeTargetUI(ttk.Frame):
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# priceChange 用于控制是否对更新价格数据，进行交易判断
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def updateTradeTarget(self, target: SFGridTradeTarget, save: bool = True, priceChange:bool = False):
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def updateTradeTarget(self, target: SFGridTradeTarget, save: bool = True):
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if save:
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target.save()
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@@ -102,10 +102,6 @@ class TradeTargetUI(ttk.Frame):
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if id not in self.strategy_ctrl:
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self.stockCodeIdMap[target.stock_code] = id # type: ignore
|
||||
self.strategy_ctrl[id] = SFGridStrategy(target) # pyright: ignore[reportArgumentType]
|
||||
else:
|
||||
self.strategy_ctrl[id].updateTradeTarget(target)
|
||||
if priceChange:
|
||||
self.strategy_ctrl[id].onDataUpdate(target)
|
||||
|
||||
# UI CREATE
|
||||
def create_ui(self):
|
||||
|
||||
Reference in New Issue
Block a user