OK, 差不多了

2025-10-30 16:50:54 +08:00
parent a6c2f62fff
commit db08437418
8 changed files with 508 additions and 26 deletions
@@ -0,0 +1,158 @@
+from core.strategy_db import TradeTarget
+from core.util import getStockPosition, queryPendingOrder
+
+from xtquant import xttrader, xtconstant
+from xtquant.xttype import StockAccount, XtOrder, XtTrade
+import sfgrid_constants
+
+
+class StockTradeController:
+
+    def __init__(self, tradeTarget: TradeTarget, xt_trader: xttrader.XtQuantTrader, account: StockAccount, enabled: bool = False):
+        self.tradeTarget = tradeTarget
+        self.xt_trader: xttrader.XtQuantTrader = xt_trader
+        self.account:StockAccount = account
+        self.enabledTrading(self.tradeTarget.enabled)
+    
+    def getName(self):
+        return "SFGRID"
+
+
+    def enabledTrading(self, enabled: bool):
+        self.tradeTarget.enabled = enabled
+        self.tradeTarget.save()
+        pendingOrders = queryPendingOrder(self.tradeTarget.stock_code,self.getName(), self.xt_trader,self.account)
+        
+        if len(pendingOrders) > 0:
+            print(f'  |- 已存在{len(pendingOrders)}订单，全部取消，按需要重下。')
+            for order in pendingOrders:
+                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}")
+            # 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...")
+                self.tradeTarget.grid_index = 1
+                self.tradeTarget.save()
+                self.init_stock_position()
+                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}')
+                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)
+
+
+
+    def isEnabled(self) -> bool:
+        return 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]}")
+    
+    def onOrderUpdate(self, order:XtOrder):
+        pass
+
+    def onOrderTrade(self, trade:XtTrade):
+        indicator = False
+        if self.tradeTarget.status == 0 and trade.order_id == self.initBuyOrderId :
+            print(f'{trade.order_id} == {self.initBuyOrderId} {self.tradeTarget.status}')
+            # 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.last_trade_price = trade.traded_price
+            self.tradeTarget.grid_index = 1
+            self.tradeTarget.status = 1
+            self.tradeTarget.save()
+            print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 建初始仓订单ID: {self.initBuyOrderId}已成交 \n")
+            print(f'   成交价: {trade.traded_price} 成交量: {trade.traded_volume}\n')
+            print(f'   当前持仓: {self.tradeTarget.current_position}\n')
+            print(f'   网格坐标: {self.tradeTarget.grid_index}\n')
+            indicator = True # 双向下单
+        elif trade.order_id == self.tradeTarget.current_sell_order_no and self.tradeTarget.status == 1:
+            print(f'{trade.order_id} == {self.tradeTarget.current_sell_order_no} {self.tradeTarget.status}')
+            # 上涨一格：此时空单成交
+            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[self.tradeTarget.grid_index]} Volume: {sfgrid_constants.grid_volume} 手续费: {trade.commission}\n")
+            self.tradeTarget.current_position = -sfgrid_constants.grid_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} 上涨 卖单已成交 订单ID: {self.tradeTarget.current_sell_order_no} Price: {sfgrid_constants.grid_price[self.tradeTarget.grid_index]} Volume: {sfgrid_constants.grid_volume} 手续费: {trade.commission}\n")
+            print(f'   成交价: {trade.traded_price} 成交量: {trade.traded_volume}\n')
+            print(f'   当前持仓: {self.tradeTarget.current_position}\n')
+            print(f'   网格坐标: {self.tradeTarget.grid_index}\n')
+            cancelResult = self.xt_trader.cancel_order_stock(self.account, self.tradeTarget.current_sell_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 self.tradeTarget.status == 1:
+            print(f'{trade.order_id} == {self.tradeTarget.current_buy_order_no} {self.tradeTarget.status}')
+            # 下跌一格：此时多单成交
+            self.tradeTarget.current_position = +sfgrid_constants.grid_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}\n")
+            print(f'   成交价: {trade.traded_price} 成交量: {trade.traded_volume}\n')
+            print(f'   当前持仓: {self.tradeTarget.current_position}\n')
+            print(f'   网格坐标: {self.tradeTarget.grid_index}\n')
+            cancelResult = self.xt_trader.cancel_order_stock(self.account, self.tradeTarget.current_buy_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():
+            self.two_way_order(True, True) # 双向下单
+
+
+    # Description: 新标的，建基础仓
+    def init_stock_position(self):
+        self.initBuyOrderId = self.xt_trader.order_stock(
+            self.account, 
+            self.tradeTarget.stock_code, 
+            xtconstant.STOCK_BUY, 
+            sfgrid_constants.grid_volume,
+            xtconstant.FIX_PRICE,
+            sfgrid_constants.grid_price[self.tradeTarget.grid_index], 
+            'sf_grid', f'{self.tradeTarget.stock_code}_init_buy')
+        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}\n")
+
+
+    # Description: 网格跳格，双向下单
+    def two_way_order(self, buy, sell):
+        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]
+            self.tradeTarget.current_buy_order_no = self.xt_trader.order_stock(
+                        self.account, 
+                        self.tradeTarget.stock_code, 
+                        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}')
+            self.tradeTarget.current_buy_price = buyPrice
+            self.tradeTarget.save()
+            print(f'  |- 下网格多单 OrderId {self.tradeTarget.current_buy_order_no}, 下单价 {buyPrice}, 下单量 {sfgrid_constants.grid_volume}')
+        
+        if sell and self.tradeTarget.grid_index-1 >=0: # 价格没有超过网格上边界，可以下空单
+            currentPrice = sfgrid_constants.grid_price[self.tradeTarget.grid_index]
+            sellPrice = sfgrid_constants.grid_price[self.tradeTarget.grid_index-1]
+            self.tradeTarget.current_sell_order_no = self.xt_trader.order_stock(
+                        self.account, 
+                        self.tradeTarget.stock_code, 
+                        xtconstant.STOCK_SELL, 
+                        sfgrid_constants.grid_volume,
+                        xtconstant.FIX_PRICE,
+                        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}, 下单价 {sellPrice}, 下单量 {sfgrid_constants.grid_volume}')
+        self.tradeTarget.save()