From ef4c1cca325401cdcdd9c6820dcfb51096eaff0a Mon Sep 17 00:00:00 2001 From: "WIN-ALB39P9B6BU\\Docker" Date: Fri, 5 Jun 2026 06:08:27 +0800 Subject: [PATCH] update --- config.py | 17 +- core/eventbus.py | 1 + core/qmt.py | 11 +- core/qmt_dummy.py | 3 +- core/qmt_real.py | 10 +- core/sfgrid/sfgrid_strategy.py | 609 ++++++++++++++++++++++++++------- starter.py | 68 ++-- 7 files changed, 551 insertions(+), 168 deletions(-) diff --git a/config.py b/config.py index 2e28300..d1a4f47 100644 --- a/config.py +++ b/config.py @@ -7,6 +7,7 @@ miniQMTPath = r'D:\\Programs\\DTQMT\\userdata_mini' # miniQMT软件的安装路 account_no:str = '99082560' console_log = True log_level = "INFO" +use_simulated_qmt: bool = False def get_config_path() -> Path: """获取配置文件的正确路径（兼容开发环境和打包后的可执行文件）""" @@ -21,12 +22,14 @@ def get_config_path() -> Path: return base_path / 'config.ini' -def save_config(miniQmtPath:str, account_no:str): +def save_config(miniQmtPath:str, account_no:str, use_simulated_qmt: bool = False): """创建默认配置文件""" config = configparser.ConfigParser() config['config'] = { 'miniQMTPath': miniQmtPath, - 'account_no': account_no + 'account_no': account_no, + 'use_simulated_qmt': str(use_simulated_qmt), + 'log_level': 'INFO' } config_path = get_config_path() with open(config_path, 'w') as configfile: @@ -39,16 +42,20 @@ def exist_config() -> bool: return config_path.exists() def initConfig() -> bool: - global miniQMTPath, account_no, log_level - + global miniQMTPath, account_no, log_level, use_simulated_qmt + # 获取配置文件路径 config_path = get_config_path() - + config = configparser.ConfigParser() config.read(config_path, encoding='utf-8') miniQMTPath = config.get('config','miniQMTPath') account_no = config.get('config','account_no') log_level = config.get('config','log_level') + try: + use_simulated_qmt = config.get('config','use_simulated_qmt').lower() in ('true', '1', 'yes') + except (configparser.NoOptionError, configparser.NoSectionError): + use_simulated_qmt = False # 判断miniQMTPath是否为空，并且目录是否存在 if not miniQMTPath or not Path(miniQMTPath).exists(): diff --git a/core/eventbus.py b/core/eventbus.py index 0a434dd..c19804c 100644 --- a/core/eventbus.py +++ b/core/eventbus.py @@ -4,6 +4,7 @@ EventMarketActiveSwitch = "market_active_switch" # 市场数据状态变更 MarketDataUpdate = "market_data_update" # 市价更新 MarketOrderCreated = "market_order_created" # 市价单创建 MarketOrderTraded = "market_order_traded" # 市价单成交 +MarketOrderError = "market_order_error" # 市价单委托失败 # Pring Log EventPrintLog = "print_log" # 打印日志 diff --git a/core/qmt.py b/core/qmt.py index 2d6db40..8aa8880 100644 --- a/core/qmt.py +++ b/core/qmt.py @@ -1,11 +1,17 @@ """ QMT 模块统一入口 -根据环境自动选择真实 QMT 或模拟器 +根据配置或环境自动选择真实 QMT 或模拟器 """ import sys +import config as _config + def _get_qmt(): - """获取 QMT 模块""" + """获取 QMT 模块（配置优先于平台检测）""" + if _config.use_simulated_qmt: + from core.qmt_dummy import qmtv + return qmtv + if sys.platform == 'win32': try: from core.qmt_real import qmtv as real_qmtv @@ -17,5 +23,6 @@ def _get_qmt(): from core.qmt_dummy import qmtv return qmtv + # 导出单例 qmtv = _get_qmt() \ No newline at end of file diff --git a/core/qmt_dummy.py b/core/qmt_dummy.py index 2e3b9a2..3634738 100644 --- a/core/qmt_dummy.py +++ b/core/qmt_dummy.py @@ -280,7 +280,8 @@ class DummyQmtV: eBus.event_bus.publish(eBus.MarketOrderCreated, response) def on_order_error(self, order_error): - print(f"\n模拟委托报错回调 {order_error}") + print(f"\n模拟委托报错回调: order_id={order_error.order_id}, error_id={order_error.error_id}, error_msg={order_error.error_msg}, remark={order_error.order_remark}") + eBus.event_bus.publish(eBus.MarketOrderError, order_error) def on_account_status(self, status): print(datetime.datetime.now(), status) diff --git a/core/qmt_real.py b/core/qmt_real.py index f569252..893ceda 100644 --- a/core/qmt_real.py +++ b/core/qmt_real.py @@ -163,9 +163,10 @@ class RealQmtV: return -1 try: + full_code = self._to_full_code(stock_code) seq = self.xt_trader.order_stock_async( account=self.account, - stock_code=stock_code, + stock_code=full_code, order_volume=orderVolume, order_type=orderType, price=orderPrice, @@ -306,6 +307,10 @@ class RealQmtV: seq = xtdata.subscribe_whole_quote(['SH', 'SZ'], self._on_market_data) PrintLog(LogLevel.INFO, f'- [市场数据订阅成功-真实] seq={seq}') + # 订阅成功即标记市场活跃，避免策略初始化时因等待首条数据被误判为休市 + self.isMarketActive = True + eBus.event_bus.publish(eBus.EventMarketActiveSwitch, True) + # 启动行情活跃监控线程 self._market_data_thread = threading.Thread( target=self._market_data_watchdog, daemon=True @@ -359,7 +364,8 @@ class RealQmtV: eBus.event_bus.publish(eBus.MarketOrderCreated, response) def on_order_error(self, order_error): - print(f"\n真实委托报错回调 {order_error}") + print(f"\n真实委托报错回调: order_id={order_error.order_id}, error_id={order_error.error_id}, error_msg={order_error.error_msg}, remark={order_error.order_remark}") + eBus.event_bus.publish(eBus.MarketOrderError, order_error) def on_account_status(self, status): print(datetime.datetime.now(), status) diff --git a/core/sfgrid/sfgrid_strategy.py b/core/sfgrid/sfgrid_strategy.py index c0dc327..ea2ce2f 100644 --- a/core/sfgrid/sfgrid_strategy.py +++ b/core/sfgrid/sfgrid_strategy.py @@ -1,3 +1,24 @@ +""" +网格交易策略控制器 + +核心逻辑：在预设的价格网格上低买高卖，每个网格节点同时挂一对买卖单， +成交后自动切换到相邻网格并刷新订单。 + +网格结构示意（以 grid_index 为中心）: + 价格从高到低排列在 getPriceGrid() 列表中 + grid_index=0 是最低价（底部），越大价格越高（顶部） + + 卖出方向（上移）: grid_index - 1 （价格更低，空单） + 买入方向（下移）: grid_index + 1 （价格更高，多单） + + 成交 → 上移一格（卖出成交）: grid_index -= 1，赚取一格差价 + 成交 → 下移一格（买入成交）: grid_index += 1，持仓成本降低 + +状态机: + status=0: 未建仓，需先下建仓单买入初始仓位 + status=1: 已建仓，运行网格交易（上下各挂一单） +""" + from core.logger import LogLevel, PrintLog from core.qmt import qmtv from core.sfgrid import bus_events @@ -7,113 +28,234 @@ from core.eventbus import event_bus from core.constants import OrderTypeBuy, OrderTypeSell, OrderTypeInit from xtquant import xtconstant -from xtquant.xttype import XtOrderResponse, XtTrade +from xtquant.xttype import XtOrderError, XtOrderResponse, XtTrade import threading import core.eventbus as eBus class SFGridStrategy: + """ + 单标的网格交易策略控制器 + + 每个 SFGridTradeTarget 数据库记录对应一个 SFGridStrategy 实例。 + 负责：建仓 → 挂网格单 → 监听成交/错误事件 → 调整网格 → 刷新订单。 + + 订单 remark 格式: "{订单类型},{网格索引},{股票代码}" + 例: "BUY,3,000001" 表示在网格索引 3 处挂买入单，标的 000001 + 例: "INIT,1,000001" 表示建仓单，建仓在网格索引 1 + """ def __init__(self, tradeTarget: model.SFGridTradeTarget): - self.tradeTarget:model.SFGridTradeTarget = tradeTarget + """ + 初始化网格策略控制器 + + 参数: + tradeTarget: 数据库中的交易标记录，包含网格参数、当前状态等 + """ + self.tradeTarget: model.SFGridTradeTarget = tradeTarget + + # 订阅事件总线：监听订单创建、成交、失败三种事件 event_bus.subscribe(eBus.MarketOrderCreated, self.onOrderCreateAsync) event_bus.subscribe(eBus.MarketOrderTraded, self.onOrderTrade) - self.todayUpStopPrice=qmtv.dailyUpStop(tradeTarget.stock_code) # type: ignore - self.todayDownStopPrice=qmtv.dailyDownStop(tradeTarget.stock_code) # type: ignore - PrintLog(LogLevel.INFO, f'|- [DEBUG] 标的{tradeTarget.targetName()} 构造开始: grid_index={tradeTarget.grid_index}, status={tradeTarget.status}, enabled={tradeTarget.enabled}') - self.orderGrid = {} # grid index, order_seq | order_id + event_bus.subscribe(eBus.MarketOrderError, self.onOrderError) + + # 获取当日涨跌停价格（用于价格边界校验） + self.todayUpStopPrice = qmtv.dailyUpStop(tradeTarget.stock_code) # type: ignore + self.todayDownStopPrice = qmtv.dailyDownStop(tradeTarget.stock_code) # type: ignore + + PrintLog(LogLevel.INFO, + f'|- [DEBUG] 标的{tradeTarget.targetName()} 构造开始: ' + f'grid_index={tradeTarget.grid_index}, status={tradeTarget.status}, ' + f'enabled={tradeTarget.enabled}') + + # orderGrid: 网格索引 → 订单编号（seq 或 order_id）的映射 + # seq 是 xtquant 返回的下单序号（下单瞬间），order_id 是交易所返回的正式订单号（异步回调后更新） + self.orderGrid = {} # {grid_index: order_seq | order_id} + + # 加载券商侧已存在的未成交订单，恢复到 orderGrid 中 self.loadExistOrders() - self.enabledTrading(tradeTarget.enabled) # type: ignore + + # 数据更新锁：保护 orderGrid 和 tradeTarget 的并发访问 + # QMT 回调在独立线程中触发，必须在可能触发回调的操作之前创建 self.dataUpdateLock = threading.Lock() - PrintLog(LogLevel.INFO, f'|- [DEBUG] 标的{tradeTarget.targetName()} 构造结束: grid_index={self.tradeTarget.grid_index}') - + + # 根据数据库中的 enabled 字段决定是否启动交易 + self.enabledTrading(tradeTarget.enabled) # type: ignore + + PrintLog(LogLevel.INFO, + f'|- [DEBUG] 标的{tradeTarget.targetName()} 构造结束: ' + f'grid_index={self.tradeTarget.grid_index}') + + # ── 订单加载 ────────────────────────────────────────────── + def loadExistOrders(self): - orders = qmtv.queryPendingOrder(self.tradeTarget.stock_code, self.getName()) # type: ignore + """ + 从券商侧加载该策略的未成交订单，恢复到 orderGrid + + 用于程序重启后恢复状态：数据库中可能没有记录所有挂单， + 通过 queryPendingOrder 从 QMT 获取实际存在的订单。 + """ + orders = qmtv.queryPendingOrder(self.tradeTarget.stock_code, self.getName()) # type: ignore for order in orders: + # 只处理本策略的订单（通过 strategy_name 过滤） if order.strategy_name != self.getName(): continue - gridIdx = int(order.order_remark.split(',')[1]) + parsed = self._parse_remark(order.order_remark) + if parsed is None: + continue + _, gridIdx, _ = parsed self.orderGrid[gridIdx] = order.order_id - PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 初始化: 加载现有订单, grid-{gridIdx} order_id:{self.orderGrid[gridIdx]}') - + PrintLog(LogLevel.INFO, + f'|- 标的[{self.tradeTarget.targetName()}] 初始化: ' + f'加载现有订单, grid-{gridIdx} order_id:{self.orderGrid[gridIdx]}') + def printPendingOrder(self): + """调试用：打印当前所有挂单""" for idx, order_id in self.orderGrid.items(): PrintLog(LogLevel.DEBUG, f" {idx} : {order_id}") + # ── 市场状态切换 ────────────────────────────────────────── + def onMarketActiveSwitch(self, isActive: bool): + """ + 市场数据状态切换回调（由 UI 层调用） + + 当市场数据从不可用变为可用时，如果策略已启用则刷新网格订单。 + """ if isActive and self.tradeTarget.enabled: self.refreshGridOrder() - - def refreshGridOrder(self): # 下网格单 + + # ── 核心：网格下单逻辑 ──────────────────────────────────── + + def refreshGridOrder(self): + """ + 刷新网格挂单 —— 策略的核心下单方法 + + 逻辑分支: + 1. 前置检查: 市场未激活 或 策略未启用 → 跳过不下单 + 2. status=0 (未建仓): 下一个建仓单（买入初始仓位） + 3. status=1 (已建仓): 在 grid_index 上下各挂一单 + - 上方 (sellIdx = grid_index - 1): 挂卖出单（价格更低时卖出获利） + - 下方 (buyIdx = grid_index + 1): 挂买入单（价格更低时补仓） + 每个方向都先检查是否已存在同价位订单，避免重复下单 + """ + # ── 前置检查：市场和策略状态 ── if not qmtv.isMarketActive or not self.tradeTarget.enabled: - PrintLog(LogLevel.INFO, f'|- 市场 {qmtv.isMarketActive}, 策略 {self.getName()} {self.tradeTarget.enabled}, 不下单') + PrintLog(LogLevel.INFO, + f'|- 市场 {qmtv.isMarketActive}, 策略 {self.getName()} ' + f'{self.tradeTarget.enabled}, 不下单') return - currentIdx:int = 0 - - orders = qmtv.queryPendingOrder(self.tradeTarget.stock_code, self.getName()) # type: ignore + # 获取当前该标的所有未成交订单 + orders = qmtv.queryPendingOrder(self.tradeTarget.stock_code, self.getName()) # type: ignore - if self.tradeTarget.status == 0 and len([order for order in orders if order.order_remark == f'{OrderTypeInit},1,{self.tradeTarget.stock_code}']) == 0: # status == 0 表示已配置好交易参数，且不存在执行中的建仓单 + # ── 分支1: status=0 未建仓 → 下建仓单 ── + # 条件: 标的尚未建仓 且 不存在正在执行中的建仓单（防止重复建仓） + init_remark = self._make_remark(OrderTypeInit, 1) + if self.tradeTarget.status == 0 and not any( + o.order_remark == init_remark for o in orders + ): + # 建仓价取价格网格中最高价（grid_index=0 即列表第一个元素） price = self.tradeTarget.getPriceGrid()[0] - remark = f'{OrderTypeInit},1,{self.tradeTarget.stock_code}' tmpOrderSeq = qmtv.orderAsync( - str(self.tradeTarget.stock_code), + str(self.tradeTarget.stock_code), self.tradeTarget.grid_volume, - xtconstant.STOCK_BUY, + xtconstant.STOCK_BUY, # 建仓 = 买入 price, - xtconstant.FIX_PRICE, - remark, # remark # type: ignore - self.getName(), # strategy_name + xtconstant.FIX_PRICE, # 限价单 + init_remark, + self.getName(), ) - self.orderGrid[1] = tmpOrderSeq # seq - PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 初始化: 建仓单，建仓价: {price:.3f}') - elif self.tradeTarget.status == 1: # 下网格单 - currentIdx = self.tradeTarget.grid_index # type: ignore - orders = qmtv.queryPendingOrder(self.tradeTarget.stock_code, self.getName()) # type: ignore + self.orderGrid[1] = tmpOrderSeq # 建仓单固定在网格索引 1 + PrintLog(LogLevel.INFO, + f'|- 标的[{self.tradeTarget.targetName()}] 初始化: ' + f'建仓单，建仓价: {price:.3f}') - # 向上下一单，向下下一单 - if currentIdx > 0: # 可以下空单 - sellIdx = currentIdx - 1 + # ── 分支2: status=1 已建仓 → 下网格买卖单 ── + elif self.tradeTarget.status == 1: + currentIdx = self.tradeTarget.grid_index # type: ignore + + # --- 上方挂卖出单（空单）--- + # 条件: grid_index > 0，即当前位置不是价格最低点，还有向下（卖出）空间 + if currentIdx > 0: + sellIdx = currentIdx - 1 # 向上一个网格 sellPrice = self.tradeTarget.getPriceGrid()[sellIdx] - remark = f'{OrderTypeSell},{sellIdx},{self.tradeTarget.stock_code}' - if len([order for order in orders if order.order_remark == remark]) == 0: # 网格节点没有卖单，下单 - # 不存在策略内同价位订单，下单 - tmpOrderSeq = qmtv.orderAsync( - str(self.tradeTarget.stock_code), - self.tradeTarget.grid_volume, - xtconstant.STOCK_SELL, - sellPrice, - xtconstant.FIX_PRICE, - remark, # remark # type: ignore - self.getName(), # strategy_name - ) - self.orderGrid[sellIdx] = tmpOrderSeq # seq - PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 网格策略: 下空单，价格: {sellPrice:.3f}') - else: - PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 网格策略: 已存在同价位空单，跳过下单') - if currentIdx < len(self.tradeTarget.getPriceGrid()) - 1: # 可以下多单 - print(f'length: {len(self.tradeTarget.getPriceGrid())}, currentIdx = {currentIdx}') - buyIdx = currentIdx + 1 - buyPrice = self.tradeTarget.getPriceGrid()[buyIdx] - remark = f'{OrderTypeBuy},{buyIdx},{self.tradeTarget.stock_code}' - if len([order for order in orders if order.order_type == xtconstant.STOCK_BUY and order.price == buyPrice]) == 0: - tmpOrderSeq = qmtv.orderAsync( - str(self.tradeTarget.stock_code), + sell_remark = self._make_remark(OrderTypeSell, sellIdx) + + # 检查是否已存在同 remark 的卖单（避免重复挂单） + if not any(o.order_remark == sell_remark for o in orders): + # 卖单价格超过涨停价 → 今日无法成交，跳过下单 + if sellPrice > self.todayUpStopPrice: + PrintLog(LogLevel.INFO, + f'|- 标的[{self.tradeTarget.targetName()}] ' + f'上方网格[{sellIdx}]卖价 {sellPrice:.3f} > 涨停价 {self.todayUpStopPrice:.3f}，' + f'今日无法下卖单 (当前网格基准 grid-{currentIdx})') + else: + tmpOrderSeq = qmtv.orderAsync( + str(self.tradeTarget.stock_code), self.tradeTarget.grid_volume, - xtconstant.STOCK_BUY, + xtconstant.STOCK_SELL, # 卖出 + sellPrice, + xtconstant.FIX_PRICE, + sell_remark, + self.getName(), + ) + self.orderGrid[sellIdx] = tmpOrderSeq + PrintLog(LogLevel.INFO, + f'|- 标的[{self.tradeTarget.targetName()}] 网格策略: ' + f'下空单，价格: {sellPrice:.3f}') + else: + PrintLog(LogLevel.INFO, + f'|- 标的[{self.tradeTarget.targetName()}] 网格策略: ' + f'已存在同价位空单，跳过下单') + + # --- 下方挂买入单（多单）--- + # 条件: grid_index < 价格网格长度-1，即当前位置不是价格最高点，还有向上（买入）空间 + if currentIdx < len(self.tradeTarget.getPriceGrid()) - 1: + buyIdx = currentIdx + 1 # 向下一个网格 + buyPrice = self.tradeTarget.getPriceGrid()[buyIdx] + buy_remark = self._make_remark(OrderTypeBuy, buyIdx) + + # 检查是否已存在同 remark 的买单（避免重复挂单） + if not any(o.order_remark == buy_remark for o in orders): + # 买单价格低于跌停价 → 今日无法成交，跳过下单 + if buyPrice < self.todayDownStopPrice: + PrintLog(LogLevel.INFO, + f'|- 标的[{self.tradeTarget.targetName()}] ' + f'下方网格[{buyIdx}]买价 {buyPrice:.3f} < 跌停价 {self.todayDownStopPrice:.3f}，' + f'今日无法下买单 (当前网格基准 grid-{currentIdx})') + else: + tmpOrderSeq = qmtv.orderAsync( + str(self.tradeTarget.stock_code), + self.tradeTarget.grid_volume, + xtconstant.STOCK_BUY, # 买入 buyPrice, xtconstant.FIX_PRICE, - remark, # remark # type: ignore - self.getName(), # strategy_name - ) - self.orderGrid[buyIdx] = tmpOrderSeq # seq - PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 网格策略: 下多单，价格: {buyPrice:.3f}') + buy_remark, + self.getName(), + ) + self.orderGrid[buyIdx] = tmpOrderSeq + PrintLog(LogLevel.INFO, + f'|- 标的[{self.tradeTarget.targetName()}] 网格策略: ' + f'下多单，价格: {buyPrice:.3f}') else: - PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 网格策略: 已存在同价位多单，跳过下单') + PrintLog(LogLevel.INFO, + f'|- 标的[{self.tradeTarget.targetName()}] 网格策略: ' + f'已存在同价位多单，跳过下单') else: - PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 网格策略: 已过下边界，停止多单交易') - - def deleteTradeTarget(self, tradeTarget:model.SFGridTradeTarget): + # grid_index 已到达价格网格上边界，无法再挂买入单（价格已经到顶） + PrintLog(LogLevel.INFO, + f'|- 标的[{self.tradeTarget.targetName()}] 网格策略: ' + f'已过下边界，停止多单交易') + + # ── 标的管理 ────────────────────────────────────────────── + + def deleteTradeTarget(self, tradeTarget: model.SFGridTradeTarget): + """ + 从数据库中删除该交易标的 + + 同时发布 EventTradeTargetDeleted 事件通知 UI 刷新。 + """ PrintLog(LogLevel.INFO, f'|- 标的{tradeTarget.targetName()}信息删除: START') self.dataUpdateLock.acquire() try: @@ -123,108 +265,313 @@ class SFGridStrategy: finally: self.dataUpdateLock.release() + # ── 交易启停控制 ────────────────────────────────────────── + def enabledTrading(self, enabled: bool) -> model.SFGridTradeTarget: - PrintLog(LogLevel.INFO, f" |- [DEBUG] enabledTrading({enabled}) 调用前: grid_index={self.tradeTarget.grid_index}, status={self.tradeTarget.status}") + """ + 启用或停用该标的的网格交易 + + 启用时 (enabled=True): + - status=0: 初始化网格索引后调用 refreshGridOrder 下建仓单 + - status=1: 检查持仓是否满足当前网格位置要求，满足则刷新网格订单 + 不满足则回退 enabled=False（风控保护） + + 停用时 (enabled=False): + - 取消该标的所有未成交订单，停止交易监控 + + 返回: + 更新后的 tradeTarget 对象 + """ + PrintLog(LogLevel.INFO, + f" |- [DEBUG] enabledTrading({enabled}) 调用前: " + f"grid_index={self.tradeTarget.grid_index}, status={self.tradeTarget.status}") + self.tradeTarget.enabled = enabled # type: ignore if enabled: - PrintLog(LogLevel.INFO, f" |- 标的{self.tradeTarget.targetName()}交易启动, 持仓量：{self.tradeTarget.current_position}") - if self.tradeTarget.status == 0: # 未建仓 + # ── 启用交易 ── + PrintLog(LogLevel.INFO, + f" |- 标的{self.tradeTarget.targetName()}交易启动, " + f"持仓量：{self.tradeTarget.current_position}") + + if self.tradeTarget.status == 0: + # 未建仓状态: 初始化网格索引 if self.tradeTarget.grid_index == 0: + # grid_index=0 表示从未初始化过，设为 1（价格网格最高点建仓） self.tradeTarget.grid_index = 1 # pyright: ignore[reportAttributeAccessIssue] - PrintLog(LogLevel.INFO, f" |- 标的{self.tradeTarget.targetName()}初始状态, 设置网格序号 1,") + PrintLog(LogLevel.INFO, + f" |- 标的{self.tradeTarget.targetName()}初始状态, " + f"设置网格序号 1,") else: - PrintLog(LogLevel.INFO, f" |- 标的{self.tradeTarget.targetName()}初始状态, 保留网格序号 {self.tradeTarget.grid_index},") - else: # 已建仓 - # 交易阶段，检查仓位，检查现有订单 - PrintLog(LogLevel.INFO, 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}") - minRequirePosition:int = self.tradeTarget.grid_volume * int(self.tradeTarget.grid_index) # type: ignore + # grid_index 非零，保留之前设置的值（可能是手动修改的） + PrintLog(LogLevel.INFO, + f" |- 标的{self.tradeTarget.targetName()}初始状态, " + f"保留网格序号 {self.tradeTarget.grid_index},") + else: + # 已建仓状态: 检查现有持仓是否满足当前网格位置的仓位需求 + # 最小需求仓位 = 每格股数 × 当前网格索引 + # 例: grid_volume=100, grid_index=3 → 需持股 300 股 + PrintLog(LogLevel.INFO, + f" |- 标的{self.tradeTarget.targetName()}已有仓位或非初始状态 " + f"无需建初始仓 当前仓位: {self.tradeTarget.current_position} " + f"状态: {self.tradeTarget.status}") + + minRequirePosition: int = self.tradeTarget.grid_volume * int(self.tradeTarget.grid_index) # type: ignore + if minRequirePosition <= int(self.tradeTarget.current_position): # type: ignore - PrintLog(LogLevel.INFO, f' |- 仓位检查: 持仓需求充足, (gridVolume*gridIndex)={minRequirePosition}, 当前持仓：{self.tradeTarget.current_position}') + # 持仓充足，可以继续网格交易 + PrintLog(LogLevel.INFO, + f' |- 仓位检查: 持仓需求充足, ' + f'(gridVolume*gridIndex)={minRequirePosition}, ' + f'当前持仓：{self.tradeTarget.current_position}') else: - PrintLog(LogLevel.INFO, 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') + # 持仓不足（可能是之前部分成交或手动减仓），风控：拒绝启用 + PrintLog(LogLevel.INFO, + f' |- 仓位检查: 持仓需求不足, ' + f'(gridVolume*gridIndex)={minRequirePosition}, ' + f'当前持仓：{self.tradeTarget.current_position}, ' + f'交易启动失败') self.tradeTarget.enabled = False # type: ignore + + # 无论 status=0 还是 status=1，最终都调用 refreshGridOrder 下对应的单 self.refreshGridOrder() + else: - orders = qmtv.queryPendingOrder(self.tradeTarget.stock_code, self.getName()) # type: ignore + # ── 停用交易: 取消所有未成交订单 ── + orders = qmtv.queryPendingOrder(self.tradeTarget.stock_code, self.getName()) # type: ignore for order in orders: - qmtv.xttrader.cancel_order_stock_async(qmtv.account, order.order_id) + try: + qmtv.xt_trader.cancel_order_stock_async(qmtv.account, order.order_id) + except AttributeError: + pass # 模拟模式无 xt_trader，跳过撤单 + if len(orders) > 0: PrintLog(LogLevel.INFO, f' |- 取消未成交订单 {len(orders)}') PrintLog(LogLevel.INFO, f" |- 标的{self.tradeTarget.targetName()}交易监控暂停") - + + # 持久化状态到数据库 self.saveProxy() return self.tradeTarget def isEnabled(self) -> bool: - print(f'|- 检查交易状态[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}] - {self.tradeTarget.enabled}') - return bool(self.tradeTarget.enabled) # 修复返回类型问题 + """查询交易是否已启用""" + PrintLog(LogLevel.DEBUG, f'|- 检查交易状态[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}] - {self.tradeTarget.enabled}') + return bool(self.tradeTarget.enabled) - def onOrderCreateAsync(self, response:XtOrderResponse): # 下单成功回调，更新orderID到 self.orderGrid - remark = response.order_remark.split(',') - stockCode = remark[2] # 从remark中获取stockCode - if response.strategy_name != self.getName() or len(remark) < 3 or self.tradeTarget.stock_code != stockCode: + # ── 事件回调: 订单创建 ──────────────────────────────────── + + def onOrderCreateAsync(self, response: XtOrderResponse): + """ + QMT 异步下单成功回调 + + xtquant 下单是异步的：orderAsync() 返回 seq（序号）， + 交易所确认后通过此回调返回正式的 order_id。 + + 此处将 orderGrid 中的临时 seq 替换为正式 order_id。 + """ + parsed = self._filter_event(response.order_remark, response.strategy_name) + if parsed is None: return + _, gridIdx, _ = parsed + self.dataUpdateLock.acquire() try: - gridIdx = remark[1] # 从remark中获取gridIdx - PrintLog(LogLevel.INFO, f"委托创建通知 onOrderCreateAsync[{self.tradeTarget.targetName()}]: {response.order_id}") + PrintLog(LogLevel.INFO, + f"委托创建通知 onOrderCreateAsync[{self.tradeTarget.targetName()}]: " + f"{response.order_id}") + # 将 orderGrid 中的临时 seq 替换为正式 order_id self.orderGrid[gridIdx] = response.order_id - PrintLog(LogLevel.INFO, f"委托创建通知 onOrderCreateAsync 更新 grid-{gridIdx} seq:{response.seq} -> order_id:{response.order_id}") + PrintLog(LogLevel.INFO, + f"委托创建通知 onOrderCreateAsync 更新 grid-{gridIdx} " + f"seq:{response.seq} -> order_id:{response.order_id}") except Exception as e: - PrintLog(LogLevel.ERROR, f"|- 委托创建通知 onOrderCreateAsync[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}]: {response.order_id} - {str(e)}") + PrintLog(LogLevel.ERROR, + f"|- 委托创建通知 onOrderCreateAsync" + f"[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}]: " + f"{response.order_id} - {str(e)}") finally: self.dataUpdateLock.release() - def onOrderTrade(self, trade:XtTrade): # TODO 委托成交通知,处理成交后网格切换 - remark = trade.order_remark.split(',') - if trade.strategy_name != self.getName() or len(remark) < 3 or self.tradeTarget.stock_code != trade.stock_code: + # ── 事件回调: 订单失败 ──────────────────────────────────── + + def onOrderError(self, order_error: XtOrderError): + """ + QMT 委托失败回调 + + 当 xtquant 拒绝订单时触发（如资金不足、代码格式错误、涨跌停限制等）。 + 清理 orderGrid 中对应网格索引的孤立条目，防止后续 refreshGridOrder + 误判"已有同价位订单"而跳过重新下单。 + """ + parsed = self._filter_event(order_error.order_remark, order_error.strategy_name) + if parsed is None: return - PrintLog(LogLevel.INFO, f'|- 委托成交通知[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}-{trade.order_id}] : {trade.order_id}') + _, gridIdx, _ = parsed self.dataUpdateLock.acquire() try: - orderType = trade.order_remark.split(',')[0] - gridIdx = trade.order_remark.split(',')[1] # 从remark中获取gridIdx - type:str = "" - if orderType == OrderTypeInit: - PrintLog(LogLevel.INFO, f'|- 委托成交通知[{self.tradeTarget.targetName()}-{trade.order_id}] - 建仓单成交') - self.tradeTarget.status = 1 # type: ignore - self.tradeTarget.init_price = trade.traded_price # type: ignore - PrintLog(LogLevel.INFO, f'|- [DEBUG] 建仓单成交: grid_index {self.tradeTarget.grid_index} → 1') - self.tradeTarget.grid_index = 1 # type: ignore - type = "建仓单" - else: - PrintLog(LogLevel.INFO, f'|- 委托成交通知[{self.tradeTarget.targetName()}-{trade.order_id}] - 网格单成交') - oriIdx = self.tradeTarget.grid_index - if gridIdx > self.tradeTarget.grid_index: - type = "下移一格" - self.tradeTarget.grid_index +=1 - elif gridIdx < self.tradeTarget.grid_index: - type = "上移一格" - self.tradeTarget.grid_match_count += 1 - self.tradeTarget.grid_total_profit += self.tradeTarget.grid_size * trade.traded_volume - self.tradeTarget.grid_index -= 1 - else: - type = "保持格, 理论上不应该输出" - 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}') - - self.saveProxy() - del self.orderGrid[gridIdx] - PrintLog(LogLevel.INFO, f"|- 成交报告[{self.tradeTarget.targetName()}] : ====================================") - PrintLog(LogLevel.INFO, f"|- 标的[{self.tradeTarget.targetName()}] {type}-单号{trade.order_id}已成交 ") - PrintLog(LogLevel.INFO, f' 成交价: {trade.traded_price} 成交量: {trade.traded_volume}') - PrintLog(LogLevel.INFO, f' 手续费 : {trade.commission:.3f}') - self.refreshGridOrder() # 更新网格订单 + # 从 orderGrid 中移除失败的订单条目，后续 refreshGridOrder 会重新挂单 + if gridIdx in self.orderGrid: + del self.orderGrid[gridIdx] + + PrintLog(LogLevel.ERROR, + f'委托失败[{self.tradeTarget.targetName()}] grid-{gridIdx}: ' + f'order_id={order_error.order_id}, error_id={order_error.error_id}, ' + f'error_msg={order_error.error_msg}') + except Exception as e: + PrintLog(LogLevel.ERROR, + f'委托失败处理异常[{self.tradeTarget.stock_code}]: {str(e)}') finally: self.dataUpdateLock.release() + # ── 事件回调: 订单成交 ──────────────────────────────────── + + def onOrderTrade(self, trade: XtTrade): + """ + QMT 委托成交通知回调 + + 成交后: + 1. 更新网格索引（卖出上移 / 买入下移） + 2. 如果是建仓单成交: status 0→1, 记录建仓价 + 3. 如果是网格单成交: 累计网格匹配次数和总利润 + 4. 从 orderGrid 删除已成交订单 + 5. 持久化状态到数据库 + 6. 调用 refreshGridOrder 挂新的网格单 + + trade.order_remark 格式: "{type},{gridIdx},{stockCode}" + """ + parsed = self._filter_event(trade.order_remark, trade.strategy_name) + if parsed is None: + return + orderType, gridIdx, _ = parsed + + PrintLog(LogLevel.INFO, + f'|- 委托成交通知' + f'[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}-{trade.order_id}] : ' + f'{trade.order_id}') + + self.dataUpdateLock.acquire() + try: + desc: str = "" # 用于日志展示的成交类型描述 + + # ── 分支1: 建仓单成交 ── + if orderType == OrderTypeInit: + PrintLog(LogLevel.INFO, + f'|- 委托成交通知[{self.tradeTarget.targetName()}-{trade.order_id}] ' + f'- 建仓单成交') + # 状态切换: 未建仓(0) → 已建仓(1) + self.tradeTarget.status = 1 # type: ignore + # 记录建仓价格 + self.tradeTarget.init_price = trade.traded_price # type: ignore + PrintLog(LogLevel.INFO, + f'|- [DEBUG] 建仓单成交: ' + f'grid_index {self.tradeTarget.grid_index} → 1') + # 建仓后网格索引固定为 1（价格网格最高点） + self.tradeTarget.grid_index = 1 # type: ignore + desc = "建仓单" + + # ── 分支2: 网格单成交 ── + else: + PrintLog(LogLevel.INFO, + f'|- 委托成交通知[{self.tradeTarget.targetName()}-{trade.order_id}] ' + f'- 网格单成交') + oriIdx = self.tradeTarget.grid_index # 记录原网格位置（用于日志） + + # 判断成交方向: gridIdx > currentIdx → 买入成交（下移） + if gridIdx > self.tradeTarget.grid_index: + desc = "下移一格" + self.tradeTarget.grid_index += 1 + + # 判断成交方向: gridIdx < currentIdx → 卖出成交（上移） + elif gridIdx < self.tradeTarget.grid_index: + desc = "上移一格" + # 累计统计 + self.tradeTarget.grid_match_count += 1 # 网格匹配次数+1 + self.tradeTarget.grid_total_profit += ( + self.tradeTarget.grid_size * trade.traded_volume + ) # 累计利润 = 网格间距 × 成交量 + self.tradeTarget.grid_index -= 1 + + # gridIdx == currentIdx: 理论上不应出现（同一个位置不会挂单给自己） + else: + desc = "保持格, 理论上不应该输出" + + PrintLog(LogLevel.INFO, + f'|- 委托成交通知' + f'[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} - ' + f'原网格位置 {oriIdx}, 现网格位置 {self.tradeTarget.grid_index}') + + # ── 成交后处理 ── + # 1. 持久化状态到数据库 + self.saveProxy() + # 2. 从 orderGrid 中删除已成交的订单（pop 防重复推送 KeyError） + self.orderGrid.pop(gridIdx, None) + + # 3. 打印成交报告 + PrintLog(LogLevel.INFO, + f"|- 成交报告[{self.tradeTarget.targetName()}] : " + f"====================================") + PrintLog(LogLevel.INFO, + f"|- 标的[{self.tradeTarget.targetName()}] " + f"{desc}-单号{trade.order_id}已成交 ") + PrintLog(LogLevel.INFO, + f' 成交价: {trade.traded_price} 成交量: {trade.traded_volume}') + PrintLog(LogLevel.INFO, + f' 手续费 : {trade.commission:.3f}') + + # 4. 刷新网格订单：在新的 grid_index 上下重新挂买卖单 + self.refreshGridOrder() + + finally: + self.dataUpdateLock.release() + + # ── 工具方法 ────────────────────────────────────────────── + + def _make_remark(self, order_tag: str, grid_idx: int) -> str: + """构建订单 remark: '{type},{gridIdx},{stockCode}'""" + return f'{order_tag},{grid_idx},{self.tradeTarget.stock_code}' + + @staticmethod + def _parse_remark(remark: str): + """ + 解析订单 remark → (orderType:str, gridIdx:int, stockCode:str) + 格式不符返回 None + """ + if not remark: + return None + parts = remark.split(',') + if len(parts) < 3: + return None + try: + return parts[0], int(parts[1]), parts[2] + except (ValueError, IndexError): + return None + + def _filter_event(self, remark: str, strategy_name: str): + """ + 事件过滤器：解析 remark 并校验是否属于本策略本标的 + 通过返回 parsed tuple，不通过返回 None + """ + parsed = self._parse_remark(remark) + if parsed is None: + return None + if strategy_name != self.getName() or self.tradeTarget.stock_code != parsed[2]: + return None + return parsed def getName(self): + """返回策略名称，用于在 QMT 中标识订单归属""" return "SFGRID" - + def saveProxy(self): - PrintLog(LogLevel.DEBUG, f'|- [DEBUG] saveProxy: {self.tradeTarget.targetName()} grid_index={self.tradeTarget.grid_index}, status={self.tradeTarget.status}') + """ + 持久化 tradeTarget 到数据库，并发布 UI 更新事件 + + 每次状态变更后调用，确保数据库与内存一致， + 同时通知 UI 刷新表格显示。 + """ + PrintLog(LogLevel.DEBUG, + f'|- [DEBUG] saveProxy: {self.tradeTarget.targetName()} ' + f'grid_index={self.tradeTarget.grid_index}, status={self.tradeTarget.status}') rc = self.tradeTarget.save() event_bus.publish(EventTradeTargetUpdate, self.tradeTarget) - return rc \ No newline at end of file + return rc diff --git a/starter.py b/starter.py index 318e2c6..dd125c0 100644 --- a/starter.py +++ b/starter.py @@ -1,24 +1,24 @@ # coding:utf-8 import os +import sys import tkinter as tk from tkinter import ttk, filedialog, messagebox import configparser -from core.main_ui import MainWindow import config as sdConstants class ConfigWindow: def __init__(self, root): self.root = root self.root.title("系统配置") - self.root.geometry("500x250") + self.root.geometry("500x300") self.root.resizable(False, False) # 居中显示 self.root.withdraw() # 先隐藏窗口 self.root.update_idletasks() x = (self.root.winfo_screenwidth() // 2) - (500 // 2) - y = (self.root.winfo_screenheight() // 2) - (250 // 2) - self.root.geometry(f"500x250+{x}+{y}") + y = (self.root.winfo_screenheight() // 2) - (300 // 2) + self.root.geometry(f"500x300+{x}+{y}") self.root.deiconify() # 再显示窗口 self.miniQMTPath = tk.StringVar() @@ -30,29 +30,38 @@ class ConfigWindow: # 创建主框架 main_frame = ttk.Frame(self.root, padding="20") main_frame.pack(fill=tk.BOTH, expand=True) - + # miniQMT路径配置 path_frame = ttk.Frame(main_frame) path_frame.pack(fill=tk.X, pady=5) - + path_label = ttk.Label(path_frame, text="miniQMT路径:") path_label.pack(side=tk.LEFT) - + path_entry = ttk.Entry(path_frame, textvariable=self.miniQMTPath, width=40) path_entry.pack(side=tk.LEFT, padx=(10, 5), fill=tk.X, expand=True) - + browse_btn = ttk.Button(path_frame, text="浏览", command=self.browse_folder) browse_btn.pack(side=tk.LEFT) - + # 资金账号配置 account_frame = ttk.Frame(main_frame) account_frame.pack(fill=tk.X, pady=5) - + account_label = ttk.Label(account_frame, text="资金账号:") account_label.pack(side=tk.LEFT) - + account_entry = ttk.Entry(account_frame, textvariable=self.account_no, width=40) account_entry.pack(side=tk.LEFT, padx=(10, 0)) + + # 模拟模式复选框 + self.use_simulated = tk.BooleanVar(value=False) + simulated_check = ttk.Checkbutton( + main_frame, + text="使用模拟交易模式（无需真实 QMT 连接）", + variable=self.use_simulated + ) + simulated_check.pack(fill=tk.X, pady=5) # 说明文本 info_label = ttk.Label( @@ -100,6 +109,7 @@ class ConfigWindow: config['config'] = { 'miniQMTPath': mini_qmt_path.replace('\\', '/'), 'account_no': account_number, + 'use_simulated_qmt': str(self.use_simulated.get()), 'log_level': 'INFO' } @@ -118,26 +128,29 @@ def check_and_create_config(): config_window = ConfigWindow(root) root.mainloop() -def ask_mode(): - """询问用户选择模式""" - root = tk.Tk() - root.withdraw() # 隐藏主窗口 - result = messagebox.askyesno( - "选择交易模式", - "是否使用模拟交易模式？\n\n" + - "是 → 模拟交易（无需 miniQMT，可在 macOS/Linux 运行）\n" + - "否 → 真实交易（需要 Windows + miniQMT）" - ) - root.destroy() - return result +def resolve_simulated_mode() -> bool: + """确定是否使用模拟模式（CLI > 配置文件 > 默认 real）""" + if '--simulated' in sys.argv: + print('[配置] 命令行指定: 模拟交易模式') + return True + + if sdConstants.exist_config(): + sdConstants.initConfig() + if sdConstants.use_simulated_qmt: + print('[配置] 配置文件指定: 模拟交易模式') + return True + + print('[配置] 默认: 真实交易模式') + return False + def initialize_system(): """初始化系统""" + simulated = resolve_simulated_mode() + sdConstants.use_simulated_qmt = simulated try: - # 询问用户选择模式 - if ask_mode(): - # 模拟模式 + if simulated: from core.qmt_dummy import qmtv as selected_qmtv print("[模拟模式] 使用模拟交易器") sdConstants.miniQMTPath = '/dummy/path' @@ -145,16 +158,17 @@ def initialize_system(): sdConstants.log_level = 'INFO' selected_qmtv.init_qmtv() selected_qmtv.connect() + from core.main_ui import MainWindow window = MainWindow(sdConstants.log_level) window.run() else: - # 真实 QMT 模式 from core.qmt_real import qmtv as selected_qmtv while True: if sdConstants.exist_config() and sdConstants.initConfig(): selected_qmtv.init_qmtv() connected = selected_qmtv.connect() if connected: + from core.main_ui import MainWindow window = MainWindow(sdConstants.log_level) window.run() break