模型，评分，修复网格策略市场状态监听
This commit is contained in:
@@ -1,3 +1,7 @@
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# 删除交易标的事件
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EventTradeTargetUpdate = "trade_target_update"
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EventTradeTargetDeleted = "trade_target_deleted"
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# 评分系统事件
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EventScoringCompleted = "scoring_completed" # 评分完成, data: {'date', 'count'}
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EventSyncProgress = "sync_progress" # 同步进度, data: {'source', 'status', 'stats'}
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@@ -58,6 +58,7 @@ class SFGridStrategy:
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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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event_bus.subscribe(eBus.MarketOrderError, self.onOrderError)
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event_bus.subscribe(eBus.EventMarketActiveSwitch, self.onMarketActiveSwitch)
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# 获取当日涨跌停价格（用于价格边界校验）
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self.todayUpStopPrice = qmtv.dailyUpStop(tradeTarget.stock_code) # type: ignore
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@@ -139,93 +140,97 @@ class SFGridStrategy:
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每个方向都先检查是否已存在同价位订单，避免重复下单
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"""
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# ── 前置检查：市场和策略状态 ──
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if not qmtv.isMarketActive or not self.tradeTarget.enabled:
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PrintLog(LogLevel.INFO,
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f'|- 市场 {qmtv.isMarketActive}, 策略 {self.getName()} '
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f'{self.tradeTarget.enabled}, 不下单')
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return
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# 获取当前该标的所有未成交订单
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orders = qmtv.queryPendingOrder(self.tradeTarget.stock_code, self.getName()) # type: ignore
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# ── 统一网格逻辑 ──
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# grid_index=0 空仓: 只挂买单 @ grid[1]，无持仓可卖
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# grid_index>0 有仓: 上方挂卖单 @ grid[idx-1]，下方挂买单 @ grid[idx+1]
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if self.tradeTarget.grid_index >= 0:
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currentIdx = self.tradeTarget.grid_index # type: ignore
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# --- 上方挂卖出单（空单）---
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# 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
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if currentIdx > 0:
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sellIdx = currentIdx - 1 # 向上一个网格
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sellPrice = self.tradeTarget.getPriceGrid()[sellIdx]
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sell_remark = self._make_remark(OrderTypeSell, sellIdx)
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# 检查是否已存在同 remark 的卖单（避免重复挂单）
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if not any(o.order_remark == sell_remark for o in orders):
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# 卖单价格超过涨停价 → 今日无法成交，跳过下单
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if sellPrice > self.todayUpStopPrice:
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PrintLog(LogLevel.INFO,
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f'|- 标的[{self.tradeTarget.targetName()}] '
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f'上方网格[{sellIdx}]卖价 {sellPrice:.3f} > 涨停价 {self.todayUpStopPrice:.3f}，'
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f'今日无法下卖单 (当前网格基准 grid-{currentIdx})')
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else:
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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, # 卖出
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sellPrice,
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xtconstant.FIX_PRICE,
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sell_remark,
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self.getName(),
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)
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self.orderGrid[sellIdx] = tmpOrderSeq
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PrintLog(LogLevel.INFO,
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f'|- 标的[{self.tradeTarget.targetName()}] 网格策略: '
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f'下空单，价格: {sellPrice:.3f}')
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else:
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PrintLog(LogLevel.INFO,
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f'|- 标的[{self.tradeTarget.targetName()}] 网格策略: '
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f'已存在同价位空单，跳过下单')
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# --- 下方挂买入单（多单）---
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# 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
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if currentIdx < len(self.tradeTarget.getPriceGrid()) - 1:
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buyIdx = currentIdx + 1 # 向下一个网格
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buyPrice = self.tradeTarget.getPriceGrid()[buyIdx]
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buy_remark = self._make_remark(OrderTypeBuy, buyIdx)
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# 检查是否已存在同 remark 的买单（避免重复挂单）
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if not any(o.order_remark == buy_remark for o in orders):
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# 买单价格低于跌停价 → 今日无法成交，跳过下单
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if buyPrice < self.todayDownStopPrice:
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PrintLog(LogLevel.INFO,
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f'|- 标的[{self.tradeTarget.targetName()}] '
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f'下方网格[{buyIdx}]买价 {buyPrice:.3f} < 跌停价 {self.todayDownStopPrice:.3f}，'
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f'今日无法下买单 (当前网格基准 grid-{currentIdx})')
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else:
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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, # 买入
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buyPrice,
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xtconstant.FIX_PRICE,
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buy_remark,
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self.getName(),
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)
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self.orderGrid[buyIdx] = tmpOrderSeq
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PrintLog(LogLevel.INFO,
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f'|- 标的[{self.tradeTarget.targetName()}] 网格策略: '
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f'下多单，价格: {buyPrice:.3f}')
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else:
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PrintLog(LogLevel.INFO,
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f'|- 标的[{self.tradeTarget.targetName()}] 网格策略: '
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f'已存在同价位多单，跳过下单')
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else:
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# 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）
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# 注意：这里用 dataUpdateLock 包裹检查和下单操作，防止竞态条件：
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# 主线程在检查 isMarketActive 时，另一线程的行情回调可能同时将其设为 True，
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# 导致部分标的通过检查下单，部分被拦截（表现为一票有单、一票无单）
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with self.dataUpdateLock:
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if not qmtv.isMarketActive or not self.tradeTarget.enabled:
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PrintLog(LogLevel.INFO,
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f'|- 标的[{self.tradeTarget.targetName()}] 网格策略: '
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f'已过下边界，停止多单交易')
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f'|- 市场 {qmtv.isMarketActive}, 策略 {self.getName()} '
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f'{self.tradeTarget.enabled}, 不下单')
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return
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# 获取当前该标的所有未成交订单
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orders = qmtv.queryPendingOrder(self.tradeTarget.stock_code, self.getName()) # type: ignore
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# ── 统一网格逻辑 ──
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# grid_index=0 空仓: 只挂买单 @ grid[1]，无持仓可卖
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# grid_index>0 有仓: 上方挂卖单 @ grid[idx-1]，下方挂买单 @ grid[idx+1]
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if self.tradeTarget.grid_index >= 0:
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currentIdx = self.tradeTarget.grid_index # type: ignore
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# --- 上方挂卖出单（空单）---
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# 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
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if currentIdx > 0:
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sellIdx = currentIdx - 1 # 向上一个网格
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sellPrice = self.tradeTarget.getPriceGrid()[sellIdx]
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sell_remark = self._make_remark(OrderTypeSell, sellIdx)
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# 检查是否已存在同 remark 的卖单（避免重复挂单）
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if not any(o.order_remark == sell_remark for o in orders):
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# 卖单价格超过涨停价 → 今日无法成交，跳过下单
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if sellPrice > self.todayUpStopPrice:
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PrintLog(LogLevel.INFO,
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f'|- 标的[{self.tradeTarget.targetName()}] '
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f'上方网格[{sellIdx}]卖价 {sellPrice:.3f} > 涨停价 {self.todayUpStopPrice:.3f}，'
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f'今日无法下卖单 (当前网格基准 grid-{currentIdx})')
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else:
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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, # 卖出
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sellPrice,
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xtconstant.FIX_PRICE,
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sell_remark,
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self.getName(),
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)
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self.orderGrid[sellIdx] = tmpOrderSeq
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PrintLog(LogLevel.INFO,
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f'|- 标的[{self.tradeTarget.targetName()}] 网格策略: '
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f'下空单，价格: {sellPrice:.3f}')
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else:
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PrintLog(LogLevel.INFO,
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f'|- 标的[{self.tradeTarget.targetName()}] 网格策略: '
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f'已存在同价位空单，跳过下单')
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# --- 下方挂买入单（多单）---
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# 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
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if currentIdx < len(self.tradeTarget.getPriceGrid()) - 1:
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buyIdx = currentIdx + 1 # 向下一个网格
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buyPrice = self.tradeTarget.getPriceGrid()[buyIdx]
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buy_remark = self._make_remark(OrderTypeBuy, buyIdx)
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# 检查是否已存在同 remark 的买单（避免重复挂单）
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if not any(o.order_remark == buy_remark for o in orders):
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# 买单价格低于跌停价 → 今日无法成交，跳过下单
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if buyPrice < self.todayDownStopPrice:
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PrintLog(LogLevel.INFO,
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f'|- 标的[{self.tradeTarget.targetName()}] '
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f'下方网格[{buyIdx}]买价 {buyPrice:.3f} < 跌停价 {self.todayDownStopPrice:.3f}，'
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f'今日无法下买单 (当前网格基准 grid-{currentIdx})')
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else:
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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, # 买入
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buyPrice,
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xtconstant.FIX_PRICE,
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buy_remark,
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self.getName(),
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)
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self.orderGrid[buyIdx] = tmpOrderSeq
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PrintLog(LogLevel.INFO,
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f'|- 标的[{self.tradeTarget.targetName()}] 网格策略: '
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f'下多单，价格: {buyPrice:.3f}')
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else:
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PrintLog(LogLevel.INFO,
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f'|- 标的[{self.tradeTarget.targetName()}] 网格策略: '
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f'已存在同价位多单，跳过下单')
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else:
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# 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）
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PrintLog(LogLevel.INFO,
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f'|- 标的[{self.tradeTarget.targetName()}] 网格策略: '
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f'已过下边界，停止多单交易')
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# ── 标的管理 ──────────────────────────────────────────────
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