from re import L from core import util from core.strategy_db import TradeTarget from core.util import queryPendingOrder from xtquant import xttrader, xtconstant from xtquant.xttype import StockAccount, XtOrderResponse, XtTrade import sfgrid_constants import threading class SFGridStrategy: def __init__(self, tradeTarget: TradeTarget, xt_trader: xttrader.XtQuantTrader, account: StockAccount, enabled: bool = False): self.tradeTarget:TradeTarget = tradeTarget self.xt_trader: xttrader.XtQuantTrader = xt_trader self.account:StockAccount = account self.enabledTrading(enabled) self.dataUpdateLock = threading.Lock() def getName(self): return "SFGRID" def enabledTrading(self, enabled: bool): self.tradeTarget.enabled = enabled # type: ignore self.tradeTarget.save() pendingOrders = queryPendingOrder(str(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{self.tradeTarget.targetName()}交易启动, position {self.tradeTarget.current_position}") # 建仓状态检查 if int(self.tradeTarget.current_position) == 0 and int(self.tradeTarget.status) == 0: # type: ignore self.tradeTarget.grid_index = 1 # type: ignore self.tradeTarget.save() self.initBuyOrderId = self.xt_trader.order_stock_async( self.account, str(self.tradeTarget.stock_code), xtconstant.STOCK_BUY, sfgrid_constants.grid_volume, xtconstant.FIX_PRICE, sfgrid_constants.grid_price[int(self.tradeTarget.grid_index)], # type: ignore '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 InitBuyOrderSeq: {self.initBuyOrderId} Price: {sfgrid_constants.grid_price[int(self.tradeTarget.grid_index)]} Volume: {sfgrid_constants.grid_volume}\n") # type: ignore else: # 交易阶段,检查仓位,检查现有订单 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}") minRequirePosition:int = sfgrid_constants.grid_volume * int(self.tradeTarget.grid_index) # type: ignore if minRequirePosition <= int(self.tradeTarget.current_position): # type: ignore 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}') def isEnabled(self) -> bool: return bool(self.tradeTarget.enabled) def onDataUpdate(self, data): print(f'|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 市价更新-START') self.dataUpdateLock.acquire() try: index = self.tradeTarget.grid_index price = sfgrid_constants.grid_price[int(index)] # pyright: ignore[reportArgumentType] lowPrice = sfgrid_constants.grid_price[int(index) + 1] if len(sfgrid_constants.grid_price)>int(index) + 1 else -1.0 # 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} 市价信息-价格: {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.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.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() finally: print('onDataUpdate release lock') self.dataUpdateLock.release() print(f'|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 市价更新-END') def onAsyncOrderResponse(self, order:XtOrderResponse): print(f' |- 委托下单回调') self.dataUpdateLock.acquire() try: stockCode = order.order_remark orderSeq = order.seq if (self.tradeTarget.status == 1): # 正常交易阶段订单下单成功 if self.tradeTarget.current_buy_order_no == order.seq: self.tradeTarget.current_buy_order_no = order.order_id elif self.tradeTarget.current_sell_order_no == order.seq: self.tradeTarget.current_sell_order_no = order.order_id else: print(f' |- 委托回调: 委托单 {order.order_id} {stockCode} {orderSeq} 不在策略监控范围内') rc = self.tradeTarget.save() finally: print('onAsyncOrderResponse release lock') self.dataUpdateLock.release() print(f' |- 委托下单成功[{rc}]: 委托单 {order.order_id} {stockCode} {orderSeq} ') def onOrderTrade(self, trade:XtTrade): print(f' |- 委托成交通知') self.dataUpdateLock.acquire() try: 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 self.tradeTarget.last_trade_price = float(trade.traded_price) # type: ignore self.tradeTarget.grid_index = 1 # type: ignore self.tradeTarget.status = 1 # type: ignore 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 ") 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}') 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 self.tradeTarget.last_trade_price = float(trade.traded_price) # type: ignore self.tradeTarget.grid_index = int(self.tradeTarget.grid_index) - 1 # type: ignore 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[int(self.tradeTarget.grid_index)]} Volume: {sfgrid_constants.grid_volume} 手续费: {trade.commission}\n") # type: ignore 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}') 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 self.tradeTarget.last_trade_price = float(trade.traded_price) # type: ignore self.tradeTarget.grid_index = int(self.tradeTarget.grid_index) + 1 # type: ignore 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: {trade.traded_price} Volume: {sfgrid_constants.grid_volume} 手续费: {trade.commission}") 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}') 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}') finally: print('onOrderTrade release lock') self.dataUpdateLock.release() print(f' |- 委托成交处理完成 {trade.stock_code}')