234 lines
8.5 KiB
Markdown
234 lines
8.5 KiB
Markdown
# SFGrid 网格交易策略流程图
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## 1. 总览：策略生命周期
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```mermaid
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flowchart TD
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A["SFGridStrategy.__init__()"] --> B["订阅事件总线<br/>onOrderCreateAsync / onOrderTrade / onOrderError"]
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B --> C["获取涨跌停价<br/>todayUpStopPrice / todayDownStopPrice"]
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C --> D["loadExistOrders()<br/>从券商侧恢复未成交订单到 orderGrid"]
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D --> E["enabledTrading(enabled)"]
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E --> F{"enabled ?"}
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F -->|True| G["启用交易流程 → 见 §3"]
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F -->|False| H["停用交易流程 → 见 §3"]
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G --> I["saveProxy() 持久化"]
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H --> I
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I --> J["构造完成，进入事件循环<br/>等待 QMT 回调 / UI 操作"]
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```
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---
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## 2. 核心：refreshGridOrder() 网格下单
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```mermaid
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flowchart TD
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START["refreshGridOrder()"] --> CHECK1{"qmtv.isMarketActive<br/>AND<br/>tradeTarget.enabled ?"}
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CHECK1 -->|No| SKIP["跳过不下单"]
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CHECK1 -->|Yes| QUERY["查询未成交订单<br/>queryPendingOrder()"]
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QUERY --> STATUS{"tradeTarget.status ?"}
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STATUS -->|"= 0 未建仓"| CHECK_INIT{"已存在建仓单?<br/>remark = 'INIT,1,{code}'"}
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CHECK_INIT -->|"No 没有"| PLACE_INIT["下建仓单 (STOCK_BUY)<br/>价格 = getPriceGrid()[0]<br/>remark = 'INIT,1,{code}'"]
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CHECK_INIT -->|"Yes 已有"| DONE_INIT["建仓单已在途，跳过"]
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STATUS -->|"= 1 已建仓"| GET_IDX["currentIdx = grid_index"]
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GET_IDX --> SELL_CHECK{"currentIdx > 0 ?<br/>(grid_index 不是最低点)"}
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SELL_CHECK -->|"Yes 可挂卖单"| SELL_EXIST{"已存在同 remark 卖单?<br/>remark='SELL,{idx-1},{code}'"}
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SELL_EXIST -->|"No 没有"| SELL_PLACE["下卖出单 (STOCK_SELL)<br/>价格 = grid[sellIdx]<br/>sellIdx = currentIdx - 1"]
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SELL_EXIST -->|"Yes 已有"| SELL_SKIP["跳过，避免重复"]
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SELL_CHECK -->|"No 价格已最低"| SELL_SKIP2["无卖出空间"]
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SELL_PLACE --> BUY_CHECK
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SELL_SKIP --> BUY_CHECK
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SELL_SKIP2 --> BUY_CHECK
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BUY_CHECK{"currentIdx < len(grid)-1 ?<br/>(grid_index 不是最高点)"}
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BUY_CHECK -->|"Yes 可挂买单"| BUY_EXIST{"已存在同价同类型买单?<br/>order_type=BUY AND price=buyPrice"}
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BUY_EXIST -->|"No 没有"| BUY_PLACE["下买入单 (STOCK_BUY)<br/>价格 = grid[buyIdx]<br/>buyIdx = currentIdx + 1"]
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BUY_EXIST -->|"Yes 已有"| BUY_SKIP["跳过，避免重复"]
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BUY_CHECK -->|"No 价格已最高"| BUY_SKIP2["无买入空间"]
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```
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---
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## 3. 交易启停：enabledTrading()
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```mermaid
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flowchart TD
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START["enabledTrading(enabled)"] --> SET["self.tradeTarget.enabled = enabled"]
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SET --> BRANCH{"enabled ?"}
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BRANCH -->|"True 启用"| STATUS{"tradeTarget.status ?"}
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STATUS -->|"= 0 未建仓"| INIT_IDX{"grid_index == 0 ?"}
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INIT_IDX -->|"Yes"| SET1["grid_index = 1<br/>(默认建仓位置)"]
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INIT_IDX -->|"No"| KEEP["保留现有 grid_index"]
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SET1 --> REFRESH1["refreshGridOrder()"]
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KEEP --> REFRESH1
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STATUS -->|"= 1 已建仓"| CALC["计算最小需求仓位<br/>min = grid_volume × grid_index"]
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CALC --> CHECK{"current_position >= min ?"}
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CHECK -->|"Yes 充足"| REFRESH2["refreshGridOrder()"]
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CHECK -->|"No 不足"| DENY["拒绝启用<br/>enabled = False<br/>(风控保护)"]
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BRANCH -->|"False 停用"| CANCEL["取消所有未成交订单<br/>cancel_order_stock_async()"]
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CANCEL --> LOG["记录取消数量"]
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REFRESH1 --> SAVE["saveProxy() 持久化"]
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REFRESH2 --> SAVE
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DENY --> SAVE
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LOG --> SAVE
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```
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---
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## 4. 事件回调链
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```mermaid
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flowchart TD
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subgraph QMT["QMT / xtquant 层"]
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OA["orderAsync()<br/>返回 seq"]
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PUSH_ERR["C扩展推送<br/>XtOrderError"]
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PUSH_RESP["C扩展推送<br/>XtOrderResponse"]
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PUSH_TRADE["C扩展推送<br/>XtTrade"]
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end
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subgraph BUS["事件总线 event_bus"]
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EVT_ERR["MarketOrderError"]
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EVT_RESP["MarketOrderCreated"]
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EVT_TRADE["MarketOrderTraded"]
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end
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subgraph STG["SFGridStrategy 回调"]
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OE["onOrderError()"]
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OC["onOrderCreateAsync()"]
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OT["onOrderTrade()"]
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end
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OA --> PUSH_RESP
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OA --> PUSH_ERR
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PUSH_ERR --> EVT_ERR --> OE
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PUSH_RESP --> EVT_RESP --> OC
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PUSH_TRADE --> EVT_TRADE --> OT
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```
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---
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## 5. onOrderError() 委托失败处理
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```mermaid
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flowchart TD
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START["onOrderError(order_error)"] --> CHK1{"order_remark 非空 ?"}
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CHK1 -->|"No 空"| EXIT1["无法解析，忽略"]
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CHK1 -->|"Yes"| PARSE["解析 remark<br/>'{type},{gridIdx},{stockCode}'"]
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PARSE --> CHK2{"len(parts) >= 3 ?"}
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CHK2 -->|"No"| EXIT1
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CHK2 -->|"Yes"| CHK3{"strategy_name == 'SFGRID'<br/>AND<br/>stockCode 匹配本标的 ?"}
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CHK3 -->|"No 不匹配"| EXIT1
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CHK3 -->|"Yes"| LOCK["获取 dataUpdateLock"]
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LOCK --> DEL{"gridIdx in orderGrid ?"}
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DEL -->|"Yes"| REMOVE["del orderGrid[gridIdx]<br/>清理孤立条目"]
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DEL -->|"No"| LOG_ERR["记录错误日志<br/>error_id / error_msg"]
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REMOVE --> LOG_ERR
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LOG_ERR --> UNLOCK["释放 dataUpdateLock"]
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```
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---
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## 6. onOrderCreateAsync() 订单确认
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```mermaid
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flowchart TD
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START["onOrderCreateAsync(response)"] --> PARSE["解析 remark<br/>'{type},{gridIdx},{stockCode}'"]
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PARSE --> FILTER{"strategy_name == 'SFGRID'<br/>AND len(parts) >= 3<br/>AND stockCode 匹配 ?"}
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FILTER -->|"No"| EXIT["忽略"]
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FILTER -->|"Yes"| LOCK["获取 dataUpdateLock"]
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LOCK --> UPDATE["orderGrid[gridIdx] = response.order_id<br/>seq → order_id 替换"]
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UPDATE --> UNLOCK["释放 dataUpdateLock"]
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```
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---
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## 7. onOrderTrade() 成交处理
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```mermaid
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flowchart TD
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START["onOrderTrade(trade)"] --> PARSE["解析 remark<br/>'{type},{gridIdx},{stockCode}'"]
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PARSE --> FILTER{"strategy_name == 'SFGRID'<br/>AND len(parts) >= 3<br/>AND stockCode 匹配 ?"}
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FILTER -->|"No"| EXIT["忽略"]
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FILTER -->|"Yes"| LOCK["获取 dataUpdateLock"]
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LOCK --> TYPE{"orderType ?"}
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TYPE -->|"INIT 建仓单"| INIT["status = 1<br/>init_price = traded_price<br/>grid_index = 1"]
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TYPE -->|"BUY / SELL 网格单"| CMP{"gridIdx vs grid_index ?"}
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CMP -->|"gridIdx > grid_index<br/>(买入成交)"| DOWN["grid_index += 1<br/>下移一格"]
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CMP -->|"gridIdx < grid_index<br/>(卖出成交)"| UP["grid_index -= 1<br/>上移一格<br/>match_count += 1<br/>total_profit += grid_size × volume"]
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CMP -->|"gridIdx == grid_index<br/>(异常)"| SAME["日志: 理论上不应该输出"]
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INIT --> POST
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DOWN --> POST
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UP --> POST
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SAME --> POST
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POST["成交后处理"] --> SAVE["saveProxy() 持久化状态"]
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SAVE --> DEL["del orderGrid[gridIdx]<br/>移除已成交订单"]
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DEL --> REPORT["打印成交报告<br/>成交价/量/手续费"]
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REPORT --> REFRESH["refreshGridOrder()<br/>在新位置挂新的网格单"]
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REFRESH --> UNLOCK["释放 dataUpdateLock"]
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```
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---
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## 8. 网格交易完整状态机
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```mermaid
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stateDiagram-v2
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[*] --> 未建仓: 创建 SFGridStrategy
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未建仓 --> 建仓中: enabledTrading(True)<br/>下建仓单 INIT
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建仓中 --> 已建仓: onOrderTrade(INIT)<br/>建仓单成交
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建仓中 --> 建仓失败: onOrderError(INIT)<br/>委托被拒
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建仓失败 --> 建仓中: refreshGridOrder()<br/>重新下建仓单
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已建仓 --> 网格运行: refreshGridOrder()<br/>上下各挂一单
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网格运行 --> 网格运行: onOrderTrade(SELL)<br/>卖出成交 → 上移<br/>重新挂单
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网格运行 --> 网格运行: onOrderTrade(BUY)<br/>买入成交 → 下移<br/>重新挂单
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网格运行 --> 单边挂单: onOrderError<br/>某方向委托失败
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单边挂单 --> 网格运行: refreshGridOrder()<br/>重新补挂失败方向的单
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已建仓 --> 已停用: enabledTrading(False)<br/>取消所有挂单
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网格运行 --> 已停用: enabledTrading(False)
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单边挂单 --> 已停用: enabledTrading(False)
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已停用 --> 已建仓: enabledTrading(True)<br/>仓位检查通过
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已停用 --> 已停用: enabledTrading(True)<br/>仓位不足,回退
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```
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---
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## 9. 网格价格示意
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```
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价格
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↑
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│ grid[5] = 12.00 ← 最贵（顶部）
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│ grid[4] = 11.50
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│ grid[3] = 11.00 ← 当前位置 grid_index=3
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│ grid[2] = 10.50 上方挂卖单 @10.50 (sellIdx=2, grid_index-1)
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│ grid[1] = 10.00 下方挂买单 @10.00 (buyIdx=1, 已成交位置)
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│ grid[0] = 9.50 ← 最便宜（底部/建仓价）
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│
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└──────────────────────→
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grid_index=3 时:
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卖单挂在 grid[2] @10.50 → 价格跌到 10.50 卖出（上移一格，赚差价）
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买单挂在 grid[4] @11.50 → 价格涨到 11.50 买入（下移一格，补仓）
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grid_size = grid[i] - grid[i-1] = 0.50（每格利润空间）
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```
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