220 lines
13 KiB
Python
220 lines
13 KiB
Python
from core import util
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from core.logger import LogLevel, PrintLog
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from core.qmt import qmtv
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from core.sfgrid import bus_events
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from core.sfgrid.bus_events import EventTradeTargetUpdate
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import core.sfgrid.model as model
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from core.eventbus import event_bus
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from core.constants import OrderTypeBuy, OrderTypeSell, OrderTypeInit
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from core.util import is_trading_time
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from xtquant import xtconstant
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from xtquant.xttype import XtOrderResponse, XtTrade
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import threading
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import core.eventbus as eBus
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class SFGridStrategy:
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def __init__(self, tradeTarget: model.SFGridTradeTarget):
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self.tradeTarget:model.SFGridTradeTarget = tradeTarget
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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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self.todayUpStopPrice=qmtv.dailyUpStop(tradeTarget.stock_code) # type: ignore
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self.todayDownStopPrice=qmtv.dailyDownStop(tradeTarget.stock_code) # type: ignore
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PrintLog(LogLevel.INFO, f'|- 标的{tradeTarget.targetName()}初始化: 停涨价 {self.todayUpStopPrice}, 停跌价 {self.todayDownStopPrice}')
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self.orderGrid = {} # grid index, order_seq | order_id
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self.loadExistOrders()
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self.enabledTrading(tradeTarget.enabled) # type: ignore
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self.dataUpdateLock = threading.Lock()
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def loadExistOrders(self):
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orders = qmtv.queryPendingOrder(self.tradeTarget.stock_code, self.getName()) # type: ignore
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for order in orders:
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if order.strategy_name != self.getName():
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continue
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gridIdx = int(order.order_remark.split(',')[1])
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self.orderGrid[gridIdx] = order.order_id
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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]}')
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def printPendingOrder(self):
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for idx, order_id in self.orderGrid.items():
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PrintLog(LogLevel.DEBUG, f" {idx} : {order_id}")
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def onMarketActiveSwitch(self, isActive: bool):
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if isActive and self.tradeTarget.enabled:
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self.refreshGridOrder()
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def refreshGridOrder(self): # 下网格单
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if not qmtv.isMarketActive or not self.tradeTarget.enabled:
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return
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currentIdx:int = 0
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orders = qmtv.queryPendingOrder(self.tradeTarget.stock_code, self.getName()) # type: ignore
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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
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price = self.tradeTarget.getPriceGrid()[0]
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remark = f'{OrderTypeInit},1,{self.tradeTarget.stock_code}'
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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,
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price,
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xtconstant.FIX_PRICE,
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remark, # remark # type: ignore
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self.getName(), # strategy_name
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)
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self.orderGrid[1] = tmpOrderSeq # seq
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PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 初始化: 建仓单，建仓价: {price:.3f}')
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else:
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currentIdx = self.tradeTarget.grid_index # type: ignore
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orders = qmtv.queryPendingOrder(self.tradeTarget.stock_code, self.getName()) # type: ignore
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# 向上下一单，向下下一单
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if currentIdx > 0: # 可以下空单
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sellIdx = currentIdx - 1
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sellPrice = self.tradeTarget.getPriceGrid()[sellIdx]
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remark = f'{OrderTypeSell},{sellIdx},{self.tradeTarget.stock_code}'
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if len([order for order in orders if order.order_type == xtconstant.STOCK_SELL and order.price == sellPrice]) == 0:
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# 不存在策略内同价位订单，下单
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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,
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sellPrice,
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xtconstant.FIX_PRICE,
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remark, # remark # type: ignore
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self.getName(), # strategy_name
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)
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self.orderGrid[sellIdx] = tmpOrderSeq # seq
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PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 初始化: 下空单，价格: {sellPrice:.3f}')
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else:
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PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 初始化: 已存在同价位空单，跳过下单')
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if currentIdx < len(self.tradeTarget.getPriceGrid()) - 1: # 可以下多单
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buyIdx = currentIdx + 1
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buyPrice = self.tradeTarget.getPriceGrid()[buyIdx]
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remark = f'{OrderTypeInit},{buyIdx},{self.tradeTarget.stock_code}'
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if len([order for order in orders if order.order_type == xtconstant.STOCK_BUY and order.price == buyPrice]) == 0:
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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,
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buyPrice,
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xtconstant.FIX_PRICE,
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remark, # remark # type: ignore
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self.getName(), # strategy_name
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)
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self.orderGrid[buyIdx] = tmpOrderSeq # seq
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PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 初始化: 下多单，价格: {buyPrice:.3f}')
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else:
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PrintLog(LogLevel.INFO, f'|- 标的[{self.tradeTarget.targetName()}] 初始化: 已存在同价位多单，跳过下单')
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def deleteTradeTarget(self, tradeTarget:model.SFGridTradeTarget):
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PrintLog(LogLevel.INFO, f'|- 标的{tradeTarget.targetName()}信息删除: START')
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self.dataUpdateLock.acquire()
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try:
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tradeTarget.delete_instance()
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event_bus.publish(bus_events.EventTradeTargetDeleted, tradeTarget)
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PrintLog(LogLevel.INFO, f'|- 标的{tradeTarget.targetName()}信息删除: END')
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finally:
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self.dataUpdateLock.release()
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def enabledTrading(self, enabled: bool) -> model.SFGridTradeTarget:
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self.tradeTarget.enabled = enabled # type: ignore
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if enabled:
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PrintLog(LogLevel.INFO, f" |- 标的{self.tradeTarget.targetName()}交易启动, 持仓量：{self.tradeTarget.current_position}")
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if self.tradeTarget.status == 0: # 未建仓
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PrintLog(LogLevel.INFO, f" |- 标的{self.tradeTarget.targetName()}初始状态, 设置网格序号 1,")
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self.tradeTarget.grid_index = 1 # pyright: ignore[reportAttributeAccessIssue]
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else: # 已建仓
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# 交易阶段，检查仓位，检查现有订单
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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}")
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minRequirePosition:int = self.tradeTarget.grid_volume * int(self.tradeTarget.grid_index) # type: ignore
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if minRequirePosition <= int(self.tradeTarget.current_position): # type: ignore
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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}')
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else:
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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')
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self.tradeTarget.enabled = False # type: ignore
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self.refreshGridOrder()
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else:
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orders = qmtv.queryPendingOrder(self.tradeTarget.stock_code, self.getName()) # type: ignore
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for order in orders:
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qmtv.xttrader.cancel_order_stock_async(qmtv.account, order.order_id)
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print(f' |- 取消未成交订单 {len(orders)}')
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print(f" |- 标的{self.tradeTarget.targetName()}交易监控暂停")
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self.saveProxy()
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return self.tradeTarget
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def isEnabled(self) -> bool:
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print(f'|- 检查交易状态[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}] - {self.tradeTarget.enabled}')
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return bool(self.tradeTarget.enabled) # 修复返回类型问题
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def onOrderCreateAsync(self, response:XtOrderResponse): # 下单成功回调，更新orderID到 self.orderGrid
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remark = response.order_remark.split(',')
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stockCode = remark[2] # 从remark中获取stockCode
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if response.strategy_name != self.getName() or len(remark) < 3 or self.tradeTarget.stock_code != stockCode:
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return
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self.dataUpdateLock.acquire()
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try:
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gridIdx = remark[1] # 从remark中获取gridIdx
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PrintLog(LogLevel.INFO, f"委托创建通知 onOrderCreateAsync[{self.tradeTarget.targetName()}]: {response.order_id}")
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self.orderGrid[gridIdx] = response.order_id
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PrintLog(LogLevel.INFO, f"委托创建通知 onOrderCreateAsync 更新 grid-{gridIdx} seq:{response.seq} -> order_id:{response.order_id}")
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except Exception as e:
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PrintLog(LogLevel.ERROR, f"|- 委托创建通知 onOrderCreateAsync[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}]: {response.order_id} - {str(e)}")
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finally:
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self.dataUpdateLock.release()
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def onOrderTrade(self, trade:XtTrade): # TODO 委托成交通知,处理成交后网格切换
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remark = trade.order_remark.split(',')
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if trade.strategy_name != self.getName() or len(remark) < 3 or self.tradeTarget.stock_code != trade.stock_code:
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return
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PrintLog(LogLevel.INFO, f'|- 委托成交通知[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}-{trade.order_id}] : {trade.order_id}')
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self.dataUpdateLock.acquire()
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try:
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orderType = trade.order_remark.split(',')[0]
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gridIdx = trade.order_remark.split(',')[1] # 从remark中获取gridIdx
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type:str = ""
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if orderType == OrderTypeInit:
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PrintLog(LogLevel.INFO, f'|- 委托成交通知[{self.tradeTarget.targetName()}-{trade.order_id}] - 建仓单成交')
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self.tradeTarget.status = 1 # type: ignore
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self.tradeTarget.init_price = trade.traded_price # type: ignore
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self.tradeTarget.grid_index = 1 # type: ignore
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type = "建仓单"
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else:
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PrintLog(LogLevel.INFO, f'|- 委托成交通知[{self.tradeTarget.targetName()}-{trade.order_id}] - 网格单成交')
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oriIdx = self.tradeTarget.grid_index
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if gridIdx > self.tradeTarget.grid_index:
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type = "下移一格"
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self.tradeTarget.grid_index +=1
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elif gridIdx < self.tradeTarget.grid_index:
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type = "上移一格"
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self.tradeTarget.grid_match_count += 1
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self.tradeTarget.grid_total_profit += self.tradeTarget.grid_size * trade.traded_volume
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self.tradeTarget.grid_index -= 1
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elif gridIdx == self.tradeTarget.grid_index:
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type = "保持格, 理论上不应该输出"
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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}')
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self.saveProxy()
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del self.orderGrid[gridIdx]
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PrintLog(LogLevel.INFO, f"|- 成交报告[{self.tradeTarget.targetName()}] : ====================================")
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PrintLog(LogLevel.INFO, f"|- 标的[{self.tradeTarget.targetName()}] {type}-单号{trade.order_id}已成交 ")
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PrintLog(LogLevel.INFO, f' 成交价: {trade.traded_price} 成交量: {trade.traded_volume}')
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PrintLog(LogLevel.INFO, f' 手续费 : {trade.commission:.3f}')
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self.refreshGridOrder() # 更新网格订单
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finally:
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self.dataUpdateLock.release()
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def getName(self):
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return "SFGRID"
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def saveProxy(self):
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rc = self.tradeTarget.save()
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event_bus.publish(EventTradeTargetUpdate, self.tradeTarget)
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return rc |