369 lines
14 KiB
Python
369 lines
14 KiB
Python
"""
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QMT 真实交易实现 - 封装 xtquant SDK
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"""
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import datetime
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import threading
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import time
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import config
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import core.eventbus as eBus
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from core.logger import LogLevel, PrintLog
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class RealQmtV:
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"""
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真实 QMT 交易器
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封装 xtquant 的 XtQuantTrader，提供与模拟器一致的接口
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"""
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@staticmethod
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def _to_plain_code(stock_code: str) -> str:
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"""将 xtquant 格式 '600519.SH' 转换为数据库格式 '600519'"""
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return stock_code.split('.')[0] if '.' in stock_code else stock_code
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@staticmethod
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def _to_full_code(stock_code: str) -> str:
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"""将数据库格式 '600519' 转换为 xtquant 格式 '600519.SH'"""
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if '.' in stock_code:
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return stock_code # already has suffix
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code = stock_code
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if code.startswith(('6', '5', '9')):
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return f'{code}.SH'
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elif code.startswith(('0', '3', '2')):
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return f'{code}.SZ'
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# fallback: try both, prefer SH
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return f'{code}.SH'
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@staticmethod
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def _strip_code_suffixes(datas: dict) -> dict:
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"""批量去除 xtquant 数据中的代码后缀"""
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result = {}
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for code, tick in datas.items():
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result[code] = tick
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if '.' in code:
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result[code.split('.')[0]] = tick
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return result
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def __init__(self) -> None:
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self.inited = False
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self.connected = False
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self.account = None
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self.xt_trader = None
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self.mini_qmt_path = ""
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self._positions = {}
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self._pending_orders = []
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self._market_data_thread = None
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self.isMarketActive = False
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self.lastMarketDataUpdateTimestamp = time.time()
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self.details = {}
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def getTrader(self):
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return self
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def init_qmtv(self):
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"""初始化 QMT 交易器"""
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try:
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from xtquant.xttrader import XtQuantTrader
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from xtquant.xttype import StockAccount
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self.mini_qmt_path = config.miniQMTPath
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self.account = StockAccount(config.account_no, 'STOCK')
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# 创建 XtQuantTrader 实例
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session_id = int(time.time()) % 10000
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self.xt_trader = XtQuantTrader(self.mini_qmt_path, session_id)
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# 注册回调 — xtquant 只接受一个回调对象，会在上面调用 on_xxx 方法
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self.xt_trader.register_callback(self)
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self.inited = True
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PrintLog(LogLevel.INFO, f'- [真实] QMT 交易器初始化成功')
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except Exception as e:
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self.inited = False
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PrintLog(LogLevel.ERROR, f'- [失败] QMT 初始化: {e}')
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def connect(self) -> bool:
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"""连接 MiniQMT"""
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if not self.inited:
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PrintLog(LogLevel.ERROR, '- [失败] QMT 未初始化')
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return False
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try:
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# 启动 trader 线程
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self.xt_trader.start()
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# 建立连接
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connect_result = self.xt_trader.connect()
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if connect_result == 0:
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# 订阅账户 (传入 StockAccount 对象而不是 account_id 字符串)
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self.xt_trader.subscribe(self.account)
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# 等待回调
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time.sleep(1)
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self.connected = True
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self.startMarketDataSubscription()
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PrintLog(LogLevel.INFO, f'- [成功] 真实交易连接成功 (账号: {config.account_no})')
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return True
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else:
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PrintLog(LogLevel.ERROR, f'- [失败] 连接失败, 返回码: {connect_result}')
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return False
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except Exception as e:
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PrintLog(LogLevel.ERROR, f'- [失败] 连接异常: {e}')
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return False
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def getAllPositions(self) -> dict:
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"""获取全部持仓，返回 {plain_code: position_object}"""
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if not self.connected:
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return {}
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try:
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positions = self.xt_trader.query_stock_positions(self.account)
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result = {}
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for pos in positions:
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code = self._to_plain_code(getattr(pos, 'stock_code', ''))
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result[code] = pos
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# 缓存以供 getStockPosition 使用
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self._position_cache = result
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return result
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except Exception as e:
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PrintLog(LogLevel.ERROR, f'- [获取全部持仓失败]: {e}')
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return {}
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def getStockPosition(self, stock_code: str):
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"""获取单只股票持仓（优先使用缓存）"""
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if not self.connected:
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return None
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try:
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# 优先查缓存
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if hasattr(self, '_position_cache') and stock_code in self._position_cache:
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return self._position_cache[stock_code]
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# 回退查询
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positions = self.xt_trader.query_stock_positions(self.account)
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for pos in positions:
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pos_code = self._to_plain_code(getattr(pos, 'stock_code', ''))
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if pos_code == stock_code:
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return pos
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return None
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except Exception as e:
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PrintLog(LogLevel.ERROR, f'- [持仓查询失败] {stock_code}: {e}')
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return None
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def queryPendingOrder(self, stock_code: str, tag: str) -> list:
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"""查询挂单"""
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if not self.connected:
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return []
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try:
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orders = self.xt_trader.query_stock_orders(self.account)
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return [o for o in orders
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if self._to_plain_code(getattr(o, 'stock_code', '')) == stock_code and
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(tag is None or getattr(o, 'strategy_name', None) == tag)]
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except Exception as e:
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PrintLog(LogLevel.ERROR, f'- [查询挂单失败] {e}')
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return []
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def orderAsync(self, stock_code, orderVolume, orderType, orderPrice, priceType, orderRemark, strategy_name):
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"""异步下单"""
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if not self.connected:
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PrintLog(LogLevel.ERROR, '- [下单失败] 未连接')
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return -1
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try:
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seq = self.xt_trader.order_stock_async(
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account=self.account,
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stock_code=stock_code,
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order_volume=orderVolume,
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order_type=orderType,
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price=orderPrice,
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price_type=priceType,
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order_remark=orderRemark,
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strategy_name=strategy_name
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)
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PrintLog(LogLevel.INFO,
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f'- [下单] {stock_code} 数量:{orderVolume} 价格:{orderPrice} 类型:{orderType} seq:{seq}')
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return 0
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except Exception as e:
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PrintLog(LogLevel.ERROR, f'- [下单失败] {stock_code}: {e}')
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return -1
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def cacheStockDetail(self, stock_code: str):
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"""获取股票详情"""
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if stock_code not in self.details:
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try:
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from xtquant import xtdata
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# xtquant 需要带后缀的完整代码
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full_code = self._to_full_code(stock_code)
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detail = xtdata.get_instrument_detail(full_code)
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if detail:
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# xtquant 返回 dict，使用 .get() 读取
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self.details[stock_code] = {
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'InstrumentName': detail.get('InstrumentName', stock_code) if isinstance(detail, dict) else getattr(detail, 'InstrumentName', stock_code),
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'UpStopPrice': detail.get('UpStopPrice', 0) if isinstance(detail, dict) else getattr(detail, 'UpStopPrice', 0),
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'DownStopPrice': detail.get('DownStopPrice', 0) if isinstance(detail, dict) else getattr(detail, 'DownStopPrice', 0)
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}
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else:
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self.details[stock_code] = {
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'InstrumentName': stock_code,
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'UpStopPrice': 0,
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'DownStopPrice': 0
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}
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except Exception:
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self.details[stock_code] = {
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'InstrumentName': stock_code,
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'UpStopPrice': 0,
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'DownStopPrice': 0
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}
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return self.details[stock_code]
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def getInstrumentName(self, stock_code: str) -> str:
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"""获取股票名称"""
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return self.cacheStockDetail(stock_code)['InstrumentName']
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def dailyUpStop(self, stock_code: str):
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"""获取涨停价"""
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detail = self.cacheStockDetail(stock_code)
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up_stop = detail.get('UpStopPrice', 0)
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PrintLog(LogLevel.DEBUG, f'- [详情] {stock_code} {detail["InstrumentName"]} 涨停价: {up_stop}')
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return up_stop or 0.0
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def dailyDownStop(self, stock_code: str):
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"""获取跌停价"""
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detail = self.cacheStockDetail(stock_code)
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down_stop = detail.get('DownStopPrice', 0)
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return down_stop or 0.0
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def getLastPrice(self, stock_code: str) -> float:
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"""主动获取最新市价（拉取模式，作为推送的兜底）"""
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try:
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from xtquant import xtdata
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import json
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full_code = self._to_full_code(stock_code)
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# 方式1: 尝试 get_full_tick（参数是 list[str]，返回 dict {code: {...}}）
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raw = xtdata.get_full_tick([full_code])
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if raw:
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tick = json.loads(raw) if isinstance(raw, str) else raw
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if isinstance(tick, dict):
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# 格式: {'600519.SH': {'lastPrice': 8.97, ...}}
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for code, info in tick.items():
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if isinstance(info, dict) and info.get('lastPrice', 0) > 0:
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PrintLog(LogLevel.DEBUG, f'[getLastPrice] {stock_code} → tick: {info["lastPrice"]:.3f}')
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return float(info['lastPrice'])
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# 方式2: get_market_data 取最新1分钟K线收盘价
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data = xtdata.get_market_data(
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field_list=['close'],
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stock_list=[full_code],
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period='1m',
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count=1
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)
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if data:
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vals = None
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if full_code in data:
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row = data[full_code]
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if hasattr(row, '__iter__') and not isinstance(row, str):
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row = list(row)
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if row:
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vals = row
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if not vals and 'close' in data:
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field_data = data['close']
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if full_code in field_data:
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vals = list(field_data[full_code])
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if vals and len(vals) > 0 and float(vals[0]) > 0:
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PrintLog(LogLevel.DEBUG, f'[getLastPrice] {stock_code} → kline: {float(vals[0]):.3f}')
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return float(vals[0])
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# 方式3: 下载历史数据后再试
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xtdata.download_history_data(full_code, '1m', '')
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data = xtdata.get_market_data(
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field_list=['close'],
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stock_list=[full_code],
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period='1m',
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count=1
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)
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if data:
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vals = None
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if full_code in data:
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row = data[full_code]
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if hasattr(row, '__iter__') and not isinstance(row, str):
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row = list(row)
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if row:
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vals = row
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if not vals and 'close' in data:
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field_data = data['close']
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if full_code in field_data:
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vals = list(field_data[full_code])
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if vals and len(vals) > 0 and float(vals[0]) > 0:
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PrintLog(LogLevel.DEBUG, f'[getLastPrice] {stock_code} → download+kline: {float(vals[0]):.3f}')
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return float(vals[0])
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PrintLog(LogLevel.DEBUG, f'[getLastPrice] {stock_code} → 失败: 所有方式均无数据, raw={raw}')
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except Exception as e:
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PrintLog(LogLevel.DEBUG, f'[getLastPrice] {stock_code} → 异常: {e}')
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return 0.0
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def startMarketDataSubscription(self):
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"""启动市场数据订阅"""
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try:
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from xtquant import xtdata
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# 订阅沪深全市场实时行情
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seq = xtdata.subscribe_whole_quote(['SH', 'SZ'], self._on_market_data)
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PrintLog(LogLevel.INFO, f'- [市场数据订阅成功-真实] seq={seq}')
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# 启动行情活跃监控线程
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self._market_data_thread = threading.Thread(
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target=self._market_data_watchdog, daemon=True
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)
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self._market_data_thread.start()
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except Exception as e:
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PrintLog(LogLevel.ERROR, f'- [市场数据订阅失败-{e}]')
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def _on_market_data(self, datas: dict):
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"""xtquant 行情回调 — 将数据转换为事件总线格式"""
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self.lastMarketDataUpdateTimestamp = time.time()
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if not self.isMarketActive:
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self.isMarketActive = True
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eBus.event_bus.publish(eBus.EventMarketActiveSwitch, True)
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# xtquant 返回 "600519.SH" 格式 key，UI 使用纯代码 "600519"
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# 构建同时包含两种 key 的数据确保匹配
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eBus.event_bus.publish(eBus.MarketDataUpdate, self._strip_code_suffixes(datas))
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def _market_data_watchdog(self):
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"""行情活跃监控 — 超过 30 秒无数据则标记市场不活跃"""
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while True:
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time.sleep(10)
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if self.isMarketActive:
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elapsed = time.time() - self.lastMarketDataUpdateTimestamp
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if elapsed > 30:
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self.isMarketActive = False
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eBus.event_bus.publish(eBus.EventMarketActiveSwitch, False)
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PrintLog(LogLevel.WARNING, f'- [行情] 超过 {elapsed:.0f} 秒无更新，市场标记为不活跃')
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def stopMarketDataSubscription(self):
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"""停止市场数据订阅"""
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self.isMarketActive = False
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PrintLog(LogLevel.INFO, '- [市场数据订阅已停止]')
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# ---- xtquant 回调处理 (xtquant 通过回调对象调用 on_xxx 方法) ----
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def on_connected(self):
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print(datetime.datetime.now(), '真实 QMT 连接成功')
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def on_disconnected(self):
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print(datetime.datetime.now(), '真实 QMT 连接断开')
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def on_stock_order(self, order):
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self._pending_orders.append(order)
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def on_stock_trade(self, trade):
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eBus.event_bus.publish(eBus.MarketOrderTraded, trade)
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def on_order_stock_async_response(self, response):
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eBus.event_bus.publish(eBus.MarketOrderCreated, response)
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def on_order_error(self, order_error):
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print(f"\n真实委托报错回调 {order_error}")
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def on_account_status(self, status):
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print(datetime.datetime.now(), status)
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qmtv = RealQmtV()
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