286 lines
12 KiB
Python
286 lines
12 KiB
Python
# coding:utf-8
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from os import popen
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import time, sys
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from peewee import ModelSelect
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sys.stdout.reconfigure(encoding='utf-8') # 设置标准输出编码为UTF-8
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import strategy_db
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import sfgrid_constants
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from sfgrid_trade_controller import StockTradeController
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from util import getInstrumentName, getStockPosition
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from xtquant.xttrader import XtQuantTrader
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from xtquant.xttype import StockAccount, XtOrder, XtTrade
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from xtquant import xtdata
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from xtquant.xttrader import XtQuantTraderCallback
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import datetime
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# 量化核心控制对象
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class SFGridController(XtQuantTraderCallback):
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def __init__(self, account_no: str, miniQmtPath: str):
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super().__init__()
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xtdata.enable_hello = False
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strategy_db.db.connect()
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strategy_db.db.create_tables([strategy_db.TradeTarget])
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print('- 数据库模块初始化完成')
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self.init_trader(miniQmtPath)
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self.init_trade_account(account_no, 'STOCK')
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self.stock_trade_ctrl = {}
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self.init_instrument_pool()
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self.seq = None
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print('- 三疯交易系统初始化完成')
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def startMarketData(self):
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print('- 启动市场数据订阅')
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self.seq = xtdata.subscribe_whole_quote(['SH', 'SZ'], callback=self.onDataUpdate)
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if self.seq == -1:
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print('- 市场数据订阅失败')
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else:
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print(f'- 市场数据订阅成功, 订阅号={self.seq}')
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def stopMarketData(self):
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print('- 停止市场数据订阅')
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if self.seq is not None and self.seq > 0:
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xtdata.unsubscribe_quote(self.seq)
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def add_trade_target(self, stock_code):
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try:
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stock_name = getInstrumentName(stock_code)
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new_target = strategy_db.TradeTarget.create(
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stock_name=stock_name,
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stock_code=stock_code,
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current_position=0,
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grid_index=0,
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last_trade_price=0.0,
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current_buy_price=0.0,
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current_buy_order_no='',
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current_sell_price=0.0,
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current_sell_order_no=''
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)
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new_target.save()
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print(f'新增交易标的 {stock_code} {stock_name}, {new_target.id}')
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# 刷新标的持仓
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pos = getStockPosition(stock_code, self.xt_trader, self.account)
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strategy_db.TradeTarget.update(current_position=pos).where(strategy_db.TradeTarget.stock_code == stock_code).execute()
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# 更新标的池
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self.refresh_targets()
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# 添加交易控制器
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stockTradeController = StockTradeController(new_target, self.xt_trader, self.account, new_target.enabled)
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self.stock_trade_ctrl[stock_code] = stockTradeController
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except Exception as e:
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print(f'新增交易标的失败 {stock_code} {e}')
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def del_trade_target(self, index:int):
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target: strategy_db.TradeTarget = self.instrument_pool[index]
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# self.stock_trade_ctrl.
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del self.stock_trade_ctrl[target.stock_code]
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target.delete_instance()
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self.refresh_targets()
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def init_trader(self, path):
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session_id = int(time.time())
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self.xt_trader = XtQuantTrader(path, session_id)
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self.xt_trader.register_callback(self)
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self.xt_trader.start()
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self.xt_trader.connect()
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print(f'- 交易对象初始化完成, {self.xt_trader.connected}')
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def init_trade_account(self, account_id, account_type):
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self.account= StockAccount(account_id, account_type)
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print(f'- 交易账号对象初始化完成, 账号: {self.account.account_id}')
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def init_instrument_pool(self):
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self.refresh_targets()
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for tradeTarget in self.instrument_pool:
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stockTradeController = StockTradeController(tradeTarget, self.xt_trader, self.account, tradeTarget.enabled)
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self.stock_trade_ctrl[tradeTarget.stock_code] = stockTradeController
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print(f'- 初始化标的池初始化完成 , 共 {len(self.instrument_pool)} 个标的')
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def refresh_targets(self):
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# 更新标的池
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self.instrument_pool:ModelSelect = strategy_db.TradeTarget.select()
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self.print_pool()
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def print_pool(self):
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print("- 标的池信息")
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for i in range(len(self.instrument_pool)):
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target: strategy_db.TradeTarget = self.instrument_pool[i]
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status = "新建" if target.status == 0 else "已建初始仓"
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print(f' [序号-{i}] 股票代码: {target.stock_code}-{target.stock_name} 当前持仓: {target.current_position} 网格索引: {target.grid_index+1} Price {sfgrid_constants.grid_price[target.grid_index]} 状态: {status} 启用交易线程: {target.enabled}')
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def print_position_info(self):
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positions = self.xt_trader.query_stock_positions(self.account)
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if positions:
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print("\n- 持仓信息")
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for pos in positions:
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if pos.m_nVolume <=0:
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continue
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print(f"股票代码: {pos.stock_code}-{getInstrumentName(pos.stock_code)}")
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print(f"总持仓: {pos.m_nVolume}")
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print(f"可用持仓: {pos.m_nCanUseVolume}")
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print(f"持仓成本: {pos.avg_price}")
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print("---")
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else:
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print("\n当前无持仓")
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def print_account_info(self):
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account_info = self.xt_trader.query_stock_asset(self.account)
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print(f"\n=== 账户信息 {self.account.account_id} ===")
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print(f"可用资金: {account_info.m_dCash}")
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print(f"总资产: {account_info.m_dTotalAsset}")
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print(f"证券市值: {account_info.m_dMarketValue}")
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def print_stock_orders(self):
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orders = self.xt_trader.query_stock_orders(self.account, cancelable_only=True)
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if orders:
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print("\n=== 委托信息 ===")
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for order in orders:
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print(f"委托编号: {order.order_id}")
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print(f"股票代码: {order.stock_code} {getInstrumentName(order.stock_code)}")
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print(f"委托方向: {order.offset_flag} ")
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print(f"委托价格: {order.price}")
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print(f"委托数量: {order.order_volume}")
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print(f"已成交数量: {order.traded_volume}")
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print(f"委托状态: {order.order_status} ")
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print("---")
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else:
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print("\n当前无委托记录")
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# 初始化指定标的交易控制器
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def start_stock_trade(self, index: int):
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tradeTarget = self.instrument_pool[index]
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# check existing thread
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if tradeTarget.stock_code in self.stock_trade_ctrl:
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tradeController: StockTradeController = self.stock_trade_ctrl[tradeTarget.stock_code]
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if tradeController.isEnabled():
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print(f"标的交易控制器已存在且正在运行 {tradeTarget.stock_code} {getInstrumentName(tradeTarget.stock_code)}\n")
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else:
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print(f"标的交易控制器已存在但未运行，重新启动 {tradeTarget.stock_code} {getInstrumentName(tradeTarget.stock_code)}\n")
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tradeController.enabledTrading(True)
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else:
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stockTradeController = StockTradeController(tradeTarget, self.xt_trader, self.account, tradeTarget.enabled)
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self.stock_trade_ctrl[tradeTarget.stock_code] = stockTradeController
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print(f"\t创建标的交易控制器 {tradeTarget.stock_code} {getInstrumentName(tradeTarget.stock_code)}")
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def pause_stock_trade(self, index: int):
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tradeTarget = self.instrument_pool[index]
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if tradeTarget.stock_code in self.stock_trade_ctrl:
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tradeController: StockTradeController = self.stock_trade_ctrl[tradeTarget.stock_code]
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if tradeController.isEnabled():
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print(f"暂停标的交易 {tradeTarget.stock_code} {getInstrumentName(tradeTarget.stock_code)}\n")
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tradeController.enabledTrading(False)
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else:
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print(f"标的交易已暂停 {tradeTarget.stock_code} {getInstrumentName(tradeTarget.stock_code)}\n")
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else:
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print(f"标的交易控制器不存在 {tradeTarget.stock_code} {getInstrumentName(tradeTarget.stock_code)}\n")
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# ====== 市场回调方法 -- 以下方法由XtQuantData调用 ======
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def onDataUpdate(self, data):
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# 遍历股池
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# for stock_code, data in data.items():
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# if data['lastPrice'] == 10.0:
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# print(f'target = {stock_code} - {getInstrumentName(stock_code)} {data['lastPrice']}')
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# self.add_trade_target(stock_code)
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# self.stock_trade_ctrl[stock_code].enabledTrading(True)
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# if stock_code not in self.stock_trade_ctrl:
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# self.add_trade_target(stock_code)
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# self.stock_trade_ctrl[stock_code].onDataUpdate(data)
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for target in self.instrument_pool:
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stock_code = target.stock_code
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# 如果存在对应的StockTradeController，则调用其onDataUpdate方法
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if stock_code not in self.stock_trade_ctrl or stock_code not in data:
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# print(f"股票代码 {stock_code} 未在交易控制器中找到，跳过处理。\n")
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continue
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stock_controller: StockTradeController = self.stock_trade_ctrl[stock_code]
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stock_controller.onDataUpdate(data)
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# ====== 市场回调方法 -- 以下方法由XtQuantTrader调用 ======
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def on_connected(self):
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"""
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连接成功推送
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"""
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print(datetime.datetime.now(), '连接成功回调')
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def on_disconnected(self):
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"""
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连接断开
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:return:
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"""
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print(datetime.datetime.now(), '连接断开回调')
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def on_stock_order(self, order:XtOrder):
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"""
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委托回报推送
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:param order: XtOrder对象
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:return:
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"""
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stockCode = order.stock_code
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# 如果存在对应的StockTradeController，则调用其onDataUpdate方法
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if stockCode in self.stock_trade_ctrl:
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ctrl:StockTradeController = self.stock_trade_ctrl[stockCode]
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ctrl.onOrderUpdate(order)
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print(datetime.datetime.now(), '委托回调 投资备注', order.order_remark)
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def on_stock_trade(self, trade:XtTrade):
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"""
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成交变动推送
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:param trade: XtTrade对象
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:return:
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"""
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print(datetime.datetime.now(), '成交回调', trade.order_remark, f"委托方向(48买 49卖) {trade.offset_flag} 成交价格 {trade.traded_price} 成交数量 {trade.traded_volume}")
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def on_order_error(self, order_error):
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"""
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委托失败推送
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:param order_error:XtOrderError 对象
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:return:
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"""
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# print("on order_error callback")
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# print(order_error.order_id, order_error.error_id, order_error.error_msg)
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print(f"\n委托报错回调 {order_error.order_remark} {order_error.error_msg}")
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def on_cancel_error(self, cancel_error):
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"""
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撤单失败推送
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:param cancel_error: XtCancelError 对象
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:return:
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"""
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print(datetime.datetime.now(), sys._getframe().f_code.co_name)
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def on_order_stock_async_response(self, response):
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"""
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异步下单回报推送
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:param response: XtOrderResponse 对象
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:return:
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"""
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print(f"异步委托回调 投资备注: {response.order_remark}")
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def on_cancel_order_stock_async_response(self, response):
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"""
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:param response: XtCancelOrderResponse 对象
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:return:
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"""
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print(datetime.datetime.now(), sys._getframe().f_code.co_name)
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def on_account_status(self, status):
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"""
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:param response: XtAccountStatus 对象
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:return:
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"""
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print(datetime.datetime.now(), sys._getframe().f_code.co_name)
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