220 lines
14 KiB
Python
220 lines
14 KiB
Python
from peewee import IntegerField
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from core import strategy_db
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from core.eventbus import MarketDataUpdate, event_bus
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from core.strategy_db import OrderTypeBuy, OrderTypeInit, OrderTypeSell, TradeTarget
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from core.util import queryPendingOrder, is_trading_time
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from xtquant import xttrader, xtconstant
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from xtquant.xttype import StockAccount, XtOrder, XtTrade
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import sfgrid_constants
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import threading
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class SFGridStrategy:
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def __init__(self, tradeTarget: TradeTarget, xt_trader: xttrader.XtQuantTrader, account: StockAccount):
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self.tradeTarget:TradeTarget = tradeTarget
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self.xt_trader: xttrader.XtQuantTrader = xt_trader
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self.account:StockAccount = account
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self.enabledTrading(bool(tradeTarget.enabled)) # 修复类型兼容性问题
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event_bus.publish(MarketDataUpdate, self.tradeTarget)
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self.dataUpdateLock = threading.Lock()
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def enabledTrading(self, enabled: bool) -> TradeTarget:
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self.tradeTarget.enabled = enabled # type: ignore
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self.saveProxy()
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if enabled:
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self.refreshPlanPrice()
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print(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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print(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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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}")
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minRequirePosition:int = sfgrid_constants.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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print(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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print(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.saveProxy()
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else:
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print(f" |- 标的{self.tradeTarget.targetName()}交易监控暂停")
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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 onDataUpdate(self, data):
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print(f'|- 市价更新[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}] - START')
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lastPrice = float("{:.3f}".format(data[self.tradeTarget.stock_code]['lastPrice']))
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self.tradeTarget.market_price = lastPrice # type: ignore
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self.saveProxy()
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if not is_trading_time():
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print(f"|- 市价更新[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}] - 非交易时间，不进行自动交易")
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return
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if not self.tradeTarget.enabled: # 未建仓，自动交易暂停
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print(f"|- 市价更新[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}] - 未建仓或交易监控暂停，不进行自动交易")
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return
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self.dataUpdateLock.acquire()
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print(f'|- 市价更新[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}] - LOCKED')
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try:
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orderPrice:float = -1
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orderType = -1
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index: int = self.tradeTarget.grid_index # pyright: ignore[reportAssignmentType]
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orderRemark= ""
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gridBasePrice = -1 if index>=len(sfgrid_constants.grid_price) or index < 0 else sfgrid_constants.grid_price[int(index)] # pyright: ignore[reportArgumentType]
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if self.tradeTarget.enabled and self.tradeTarget.status == 0 and lastPrice <= sfgrid_constants.grid_price[1]: # 已启用，未建仓，建仓
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orderPrice = sfgrid_constants.grid_price[index]
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orderType = xtconstant.STOCK_BUY
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orderRemark = OrderTypeInit
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if self.tradeTarget.enabled and self.tradeTarget.status == 1: # 已启用，已建仓，网格单
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lowPrice = -1 if index+1>=len(sfgrid_constants.grid_price) else sfgrid_constants.grid_price[int(index) + 1] # pyright: ignore[reportArgumentType]
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highPrice = sfgrid_constants.grid_price[index - 1]
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if lastPrice <= lowPrice: # 下下方多单
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orderPrice = lowPrice
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orderType = xtconstant.STOCK_BUY
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orderRemark = OrderTypeBuy
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elif lastPrice >= highPrice: # 下上方空单
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orderPrice = highPrice
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orderType = xtconstant.STOCK_SELL
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orderRemark = OrderTypeSell
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if orderType != -1:
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orders = queryPendingOrder(str(self.tradeTarget.stock_code), self.getName(), self.xt_trader, self.account)
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if len([order for order in orders if order.order_type == orderType and order.price == orderPrice]) > 0:
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# 已存在未交易的多单
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print(f' |- [{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}]已存在未交易的{"多单" if orderType == xtconstant.STOCK_BUY else "空单"}，不重复下单')
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else:
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print(f' |- 下网格{"多单" if orderType == xtconstant.STOCK_BUY else "空单"}')
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self.tradeTarget.current_order_no = self.xt_trader.order_stock_async(
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self.account,
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str(self.tradeTarget.stock_code),
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orderType,
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sfgrid_constants.grid_volume,
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xtconstant.FIX_PRICE,
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orderPrice,
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self.getName(), # strategy_name
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orderRemark # remark # type: ignore
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)
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orderTypeName = ""
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if orderRemark == OrderTypeBuy:
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orderTypeName = "多单"
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elif orderRemark == OrderTypeSell:
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orderTypeName = "空单"
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elif orderRemark == OrderTypeInit:
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orderTypeName = "建仓单"
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print(f' |- {orderTypeName}委托, 单号 {self.tradeTarget.current_order_no}, 网格基准价 {gridBasePrice}, 下单价 {orderPrice}, 下单量 {sfgrid_constants.grid_volume}')
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finally:
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print(f'|- 市价更新[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}] - release lock')
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self.saveProxy()
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self.dataUpdateLock.release()
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print(f'|- 市价更新[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}] - END')
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def onAsyncOrderResponse(self, order:XtOrder):
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print(f' |- 委托回调[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}-{order.order_id}]:START')
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self.dataUpdateLock.acquire()
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print(f' |- 委托回调[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}-{order.order_id}]:LOCKED')
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try:
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if order.strategy_name == self.getName():
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self.tradeTarget.current_order_no = order.order_id
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self.tradeTarget.current_order_type = order.order_remark
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self.saveProxy()
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else:
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print(f' |- 委托回调[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}-{order.order_id}]: 不在策略监控范围内{order.strategy_name}')
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finally:
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print(f' |- 委托回调[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}-{order.order_id}]:release lock')
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self.dataUpdateLock.release()
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print(f' |- 委托回调[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}-{order.order_id}]:END')
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def onOrderTrade(self, trade:XtTrade):
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print(f' |- 委托成交通知[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}-{trade.order_id}]:START, {trade.order_id}')
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self.dataUpdateLock.acquire()
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print(f' |- 委托成交通知[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}-{trade.order_id}]:LOCKED')
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try:
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if not trade.strategy_name == self.getName():
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print(f' |- 委托成交通知[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}-{trade.order_id}]: 不在策略监控范围内{trade.strategy_name}')
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return
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if self.tradeTarget.status == 0 and trade.order_id == self.tradeTarget.current_order_no and trade.order_remark == strategy_db.OrderTypeInit:
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# 此时为建仓成交
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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
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self.tradeTarget.last_trade_price = float(trade.traded_price) # type: ignore
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self.tradeTarget.grid_index = 1 # type: ignore
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self.tradeTarget.plan_buy_price = float(sfgrid_constants.grid_price[2]) # type: ignore
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self.tradeTarget.plan_sell_price = float(sfgrid_constants.grid_price[0]) # type: ignore
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self.tradeTarget.status = 1 # type: ignore
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self.saveProxy()
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print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 建初始仓订单ID: {self.tradeTarget.current_order_no}已成交 ")
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print(f' 成交价: {trade.traded_price} 成交量: {trade.traded_volume}')
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print(f' 当前持仓: {self.tradeTarget.current_position}')
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print(f' 网格坐标: {self.tradeTarget.grid_index}')
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elif trade.order_id == self.tradeTarget.current_order_no and self.tradeTarget.status == 1 and trade.order_type == xtconstant.STOCK_SELL: # type: ignore
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# 上涨一格：此时空单成交
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self.tradeTarget.current_position = int(self.tradeTarget.current_position) - trade.traded_volume # type: ignore
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self.tradeTarget.last_trade_price = float(trade.traded_price) # type: ignore
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self.tradeTarget.grid_index = int(self.tradeTarget.grid_index) - 1 # type: ignore
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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_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
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print(f' 成交价: {trade.traded_price} 成交量: {trade.traded_volume}')
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print(f' 当前持仓: {self.tradeTarget.current_position}')
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print(f' 网格坐标: {self.tradeTarget.grid_index}')
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elif trade.order_id == self.tradeTarget.current_order_no and self.tradeTarget.status == 1 and trade.order_type == xtconstant.STOCK_BUY: # type: ignore
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# 下跌一格：此时多单成交
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self.tradeTarget.current_position = int(self.tradeTarget.current_position) + trade.traded_volume # type: ignore
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self.tradeTarget.last_trade_price = float(trade.traded_price) # type: ignore
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self.tradeTarget.grid_index = int(self.tradeTarget.grid_index) + 1 # type: ignore
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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_order_no} Price: {trade.traded_price} Volume: {sfgrid_constants.grid_volume} 手续费: {trade.commission}")
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print(f' 成交价: {trade.traded_price} 成交量: {trade.traded_volume}')
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print(f' 当前持仓: {self.tradeTarget.current_position}')
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print(f' 网格坐标: {self.tradeTarget.grid_index}')
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else:
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# 打印订单信息和订单状态
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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}')
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finally:
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self.refreshPlanPrice()
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print(f' |- 委托成交通知[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}-{trade.order_id}]:release lock')
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self.dataUpdateLock.release()
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print(f' |- 委托成交通知[{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}-{trade.order_id}]:END')
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def refreshPlanPrice(self):
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if self.tradeTarget.status == 1:
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buyIdx: int = self.tradeTarget.grid_index + 1 # pyright: ignore[reportAssignmentType]
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sellIdx: int = self.tradeTarget.grid_index - 1
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if self.tradeTarget.grid_index > 0: # 可以下空单
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self.tradeTarget.plan_sell_price = float(sfgrid_constants.grid_price[sellIdx]) # pyright: ignore[reportAttributeAccessIssue]
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else:
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self.tradeTarget.plan_sell_price = -1.0 # type: ignore
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if self.tradeTarget.grid_index < len(sfgrid_constants.grid_price) - 1:
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self.tradeTarget.plan_buy_price = float(sfgrid_constants.grid_price[buyIdx]) # pyright: ignore[reportAttributeAccessIssue]
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else:
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self.tradeTarget.plan_buy_price = -1.0 # pyright: ignore[reportAttributeAccessIssue]
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else:
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self.tradeTarget.plan_buy_price = 10.0 # type: ignore
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self.tradeTarget.plan_sell_price = -1.0 # type: ignore
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self.saveProxy()
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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(MarketDataUpdate, self.tradeTarget)
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return rc |