294 lines
13 KiB
Python
294 lines
13 KiB
Python
# coding:utf-8
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import time, sys
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from peewee import ModelSelect
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import xtquant.xtconstant as xtconstant
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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 core.strategy_db as strategy_db
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import sfgrid_constants
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from core.sfgrid_trade_controller import StockTradeController
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from core.util import getInstrumentName, getStockPosition
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from xtquant.xttrader import XtQuantTrader
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from xtquant.xttype import StockAccount, XtAsset, XtOrder, XtPosition, 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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sfgrid_constants.initConfig()
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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('- [成功]数据库模块初始化')
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session_id = int(time.time())
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self.xt_trader = XtQuantTrader(miniQmtPath, session_id)
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self.xt_trader.register_callback(self)
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self.xt_trader.start()
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connect_result = self.xt_trader.connect()
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print(f'- [{'成功' if self.xt_trader.connected else '失败'}]市场交易连接{connect_result}:')
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self.account= StockAccount(account_no, 'STOCK')
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print(f'- [成功]交易账号对象初始化完成, 账号: {self.account.account_id}')
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subscribe_result = self.xt_trader.subscribe(self.account)
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print(f'- [{'成功' if subscribe_result == 0 else '失败'}]交易状态订阅')
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self.stock_trade_ctrl = {}
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self.init_instrument_pool(self.xt_trader, self.account)
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self.seq = None
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print('- [成功]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: str):
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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_instrument_pool(self, xtTrader:XtQuantTrader, account:StockAccount):
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self.refresh_targets()
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for temp in self.instrument_pool:
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tradeTarget:strategy_db.TradeTarget = temp
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tradeTarget.current_position = getStockPosition(tradeTarget.stock_code, xtTrader, account)
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result = tradeTarget.save()
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print(f' |- 同步当前持仓信息 {tradeTarget.stock_code}, {tradeTarget.current_position}, result = {result}')
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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'- [成功]交易标的信息初始化, 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("- [信息]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: {getStockPosition(target.stock_code, self.xt_trader, self.account)} 网格索引: {target.grid_index} 基准价格 {sfgrid_constants.grid_price[target.grid_index]} 状态: {status} 启用交易线程: {'自动交易中' if target.enabled else '交易已停止'}')
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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 temp in positions:
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pos : XtPosition = temp
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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.volume}")
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print(f"可用持仓: {pos.can_use_volume}")
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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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temp = self.xt_trader.query_stock_asset(self.account)
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asset: XtAsset =temp
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print(f"=== 账户信息 {self.account.account_id} ===")
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print(f"可用资金: {asset.cash}")
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print(f"总资产: {asset.total_asset}")
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print(f"证券市值: {asset.market_value}")
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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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if sfgrid_constants.max_enabled_targets <= 0: # 全推
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for stock_code, tickData in data.items():
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lastPrice = tickData['lastPrice']
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if lastPrice == 10.0 and stock_code not in self.stock_trade_ctrl:
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print(f'New trade target = {stock_code} - {getInstrumentName(stock_code)} {tickData['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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else: # 指定目标 当前主要使用这种模式
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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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ctrl:StockTradeController = self.stock_trade_ctrl[stockCode]
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# 如果存在对应的StockTradeController，则调用其onDataUpdate方法
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if ctrl is not None and order.strategy_name == ctrl.getName():
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ctrl.onOrderTrade(order)
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else:
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print(f"委托下单回调 投资备注 {order.order_remark} 不匹配 {ctrl.getName()}")
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def test_sim_trade(self, index: int, orderType: int):
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tradeTarget:strategy_db.TradeTarget = self.instrument_pool[index]
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ctrl:StockTradeController = self.stock_trade_ctrl[tradeTarget.stock_code]
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trade: XtTrade = None
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if orderType == xtconstant.STOCK_BUY:
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trade = XtTrade(
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sfgrid_constants.account_no,
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'300083.SZ',
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xtconstant.STOCK_BUY,
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1, 1, tradeTarget.current_buy_price, sfgrid_constants.grid_volume, 1000,
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tradeTarget.current_buy_order_no,
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None, ctrl.getName(), None, None, None, None, None, tradeTarget.stock_name)
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else:
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trade = XtTrade(sfgrid_constants.account_no, '300083.SZ', xtconstant.STOCK_SELL, 1, 1, price, sfgrid_constants.grid_volume, 1000, tradeTarget.current_sell_order_no, None, ctrl.getName(), None, None, None, None, None, tradeTarget.stock_name)
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self.on_stock_trade(trade)
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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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stockCode = trade.stock_code
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ctrl:StockTradeController = self.stock_trade_ctrl[stockCode]
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# 如果存在对应的StockTradeController，则调用其onDataUpdate方法
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if ctrl is not None and trade.strategy_name == ctrl.getName():
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ctrl.onOrderTrade(trade)
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else:
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print(f"委托回调 投资备注 {trade.strategy_name} 不匹配 {ctrl.getName()}")
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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_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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ctrl = SFGridController(sfgrid_constants.account_no, sfgrid_constants.miniQMTPath) |