134 lines
7.8 KiB
Python
134 lines
7.8 KiB
Python
from strategy_db import TradeTarget
|
|
import strategy_db
|
|
from util import getInstrumentName, getStockPosition
|
|
|
|
from xtquant import xttrader, xtdata, xtconstant
|
|
from xtquant.xttype import StockAccount, XtOrder, XtTrade
|
|
import sfgrid_constants
|
|
|
|
|
|
class StockTradeController:
|
|
|
|
def __init__(self, tradeTarget: TradeTarget, xt_trader: xttrader.XtQuantTrader, account: StockAccount, enabled: bool = False):
|
|
self.tradeTarget = tradeTarget
|
|
self.xt_trader = xt_trader
|
|
self.account = account
|
|
self.currentPosition = getStockPosition(self.tradeTarget.stock_code, self.xt_trader, self.account)
|
|
|
|
def getName(self):
|
|
return "SFGRID"
|
|
|
|
|
|
def enabledTrading(self, enabled: bool):
|
|
self.tradeTarget.enabled = enabled
|
|
self.tradeTarget.save()
|
|
|
|
if enabled:
|
|
print(f"|- 标的交易启动 {self.tradeTarget.stock_code}-{self.tradeTarget.stock_name}\n")
|
|
# 建仓状态检查
|
|
if self.tradeTarget.current_position == 0 and self.tradeTarget.status == 0:
|
|
print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 建初始仓 买单准备中...\n")
|
|
self.tradeTarget.grid_index = 1
|
|
self.tradeTarget.save()
|
|
self.init_stock_position()
|
|
print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 建初始仓 买单已发出 InitBuyOrderId: {self.initBuyOrderId} Price: {sfgrid_constants.grid_price[self.tradeTarget.grid_index]} Volume: {sfgrid_constants.grid_volume}\n")
|
|
else:
|
|
print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 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}\n")
|
|
|
|
|
|
def isEnabled(self) -> bool:
|
|
return self.tradeTarget.enabled
|
|
|
|
def onDataUpdate(self, data):
|
|
if self.isEnabled():
|
|
print(f"\n标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 行情数据更新 {data[self.tradeTarget.stock_code]}")
|
|
|
|
def onOrderUpdate(self, order:XtOrder):
|
|
pass
|
|
|
|
def onOrderTrade(self, trade:XtTrade):
|
|
indicator = False
|
|
if trade.order_id == self.initBuyOrderId and self.tradeTarget.status == 0:
|
|
# 此时为建仓成交
|
|
self.tradeTarget.current_position += sfgrid_constants.grid_volume # 当前持仓数，账户原有持仓不在策略范围内
|
|
self.tradeTarget.last_trade_price = trade.traded_price
|
|
self.tradeTarget.grid_index = 1
|
|
self.tradeTarget.status = 1
|
|
self.tradeTarget.save()
|
|
print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 建初始仓订单ID: {self.initBuyOrderId}已成交 \n")
|
|
print(f' 成交价: {trade.traded_price} 成交量: {trade.traded_volume}\n')
|
|
print(f' 当前持仓: {self.tradeTarget.current_position}\n')
|
|
print(f' 网格坐标: {self.tradeTarget.grid_index}\n')
|
|
indicator = True # 双向下单
|
|
elif trade.order_id == self.sellOrderId and self.tradeTarget.status == 1:
|
|
# 上涨一格：此时空单成交
|
|
print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 上涨 卖单已成交 订单ID: {self.sellOrderId} Price: {sfgrid_constants.grid_price[self.tradeTarget.grid_index]} Volume: {sfgrid_constants.grid_volume} 手续费: {trade.commission}\n")
|
|
self.tradeTarget.current_position = -sfgrid_constants.grid_volume
|
|
self.tradeTarget.last_trade_price = trade.traded_price
|
|
self.tradeTarget.grid_index += 1
|
|
self.tradeTarget.save()
|
|
print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 上涨 卖单已成交 订单ID: {self.sellOrderId} Price: {sfgrid_constants.grid_price[self.tradeTarget.grid_index]} Volume: {sfgrid_constants.grid_volume} 手续费: {trade.commission}\n")
|
|
print(f' 成交价: {trade.traded_price} 成交量: {trade.traded_volume}\n')
|
|
print(f' 当前持仓: {self.tradeTarget.current_position}\n')
|
|
print(f' 网格坐标: {self.tradeTarget.grid_index}\n')
|
|
indicator = True # 双向下单
|
|
elif trade.order_id == self.buyOrderId and self.tradeTarget.status == 1:
|
|
# 下跌一格：此时多单成交
|
|
self.tradeTarget.current_position = +sfgrid_constants.grid_volume
|
|
self.tradeTarget.last_trade_price = trade.traded_price
|
|
self.tradeTarget.grid_index -= 1
|
|
self.tradeTarget.save()
|
|
print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 下跌 买单已成交 订单ID: {self.buyOrderId} Price: {sfgrid_constants.grid_price[self.tradeTarget.grid_index]} Volume: {sfgrid_constants.grid_volume} 手续费: {trade.commission}\n")
|
|
print(f' 成交价: {trade.traded_price} 成交量: {trade.traded_volume}\n')
|
|
print(f' 当前持仓: {self.tradeTarget.current_position}\n')
|
|
print(f' 网格坐标: {self.tradeTarget.grid_index}\n')
|
|
indicator = True # 双向下单
|
|
else:
|
|
# 打印订单信息和订单状态
|
|
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}')
|
|
|
|
if indicator and self.isEnabled():
|
|
self.two_way_order() # 双向下单
|
|
|
|
|
|
# Description: 新标的，建基础仓
|
|
def init_stock_position(self):
|
|
self.initBuyOrderId = self.xt_trader.order_stock(
|
|
self.account,
|
|
self.tradeTarget.stock_code,
|
|
xtconstant.STOCK_BUY,
|
|
sfgrid_constants.grid_volume,
|
|
xtconstant.FIX_PRICE,
|
|
sfgrid_constants.grid_price[self.tradeTarget.grid_index],
|
|
'sf_grid', f'{self.tradeTarget.stock_code}_init_buy')
|
|
print(f"|- 标的{self.tradeTarget.stock_code}-{self.tradeTarget.stock_name} 建初始仓 买单已发出 InitBuyOrderId: {self.initBuyOrderId} Price: {sfgrid_constants.grid_price[self.tradeTarget.grid_index]} Volume: {sfgrid_constants.grid_volume}\n")
|
|
|
|
|
|
# Description: 网格跳格，双向下单
|
|
def two_way_order(self):
|
|
if self.tradeTarget.grid_index+1 < len(sfgrid_constants.grid_price): # 价格没有超过网格下边界，可以下多单
|
|
currentPrice = sfgrid_constants.grid_price[self.tradeTarget.grid_index]
|
|
buyPrice = sfgrid_constants.grid_price[self.tradeTarget.grid_index+1]
|
|
self.buyOrderId = self.xt_trader.order_stock(
|
|
self.account,
|
|
self.tradeTarget.stock_code,
|
|
xtconstant.STOCK_BUY,
|
|
sfgrid_constants.grid_volume,
|
|
xtconstant.FIX_PRICE,
|
|
buyPrice,
|
|
'sf_grid', f'{self.tradeTarget.stock_code}_grid_down_{self.tradeTarget.grid_index}_{currentPrice}_{buyPrice}')
|
|
self.tradeTarget.current_buy_price = buyPrice
|
|
|
|
if self.tradeTarget.grid_index-1 >=0: # 价格没有超过网格上边界，可以下空单
|
|
currentPrice = sfgrid_constants.grid_price[self.tradeTarget.grid_index]
|
|
sellPrice = sfgrid_constants.grid_price[self.tradeTarget.grid_index-1]
|
|
self.sellOrderId = self.xt_trader.order_stock(
|
|
self.account,
|
|
self.tradeTarget.stock_code,
|
|
xtconstant.STOCK_SELL,
|
|
sfgrid_constants.grid_volume,
|
|
xtconstant.FIX_PRICE,
|
|
sellPrice,
|
|
'sf_grid', f'{self.tradeTarget.stock_code}_grid_up_{self.tradeTarget.grid_index}_{currentPrice}_{sellPrice}')
|
|
self.tradeTarget.current_sell_price = sellPrice
|
|
self.tradeTarget.save() |