1、新增SMCPureH1LongStrategy策略
2、修复实盘bug
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@@ -4,7 +4,7 @@ import asyncio
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from datetime import date, datetime, timedelta
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from typing import Literal, Type, Dict, Any, List, Optional
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import pandas as pd
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import uuid
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import time
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# 导入你提供的 core_data 中的类型
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from src.common_utils import is_bar_pre_close_period, is_futures_trading_time
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@@ -74,9 +74,10 @@ class TqsdkEngine:
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self._api: TqApi = api
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# 从策略参数中获取主symbol，TqsdkContext 需要知道它
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self.symbol: str = strategy_params.get("symbol")
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if not self.symbol:
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raise ValueError("strategy_params 必须包含 'symbol' 字段")
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# self.symbol: str = strategy_params.get("symbol")
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# if not self.symbol:
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# raise ValueError("strategy_params 必须包含 'symbol' 字段")
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self.symbol = symbol
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# 获取 K 线数据（Tqsdk 自动处理）
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# 这里假设策略所需 K 线周期在 strategy_params 中，否则默认60秒（1分钟K线）
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@@ -119,6 +120,9 @@ class TqsdkEngine:
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self.quote = api.get_quote(symbol)
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self.partial_bar: Bar = None
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self.kline_row = None
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self.target_pos_dict = {}
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print("TqsdkEngine: 初始化完成。")
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@@ -161,68 +165,53 @@ class TqsdkEngine:
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if "SHFE" in order_to_send.symbol:
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tqsdk_offset = "OPEN"
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try:
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tq_order = self._api.insert_order(
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symbol=order_to_send.symbol,
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direction=tqsdk_direction,
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offset=tqsdk_offset,
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volume=order_to_send.volume,
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# Tqsdk 市价单 limit_price 设为 None，限价单则传递价格
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limit_price=(
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order_to_send.limit_price
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if order_to_send.price_type == "LIMIT"
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# else self.quote.bid_price1 + (1 if tqsdk_direction == "BUY" else -1)
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else (
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self.quote.bid_price1
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if tqsdk_direction == "SELL"
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else self.quote.ask_price1
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)
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),
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)
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# 更新原始 Order 对象与 Tqsdk 的订单ID和状态
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order_to_send.id = tq_order.order_id
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# order_to_send.order_id = tq_order.order_id
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# order_to_send.status = tq_order.status
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order_to_send.submitted_time = pd.to_datetime(
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tq_order.insert_date_time, unit="ns", utc=True
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)
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if "CLOSE" in order_to_send.direction:
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current_positions = self._context.get_current_positions()
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current_pos_volume = current_positions.get(order_to_send.symbol, 0)
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# 等待订单状态更新（成交/撤销/报错）
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# 在 Tqsdk 中，订单和成交是独立的，通常在 wait_update() 循环中通过 api.is_changing() 检查
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# 这里为了模拟同步处理，直接等待订单状态最终确定
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# 注意：实际回测中，不应在这里长时间阻塞，而应在主循环中持续 wait_update
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# 为了简化适配，这里模拟即时处理，但可能与真实异步行为有差异。
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# 更健壮的方式是在主循环中通过订单状态回调更新
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# 这里我们假设订单会很快更新状态，或者在下一个 wait_update() 周期中被检测到
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self._api.wait_update() # 等待一次更新
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target_volume = None
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if order_to_send.direction == 'CLOSE_LONG':
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target_volume = current_pos_volume - order_to_send.volume
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elif order_to_send.direction == 'CLOSE_SHORT':
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target_volume = current_pos_volume + order_to_send.volume
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# # 检查最终订单状态和成交
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# if tq_order.status == "FINISHED":
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# # 查找对应的成交记录
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# for trade_id, tq_trade in self._api.get_trade().items():
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# if tq_trade.order_id == tq_order.order_id and tq_trade.volume > 0: # 确保是实际成交
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# # 创建 core_data.Trade 对象
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# trade = Trade(
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# order_id=tq_trade.order_id,
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# fill_time=tafunc.get_datetime_from_timestamp(tq_trade.trade_date_time) if tq_trade.trade_date_time else datetime.now(),
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# symbol=order_to_send.symbol, # 使用 Context 中的 symbol
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# direction=tq_trade.direction, # 实际成交方向
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# volume=tq_trade.volume,
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# price=tq_trade.price,
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# commission=tq_trade.commission,
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# cash_after_trade=self._api.get_account().available,
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# positions_after_trade=self._context.get_current_positions(),
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# realized_pnl=tq_trade.realized_pnl, # Tqsdk TqTrade 对象有 realized_pnl
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# is_open_trade=tq_trade.offset == "OPEN",
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# is_close_trade=tq_trade.offset in ["CLOSE", "CLOSETODAY", "CLOSEYESTERDAY"]
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# )
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# self.trade_history.append(trade)
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# print(f"Engine: 成交记录: {trade}")
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# break # 找到成交就跳出
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# order_to_send.status = tq_order.status # 更新最终状态
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except Exception as e:
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print(f"Engine: 发送订单 {order_to_send.id} 失败: {e}")
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# order_to_send.status = "ERROR"
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if target_volume is not None:
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if order_to_send.symbol not in self.target_pos_dict:
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self.target_pos_dict[order_to_send.symbol] = TargetPosTask(self._api, order_to_send.symbol)
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self.target_pos_dict[order_to_send.symbol].set_target_volume(target_volume)
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else:
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try:
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tq_order = self._api.insert_order(
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symbol=order_to_send.symbol,
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direction=tqsdk_direction,
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offset=tqsdk_offset,
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volume=order_to_send.volume,
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# Tqsdk 市价单 limit_price 设为 None，限价单则传递价格
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limit_price=(
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order_to_send.limit_price
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if order_to_send.price_type == "LIMIT"
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# else self.quote.bid_price1 + (1 if tqsdk_direction == "BUY" else -1)
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else (
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self.quote.bid_price1
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if tqsdk_direction == "SELL"
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else self.quote.ask_price1
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)
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),
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)
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# 更新原始 Order 对象与 Tqsdk 的订单ID和状态
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order_to_send.id = tq_order.order_id
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# order_to_send.order_id = tq_order.order_id
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# order_to_send.status = tq_order.status
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order_to_send.submitted_time = pd.to_datetime(
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tq_order.insert_date_time, unit="ns", utc=True
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)
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self._api.wait_update() # 等待一次更新
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except Exception as e:
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print(f"Engine: 发送订单 {order_to_send.id} 失败: {e}")
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# order_to_send.status = "ERROR"
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# 处理取消请求
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while self._context.cancel_queue:
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@@ -406,15 +395,28 @@ class TqsdkEngine:
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new_bar = False
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if self._api.is_changing(self.klines.iloc[-1], "open"):
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print(f"TqsdkEngine: open change!, open:{self.klines.iloc[-1].open}, now: {datetime.now()}")
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if self._api.is_changing(self.klines.iloc[-1], "datetime"):
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# 等待到整点-00 或 30 分且秒>1
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while True:
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now = datetime.now()
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minute = now.minute
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second = now.second
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if (minute % 30 == 0) and (second > 1):
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break
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# 小粒度休眠，防止 CPU 空转
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time.sleep(0.1)
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# 到这里一定满足“整点-00/30 且秒>1”
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kline_row = self.klines.iloc[-1]
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kline_dt = pd.to_datetime(kline_row.datetime, unit="ns", utc=True)
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kline_dt = kline_dt.tz_convert(BEIJING_TZ)
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self.kline_row = kline_row
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print(
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f"TqsdkEngine: 新k线产生,k line datetime:{kline_dt}, now: {datetime.now()}"
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)
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print(f"TqsdkEngine: 新k线产生, k line datetime:{kline_dt}, now: {datetime.now()}")
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self.main(kline_row, self.klines.iloc[-2])
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new_bar = True
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