252 lines
8.8 KiB
Python
252 lines
8.8 KiB
Python
|
import redis
|
|||
|
|
import json
|
|||
|
|
import socket
|
|||
|
|
import os
|
|||
|
|
from typing import Dict, Any, Optional
|
|||
|
|
|
|||
|
|
# --- 模块级全局变量 ---
|
|||
|
|
_BACKTEST_SEND_COUNT = 0
|
|||
|
|
|
|||
|
|
# --- Stream 配置常量 ---
|
|||
|
|
STREAM_PREFIX = "qmt"
|
|||
|
|
MAXLEN = 1000 # Stream 最大长度
|
|||
|
|
|
|||
|
|
|
|||
|
|
def _get_stream_key(strategy_name: str, is_backtest: bool = False) -> str:
|
|||
|
|
"""获取流键名
|
|||
|
|
|
|||
|
|
Args:
|
|||
|
|
strategy_name: 策略名称
|
|||
|
|
is_backtest: 是否为回测模式
|
|||
|
|
|
|||
|
|
Returns:
|
|||
|
|
流键名，格式: qmt:{strategy_name}:real 或 qmt:{strategy_name}:backtest
|
|||
|
|
"""
|
|||
|
|
suffix = "backtest" if is_backtest else "real"
|
|||
|
|
return f"{STREAM_PREFIX}:{strategy_name}:{suffix}"
|
|||
|
|
|
|||
|
|
|
|||
|
|
def _create_redis_client(redis_config: Dict[str, Any]) -> redis.Redis:
|
|||
|
|
"""创建 Redis 客户端"""
|
|||
|
|
return redis.Redis(
|
|||
|
|
host=redis_config.get("host", "localhost"),
|
|||
|
|
port=redis_config.get("port", 6379),
|
|||
|
|
password=redis_config.get("password"),
|
|||
|
|
db=redis_config.get("db", 0),
|
|||
|
|
decode_responses=True,
|
|||
|
|
socket_timeout=1,
|
|||
|
|
)
|
|||
|
|
|
|||
|
|
|
|||
|
|
def _send_to_stream(
|
|||
|
|
r: redis.Redis,
|
|||
|
|
strategy_name: str,
|
|||
|
|
message_data: Dict[str, Any],
|
|||
|
|
is_backtest: bool = False,
|
|||
|
|
) -> Optional[str]:
|
|||
|
|
"""发送消息到 Redis Stream
|
|||
|
|
|
|||
|
|
Args:
|
|||
|
|
r: Redis 客户端
|
|||
|
|
strategy_name: 策略名称
|
|||
|
|
message_data: 消息数据字典
|
|||
|
|
is_backtest: 是否为回测消息
|
|||
|
|
|
|||
|
|
Returns:
|
|||
|
|
消息ID (格式: timestamp-sequence)，失败返回 None
|
|||
|
|
"""
|
|||
|
|
stream_key = _get_stream_key(strategy_name, is_backtest)
|
|||
|
|
|
|||
|
|
try:
|
|||
|
|
# 确保消息数据是字符串格式
|
|||
|
|
message_json = json.dumps(message_data, ensure_ascii=False)
|
|||
|
|
|
|||
|
|
# 使用 XADD 发送消息，设置最大长度
|
|||
|
|
message_id = r.xadd(
|
|||
|
|
stream_key,
|
|||
|
|
{"data": message_json},
|
|||
|
|
maxlen=MAXLEN,
|
|||
|
|
approximate=True, # 使用近似裁剪，提高性能
|
|||
|
|
)
|
|||
|
|
|
|||
|
|
return message_id
|
|||
|
|
|
|||
|
|
except Exception as e:
|
|||
|
|
print(f"[Error] Stream 发送失败: {e}")
|
|||
|
|
return None
|
|||
|
|
|
|||
|
|
|
|||
|
|
def _convert_code_to_qmt(code: str) -> str:
|
|||
|
|
"""股票代码格式转换: 聚宽(.XSHE/.XSHG) -> QMT(.SZ/.SH)"""
|
|||
|
|
if code.endswith(".XSHE"):
|
|||
|
|
return code.replace(".XSHE", ".SZ")
|
|||
|
|
elif code.endswith(".XSHG"):
|
|||
|
|
return code.replace(".XSHG", ".SH")
|
|||
|
|
return code
|
|||
|
|
|
|||
|
|
|
|||
|
|
def send_qmt_signal(code, target_total_slots, price, context, redis_config):
|
|||
|
|
"""
|
|||
|
|
发送信号到 Redis Stream (基于槽位状态判断买卖意图)
|
|||
|
|
|
|||
|
|
参数:
|
|||
|
|
- code: 股票代码 (聚宽格式: 000001.XSHE)
|
|||
|
|
- target_total_slots:
|
|||
|
|
* 意向持仓时: 传入策略设定的总槽位数 (例如 5)。此时 action 判定为 BUY。
|
|||
|
|
* 意向清仓时: 传入 0。此时 action 判定为 SELL。
|
|||
|
|
- price: 当前最新价格 (用于实盘限价单参考)
|
|||
|
|
- context: 聚宽上下文对象
|
|||
|
|
- redis_config: Redis配置字典，包含 host, port, password, db, strategy_name
|
|||
|
|
"""
|
|||
|
|
global _BACKTEST_SEND_COUNT
|
|||
|
|
|
|||
|
|
try:
|
|||
|
|
# ---------------------------------------------------------
|
|||
|
|
# 1. 环境判断与流量控制
|
|||
|
|
# ---------------------------------------------------------
|
|||
|
|
run_type = context.run_params.type
|
|||
|
|
is_backtest = run_type in ["simple_backtest", "full_backtest"]
|
|||
|
|
|
|||
|
|
if is_backtest:
|
|||
|
|
if _BACKTEST_SEND_COUNT >= 10:
|
|||
|
|
print(f"[流量控制] 回测消息已达上限 (10条)，跳过发送")
|
|||
|
|
return
|
|||
|
|
_BACKTEST_SEND_COUNT += 1
|
|||
|
|
|
|||
|
|
# ---------------------------------------------------------
|
|||
|
|
# 2. 建立 Redis 连接
|
|||
|
|
# ---------------------------------------------------------
|
|||
|
|
r = _create_redis_client(redis_config)
|
|||
|
|
|
|||
|
|
# ---------------------------------------------------------
|
|||
|
|
# 3. 数据转换与规范化
|
|||
|
|
# ---------------------------------------------------------
|
|||
|
|
qmt_code = _convert_code_to_qmt(code)
|
|||
|
|
|
|||
|
|
# 【核心逻辑】：根据 target_total_slots 判断动作
|
|||
|
|
if target_total_slots > 0:
|
|||
|
|
action = "BUY"
|
|||
|
|
slots_val = int(target_total_slots)
|
|||
|
|
else:
|
|||
|
|
action = "SELL"
|
|||
|
|
slots_val = 0
|
|||
|
|
|
|||
|
|
# ---------------------------------------------------------
|
|||
|
|
# 4. 构建消息体
|
|||
|
|
# ---------------------------------------------------------
|
|||
|
|
base_strategy_name = redis_config.get("strategy_name", "default_strategy")
|
|||
|
|
ts_str = context.current_dt.strftime("%Y-%m-%d %H:%M:%S")
|
|||
|
|
|
|||
|
|
msg = {
|
|||
|
|
"strategy_name": base_strategy_name,
|
|||
|
|
"stock_code": qmt_code,
|
|||
|
|
"action": action,
|
|||
|
|
"price": price,
|
|||
|
|
"total_slots": slots_val,
|
|||
|
|
"timestamp": ts_str,
|
|||
|
|
"is_backtest": is_backtest,
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
# ---------------------------------------------------------
|
|||
|
|
# 5. 使用 Stream 发送消息
|
|||
|
|
# ---------------------------------------------------------
|
|||
|
|
message_id = _send_to_stream(r, base_strategy_name, msg, is_backtest)
|
|||
|
|
|
|||
|
|
if message_id:
|
|||
|
|
# ---------------------------------------------------------
|
|||
|
|
# 6. 控制台输出
|
|||
|
|
# ---------------------------------------------------------
|
|||
|
|
log_prefix = "【回测】" if is_backtest else "【实盘】"
|
|||
|
|
desc = f"目标总持仓:{slots_val}只" if action == "BUY" else "清仓释放槽位"
|
|||
|
|
print(
|
|||
|
|
f"{log_prefix} 信号同步 -> {qmt_code} | 动作:{action} | {desc} | 时间:{ts_str} | msg_id:{message_id}"
|
|||
|
|
)
|
|||
|
|
else:
|
|||
|
|
print(f"[Error] 发送QMT信号失败: Stream 返回 None")
|
|||
|
|
|
|||
|
|
except Exception as e:
|
|||
|
|
print(f"[Error] 发送QMT信号失败: {e}")
|
|||
|
|
|
|||
|
|
|
|||
|
|
def send_qmt_percentage_signal(
|
|||
|
|
code, position_pct, action, price, is_backtest, timestamp, redis_config
|
|||
|
|
):
|
|||
|
|
"""
|
|||
|
|
发送基于仓位百分比的信号到 Redis Stream
|
|||
|
|
|
|||
|
|
参数:
|
|||
|
|
- code: 股票代码 (聚宽格式: 000001.XSHE)
|
|||
|
|
- position_pct: 目标持仓占总资产的比例 (0.0 ~ 1.0，如 0.2 表示 20%)
|
|||
|
|
- action: 交易动作，"BUY" 或 "SELL"
|
|||
|
|
- price: 当前最新价格 (用于实盘限价单参考)
|
|||
|
|
- is_backtest: 是否为回测模式 (True/False)
|
|||
|
|
- timestamp: 时间戳字符串，格式 "YYYY-MM-DD HH:MM:SS"
|
|||
|
|
- redis_config: Redis配置字典，包含 host, port, password, db, strategy_name
|
|||
|
|
"""
|
|||
|
|
global _BACKTEST_SEND_COUNT
|
|||
|
|
|
|||
|
|
try:
|
|||
|
|
# ---------------------------------------------------------
|
|||
|
|
# 1. 环境判断与流量控制
|
|||
|
|
# ---------------------------------------------------------
|
|||
|
|
if is_backtest:
|
|||
|
|
if _BACKTEST_SEND_COUNT >= 10:
|
|||
|
|
return
|
|||
|
|
_BACKTEST_SEND_COUNT += 1
|
|||
|
|
|
|||
|
|
# ---------------------------------------------------------
|
|||
|
|
# 2. 建立 Redis 连接
|
|||
|
|
# ---------------------------------------------------------
|
|||
|
|
r = _create_redis_client(redis_config)
|
|||
|
|
|
|||
|
|
# ---------------------------------------------------------
|
|||
|
|
# 3. 数据转换与规范化
|
|||
|
|
# ---------------------------------------------------------
|
|||
|
|
qmt_code = _convert_code_to_qmt(code)
|
|||
|
|
|
|||
|
|
# 校验 action 参数
|
|||
|
|
if action not in ["BUY", "SELL"]:
|
|||
|
|
print(f"[Error] 无效的 action 参数: {action}，必须是 'BUY' 或 'SELL'")
|
|||
|
|
return
|
|||
|
|
|
|||
|
|
# ---------------------------------------------------------
|
|||
|
|
# 4. 构建消息体
|
|||
|
|
# ---------------------------------------------------------
|
|||
|
|
base_strategy_name = redis_config.get("strategy_name", "default_strategy")
|
|||
|
|
|
|||
|
|
msg = {
|
|||
|
|
"strategy_name": base_strategy_name,
|
|||
|
|
"stock_code": qmt_code,
|
|||
|
|
"action": action,
|
|||
|
|
"price": price,
|
|||
|
|
"position_pct": float(position_pct),
|
|||
|
|
"timestamp": timestamp,
|
|||
|
|
"is_backtest": is_backtest,
|
|||
|
|
}
|
|||
|
|
|
|||
|
|
# ---------------------------------------------------------
|
|||
|
|
# 5. 使用 Stream 发送消息
|
|||
|
|
# ---------------------------------------------------------
|
|||
|
|
message_id = _send_to_stream(r, base_strategy_name, msg, is_backtest)
|
|||
|
|
|
|||
|
|
if message_id:
|
|||
|
|
# ---------------------------------------------------------
|
|||
|
|
# 6. 控制台输出
|
|||
|
|
# ---------------------------------------------------------
|
|||
|
|
log_prefix = "【回测】" if is_backtest else "【实盘】"
|
|||
|
|
pct_display = f"{position_pct * 100:.1f}%"
|
|||
|
|
desc = f"目标仓位:{pct_display}" if action == "BUY" else "清仓"
|
|||
|
|
print(
|
|||
|
|
f"{log_prefix} 百分比信号 -> {qmt_code} | 动作:{action} | {desc} | 价格:{price} | 时间:{timestamp} | msg_id:{message_id}"
|
|||
|
|
)
|
|||
|
|
else:
|
|||
|
|
print(f"[Error] 发送QMT百分比信号失败: Stream 返回 None")
|
|||
|
|
|
|||
|
|
except Exception as e:
|
|||
|
|
print(f"[Error] 发送QMT百分比信号失败: {e}")
|
|||
|
|
|
|||
|
|
|
|||
|
|
# 便捷函数别名，保持向后兼容
|
|||
|
|
send_signal = send_qmt_signal
|
|||
|
|
send_percentage_signal = send_qmt_percentage_signal
|