更新qmt代码
This commit is contained in:
@@ -1,182 +1,314 @@
|
||||
# coding:utf-8
|
||||
import time, datetime, traceback, sys, json
|
||||
import time, datetime, traceback, sys, json, os
|
||||
import redis
|
||||
from xtquant import xtdata
|
||||
from xtquant.xttrader import XtQuantTrader, XtQuantTraderCallback
|
||||
from xtquant.xttype import StockAccount
|
||||
from xtquant import xtconstant
|
||||
|
||||
# ================= 配置区域 =================
|
||||
QMT_PATH = r'D:\qmt\投研\迅投极速交易终端睿智融科版\userdata'
|
||||
ACCOUNT_ID = '2000128'
|
||||
ACCOUNT_TYPE = 'STOCK'
|
||||
# 全局变量占位 (稍后在 main 中初始化)
|
||||
CONFIG = {}
|
||||
ORDER_CACHE = {}
|
||||
|
||||
REDIS_HOST = '127.0.0.1'
|
||||
REDIS_PORT = 6379
|
||||
REDIS_PASS = None
|
||||
# ================= 配置加载模块 =================
|
||||
def load_config(config_file='config.json'):
|
||||
"""
|
||||
读取同级目录下的配置文件
|
||||
"""
|
||||
# 获取脚本所在目录
|
||||
if getattr(sys, 'frozen', False):
|
||||
# 如果被打包为exe
|
||||
base_path = os.path.dirname(sys.executable)
|
||||
else:
|
||||
# 普通脚本运行
|
||||
base_path = os.path.dirname(os.path.abspath(__file__))
|
||||
|
||||
full_path = os.path.join(base_path, config_file)
|
||||
|
||||
if not os.path.exists(full_path):
|
||||
# 尝试直接读取（兼容 QMT 内置 Python 的路径行为）
|
||||
if os.path.exists(config_file):
|
||||
full_path = config_file
|
||||
else:
|
||||
print(f"[错误] 找不到配置文件: {full_path}")
|
||||
sys.exit(1)
|
||||
|
||||
try:
|
||||
with open(full_path, 'r', encoding='utf-8') as f:
|
||||
config = json.load(f)
|
||||
print(f"成功加载配置: {full_path}")
|
||||
return config
|
||||
except Exception as e:
|
||||
print(f"[错误] 配置文件格式错误: {e}")
|
||||
sys.exit(1)
|
||||
|
||||
# 策略基础名称 (不需要加 _real，代码会自动加)
|
||||
STRATEGY_BASE_NAME = 'default_strategy'
|
||||
# ===========================================
|
||||
# ================= 业务逻辑类 (保持不变) =================
|
||||
|
||||
# 定义监听的队列名称 (只监听实盘队列，物理屏蔽回测数据)
|
||||
LISTEN_QUEUE = f"{STRATEGY_BASE_NAME}_real"
|
||||
class PositionManager:
|
||||
def __init__(self, r_client):
|
||||
self.r = r_client
|
||||
|
||||
def _get_key(self, strategy_name):
|
||||
return f"POS:{strategy_name}"
|
||||
|
||||
def mark_holding(self, strategy_name, code):
|
||||
"""乐观占位"""
|
||||
self.r.hsetnx(self._get_key(strategy_name), code, 0)
|
||||
# print(f"[{strategy_name}] 乐观占位: {code}")
|
||||
|
||||
def rollback_holding(self, strategy_name, code):
|
||||
"""失败回滚"""
|
||||
key = self._get_key(strategy_name)
|
||||
val = self.r.hget(key, code)
|
||||
if val is not None and int(val) == 0:
|
||||
self.r.hdel(key, code)
|
||||
print(f"[{strategy_name}] 回滚释放槽位: {code}")
|
||||
|
||||
def update_actual_volume(self, strategy_name, code, delta_vol):
|
||||
"""成交更新"""
|
||||
key = self._get_key(strategy_name)
|
||||
new_vol = self.r.hincrby(key, code, int(delta_vol))
|
||||
if new_vol <= 0:
|
||||
self.r.hdel(key, code)
|
||||
new_vol = 0
|
||||
return new_vol
|
||||
|
||||
def get_position(self, strategy_name, code):
|
||||
vol = self.r.hget(self._get_key(strategy_name), code)
|
||||
return int(vol) if vol else 0
|
||||
|
||||
def get_holding_count(self, strategy_name):
|
||||
return self.r.hlen(self._get_key(strategy_name))
|
||||
|
||||
def get_all_virtual_positions(self, strategy_name):
|
||||
return self.r.hgetall(self._get_key(strategy_name))
|
||||
|
||||
def force_delete(self, strategy_name, code):
|
||||
self.r.hdel(self._get_key(strategy_name), code)
|
||||
|
||||
|
||||
class DailySettlement:
|
||||
def __init__(self, xt_trader, acc, pos_mgr, strategies):
|
||||
self.trader = xt_trader
|
||||
self.acc = acc
|
||||
self.pos_mgr = pos_mgr
|
||||
self.strategies = strategies
|
||||
self.has_settled = False
|
||||
|
||||
def run_settlement(self):
|
||||
print("\n" + "="*40)
|
||||
print(f"开始收盘清算: {datetime.datetime.now()}")
|
||||
|
||||
# 1. 撤单
|
||||
orders = self.trader.query_stock_orders(self.acc, cancelable_only=True)
|
||||
if orders:
|
||||
for o in orders:
|
||||
self.trader.cancel_order_stock(self.acc, o.order_id)
|
||||
time.sleep(2)
|
||||
|
||||
# 2. 获取实盘真实持仓
|
||||
real_positions = self.trader.query_stock_positions(self.acc)
|
||||
real_pos_map = {}
|
||||
if real_positions:
|
||||
for p in real_positions:
|
||||
if p.volume > 0:
|
||||
real_pos_map[p.stock_code] = p.volume
|
||||
|
||||
# 3. 校准 Redis
|
||||
for strategy in self.strategies:
|
||||
virtual_data = self.pos_mgr.get_all_virtual_positions(strategy)
|
||||
for code, v_vol_str in virtual_data.items():
|
||||
if code not in real_pos_map:
|
||||
print(f" [修正] {strategy} 幽灵持仓 {code} -> 强制释放")
|
||||
self.pos_mgr.force_delete(strategy, code)
|
||||
|
||||
print("清算完成")
|
||||
self.has_settled = True
|
||||
|
||||
def reset_flag(self):
|
||||
self.has_settled = False
|
||||
|
||||
|
||||
class MyXtQuantTraderCallback(XtQuantTraderCallback):
|
||||
def on_disconnected(self):
|
||||
print("连接断开")
|
||||
def __init__(self, pos_mgr):
|
||||
self.pos_mgr = pos_mgr
|
||||
|
||||
def on_stock_order(self, order):
|
||||
print(f"委托回报: {order.order_id} {order.order_remark}")
|
||||
def on_disconnected(self):
|
||||
print(">> 连接断开")
|
||||
|
||||
def on_stock_trade(self, trade):
|
||||
print(f"成交: {trade.stock_code} {trade.traded_volume}")
|
||||
try:
|
||||
order_id = trade.order_id
|
||||
stock_code = trade.stock_code
|
||||
traded_vol = trade.traded_volume
|
||||
|
||||
cache_info = ORDER_CACHE.get(order_id)
|
||||
if not cache_info: return
|
||||
|
||||
strategy_name, cached_code, action_type = cache_info
|
||||
print(f">>> [成交] {strategy_name} {stock_code} 成交量:{traded_vol}")
|
||||
|
||||
if action_type == 'BUY':
|
||||
self.pos_mgr.update_actual_volume(strategy_name, stock_code, traded_vol)
|
||||
elif action_type == 'SELL':
|
||||
self.pos_mgr.update_actual_volume(strategy_name, stock_code, -traded_vol)
|
||||
|
||||
except Exception:
|
||||
traceback.print_exc()
|
||||
|
||||
def on_order_error(self, order_error):
|
||||
print(f"下单失败: {order_error.error_msg}")
|
||||
try:
|
||||
order_id = order_error.order_id
|
||||
print(f">>> [下单失败] ID:{order_id} Msg:{order_error.error_msg}")
|
||||
cache_info = ORDER_CACHE.get(order_id)
|
||||
if cache_info:
|
||||
strategy_name, stock_code, action_type = cache_info
|
||||
if action_type == 'BUY':
|
||||
self.pos_mgr.rollback_holding(strategy_name, stock_code)
|
||||
del ORDER_CACHE[order_id]
|
||||
except: pass
|
||||
|
||||
|
||||
def init_redis():
|
||||
def process_strategy_queue(strategy_name, r_client, xt_trader, acc, pos_manager):
|
||||
queue_key = f"{strategy_name}_real"
|
||||
msg_json = r_client.lpop(queue_key)
|
||||
if not msg_json: return
|
||||
|
||||
try:
|
||||
r = redis.Redis(host=REDIS_HOST, port=REDIS_PORT, password=REDIS_PASS, decode_responses=True)
|
||||
r.ping()
|
||||
return r
|
||||
except Exception as e:
|
||||
print(f"Redis连接失败: {e}")
|
||||
return None
|
||||
|
||||
|
||||
def is_msg_valid(data):
|
||||
"""
|
||||
【安全核心】校验消息时效性与合法性
|
||||
"""
|
||||
try:
|
||||
# 1. 检查是否为回测标记 (防御性编程，虽然队列已物理隔离)
|
||||
if data.get('is_backtest', False):
|
||||
print(f"警报：拦截到回测数据，已丢弃！")
|
||||
return False
|
||||
|
||||
# 2. 检查时间戳
|
||||
msg_time_str = data.get('timestamp')
|
||||
if not msg_time_str:
|
||||
print("数据缺失时间戳，丢弃")
|
||||
return False
|
||||
|
||||
# 解析消息时间
|
||||
# 格式必须匹配策略端发送的 '%Y-%m-%d %H:%M:%S'
|
||||
msg_dt = datetime.datetime.strptime(msg_time_str, '%Y-%m-%d %H:%M:%S')
|
||||
msg_date = msg_dt.date()
|
||||
|
||||
# 获取当前服务器日期
|
||||
today = datetime.date.today()
|
||||
|
||||
# 3. 【核心】判断是否为当天的消息
|
||||
if msg_date != today:
|
||||
print(f"拦截过期消息: 消息日期[{msg_date}] != 今日[{today}]")
|
||||
return False
|
||||
|
||||
# 可选：如果你想更严格，可以判断时间差不能超过5分钟
|
||||
# delta = datetime.datetime.now() - msg_dt
|
||||
# if abs(delta.total_seconds()) > 300: ...
|
||||
|
||||
return True
|
||||
|
||||
except Exception as e:
|
||||
print(f"校验逻辑异常: {e}")
|
||||
return False
|
||||
|
||||
|
||||
def process_redis_signal(r_client, xt_trader, acc):
|
||||
try:
|
||||
msg_json = r_client.lpop(LISTEN_QUEUE)
|
||||
if not msg_json: return
|
||||
|
||||
print(f"收到信号: {msg_json}")
|
||||
data = json.loads(msg_json)
|
||||
|
||||
if not is_msg_valid(data): return # 之前的校验逻辑
|
||||
|
||||
|
||||
# 校验
|
||||
if data.get('is_backtest', False): return
|
||||
msg_ts = data.get('timestamp')
|
||||
if msg_ts:
|
||||
msg_date = datetime.datetime.strptime(msg_ts, '%Y-%m-%d %H:%M:%S').date()
|
||||
if msg_date != datetime.date.today():
|
||||
return
|
||||
|
||||
stock_code = data['stock_code']
|
||||
action = data['action']
|
||||
price = float(data['price'])
|
||||
target_total_slots = int(data.get('total_slots', 1))
|
||||
|
||||
# 获取切分份数
|
||||
# 兼容性处理：如果redis里还是旧key 'weight'，也可以尝试获取
|
||||
div_count = float(data.get('div_count', data.get('weight', 1)))
|
||||
|
||||
# =========================================================
|
||||
# 买入逻辑：资金切片法
|
||||
# =========================================================
|
||||
if action == 'BUY':
|
||||
# 1. 必须查最新的可用资金 (Available Cash)
|
||||
current_holding_count = pos_manager.get_holding_count(strategy_name)
|
||||
empty_slots = target_total_slots - current_holding_count
|
||||
|
||||
if empty_slots <= 0: return
|
||||
|
||||
asset = xt_trader.query_stock_asset(acc)
|
||||
if not asset:
|
||||
print("错误：无法查询资产")
|
||||
return
|
||||
if not asset: return
|
||||
|
||||
target_amount = asset.cash / empty_slots
|
||||
if target_amount < 2000: return
|
||||
|
||||
current_cash = asset.cash
|
||||
|
||||
# 2. 计算下单金额
|
||||
# 逻辑：Amount = Cash / div_count
|
||||
if div_count <= 0: div_count = 1 # 防止除0
|
||||
|
||||
target_amount = current_cash / div_count
|
||||
|
||||
# 3. 打印调试信息 (非常重要)
|
||||
print(f"【资金分配】可用现金:{current_cash:.2f} / 切分份数:{div_count} = 下单金额:{target_amount:.2f}")
|
||||
|
||||
# 4. 计算股数
|
||||
if price <= 0: price = 1.0
|
||||
|
||||
# 过滤小额杂单
|
||||
if target_amount < 2000:
|
||||
print(f"忽略：金额过小 ({target_amount:.2f})")
|
||||
return
|
||||
|
||||
vol = int(target_amount / price / 100) * 100
|
||||
|
||||
|
||||
if vol >= 100:
|
||||
xt_trader.order_stock(acc, stock_code, xtconstant.STOCK_BUY, vol, xtconstant.FIX_PRICE, price,
|
||||
STRATEGY_BASE_NAME, 'PyBuy')
|
||||
print(f"买入下单: {stock_code} {vol}股")
|
||||
else:
|
||||
print(f"计算股数不足100股")
|
||||
order_id = xt_trader.order_stock(acc, stock_code, xtconstant.STOCK_BUY, vol, xtconstant.FIX_PRICE, price, strategy_name, 'PyBuy')
|
||||
if order_id != -1:
|
||||
print(f"[{strategy_name}] 买入 {stock_code} {vol}股 (1/{empty_slots})")
|
||||
ORDER_CACHE[order_id] = (strategy_name, stock_code, 'BUY')
|
||||
pos_manager.mark_holding(strategy_name, stock_code)
|
||||
|
||||
# =========================================================
|
||||
# 卖出逻辑 (清仓)
|
||||
# =========================================================
|
||||
elif action == 'SELL':
|
||||
positions = xt_trader.query_stock_positions(acc)
|
||||
target_pos = next((p for p in positions if p.stock_code == stock_code), None)
|
||||
virtual_vol = pos_manager.get_position(strategy_name, stock_code)
|
||||
if virtual_vol > 0:
|
||||
real_positions = xt_trader.query_stock_positions(acc)
|
||||
real_pos = next((p for p in real_positions if p.stock_code == stock_code), None)
|
||||
real_can_use = real_pos.can_use_volume if real_pos else 0
|
||||
|
||||
final_vol = min(virtual_vol, real_can_use)
|
||||
if final_vol > 0:
|
||||
order_id = xt_trader.order_stock(acc, stock_code, xtconstant.STOCK_SELL, final_vol, xtconstant.FIX_PRICE, price, strategy_name, 'PySell')
|
||||
if order_id != -1:
|
||||
print(f"[{strategy_name}] 卖出 {stock_code} {final_vol}股")
|
||||
ORDER_CACHE[order_id] = (strategy_name, stock_code, 'SELL')
|
||||
|
||||
if target_pos and target_pos.can_use_volume > 0:
|
||||
xt_trader.order_stock(acc, stock_code, xtconstant.STOCK_SELL, target_pos.can_use_volume,
|
||||
xtconstant.FIX_PRICE, price, STRATEGY_BASE_NAME, 'PySell')
|
||||
print(f"卖出下单: {stock_code} {target_pos.can_use_volume}股")
|
||||
else:
|
||||
print(f"无可用持仓: {stock_code}")
|
||||
|
||||
except Exception as e:
|
||||
print(f"处理异常: {e}")
|
||||
except Exception:
|
||||
traceback.print_exc()
|
||||
|
||||
|
||||
# ================= 主程序入口 =================
|
||||
if __name__ == '__main__':
|
||||
r_client = init_redis()
|
||||
session_id = int(time.time())
|
||||
xt_trader = XtQuantTrader(QMT_PATH, session_id)
|
||||
acc = StockAccount(ACCOUNT_ID, ACCOUNT_TYPE)
|
||||
callback = MyXtQuantTraderCallback()
|
||||
xt_trader.register_callback(callback)
|
||||
xt_trader.start()
|
||||
xt_trader.connect()
|
||||
xt_trader.subscribe(acc)
|
||||
print("正在启动...")
|
||||
|
||||
# 1. 加载配置
|
||||
CONFIG = load_config('config.json')
|
||||
|
||||
# 从配置中提取参数
|
||||
redis_cfg = CONFIG['redis']
|
||||
qmt_cfg = CONFIG['qmt']
|
||||
watch_list = CONFIG['strategies']
|
||||
|
||||
print(f"Redis目标: {redis_cfg['host']}:{redis_cfg['port']}")
|
||||
print(f"QMT路径: {qmt_cfg['path']}")
|
||||
print(f"监听策略: {watch_list}")
|
||||
|
||||
print(f"=== 启动监听: {LISTEN_QUEUE} ===")
|
||||
print("只处理当日的实盘/模拟信号，自动过滤回测数据及历史遗留数据。")
|
||||
# 2. 连接 Redis
|
||||
try:
|
||||
r = redis.Redis(
|
||||
host=redis_cfg['host'],
|
||||
port=redis_cfg['port'],
|
||||
password=redis_cfg['password'],
|
||||
db=redis_cfg['db'],
|
||||
decode_responses=True
|
||||
)
|
||||
r.ping()
|
||||
print("Redis 连接成功")
|
||||
pos_manager = PositionManager(r)
|
||||
except Exception as e:
|
||||
print(f"[FATAL] Redis 连接失败: {e}")
|
||||
sys.exit(1)
|
||||
|
||||
while True:
|
||||
if r_client:
|
||||
process_redis_signal(r_client, xt_trader, acc)
|
||||
time.sleep(60)
|
||||
# 3. 连接 QMT
|
||||
try:
|
||||
session_id = int(time.time())
|
||||
xt_trader = XtQuantTrader(qmt_cfg['path'], session_id)
|
||||
|
||||
acc = StockAccount(qmt_cfg['account_id'], qmt_cfg['account_type'])
|
||||
|
||||
callback = MyXtQuantTraderCallback(pos_manager)
|
||||
xt_trader.register_callback(callback)
|
||||
|
||||
xt_trader.start()
|
||||
connect_res = xt_trader.connect()
|
||||
|
||||
if connect_res == 0:
|
||||
print(f"QMT 连接成功: {qmt_cfg['account_id']}")
|
||||
xt_trader.subscribe(acc)
|
||||
else:
|
||||
print(f"[FATAL] QMT 连接失败，错误码: {connect_res}")
|
||||
sys.exit(1)
|
||||
|
||||
except Exception as e:
|
||||
print(f"[FATAL] QMT 初始化异常: {e}")
|
||||
sys.exit(1)
|
||||
|
||||
# 4. 初始化清算器
|
||||
settler = DailySettlement(xt_trader, acc, pos_manager, watch_list)
|
||||
|
||||
print("=== 系统就绪，开始监听 ===")
|
||||
|
||||
try:
|
||||
while True:
|
||||
now = datetime.datetime.now()
|
||||
current_time_str = now.strftime('%H%M')
|
||||
|
||||
# 交易时段
|
||||
if '0900' <= current_time_str <= '1500':
|
||||
if settler.has_settled:
|
||||
settler.reset_flag()
|
||||
|
||||
for strategy in watch_list:
|
||||
process_strategy_queue(strategy, r, xt_trader, acc, pos_manager)
|
||||
|
||||
# 收盘清算时段
|
||||
elif '1505' <= current_time_str <= '1510':
|
||||
if not settler.has_settled:
|
||||
settler.run_settlement()
|
||||
|
||||
time.sleep(60)
|
||||
|
||||
except KeyboardInterrupt:
|
||||
print("用户终止程序")
|
||||
Reference in New Issue
Block a user