更新qmt代码

.gitignore

@@ -22,3 +22,5 @@ model
 
 **/mlruns/
 **/mnt/
+
+/qmt/config.json

qmt/qmt_trader.py

@@ -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 =================
+# 全局变量占位 (稍后在 main 中初始化)
-QMT_PATH = r'D:\qmt\投研\迅投极速交易终端睿智融科版\userdata'
+CONFIG = {}
-ACCOUNT_ID = '2000128'
+ORDER_CACHE = {}
-ACCOUNT_TYPE = 'STOCK'
 
-REDIS_HOST = '127.0.0.1'
+# ================= 配置加载模块 =================
-REDIS_PORT = 6379
+def load_config(config_file='config.json'):
-REDIS_PASS = None
+    """
+    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__))
         
-# 策略基础名称 (不需要加 _real，代码会自动加)
+    full_path = os.path.join(base_path, config_file)
-STRATEGY_BASE_NAME = 'default_strategy'
-# ===========================================
     
-# 定义监听的队列名称 (只监听实盘队列，物理屏蔽回测数据)
+    if not os.path.exists(full_path):
-LISTEN_QUEUE = f"{STRATEGY_BASE_NAME}_real"
+        # 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)
+
+# ================= 业务逻辑类 (保持不变) =================
+
+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):
+    def __init__(self, pos_mgr):
-        print("连接断开")
+        self.pos_mgr = pos_mgr
 
-    def on_stock_order(self, order):
+    def on_disconnected(self):
-        print(f"委托回报: {order.order_id} {order.order_remark}")
+        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}")
-
-
-def init_redis():
         try:
-        r = redis.Redis(host=REDIS_HOST, port=REDIS_PORT, password=REDIS_PASS, decode_responses=True)
+            order_id = order_error.order_id
-        r.ping()
+            print(f">>> [下单失败] ID:{order_id} Msg:{order_error.error_msg}")
-        return r
+            cache_info = ORDER_CACHE.get(order_id)
-    except Exception as e:
+            if cache_info:
-        print(f"Redis连接失败: {e}")
+                strategy_name, stock_code, action_type = cache_info
-        return None
+                if action_type == 'BUY':
+                    self.pos_mgr.rollback_holding(strategy_name, stock_code)
+                del ORDER_CACHE[order_id]
+        except: pass
 
 
-def is_msg_valid(data):
+def process_strategy_queue(strategy_name, r_client, xt_trader, acc, pos_manager):
-    """
+    queue_key = f"{strategy_name}_real"
-    【安全核心】校验消息时效性与合法性
+    msg_json = r_client.lpop(queue_key)
-    """
-    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}")
+    try:
         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:
+            if not asset: return
-                print("错误：无法查询资产")
-                return
             
-            current_cash = asset.cash
+            target_amount = asset.cash / empty_slots
+            if target_amount < 2000: return
 
-            # 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,
+                order_id = xt_trader.order_stock(acc, stock_code, xtconstant.STOCK_BUY, vol, xtconstant.FIX_PRICE, price, strategy_name, 'PyBuy')
-                                      STRATEGY_BASE_NAME, 'PyBuy')
+                if order_id != -1:
-                print(f"买入下单: {stock_code} {vol}股")
+                    print(f"[{strategy_name}] 买入 {stock_code} {vol}股 (1/{empty_slots})")
-            else:
+                    ORDER_CACHE[order_id] = (strategy_name, stock_code, 'BUY')
-                print(f"计算股数不足100股")
+                    pos_manager.mark_holding(strategy_name, stock_code)
 
-        # =========================================================
-        #   卖出逻辑 (清仓)
-        # =========================================================
         elif action == 'SELL':
-            positions = xt_trader.query_stock_positions(acc)
+            virtual_vol = pos_manager.get_position(strategy_name, stock_code)
-            target_pos = next((p for p in positions if p.stock_code == stock_code), None)
+            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
                 
-            if target_pos and target_pos.can_use_volume > 0:
+                final_vol = min(virtual_vol, real_can_use)
-                xt_trader.order_stock(acc, stock_code, xtconstant.STOCK_SELL, target_pos.can_use_volume,
+                if final_vol > 0:
-                                      xtconstant.FIX_PRICE, price, STRATEGY_BASE_NAME, 'PySell')
+                    order_id = xt_trader.order_stock(acc, stock_code, xtconstant.STOCK_SELL, final_vol, xtconstant.FIX_PRICE, price, strategy_name, 'PySell')
-                print(f"卖出下单: {stock_code} {target_pos.can_use_volume}股")
+                    if order_id != -1:
-            else:
+                        print(f"[{strategy_name}] 卖出 {stock_code} {final_vol}股")
-                print(f"无可用持仓: {stock_code}")
+                        ORDER_CACHE[order_id] = (strategy_name, stock_code, 'SELL')
 
-    except Exception as e:
+    except Exception:
-        print(f"处理异常: {e}")
         traceback.print_exc()
 
-
+# ================= 主程序入口 =================
 if __name__ == '__main__':
-    r_client = init_redis()
+    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}")
+
+    # 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)
+
+    # 3. 连接 QMT
+    try:
         session_id = int(time.time())
-    xt_trader = XtQuantTrader(QMT_PATH, session_id)
+        xt_trader = XtQuantTrader(qmt_cfg['path'], session_id)
-    acc = StockAccount(ACCOUNT_ID, ACCOUNT_TYPE)
+        
-    callback = MyXtQuantTraderCallback()
+        acc = StockAccount(qmt_cfg['account_id'], qmt_cfg['account_type'])
+        
+        callback = MyXtQuantTraderCallback(pos_manager)
         xt_trader.register_callback(callback)
+        
         xt_trader.start()
-    xt_trader.connect()
+        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)
             
-    print(f"=== 启动监听: {LISTEN_QUEUE} ===")
+    except Exception as e:
-    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。")
+        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:
-        if r_client:
+            now = datetime.datetime.now()
-            process_redis_signal(r_client, xt_trader, acc)
+            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")