Merge branch 'master' of ssh://140.143.91.66:2221/liaozhaorun/NewStock
# Conflicts: # .gitignore
This commit is contained in:
5
.gitignore
vendored
5
.gitignore
vendored
@@ -23,4 +23,7 @@ model
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**/mlruns/
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**/mnt/
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predications_test.csv
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predications_test.csv
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/qmt/config.json
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/qmt/logs/*
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@@ -1,182 +1,406 @@
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# coding:utf-8
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import time, datetime, traceback, sys, json
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import time, datetime, traceback, sys, json, os
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import logging
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import redis
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from xtquant import xtdata
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from xtquant.xttrader import XtQuantTrader, XtQuantTraderCallback
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from xtquant.xttype import StockAccount
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from xtquant import xtconstant
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# ================= 配置区域 =================
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QMT_PATH = r'D:\qmt\投研\迅投极速交易终端睿智融科版\userdata'
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ACCOUNT_ID = '2000128'
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ACCOUNT_TYPE = 'STOCK'
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# 全局变量
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CURRENT_LOG_DATE = None
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CONFIG = {}
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ORDER_CACHE = {}
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REDIS_HOST = '127.0.0.1'
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REDIS_PORT = 6379
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REDIS_PASS = None
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# ================= 1. 日志系统 (按日期直写) =================
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def setup_logger():
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"""
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配置日志系统：
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每天生成一个新的日志文件，文件名格式为 YYYY-MM-DD.log
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"""
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global CURRENT_LOG_DATE
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log_dir = "logs"
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if not os.path.exists(log_dir):
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os.makedirs(log_dir)
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# 策略基础名称 (不需要加 _real，代码会自动加)
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STRATEGY_BASE_NAME = 'default_strategy'
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# ===========================================
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# 获取今日日期
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today_str = datetime.date.today().strftime('%Y-%m-%d')
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CURRENT_LOG_DATE = today_str
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# 定义监听的队列名称 (只监听实盘队列，物理屏蔽回测数据)
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LISTEN_QUEUE = f"{STRATEGY_BASE_NAME}_real"
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log_file = os.path.join(log_dir, f"{today_str}.log")
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logger = logging.getLogger("QMT_Trader")
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logger.setLevel(logging.INFO)
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# 清除旧 handler
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if logger.handlers:
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for handler in logger.handlers[:]:
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try:
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handler.close()
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logger.removeHandler(handler)
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except: pass
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formatter = logging.Formatter(
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'[%(asctime)s] [%(levelname)s] %(message)s',
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datefmt='%Y-%m-%d %H:%M:%S'
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)
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# 文件输出
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file_handler = logging.FileHandler(log_file, mode='a', encoding='utf-8')
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file_handler.setFormatter(formatter)
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# 控制台输出
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stream_handler = logging.StreamHandler(sys.stdout)
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stream_handler.setFormatter(formatter)
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logger.addHandler(file_handler)
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logger.addHandler(stream_handler)
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return logger
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# 初始化日志
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logger = setup_logger()
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# ================= 2. 配置加载 =================
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def load_config(config_file='config.json'):
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if getattr(sys, 'frozen', False):
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base_path = os.path.dirname(sys.executable)
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else:
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base_path = os.path.dirname(os.path.abspath(__file__))
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full_path = os.path.join(base_path, config_file)
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if not os.path.exists(full_path):
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if os.path.exists(config_file): full_path = config_file
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else:
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logger.error(f"找不到配置文件: {full_path}")
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sys.exit(1)
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try:
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with open(full_path, 'r', encoding='utf-8') as f:
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return json.load(f)
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except Exception as e:
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logger.error(f"配置文件错误: {e}")
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sys.exit(1)
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# ================= 3. 业务逻辑类 =================
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class PositionManager:
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def __init__(self, r_client):
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self.r = r_client
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def _get_key(self, strategy_name):
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return f"POS:{strategy_name}"
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def mark_holding(self, strategy_name, code):
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"""乐观占位"""
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self.r.hsetnx(self._get_key(strategy_name), code, 0)
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def rollback_holding(self, strategy_name, code):
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"""失败回滚"""
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key = self._get_key(strategy_name)
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val = self.r.hget(key, code)
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if val is not None and int(val) == 0:
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self.r.hdel(key, code)
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logger.warning(f"[{strategy_name}] 回滚释放槽位: {code}")
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def update_actual_volume(self, strategy_name, code, delta_vol):
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"""成交更新"""
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key = self._get_key(strategy_name)
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new_vol = self.r.hincrby(key, code, int(delta_vol))
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if new_vol <= 0:
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self.r.hdel(key, code)
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new_vol = 0
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return new_vol
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def get_position(self, strategy_name, code):
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vol = self.r.hget(self._get_key(strategy_name), code)
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return int(vol) if vol else 0
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def get_holding_count(self, strategy_name):
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return self.r.hlen(self._get_key(strategy_name))
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def get_all_virtual_positions(self, strategy_name):
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return self.r.hgetall(self._get_key(strategy_name))
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def force_delete(self, strategy_name, code):
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self.r.hdel(self._get_key(strategy_name), code)
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class DailySettlement:
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def __init__(self, xt_trader, acc, pos_mgr, strategies):
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self.trader = xt_trader
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self.acc = acc
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self.pos_mgr = pos_mgr
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self.strategies = strategies
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self.has_settled = False
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def run_settlement(self):
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logger.info("="*40)
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logger.info("执行收盘清算流程...")
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# 1. 撤单
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try:
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orders = self.trader.query_stock_orders(self.acc, cancelable_only=True)
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if orders:
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for o in orders:
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self.trader.cancel_order_stock(self.acc, o.order_id)
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time.sleep(2)
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except: pass
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# 2. 获取实盘
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real_positions = self.trader.query_stock_positions(self.acc)
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real_pos_map = {}
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if real_positions:
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for p in real_positions:
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if p.volume > 0: real_pos_map[p.stock_code] = p.volume
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# 3. 校准Redis
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for strategy in self.strategies:
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virtual = self.pos_mgr.get_all_virtual_positions(strategy)
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for code, v in virtual.items():
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if code not in real_pos_map:
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logger.warning(f" [修正] {strategy} 幽灵持仓 {code} -> 释放")
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self.pos_mgr.force_delete(strategy, code)
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logger.info("清算完成")
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self.has_settled = True
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def reset_flag(self):
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self.has_settled = False
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# ================= 4. 回调类 =================
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class MyXtQuantTraderCallback(XtQuantTraderCallback):
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def __init__(self, pos_mgr):
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self.pos_mgr = pos_mgr
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self.is_connected = False
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def on_disconnected(self):
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print("连接断开")
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def on_stock_order(self, order):
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print(f"委托回报: {order.order_id} {order.order_remark}")
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logger.warning(">> 回调通知: 交易端连接断开")
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self.is_connected = False
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def on_stock_trade(self, trade):
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print(f"成交: {trade.stock_code} {trade.traded_volume}")
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try:
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cache_info = ORDER_CACHE.get(trade.order_id)
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if not cache_info: return
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strategy, _, action = cache_info
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logger.info(f">>> [成交] {strategy} {trade.stock_code} {trade.traded_volume}")
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if action == 'BUY': self.pos_mgr.update_actual_volume(strategy, trade.stock_code, trade.traded_volume)
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elif action == 'SELL': self.pos_mgr.update_actual_volume(strategy, trade.stock_code, -trade.traded_volume)
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except: traceback.print_exc()
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def on_order_error(self, err):
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try:
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logger.error(f"下单失败: {err.error_msg}")
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cache = ORDER_CACHE.get(err.order_id)
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if cache and cache[2] == 'BUY':
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self.pos_mgr.rollback_holding(cache[0], cache[1])
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del ORDER_CACHE[err.order_id]
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except: pass
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def on_order_error(self, order_error):
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print(f"下单失败: {order_error.error_msg}")
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# ================= 5. 核心消息处理 =================
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def process_strategy_queue(strategy_name, r_client, xt_trader, acc, pos_manager):
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queue_key = f"{strategy_name}_real"
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msg_json = r_client.lpop(queue_key)
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if not msg_json: return
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def init_redis():
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try:
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r = redis.Redis(host=REDIS_HOST, port=REDIS_PORT, password=REDIS_PASS, decode_responses=True)
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r.ping()
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return r
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except Exception as e:
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print(f"Redis连接失败: {e}")
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return None
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def is_msg_valid(data):
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"""
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【安全核心】校验消息时效性与合法性
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"""
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try:
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# 1. 检查是否为回测标记 (防御性编程，虽然队列已物理隔离)
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if data.get('is_backtest', False):
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print(f"警报：拦截到回测数据，已丢弃！")
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return False
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# 2. 检查时间戳
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msg_time_str = data.get('timestamp')
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if not msg_time_str:
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print("数据缺失时间戳，丢弃")
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return False
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# 解析消息时间
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# 格式必须匹配策略端发送的 '%Y-%m-%d %H:%M:%S'
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msg_dt = datetime.datetime.strptime(msg_time_str, '%Y-%m-%d %H:%M:%S')
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msg_date = msg_dt.date()
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# 获取当前服务器日期
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today = datetime.date.today()
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# 3. 【核心】判断是否为当天的消息
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if msg_date != today:
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print(f"拦截过期消息: 消息日期[{msg_date}] != 今日[{today}]")
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return False
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# 可选：如果你想更严格，可以判断时间差不能超过5分钟
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# delta = datetime.datetime.now() - msg_dt
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# if abs(delta.total_seconds()) > 300: ...
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return True
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except Exception as e:
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print(f"校验逻辑异常: {e}")
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return False
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def process_redis_signal(r_client, xt_trader, acc):
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try:
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msg_json = r_client.lpop(LISTEN_QUEUE)
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if not msg_json: return
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print(f"收到信号: {msg_json}")
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# 归档
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r_client.rpush(f"{queue_key}:history", msg_json)
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data = json.loads(msg_json)
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if not is_msg_valid(data): return # 之前的校验逻辑
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# 1. 过滤回测
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if data.get('is_backtest'): return
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# 2. 校验日期 (只处理当日消息)
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msg_ts = data.get('timestamp')
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today_str = datetime.date.today().strftime('%Y-%m-%d')
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if msg_ts:
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msg_date = msg_ts.split(' ')[0]
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if msg_date != today_str:
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logger.warning(f"[{strategy_name}] 拦截非当日消息: MsgDate={msg_date}")
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return
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else:
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logger.warning(f"[{strategy_name}] 消息无时间戳，忽略")
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||||
return
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stock_code = data['stock_code']
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action = data['action']
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price = float(data['price'])
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total_slots = int(data.get('total_slots', 1))
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# 获取切分份数
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# 兼容性处理：如果redis里还是旧key 'weight'，也可以尝试获取
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div_count = float(data.get('div_count', data.get('weight', 1)))
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# =========================================================
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# 买入逻辑：资金切片法
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# =========================================================
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if action == 'BUY':
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# 1. 必须查最新的可用资金 (Available Cash)
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# 槽位检查
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holding = pos_manager.get_holding_count(strategy_name)
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empty = total_slots - holding
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if empty <= 0:
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logger.warning(f"[{strategy_name}] 拦截买入: 槽位已满 (Target:{total_slots} Held:{holding})")
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return
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asset = xt_trader.query_stock_asset(acc)
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if not asset:
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print("错误：无法查询资产")
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if not asset:
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logger.error("无法查询资产，QMT可能未就绪")
|
||||
return
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||||
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||||
current_cash = asset.cash
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# 2. 计算下单金额
|
||||
# 逻辑：Amount = Cash / div_count
|
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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
|
||||
|
||||
# 金额计算
|
||||
amt = asset.cash / empty
|
||||
if amt < 2000:
|
||||
logger.warning(f"[{strategy_name}] 拦截买入: 金额过小 ({amt:.2f})")
|
||||
return
|
||||
|
||||
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
|
||||
|
||||
vol = int(amt / 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")
|
||||
oid = xt_trader.order_stock(acc, stock_code, xtconstant.STOCK_BUY, vol, xtconstant.FIX_PRICE, price, strategy_name, 'PyBuy')
|
||||
if oid != -1:
|
||||
logger.info(f"[{strategy_name}] 发出买单: {stock_code} {vol}股 ID:{oid}")
|
||||
ORDER_CACHE[oid] = (strategy_name, stock_code, 'BUY')
|
||||
pos_manager.mark_holding(strategy_name, stock_code)
|
||||
else:
|
||||
logger.error(f"[{strategy_name}] 下单被拒绝 (-1)")
|
||||
else:
|
||||
print(f"计算股数不足100股")
|
||||
logger.warning(f"[{strategy_name}] 股数不足100 (Amt:{amt:.2f})")
|
||||
|
||||
# =========================================================
|
||||
# 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)
|
||||
|
||||
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")
|
||||
v_vol = pos_manager.get_position(strategy_name, stock_code)
|
||||
if v_vol > 0:
|
||||
real_pos = xt_trader.query_stock_positions(acc)
|
||||
rp = next((p for p in real_pos if p.stock_code==stock_code), None)
|
||||
can_use = rp.can_use_volume if rp else 0
|
||||
|
||||
final = min(v_vol, can_use)
|
||||
if final > 0:
|
||||
oid = xt_trader.order_stock(acc, stock_code, xtconstant.STOCK_SELL, final, xtconstant.FIX_PRICE, price, strategy_name, 'PySell')
|
||||
if oid != -1:
|
||||
logger.info(f"[{strategy_name}] 发出卖单: {stock_code} {final}")
|
||||
ORDER_CACHE[oid] = (strategy_name, stock_code, 'SELL')
|
||||
else:
|
||||
logger.warning(f"[{strategy_name}] 卖出拦截: 虚拟{v_vol}但实盘可用{can_use}")
|
||||
else:
|
||||
print(f"无可用持仓: {stock_code}")
|
||||
logger.info(f"[{strategy_name}] Redis无持仓，忽略卖出")
|
||||
|
||||
except Exception:
|
||||
logger.error("消息处理异常", exc_info=True)
|
||||
|
||||
|
||||
# ================= 6. QMT初始化 =================
|
||||
def init_qmt_trader(qmt_path, account_id, account_type, pos_manager):
|
||||
try:
|
||||
session_id = int(time.time())
|
||||
trader = XtQuantTrader(qmt_path, session_id)
|
||||
acc = StockAccount(account_id, account_type)
|
||||
callback = MyXtQuantTraderCallback(pos_manager)
|
||||
trader.register_callback(callback)
|
||||
trader.start()
|
||||
res = trader.connect()
|
||||
if res == 0:
|
||||
logger.info(f"QMT 连接成功 [Session:{session_id}]")
|
||||
trader.subscribe(acc)
|
||||
callback.is_connected = True
|
||||
return trader, acc, callback
|
||||
else:
|
||||
logger.error(f"QMT 连接失败 Code:{res}")
|
||||
return None, None, None
|
||||
except Exception as e:
|
||||
print(f"处理异常: {e}")
|
||||
traceback.print_exc()
|
||||
|
||||
logger.error(f"初始化异常: {e}")
|
||||
return None, None, None
|
||||
|
||||
# ================= 7. 主程序 =================
|
||||
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)
|
||||
logger.info(">>> 系统启动 (实盘生产模式) <<<")
|
||||
|
||||
# 加载配置
|
||||
CONFIG = load_config('config.json')
|
||||
redis_cfg = CONFIG['redis']
|
||||
qmt_cfg = CONFIG['qmt']
|
||||
watch_list = CONFIG['strategies']
|
||||
|
||||
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。")
|
||||
# 连接Redis
|
||||
try:
|
||||
r = redis.Redis(**redis_cfg, decode_responses=True)
|
||||
r.ping()
|
||||
pos_manager = PositionManager(r)
|
||||
except Exception as e:
|
||||
logger.critical(f"Redis 连接失败: {e}")
|
||||
sys.exit(1)
|
||||
|
||||
# 初次连接 QMT
|
||||
xt_trader, acc, callback = init_qmt_trader(
|
||||
qmt_cfg['path'], qmt_cfg['account_id'], qmt_cfg['account_type'], pos_manager
|
||||
)
|
||||
|
||||
settler = None
|
||||
if xt_trader:
|
||||
settler = DailySettlement(xt_trader, acc, pos_manager, watch_list)
|
||||
|
||||
logger.info(">>> 进入主循环监听 <<<")
|
||||
|
||||
while True:
|
||||
if r_client:
|
||||
process_redis_signal(r_client, xt_trader, acc)
|
||||
time.sleep(60)
|
||||
try:
|
||||
# --- 1. 日志跨天处理 ---
|
||||
today_str = datetime.date.today().strftime('%Y-%m-%d')
|
||||
if today_str != CURRENT_LOG_DATE:
|
||||
logger.info(f"日期变更 ({CURRENT_LOG_DATE} -> {today_str})，切换日志...")
|
||||
logger = setup_logger()
|
||||
|
||||
# --- 2. 断线重连 (仅工作日) ---
|
||||
need_reconnect = (xt_trader is None) or (callback is None) or (not callback.is_connected)
|
||||
if need_reconnect:
|
||||
# 检查是否为周末 (5=周六, 6=周日)
|
||||
if datetime.date.today().weekday() >= 5:
|
||||
logger.info("当前是周末，暂停重连，休眠1小时")
|
||||
time.sleep(3600)
|
||||
continue
|
||||
|
||||
logger.warning("连接丢失，尝试重连...")
|
||||
if xt_trader:
|
||||
try: xt_trader.stop()
|
||||
except: pass
|
||||
|
||||
xt_trader, acc, callback = init_qmt_trader(
|
||||
qmt_cfg['path'], qmt_cfg['account_id'], qmt_cfg['account_type'], pos_manager
|
||||
)
|
||||
|
||||
if xt_trader:
|
||||
settler = DailySettlement(xt_trader, acc, pos_manager, watch_list)
|
||||
logger.info("重连成功")
|
||||
else:
|
||||
logger.error("重连失败，60秒后重试")
|
||||
time.sleep(60)
|
||||
continue
|
||||
|
||||
# --- 3. 交易时段轮询逻辑 ---
|
||||
now = datetime.datetime.now()
|
||||
current_time_str = now.strftime('%H%M%S') # 格式化为 HHMMSS
|
||||
|
||||
# 默认休眠 60秒
|
||||
sleep_sec = 60
|
||||
is_trading_time = False
|
||||
|
||||
# 判断时段
|
||||
# 09:15:00 - 10:00:00 (竞价 + 开盘半小时) -> 高频 1秒
|
||||
if '091500' <= current_time_str <= '100000':
|
||||
sleep_sec = 1
|
||||
is_trading_time = True
|
||||
|
||||
# 10:00:01 - 11:30:00 -> 低频 60秒
|
||||
elif '100000' < current_time_str <= '113000':
|
||||
sleep_sec = 60
|
||||
is_trading_time = True
|
||||
|
||||
# 13:00:00 - 14:50:00 -> 低频 60秒
|
||||
elif '130000' <= current_time_str < '145000':
|
||||
sleep_sec = 60
|
||||
is_trading_time = True
|
||||
|
||||
# 14:50:00 - 15:00:00 (尾盘 + 收盘竞价) -> 高频 1秒
|
||||
elif '145000' <= current_time_str <= '150000':
|
||||
sleep_sec = 1
|
||||
is_trading_time = True
|
||||
|
||||
# --- 4. 执行业务 ---
|
||||
if is_trading_time:
|
||||
# 每日重置清算标记
|
||||
if settler and settler.has_settled:
|
||||
settler.reset_flag()
|
||||
|
||||
# 处理信号
|
||||
for s in watch_list:
|
||||
process_strategy_queue(s, r, xt_trader, acc, pos_manager)
|
||||
|
||||
# --- 5. 收盘清算 (15:05 - 15:10) ---
|
||||
elif '150500' <= current_time_str <= '151000':
|
||||
if settler and not settler.has_settled:
|
||||
settler.run_settlement()
|
||||
sleep_sec = 60
|
||||
|
||||
# 执行休眠
|
||||
time.sleep(sleep_sec)
|
||||
|
||||
except KeyboardInterrupt:
|
||||
logger.info("用户停止")
|
||||
break
|
||||
except Exception as e:
|
||||
logger.critical("主循环未捕获异常", exc_info=True)
|
||||
time.sleep(10)
|
||||
Reference in New Issue
Block a user