feat: 完善 QMT 交易模块
This commit is contained in:
@@ -58,7 +58,13 @@ QMT 模块是 NewStock 量化交易系统的实盘交易执行模块，通过 `x
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交易信号通过 Redis 消息队列传递，每个策略对应一个独立的队列。消息格式为 JSON 对象，包含股票代码、操作类型、价格、时间戳等字段。系统对每条消息进行严格校验，包括日期校验、时间戳校验、必填字段校验等，确保只有当天的有效指令才会被执行。
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买入逻辑支持槽位控制，通过 `total_slots` 参数限制同时持有的股票数量。系统根据可用资金和目标槽位自动计算每只股票的买入数量，金额过小或股数不足的请求会被拦截。卖出逻辑则根据 Redis 中的虚拟持仓和实盘可用持仓计算实际卖出数量，确保不会超卖。
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买入逻辑支持两种模式：
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1. **槽位控制模式**：通过 `total_slots` 参数限制同时持有的股票数量。系统根据可用资金和目标槽位自动计算每只股票的买入数量，金额过小或股数不足的请求会被拦截。
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2. **仓位百分比模式**：通过 `position_pct` 参数指定目标持仓占账户总资产的比例。系统根据账户总资产计算目标金额，然后转换为具体股数进行下单。该模式无持仓数量限制。
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卖出逻辑根据策略配置模式有所不同：槽位模式下根据 Redis 中的虚拟持仓和实盘可用持仓计算实际卖出数量；百分比模式下执行清仓操作。
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### 3.3 持仓管理
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@@ -193,9 +199,41 @@ QMT 模块是 NewStock 量化交易系统的实盘交易执行模块，通过 `x
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| `redis` | Object | Redis 连接配置，支持 host、port、db、password 等参数 |
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| `qmt_terminals` | Array | QMT 终端列表，每个终端包含唯一标识、别名、路径、账户信息 |
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| `strategies` | Object | 策略配置，键为策略名，值包含使用的终端 ID 和执行参数 |
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| `total_slots` | Integer | 策略的最大持仓股票数量 |
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| `total_slots` | Integer | 策略的最大持仓股票数量（槽位模式） |
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| `order_mode` | String | 下单模式，可选 `slots`（槽位）或 `percentage`（百分比），默认为 `slots` |
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| `auto_reconnect` | Object | 自动重连配置，包含启用状态和执行时间 |
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**槽位模式配置示例：**
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```json
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{
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"strategies": {
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"strategy_a": {
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"qmt_id": "terminal_001",
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"order_mode": "slots",
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"total_slots": 5,
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"execution": {
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"buy_amount_per_stock": 20000,
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"min_buy_amount": 2000
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}
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}
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}
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}
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```
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**百分比模式配置示例：**
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```json
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{
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"strategies": {
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"strategy_b": {
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"qmt_id": "terminal_001",
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"order_mode": "percentage"
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}
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}
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}
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```
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## 6. Web 仪表盘功能
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### 6.1 功能概览
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@@ -317,7 +355,152 @@ Web 仪表盘基于 Vue 3 和 Naive UI 组件库开发，提供可视化的系
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| 聚宽 | `.XSHE` / `.XSHG` | `000001.XSHE`、`600519.XSHG` |
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| QMT | `.SZ` / `.SH` | `000001.SZ`、`600519.SH` |
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## 8. 系统架构
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## 8. 百分比下单信号发送端（qmt_percentage_sender.py）
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### 8.1 模块定位
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`qmt_percentage_sender.py` 是基于**仓位百分比**的 QMT 信号发送端，与槽位模式的 `qmt_signal_sender.py` 并行存在。该模块用于配置为 `order_mode: "percentage"` 的策略，通过指定目标持仓占账户总资产的比例来触发交易。
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### 8.2 核心函数
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#### `send_qmt_percentage_signal(code, position_pct, action, price, is_backtest, timestamp, redis_config)`
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| 参数 | 类型 | 说明 |
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|------|------|------|
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| `code` | str | 股票代码，聚宽格式（如 `000001.XSHE`、`600519.XSHG`） |
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| `position_pct` | float | 目标持仓占总资产的比例，范围 0.0 ~ 1.0（如 0.2 表示 20%） |
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| `action` | str | 交易动作，固定为 `"BUY"` 或 `"SELL"` |
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| `price` | float | 当前最新价格，用于实盘限价单参考 |
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| `is_backtest` | bool | 是否为回测模式（True/False） |
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| `timestamp` | str | 时间戳字符串，格式 `"YYYY-MM-DD HH:MM:SS"` |
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| `redis_config` | dict | Redis 连接配置，包含 `host`、`port`、`password`、`db`、`strategy_name` 等字段 |
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### 8.3 处理流程
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```
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策略触发信号
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│
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▼
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1. 环境判断与流量控制
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├─ 实盘模式 → 直接通过
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└─ 回测模式 → 限制最多发送 10 条（防止回测刷爆队列）
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│
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▼
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2. 建立 Redis 连接（socket_timeout=1s）
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│
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▼
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3. 数据转换与规范化
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└─ 股票代码格式转换：.XSHE → .SZ，.XSHG → .SH
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│
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▼
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4. 构建 JSON 消息体（包含 position_pct 字段）
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│
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▼
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5. 队列路由
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├─ 回测 → {strategy_name}_backtest（TTL: 1 小时）
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└─ 实盘 → {strategy_name}_real（TTL: 7 天）
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│
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▼
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6. 控制台日志输出
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```
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### 8.4 消息格式
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发送到 Redis 队列的 JSON 消息结构：
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```json
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{
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"strategy_name": "my_strategy",
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"stock_code": "000001.SZ",
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"action": "BUY",
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"price": 15.50,
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"position_pct": 0.2,
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"timestamp": "2026-02-17 14:30:00",
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"is_backtest": false
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}
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```
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| 字段 | 类型 | 说明 |
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|------|------|------|
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| `strategy_name` | str | 策略名称，来自 `redis_config['strategy_name']`，用于队列路由和持仓管理 |
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| `stock_code` | str | QMT 格式的股票代码（`.SZ` / `.SH`） |
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| `action` | str | 交易动作，`BUY` 或 `SELL` |
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| `price` | float | 信号触发时的最新价格 |
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| `position_pct` | float | 目标持仓占账户总资产的比例，范围 0.0 ~ 1.0 |
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| `timestamp` | str | 信号生成时间，格式 `YYYY-MM-DD HH:MM:SS` |
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| `is_backtest` | bool | 是否为回测环境发出的信号 |
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### 8.5 买卖意图判定逻辑
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与槽位模式不同，百分比模式需要**显式指定**交易动作：
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- **`action = "BUY"`**：策略意向买入该股票，目标持仓占比为 `position_pct`。交易引擎根据账户总资产计算目标金额，然后转换为具体股数下单。
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- **`action = "SELL"`**：策略意向清仓该股票。百分比模式下卖出采用简化逻辑，直接执行清仓操作。
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### 8.6 买入计算公式
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当 QMT 端接收到百分比模式的买入信号时，按以下公式计算买入股数：
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```
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目标金额 = 账户总资产 × position_pct
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可用金额 = min(目标金额, 可用资金)
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买入股数 = int(可用金额 / 价格 / 100) × 100
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```
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**边界处理：**
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- 单笔金额 < 2000 元 → 拦截不下单
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- 计算股数 < 100 股 → 拦截不下单
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- 价格 ≤ 0 → 强制设为 1.0（仅测试用）
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### 8.7 与槽位模式的对比
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| 特性 | 槽位模式 (slots) | 百分比模式 (percentage) |
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|------|------------------|------------------------|
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| 核心参数 | `total_slots` | `position_pct` |
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| 持仓限制 | 有（同时持仓数量限制） | 无 |
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| 资金分配 | 按剩余槽位均分资金 | 按总资产比例计算 |
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| 卖出逻辑 | 按持仓数量计算 | 清仓 |
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| 配置方式 | 配置文件设置 `order_mode: "slots"` | 配置文件设置 `order_mode: "percentage"` |
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| 信号发送 | `send_qmt_signal()` | `send_qmt_percentage_signal()` |
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### 8.8 使用示例
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```python
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from qmt_percentage_sender import send_qmt_percentage_signal
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# Redis 配置
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redis_config = {
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"host": "localhost",
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"port": 6379,
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"password": None,
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"db": 0,
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"strategy_name": "MyPercentageStrategy"
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}
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# 买入信号：目标持仓占账户总资产的 20%
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send_qmt_percentage_signal(
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code="000001.XSHE",
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position_pct=0.2,
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action="BUY",
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price=15.5,
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is_backtest=False,
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timestamp="2026-02-17 14:30:00",
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redis_config=redis_config
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)
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# 卖出信号：清仓
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send_qmt_percentage_signal(
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code="000001.XSHE",
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position_pct=0,
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action="SELL",
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price=15.8,
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is_backtest=False,
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timestamp="2026-02-17 14:35:00",
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redis_config=redis_config
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)
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```
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## 9. 系统架构
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### 8.1 组件关系图
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@@ -400,7 +583,7 @@ Web 仪表盘基于 Vue 3 和 Naive UI 组件库开发，提供可视化的系
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7. **订单执行**：调用 QMT API 下单，成功则缓存订单信息
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8. **状态更新**：标记虚拟持仓，异步等待成交回调
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## 9. 启动与停止
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## 10. 启动与停止
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### 9.1 Windows 启动
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@@ -427,7 +610,7 @@ python run.py
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|------|----------|------|
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| API 服务 | 8001 | Web 仪表盘和 RESTful API 监听端口 |
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## 10. 注意事项
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## 11. 注意事项
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1. **QMT 终端要求**：确保 QMT 终端已登录且路径配置正确
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2. **Redis 服务**：系统依赖 Redis 运行，请确保 Redis 服务可用
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102
qmt/qmt_percentage_sender.py
Normal file
102
qmt/qmt_percentage_sender.py
Normal file
@@ -0,0 +1,102 @@
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import redis
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import json
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# --- 模块级全局变量 ---
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_BACKTEST_SEND_COUNT = 0
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def send_qmt_percentage_signal(
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code, position_pct, action, price, is_backtest, timestamp, redis_config
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):
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"""
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发送基于仓位百分比的信号到 Redis
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参数:
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- code: 股票代码 (聚宽格式: 000001.XSHE)
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- position_pct: 目标持仓占总资产的比例 (0.0 ~ 1.0，如 0.2 表示 20%)
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- action: 交易动作，"BUY" 或 "SELL"
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- price: 当前最新价格 (用于实盘限价单参考)
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- is_backtest: 是否为回测模式 (True/False)
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- timestamp: 时间戳字符串，格式 "YYYY-MM-DD HH:MM:SS"
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- redis_config: Redis配置字典，包含 host, port, password, db, strategy_name
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"""
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global _BACKTEST_SEND_COUNT
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try:
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# ---------------------------------------------------------
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# 1. 环境判断与流量控制
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# ---------------------------------------------------------
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if is_backtest:
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if _BACKTEST_SEND_COUNT >= 10:
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return
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_BACKTEST_SEND_COUNT += 1
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# ---------------------------------------------------------
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# 2. 建立 Redis 连接
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# ---------------------------------------------------------
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r = redis.Redis(
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host=redis_config["host"],
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port=redis_config["port"],
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password=redis_config.get("password"),
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db=redis_config.get("db", 0),
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decode_responses=True,
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socket_timeout=1,
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)
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# ---------------------------------------------------------
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# 3. 数据转换与规范化
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# ---------------------------------------------------------
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# 股票代码格式转换: 聚宽(.XSHE/.XSHG) -> QMT(.SZ/.SH)
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qmt_code = code
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if code.endswith(".XSHE"):
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qmt_code = code.replace(".XSHE", ".SZ")
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elif code.endswith(".XSHG"):
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qmt_code = code.replace(".XSHG", ".SH")
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# 校验 action 参数
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if action not in ["BUY", "SELL"]:
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print(f"[Error] 无效的 action 参数: {action}，必须是 'BUY' 或 'SELL'")
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return
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# ---------------------------------------------------------
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# 4. 构建消息体
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# ---------------------------------------------------------
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base_strategy_name = redis_config.get("strategy_name", "default_strategy")
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msg = {
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"strategy_name": base_strategy_name,
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"stock_code": qmt_code,
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"action": action,
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"price": price,
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"position_pct": float(position_pct),
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"timestamp": timestamp,
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"is_backtest": is_backtest,
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}
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json_payload = json.dumps(msg)
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# ---------------------------------------------------------
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# 5. 队列路由
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# ---------------------------------------------------------
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queue_key = (
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f"{base_strategy_name}_backtest"
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if is_backtest
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else f"{base_strategy_name}_real"
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)
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expire_seconds = 3600 if is_backtest else 604800
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r.rpush(queue_key, json_payload)
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r.expire(queue_key, expire_seconds)
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# ---------------------------------------------------------
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# 6. 控制台输出
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# ---------------------------------------------------------
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log_prefix = "【回测】" if is_backtest else "【实盘】"
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pct_display = f"{position_pct * 100:.1f}%"
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desc = f"目标仓位:{pct_display}" if action == "BUY" else "清仓"
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print(
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f"{log_prefix} 百分比信号 -> {qmt_code} | 动作:{action} | {desc} | 价格:{price} | 时间:{timestamp}"
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)
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except Exception as e:
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print(f"[Error] 发送QMT百分比信号失败: {e}")
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@@ -285,7 +285,251 @@ class MyXtQuantTraderCallback(XtQuantTraderCallback):
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# ================= 5. 核心消息处理 (重写版：拒绝静默失败) =================
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def process_strategy_queue(strategy_name, r_client, xt_trader, acc, pos_manager):
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def get_strategy_config(strategy_name, config):
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"""获取策略配置，支持新旧配置格式兼容"""
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strategies = config.get("strategies", {})
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# 如果 strategies 是列表（旧格式），转换为默认配置
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if isinstance(strategies, list):
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return {"order_mode": "slots", "total_slots": 5}
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# 获取策略配置
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strategy_config = strategies.get(strategy_name, {})
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# 设置默认值
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result = {
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"order_mode": strategy_config.get("order_mode", "slots"),
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"total_slots": strategy_config.get("total_slots", 5),
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}
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return result
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def process_percentage_buy(
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strategy_name, stock_code, price, position_pct, xt_trader, acc
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):
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"""处理百分比模式的买入逻辑"""
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logger.info(f"[百分比模式] 处理买入: {stock_code}, 目标占比: {position_pct}")
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# 查询资产
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asset = xt_trader.query_stock_asset(acc)
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if not asset:
|
||||
logger.error("API 错误: query_stock_asset 返回 None，可能是 QMT 断连或未同步")
|
||||
return
|
||||
|
||||
total_asset = asset.total_asset
|
||||
available_cash = asset.cash
|
||||
|
||||
logger.info(
|
||||
f"[百分比模式] 账户总资产: {total_asset:.2f}, 可用资金: {available_cash:.2f}"
|
||||
)
|
||||
|
||||
# 计算目标金额
|
||||
target_amount = total_asset * position_pct
|
||||
actual_amount = min(target_amount, available_cash)
|
||||
|
||||
logger.info(
|
||||
f"[百分比模式] 目标金额: {target_amount:.2f}, 实际可用: {actual_amount:.2f}"
|
||||
)
|
||||
|
||||
# 检查最小金额限制
|
||||
if actual_amount < 2000:
|
||||
logger.warning(f"[百分比模式] 拦截买入: 金额过小 ({actual_amount:.2f} < 2000)")
|
||||
return
|
||||
|
||||
# 价格校验
|
||||
if price <= 0:
|
||||
logger.warning(
|
||||
f"[百分比模式] 价格异常: {price}，强制设为1.0以计算股数(仅测试用)"
|
||||
)
|
||||
price = 1.0
|
||||
|
||||
# 计算股数
|
||||
vol = int(actual_amount / price / 100) * 100
|
||||
logger.info(
|
||||
f"[百分比模式] 计算股数: 资金{actual_amount:.2f} / 价格{price} -> {vol}股"
|
||||
)
|
||||
|
||||
if vol < 100:
|
||||
logger.warning(f"[百分比模式] 拦截买入: 股数不足 100 ({vol})")
|
||||
return
|
||||
|
||||
# 执行下单
|
||||
oid = xt_trader.order_stock(
|
||||
acc,
|
||||
stock_code,
|
||||
xtconstant.STOCK_BUY,
|
||||
vol,
|
||||
xtconstant.FIX_PRICE,
|
||||
price,
|
||||
strategy_name,
|
||||
"PyBuyPct",
|
||||
)
|
||||
|
||||
if oid != -1:
|
||||
logger.info(f"[百分比模式] √√√ 下单成功: ID={oid} {stock_code} 买入 {vol}")
|
||||
ORDER_CACHE[oid] = (strategy_name, stock_code, "BUY")
|
||||
else:
|
||||
logger.error(
|
||||
f"[百分比模式] XXX 下单请求被拒绝 (Result=-1)，请检查 QMT 终端报错"
|
||||
)
|
||||
|
||||
|
||||
def process_percentage_sell(strategy_name, stock_code, price, xt_trader, acc):
|
||||
"""处理百分比模式的卖出逻辑（清仓）"""
|
||||
logger.info(f"[百分比模式] 处理卖出: {stock_code} (清仓)")
|
||||
|
||||
# 查询实盘持仓
|
||||
real_pos = xt_trader.query_stock_positions(acc)
|
||||
if real_pos is None:
|
||||
logger.error("[百分比模式] API 错误: query_stock_positions 返回 None")
|
||||
return
|
||||
|
||||
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
|
||||
|
||||
logger.info(f"[百分比模式] 股票 {stock_code} 实盘可用持仓: {can_use}")
|
||||
|
||||
if can_use <= 0:
|
||||
logger.warning(f"[百分比模式] 拦截卖出: 无可用持仓")
|
||||
return
|
||||
|
||||
# 执行清仓
|
||||
logger.info(f"[百分比模式] 执行清仓: {stock_code} @ {price}, 数量: {can_use}")
|
||||
oid = xt_trader.order_stock(
|
||||
acc,
|
||||
stock_code,
|
||||
xtconstant.STOCK_SELL,
|
||||
can_use,
|
||||
xtconstant.FIX_PRICE,
|
||||
price,
|
||||
strategy_name,
|
||||
"PySellPct",
|
||||
)
|
||||
|
||||
if oid != -1:
|
||||
logger.info(f"[百分比模式] √√√ 下单成功: ID={oid} {stock_code} 卖出 {can_use}")
|
||||
ORDER_CACHE[oid] = (strategy_name, stock_code, "SELL")
|
||||
else:
|
||||
logger.error(f"[百分比模式] XXX 下单请求被拒绝 (Result=-1)")
|
||||
|
||||
|
||||
def process_slots_buy(
|
||||
strategy_name, stock_code, price, total_slots, xt_trader, acc, pos_manager
|
||||
):
|
||||
"""处理槽位模式的买入逻辑（原有逻辑保持不变）"""
|
||||
holding = pos_manager.get_holding_count(strategy_name)
|
||||
empty = total_slots - holding
|
||||
|
||||
logger.info(
|
||||
f"[槽位模式] 检查持仓: 当前占用 {holding} / 总槽位 {total_slots} -> 剩余 {empty}"
|
||||
)
|
||||
|
||||
if empty <= 0:
|
||||
logger.warning(f"[槽位模式] 拦截买入: 槽位已满，不执行下单")
|
||||
return
|
||||
|
||||
# 查询资金
|
||||
asset = xt_trader.query_stock_asset(acc)
|
||||
if not asset:
|
||||
logger.error(
|
||||
"[槽位模式] API 错误: query_stock_asset 返回 None，可能是 QMT 断连或未同步"
|
||||
)
|
||||
return
|
||||
|
||||
logger.info(f"[槽位模式] 当前可用资金: {asset.cash:.2f}")
|
||||
|
||||
amt = asset.cash / empty
|
||||
if amt < 2000:
|
||||
logger.warning(f"[槽位模式] 拦截买入: 单笔金额过小 ({amt:.2f} < 2000)")
|
||||
return
|
||||
|
||||
if price <= 0:
|
||||
logger.warning(f"[槽位模式] 价格异常: {price}，强制设为1.0以计算股数(仅测试用)")
|
||||
price = 1.0
|
||||
|
||||
vol = int(amt / price / 100) * 100
|
||||
logger.info(f"[槽位模式] 计算股数: 资金{amt:.2f} / 价格{price} -> {vol}股")
|
||||
|
||||
if vol < 100:
|
||||
logger.warning(f"[槽位模式] 拦截买入: 股数不足 100 ({vol})")
|
||||
return
|
||||
|
||||
# 执行下单
|
||||
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"[槽位模式] √√√ 下单成功: ID={oid} {stock_code} 买入 {vol}")
|
||||
ORDER_CACHE[oid] = (strategy_name, stock_code, "BUY")
|
||||
pos_manager.mark_holding(strategy_name, stock_code)
|
||||
else:
|
||||
logger.error(f"[槽位模式] XXX 下单请求被拒绝 (Result=-1)，请检查 QMT 终端报错")
|
||||
|
||||
|
||||
def process_slots_sell(strategy_name, stock_code, price, xt_trader, acc, pos_manager):
|
||||
"""处理槽位模式的卖出逻辑（原有逻辑保持不变）"""
|
||||
v_vol = pos_manager.get_position(strategy_name, stock_code)
|
||||
logger.info(f"[槽位模式] 卖出 - Redis 记录虚拟持仓: {v_vol}")
|
||||
|
||||
if v_vol > 0:
|
||||
logger.info(f"[槽位模式] 卖出 - 正在查询实盘持仓: {stock_code}")
|
||||
real_pos = xt_trader.query_stock_positions(acc)
|
||||
logger.info(
|
||||
f"[槽位模式] 卖出 - 实盘持仓查询完成，获取到 {len(real_pos) if real_pos else 0} 条记录"
|
||||
)
|
||||
|
||||
if real_pos is None:
|
||||
logger.error("[槽位模式] API 错误: query_stock_positions 返回 None")
|
||||
return
|
||||
|
||||
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
|
||||
logger.info(f"[槽位模式] 卖出 - 股票 {stock_code} 实盘可用持仓: {can_use}")
|
||||
|
||||
final = min(v_vol, can_use)
|
||||
logger.info(f"[槽位模式] 卖出 - 计算卖出量: min({v_vol}, {can_use}) = {final}")
|
||||
|
||||
if final > 0:
|
||||
logger.info(
|
||||
f"[槽位模式] 卖出 - 执行卖出订单: {stock_code} @ {price}, 数量: {final}"
|
||||
)
|
||||
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"[槽位模式] √√√ 下单成功: ID={oid} {stock_code} 卖出 {final}"
|
||||
)
|
||||
ORDER_CACHE[oid] = (strategy_name, stock_code, "SELL")
|
||||
else:
|
||||
logger.error(f"[槽位模式] XXX 下单请求被拒绝 (Result=-1)")
|
||||
else:
|
||||
logger.warning(
|
||||
f"[槽位模式] 拦截卖出: 最终计算卖出量为 0 (虚拟:{v_vol}, 实盘:{can_use})"
|
||||
)
|
||||
else:
|
||||
logger.warning(f"[槽位模式] 拦截卖出: Redis 中无此持仓记录，忽略")
|
||||
|
||||
|
||||
def process_strategy_queue(
|
||||
strategy_name, r_client, xt_trader, acc, pos_manager, config
|
||||
):
|
||||
queue_key = f"{strategy_name}_real"
|
||||
|
||||
# 1. 获取消息
|
||||
@@ -326,130 +570,62 @@ def process_strategy_queue(strategy_name, r_client, xt_trader, acc, pos_manager)
|
||||
stock_code = data.get("stock_code")
|
||||
action = data.get("action")
|
||||
price = float(data.get("price", 0))
|
||||
total_slots = int(data.get("total_slots", 1))
|
||||
|
||||
if not stock_code or not action:
|
||||
logger.error(f"缺少关键字段: Code={stock_code}, Action={action}")
|
||||
return
|
||||
|
||||
# 5. 获取策略配置，确定下单模式
|
||||
strategy_config = get_strategy_config(strategy_name, config)
|
||||
order_mode = strategy_config.get("order_mode", "slots")
|
||||
|
||||
logger.info(
|
||||
f"解析成功: {action} {stock_code} @ {price}, 目标槽位: {total_slots}"
|
||||
f"解析成功: {action} {stock_code} @ {price}, 下单模式: {order_mode}"
|
||||
)
|
||||
|
||||
# 5. QMT 存活检查
|
||||
# 6. QMT 存活检查
|
||||
if xt_trader is None or acc is None:
|
||||
logger.error("严重错误: QMT 对象未初始化 (xt_trader is None)")
|
||||
return
|
||||
|
||||
# 6. 买入逻辑
|
||||
if action == "BUY":
|
||||
holding = pos_manager.get_holding_count(strategy_name)
|
||||
empty = total_slots - holding
|
||||
# 7. 根据下单模式执行相应逻辑
|
||||
if order_mode == "percentage":
|
||||
# 百分比模式
|
||||
position_pct = float(data.get("position_pct", 0))
|
||||
|
||||
logger.info(
|
||||
f"检查持仓: 当前占用 {holding} / 总槽位 {total_slots} -> 剩余 {empty}"
|
||||
)
|
||||
|
||||
if empty <= 0:
|
||||
logger.warning(f"拦截买入: 槽位已满，不执行下单")
|
||||
return
|
||||
|
||||
# 查询资金
|
||||
asset = xt_trader.query_stock_asset(acc)
|
||||
if not asset:
|
||||
logger.error(
|
||||
"API 错误: query_stock_asset 返回 None，可能是 QMT 断连或未同步"
|
||||
if action == "BUY":
|
||||
process_percentage_buy(
|
||||
strategy_name, stock_code, price, position_pct, xt_trader, acc
|
||||
)
|
||||
return
|
||||
|
||||
logger.info(f"当前可用资金: {asset.cash:.2f}")
|
||||
|
||||
amt = asset.cash / empty
|
||||
if amt < 2000:
|
||||
logger.warning(f"拦截买入: 单笔金额过小 ({amt:.2f} < 2000)")
|
||||
return
|
||||
|
||||
if price <= 0:
|
||||
logger.warning(f"价格异常: {price}，强制设为1.0以计算股数(仅测试用)")
|
||||
price = 1.0
|
||||
|
||||
vol = int(amt / price / 100) * 100
|
||||
logger.info(f"计算股数: 资金{amt:.2f} / 价格{price} -> {vol}股")
|
||||
|
||||
if vol < 100:
|
||||
logger.warning(f"拦截买入: 股数不足 100 ({vol})")
|
||||
return
|
||||
|
||||
# 执行下单
|
||||
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"√√√ 下单成功: ID={oid} {stock_code} 买入 {vol}")
|
||||
ORDER_CACHE[oid] = (strategy_name, stock_code, "BUY")
|
||||
pos_manager.mark_holding(strategy_name, stock_code)
|
||||
else:
|
||||
logger.error(f"XXX 下单请求被拒绝 (Result=-1)，请检查 QMT 终端报错")
|
||||
|
||||
# 7. 卖出逻辑
|
||||
elif action == "SELL":
|
||||
v_vol = pos_manager.get_position(strategy_name, stock_code)
|
||||
logger.info(f"卖出 - Redis 记录虚拟持仓: {v_vol}")
|
||||
|
||||
if v_vol > 0:
|
||||
logger.info(f"卖出 - 正在查询实盘持仓: {stock_code}")
|
||||
real_pos = xt_trader.query_stock_positions(acc)
|
||||
logger.info(
|
||||
f"卖出 - 实盘持仓查询完成，获取到 {len(real_pos) if real_pos else 0} 条记录"
|
||||
elif action == "SELL":
|
||||
process_percentage_sell(
|
||||
strategy_name, stock_code, price, xt_trader, acc
|
||||
)
|
||||
|
||||
if real_pos is None:
|
||||
logger.error("API 错误: query_stock_positions 返回 None")
|
||||
return
|
||||
|
||||
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
|
||||
logger.info(f"卖出 - 股票 {stock_code} 实盘可用持仓: {can_use}")
|
||||
|
||||
final = min(v_vol, can_use)
|
||||
logger.info(f"卖出 - 计算卖出量: min({v_vol}, {can_use}) = {final}")
|
||||
|
||||
if final > 0:
|
||||
logger.info(
|
||||
f"卖出 - 执行卖出订单: {stock_code} @ {price}, 数量: {final}"
|
||||
)
|
||||
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"√√√ 下单成功: ID={oid} {stock_code} 卖出 {final}")
|
||||
ORDER_CACHE[oid] = (strategy_name, stock_code, "SELL")
|
||||
else:
|
||||
logger.error(f"XXX 下单请求被拒绝 (Result=-1)")
|
||||
else:
|
||||
logger.warning(
|
||||
f"拦截卖出: 最终计算卖出量为 0 (虚拟:{v_vol}, 实盘:{can_use})"
|
||||
)
|
||||
else:
|
||||
logger.warning(f"拦截卖出: Redis 中无此持仓记录，忽略")
|
||||
logger.error(f"未知的 Action: {action}")
|
||||
|
||||
else:
|
||||
logger.error(f"未知的 Action: {action}")
|
||||
# 槽位模式（默认）
|
||||
total_slots = int(
|
||||
data.get("total_slots", strategy_config.get("total_slots", 5))
|
||||
)
|
||||
|
||||
if action == "BUY":
|
||||
process_slots_buy(
|
||||
strategy_name,
|
||||
stock_code,
|
||||
price,
|
||||
total_slots,
|
||||
xt_trader,
|
||||
acc,
|
||||
pos_manager,
|
||||
)
|
||||
elif action == "SELL":
|
||||
process_slots_sell(
|
||||
strategy_name, stock_code, price, xt_trader, acc, pos_manager
|
||||
)
|
||||
else:
|
||||
logger.error(f"未知的 Action: {action}")
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"消息处理发生未捕获异常: {str(e)}", exc_info=True)
|
||||
@@ -662,7 +838,12 @@ def trading_loop():
|
||||
settler.reset_flag()
|
||||
for s in watch_list:
|
||||
process_strategy_queue(
|
||||
s, r, GLOBAL_STATE.xt_trader, GLOBAL_STATE.acc, pos_manager
|
||||
s,
|
||||
r,
|
||||
GLOBAL_STATE.xt_trader,
|
||||
GLOBAL_STATE.acc,
|
||||
pos_manager,
|
||||
CONFIG,
|
||||
)
|
||||
|
||||
elif "150500" <= current_time_str <= "151000":
|
||||
|
||||
Reference in New Issue
Block a user