feat: 完善 QMT 交易模块

qmt/qmt_trader.py

@@ -285,7 +285,251 @@ class MyXtQuantTraderCallback(XtQuantTraderCallback):
 
 
 # ================= 5. 核心消息处理 (重写版：拒绝静默失败) =================
-def process_strategy_queue(strategy_name, r_client, xt_trader, acc, pos_manager):
+def get_strategy_config(strategy_name, config):
+    """获取策略配置，支持新旧配置格式兼容"""
+    strategies = config.get("strategies", {})
+
+    # 如果 strategies 是列表（旧格式），转换为默认配置
+    if isinstance(strategies, list):
+        return {"order_mode": "slots", "total_slots": 5}
+
+    # 获取策略配置
+    strategy_config = strategies.get(strategy_name, {})
+
+    # 设置默认值
+    result = {
+        "order_mode": strategy_config.get("order_mode", "slots"),
+        "total_slots": strategy_config.get("total_slots", 5),
+    }
+
+    return result
+
+
+def process_percentage_buy(
+    strategy_name, stock_code, price, position_pct, xt_trader, acc
+):
+    """处理百分比模式的买入逻辑"""
+    logger.info(f"[百分比模式] 处理买入: {stock_code}, 目标占比: {position_pct}")
+
+    # 查询资产
+    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")
+        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":