1、策略更新

2、新增qmt
2025-11-29 00:23:12 +08:00
parent 0a942f92d1
commit c9b61db5b7
47 changed files with 97116 additions and 8867 deletions
--- a/qmt/init.py
+++ b/qmt/init.py
--- a/qmt/qmt_test.py
+++ b/qmt/qmt_test.py
@@ -0,0 +1,35 @@
+from xtquant import xttrader
+from xtquant.xttype import StockAccount
+import random
+
+##订阅账户
+# 设置 QMT 交易端的数据路径和会话ID
+min_path = r"D:\QMT\国金证券QMT交易端\userdata_mini"
+session_id = int(random.randint(100000, 999999))
+
+# 创建 XtQuantTrader 实例并启动
+xt_trader = xttrader.XtQuantTrader(min_path, session_id)
+xt_trader.start()
+
+# 连接 QMT 交易端
+connect_result = xt_trader.connect()
+if connect_result == 0:
+    print('连接成功')
+else:
+    print('连接失败')
+    xt_trader.stop()
+    exit()
+
+# 设置账户信息
+account = StockAccount('8886100517')
+
+# 订阅账户
+res = xt_trader.subscribe(account)
+if res == 0:
+    print('订阅成功')
+else:
+    print('订阅失败')
+
+
+asset = xt_trader.query_stock_asset(account)
+print(asset.cash)
--- a/qmt/qmt_trader.py
+++ b/qmt/qmt_trader.py
@@ -0,0 +1,182 @@
+# coding:utf-8
+import time, datetime, traceback, sys, json
+import redis
+from xtquant import xtdata
+from xtquant.xttrader import XtQuantTrader, XtQuantTraderCallback
+from xtquant.xttype import StockAccount
+from xtquant import xtconstant
+
+# ================= 配置区域 =================
+QMT_PATH = r'D:\qmt\投研\迅投极速交易终端睿智融科版\userdata'
+ACCOUNT_ID = '2000128'
+ACCOUNT_TYPE = 'STOCK'
+
+REDIS_HOST = '127.0.0.1'
+REDIS_PORT = 6379
+REDIS_PASS = None
+
+# 策略基础名称 (不需要加 _real，代码会自动加)
+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)
+LISTEN_QUEUE = f"{STRATEGY_BASE_NAME}_real"
+
+
+class MyXtQuantTraderCallback(XtQuantTraderCallback):
+    def on_disconnected(self):
+        print("连接断开")
+
+    def on_stock_order(self, order):
+        print(f"委托回报: {order.order_id} {order.order_remark}")
+
+    def on_stock_trade(self, trade):
+        print(f"成交: {trade.stock_code} {trade.traded_volume}")
+
+    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)
+        r.ping()
+        return r
+    except Exception as e:
+        print(f"Redis连接失败: {e}")
+        return None
+
+
+def is_msg_valid(data):
+    """
+    【安全核心】校验消息时效性与合法性
+    """
+    try:
+        # 1. 检查是否为回测标记 (防御性编程，虽然队列已物理隔离)
+        if data.get('is_backtest', False):
+            print(f"警报：拦截到回测数据，已丢弃！")
+            return False
+
+        # 2. 检查时间戳
+        msg_time_str = data.get('timestamp')
+        if not msg_time_str:
+            print("数据缺失时间戳，丢弃")
+            return False
+
+        # 解析消息时间
+        # 格式必须匹配策略端发送的 '%Y-%m-%d %H:%M:%S'
+        msg_dt = datetime.datetime.strptime(msg_time_str, '%Y-%m-%d %H:%M:%S')
+        msg_date = msg_dt.date()
+
+        # 获取当前服务器日期
+        today = datetime.date.today()
+
+        # 3. 【核心】判断是否为当天的消息
+        if msg_date != today:
+            print(f"拦截过期消息: 消息日期[{msg_date}] != 今日[{today}]")
+            return False
+
+        # 可选：如果你想更严格，可以判断时间差不能超过5分钟
+        # delta = datetime.datetime.now() - msg_dt
+        # if abs(delta.total_seconds()) > 300: ...
+
+        return True
+
+    except Exception as e:
+        print(f"校验逻辑异常: {e}")
+        return False
+
+
+def process_redis_signal(r_client, xt_trader, acc):
+    try:
+        msg_json = r_client.lpop(LISTEN_QUEUE)
+        if not msg_json: return
+
+        print(f"收到信号: {msg_json}")
+        data = json.loads(msg_json)
+
+        if not is_msg_valid(data): return  # 之前的校验逻辑
+
+        stock_code = data['stock_code']
+        action = data['action']
+        price = float(data['price'])
+
+        # 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)
+            asset = xt_trader.query_stock_asset(acc)
+            if not asset:
+                print("错误：无法查询资产")
+                return
+
+            current_cash = asset.cash
+
+            # 2. 计算下单金额
+            # 逻辑：Amount = Cash / div_count
+            if div_count <= 0: div_count = 1  # 防止除0
+
+            target_amount = current_cash / div_count
+
+            # 3. 打印调试信息 (非常重要)
+            print(f"【资金分配】可用现金:{current_cash:.2f} / 切分份数:{div_count} = 下单金额:{target_amount:.2f}")
+
+            # 4. 计算股数
+            if price <= 0: price = 1.0
+
+            # 过滤小额杂单
+            if target_amount < 2000:
+                print(f"忽略：金额过小 ({target_amount:.2f})")
+                return
+
+            vol = int(target_amount / price / 100) * 100
+
+            if vol >= 100:
+                xt_trader.order_stock(acc, stock_code, xtconstant.STOCK_BUY, vol, xtconstant.FIX_PRICE, price,
+                                      STRATEGY_BASE_NAME, 'PyBuy')
+                print(f"买入下单: {stock_code} {vol}股")
+            else:
+                print(f"计算股数不足100股")
+
+        # =========================================================
+        #   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")
+            else:
+                print(f"无可用持仓: {stock_code}")
+
+    except Exception as e:
+        print(f"处理异常: {e}")
+        traceback.print_exc()
+
+
+if __name__ == '__main__':
+    r_client = init_redis()
+    session_id = int(time.time())
+    xt_trader = XtQuantTrader(QMT_PATH, session_id)
+    acc = StockAccount(ACCOUNT_ID, ACCOUNT_TYPE)
+    callback = MyXtQuantTraderCallback()
+    xt_trader.register_callback(callback)
+    xt_trader.start()
+    xt_trader.connect()
+    xt_trader.subscribe(acc)
+
+    print(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。")
+
+    while True:
+        if r_client:
+            process_redis_signal(r_client, xt_trader, acc)
+        time.sleep(60)