314 lines
11 KiB
Python
314 lines
11 KiB
Python
# coding:utf-8
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import time, datetime, traceback, sys, json, os
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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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# 全局变量占位 (稍后在 main 中初始化)
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CONFIG = {}
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ORDER_CACHE = {}
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# ================= 配置加载模块 =================
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def load_config(config_file='config.json'):
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"""
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读取同级目录下的配置文件
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"""
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# 获取脚本所在目录
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if getattr(sys, 'frozen', False):
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# 如果被打包为exe
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base_path = os.path.dirname(sys.executable)
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else:
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# 普通脚本运行
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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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# 尝试直接读取（兼容 QMT 内置 Python 的路径行为）
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if os.path.exists(config_file):
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full_path = config_file
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else:
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print(f"[错误] 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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config = json.load(f)
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print(f"成功加载配置: {full_path}")
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return config
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except Exception as e:
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print(f"[错误] 配置文件格式错误: {e}")
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sys.exit(1)
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# ================= 业务逻辑类 (保持不变) =================
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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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# print(f"[{strategy_name}] 乐观占位: {code}")
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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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print(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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print("\n" + "="*40)
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print(f"开始收盘清算: {datetime.datetime.now()}")
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# 1. 撤单
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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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# 2. 获取实盘真实持仓
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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:
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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_data = self.pos_mgr.get_all_virtual_positions(strategy)
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for code, v_vol_str in virtual_data.items():
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if code not in real_pos_map:
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print(f" [修正] {strategy} 幽灵持仓 {code} -> 强制释放")
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self.pos_mgr.force_delete(strategy, code)
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print("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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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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def on_disconnected(self):
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print(">> 连接断开")
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def on_stock_trade(self, trade):
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try:
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order_id = trade.order_id
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stock_code = trade.stock_code
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traded_vol = trade.traded_volume
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cache_info = ORDER_CACHE.get(order_id)
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if not cache_info: return
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strategy_name, cached_code, action_type = cache_info
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print(f">>> [成交] {strategy_name} {stock_code} 成交量:{traded_vol}")
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if action_type == 'BUY':
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self.pos_mgr.update_actual_volume(strategy_name, stock_code, traded_vol)
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elif action_type == 'SELL':
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self.pos_mgr.update_actual_volume(strategy_name, stock_code, -traded_vol)
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except Exception:
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traceback.print_exc()
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def on_order_error(self, order_error):
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try:
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order_id = order_error.order_id
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print(f">>> [下单失败] ID:{order_id} Msg:{order_error.error_msg}")
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cache_info = ORDER_CACHE.get(order_id)
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if cache_info:
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strategy_name, stock_code, action_type = cache_info
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if action_type == 'BUY':
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self.pos_mgr.rollback_holding(strategy_name, stock_code)
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del ORDER_CACHE[order_id]
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except: pass
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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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try:
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data = json.loads(msg_json)
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# 校验
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if data.get('is_backtest', False): return
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msg_ts = data.get('timestamp')
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if msg_ts:
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msg_date = datetime.datetime.strptime(msg_ts, '%Y-%m-%d %H:%M:%S').date()
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if msg_date != datetime.date.today():
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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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target_total_slots = int(data.get('total_slots', 1))
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if action == 'BUY':
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current_holding_count = pos_manager.get_holding_count(strategy_name)
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empty_slots = target_total_slots - current_holding_count
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if empty_slots <= 0: return
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asset = xt_trader.query_stock_asset(acc)
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if not asset: return
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target_amount = asset.cash / empty_slots
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if target_amount < 2000: return
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if price <= 0: price = 1.0
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vol = int(target_amount / price / 100) * 100
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if vol >= 100:
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order_id = xt_trader.order_stock(acc, stock_code, xtconstant.STOCK_BUY, vol, xtconstant.FIX_PRICE, price, strategy_name, 'PyBuy')
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if order_id != -1:
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print(f"[{strategy_name}] 买入 {stock_code} {vol}股 (1/{empty_slots})")
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ORDER_CACHE[order_id] = (strategy_name, stock_code, 'BUY')
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pos_manager.mark_holding(strategy_name, stock_code)
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elif action == 'SELL':
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virtual_vol = pos_manager.get_position(strategy_name, stock_code)
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if virtual_vol > 0:
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real_positions = xt_trader.query_stock_positions(acc)
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real_pos = next((p for p in real_positions if p.stock_code == stock_code), None)
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real_can_use = real_pos.can_use_volume if real_pos else 0
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final_vol = min(virtual_vol, real_can_use)
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if final_vol > 0:
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order_id = xt_trader.order_stock(acc, stock_code, xtconstant.STOCK_SELL, final_vol, xtconstant.FIX_PRICE, price, strategy_name, 'PySell')
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if order_id != -1:
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print(f"[{strategy_name}] 卖出 {stock_code} {final_vol}股")
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ORDER_CACHE[order_id] = (strategy_name, stock_code, 'SELL')
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except Exception:
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traceback.print_exc()
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# ================= 主程序入口 =================
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if __name__ == '__main__':
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print("正在启动...")
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# 1. 加载配置
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CONFIG = load_config('config.json')
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# 从配置中提取参数
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redis_cfg = CONFIG['redis']
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qmt_cfg = CONFIG['qmt']
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watch_list = CONFIG['strategies']
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print(f"Redis目标: {redis_cfg['host']}:{redis_cfg['port']}")
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print(f"QMT路径: {qmt_cfg['path']}")
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print(f"监听策略: {watch_list}")
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# 2. 连接 Redis
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try:
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r = redis.Redis(
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host=redis_cfg['host'],
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port=redis_cfg['port'],
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password=redis_cfg['password'],
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db=redis_cfg['db'],
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decode_responses=True
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)
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r.ping()
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print("Redis 连接成功")
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pos_manager = PositionManager(r)
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except Exception as e:
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print(f"[FATAL] Redis 连接失败: {e}")
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sys.exit(1)
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# 3. 连接 QMT
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try:
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session_id = int(time.time())
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xt_trader = XtQuantTrader(qmt_cfg['path'], session_id)
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acc = StockAccount(qmt_cfg['account_id'], qmt_cfg['account_type'])
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callback = MyXtQuantTraderCallback(pos_manager)
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xt_trader.register_callback(callback)
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xt_trader.start()
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connect_res = xt_trader.connect()
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if connect_res == 0:
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print(f"QMT 连接成功: {qmt_cfg['account_id']}")
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xt_trader.subscribe(acc)
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else:
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print(f"[FATAL] QMT 连接失败，错误码: {connect_res}")
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sys.exit(1)
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except Exception as e:
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print(f"[FATAL] QMT 初始化异常: {e}")
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sys.exit(1)
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# 4. 初始化清算器
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settler = DailySettlement(xt_trader, acc, pos_manager, watch_list)
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print("=== 系统就绪，开始监听 ===")
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try:
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while True:
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now = datetime.datetime.now()
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current_time_str = now.strftime('%H%M')
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# 交易时段
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if '0900' <= current_time_str <= '1500':
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if settler.has_settled:
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settler.reset_flag()
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for strategy in watch_list:
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process_strategy_queue(strategy, r, xt_trader, acc, pos_manager)
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# 收盘清算时段
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elif '1505' <= current_time_str <= '1510':
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if not settler.has_settled:
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settler.run_settlement()
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time.sleep(60)
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except KeyboardInterrupt:
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print("用户终止程序") |