406 lines
15 KiB
Python
406 lines
15 KiB
Python
# coding:utf-8
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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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# 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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# ================= 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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# 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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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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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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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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# ================= 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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try:
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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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# 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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if action == 'BUY':
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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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logger.error("无法查询资产，QMT可能未就绪")
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return
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# 金额计算
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amt = asset.cash / empty
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if amt < 2000:
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logger.warning(f"[{strategy_name}] 拦截买入: 金额过小 ({amt:.2f})")
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return
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if price <= 0: price = 1.0
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vol = int(amt / price / 100) * 100
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if vol >= 100:
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oid = xt_trader.order_stock(acc, stock_code, xtconstant.STOCK_BUY, vol, xtconstant.FIX_PRICE, price, strategy_name, 'PyBuy')
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if oid != -1:
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logger.info(f"[{strategy_name}] 发出买单: {stock_code} {vol}股 ID:{oid}")
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ORDER_CACHE[oid] = (strategy_name, stock_code, 'BUY')
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pos_manager.mark_holding(strategy_name, stock_code)
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else:
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logger.error(f"[{strategy_name}] 下单被拒绝 (-1)")
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else:
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logger.warning(f"[{strategy_name}] 股数不足100 (Amt:{amt:.2f})")
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elif action == 'SELL':
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v_vol = pos_manager.get_position(strategy_name, stock_code)
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if v_vol > 0:
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real_pos = xt_trader.query_stock_positions(acc)
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rp = next((p for p in real_pos if p.stock_code==stock_code), None)
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can_use = rp.can_use_volume if rp else 0
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final = min(v_vol, can_use)
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if final > 0:
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oid = xt_trader.order_stock(acc, stock_code, xtconstant.STOCK_SELL, final, xtconstant.FIX_PRICE, price, strategy_name, 'PySell')
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if oid != -1:
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logger.info(f"[{strategy_name}] 发出卖单: {stock_code} {final}")
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ORDER_CACHE[oid] = (strategy_name, stock_code, 'SELL')
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else:
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logger.warning(f"[{strategy_name}] 卖出拦截: 虚拟{v_vol}但实盘可用{can_use}")
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else:
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logger.info(f"[{strategy_name}] Redis无持仓，忽略卖出")
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except Exception:
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logger.error("消息处理异常", exc_info=True)
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# ================= 6. QMT初始化 =================
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def init_qmt_trader(qmt_path, account_id, account_type, pos_manager):
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try:
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session_id = int(time.time())
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trader = XtQuantTrader(qmt_path, session_id)
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acc = StockAccount(account_id, account_type)
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callback = MyXtQuantTraderCallback(pos_manager)
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trader.register_callback(callback)
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trader.start()
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res = trader.connect()
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if res == 0:
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logger.info(f"QMT 连接成功 [Session:{session_id}]")
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trader.subscribe(acc)
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callback.is_connected = True
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return trader, acc, callback
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else:
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logger.error(f"QMT 连接失败 Code:{res}")
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return None, None, None
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except Exception as e:
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logger.error(f"初始化异常: {e}")
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return None, None, None
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# ================= 7. 主程序 =================
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if __name__ == '__main__':
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logger.info(">>> 系统启动 (实盘生产模式) <<<")
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# 加载配置
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CONFIG = load_config('config.json')
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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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# 连接Redis
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try:
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r = redis.Redis(**redis_cfg, decode_responses=True)
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r.ping()
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pos_manager = PositionManager(r)
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except Exception as e:
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logger.critical(f"Redis 连接失败: {e}")
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sys.exit(1)
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# 初次连接 QMT
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xt_trader, acc, callback = init_qmt_trader(
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qmt_cfg['path'], qmt_cfg['account_id'], qmt_cfg['account_type'], pos_manager
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)
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settler = None
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if xt_trader:
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settler = DailySettlement(xt_trader, acc, pos_manager, watch_list)
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logger.info(">>> 进入主循环监听 <<<")
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while True:
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try:
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# --- 1. 日志跨天处理 ---
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today_str = datetime.date.today().strftime('%Y-%m-%d')
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if today_str != CURRENT_LOG_DATE:
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logger.info(f"日期变更 ({CURRENT_LOG_DATE} -> {today_str})，切换日志...")
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logger = setup_logger()
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# --- 2. 断线重连 (仅工作日) ---
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need_reconnect = (xt_trader is None) or (callback is None) or (not callback.is_connected)
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if need_reconnect:
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# 检查是否为周末 (5=周六, 6=周日)
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if datetime.date.today().weekday() >= 5:
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logger.info("当前是周末，暂停重连，休眠1小时")
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time.sleep(3600)
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continue
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logger.warning("连接丢失，尝试重连...")
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if xt_trader:
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try: xt_trader.stop()
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except: pass
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xt_trader, acc, callback = init_qmt_trader(
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qmt_cfg['path'], qmt_cfg['account_id'], qmt_cfg['account_type'], pos_manager
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)
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if xt_trader:
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settler = DailySettlement(xt_trader, acc, pos_manager, watch_list)
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logger.info("重连成功")
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else:
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logger.error("重连失败，60秒后重试")
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time.sleep(60)
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continue
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# --- 3. 交易时段轮询逻辑 ---
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now = datetime.datetime.now()
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current_time_str = now.strftime('%H%M%S') # 格式化为 HHMMSS
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# 默认休眠 60秒
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sleep_sec = 60
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is_trading_time = False
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# 判断时段
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# 09:15:00 - 10:00:00 (竞价 + 开盘半小时) -> 高频 1秒
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if '091500' <= current_time_str <= '100000':
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sleep_sec = 1
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is_trading_time = True
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# 10:00:01 - 11:30:00 -> 低频 60秒
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elif '100000' < current_time_str <= '113000':
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sleep_sec = 60
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is_trading_time = True
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# 13:00:00 - 14:50:00 -> 低频 60秒
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elif '130000' <= current_time_str < '145000':
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sleep_sec = 60
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is_trading_time = True
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# 14:50:00 - 15:00:00 (尾盘 + 收盘竞价) -> 高频 1秒
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elif '145000' <= current_time_str <= '150000':
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sleep_sec = 1
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is_trading_time = True
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# --- 4. 执行业务 ---
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if is_trading_time:
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# 每日重置清算标记
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if settler and settler.has_settled:
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settler.reset_flag()
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# 处理信号
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for s in watch_list:
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process_strategy_queue(s, r, xt_trader, acc, pos_manager)
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# --- 5. 收盘清算 (15:05 - 15:10) ---
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elif '150500' <= current_time_str <= '151000':
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if settler and not settler.has_settled:
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settler.run_settlement()
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sleep_sec = 60
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# 执行休眠
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time.sleep(sleep_sec)
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except KeyboardInterrupt:
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logger.info("用户停止")
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break
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except Exception as e:
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logger.critical("主循环未捕获异常", exc_info=True)
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time.sleep(10) |