410 lines
15 KiB
Python
410 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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from logging.handlers import TimedRotatingFileHandler
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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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# ================= 1. 日志系统初始化 =================
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def setup_logger():
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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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today = datetime.date.today().strftime('%Y-%m-%d')
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log_file = os.path.join(log_dir, f"qmt_trade_{today}.log")
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logger = logging.getLogger("QMT_Trader")
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logger.setLevel(logging.INFO)
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if logger.handlers:
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logger.handlers.clear()
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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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file_handler = TimedRotatingFileHandler(
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filename=log_file,
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when='MIDNIGHT',
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interval=1,
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backupCount=30,
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encoding='utf-8'
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)
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file_handler.setFormatter(formatter)
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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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logger = setup_logger()
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# ================= 全局变量 =================
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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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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):
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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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config = json.load(f)
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logger.info(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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logger.error(f"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 =================
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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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key = self._get_key(strategy_name)
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if self.r.hsetnx(key, code, 0):
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logger.info(f"[{strategy_name}] Redis乐观占位成功: {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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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("开始执行收盘清算流程...")
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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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logger.info(f" -> 撤销未成交挂单: {o.stock_code} {o.order_volume}")
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time.sleep(2)
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else:
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logger.info(" -> 无未成交订单")
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except Exception as e:
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logger.error(f"查询/撤单异常: {e}")
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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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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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logger.warning(f" [修正] 策略[{strategy}] 幽灵持仓 {code} (Redis={v_vol_str}) -> 强制释放")
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self.pos_mgr.force_delete(strategy, code)
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logger.info("收盘清算完成")
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logger.info("="*40)
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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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# 【新增】连接状态标记，默认False，连接成功后外部置为True
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self.is_connected = False
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def on_disconnected(self):
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"""
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连接断开回调
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"""
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logger.warning(">> 检测到交易端连接断开 (QMT可能正在重启)")
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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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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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logger.info(f">>> [成交回报] 策略:{strategy_name} 代码:{stock_code} 成交量:{traded_vol}")
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if action_type == 'BUY':
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new_pos = self.pos_mgr.update_actual_volume(strategy_name, stock_code, traded_vol)
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logger.info(f" [记账] {strategy_name} 持仓增加 -> {new_pos}")
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elif action_type == 'SELL':
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new_pos = self.pos_mgr.update_actual_volume(strategy_name, stock_code, -traded_vol)
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logger.info(f" [记账] {strategy_name} 持仓扣减 -> {new_pos}")
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except Exception:
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logger.error("成交回调处理异常", exc_info=True)
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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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err_msg = order_error.error_msg
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logger.error(f">>> [下单失败] ID:{order_id} Msg:{err_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:
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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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history_key = f"{queue_key}:history"
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r_client.rpush(history_key, msg_json)
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data = json.loads(msg_json)
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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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logger.warning(f"忽略过期消息: {msg_ts}")
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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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logger.info(f"收到信号 [{strategy_name}]: {stock_code} {action} Slot:{target_total_slots}")
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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:
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logger.warning(f"[{strategy_name}] 槽位已满，忽略买入")
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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("无法查询资产信息(可能连接未就绪)")
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return
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target_amount = asset.cash / empty_slots
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if target_amount < 2000:
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logger.info(f"[{strategy_name}] 下单金额过小 ({target_amount:.2f})，忽略")
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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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logger.info(f"[{strategy_name}] 发出买单: {stock_code} {vol}股 (1/{empty_slots}) ID:{order_id}")
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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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else:
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logger.error(f"[{strategy_name}] 下单请求被柜台拒绝 (-1)")
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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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logger.info(f"[{strategy_name}] 发出卖单: {stock_code} {final_vol}股 ID:{order_id}")
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ORDER_CACHE[order_id] = (strategy_name, stock_code, 'SELL')
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else:
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logger.warning(f"[{strategy_name}] 账本有货但实盘不足 (Redis:{virtual_vol}, Real:{real_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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# ================= 主程序入口 =================
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if __name__ == '__main__':
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logger.info("正在启动 QMT 策略监听系统...")
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# 1. 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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logger.info(f"监听策略列表: {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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logger.info("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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logger.critical(f"Redis 连接失败: {e}")
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sys.exit(1)
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# 3. 初始化 QMT 对象 (暂不连接)
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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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# 初次连接
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connect_res = xt_trader.connect()
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if connect_res == 0:
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logger.info(f"QMT 初次连接成功: {qmt_cfg['account_id']}")
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xt_trader.subscribe(acc)
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callback.is_connected = True # 标记为已连接
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else:
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logger.error(f"QMT 初次连接失败 ({connect_res})，将进入重连循环")
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callback.is_connected = False
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except Exception as e:
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logger.critical(f"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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logger.info("=== 系统就绪，开始循环监听 ===")
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try:
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while True:
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# ================= [新增] 断线重连逻辑 =================
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if not callback.is_connected:
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logger.info("正在尝试重连 QMT...")
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try:
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# 尝试连接
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res = xt_trader.connect()
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if res == 0:
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logger.info("QMT 重连成功！重新订阅账户...")
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# 重连后必须重新订阅
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xt_trader.subscribe(acc)
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callback.is_connected = True
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else:
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logger.warning(f"QMT 重连失败 (Code: {res})，60秒后重试...")
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time.sleep(60)
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continue # 跳过本次循环，直接进入下一次检查
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except Exception as e:
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logger.error(f"重连过程发生异常: {e}")
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time.sleep(60)
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continue
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# ====================================================
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now = datetime.datetime.now()
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current_time_str = now.strftime('%H%M')
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# 默认休眠时间
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sleep_interval = 60
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# === 交易时段 ===
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if '0900' <= current_time_str <= '1500':
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# 高频轮询时段
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if '0920' <= current_time_str <= '1000':
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sleep_interval = 10
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else:
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sleep_interval = 60
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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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sleep_interval = 60
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time.sleep(sleep_interval)
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except KeyboardInterrupt:
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logger.info("用户手动终止程序")
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except Exception as e:
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logger.critical("主循环发生未捕获异常", exc_info=True) |