182 lines
6.1 KiB
Python
182 lines
6.1 KiB
Python
# coding:utf-8
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import time, datetime, traceback, sys, json
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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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# ================= 配置区域 =================
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QMT_PATH = r'D:\qmt\投研\迅投极速交易终端睿智融科版\userdata'
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ACCOUNT_ID = '2000128'
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ACCOUNT_TYPE = 'STOCK'
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REDIS_HOST = '127.0.0.1'
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REDIS_PORT = 6379
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REDIS_PASS = None
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# 策略基础名称 (不需要加 _real，代码会自动加)
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STRATEGY_BASE_NAME = 'default_strategy'
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# ===========================================
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# 定义监听的队列名称 (只监听实盘队列，物理屏蔽回测数据)
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LISTEN_QUEUE = f"{STRATEGY_BASE_NAME}_real"
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class MyXtQuantTraderCallback(XtQuantTraderCallback):
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def on_disconnected(self):
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print("连接断开")
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def on_stock_order(self, order):
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print(f"委托回报: {order.order_id} {order.order_remark}")
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def on_stock_trade(self, trade):
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print(f"成交: {trade.stock_code} {trade.traded_volume}")
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def on_order_error(self, order_error):
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print(f"下单失败: {order_error.error_msg}")
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def init_redis():
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try:
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r = redis.Redis(host=REDIS_HOST, port=REDIS_PORT, password=REDIS_PASS, decode_responses=True)
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r.ping()
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return r
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except Exception as e:
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print(f"Redis连接失败: {e}")
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return None
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def is_msg_valid(data):
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"""
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【安全核心】校验消息时效性与合法性
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"""
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try:
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# 1. 检查是否为回测标记 (防御性编程，虽然队列已物理隔离)
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if data.get('is_backtest', False):
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print(f"警报：拦截到回测数据，已丢弃！")
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return False
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# 2. 检查时间戳
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msg_time_str = data.get('timestamp')
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if not msg_time_str:
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print("数据缺失时间戳，丢弃")
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return False
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# 解析消息时间
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# 格式必须匹配策略端发送的 '%Y-%m-%d %H:%M:%S'
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msg_dt = datetime.datetime.strptime(msg_time_str, '%Y-%m-%d %H:%M:%S')
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msg_date = msg_dt.date()
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# 获取当前服务器日期
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today = datetime.date.today()
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# 3. 【核心】判断是否为当天的消息
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if msg_date != today:
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print(f"拦截过期消息: 消息日期[{msg_date}] != 今日[{today}]")
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return False
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# 可选：如果你想更严格，可以判断时间差不能超过5分钟
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# delta = datetime.datetime.now() - msg_dt
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# if abs(delta.total_seconds()) > 300: ...
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return True
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except Exception as e:
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print(f"校验逻辑异常: {e}")
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return False
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def process_redis_signal(r_client, xt_trader, acc):
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try:
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msg_json = r_client.lpop(LISTEN_QUEUE)
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if not msg_json: return
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print(f"收到信号: {msg_json}")
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data = json.loads(msg_json)
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if not is_msg_valid(data): return # 之前的校验逻辑
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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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# 获取切分份数
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# 兼容性处理：如果redis里还是旧key 'weight'，也可以尝试获取
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div_count = float(data.get('div_count', data.get('weight', 1)))
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# =========================================================
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# 买入逻辑：资金切片法
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# =========================================================
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if action == 'BUY':
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# 1. 必须查最新的可用资金 (Available Cash)
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asset = xt_trader.query_stock_asset(acc)
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if not asset:
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print("错误：无法查询资产")
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return
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current_cash = asset.cash
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# 2. 计算下单金额
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# 逻辑：Amount = Cash / div_count
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if div_count <= 0: div_count = 1 # 防止除0
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target_amount = current_cash / div_count
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# 3. 打印调试信息 (非常重要)
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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}")
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# 4. 计算股数
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if price <= 0: price = 1.0
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# 过滤小额杂单
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if target_amount < 2000:
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print(f"忽略：金额过小 ({target_amount:.2f})")
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return
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vol = int(target_amount / price / 100) * 100
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if vol >= 100:
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xt_trader.order_stock(acc, stock_code, xtconstant.STOCK_BUY, vol, xtconstant.FIX_PRICE, price,
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STRATEGY_BASE_NAME, 'PyBuy')
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print(f"买入下单: {stock_code} {vol}股")
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else:
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print(f"计算股数不足100股")
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# =========================================================
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# 卖出逻辑 (清仓)
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# =========================================================
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elif action == 'SELL':
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positions = xt_trader.query_stock_positions(acc)
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target_pos = next((p for p in positions if p.stock_code == stock_code), None)
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if target_pos and target_pos.can_use_volume > 0:
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xt_trader.order_stock(acc, stock_code, xtconstant.STOCK_SELL, target_pos.can_use_volume,
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xtconstant.FIX_PRICE, price, STRATEGY_BASE_NAME, 'PySell')
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print(f"卖出下单: {stock_code} {target_pos.can_use_volume}股")
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else:
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print(f"无可用持仓: {stock_code}")
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except Exception as e:
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print(f"处理异常: {e}")
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traceback.print_exc()
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if __name__ == '__main__':
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r_client = init_redis()
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session_id = int(time.time())
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xt_trader = XtQuantTrader(QMT_PATH, session_id)
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acc = StockAccount(ACCOUNT_ID, ACCOUNT_TYPE)
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callback = MyXtQuantTraderCallback()
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xt_trader.register_callback(callback)
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xt_trader.start()
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xt_trader.connect()
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xt_trader.subscribe(acc)
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print(f"=== 启动监听: {LISTEN_QUEUE} ===")
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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。")
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while True:
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if r_client:
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process_redis_signal(r_client, xt_trader, acc)
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time.sleep(60) |