refactor: 检查订单更新
This commit is contained in:
zhiyong
parent
959a83d011
commit
9a292f1609
@ -1,12 +1,10 @@
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import time
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import threading
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import schedule
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import weakref
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from xtquant import xtconstant
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from logger_config import get_logger
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from config import Config
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import json
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from typing import Dict
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from position_manager import PositionManager
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from functools import wraps
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from trade_constants import (
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ORDER_STATUS_COMPLETED,
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@ -44,8 +42,8 @@ class RealTraderManager:
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trader: XtTrader实例
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position_manager: StrategyPositionManager实例
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"""
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# 使用传入的trader和position_manager实例
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self.trader = trader
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# 使用传入的trader实例，使用弱引用避免循环引用
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self.trader = weakref.proxy(trader)
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# 启动调度器
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self._start_scheduler()
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@ -149,10 +147,11 @@ class RealTraderManager:
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f"已提交订单: ID={order_id}, 策略={strategy_name}, 代码={code}, 方向={direction}, 数量={amount}, 价格={price}, 类型={order_type}"
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)
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# 立即更新一次订单状态
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threading.Thread(
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target=self.check_and_retry,
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args=(order_id, strategy_name, code, direction, amount, 1),
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# 设置60秒后检查订单状态
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threading.Timer(
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60,
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self.check_and_retry,
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args=(order_id, strategy_name),
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name=f"CheckOrder-{order_id}"
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).start()
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@ -170,7 +169,6 @@ class RealTraderManager:
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code: 股票代码
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direction: 交易方向
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left_amount: 剩余数量
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available_retry_count: 重试次数
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Returns:
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bool: 补单是否成功
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@ -183,142 +181,71 @@ class RealTraderManager:
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new_order = self.place_order(strategy_name, code, direction, left_amount, 0, ORDER_TYPE_MARKET)
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new_order_id = new_order.get("order_id")
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if new_order.get("success") and new_order_id:
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# 立即检查新市价单
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threading.Thread(
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target=self.check_and_retry,
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args=(new_order_id, strategy_name, code, direction, left_amount),
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name=f"CheckMarketOrder-{new_order_id}"
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).start()
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# 订单已在place_order中设置了60秒后检查
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return True
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else:
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logger.error(f"补单失败: {new_order}")
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return False
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def check_and_retry(self, order_id, strategy_name, code, direction, amount, available_retry_count=1):
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def check_and_retry(self, order_id, strategy_name):
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"""检查订单状态并处理未完成订单
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Args:
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order_id: 订单ID
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strategy_name: 策略名称
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"""
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position_manager = self.trader.get_position_manager(strategy_name)
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order_info = position_manager.get_pending_order(order_id)
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if not order_info:
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logger.warning(f"订单信息不存在: ID={order_id}")
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logger.warning(f"订单信息不存在, 可能全部完成或者撤单: ID={order_id}")
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return
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filled = order_info.filled
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target_amount = order_info.amount
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order_type = order_info.order_type
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status = self._update_order_status(order_id, strategy_name)
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# 使用trader的handle_order_update方法更新订单状态
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status = self.trader.handle_order_update(order_id, strategy_name)
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# 如果状态为None，说明处理失败，则直接返回
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if status is None:
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logger.warning(f"订单状态更新失败: ID={order_id}")
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return
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# 重新获取订单信息，因为可能已经被更新
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order_info = position_manager.get_pending_order(order_id)
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if not order_info:
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logger.info(f"订单已完成: ID={order_id}")
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return
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if order_type == ORDER_TYPE_MARKET:
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# 市价单，只递归检查
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# 市价单，如果未完成则继续检查
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if status in [ORDER_STATUS_PENDING, ORDER_STATUS_PARTIAL]:
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logger.info(f"市价单未完成，1分钟后继续检查: ID={order_id}, 状态={status}")
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threading.Timer(60, self.check_and_retry, args=(order_id, strategy_name, code, direction, amount)).start()
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logger.info(f"市价单未完成，60秒后继续检查: ID={order_id}, 状态={status}")
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threading.Timer(60, self.check_and_retry, args=(order_id, strategy_name)).start()
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else:
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logger.info(f"市价单已完成: ID={order_id}, 状态={status}")
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elif order_type == ORDER_TYPE_LIMIT:
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# 限价单，未完成则撤单补市价单
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if status in [ORDER_STATUS_PENDING, ORDER_STATUS_PARTIAL] or status is None:
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if available_retry_count > 0:
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logger.info(f"限价单未完成，1分钟后继续检查: ID={order_id}, 状态={status}")
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threading.Timer(60, self.check_and_retry, args=(order_id, strategy_name, code, direction, amount, 0)).start()
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else:
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# 尝试撤单
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try:
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logger.info(f"限价单未完成，尝试撤单: ID={order_id}, 状态={status}")
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self.trader.cancel(order_id)
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position_manager.update_order_status(order_id, 0, ORDER_STATUS_CANCELLED)
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except Exception as e:
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logger.error(f"撤单失败: order_id={order_id}, error={str(e)}")
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# 计算剩余数量, 如果剩余数量大于0, 则补单
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left_amount = target_amount - filled
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self._place_market_order_for_remainder(strategy_name, code, direction, left_amount)
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filled = order_info.filled
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target_amount = order_info.amount
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left_amount = target_amount - filled
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# 限价单，这是60秒后的检查，如果未完成则撤单补市价单
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if status in [ORDER_STATUS_PENDING, ORDER_STATUS_PARTIAL]:
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# 尝试撤单
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try:
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logger.info(f"限价单60秒后仍未完成，尝试撤单: ID={order_id}, 状态={status}")
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self.trader.cancel(order_id)
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position_manager.update_order_status(order_id, filled, ORDER_STATUS_CANCELLED)
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except Exception as e:
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logger.error(f"撤单失败: order_id={order_id}, error={str(e)}")
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# 计算剩余数量, 如果剩余数量大于0, 则补单
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self._place_market_order_for_remainder(strategy_name, order_info.code, order_info.direction, left_amount)
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else:
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logger.info(f"限价单已完成: ID={order_id}, 状态={status}")
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else:
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logger.warning(f"未知订单类型: ID={order_id}, type={order_type}")
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def _update_order_status(self, order_id, strategy_name):
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"""更新单个订单状态
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Args:
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order_id: 订单ID
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"""
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# 检查订单是否存在
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position_manager = self.trader.get_position_manager(strategy_name)
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order_info = position_manager.get_pending_order(order_id)
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if not order_info:
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return None
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try:
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# 获取订单之前的状态，用于判断是否发生变化
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previous_status = order_info.status
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previous_volume = order_info.filled
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time.sleep(3)
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updated_order = self.trader.get_order(order_id)
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if not updated_order:
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logger.error(f"获取订单失败, 订单可能正在报单: {order_id}")
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return None
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# 根据委托状态更新订单状态
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if updated_order["order_status"] == xtconstant.ORDER_SUCCEEDED:
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# 全部成交
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filled = updated_order["traded_volume"]
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position_manager.update_order_status(order_id, filled, ORDER_STATUS_COMPLETED)
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# 更新持仓
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position_manager.update_position(
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order_info.code,
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order_info.direction,
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filled,
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)
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return ORDER_STATUS_COMPLETED
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elif updated_order["order_status"] == xtconstant.ORDER_PART_SUCC:
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# 部分成交
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filled = updated_order.get("traded_volume", 0)
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position_manager.update_order_status(
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order_id, filled, ORDER_STATUS_PARTIAL
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)
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# 如果成交量有变化，记录日志并更新持仓
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if filled != previous_volume:
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target_amount = order_info.amount
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logger.info(
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f"订单部分成交更新: ID={order_id}, 代码={order_info.code}, 目标数量={target_amount}, 已成交数量={filled}, 剩余数量={target_amount - filled}"
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)
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# 更新持仓（仅更新已成交部分）
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if filled > 0:
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position_manager.update_position(
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order_info.code,
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order_info.direction,
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filled,
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)
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return ORDER_STATUS_PARTIAL
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elif updated_order["order_status"] in [
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xtconstant.ORDER_CANCELED,
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xtconstant.ORDER_JUNK,
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]:
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# 已撤单或废单
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position_manager.update_order_status(
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order_id,
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0,
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ORDER_STATUS_CANCELLED
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)
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return ORDER_STATUS_CANCELLED
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elif updated_order["order_status"] in [
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xtconstant.ORDER_UNREPORTED,
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xtconstant.ORDER_WAIT_REPORTING,
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xtconstant.ORDER_REPORTED,
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]:
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# 未报、待报、已报
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if previous_status != ORDER_STATUS_PENDING:
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position_manager.update_order_status(order_id, 0, ORDER_STATUS_PENDING)
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return ORDER_STATUS_PENDING
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except Exception as e:
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logger.error(f"更新订单状态时发生异常: order_id={order_id}, error={str(e)}")
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return None
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def _check_order_feasibility(self, code, direction, amount, price):
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"""检查订单是否可行（资金或持仓是否足够）
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@ -10,6 +10,13 @@ from xtquant import xtconstant
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from xtquant.xtdata import get_instrument_detail
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from logger_config import get_logger
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from utils.mail_util import MailUtil
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from trade_constants import (
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ORDER_STATUS_COMPLETED,
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ORDER_STATUS_CANCELLED,
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ORDER_STATUS_PENDING,
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ORDER_STATUS_FAILED,
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ORDER_STATUS_PARTIAL,
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)
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# 获取日志记录器
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logger = get_logger('real_trader')
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@ -46,6 +53,27 @@ class MyXtQuantTraderCallback:
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logger.info(f"委托回报: {order.stock_code} {order.order_status} {order.order_sysid}")
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def on_stock_trade(self, trade):
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logger.info(f"成交变动: {trade.account_id} {trade.stock_code} {trade.order_id}")
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# 当有成交回报时，立即更新订单状态
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try:
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if self.trader_instance:
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order_id = trade.order_id
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# 查找该订单所属的策略
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strategy_name = None
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# 避免循环引用，不直接调用real_trader_manager的方法
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# 而是通过trader的方法间接调用
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for strategy, position_manager in self.trader_instance.get_all_position_managers().items():
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if position_manager.get_pending_order(order_id):
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strategy_name = strategy
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break
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if strategy_name:
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# 使用trader的方法来处理订单状态更新，避免直接调用real_trader_manager
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self.trader_instance.handle_order_update(order_id, strategy_name)
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logger.info(f"成交回报触发订单状态更新: ID={order_id}, 策略={strategy_name}")
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except Exception as e:
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logger.error(f"成交回报处理异常: {str(e)}", exc_info=True)
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def on_stock_position(self, position):
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logger.info(f"持仓变动: {position.stock_code} {position.volume}")
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def on_order_error(self, order_error):
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@ -490,4 +518,120 @@ class XtTrader(BaseTrader):
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self.last_reconnect_time = None
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else:
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logger.warning("定期重连失败")
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self.last_reconnect_time = time.time()
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self.last_reconnect_time = time.time()
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def handle_order_update(self, order_id, strategy_name):
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"""处理订单状态更新，作为中间层避免循环引用
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Args:
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order_id: 订单ID
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strategy_name: 策略名称
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Returns:
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str: 订单状态，如ORDER_STATUS_COMPLETED、ORDER_STATUS_PARTIAL等，如果处理失败则返回None
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"""
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try:
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# 获取订单信息
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order = self.get_order(order_id)
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if not order:
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logger.warning(f"获取订单失败，无法更新状态: {order_id}")
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return None
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# 获取position_manager
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position_manager = self.get_position_manager(strategy_name)
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if not position_manager:
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logger.warning(f"获取position_manager失败，无法更新状态: {strategy_name}")
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return None
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# 获取订单信息
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order_info = position_manager.get_pending_order(order_id)
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if not order_info:
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logger.warning(f"订单信息不存在，可能已完成: {order_id}")
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return None
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# 获取之前的状态和成交量
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previous_status = order_info.status
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previous_volume = order_info.filled
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# 根据委托状态更新订单状态
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if order["order_status"] == xtconstant.ORDER_SUCCEEDED:
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# 全部成交
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filled = order["traded_volume"]
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# 如果订单已经标记为完成，则不重复更新
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if previous_status == ORDER_STATUS_COMPLETED:
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return ORDER_STATUS_COMPLETED
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position_manager.update_order_status(order_id, filled, ORDER_STATUS_COMPLETED)
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# 更新持仓（只更新新增的成交部分）
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if filled > previous_volume:
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new_filled = filled - previous_volume
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position_manager.update_position(
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order_info.code,
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order_info.direction,
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new_filled,
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)
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logger.info(f"订单全部成交: ID={order_id}, 代码={order_info.code}, 总成交量={filled}, 新增成交量={new_filled}")
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return ORDER_STATUS_COMPLETED
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elif order["order_status"] == xtconstant.ORDER_PART_SUCC:
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# 部分成交
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filled = order.get("traded_volume", 0)
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position_manager.update_order_status(
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order_id, filled, ORDER_STATUS_PARTIAL
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)
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# 如果成交量有变化，记录日志并更新持仓
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if filled != previous_volume:
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target_amount = order_info.amount
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new_filled = filled - previous_volume
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logger.info(
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f"订单部分成交更新: ID={order_id}, 代码={order_info.code}, 目标数量={target_amount}, "
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f"已成交数量={filled}, 新增成交量={new_filled}, 剩余数量={target_amount - filled}"
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)
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# 更新持仓（仅更新新增成交部分）
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if new_filled > 0:
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position_manager.update_position(
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order_info.code,
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order_info.direction,
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new_filled,
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)
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return ORDER_STATUS_PARTIAL
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elif order["order_status"] in [
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xtconstant.ORDER_CANCELED,
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xtconstant.ORDER_JUNK,
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]:
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# 已撤单或废单
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# 如果已经标记为取消，则不重复更新
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if previous_status == ORDER_STATUS_CANCELLED:
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return ORDER_STATUS_CANCELLED
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position_manager.update_order_status(
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order_id,
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previous_volume, # 保留已成交部分
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ORDER_STATUS_CANCELLED
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)
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return ORDER_STATUS_CANCELLED
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elif order["order_status"] in [
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xtconstant.ORDER_UNREPORTED,
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xtconstant.ORDER_WAIT_REPORTING,
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xtconstant.ORDER_REPORTED,
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]:
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# 未报、待报、已报
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if previous_status != ORDER_STATUS_PENDING:
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position_manager.update_order_status(order_id, previous_volume, ORDER_STATUS_PENDING)
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return ORDER_STATUS_PENDING
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return None
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except Exception as e:
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logger.error(f"处理订单状态更新异常: order_id={order_id}, error={str(e)}", exc_info=True)
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return None
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