refactor: use order callback to update order status (#1)
* fix: logger is none * 由订单回调触发订单状态更新和补单 * 使position manager 线程安全 * remove empty line
This commit is contained in:
biggerfish
GitHub
parent
7d49e19f5d
commit
9e13f3c956
@ -53,8 +53,7 @@ class Config:
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MAIL_TO = ["jq@yushaoyou.com"] # 可以是多个邮箱
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# RealTraderManager配置
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RTM_ORDER_TIMEOUT = 60 # 订单超时时间（秒）
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RTM_MAX_RETRIES = 3 # 最大重试次数
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RTM_ORDER_TIMEOUT = 30 # 订单超时时间（秒）
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RTM_USE_MARKET_ORDER = True # 是否使用市价单进行补单
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# 计划任务运行时间
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@ -1,8 +1,8 @@
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from trade_constants import ORDER_STATUS_PENDING
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from trade_constants import ORDER_STATUS_PENDING, ORDER_TYPE_LIMIT
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from datetime import datetime
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class LocalOrder:
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def __init__(self, order_id, code, price, amount, direction, order_type='limit', filled=0, status=ORDER_STATUS_PENDING, created_time=datetime.now()):
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def __init__(self, order_id, code, price, amount, direction, order_type=ORDER_TYPE_LIMIT, filled=0, status=ORDER_STATUS_PENDING, created_time=datetime.now()):
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self.order_id: str = order_id
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self.code: str = code
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self.price: float = price
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@ -1,5 +1,6 @@
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import os
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import json
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import threading
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from logger_config import get_logger
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from config import Config
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from trade_constants import (
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@ -8,7 +9,6 @@ from trade_constants import (
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ORDER_TYPE_MARKET,
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ORDER_STATUS_COMPLETED,
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ORDER_STATUS_CANCELLED,
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ORDER_STATUS_FAILED,
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)
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from local_position import LocalPosition
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from local_order import LocalOrder
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@ -26,6 +26,8 @@ class PositionManager:
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"""初始化实盘持仓管理器"""
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super().__init__()
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self.strategy_name = strategy_name
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# 创建线程锁
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self._lock = threading.Lock()
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# 策略持仓信息
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self.positions: Dict[str, LocalPosition] = {} # {股票代码 -> LocalPosition}
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# 待处理订单信息
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@ -44,33 +46,34 @@ class PositionManager:
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self.load_data()
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def update_position(self, code, direction, amount):
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# 如果股票代码在持仓字典中不存在，初始化它
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if code not in self.positions:
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self.positions[code] = LocalPosition(code, 0, 0)
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with self._lock:
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# 如果股票代码在持仓字典中不存在，初始化它
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if code not in self.positions:
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self.positions[code] = LocalPosition(code, 0, 0)
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# 根据方向更新持仓
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position = self.positions[code]
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is_t0_stock = is_t0(code)
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if direction == ORDER_DIRECTION_BUY:
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position.total_amount += amount
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if is_t0_stock:
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position.closeable_amount += amount
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else: # sell
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position.total_amount -= amount
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position.closeable_amount -= amount
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# 根据方向更新持仓
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position = self.positions[code]
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is_t0_stock = is_t0(code)
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if direction == ORDER_DIRECTION_BUY:
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position.total_amount += amount
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if is_t0_stock:
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position.closeable_amount += amount
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else: # sell
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position.total_amount -= amount
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position.closeable_amount -= amount
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logger.info(
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f"更新策略持仓 - 策略: {self.strategy_name}, 代码: {code}, 方向: {direction}, 数量: {amount}, "
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f"更新后总量: {position.total_amount}, "
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f"可用: {position.closeable_amount}"
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)
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logger.info(
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f"更新策略持仓 - 策略: {self.strategy_name}, 代码: {code}, 方向: {direction}, 数量: {amount}, "
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f"更新后总量: {position.total_amount}, "
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f"可用: {position.closeable_amount}"
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)
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# 移除total_amount为0的持仓
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if code in self.positions and self.positions[code].total_amount <= 0:
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del self.positions[code]
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logger.info(f"移除空持仓 - 策略: {self.strategy_name}, 代码: {code}")
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# 移除total_amount为0的持仓
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if code in self.positions and self.positions[code].total_amount <= 0:
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del self.positions[code]
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logger.info(f"移除空持仓 - 策略: {self.strategy_name}, 代码: {code}")
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self.save_data()
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self.save_data()
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def add_pending_order(
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self, order_id, code, price, amount, direction, order_type=ORDER_TYPE_LIMIT
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@ -78,48 +81,49 @@ class PositionManager:
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if not self.strategy_name:
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return
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order = LocalOrder(order_id, code, price, amount, direction, order_type)
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self.pending_orders[order_id] = order
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if (order_type == ORDER_TYPE_LIMIT):
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self.all_orders.append(order)
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with self._lock:
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order = LocalOrder(order_id, code, price, amount, direction, order_type)
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self.pending_orders[order_id] = order
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if (order_type == ORDER_TYPE_LIMIT):
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self.all_orders.append(order)
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logger.info(
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f"添加订单 - ID: {order_id}, 策略: {self.strategy_name}, 代码: {code}, 方向: {direction}, "
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f"数量: {amount}, 价格: {price}, 类型: {order_type}"
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)
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logger.info(
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f"添加订单 - ID: {order_id}, 策略: {self.strategy_name}, 代码: {code}, 方向: {direction}, "
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f"数量: {amount}, 价格: {price}, 类型: {order_type}"
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)
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self.save_data()
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self.save_data()
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def update_order_status(self, order_id, filled, new_status):
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if order_id in self.pending_orders:
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_order = self.pending_orders[order_id]
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# 记录之前的状态用于日志
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previous_status = _order.status
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with self._lock:
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if order_id in self.pending_orders:
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_order = self.pending_orders[order_id]
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# 记录之前的状态用于日志
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previous_status = _order.status
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# 更新状态
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_order.status = new_status
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_order.filled = filled
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# 更新状态
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_order.status = new_status
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_order.filled = filled
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# 记录状态变化日志
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if previous_status != new_status:
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code = self.pending_orders[order_id].code
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logger.info(
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f"订单状态变化: ID={order_id}, 代码={code}, 旧状态={previous_status}, 新状态={new_status}"
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)
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# 记录状态变化日志
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if previous_status != new_status:
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code = self.pending_orders[order_id].code
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logger.info(
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f"订单状态变化: ID={order_id}, 代码={code}, 旧状态={previous_status}, 新状态={new_status}"
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)
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# 如果订单已完成，移除它
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if new_status in [
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ORDER_STATUS_COMPLETED,
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ORDER_STATUS_CANCELLED,
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ORDER_STATUS_FAILED,
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]:
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# 保留订单信息以供参考，但标记为已完成
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del self.pending_orders[order_id]
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logger.info(f"订单已删除 - ID: {order_id}, 状态: {new_status}")
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self.save_data()
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return True
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# 如果订单已完成，移除它
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if new_status in [
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ORDER_STATUS_COMPLETED,
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ORDER_STATUS_CANCELLED,
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]:
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# 保留订单信息以供参考，但标记为已完成
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del self.pending_orders[order_id]
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logger.info(f"订单已删除 - ID: {order_id}, 状态: {new_status}")
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self.save_data()
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return True
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return False
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return False
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def get_pending_order(self, order_id) -> LocalOrder:
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"""获取未完成委托信息
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@ -130,7 +134,8 @@ class PositionManager:
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Returns:
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dict: 委托信息，如果不存在返回None
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"""
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return self.pending_orders.get(order_id)
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with self._lock:
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return self.pending_orders.get(order_id)
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def get_pending_orders(self):
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"""获取所有未完成委托
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@ -138,7 +143,9 @@ class PositionManager:
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Returns:
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dict: 订单ID到委托信息的映射
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"""
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return self.pending_orders
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with self._lock:
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# 返回副本以避免外部修改
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return self.pending_orders.copy()
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def get_positions(self) -> Dict[str, LocalPosition]:
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"""获取策略持仓
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@ -147,158 +154,167 @@ class PositionManager:
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Dict[str, LocalPosition]:
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key为股票代码（str），value为LocalPosition对象，若无持仓则返回空字典。
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"""
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return self.positions
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with self._lock:
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# 返回副本以避免外部修改
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return self.positions.copy()
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def save_data(self):
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"""保存策略数据"""
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try:
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# 将对象转换为可序列化的字典
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positions_dict = {}
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for code, pos in self.positions.items():
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positions_dict[code] = {
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"code": pos.code,
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"total_amount": pos.total_amount,
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"closeable_amount": pos.closeable_amount,
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}
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with self._lock:
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try:
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# 将对象转换为可序列化的字典
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positions_dict = {}
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for code, pos in self.positions.items():
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positions_dict[code] = {
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"code": pos.code,
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"total_amount": pos.total_amount,
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"closeable_amount": pos.closeable_amount,
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}
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pending_orders_dict = {}
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for order_id, order in self.pending_orders.items():
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pending_orders_dict[order_id] = {
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"order_id": order.order_id,
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"code": order.code,
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"price": order.price,
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"amount": order.amount,
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"filled": order.filled,
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"direction": order.direction,
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"order_type": order.order_type,
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"status": order.status,
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"created_time": (
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order.created_time.isoformat()
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if hasattr(order, "created_time")
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else None
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),
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}
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pending_orders_dict = {}
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for order_id, order in self.pending_orders.items():
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pending_orders_dict[order_id] = {
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"order_id": order.order_id,
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"code": order.code,
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"price": order.price,
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"amount": order.amount,
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"filled": order.filled,
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"direction": order.direction,
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"order_type": order.order_type,
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"status": order.status,
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"created_time": (
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order.created_time.isoformat()
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if hasattr(order, "created_time")
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else None
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),
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}
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all_orders_array = []
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for order in self.all_orders:
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all_orders_array.append({
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"order_id": order.order_id,
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"code": order.code,
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"price": order.price,
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"amount": order.amount,
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"direction": order.direction,
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"order_type": order.order_type,
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"created_time": (
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order.created_time.isoformat()
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if hasattr(order, "created_time")
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else None
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),
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})
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all_orders_array = []
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for order in self.all_orders:
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all_orders_array.append({
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"order_id": order.order_id,
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"code": order.code,
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"price": order.price,
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"amount": order.amount,
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"direction": order.direction,
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"order_type": order.order_type,
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"created_time": (
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order.created_time.isoformat()
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if hasattr(order, "created_time")
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else None
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),
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})
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with open(self.data_path, "w") as f:
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json.dump(
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{
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"positions": positions_dict,
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"pending_orders": pending_orders_dict,
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"all_orders": all_orders_array,
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},
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f,
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)
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logger.info("成功保存实盘策略数据")
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except Exception as e:
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logger.error(f"保存实盘策略数据失败: {str(e)}")
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with open(self.data_path, "w") as f:
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json.dump(
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{
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"positions": positions_dict,
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"pending_orders": pending_orders_dict,
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"all_orders": all_orders_array,
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},
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f,
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)
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logger.info("成功保存实盘策略数据")
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except Exception as e:
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logger.error(f"保存实盘策略数据失败: {str(e)}")
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def load_data(self):
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"""加载策略数据"""
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try:
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if os.path.exists(self.data_path):
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from datetime import datetime
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with self._lock:
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try:
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if os.path.exists(self.data_path):
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from datetime import datetime
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with open(self.data_path, "r") as f:
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data = json.load(f)
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with open(self.data_path, "r") as f:
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data = json.load(f)
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# 还原positions对象
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self.positions = {}
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positions_dict = data.get("positions", {})
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for code, pos_data in positions_dict.items():
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self.positions[code] = LocalPosition(
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pos_data["code"],
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int(pos_data["total_amount"]),
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int(pos_data["closeable_amount"]),
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)
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# 还原positions对象
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self.positions = {}
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positions_dict = data.get("positions", {})
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for code, pos_data in positions_dict.items():
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self.positions[code] = LocalPosition(
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pos_data["code"],
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int(pos_data["total_amount"]),
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int(pos_data["closeable_amount"]),
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)
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# 还原pending_orders对象
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self.pending_orders = {}
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pending_orders_dict = data.get("pending_orders", {})
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for order_id, order_data in pending_orders_dict.items():
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order = LocalOrder(
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order_data["order_id"],
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order_data["code"],
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float(order_data["price"]),
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int(order_data["amount"]),
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order_data["direction"],
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order_data["order_type"],
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int(order_data["filled"]),
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order_data["status"],
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)
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if order_data.get("created_time"):
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try:
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order.created_time = datetime.fromisoformat(
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# 还原pending_orders对象
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self.pending_orders = {}
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pending_orders_dict = data.get("pending_orders", {})
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for order_id, order_data in pending_orders_dict.items():
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order = LocalOrder(
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order_data["order_id"],
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order_data["code"],
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float(order_data["price"]),
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int(order_data["amount"]),
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order_data["direction"],
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order_data["order_type"],
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int(order_data["filled"]),
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order_data["status"],
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)
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if order_data.get("created_time"):
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try:
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order.created_time = datetime.fromisoformat(
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order_data["created_time"]
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)
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except (ValueError, TypeError):
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order.created_time = datetime.now()
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self.pending_orders[order_id] = order
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# 还原all_orders对象
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self.all_orders = []
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all_orders_array = data.get("all_orders", [])
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for order_data in all_orders_array:
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order = LocalOrder(
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order_data["order_id"],
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order_data["code"],
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float(order_data["price"]),
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int(order_data["amount"]),
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order_data["direction"],
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order_data["order_type"],
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created_time=datetime.fromisoformat(
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order_data["created_time"]
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)
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except (ValueError, TypeError):
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order.created_time = datetime.now()
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) if order_data.get("created_time") else datetime.now()
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)
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self.all_orders.append(order)
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self.pending_orders[order_id] = order
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# 还原all_orders对象
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logger.info("已加载实盘策略数据")
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logger.info(f"本策略: {self.strategy_name} 持仓股票个数: {len(self.positions)} 未完成委托数: {len(self.pending_orders)} 历史订单数: {len(self.all_orders)}")
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else:
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logger.info(f"实盘策略数据文件不存在: {self.data_path}")
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self.positions = {}
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self.pending_orders = {}
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self.all_orders = []
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all_orders_array = data.get("all_orders", [])
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for order_data in all_orders_array:
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order = LocalOrder(
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order_data["order_id"],
|
||||
order_data["code"],
|
||||
float(order_data["price"]),
|
||||
int(order_data["amount"]),
|
||||
order_data["direction"],
|
||||
order_data["order_type"],
|
||||
created_time=datetime.fromisoformat(
|
||||
order_data["created_time"]
|
||||
) if order_data.get("created_time") else datetime.now()
|
||||
)
|
||||
self.all_orders.append(order)
|
||||
|
||||
logger.info("已加载实盘策略数据")
|
||||
logger.info(f"本策略: {self.strategy_name} 持仓股票个数: {len(self.positions)} 未完成委托数: {len(self.pending_orders)} 历史订单数: {len(self.all_orders)}")
|
||||
else:
|
||||
logger.info(f"实盘策略数据文件不存在: {self.data_path}")
|
||||
except Exception as e:
|
||||
logger.error(f"加载实盘策略数据失败: {str(e)}")
|
||||
# 初始化空数据结构
|
||||
self.positions = {}
|
||||
self.pending_orders = {}
|
||||
self.all_orders = []
|
||||
except Exception as e:
|
||||
logger.error(f"加载实盘策略数据失败: {str(e)}")
|
||||
# 初始化空数据结构
|
||||
self.positions = {}
|
||||
self.pending_orders = {}
|
||||
self.all_orders = []
|
||||
|
||||
def clear(self):
|
||||
"""清除所有持仓管理数据"""
|
||||
self.positions = {}
|
||||
self.pending_orders = {}
|
||||
self.all_orders = []
|
||||
self.save_data()
|
||||
with self._lock:
|
||||
self.positions = {}
|
||||
self.pending_orders = {}
|
||||
self.all_orders = []
|
||||
self.save_data()
|
||||
|
||||
def update_closeable_amount(self):
|
||||
"""更新可卖持仓"""
|
||||
for _, position in self.positions.items():
|
||||
if position.closeable_amount != position.total_amount:
|
||||
position.closeable_amount = position.total_amount
|
||||
with self._lock:
|
||||
for _, position in self.positions.items():
|
||||
if position.closeable_amount != position.total_amount:
|
||||
position.closeable_amount = position.total_amount
|
||||
|
||||
def clear_pending_orders(self):
|
||||
"""清除所有未完成订单"""
|
||||
self.pending_orders = {}
|
||||
with self._lock:
|
||||
self.pending_orders = {}
|
||||
|
||||
def get_all_orders(self):
|
||||
"""获取所有订单"""
|
||||
return self.all_orders
|
||||
with self._lock:
|
||||
# 返回副本以避免外部修改
|
||||
return self.all_orders.copy()
|
||||
|
||||
@ -9,7 +9,6 @@ from trade_constants import (
|
||||
ORDER_STATUS_COMPLETED,
|
||||
ORDER_STATUS_CANCELLED,
|
||||
ORDER_STATUS_PENDING,
|
||||
ORDER_STATUS_FAILED,
|
||||
ORDER_STATUS_PARTIAL,
|
||||
ORDER_DIRECTION_BUY,
|
||||
ORDER_DIRECTION_SELL,
|
||||
@ -76,6 +75,17 @@ class RealTraderManager:
|
||||
else:
|
||||
logger.error("STRATEGY_SAVE_TIME 未配置")
|
||||
|
||||
# 检查限价单是否超时
|
||||
if hasattr(Config, "RTM_ORDER_TIMEOUT"):
|
||||
try:
|
||||
schedule.every(10).seconds.do(
|
||||
run_threaded(self.check_limit_orders)
|
||||
)
|
||||
except Exception as e:
|
||||
logger.error(f"限价单超时检查任务配置错误: {e}")
|
||||
else:
|
||||
logger.error("RTM_ORDER_TIMEOUT 未配置")
|
||||
|
||||
# 启动高精度调度线程
|
||||
def run_scheduler():
|
||||
while True:
|
||||
@ -158,105 +168,32 @@ class RealTraderManager:
|
||||
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}"
|
||||
)
|
||||
|
||||
threading.Timer(60, self.check_and_retry, args=(order_id, strategy_name)).start()
|
||||
|
||||
return {"success": True, "order_id": order_id}
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"下单过程发生异常: {str(e)}")
|
||||
return {"success": False, "error": f"下单异常: {str(e)}"}
|
||||
|
||||
def _place_market_order_for_remainder(self, strategy_name, code, direction, left_amount):
|
||||
"""对未完成的订单进行补单，下市价单
|
||||
|
||||
Args:
|
||||
strategy_name: 策略名称
|
||||
code: 股票代码
|
||||
direction: 交易方向
|
||||
left_amount: 剩余数量
|
||||
|
||||
Returns:
|
||||
bool: 补单是否成功
|
||||
"""
|
||||
if left_amount <= 0:
|
||||
logger.info(f"无需补单，剩余数量为零或负数: {left_amount}")
|
||||
return True
|
||||
|
||||
logger.info(f"限价单补单: 市价单, 剩余数量={left_amount}")
|
||||
new_order = self.place_order(strategy_name, code, direction, left_amount, 0, ORDER_TYPE_MARKET)
|
||||
new_order_id = new_order.get("order_id")
|
||||
if new_order.get("success") and new_order_id:
|
||||
# 订单已在place_order中设置了60秒后检查
|
||||
return True
|
||||
else:
|
||||
logger.error(f"补单失败: {new_order}")
|
||||
return False
|
||||
|
||||
def check_and_retry(self, order_id, strategy_name):
|
||||
"""检查订单状态并处理未完成订单
|
||||
|
||||
Args:
|
||||
order_id: 订单ID
|
||||
strategy_name: 策略名称
|
||||
"""
|
||||
def check_limit_orders(self):
|
||||
"""检查限价单是否超时"""
|
||||
try:
|
||||
logger.info(f"开始检查订单状态: ID={order_id}, 策略={strategy_name}")
|
||||
position_manager = self.trader.get_position_manager(strategy_name)
|
||||
order_info = position_manager.get_pending_order(order_id)
|
||||
if not order_info:
|
||||
logger.warning(f"订单信息不存在, 可能全部完成或者撤单: ID={order_id}")
|
||||
return
|
||||
logger.info("开始检查限价单是否超时...")
|
||||
# 获取所有未完成订单
|
||||
position_managers = self.trader.get_all_position_managers()
|
||||
for strategy_name, position_manager in position_managers.items():
|
||||
pending_orders = position_manager.get_pending_orders()
|
||||
for order_id, order_info in pending_orders.items():
|
||||
# 如果订单类型为限价单，则检查是否超时
|
||||
if order_info.order_type == ORDER_TYPE_LIMIT:
|
||||
duration = (time.time() - order_info.created_time).total_seconds()
|
||||
if duration > Config.RTM_ORDER_TIMEOUT:
|
||||
logger.info(f"限价单超时: ID={order_id}, 策略={strategy_name}, 持续时间={duration}秒")
|
||||
self.trader.cancel(order_id)
|
||||
|
||||
order_type = order_info.order_type
|
||||
|
||||
# 使用trader的handle_order_update方法更新订单状态
|
||||
status = self.trader.handle_order_update(order_id, strategy_name)
|
||||
|
||||
# 如果状态为None，说明处理失败，则直接返回
|
||||
if status is None:
|
||||
logger.warning(f"订单状态更新失败: ID={order_id}")
|
||||
return
|
||||
|
||||
# 重新获取订单信息，因为可能已经被更新
|
||||
order_info = position_manager.get_pending_order(order_id)
|
||||
if not order_info:
|
||||
logger.info(f"订单已完成: ID={order_id}")
|
||||
return
|
||||
|
||||
if order_type == ORDER_TYPE_MARKET:
|
||||
# 市价单，如果未完成则继续检查
|
||||
if status in [ORDER_STATUS_PENDING, ORDER_STATUS_PARTIAL]:
|
||||
logger.info(f"市价单未完成，60秒后继续检查: ID={order_id}, 状态={status}")
|
||||
schedule.every(60).seconds.do(
|
||||
run_threaded(self.check_and_retry), order_id, strategy_name
|
||||
).tag(f"order_{order_id}")
|
||||
else:
|
||||
logger.info(f"市价单已完成: ID={order_id}, 状态={status}")
|
||||
elif order_type == ORDER_TYPE_LIMIT:
|
||||
filled = order_info.filled
|
||||
target_amount = order_info.amount
|
||||
left_amount = target_amount - filled
|
||||
|
||||
# 限价单，这是60秒后的检查，如果未完成则撤单补市价单
|
||||
if status in [ORDER_STATUS_PENDING, ORDER_STATUS_PARTIAL]:
|
||||
# 尝试撤单
|
||||
try:
|
||||
logger.info(f"限价单60秒后仍未完成，尝试撤单: ID={order_id}, 状态={status}")
|
||||
self.trader.cancel(order_id)
|
||||
time.sleep(1)
|
||||
position_manager.update_order_status(order_id, filled, ORDER_STATUS_CANCELLED)
|
||||
except Exception as e:
|
||||
logger.error(f"撤单失败: order_id={order_id}, error={str(e)}")
|
||||
|
||||
# 计算剩余数量, 如果剩余数量大于0, 则补单
|
||||
self._place_market_order_for_remainder(strategy_name, order_info.code, order_info.direction, left_amount)
|
||||
else:
|
||||
logger.info(f"限价单已完成: ID={order_id}, 状态={status}")
|
||||
else:
|
||||
logger.warning(f"未知订单类型: ID={order_id}, type={order_type}")
|
||||
logger.info("限价单检查完毕")
|
||||
except Exception as e:
|
||||
logger.error(f"检查订单状态时发生异常: ID={order_id}, error={str(e)}", exc_info=True)
|
||||
|
||||
logger.error(f"检查限价单是否超时时发生异常: {str(e)}")
|
||||
|
||||
|
||||
def _check_order_feasibility(self, code, direction, amount, price):
|
||||
@ -331,8 +268,8 @@ class RealTraderManager:
|
||||
# 遍历未完成订单，检查是否有无法成交的订单（如跌停无法卖出）
|
||||
for order_id, order_info in pending_orders.items():
|
||||
try:
|
||||
logger.warning(
|
||||
f"清理无法成交订单: ID={order_id}, 代码={order_info.code}, 方向={order_info.direction}, "
|
||||
logger.error(
|
||||
f"清理无法成交订单(理论不应该有): ID={order_id}, 代码={order_info.code}, 方向={order_info.direction}, "
|
||||
f"数量={order_info.amount}, 已成交数量={order_info.filled}"
|
||||
)
|
||||
|
||||
|
||||
@ -14,16 +14,20 @@ from trade_constants import (
|
||||
ORDER_STATUS_COMPLETED,
|
||||
ORDER_STATUS_CANCELLED,
|
||||
ORDER_STATUS_PENDING,
|
||||
ORDER_STATUS_FAILED,
|
||||
ORDER_STATUS_PARTIAL,
|
||||
ORDER_TYPE_LIMIT,
|
||||
ORDER_TYPE_MARKET,
|
||||
ORDER_DIRECTION_BUY,
|
||||
ORDER_DIRECTION_SELL
|
||||
)
|
||||
from local_order import LocalOrder
|
||||
|
||||
# 获取日志记录器
|
||||
logger = get_logger('real_trader')
|
||||
|
||||
class MyXtQuantTraderCallback:
|
||||
def __init__(self, trader_instance):
|
||||
self.trader_instance = trader_instance
|
||||
self.trader_instance: XtTrader = trader_instance
|
||||
def on_connected(self):
|
||||
logger.info("连接成功")
|
||||
def on_disconnected(self):
|
||||
@ -52,7 +56,38 @@ class MyXtQuantTraderCallback:
|
||||
def on_stock_asset(self, asset):
|
||||
logger.info(f"资金变动: {asset.account_id} {asset.cash} {asset.total_asset}")
|
||||
def on_stock_order(self, order):
|
||||
logger.info(f"委托回报: {order.stock_code} {order.order_status} {order.order_sysid}")
|
||||
if order.order_status == xtconstant.ORDER_PART_SUCC:
|
||||
strategy_name = self.trader_instance.get_strategy_name(order.order_id)
|
||||
logger.info(f"委托部分成交: code={order.stock_code} id={order.order_id} strategy={strategy_name}")
|
||||
self.trader_instance.handle_order_update(order.order_id, strategy_name)
|
||||
|
||||
elif order.order_status == xtconstant.ORDER_SUCCEEDED:
|
||||
strategy_name = self.trader_instance.get_strategy_name(order.order_id)
|
||||
logger.info(f"委托全部成交: code={order.stock_code} id={order.order_id} strategy={strategy_name}")
|
||||
self.trader_instance.handle_order_update(order.order_id, strategy_name)
|
||||
|
||||
elif order.order_status in [xtconstant.ORDER_CANCELED, xtconstant.ORDER_PART_CANCEL]:
|
||||
strategy_name = self.trader_instance.get_strategy_name(order.order_id)
|
||||
logger.info(f"委托撤单成功: code={order.stock_code} id={order.order_id} strategy={strategy_name}")
|
||||
# 撤单后, 如果position manager中订单为pedding, 且为限价单, 则需要补单
|
||||
position_manager = self.trader_instance.get_position_manager(strategy_name)
|
||||
if position_manager and strategy_name:
|
||||
# 先获取已经撤单的order
|
||||
order_info = position_manager.get_pending_order(order.order_id)
|
||||
if order_info:
|
||||
# 更新订单状态
|
||||
self.trader_instance.handle_order_update(order.order_id, strategy_name)
|
||||
|
||||
# 如果order_info为限价单, 则进行市价单补单
|
||||
if order_info.order_type == ORDER_TYPE_LIMIT:
|
||||
logger.info(f"检测到限价单被撤销，准备进行市价单补单: ID={order.order_id}")
|
||||
self.trader_instance.place_market_order_for_remainder(order_info, strategy_name)
|
||||
else:
|
||||
logger.warning(f"撤单成功但未找到订单信息: ID={order.order_id}")
|
||||
else:
|
||||
logger.warning(f"撤单成功但未找到策略或持仓管理器: ID={order.order_id}, strategy={strategy_name}")
|
||||
else:
|
||||
logger.warning(f"委托回报变化: ID={order.order_id} 状态={order.order_status}")
|
||||
def on_stock_trade(self, trade):
|
||||
logger.info(f"成交变动: {trade.account_id} {trade.stock_code} {trade.order_id}")
|
||||
|
||||
@ -339,7 +374,7 @@ class XtTrader(BaseTrader):
|
||||
logger.error(f"获取股票名称失败: {stock_code}, {str(e)}")
|
||||
return ""
|
||||
|
||||
def buy(self, code, price, amount, order_type='limit'):
|
||||
def buy(self, code, price, amount, order_type=ORDER_TYPE_LIMIT):
|
||||
if not self.is_available():
|
||||
return {"error": self.connection_error_message or "交易系统连接失败"}
|
||||
|
||||
@ -361,12 +396,12 @@ class XtTrader(BaseTrader):
|
||||
)
|
||||
return {"order_id": order_id}
|
||||
|
||||
def sell(self, code, price, amount, order_type='limit'):
|
||||
def sell(self, code, price, amount, order_type=ORDER_TYPE_LIMIT):
|
||||
if not self.is_available():
|
||||
return {"error": self.connection_error_message or "交易系统连接失败"}
|
||||
|
||||
# 确定价格类型
|
||||
if order_type == 'limit':
|
||||
if order_type == ORDER_TYPE_LIMIT:
|
||||
price_type = xtconstant.FIX_PRICE
|
||||
else:
|
||||
if code.endswith('.SH'):
|
||||
@ -555,7 +590,7 @@ class XtTrader(BaseTrader):
|
||||
# 获取订单信息
|
||||
order_info = position_manager.get_pending_order(order_id)
|
||||
if not order_info:
|
||||
logger.warning(f"订单信息不存在，可能已完成: {order_id}")
|
||||
logger.warning(f"订单信息不存在，可能已完成或撤单: {order_id}")
|
||||
return None
|
||||
|
||||
# 获取之前的状态和成交量
|
||||
@ -644,3 +679,74 @@ class XtTrader(BaseTrader):
|
||||
except Exception as e:
|
||||
logger.error(f"处理订单状态更新异常: order_id={order_id}, error={str(e)}", exc_info=True)
|
||||
return None
|
||||
|
||||
def get_strategy_name(self, order_id):
|
||||
"""获取订单对应的策略名称
|
||||
|
||||
Args:
|
||||
order_id: 订单ID
|
||||
|
||||
Returns:
|
||||
str: 策略名称
|
||||
"""
|
||||
for strategy_name, position_manager in self.position_managers.items():
|
||||
if position_manager.get_pending_order(order_id):
|
||||
return strategy_name
|
||||
return None
|
||||
|
||||
def place_market_order_for_remainder(self, order_info:LocalOrder, strategy_name):
|
||||
"""对未完成的限价单进行市价单补单
|
||||
|
||||
当限价单被撤销后，使用此方法下市价单补单，确保交易意图得到执行
|
||||
|
||||
Args:
|
||||
order_id: 被撤销的限价单ID
|
||||
strategy_name: 策略名称
|
||||
|
||||
Returns:
|
||||
dict: 包含新订单ID和状态信息，如果补单失败则返回错误信息
|
||||
"""
|
||||
try:
|
||||
logger.info(f"准备对撤销的限价单进行市价单补单: ID={order_info.order_id}, 策略={strategy_name}")
|
||||
|
||||
# 获取position_manager
|
||||
position_manager = self.get_position_manager(strategy_name)
|
||||
if not position_manager:
|
||||
logger.error(f"获取position_manager失败，无法补单: {strategy_name}")
|
||||
return {"success": False, "error": "获取position_manager失败"}
|
||||
|
||||
# 计算未成交数量
|
||||
filled = order_info.filled
|
||||
target_amount = order_info.amount
|
||||
left_amount = target_amount - filled
|
||||
|
||||
# 如果已全部成交，则无需补单
|
||||
if left_amount <= 0:
|
||||
logger.info(f"无需补单，订单已全部成交: ID={order_info.order_id}")
|
||||
return {"success": True, "message": "无需补单，订单已全部成交"}
|
||||
|
||||
# 下市价单补单
|
||||
code = order_info.code
|
||||
direction = order_info.direction
|
||||
|
||||
logger.info(f"开始补单: 代码={code}, 方向={direction}, 数量={left_amount}, 类型=market")
|
||||
|
||||
if direction == ORDER_DIRECTION_BUY:
|
||||
result = self.buy(code, 0, left_amount, ORDER_TYPE_MARKET)
|
||||
else:
|
||||
result = self.sell(code, 0, left_amount, ORDER_TYPE_MARKET)
|
||||
|
||||
new_order_id = result.get("order_id")
|
||||
if not new_order_id:
|
||||
logger.error(f"市价单补单失败: {result}")
|
||||
|
||||
# 添加未完成委托到position_manager
|
||||
position_manager.add_pending_order(new_order_id, code, 0, left_amount, direction, ORDER_TYPE_MARKET)
|
||||
|
||||
logger.info(f"市价单补单成功: 新订单ID={new_order_id}, 原订单ID={order_info.order_id}, 代码={code}, 方向={direction}, 数量={left_amount}")
|
||||
|
||||
return {"success": True, "order_id": new_order_id}
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"市价单补单过程发生异常: {str(e)}", exc_info=True)
|
||||
return {"success": False, "error": f"市价单补单异常: {str(e)}"}
|
||||
|
||||
@ -14,9 +14,8 @@ from local_position import LocalPosition
|
||||
|
||||
|
||||
class SimulationTrader(BaseTrader):
|
||||
def __init__(self, logger=None):
|
||||
super().__init__(logger)
|
||||
self.logger = logger or get_logger("simulation_trader")
|
||||
def __init__(self):
|
||||
super().__init__(get_logger("simulation_trader"))
|
||||
# 模拟资金账户信息
|
||||
self.sim_balance = {"account_id": "simulation", "cash": 1000000.00, "frozen": 0.00, "total": 1000000.00}
|
||||
|
||||
|
||||
@ -7,7 +7,6 @@ ORDER_STATUS_PENDING = 'pending'
|
||||
ORDER_STATUS_PARTIAL = 'partial'
|
||||
ORDER_STATUS_COMPLETED = 'completed'
|
||||
ORDER_STATUS_CANCELLED = 'cancelled'
|
||||
ORDER_STATUS_FAILED = 'failed'
|
||||
|
||||
# 订单类型
|
||||
ORDER_TYPE_LIMIT = 'limit'
|
||||
|
||||
Loading…
x
Reference in New Issue
Block a user