From e7463158d20edad028511d1749dfd19dc19c49c0 Mon Sep 17 00:00:00 2001 From: zhiyong Date: Fri, 16 May 2025 20:00:33 +0800 Subject: [PATCH] =?UTF-8?q?=E4=BC=98=E5=8C=96check=5Fpending=5Forders?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- src/config.py | 3 + src/position_manager.py | 2 + src/real/real_trader_manager.py | 97 ++++++++++++++++++++++++--------- src/real/xt_trader.py | 16 +++--- src/trade_constants.py | 1 + 5 files changed, 86 insertions(+), 33 deletions(-) diff --git a/src/config.py b/src/config.py index 18a05c7..0526019 100644 --- a/src/config.py +++ b/src/config.py @@ -56,6 +56,9 @@ class Config: RTM_ORDER_TIMEOUT = 10 # 订单超时时间（秒） RTM_USE_MARKET_ORDER = True # 是否使用市价单进行补单 + # 撤销订单超时时间（秒） + RTM_CANCEL_TIMEOUT = 10 + # 计划任务运行时间 CLEAN_ORDERS_TIME = "15:05" # 每天清理超时委托的时间 STRATEGY_SAVE_TIME = "15:08" # 每天保存策略数据的时间 diff --git a/src/position_manager.py b/src/position_manager.py index 35ceb54..dd06eb2 100644 --- a/src/position_manager.py +++ b/src/position_manager.py @@ -10,6 +10,7 @@ from trade_constants import ( ORDER_TYPE_MARKET, ORDER_STATUS_COMPLETED, ORDER_STATUS_CANCELLED, + ORDER_STATUS_FAILED, ) from local_position import LocalPosition from local_order import LocalOrder @@ -119,6 +120,7 @@ class PositionManager: if new_status in [ ORDER_STATUS_COMPLETED, ORDER_STATUS_CANCELLED, + ORDER_STATUS_FAILED, ]: # 保留订单信息以供参考，但标记为已完成 del self.pending_orders[order_id] diff --git a/src/real/real_trader_manager.py b/src/real/real_trader_manager.py index 7053c76..69a4758 100644 --- a/src/real/real_trader_manager.py +++ b/src/real/real_trader_manager.py @@ -176,40 +176,85 @@ class RealTraderManager: return {"success": False, "error": f"下单异常: {str(e)}"} + def _handle_timed_out_limit_order(self, order_id: int, order_info: dict, strategy_name: str, duration: float) -> None: + """处理超时的限价单，尝试撤销并进行市价补单。 + + Args: + order_id: 订单ID + order_info: 订单信息 + strategy_name: 策略名称 + duration: 订单持续时间（秒） + """ + self.trader.cancel(order_id) + + # 使用轮询等待撤销完成，并设置超时 + start_time = datetime.now() + cancel_success = False + while (datetime.now() - start_time).total_seconds() < Config.RTM_CANCEL_TIMEOUT: + order = self.trader.get_order(order_id) + if order and order.get('order_status') == xtconstant.ORDER_CANCELED: + logger.info(f"限价单已撤销: ID={order_id}, 策略={strategy_name}") + cancel_success = True + break + time.sleep(0.5) # 每0.5秒查询一次 + + if cancel_success: + self.trader.handle_order_update(order_id, strategy_name) + logger.info(f"检测到限价单被撤销，准备进行市价单补单: ID={order_id}") + self.trader.place_market_order_for_remainder(order_info, strategy_name) + else: + logger.warning(f"限价单撤销超时或失败: ID={order_id}, 策略={strategy_name}") + self.trader.handle_order_update(order_id, strategy_name) # 即使撤销失败，也更新一下状态 + + + def _process_pending_order(self, order_id: int, order_info: dict, strategy_name: str) -> None: + """处理单个未完成订单的逻辑，包括更新状态、检查超时、撤销和补单。""" + try: + # 处理订单更新, 更新订单状态, 更新持仓, 使position manager中的订单为最新状态 + self.trader.handle_order_update(order_id, strategy_name) + + # 重新获取更新后的订单信息 + 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, 可能已完成或撤单, 或下单失败: {order_id}") + return + + # 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: + now = datetime.now() + duration = (now - order_info.created_time).total_seconds() + if duration > Config.RTM_ORDER_TIMEOUT: + # 将处理超时限价单的逻辑委托给新的私有方法 + logger.info(f'订单创建时间: {order_info.created_time} 当前时间: {now}') + logger.info(f"限价单超时: ID={order_id}, 策略={strategy_name}, 持续时间={duration}秒") + self._handle_timed_out_limit_order(order_id, order_info, strategy_name, duration) + else: + # 市价单未完成，更新状态 + logger.info(f"市价单未完成, 更新市价单: ID={order_id}, 策略={strategy_name}, 订单类型={order_info.order_type}") + self.trader.handle_order_update(order_id, strategy_name) + + except Exception as e: + # 更细粒度的异常处理，捕获处理单个订单时的异常 + logger.error(f"处理订单 {order_id} 时发生异常: {str(e)}", exc_info=True) + + def check_pending_orders(self): """检查限价单是否超时""" try: # 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 = (datetime.now() - order_info.created_time).total_seconds() - if duration > Config.RTM_ORDER_TIMEOUT: - logger.info(f'订单创建时间: {order_info.created_time} 当前时间: {datetime.now()}') - 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) - time.sleep(3) - order = self.trader.get_order(order_id) - if order['order_status'] == xtconstant.ORDER_CANCELED: - logger.info(f"限价单已撤销: ID={order_id}, 策略={strategy_name}") - self.trader.handle_order_update(order_id, strategy_name) - logger.info(f"检测到限价单被撤销，准备进行市价单补单: ID={order_id}") - self.trader.place_market_order_for_remainder(order_info, strategy_name) - elif order['order_status'] == xtconstant.ORDER_SUCCEEDED: - logger.info(f"尝试撤单未成功, 限价单已成交: ID={order_id}, 策略={strategy_name}, 状态={order['order_status']}") - self.trader.handle_order_update(order_id, strategy_name) - else: - logger.warning(f"限价单撤销失败: ID={order_id}, 策略={strategy_name}, 状态={order['order_status']}") - self.trader.handle_order_update(order_id, strategy_name) - else: - logger.info(f"更新市价单: ID={order_id}, 策略={strategy_name}, 订单类型={order_info.order_type}") - self.trader.handle_order_update(order_id, strategy_name) + # 转换为列表避免在迭代过程中修改 + pending_orders_list = list(position_manager.get_pending_orders().items()) + for order_id, order_info in pending_orders_list: + # 将单个订单的处理逻辑委托给新的私有方法 + self._process_pending_order(order_id, order_info, strategy_name) except Exception as e: - logger.error(f"检查限价单是否超时时发生异常: {str(e)}") + # 顶层异常处理，捕获获取position managers或遍历时的异常 + logger.error(f"检查限价单是否超时时发生异常: {str(e)}", exc_info=True) def _check_order_feasibility(self, code, direction, amount, price): diff --git a/src/real/xt_trader.py b/src/real/xt_trader.py index 8ce868f..e398b8c 100644 --- a/src/real/xt_trader.py +++ b/src/real/xt_trader.py @@ -18,7 +18,8 @@ from trade_constants import ( ORDER_TYPE_LIMIT, ORDER_TYPE_MARKET, ORDER_DIRECTION_BUY, - ORDER_DIRECTION_SELL + ORDER_DIRECTION_SELL, + ORDER_STATUS_FAILED ) from local_order import LocalOrder @@ -531,18 +532,19 @@ class XtTrader(BaseTrader): str: 订单状态，如ORDER_STATUS_COMPLETED、ORDER_STATUS_PARTIAL等，如果处理失败则返回None """ try: - # 获取订单信息 - order = self.get_order(order_id) - if not order: - logger.warning(f"获取订单失败，无法更新状态: {order_id}") - return None - # 获取position_manager position_manager = self.get_position_manager(strategy_name) if not position_manager: logger.warning(f"获取position_manager失败，无法更新状态: {strategy_name}") return None + # 获取订单 + order = self.get_order(order_id) + if not order: + logger.warning(f"获取订单失败, 可能下单失败，将订单状态设置为失败: {order_id}") + position_manager.update_order_status(order_id, 0, ORDER_STATUS_FAILED) + return None + # 获取订单信息 order_info = position_manager.get_pending_order(order_id) if not order_info: diff --git a/src/trade_constants.py b/src/trade_constants.py index 61a83aa..4b74be5 100644 --- a/src/trade_constants.py +++ b/src/trade_constants.py @@ -15,6 +15,7 @@ ORDER_STATUS_PENDING: Final[str] = 'pending' ORDER_STATUS_PARTIAL: Final[str] = 'partial' ORDER_STATUS_COMPLETED: Final[str] = 'completed' ORDER_STATUS_CANCELLED: Final[str] = 'cancelled' +ORDER_STATUS_FAILED: Final[str] = 'failed' # 订单类型 ORDER_TYPE_LIMIT: Final[str] = 'limit'