228 lines
9.4 KiB
Python
228 lines
9.4 KiB
Python
import os
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import random
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import logging
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from logging.handlers import TimedRotatingFileHandler
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from config import Config
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from xtquant.xttrader import XtQuantTrader
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from xtquant.xttype import StockAccount
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from xtquant import xtconstant
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from xtquant.xtdata import get_instrument_detail, get_trading_time
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import datetime as dt
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from chinese_calendar import is_workday
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# 日志配置
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LOG_DIR = "log"
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if not os.path.exists(LOG_DIR):
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os.makedirs(LOG_DIR)
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log_path = os.path.join(LOG_DIR, "%Y-%m-%d.log")
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logger = logging.getLogger("xt_trader")
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logger.setLevel(logging.INFO)
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handler = TimedRotatingFileHandler(
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os.path.join(LOG_DIR, "xt_trader.log"), when="midnight", interval=1, backupCount=7, encoding="utf-8"
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)
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handler.suffix = "%Y-%m-%d"
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formatter = logging.Formatter('%(asctime)s - %(levelname)s - %(message)s')
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handler.setFormatter(formatter)
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if not logger.handlers:
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logger.addHandler(handler)
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class MyXtQuantTraderCallback:
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def on_connected(self):
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logger.info("连接成功")
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def on_disconnected(self):
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logger.warning("连接断开")
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def on_account_status(self, status):
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logger.info(f"账号状态: {status.account_id} {status.status}")
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def on_stock_asset(self, asset):
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logger.info(f"资金变动: {asset.account_id} {asset.cash} {asset.total_asset}")
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def on_stock_order(self, order):
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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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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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logger.error(f"委托失败: {order_error.order_id} {order_error.error_id} {order_error.error_msg}")
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def on_cancel_error(self, cancel_error):
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logger.error(f"撤单失败: {cancel_error.order_id} {cancel_error.error_id} {cancel_error.error_msg}")
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def on_order_stock_async_response(self, response):
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logger.info(f"异步下单反馈: {response.order_id}")
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def on_cancel_order_stock_async_response(self, response):
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logger.info(f"异步撤单反馈: {response.order_id}")
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def on_smt_appointment_async_response(self, response):
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logger.info(f"约券异步反馈: {response.seq}")
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class XtTrader:
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def __init__(self):
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self._ACCOUNT = Config.XT_ACCOUNT
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self._PATH = Config.XT_PATH
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self._SESSION_ID = random.randint(100000, 99999999)
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self._account_type = os.environ.get("XT_ACCOUNT_TYPE", "STOCK")
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self._strategy_name = os.environ.get("XT_STRATEGY_NAME", "xt_strategy")
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self._remark = os.environ.get("XT_REMARK", "remark")
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self._callback = MyXtQuantTraderCallback()
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self.xt_trader = XtQuantTrader(self._PATH, self._SESSION_ID)
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self.account = StockAccount(self._ACCOUNT, self._account_type)
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self.xt_trader.register_callback(self._callback)
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self.started = False
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self.connected = False
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self.subscribed = False
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def login(self):
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if not self.started:
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self.xt_trader.start()
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self.started = True
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if not self.connected:
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result = self.xt_trader.connect()
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self.connected = (result == 0)
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if not self.subscribed:
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result = self.xt_trader.subscribe(self.account)
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self.subscribed = (result == 0)
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return self.connected and self.subscribed
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def logout(self):
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if self.started:
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self.xt_trader.stop()
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self.started = False
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self.connected = False
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self.subscribed = False
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def get_balance(self):
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asset = self.xt_trader.query_stock_asset(self.account)
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if asset:
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return {
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"account_id": asset.account_id,
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"cash": asset.cash,
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"frozen_cash": asset.frozen_cash,
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"market_value": asset.market_value,
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"total_asset": asset.total_asset
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}
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return None
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def get_positions(self):
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positions = self.xt_trader.query_stock_positions(self.account)
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if positions:
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return [
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{
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"account_id": p.account_id,
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"stock_code": p.stock_code,
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"volume": p.volume,
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"can_use_volume": p.can_use_volume,
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"open_price": p.open_price,
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"market_value": p.market_value,
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"frozen_volume": p.frozen_volume,
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"on_road_volume": p.on_road_volume,
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"yesterday_volume": p.yesterday_volume,
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"avg_price": p.avg_price
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} for p in positions
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]
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return []
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def get_today_trades(self):
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trades = self.xt_trader.query_stock_trades(self.account)
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if trades:
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return [
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{
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"account_id": t.account_id,
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"stock_code": t.stock_code,
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"stock_name": get_instrument_detail(t.stock_code)["InstrumentName"] if get_instrument_detail(t.stock_code) else "",
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"order_id": t.order_id,
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"traded_id": t.traded_id,
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"traded_time": t.traded_time,
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"traded_price": t.traded_price,
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"traded_volume": t.traded_volume,
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"traded_amount": t.traded_amount,
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"trade_type": "buy" if t.order_type == xtconstant.STOCK_BUY else "sell"
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} for t in trades
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]
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return []
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def get_today_entrust(self):
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orders = self.xt_trader.query_stock_orders(self.account)
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if orders:
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return [
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{
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"account_id": o.account_id,
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"stock_code": o.stock_code,
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"order_id": o.order_id,
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"order_time": o.order_time,
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"order_type": "buy" if o.order_type == xtconstant.STOCK_BUY else "sell",
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"order_volume": o.order_volume,
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"price_type": self._convert_price_type(o.price_type),
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"price": o.price,
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"traded_volume": o.traded_volume,
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"traded_price": o.traded_price,
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"order_status": o.order_status,
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"status_msg": o.status_msg
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} for o in orders
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]
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return []
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def _convert_price_type(self, price_type):
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"""Convert numeric price type to readable string"""
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price_type_map = {
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xtconstant.LATEST_PRICE: "latest_price", # 最新价
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xtconstant.FIX_PRICE: "limit_price", # 指定价/限价
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xtconstant.MARKET_BEST: "market_best", # 市价最优价
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xtconstant.MARKET_CANCEL: "market_cancel", # 市价即成剩撤
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xtconstant.MARKET_CANCEL_ALL: "market_cancel_all", # 市价全额成交或撤销
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xtconstant.MARKET_PEER_PRICE_FIRST: "market_peer_best", # 对手方最优价格
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xtconstant.MARKET_MINE_PRICE_FIRST: "market_mine_best", # 本方最优价格
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}
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return price_type_map.get(price_type, f"unknown_{price_type}")
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def buy(self, code, price, amount):
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order_id = self.xt_trader.order_stock(
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self.account, code, xtconstant.STOCK_BUY, amount, xtconstant.FIX_PRICE, price, self._strategy_name, self._remark
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)
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return {"order_id": order_id}
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def sell(self, code, price, amount):
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order_id = self.xt_trader.order_stock(
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self.account, code, xtconstant.STOCK_SELL, amount, xtconstant.FIX_PRICE, price, self._strategy_name, self._remark
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)
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return {"order_id": order_id}
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def cancel(self, entrust_no):
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# 撤单接口需要订单编号
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result = self.xt_trader.cancel_order_stock(self.account, int(entrust_no))
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return {"cancel_result": result}
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def is_trading_time(self):
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"""判断当前是否为交易时间
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Returns:
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bool: True 表示当前为交易时间，False 表示当前休市
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"""
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try:
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now = dt.datetime.now()
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# 判断是否为工作日（使用 chinese_calendar 判断，会考虑节假日和调休）
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if not is_workday(now):
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return False
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# 判断是否在交易时间段内
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current_time = now.time()
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morning_start = dt.time(9, 30) # 上午开市时间 9:30
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morning_end = dt.time(11, 30) # 上午休市时间 11:30
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afternoon_start = dt.time(13, 0) # 下午开市时间 13:00
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afternoon_end = dt.time(15, 0) # 下午休市时间 15:00
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# 判断是否在上午或下午的交易时段
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is_morning_session = morning_start <= current_time <= morning_end
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is_afternoon_session = afternoon_start <= current_time <= afternoon_end
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return is_morning_session or is_afternoon_session
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except Exception as e:
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logger.error(f"判断交易时间发生错误: {str(e)}")
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return False
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if __name__ == "__main__":
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trader = XtTrader()
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trader.login()
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logger.info(f"账户余额: {trader.get_balance()}")
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logger.info(f"持仓: {trader.get_positions()}")
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logger.info(f"当日成交: {trader.get_today_trades()}")
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logger.info(f"当日委托: {trader.get_today_entrust()}")
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