414 lines
16 KiB
Python
414 lines
16 KiB
Python
import time
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import threading
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import schedule
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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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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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ORDER_DIRECTION_BUY,
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ORDER_DIRECTION_SELL,
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ORDER_TYPE_LIMIT,
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ORDER_TYPE_MARKET,
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)
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from real.xt_trader import XtTrader
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# 获取日志记录器
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logger = get_logger("real_trader_manager")
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def run_threaded(func):
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@wraps(func)
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def wrapper(*args, **kwargs):
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thread = threading.Thread(target=func, args=args, kwargs=kwargs)
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thread.start()
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return wrapper
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class RealTraderManager:
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"""实盘交易管理器，处理实盘下单失败、部分成交等问题，尽量保证仓位与策略信号一致"""
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def __init__(self, trader: XtTrader):
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"""初始化实盘交易管理器
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Args:
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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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# 启动调度器
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self._start_scheduler()
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logger.info("实盘交易管理器初始化完成")
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def _start_scheduler(self):
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# 每日定时清理（增加配置校验）
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if hasattr(Config, "STRATEGY_SAVE_TIME"):
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try:
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schedule.every().day.at(Config.STRATEGY_SAVE_TIME).do(
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run_threaded(self.clean_expired_orders)
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)
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schedule.every().day.at(Config.STRATEGY_SAVE_TIME).do(
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run_threaded(self.update_closeable_amount)
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)
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except Exception as e:
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logger.error(f"清理任务配置错误: {e}")
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else:
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logger.error("STRATEGY_SAVE_TIME 未配置")
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# 启动高精度调度线程
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def run_scheduler():
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while True:
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try:
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schedule.run_pending()
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time.sleep(1) # 将休眠时间缩短至1秒提高精度
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except Exception as e:
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logger.error(f"调度器异常: {e}", exc_info=True)
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time.sleep(10) # 发生错误时延长休眠避免日志风暴
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scheduler_thread = threading.Thread(
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target=run_scheduler, name="SchedulerThread"
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)
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scheduler_thread.daemon = True # 设为守护线程随主进程退出
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scheduler_thread.start()
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logger.info("交易管理器调度器已启动")
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def place_order(
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self, strategy_name, code, direction, amount, price, order_type=ORDER_TYPE_LIMIT
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):
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"""下单接口，处理买入/卖出请求
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Args:
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strategy_name: 策略名称
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code: 股票代码
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direction: 交易方向 'buy'或'sell'
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amount: 交易数量
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price: 交易价格（市价单时可为0）
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order_type: 订单类型，'limit'表示限价单，'market'表示市价单，默认为'limit'
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Returns:
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dict: 包含订单ID和状态信息
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"""
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if not strategy_name or not code or not direction:
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logger.error("下单参数不完整")
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return {"success": False, "error": "参数不完整"}
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# 检查交易方向
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if direction not in [ORDER_DIRECTION_BUY, ORDER_DIRECTION_SELL]:
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logger.error(f"无效的交易方向: {direction}")
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return {"success": False, "error": "无效的交易方向"}
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# 检查订单类型
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if order_type not in [ORDER_TYPE_LIMIT, ORDER_TYPE_MARKET]:
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logger.error(f"无效的订单类型: {order_type}")
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return {
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"success": False,
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"error": "无效的订单类型，必须是'limit'或'market'",
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}
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try:
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# 对于限价单，检查资金和持仓是否足够
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if order_type == ORDER_TYPE_LIMIT and not self._check_order_feasibility(
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code, direction, amount, price
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):
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logger.warning(
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f"资金或持仓不足，忽略订单: {direction} {code} {amount}股 {price}元"
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)
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return {"success": False, "error": "资金或持仓不足"}
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# 下单
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logger.info(
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f"准备{direction}订单: 代码={code}, 数量={amount}, 价格={price}, 订单类型={order_type}"
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)
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if direction == ORDER_DIRECTION_BUY:
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result = self.trader.buy(code, price, amount, order_type)
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else:
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result = self.trader.sell(code, price, amount, order_type)
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order_id = result.get("order_id")
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if not order_id:
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logger.error(f"下单失败: {result}")
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return {"success": False, "error": "下单失败"}
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# 添加未完成委托到position_manager
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position_manager = self.trader.get_position_manager(strategy_name)
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position_manager.add_pending_order(order_id, code, price, amount, direction, order_type)
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logger.info(
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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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self.check_and_retry(order_id, strategy_name, code, direction, amount, 1)
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return {"success": True, "order_id": order_id}
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except Exception as e:
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logger.error(f"下单过程发生异常: {str(e)}")
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return {"success": False, "error": f"下单异常: {str(e)}"}
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def _place_market_order_for_remainder(self, strategy_name, code, direction, left_amount):
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"""对未完成的订单进行补单，下市价单
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Args:
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strategy_name: 策略名称
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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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"""
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if left_amount <= 0:
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logger.info(f"无需补单，剩余数量为零或负数: {left_amount}")
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return True
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logger.info(f"限价单补单: 市价单, 剩余数量={left_amount}")
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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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self.check_and_retry(new_order_id, strategy_name, code, direction, left_amount)
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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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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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filled = order_info.filled
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target_amount = order_info.amount
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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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return
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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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if order_type == ORDER_TYPE_MARKET:
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# 市价单，只递归检查
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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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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]:
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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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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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updated_order = self.trader.get_order(order_id)
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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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Args:
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code: 股票代码
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direction: 交易方向
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amount: 交易数量
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price: 交易价格
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Returns:
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bool: 订单是否可行
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"""
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try:
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if direction == ORDER_DIRECTION_BUY:
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# 检查资金是否足够
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balance = self.trader.get_balance()
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if not balance:
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logger.error("获取账户余额失败")
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return False
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# 计算所需资金（加上3%的手续费作为缓冲）
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required_cash = price * amount * 1.03
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available_cash = balance.get("cash", 0) - balance.get("frozen_cash", 0)
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if required_cash > available_cash:
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logger.warning(
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f"资金不足: 需要 {required_cash:.2f}, 可用 {available_cash:.2f}"
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)
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return False
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return True
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elif direction == "sell":
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# 检查持仓是否足够
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position = self.trader.get_position(code)
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if not position:
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logger.warning(f"没有持仓: {code}")
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return False
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available_volume = position.get("can_use_volume", 0)
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if amount > available_volume:
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logger.warning(
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f"可用持仓不足: 需要 {amount}, 可用 {available_volume}"
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)
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return False
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return True
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return False
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except Exception as e:
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logger.error(f"检查订单可行性时发生异常: {str(e)}")
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return False
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def clean_expired_orders(self):
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"""清理过期的未完成订单"""
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try:
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logger.info("开始清理过期未完成订单...")
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# 获取所有未完成订单
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position_managers = self.trader.get_all_position_managers()
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# 遍历所有持仓管理器
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for position_manager in position_managers.values():
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# 获取所有未完成订单
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pending_orders = position_manager.get_pending_orders()
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# 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）
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for order_id, order_info in pending_orders.items():
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try:
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logger.warning(
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f"清理无法成交订单: ID={order_id}, 代码={order_info.code}, 方向={order_info.direction}, "
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f"数量={order_info.amount}, 已成交数量={order_info.filled}"
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)
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except Exception as e:
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logger.error(f"清理订单 {order_id} 时出错: {str(e)}")
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position_manager.clear_pending_orders()
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logger.info("过期未完成订单清理完毕")
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except Exception as e:
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logger.error(f"清理过期未完成订单时发生异常: {str(e)}")
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def update_closeable_amount(self):
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"""更新可卖持仓"""
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try:
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logger.info("开始更新可卖持仓...")
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# 获取所有持仓
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position_managers = self.trader.get_all_position_managers()
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# 遍历持仓，更新可卖持仓
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for position_manager in position_managers.values():
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position_manager.update_closeable_amount()
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logger.info("可卖持仓更新完毕")
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except Exception as e:
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logger.error(f"更新可卖持仓时发生异常: {str(e)}")
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