335 lines
14 KiB
Python
335 lines
14 KiB
Python
import time
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import os
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import json
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from simulation_trader import SimulationTrader
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from xtquant import xtconstant
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from logger_config import get_logger
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# 获取日志记录器
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logger = get_logger('strategy')
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# 策略仓位管理
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strategy_positions = {
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'real': {}, # 存储实盘策略持仓
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'simulation': {} # 存储模拟交易策略持仓
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}
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strategy_trades = {
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'real': {}, # 存储实盘策略交易记录
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'simulation': {} # 存储模拟交易策略交易记录
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}
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pending_orders = {
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'real': {}, # 存储实盘未完成委托
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'simulation': {} # 存储模拟交易未完成委托
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}
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class StrategyPositionManager:
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"""策略持仓管理器，负责管理不同策略的持仓情况"""
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@staticmethod
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def get_trader_type(trader):
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"""根据交易实例确定交易类型
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Args:
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trader: 交易实例
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Returns:
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str: 'simulation'或'real'
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"""
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return 'simulation' if isinstance(trader, SimulationTrader) else 'real'
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@staticmethod
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def update_strategy_position(trader, strategy_name, code, direction, amount):
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"""更新策略持仓
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Args:
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trader: 交易实例
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strategy_name: 策略名称
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code: 股票代码
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direction: 'buy'或'sell'
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amount: 交易数量
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"""
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if not strategy_name:
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return
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# 判断交易类型
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trader_type = StrategyPositionManager.get_trader_type(trader)
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# 确保策略在字典中
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if strategy_name not in strategy_positions[trader_type]:
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strategy_positions[trader_type][strategy_name] = {}
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try:
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# 获取交易实例持仓情况
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actual_positions = trader.get_positions()
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code_position = next((pos for pos in actual_positions if pos.get('stock_code') == code), None)
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# 记录实际持仓总量
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actual_total = code_position.get('volume', 0) if code_position else 0
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actual_can_use = code_position.get('can_use_volume', 0) if code_position else 0
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logger.info(f"实际持仓 - 代码: {code}, 总量: {actual_total}, 可用: {actual_can_use}")
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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 strategy_positions[trader_type][strategy_name]:
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strategy_positions[trader_type][strategy_name][code] = {
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'total_amount': 0,
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'closeable_amount': 0
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}
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# 直接使用实际持仓数据更新策略持仓
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strategy_positions[trader_type][strategy_name][code]['total_amount'] = actual_total
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strategy_positions[trader_type][strategy_name][code]['closeable_amount'] = actual_can_use
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logger.info(f"更新策略持仓 - 交易类型: {trader_type}, 策略: {strategy_name}, 代码: {code}, 方向: {direction}, 数量: {amount}, 总量: {strategy_positions[trader_type][strategy_name][code]['total_amount']}, 可用: {strategy_positions[trader_type][strategy_name][code]['closeable_amount']}")
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except Exception as e:
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logger.error(f"获取实际持仓失败: {str(e)}")
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# 异常情况下只记录错误，不尝试更新持仓
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# 移除total_amount为0的持仓
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if code in strategy_positions[trader_type][strategy_name] and strategy_positions[trader_type][strategy_name][code]['total_amount'] <= 0:
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del strategy_positions[trader_type][strategy_name][code]
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@staticmethod
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def update_pending_orders(trader):
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"""更新未完成委托状态
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Args:
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trader: 交易实例
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"""
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try:
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# 判断当前交易类型
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trader_type = StrategyPositionManager.get_trader_type(trader)
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# 获取今日委托
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today_entrusts = trader.get_today_entrust()
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# 更新委托状态
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for order_id, order_info in list(pending_orders[trader_type].items()):
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entrust = next((e for e in today_entrusts if e.get('order_id') == order_id), None)
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if entrust:
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if entrust.get('order_status') in [xtconstant.ORDER_SUCCEEDED, xtconstant.ORDER_PART_SUCC]:
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# 成交量计算
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traded_amount = int(entrust.get('traded_volume', 0))
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# 更新策略持仓
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StrategyPositionManager.update_strategy_position(
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trader,
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order_info['strategy_name'],
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order_info['code'],
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order_info['direction'],
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traded_amount
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)
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# 如果完全成交，从待处理列表中移除
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if entrust.get('order_status') == xtconstant.ORDER_SUCCEEDED:
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del pending_orders[trader_type][order_id]
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# 如果已撤单、废单等终态，也从待处理列表中移除
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elif entrust.get('order_status') in [xtconstant.ORDER_CANCELED, xtconstant.ORDER_JUNK]:
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del pending_orders[trader_type][order_id]
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except Exception as e:
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logger.error(f"更新未完成委托状态失败: {str(e)}")
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@staticmethod
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def add_pending_order(trader, order_id, strategy_name, code, price, amount, direction):
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"""添加未完成委托
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Args:
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trader: 交易实例
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order_id: 委托编号
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strategy_name: 策略名称
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code: 股票代码
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price: 委托价格
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amount: 委托数量
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direction: 交易方向，'buy'或'sell'
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"""
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if not order_id or order_id == 'simulation':
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return
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# 判断当前交易类型
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trader_type = StrategyPositionManager.get_trader_type(trader)
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# 添加到未完成委托列表
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pending_orders[trader_type][order_id] = {
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'strategy_name': strategy_name,
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'code': code,
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'price': price,
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'amount': amount,
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'direction': direction,
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'created_time': time.time()
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}
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# 同时记录到交易历史
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if strategy_name:
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if strategy_name not in strategy_trades[trader_type]:
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strategy_trades[trader_type][strategy_name] = []
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strategy_trades[trader_type][strategy_name].append({
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'time': time.strftime('%Y-%m-%d %H:%M:%S'),
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'type': direction,
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'code': code,
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'price': price,
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'amount': amount,
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'order_id': order_id,
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'status': 'pending'
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})
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logger.info(f"添加未完成委托: {order_id}, 交易类型: {trader_type}, 策略: {strategy_name}, 代码: {code}, 方向: {direction}")
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@staticmethod
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def clean_timeout_orders():
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"""清理超时委托"""
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current_time = time.time()
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# 遍历实盘和模拟两种类型的委托
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for trader_type in ['real', 'simulation']:
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for order_id, order_info in list(pending_orders[trader_type].items()):
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# 超过24小时的委托视为超时
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if current_time - order_info['created_time'] > 24 * 60 * 60:
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del pending_orders[trader_type][order_id]
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@staticmethod
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def load_strategy_data():
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"""加载策略数据"""
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global strategy_positions, strategy_trades, pending_orders
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try:
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if os.path.exists('strategy_data.json'):
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with open('strategy_data.json', 'r') as f:
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data = json.load(f)
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# 直接使用新版数据结构，不再兼容旧版格式
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strategy_positions = data.get('positions', {'real': {}, 'simulation': {}})
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strategy_trades = data.get('trades', {'real': {}, 'simulation': {}})
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pending_orders = data.get('pending_orders', {'real': {}, 'simulation': {}})
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# 确保数据结构完整
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if 'real' not in strategy_positions:
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strategy_positions['real'] = {}
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if 'simulation' not in strategy_positions:
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strategy_positions['simulation'] = {}
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if 'real' not in strategy_trades:
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strategy_trades['real'] = {}
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if 'simulation' not in strategy_trades:
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strategy_trades['simulation'] = {}
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if 'real' not in pending_orders:
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pending_orders['real'] = {}
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if 'simulation' not in pending_orders:
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pending_orders['simulation'] = {}
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logger.info("已加载策略数据")
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logger.info(f"实盘策略数: {len(strategy_positions['real'])}, 模拟策略数: {len(strategy_positions['simulation'])}")
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except Exception as e:
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logger.error(f"加载策略数据失败: {str(e)}")
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# 初始化空数据结构
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strategy_positions = {'real': {}, 'simulation': {}}
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strategy_trades = {'real': {}, 'simulation': {}}
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pending_orders = {'real': {}, 'simulation': {}}
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@staticmethod
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def save_strategy_data():
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"""保存策略数据"""
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try:
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with open('strategy_data.json', 'w') as f:
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json.dump({
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'positions': strategy_positions,
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'trades': strategy_trades,
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'pending_orders': pending_orders
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}, f)
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except Exception as e:
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logger.error(f"保存策略数据失败: {str(e)}")
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@staticmethod
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def get_strategy_positions(trader, strategy_name=None):
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"""获取策略持仓
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Args:
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trader: 交易实例
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strategy_name: 策略名称，如果为None，返回所有持仓
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Returns:
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如果strategy_name为None，返回交易实例的所有持仓
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否则返回指定策略的持仓
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"""
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# 判断当前交易类型
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trader_type = StrategyPositionManager.get_trader_type(trader)
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# 如果指定了策略名称，返回该策略的持仓
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if strategy_name:
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# 获取真实账户持仓，用于计算可交易量
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real_positions = trader.get_positions()
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real_positions_map = {}
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for pos in real_positions:
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# 使用xt_trader返回的字段名
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if 'stock_code' in pos and 'can_use_volume' in pos:
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real_positions_map[pos['stock_code']] = pos
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# 如果该策略没有记录，返回空列表
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if strategy_name not in strategy_positions[trader_type]:
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logger.info(f"Strategy {strategy_name} has no positions in {trader_type} mode")
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return []
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# 合并策略持仓和真实持仓的可交易量
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result = []
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for code, pos_info in strategy_positions[trader_type][strategy_name].items():
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# 忽略total_amount为0的持仓
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if pos_info['total_amount'] <= 0:
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continue
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# 使用真实账户的可交易量作为策略的可交易量上限
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real_pos = real_positions_map.get(code, {})
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closeable = min(pos_info['total_amount'], real_pos.get('can_use_volume', 0))
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result.append({
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code: {
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'total_amount': pos_info['total_amount'],
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'closeable_amount': closeable
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}
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})
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logger.info(f"Strategy {strategy_name} positions in {trader_type} mode: {result}")
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return result
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# 否则返回原始持仓
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positions = trader.get_positions()
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logger.info(f"Positions in {trader_type} mode: {positions}")
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return positions
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@staticmethod
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def clear_strategy(trader, strategy_name):
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"""清除指定策略的持仓管理数据
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Args:
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trader: 交易实例
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strategy_name: 策略名称
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Returns:
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tuple: (success, message)
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success: 是否成功清除
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message: 提示信息
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"""
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if not strategy_name:
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return False, "缺少策略名称参数"
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# 判断当前交易类型
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trader_type = StrategyPositionManager.get_trader_type(trader)
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# 检查策略是否存在于当前交易类型中
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if strategy_name in strategy_positions[trader_type]:
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# 从策略持仓字典中删除该策略
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del strategy_positions[trader_type][strategy_name]
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# 清除该策略的交易记录
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if strategy_name in strategy_trades[trader_type]:
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del strategy_trades[trader_type][strategy_name]
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# 清除与该策略相关的未完成委托
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for order_id, order_info in list(pending_orders[trader_type].items()):
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if order_info.get('strategy_name') == strategy_name:
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del pending_orders[trader_type][order_id]
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# 保存更新后的策略数据
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StrategyPositionManager.save_strategy_data()
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logger.info(f"成功清除策略持仓数据: {strategy_name} (交易类型: {trader_type})")
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return True, f"成功清除策略 '{strategy_name}' 的持仓数据 (交易类型: {trader_type})"
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else:
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logger.info(f"策略不存在或没有持仓数据: {strategy_name} (交易类型: {trader_type})")
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return True, f"策略 '{strategy_name}' 不存在或没有持仓数据 (交易类型: {trader_type})" |