claude_dev
70d72f35bb
vnpy_qmt 是唯一券商交易 gateway（关键路径），社区包断更有风险。 按 vnpy_v4.4.0 同一套约定 vendor 源码、sys.path 引用、不 pip install。 - vnpy_qmt_v0.3.3/vnpy_qmt/ (5文件587行) + LICENSE(Apache-2.0) + README - run_web.py 加 if-exists 路径块，import 方式不变 (from vnpy_qmt import QmtGateway) Mac 验证: py_compile 全过 + import 解析到 vendor 副本(仅卡 xtquant Win-only，符合预期) VPS 生产切换(Part B: rsync+pip uninstall+重启+实证) 待确认
228 lines
8.5 KiB
Python
228 lines
8.5 KiB
Python
# -*- coding:utf-8 -*-
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"""
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@FileName :td.py
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@Time :2022/11/8 17:14
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@Author :fsksf
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"""
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import os
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import random
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from typing import Dict
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import datetime
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from xtquant.xttrader import XtQuantTraderCallback, XtQuantTrader
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from xtquant.xttype import (
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XtTrade, XtAsset, XtOrder, XtOrderError, XtCreditOrder, XtOrderResponse,
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XtPosition, XtCreditDeal, XtCancelError, XtCancelOrderResponse, StockAccount
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)
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from vnpy.trader.constant import Direction, Status, Product
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from vnpy.trader.object import (
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AccountData, TradeData, OrderData, OrderRequest, PositionData
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)
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from vnpy_qmt.utils import (to_vn_product, to_vn_contract, to_qmt_code,
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From_VN_Trade_Type, from_vn_price_type, TO_VN_Trade_Type,
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timestamp_to_datetime, TO_VN_ORDER_STATUS)
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class TD(XtQuantTraderCallback):
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def __init__(self, gateway, *args, **kwargs):
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super(TD, self).__init__(*args, **kwargs)
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self.gateway = gateway
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self.count = 0
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self.session_id = int(datetime.datetime.now().strftime('%H%M%S'))
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self.trader: XtQuantTrader = None
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self.account = None
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self.mini_path = None
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self.inited = False
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self.orders: Dict[str, OrderData] = {}
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self.traders: Dict[str, TradeData] = {}
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def connect(self, settings: dict):
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account = settings['交易账号']
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self.mini_path = path = settings['mini路径']
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acc = StockAccount(account)
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self.account = acc
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self.trader = XtQuantTrader(path=path, session=self.session_id)
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self.trader.register_callback(self)
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self.trader.start()
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self.write_log('连接QMT')
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cnn_msg = self.trader.connect()
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if cnn_msg == 0:
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self.write_log('连接成功')
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else:
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self.write_log(f'连接失败：{cnn_msg}')
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sub_msg = self.trader.subscribe(account=acc)
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if sub_msg == 0:
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self.write_log(f'订阅账户成功： {sub_msg}')
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self.inited = True
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else:
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self.write_log(f'订阅账户【失败】： {sub_msg}')
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def get_order_remark(self):
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self.count += 1
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mark = f'{str(self.session_id)}#{self.count}'
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return mark
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def send_order(self, req: OrderRequest):
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vn_oid = self.get_order_remark()
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seq = self.trader.order_stock_async(
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account=self.account,
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stock_code=to_qmt_code(symbol=req.symbol, exchange=req.exchange),
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order_type=From_VN_Trade_Type[req.direction],
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price_type=from_vn_price_type(req),
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order_volume=int(req.volume),
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price=req.price,
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order_remark=vn_oid,
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)
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order = OrderData(gateway_name=self.gateway.gateway_name,
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symbol=req.symbol,
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exchange=req.exchange,
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orderid=vn_oid,
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type=req.type,
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direction=req.direction,
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offset=req.offset,
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volume=req.volume,
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price=req.price,
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status=Status.SUBMITTING)
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self.orders[order.orderid] = order
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return order.vt_orderid
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def cancel_order(self, order_id):
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order = self.orders.get(order_id)
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if order is None:
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return
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return self.trader.cancel_order_stock_async(account=self.account, order_id=order.reference)
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def query_account(self):
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return self.trader.query_stock_asset_async(self.account, callback=self.on_stock_asset)
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def query_position(self):
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return self.trader.query_stock_positions_async(self.account, callback=self.on_stock_positions_callback)
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def query_order(self):
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self.trader.query_stock_orders_async(self.account, callback=self.on_stock_order_callback)
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def query_trade(self):
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self.trader.query_stock_trades_async(self.account, callback=self.on_stock_trade_callback)
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def on_disconnected(self):
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pass
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def on_stock_asset(self, asset: XtAsset):
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account = AccountData(
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accountid=asset.account_id,
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frozen=asset.frozen_cash,
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balance=asset.total_asset,
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gateway_name=self.gateway.gateway_name
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)
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self.gateway.on_account(account)
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def on_stock_order_callback(self, order_list):
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for order in order_list:
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self.on_stock_order(order)
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def on_stock_positions_callback(self, pos_list):
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for pos in pos_list:
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self.on_stock_position(pos)
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def on_stock_trade_callback(self, trade_list):
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for trade in trade_list:
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self.on_stock_trade(trade)
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def on_stock_order(self, order: XtOrder):
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symbol, exchange = to_vn_contract(order.stock_code)
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remark_id = order.order_remark
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vn_order = OrderData(
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orderid=remark_id,
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symbol=symbol,
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exchange=exchange,
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price=order.price,
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volume=order.order_volume,
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traded=order.traded_volume,
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gateway_name=self.gateway.gateway_name,
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status=TO_VN_ORDER_STATUS[order.order_status],
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direction=TO_VN_Trade_Type[order.order_type],
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datetime=timestamp_to_datetime(order.order_time),
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reference=order.order_id
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)
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old_order = self.orders.get(vn_order.orderid, None)
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if old_order == vn_order:
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return
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if vn_order.status == Status.REJECTED:
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self.write_log(f'【拒单】 {order.status_msg}')
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self.orders[vn_order.orderid] = vn_order
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self.gateway.on_order(vn_order)
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def on_stock_position(self, position: XtPosition):
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try:
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symbol, exchange = to_vn_contract(position.stock_code)
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except Exception as e:
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print(f"on_stock_position 无法解析的代码： {position.stock_code}")
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return
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# TODO ETF相关字段处理
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position_ = PositionData(
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gateway_name=self.gateway.gateway_name,
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symbol=symbol,
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exchange=exchange,
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direction=Direction.LONG,
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volume=position.volume,
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yd_volume=position.yesterday_volume,
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price=position.open_price,
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pnl=position.market_value - position.volume * position.open_price
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)
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contract = self.gateway.get_contract(position_.vt_symbol)
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if contract:
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position_.product = contract.product
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position_.__post_init__()
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self.gateway.on_position(position_)
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def on_stock_trade(self, trade: XtTrade):
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symbol, exchange = to_vn_contract(trade.stock_code)
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vn_oid = trade.order_remark
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if vn_oid is None:
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return
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order = self.orders.get(vn_oid)
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if order is None:
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return
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trd_typ = TO_VN_Trade_Type[trade.order_type]
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trade_ = TradeData(
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gateway_name=self.gateway.gateway_name,
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symbol=symbol,
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exchange=exchange,
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orderid=vn_oid,
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tradeid=trade.traded_id,
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price=trade.traded_price,
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datetime=timestamp_to_datetime(trade.traded_time),
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volume=trade.traded_volume,
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direction=trd_typ
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)
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self.gateway.on_trade(trade_)
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def on_cancel_error(self, cancel_error: XtCancelError):
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self.write_log(cancel_error.error_msg)
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def on_order_error(self, order_error: XtOrderError):
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self.write_log(f'订单错误：{order_error.error_msg}')
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vn_oid = order_error.order_remark
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old_order = self.orders.get(vn_oid)
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if old_order:
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old_order.status = Status.REJECTED
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self.gateway.on_order(old_order)
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def on_order_stock_async_response(self, response: XtOrderResponse):
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self.write_log(f'下单成功 {response.order_id} {response.order_remark} {response.strategy_name}')
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old_order = self.orders.get(response.order_remark)
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if old_order:
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if response.error_msg:
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old_order.status = Status.REJECTED
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self.write_log(f'下单失败 {response.order_remark} 原因： {response.error_msg}')
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self.gateway.on_order(old_order)
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def on_cancel_order_stock_async_response(self, response: XtCancelOrderResponse):
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self.write_log(f'撤单结果： {response.cancel_result}')
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def write_log(self, msg):
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self.gateway.write_log(f'[ td ] {msg}')
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