sanguo_vnpy_v2/sanguo_live/engine.py

"""LiveTradingEngine:vnpy 原生实盘链路封装。

参考 ``vnpy_v4.4.0/examples/no_ui/run.py`` 和 ``examples/no_ui/run.py``,
按 A 股 + QMT 场景精简:
- EventEngine + MainEngine
- add_gateway(QmtGateway)         连 miniQMT
- add_app(CtaStrategyApp)         挂 CTA 引擎
- 透出 connect / add_strategy / subscribe / init_all / start_all / stop_all / 查询

本机未装 vnpy_ctastrategy / vnpy_qmt 时 import 容错,实例化才报错。
"""
from __future__ import annotations

import logging
from typing import Any

logger = logging.getLogger(__name__)

try:
    from vnpy.event import EventEngine  # type: ignore
    from vnpy.trader.engine import MainEngine  # type: ignore
    from vnpy_qmt import QmtGateway  # type: ignore
    from vnpy_ctastrategy import CtaStrategyApp, CtaEngine  # type: ignore
    _DEPS_OK = True
    _IMPORT_ERROR: Exception | None = None
except ImportError as _e:
    EventEngine = None  # type: ignore
    MainEngine = None  # type: ignore
    QmtGateway = None  # type: ignore
    CtaStrategyApp = None  # type: ignore
    CtaEngine = None  # type: ignore
    _DEPS_OK = False
    _IMPORT_ERROR = _e


class LiveTradingEngine:
    """vnpy 原生实盘引擎封装。单实例持有 MainEngine 生命周期。

    使用:
        eng = LiveTradingEngine()
        eng.connect({"交易账号": "66639661", "mini路径": "C:\\\\..."})
        eng.add_strategy(AShareDoubleMaStrategy, "dm1", "600000.SSE", {...})
        eng.subscribe(["600000.SSE"])
        eng.init_all(); eng.start_all()
        # ... 常驻 ...
        eng.stop_all(); eng.close()
    """

    def __init__(self) -> None:
        if not _DEPS_OK:
            raise RuntimeError(
                f"vnpy 依赖缺失(vnpy/vnpy_qmt/vnpy_ctastrategy),"
                f"无法初始化 LiveTradingEngine: {_IMPORT_ERROR}"
            )
        self.event_engine: EventEngine = EventEngine()
        self.main_engine: MainEngine = MainEngine(self.event_engine)
        self.main_engine.add_gateway(QmtGateway)
        self.cta_engine: CtaEngine = self.main_engine.add_app(CtaStrategyApp)
        logger.info("LiveTradingEngine 初始化完成(MainEngine + QMT + CTA)")

    # ---------------------- 连接 / 策略 / 行情 ----------------------

    def connect(self, setting: dict[str, str]) -> None:
        """连接 miniQMT。``setting`` = ``{"交易账号":..., "mini路径":...}``。"""
        self.main_engine.connect(setting, "QMT")
        logger.info("已请求连接 QMT: 账号=%s", setting.get("交易账号"))

    def add_strategy(
        self,
        strategy_class: type,
        strategy_name: str,
        vt_symbol: str,
        setting: dict[str, Any],
    ) -> None:
        """注册策略实例到 CTA 引擎。"""
        self.cta_engine.add_strategy(
            strategy_class, strategy_name, vt_symbol, setting
        )
        logger.info("已添加策略 %s @ %s (class=%s)", strategy_name, vt_symbol,
                    strategy_class.__name__)

    def subscribe(self, vt_symbols: list[str]) -> None:
        """订阅 ``vt_symbol`` 列表(格式 ``SYMBOL.EXCHANGE``,如 ``600000.SSE``)。

        订阅是行情驱动策略的前提:QmtGateway.on_tick → EVENT_TICK →
        CtaEngine → strategy.on_tick → BarGenerator 合成 15min bar。
        """
        from vnpy.trader.object import SubscribeRequest  # type: ignore
        from vnpy.trader.constant import Exchange  # type: ignore

        ok = 0
        for vt_symbol in vt_symbols:
            try:
                symbol, exch_code = vt_symbol.split(".", 1)
                exchange = Exchange(exch_code)
            except (ValueError, KeyError):
                logger.warning("vt_symbol 无法解析,跳过: %r", vt_symbol)
                continue
            req = SubscribeRequest(symbol=symbol, exchange=exchange)
            self.main_engine.subscribe(req, "QMT")
            ok += 1
        logger.info("已请求订阅 %d / %d 个标的", ok, len(vt_symbols))

    # ---------------------- 生命周期 ----------------------

    def init_all(self) -> None:
        self.cta_engine.init_all_strategies()
        logger.info("所有策略初始化完成")

    def start_all(self) -> None:
        self.cta_engine.start_all_strategies()
        logger.info("所有策略已启动")

    def stop_all(self) -> None:
        try:
            self.cta_engine.stop_all_strategies()
            logger.info("所有策略已停止")
        except Exception as e:  # noqa: BLE001
            logger.warning("stop_all_strategies 异常: %s", e)

    def close(self) -> None:
        try:
            self.main_engine.close()
        finally:
            logger.info("LiveTradingEngine 已关闭")

    # ---------------------- 查询(OMS 缓存) ----------------------

    def _oms(self) -> Any:
        return self.main_engine.get_engine("oms")

    def get_all_accounts(self) -> list:
        """返回 QMT 网关所有账户(AccountData 列表)。连接前可能为空。"""
        oms = self._oms()
        if oms is None:
            return []
        return [a for a in oms.get_all_accounts() if a.gateway_name == "QMT"]

    def get_positions(self) -> list:
        """返回 QMT 持仓(PositionData 列表)。"""
        oms = self._oms()
        if oms is None:
            return []
        return [p for p in oms.get_all_positions() if p.gateway_name == "QMT"]

    def get_orders(self) -> list:
        """返回 QMT 当日委托(OrderData 列表)。"""
        oms = self._oms()
        if oms is None:
            return []
        return [o for o in oms.get_all_orders() if o.gateway_name == "QMT"]


__all__ = ["LiveTradingEngine"]