260 lines
11 KiB
Python
260 lines
11 KiB
Python
# coding:utf-8
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import datetime
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import sys
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from xtquant.xttrader import XtQuantTraderCallback
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from strategy import update_position_in_memory, remove_pending_order
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from database_manager import DatabaseManager
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class MyXtQuantTraderCallback(XtQuantTraderCallback):
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def __init__(self, logger):
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self.logger = logger
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self.db_manager = DatabaseManager(logger)
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def on_disconnected(self):
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"""
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连接断开
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:return:
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"""
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self.logger.warning(f"{datetime.datetime.now()} 连接断开回调")
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def on_stock_order(self, order):
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"""
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委托回报推送
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:param order: XtOrder对象
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:return:
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"""
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self.logger.info(f"{datetime.datetime.now()} 委托回调 {order.order_remark}")
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# 更新在途订单状态和数据库
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try:
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# 从订单备注中提取股票代码
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order_remark = order.order_remark
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if '_' in order_remark:
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stock_code = order_remark.split('_')[1] # 修正：取第二段作为股票代码
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# 检查Redis中是否存在该在途订单
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from strategy import initialize_redis_manager
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r = initialize_redis_manager(self.logger)
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order_info = r.get_pending(stock_code)
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if order_info:
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# 确保 order_id 是字符串类型
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qmt_order_id_str = str(order.order_id)
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our_order_id = order_info.get('order_id')
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# 先更新QMT订单ID映射
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if our_order_id:
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self.db_manager.update_qmt_order_id(our_order_id, qmt_order_id_str)
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# 更新数据库订单状态
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self.db_manager.update_order_status(qmt_order_id_str, 'submitted')
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# 记录交易日志
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log_data = {
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'order_id': our_order_id or qmt_order_id_str,
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'stock_code': stock_code,
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'log_type': 'order_submitted',
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'log_level': 'INFO',
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'message': f'订单已提交: {order.order_remark}',
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'create_time': datetime.datetime.now().strftime('%Y-%m-%d %H:%M:%S')
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}
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self.db_manager.insert_trading_log(log_data)
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self.logger.info(f"订单状态更新为已提交: {stock_code}")
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else:
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self.logger.warning(f"未找到在途订单: {stock_code}")
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except Exception as e:
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self.logger.error(f"更新订单状态失败: {str(e)}")
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def on_stock_trade(self, trade):
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"""
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成交变动推送
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:param trade: XtTrade对象
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:return:
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"""
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self.logger.info(f"{datetime.datetime.now()} 成交回调 {trade.order_remark} 成交价格 {trade.traded_price} 成交数量 {trade.traded_volume}")
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# 更新内存中的持仓状态和数据库
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try:
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# 根据订单备注判断是买入还是卖出
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is_buy = True # 默认买入
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is_clearance = False # 是否为清仓订单
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if trade.order_remark.startswith('CLEARANCE_'):
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is_buy = False
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is_clearance = True
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elif trade.order_remark.startswith('SELL_'):
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is_buy = False
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elif trade.order_remark.startswith('BUY_'):
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is_buy = True
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# 记录交易方向
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trade_direction = "买入" if is_buy else "卖出"
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if is_clearance:
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trade_direction = "清仓"
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self.logger.info(f"识别交易方向: {trade_direction}")
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# 更新内存和数据库持仓状态（确保价格类型为float）
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traded_price = float(trade.traded_price)
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update_position_in_memory(trade.stock_code, trade.traded_volume, is_buy, traded_price, self.logger)
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# 确保 order_id 是字符串类型
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order_id_str = str(trade.order_id)
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# 1. 先查询当前订单的已成交数量和委托数量
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current_filled = self._get_current_filled_quantity(order_id_str)
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order_quantity = self._get_order_quantity(order_id_str)
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# 2. 计算新的累计成交数量
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new_total_filled = current_filled + trade.traded_volume
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# 3. 判断订单是否完全成交
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is_order_completed = new_total_filled >= order_quantity
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# 4. 更新数据库订单状态和成交数量
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if is_order_completed:
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# 完全成交
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self.db_manager.update_order_status(
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order_id_str,
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'completed',
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new_total_filled,
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datetime.datetime.now().strftime('%Y-%m-%d %H:%M:%S')
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)
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self.logger.info(f"订单完全成交: {order_id_str} 累计成交 {new_total_filled}/{order_quantity}")
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# 从在途订单中移除
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remove_pending_order(trade.stock_code, self.logger)
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# 如果是清仓订单且完全成交，更新清仓请求状态
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if is_clearance:
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completed_time = datetime.datetime.now().strftime('%Y-%m-%d %H:%M:%S')
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self.db_manager.update_clearance_status(
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trade.stock_code,
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'completed',
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completed_time
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)
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# 从Redis中移除清仓计划
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from strategy import initialize_redis_manager
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r = initialize_redis_manager(self.logger)
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r.del_clearance_plan(trade.stock_code)
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self.logger.info(f"清仓订单完全成交，已更新清仓请求状态: {trade.stock_code}")
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else:
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# 部分成交
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self.db_manager.update_order_status(
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order_id_str,
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'filled',
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new_total_filled,
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datetime.datetime.now().strftime('%Y-%m-%d %H:%M:%S')
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)
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self.logger.info(f"订单部分成交: {order_id_str} 累计成交 {new_total_filled}/{order_quantity}")
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# 5. 记录详细交易日志（包含成交信息）
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trade_detail = {
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'trade_id': getattr(trade, 'trade_id', ''),
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'traded_price': traded_price,
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'traded_volume': int(trade.traded_volume),
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'traded_amount': float(traded_price * trade.traded_volume),
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'trade_time': datetime.datetime.now().strftime('%Y-%m-%d %H:%M:%S'),
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'total_filled': new_total_filled,
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'order_quantity': order_quantity,
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'is_completed': is_order_completed,
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'trade_direction': trade_direction
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}
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log_data = {
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'order_id': order_id_str,
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'stock_code': trade.stock_code,
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'log_type': 'trade_filled',
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'log_level': 'INFO',
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'message': f'{trade_direction}成交: {trade.stock_code} {trade.traded_volume}股 @ {trade.traded_price}元 (累计: {new_total_filled}/{order_quantity})',
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'extra_data': trade_detail,
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'create_time': datetime.datetime.now().strftime('%Y-%m-%d %H:%M:%S')
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}
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self.db_manager.insert_trading_log(log_data)
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except Exception as e:
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self.logger.error(f"更新持仓状态失败: {str(e)}")
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def _get_current_filled_quantity(self, order_id):
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"""获取订单当前已成交数量"""
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try:
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sql = "SELECT COALESCE(filled_quantity, 0) FROM trading_order WHERE order_id = %s OR qmt_order_id = %s"
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result = self.db_manager.execute_query(sql, (order_id, order_id))
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return int(result[0][0]) if result else 0
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except Exception as e:
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self.logger.warning(f"获取已成交数量失败: {str(e)}")
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return 0
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def _get_order_quantity(self, order_id):
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"""获取订单委托数量"""
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try:
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sql = "SELECT order_quantity FROM trading_order WHERE order_id = %s OR qmt_order_id = %s"
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result = self.db_manager.execute_query(sql, (order_id, order_id))
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return int(result[0][0]) if result else 0
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except Exception as e:
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self.logger.warning(f"获取委托数量失败: {str(e)}")
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return 0
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def on_order_error(self, order_error):
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"""
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委托失败推送
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:param order_error:XtOrderError 对象
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:return:
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"""
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self.logger.error(f"委托报错回调 {order_error.order_remark} {order_error.error_msg}")
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# 从在途订单中移除失败的订单，并更新数据库
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try:
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order_remark = order_error.order_remark
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if '_' in order_remark:
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stock_code = order_remark.split('_')[1] # 修正：取第二段作为股票代码
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# 确保 order_id 是字符串类型
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order_id_str = str(order_error.order_id)
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# 更新数据库订单状态
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self.db_manager.update_order_status(order_id_str, 'failed')
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# 记录错误日志
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log_data = {
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'order_id': order_id_str,
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'stock_code': stock_code,
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'log_type': 'order_failed',
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'log_level': 'ERROR',
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'message': f'订单失败: {order_error.error_msg}',
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'create_time': datetime.datetime.now().strftime('%Y-%m-%d %H:%M:%S')
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}
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self.db_manager.insert_trading_log(log_data)
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remove_pending_order(stock_code, self.logger)
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except Exception as e:
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self.logger.error(f"处理失败订单失败: {str(e)}")
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def on_cancel_error(self, cancel_error):
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"""
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撤单失败推送
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:param cancel_error: XtCancelError 对象
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:return:
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"""
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self.logger.error(f"{datetime.datetime.now()} {sys._getframe().f_code.co_name}")
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def on_order_stock_async_response(self, response):
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"""
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异步下单回报推送
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:param response: XtOrderResponse 对象
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:return:
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"""
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self.logger.info(f"异步委托回调 {response.order_remark}")
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def on_cancel_order_stock_async_response(self, response):
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"""
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:param response: XtCancelOrderResponse 对象
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:return:
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"""
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self.logger.info(f"{datetime.datetime.now()} {sys._getframe().f_code.co_name}")
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def on_account_status(self, status):
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"""
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:param response: XtAccountStatus 对象
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:return:
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"""
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self.logger.info(f"{datetime.datetime.now()} {sys._getframe().f_code.co_name}") |