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This commit is contained in:
yanweidong
2026-08-26 16:37:06 +08:00
parent 566a07fea8
commit c30c1541d2
9 changed files with 331 additions and 638 deletions
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26
api/QMT_API.py
View File

@@ -280,8 +280,8 @@ class FullTickHandler(BaseHandler):
def post(self): def post(self):
data = json.loads(self.request.body) data = json.loads(self.request.body)
stocks = data.get('stocks', []) stocks = data.get('stocks', [])
if not stocks: #if not stocks:
raise HTTPError(400, "need args stocks") # raise HTTPError(400, "need args stocks")
ret = safe_call(self.ctx().get_full_tick, stocks) ret = safe_call(self.ctx().get_full_tick, stocks)
if not ret: if not ret:
raise HTTPError(500, "获取分笔行情失败") raise HTTPError(500, "获取分笔行情失败")
@@ -913,7 +913,7 @@ class TradeDetailDataHandler(BaseHandler):
data = json.loads(self.request.body) data = json.loads(self.request.body)
account = data.get('account', 'stock') account = data.get('account', 'stock')
datatype = data.get('datatype', 'position') datatype = data.get('datatype', 'position')
ret = safe_call(get_trade_detail_data, self.acc(), account, datatype, 'qmt') ret = safe_call(get_trade_detail_data, self.acc(), account, datatype)
if ret is None: if ret is None:
ret = [] ret = []
result = [] result = []
@@ -956,7 +956,7 @@ class LastOrderIdHandler(BaseHandler):
data = json.loads(self.request.body) data = json.loads(self.request.body)
account = data.get('account', 'stock') account = data.get('account', 'stock')
datatype = data.get('datatype', 'ORDER') datatype = data.get('datatype', 'ORDER')
ret = safe_call(get_last_order_id, self.acc(), account, datatype, 'qmt') ret = safe_call(get_last_order_id, self.acc(), account, datatype)
self.write(json.dumps({"last_order_id": ret}, ensure_ascii=False)) self.write(json.dumps({"last_order_id": ret}, ensure_ascii=False))
# can_cancel_order() - 查询委托是否可撤销 # can_cancel_order() - 查询委托是否可撤销
@@ -1163,7 +1163,8 @@ class BuyHandler(BaseHandler):
price = float(data['price']) price = float(data['price'])
volume = int(data['volume']) volume = int(data['volume'])
pr_type = data.get('prType', 11) pr_type = data.get('prType', 11)
order_ref = passorder(23, 1101, self.acc(), stock, pr_type, price, volume, 'qmt', 2, self.ctx()) sn = data.get('sn','')
order_ref = passorder(23, 1101, self.acc(), stock, pr_type, price, volume, sn, 2, self.ctx())
self.write(json.dumps({ self.write(json.dumps({
"status": "success", "action": "buy", "stock": stock, "status": "success", "action": "buy", "stock": stock,
"order_ref": str(order_ref) if order_ref else "unknown" "order_ref": str(order_ref) if order_ref else "unknown"
@@ -1181,7 +1182,8 @@ class SellHandler(BaseHandler):
price = float(data['price']) price = float(data['price'])
volume = int(data['volume']) volume = int(data['volume'])
pr_type = data.get('prType', 11) pr_type = data.get('prType', 11)
order_ref = passorder(24, 1101, self.acc(), stock, pr_type, price, volume, 'qmt', 2, self.ctx()) sn = data.get('sn','')
order_ref = passorder(24, 1101, self.acc(), stock, pr_type, price, volume, sn, 2, self.ctx())
self.write(json.dumps({ self.write(json.dumps({
"status": "success", "action": "sell", "stock": stock, "status": "success", "action": "sell", "stock": stock,
"order_ref": str(order_ref) if order_ref else "unknown" "order_ref": str(order_ref) if order_ref else "unknown"
@@ -1195,7 +1197,8 @@ class OrderStatusHandler(BaseHandler):
def post(self): def post(self):
data = json.loads(self.request.body) data = json.loads(self.request.body)
account = data.get('account', 'stock') account = data.get('account', 'stock')
orders = safe_call(get_trade_detail_data, self.acc(), account, 'order', 'qmt') or [] sn = data.get('sn','')
orders = safe_call(get_trade_detail_data, self.acc(), account, 'order', sn) or []
rets = [] rets = []
for order in orders: for order in orders:
rets.append({ rets.append({
@@ -1212,7 +1215,8 @@ class CancelAllHandler(BaseHandler):
try: try:
data = json.loads(self.request.body) data = json.loads(self.request.body)
account = data.get('account', 'stock') account = data.get('account', 'stock')
orders = safe_call(get_trade_detail_data, self.acc(), account, 'order', 'qmt') or [] sn = data.get('sn','')
orders = safe_call(get_trade_detail_data, self.acc(), account, 'order', sn) or []
canceled_list = [] canceled_list = []
for order in orders: for order in orders:
if can_cancel_order(order.m_strOrderSysID, self.acc(), account): if can_cancel_order(order.m_strOrderSysID, self.acc(), account):
@@ -1237,11 +1241,12 @@ class CancelByRuleHandler(BaseHandler):
try: try:
data = json.loads(self.request.body) data = json.loads(self.request.body)
stock = data.get('stock') stock = data.get('stock')
sn = data.get('sn','')
cancel_volume = int(data.get('volume', 0)) cancel_volume = int(data.get('volume', 0))
account = data.get('account', 'stock') account = data.get('account', 'stock')
if not stock or cancel_volume <= 0: if not stock or cancel_volume <= 0:
raise HTTPError(400, "参数错误：必须提供 stock 且 volume > 0") raise HTTPError(400, "参数错误：必须提供 stock 且 volume > 0")
orders = safe_call(get_trade_detail_data, self.acc(), account, 'order', 'qmt') or [] orders = safe_call(get_trade_detail_data, self.acc(), account, 'order', sn) or []
target_orders = [] target_orders = []
for order in orders: for order in orders:
order_code = f"{order.m_strInstrumentID}.{order.m_strExchangeID}" order_code = f"{order.m_strInstrumentID}.{order.m_strExchangeID}"
@@ -1293,7 +1298,8 @@ class DealHandler(BaseHandler):
def post(self): def post(self):
data = json.loads(self.request.body) data = json.loads(self.request.body)
account = data.get('account', 'stock') account = data.get('account', 'stock')
deals = safe_call(get_trade_detail_data, self.acc(), account, 'deal', 'qmt') or [] sn = data.get('sn','')
deals = safe_call(get_trade_detail_data, self.acc(), account, 'deal', sn) or []
rets = [] rets = []
for deal in deals: for deal in deals:
attrs = {} attrs = {}

8
go-client/apps/zt/logic/boot.go
View File

@@ -39,13 +39,13 @@ func Overview(assets *sdk.Assets, positions []sdk.Position) {
} }
} }
func RunOnce(ctx context.Context, client *sdk.Client, books *OrderBook, signals *libs.SignalResult) { func RunOnce(ctx context.Context, client *sdk.Client, signals *libs.SignalResult) {
if !libs.TradingTime(time.Now()) { if !libs.TradingTime(time.Now()) {
return return
} }
// 1 取消过期订单 // 1 取消过期订单
books.CancelExpired(ctx, client) OrderBook.CancelExpired(client)
// 2 验证可用资金 // 2 验证可用资金
assets, err := client.Assets(ctx) assets, err := client.Assets(ctx)
@@ -87,10 +87,10 @@ func RunOnce(ctx context.Context, client *sdk.Client, books *OrderBook, signals
// 7 执行开仓:有开仓信号 && 大盘指数允许开仓 // 7 执行开仓:有开仓信号 && 大盘指数允许开仓
if len(allowOpen) > 0 && IsAllow { if len(allowOpen) > 0 && IsAllow {
openSignal(ctx, client, books, ticks, allowOpen) openSignal(ctx, client, ticks, allowOpen)
} }
// 8 持仓计算 // 8 持仓计算
buyBudget := assets.Available buyBudget := assets.Available
managePositions(ctx, client, books, ticks, positions, IsAllow, &buyBudget) managePositions(ctx, client, ticks, positions, IsAllow, &buyBudget)
} }

10
go-client/apps/zt/logic/open.go
View File

@@ -8,10 +8,10 @@ import (
"big-qmt/go-client/sdk" "big-qmt/go-client/sdk"
) )
func openSignal(ctx context.Context, client *sdk.Client, books *OrderBook, ticks map[string]sdk.Tick, openSignals []libs.SignalItem) { func openSignal(ctx context.Context, client *sdk.Client, ticks map[string]sdk.Tick, openSignals []libs.SignalItem) {
for _, item := range openSignals { for _, item := range openSignals {
// 是否有锁 // 是否有锁
if _, err := QuantState.Get(item.Code); err == nil { if OrderBook.IsLock("BUY", item.Code) {
continue continue
} }
// 验证价格 // 验证价格
@@ -29,11 +29,11 @@ func openSignal(ctx context.Context, client *sdk.Client, books *OrderBook, ticks
continue continue
} }
// 开仓 // 开仓
orderID := newOrderTag("base") orderID := NewOrderID("base")
if !books.place(ctx, client, sideBuy, item.Code, volume, orderID) { if !OrderBook.Place(client, sdk.OpBuy, item.Code, volume, orderID) {
continue continue
} }
// 保存数量 // 保存状态
QuantState.Set(&StateItem{Code: item.Code, BaseOrderId: orderID, BaseQty: volume, BaseCost: price, BaseStatus: StatusIng}) QuantState.Set(&StateItem{Code: item.Code, BaseOrderId: orderID, BaseQty: volume, BaseCost: price, BaseStatus: StatusIng})
if err := QuantState.Save(); err != nil { if err := QuantState.Save(); err != nil {
logf("ERROR", "%v", err) logf("ERROR", "%v", err)

504
go-client/apps/zt/logic/order.go
View File

@@ -4,415 +4,151 @@ import (
"context" "context"
"crypto/rand" "crypto/rand"
"encoding/hex" "encoding/hex"
"encoding/json"
"fmt" "fmt"
"os" "slices"
"path/filepath"
"strconv" "strconv"
"strings" "strings"
"sync" "sync"
"time" "time"
"big-qmt/go-client/config"
"big-qmt/go-client/sdk" "big-qmt/go-client/sdk"
) )
type orderReceipt struct { var (
OrderID string `json:"order_id"` STOCK_DIRECTION = 48
QMTOrderID string `json:"qmt_order_id"` STOCK_SIDE_BUY = 48
StockCode string `json:"stock_code"` STOCK_SIDE_SELL = 49
Side string `json:"side"` OffsetFlag = map[string]string{"23": "BUY", "24": "SELL", "48": "BUY", "49": "SELL"}
Status string `json:"status"` OrderTimeout = 5 * time.Minute
RequestedVolume int `json:"requested_volume"`
TradedVolume int `json:"traded_volume"`
}
const ( OrderBook *Books
opBuyStock = 23
opBuyAlt = 48
sideBuy = "buy"
sideSell = "sell"
) )
var activeStatuses = map[int]struct{}{ type OrderItem struct {
48: {}, 49: {}, 50: {}, 51: {}, 52: {}, 55: {}, ID string
}
type parsedOrder struct {
OrderID string
StockCode string
Side string
Active bool
OrderTime int64
RemarkOwned bool
VolumeOrig int
VolumeLeft int
VolumeTraded int
Tag string
}
func (o parsedOrder) cancelVolume() int {
n := o.VolumeLeft + o.VolumeTraded
if n > 0 {
return n
}
return o.VolumeOrig
}
type submission struct {
Code string Code string
Side string Side string
Remark string
Status string
CreatedAt time.Time
Volume int
} }
type OrderBook struct { type Books struct {
mu sync.Mutex mu sync.Mutex
cached []parsedOrder Data map[string]*OrderItem
hasCache bool Index []string
buyLocks map[string]time.Time
sellLocks map[string]time.Time
subs []submission
receipts map[string]time.Time
} }
func NewOrderBook() *OrderBook { func NewOrderBook() {
return &OrderBook{ OrderBook = &Books{Data: make(map[string]*OrderItem), Index: make([]string, 0)}
buyLocks: map[string]time.Time{},
sellLocks: map[string]time.Time{},
receipts: map[string]time.Time{},
}
} }
// readReceipts 读取 QMT 回写并同步委托状态。 func NewOrderID(leg string) string {
func (o *OrderBook) readReceipts() { var random [6]byte
paths, _ := filepath.Glob(filepath.Join(config.Global.QMTDataDir, "order_*.json")) _, _ = rand.Read(random[:])
for _, path := range paths { tag := fmt.Sprintf("zt-%s-%s", leg, hex.EncodeToString(random[:]))
info, err := os.Stat(path)
if err != nil {
continue
}
o.mu.Lock()
last := o.receipts[path]
o.mu.Unlock()
if !info.ModTime().After(last) {
continue
}
receipt, err := loadReceipt(path)
if err != nil || !strings.HasPrefix(receipt.OrderID, "zt-") || receipt.StockCode == "" || receipt.Status == "" {
continue
}
o.mu.Lock()
o.receipts[path] = info.ModTime()
o.mu.Unlock()
status := strings.ToLower(receipt.Status)
if (status == "filled" || status == "cancelled" || status == "rejected") && (receipt.Side == sideBuy || receipt.Side == sideSell) {
o.unlockSide(receipt.StockCode, receipt.Side)
o.invalidate()
}
logf("INFO", "[ZT][回写] %s status=%s traded=%d/%d", receipt.OrderID, status, receipt.TradedVolume, receipt.RequestedVolume)
}
}
func loadReceipt(path string) (*orderReceipt, error) {
raw, err := os.ReadFile(path)
if err != nil {
return nil, err
}
var receipt orderReceipt
err = json.Unmarshal(raw, &receipt)
return &receipt, err
}
func (o *OrderBook) invalidate() {
o.mu.Lock()
defer o.mu.Unlock()
o.hasCache = false
o.cached = nil
}
func (o *OrderBook) query(ctx context.Context, client *sdk.Client) ([]parsedOrder, error) {
o.mu.Lock()
if o.hasCache {
out := append([]parsedOrder(nil), o.cached...)
o.mu.Unlock()
return out, nil
}
o.mu.Unlock()
raw, err := client.TradeDetailData(ctx, "order")
if err != nil {
logf("ERROR", "[ZT][委托] 查询失败: %v", err)
return nil, err
}
orders := make([]parsedOrder, 0, len(raw))
for _, item := range raw {
orders = append(orders, parseOrder(item))
}
o.mu.Lock()
o.cached = orders
o.hasCache = true
o.mu.Unlock()
return orders, nil
}
func (o *OrderBook) activeSets(ctx context.Context, client *sdk.Client) (buys, sells map[string]struct{}, ok bool) {
orders, err := o.query(ctx, client)
if err != nil {
return nil, nil, false
}
buys, sells = map[string]struct{}{}, map[string]struct{}{}
for _, item := range orders {
if !item.Active || item.StockCode == "" {
continue
}
if item.Side == sideBuy {
buys[item.StockCode] = struct{}{}
} else {
sells[item.StockCode] = struct{}{}
}
}
return buys, sells, true
}
func (o *OrderBook) CancelExpired(ctx context.Context, client *sdk.Client) bool {
o.invalidate()
orders, err := o.query(ctx, client)
if err != nil {
return false
}
state := QuantState
now := time.Now()
timeout := time.Duration(config.Account.OrderTimeoutSec) * time.Second
seen := map[string]struct{}{}
cancelled := false
for _, order := range orders {
if !order.Active || order.StockCode == "" {
continue
}
if !o.claimed(state, order) {
continue
}
if order.OrderTime <= 0 || now.Sub(time.Unix(order.OrderTime, 0)) <= timeout {
continue
}
vol := order.cancelVolume()
if vol <= 0 {
logf("WARNING", "[ZT][委托] 超时单缺少数量，跳过 %s %s", order.OrderID, order.StockCode)
continue
}
key := order.StockCode + "|" + strconv.Itoa(vol)
if _, ok := seen[key]; ok {
continue
}
seen[key] = struct{}{}
if order.OrderID != "" {
can, err := client.CanCancelOrder(ctx, order.OrderID)
if err != nil {
logf("ERROR", "[ZT][委托] 查询是否可撤失败 %s: %v", order.OrderID, err)
continue
}
if !truthy(can) {
logf("INFO", "[ZT][委托] 不可撤 %s %s", order.OrderID, order.StockCode)
continue
}
}
ret, err := client.CancelByRule(ctx, order.StockCode, vol)
if err != nil {
logf("ERROR", "[ZT][委托] 撤单失败 %s %s: %v", order.OrderID, order.StockCode, err)
continue
}
if ret == nil || ret.Status != "success" {
msg := ""
if ret != nil {
msg = ret.Message
}
logf("WARNING", "[ZT][委托] 规则撤单未命中 %s %s volume=%d %s", order.OrderID, order.StockCode, vol, msg)
continue
}
o.unlockSide(order.StockCode, order.Side)
cancelled = true
logf("INFO", "[ZT][委托] 撤销超时单 %s %s %s volume=%d", order.OrderID, order.StockCode, order.Side, vol)
}
if cancelled {
o.invalidate()
}
return true
}
func (o *OrderBook) claimed(state *State, order parsedOrder) bool {
if order.RemarkOwned {
return true
}
o.mu.Lock()
for _, s := range o.subs {
if s.Code == order.StockCode && s.Side == order.Side {
o.mu.Unlock()
return true
}
}
o.mu.Unlock()
if state == nil {
return false
}
item, err := state.Get(order.StockCode)
if err != nil {
return false
}
return order.OrderID == item.BaseOrderId || order.OrderID == item.AddedOrderId || item.BaseStatus == StatusIng || item.AddedStatus == StatusIng
}
func (o *OrderBook) unlockSide(code, side string) {
o.mu.Lock()
defer o.mu.Unlock()
delete(o.locks(side), code)
n := 0
for _, s := range o.subs {
if s.Code == code && s.Side == side {
continue
}
o.subs[n] = s
n++
}
o.subs = o.subs[:n]
}
func (o *OrderBook) sideBusy(code, side string, active map[string]struct{}) bool {
if _, ok := active[code]; ok {
return true
}
return o.locked(code, side)
}
func (o *OrderBook) locked(code, side string) bool {
o.mu.Lock()
defer o.mu.Unlock()
ts, ok := o.locks(side)[code]
return ok && time.Since(ts) < time.Duration(config.Account.OrderTimeoutSec)*time.Second
}
func (o *OrderBook) locks(side string) map[string]time.Time {
if side == sideBuy {
return o.buyLocks
}
return o.sellLocks
}
func (o *OrderBook) hasActive(ctx context.Context, client *sdk.Client, code, side string) bool {
orders, err := o.query(ctx, client)
if err != nil {
return true
}
for _, item := range orders {
if item.StockCode == code && item.Active && item.Side == side {
return true
}
}
return false
}
func (o *OrderBook) place(ctx context.Context, client *sdk.Client, side, code string, volume int, tag string) bool {
if volume <= 0 || volume%100 != 0 {
logf("ERROR", "[ZT][委托] %s 拒绝非整手数量=%d", code, volume)
return false
}
if o.locked(code, side) {
logf("INFO", "[ZT][委托] %s %s锁定中", code, side)
return false
}
if o.hasActive(ctx, client, code, side) {
logf("INFO", "[ZT][委托] %s 已有%s在途委托", code, side)
return false
}
_, err := client.PassorderLatestTagged(ctx, side == sideBuy, code, volume, tag)
if err != nil {
logf("ERROR", "[ZT][委托] %s 异常: %v", code, err)
return false
}
o.mu.Lock()
o.locks(side)[code] = time.Now()
o.subs = append(o.subs, submission{Code: code, Side: side})
o.mu.Unlock()
logf("INFO", "[ZT][委托] 已提交 %s %s %d股 tag=%s", side, code, volume, tag)
return true
}
func parseOrder(item map[string]string) parsedOrder {
operation, _ := strconv.Atoi(item["m_nOffsetFlag"])
status, _ := strconv.Atoi(item["m_nOrderStatus"])
tag := item["m_strRemark"]
orderTime, _ := strconv.ParseInt(item["m_nOrderTime"], 10, 64)
if orderTime > 1e11 {
orderTime /= 1000
}
if orderTime <= 0 {
date := item["m_strInsertDate"]
clock := strings.ReplaceAll(item["m_strInsertTime"], ":", "")
if date != "" {
if len(clock) < 6 {
clock = strings.Repeat("0", 6-len(clock)) + clock
}
if t, err := time.ParseInLocation("20060102150405", date+clock, time.Local); err == nil {
orderTime = t.Unix()
}
}
}
side := sideSell
if operation == opBuyStock || operation == opBuyAlt {
side = sideBuy
}
left, _ := strconv.Atoi(item["m_nVolumeTotal"])
traded, _ := strconv.Atoi(item["m_nVolumeTraded"])
orig, _ := strconv.Atoi(item["m_nVolumeTotalOriginal"])
_, active := activeStatuses[status]
return parsedOrder{
OrderID: item["m_strOrderSysID"],
StockCode: item["m_strInstrumentID"],
Side: side,
Active: active,
OrderTime: orderTime,
RemarkOwned: strings.HasPrefix(tag, "zt-"),
VolumeOrig: orig,
VolumeLeft: left,
VolumeTraded: traded,
Tag: tag,
}
}
func truthy(v any) bool {
if v == nil {
return false
}
switch x := v.(type) {
case bool:
return x
case string:
s := strings.ToLower(strings.TrimSpace(x))
return s == "true" || s == "1" || s == "yes"
case float64:
return x != 0
case int:
return x != 0
default:
s := strings.ToLower(strings.TrimSpace(fmt.Sprint(v)))
return s == "true" || s == "1"
}
}
func newOrderTag(leg string) string {
legCode := map[string]string{"base": "b", "add": "a", "take_profit": "t", "all": "s"}[leg]
if legCode == "" {
legCode = "x"
}
var buf [6]byte
_, _ = rand.Read(buf[:])
// 订单号同时用于 Windows 回写文件名，因此只使用文件名安全字符。
tag := fmt.Sprintf("zt-%s-%s", legCode, hex.EncodeToString(buf[:]))
if len(tag) > 24 { if len(tag) > 24 {
return tag[:24] return tag[:24]
} }
return tag return tag
} }
func parseHM(now time.Time) int { func (o *Books) IsLock(side, code string) bool {
n, _ := strconv.Atoi(now.Format("1504")) o.mu.Lock()
return n defer o.mu.Unlock()
keyStr := fmt.Sprintf("%s-%s", side, code)
return slices.Contains(o.Index, keyStr)
}
func (o *Books) Refresh(client *sdk.Client) error {
o.mu.Lock()
defer o.mu.Unlock()
raw, err := client.TradeDetailData(context.Background(), "order")
if err != nil {
return err
}
var idx []string
orders := make(map[string]*OrderItem)
for _, row := range raw {
keyStr, item := parseOrder(row)
orders[keyStr] = item
idx = append(idx, keyStr)
}
o.Data = orders
o.Index = idx
return nil
}
func (o *Books) CancelExpired(client *sdk.Client) error {
ctx := context.Background()
err := o.Refresh(client)
if err != nil {
return fmt.Errorf("[委托] 查询失败: %v", err)
}
for _, order := range o.Data {
if order.CreatedAt.IsZero() || time.Since(order.CreatedAt) <= OrderTimeout {
continue
}
if order.ID != "" {
rs, err := client.CanCancelOrder(ctx, order.ID)
if err != nil {
logf("ERROR", "[委托] 撤销失败：%v", err)
continue
} else {
logf("INFO", "[委托] 撤销成功：%v", rs)
}
}
}
return nil
}
func (o *Books) Place(client *sdk.Client, op int, code string, volume int, sn string) bool {
if _, err := client.PassorderLatestTagged(context.Background(), op, code, volume, sn); err != nil {
logf("ERROR", "[委托] %s 下单失败: %v", code, err)
return false
}
o.mu.Lock()
defer o.mu.Unlock()
keyStr := fmt.Sprintf("%s-%s", OffsetFlag[strconv.Itoa(op)], code)
o.Index = append(o.Index, keyStr)
logf("INFO", "[委托] 下单已提交 %d %s %d股", op, code, volume)
return true
}
func parseOrder(row map[string]string) (string, *OrderItem) {
left, _ := strconv.Atoi(row["m_nVolumeTotal"])
traded, _ := strconv.Atoi(row["m_nVolumeTraded"])
volume := left + traded
item := &OrderItem{
ID: row["m_strOrderSysID"],
Code: row["m_strInstrumentID"],
Side: OffsetFlag[row["m_nOffsetFlag"]],
Remark: row["m_strRemark"],
Status: row["m_nOrderStatus"],
Volume: volume,
CreatedAt: time.Unix(parseTimestamp(row), 0),
}
keyStr := fmt.Sprintf("%s-%s", item.Side, item.Code)
return keyStr, item
}
func parseTimestamp(row map[string]string) int64 {
ts, _ := strconv.ParseInt(row["m_nOrderTime"], 10, 64)
if ts > 1e11 {
return ts / 1000
}
if ts > 0 {
return ts
}
date := row["m_strInsertDate"]
clock := strings.ReplaceAll(row["m_strInsertTime"], ":", "")
clock = strings.Repeat("0", max(0, 6-len(clock))) + clock
t, _ := time.ParseInLocation("20060102150405", date+clock, time.Local)
return t.Unix()
} }

353
go-client/apps/zt/logic/positions.go
View File

@@ -10,218 +10,215 @@ import (
"big-qmt/go-client/sdk" "big-qmt/go-client/sdk"
) )
var peakMu sync.Mutex const (
var peakGrids = map[string]int{} legBase = "base"
legAdded = "add"
)
func peakKey(code, leg string) string { return code + "|" + leg } var (
peakMu sync.Mutex
peakGrids = make(map[string]int)
)
func calcBuyVolume(price, value float64) int { func managePositions(_ context.Context, client *sdk.Client, ticks map[string]sdk.Tick, positions []sdk.Position, marketOK bool, budget *float64) {
return libs.CalcBuyVolume(price, value) if QuantState == nil || OrderBook == nil || positions == nil {
}
func stateCodes(state *State) []string {
state.mu.Lock()
defer state.mu.Unlock()
return append([]string(nil), state.Codes...)
}
func managePositions(ctx context.Context, client *sdk.Client, books *OrderBook, ticks map[string]sdk.Tick, positions []sdk.Position, marketOK bool, buyBudget *float64) {
if positions == nil || QuantState == nil {
logf("ERROR", "[ZT][持仓] 持仓或状态不可用，本轮跳过")
return return
} }
buys, sells, ok := books.activeSets(ctx, client) if err := OrderBook.Refresh(client); err != nil {
if !ok { logf("ERROR", "[持仓] 刷新委托失败: %v", err)
return return
} }
before := map[string]struct{}{}
for _, code := range stateCodes(QuantState) { current := make(map[string]sdk.Position, len(positions))
before[code] = struct{}{} for _, position := range positions {
} if position.StockCode != "" {
if ticks == nil { current[position.StockCode] = position
ticks = map[string]sdk.Tick{}
}
type row struct {
volume, usable int
avg, price float64
stock string
item *StateItem
}
rows := make([]row, 0, len(positions))
seen := map[string]struct{}{}
for _, pos := range positions {
code := pos.StockCode
if code == "" {
continue
}
seen[code] = struct{}{}
item := syncItem(QuantState, code, pos.Volume, pos.OpenPrice, buys, sells, books)
if pos.Volume > 0 {
rows = append(rows, row{stock: code, volume: pos.Volume, usable: pos.CanUseVolume, avg: pos.OpenPrice, price: ticks[code].LastPrice, item: item})
} }
} }
for _, code := range stateCodes(QuantState) {
if _, ok := seen[code]; !ok { for _, code := range stateCodes() {
syncItem(QuantState, code, 0, 0, buys, sells, books) syncPosition(code, current[code])
} }
for code, position := range current {
managePosition(client, ticks[code], position, marketOK, budget)
} }
after := map[string]struct{}{}
for _, code := range stateCodes(QuantState) { saveState()
after[code] = struct{}{} }
func syncPosition(code string, position sdk.Position) {
item, err := QuantState.Get(code)
if err != nil || orderBusy(code, "BUY") || orderBusy(code, "SELL") {
return
} }
for code := range before { if position.Volume <= 0 {
if _, ok := after[code]; !ok { QuantState.Delete(code)
forget(code) forget(code)
return
} }
}
for _, r := range rows {
if r.item == nil || r.item.BaseStatus == StatusIng || r.item.AddedStatus == StatusIng || r.avg <= 0 || r.price <= 0 || r.volume%100 != 0 {
continue
}
if r.volume != r.item.BaseQty+r.item.AddedQty {
logf("INFO", "[ZT][持仓] %s 数量异常，底仓=%d 补仓=%d 现有=%d", r.stock, r.item.BaseQty, r.item.AddedQty, r.volume)
continue
}
if r.item.AddedQty > 0 {
addPnL := -999.0
if r.item.AddedCost > 0 {
addPnL = (r.price - r.item.AddedCost) / r.item.AddedCost * 100
}
if retreated(r.item, "add", addPnL) {
sellLeg(ctx, client, books, r.item, r.usable, r.item.AddedQty, "add", addPnL)
}
continue
}
basePnL := -999.0
if r.item.BaseCost > 0 {
basePnL = (r.price - r.item.BaseCost) / r.item.BaseCost * 100
}
if retreated(r.item, "base", basePnL) {
sellLeg(ctx, client, books, r.item, r.usable, r.item.BaseQty, "base", basePnL)
} else if basePnL <= config.Account.LossTriggerPct {
addOnRebound(ctx, client, books, r.item, r.price, marketOK, buyBudget)
}
}
if err := QuantState.Save(); err != nil {
logf("ERROR", "%v", err)
}
}
func syncItem(state *State, code string, volume int, avgPrice float64, buys, sells map[string]struct{}, books *OrderBook) *StateItem {
item, err := state.Get(code)
if err != nil {
if volume > 0 {
logf("ERROR", "[ZT][持仓] %s 无本地状态，跳过", code)
}
return nil
}
if item.BaseStatus == StatusIng { if item.BaseStatus == StatusIng {
syncBase(state, item, volume, avgPrice, buys, sells, books) item.BaseQty = max(0, position.Volume-item.AddedQty)
} else if item.AddedStatus == StatusIng { item.BaseCost = position.OpenPrice
syncAdded(state, item, volume, avgPrice, buys, sells, books)
} else if volume <= 0 {
state.Delete(code)
return nil
}
item, _ = state.Get(code)
return item
}
func syncBase(state *State, item *StateItem, volume int, avgPrice float64, buys, sells map[string]struct{}, books *OrderBook) {
if books.sideBusy(item.Code, sideBuy, buys) || books.sideBusy(item.Code, sideSell, sells) {
return
}
if volume <= 0 {
state.Delete(item.Code)
return
}
item.BaseQty = volume - item.AddedQty
if item.BaseQty < 0 {
item.BaseQty, item.AddedQty, item.AddedCost, item.AddedStatus = volume, 0, 0, StatusNone
}
item.BaseCost = avgPrice
item.BaseStatus = StatusOk item.BaseStatus = StatusOk
state.Set(item)
}
func syncAdded(state *State, item *StateItem, volume int, avgPrice float64, buys, sells map[string]struct{}, books *OrderBook) {
if books.sideBusy(item.Code, sideBuy, buys) || books.sideBusy(item.Code, sideSell, sells) {
return
} }
if volume <= 0 { if item.AddedStatus == StatusIng {
state.Delete(item.Code) syncAdded(item, position)
return
} }
if volume > item.BaseQty {
item.AddedQty = volume - item.BaseQty
item.AddedCost = math.Max(0, (avgPrice*float64(volume)-item.BaseCost*float64(item.BaseQty))/float64(item.AddedQty))
item.AddedStatus = StatusOk
} else {
item.BaseQty, item.BaseCost = volume, avgPrice
item.AddedQty, item.AddedCost, item.AddedStatus = 0, 0, StatusNone
peakMu.Lock()
delete(peakGrids, peakKey(item.Code, "add"))
peakMu.Unlock()
}
state.Set(item)
}
func addOnRebound(ctx context.Context, client *sdk.Client, books *OrderBook, item *StateItem, price float64, marketOK bool, buyBudget *float64) {
if !marketOK || PosbuyWatch == nil || !PosbuyWatch.Triggered("补仓", item.Code, price) {
return
}
volume := libs.CalcBuyVolume(price, config.Account.BuyValue)
estimated := price * float64(volume)
if volume <= 0 || buyBudget == nil || estimated > *buyBudget {
return
}
orderID := newOrderTag("add")
if books.place(ctx, client, sideBuy, item.Code, volume, orderID) {
item.AddedOrderId, item.AddedQty, item.AddedCost, item.AddedStatus = orderID, volume, price, StatusIng
item.AddedNum++
QuantState.Set(item) QuantState.Set(item)
*buyBudget -= estimated }
if err := QuantState.Save(); err != nil {
logf("ERROR", "%v", err) func syncAdded(item *StateItem, position sdk.Position) {
addedQty := position.Volume - item.BaseQty
if addedQty <= 0 {
item.BaseQty = position.Volume
item.BaseCost = position.OpenPrice
item.AddedQty = 0
item.AddedCost = 0
item.AddedStatus = StatusNone
clearPeak(item.Code, legAdded)
return
} }
item.AddedQty = addedQty
totalCost := position.OpenPrice * float64(position.Volume)
baseCost := item.BaseCost * float64(item.BaseQty)
item.AddedCost = math.Max(0, (totalCost-baseCost)/float64(addedQty))
item.AddedStatus = StatusOk
}
func managePosition(client *sdk.Client, tick sdk.Tick, position sdk.Position, marketOK bool, budget *float64) {
item, err := QuantState.Get(position.StockCode)
if err != nil || tick.LastPrice <= 0 || !positionReady(item, position) {
return
}
if item.AddedQty > 0 {
pnl := profit(tick.LastPrice, item.AddedCost)
if shouldSell(item.Code, legAdded, pnl) {
sell(client, item, position.CanUseVolume, item.AddedQty, legAdded, pnl)
}
return
}
pnl := profit(tick.LastPrice, item.BaseCost)
if shouldSell(item.Code, legBase, pnl) {
sell(client, item, position.CanUseVolume, item.BaseQty, legBase, pnl)
} else if pnl <= config.Account.LossTriggerPct {
buyAdded(client, item, tick.LastPrice, marketOK, budget)
} }
} }
func retreated(item *StateItem, leg string, pnl float64) bool { func positionReady(item *StateItem, position sdk.Position) bool {
if pnl < config.Account.MinProfitPct { return item.BaseStatus != StatusIng && item.AddedStatus != StatusIng &&
position.Volume > 0 && position.Volume%100 == 0 &&
position.Volume == item.BaseQty+item.AddedQty
}
func buyAdded(client *sdk.Client, item *StateItem, price float64, marketOK bool, budget *float64) {
if !marketOK || budget == nil || PosbuyWatch == nil || !PosbuyWatch.Triggered("补仓", item.Code, price) {
return
}
volume := calcBuyVolume(price, config.Account.BuyValue)
amount := price * float64(volume)
if volume <= 0 || amount > *budget || orderBusy(item.Code, "BUY") {
return
}
orderID := NewOrderID(legAdded)
if !OrderBook.Place(client, sdk.OpBuy, item.Code, volume, orderID) {
return
}
item.AddedOrderId = orderID
item.AddedNum++
item.AddedQty = volume
item.AddedCost = price
item.AddedStatus = StatusIng
QuantState.Set(item)
*budget -= amount
saveState()
}
func sell(client *sdk.Client, item *StateItem, usable, volume int, leg string, pnl float64) {
volume -= volume % 100
if volume <= 0 || usable < volume || orderBusy(item.Code, "SELL") {
return
}
orderID := NewOrderID(leg)
if !OrderBook.Place(client, sdk.OpSell, item.Code, volume, orderID) {
return
}
if leg == legAdded {
item.AddedOrderId = orderID
item.AddedStatus = StatusIng
} else {
item.BaseOrderId = orderID
item.BaseStatus = StatusIng
}
QuantState.Set(item)
saveState()
logf("INFO", "[止盈] %s 卖出%d股，盈利=%.2f%%", item.Code, volume, pnl)
}
func orderBusy(code, side string) bool {
OrderBook.mu.Lock()
defer OrderBook.mu.Unlock()
order := OrderBook.Data[side+"-"+code]
if order == nil {
return false
}
switch order.Status {
case "48", "49", "50", "51", "52", "55":
return true
default:
return false
}
}
func shouldSell(code, leg string, pnl float64) bool {
if pnl < config.Account.MinProfitPct || config.Account.GridStepPct <= 0 {
return false return false
} }
grid := int(math.Floor(pnl / config.Account.GridStepPct)) grid := int(math.Floor(pnl / config.Account.GridStepPct))
key := peakKey(item.Code, leg) key := peakKey(code, leg)
peakMu.Lock() peakMu.Lock()
defer peakMu.Unlock() defer peakMu.Unlock()
peak, ok := peakGrids[key] peak, tracked := peakGrids[key]
if !ok || grid > peak { if !tracked || grid > peak {
peakGrids[key] = grid peakGrids[key] = grid
return false return false
} }
return grid < peak return grid < peak
} }
func sellLeg(ctx context.Context, client *sdk.Client, books *OrderBook, item *StateItem, usable, volume int, leg string, pnl float64) { func stateCodes() []string {
volume -= volume % 100 QuantState.mu.Lock()
if volume <= 0 || usable < volume { defer QuantState.mu.Unlock()
return return append([]string(nil), QuantState.Codes...)
} }
orderID := newOrderTag(leg)
if !books.place(ctx, client, sideSell, item.Code, volume, orderID) { func saveState() {
return
}
if leg == "add" {
item.AddedOrderId, item.AddedStatus = orderID, StatusIng
} else {
item.BaseOrderId, item.BaseStatus = orderID, StatusIng
}
QuantState.Set(item)
if err := QuantState.Save(); err != nil { if err := QuantState.Save(); err != nil {
logf("ERROR", "%v", err) logf("ERROR", "%v", err)
} }
logf("INFO", "[ZT][止盈] %s 卖出 %d 股，%s腿盈利=%.2f%%", item.Code, volume, leg, pnl) }
func profit(price, cost float64) float64 {
if cost <= 0 {
return math.Inf(-1)
}
return (price - cost) / cost * 100
}
func calcBuyVolume(price, value float64) int {
return libs.CalcBuyVolume(price, value)
}
func peakKey(code, leg string) string { return code + "|" + leg }
func clearPeak(code, leg string) {
peakMu.Lock()
delete(peakGrids, peakKey(code, leg))
peakMu.Unlock()
} }
func forget(code string) { func forget(code string) {
@@ -235,8 +232,6 @@ func forget(code string) {
delete(PosbuyWatch.Data, code) delete(PosbuyWatch.Data, code)
PosbuyWatch.mu.Unlock() PosbuyWatch.mu.Unlock()
} }
peakMu.Lock() clearPeak(code, legBase)
delete(peakGrids, peakKey(code, "base")) clearPeak(code, legAdded)
delete(peakGrids, peakKey(code, "add"))
peakMu.Unlock()
} }

39
go-client/apps/zt/logic/strategy_test.go
View File

@@ -1,39 +0,0 @@
package logic
import (
"os"
"path/filepath"
"strings"
"testing"
)
func TestCalcBuyVolume(t *testing.T) {
for _, tt := range []struct {
price, value float64
want int
}{{10, 5000, 500}, {33, 5000, 100}, {100, 5000, 100}, {0, 5000, 0}} {
if got := calcBuyVolume(tt.price, tt.value); got != tt.want {
t.Fatalf("calcBuyVolume(%v,%v)=%d, want %d", tt.price, tt.value, got, tt.want)
}
}
}
func TestNewOrderTagIsShortAndFileSafe(t *testing.T) {
tag := newOrderTag("base")
if len(tag) > 24 || !strings.HasPrefix(tag, "zt-") || strings.ContainsAny(tag, `<>:"/\\|?*`) {
t.Fatalf("订单号不符合约束: %q", tag)
}
}
func TestLoadReceipt(t *testing.T) {
dir := t.TempDir()
path := filepath.Join(dir, "order_zt.json")
raw := []byte(`{"order_id":"zt-b-123","qmt_order_id":"9","stock_code":"000001.SZ","side":"buy","requested_volume":500,"traded_volume":500,"status":"filled","updated_at":"2026-08-25T10:00:00+08:00"}`)
if err := os.WriteFile(path, raw, 0o644); err != nil {
t.Fatal(err)
}
got, err := loadReceipt(path)
if err != nil || got.Status != "filled" || got.TradedVolume != 500 {
t.Fatalf("loadReceipt()=%+v, %v", got, err)
}
}

4
go-client/apps/zt/main.go
View File

@@ -39,6 +39,7 @@ func main() {
} }
// 初始化 // 初始化
logic.NewOrderBook()
logic.InitWatch() logic.InitWatch()
if err := logic.InitState(StrategyName); err != nil { if err := logic.InitState(StrategyName); err != nil {
log.Panicln("ERROR", err.Error()) log.Panicln("ERROR", err.Error())
@@ -57,13 +58,12 @@ func main() {
log.Printf("[INFO] [ZT] 已加载 %d 个开仓信号", len(signals.Data)) log.Printf("[INFO] [ZT] 已加载 %d 个开仓信号", len(signals.Data))
// 第四步：工作日每 30 秒触发，交易时段由 RunOnce 统一判断。 // 第四步：工作日每 30 秒触发，交易时段由 RunOnce 统一判断。
books := logic.NewOrderBook()
scheduler := cron.New( scheduler := cron.New(
cron.WithSeconds(), cron.WithSeconds(),
cron.WithChain(cron.SkipIfStillRunning(cron.DefaultLogger)), cron.WithChain(cron.SkipIfStillRunning(cron.DefaultLogger)),
) )
if _, err := scheduler.AddFunc("0,30 * 9-15 * * 1-5", func() { if _, err := scheduler.AddFunc("0,30 * 9-15 * * 1-5", func() {
logic.RunOnce(ctx, client, books, signals) logic.RunOnce(ctx, client, signals)
}); err != nil { }); err != nil {
log.Fatalf("[ERROR] 创建计划任务失败: %v", err) log.Fatalf("[ERROR] 创建计划任务失败: %v", err)
} }

1
go-client/config/config.go
View File

@@ -27,7 +27,6 @@ type GlobalConfig struct {
type AccountConfig struct { type AccountConfig struct {
AccountID string `yaml:"account_id"` AccountID string `yaml:"account_id"`
HostKey string `yaml:"host_key"` HostKey string `yaml:"host_key"`
OrderTimeoutSec int `yaml:"order_timeout_seconds"`
BuyValue float64 `yaml:"buy_value"` BuyValue float64 `yaml:"buy_value"`
MinCashRatio float64 `yaml:"min_cash_ratio"` MinCashRatio float64 `yaml:"min_cash_ratio"`
LossTriggerPct float64 `yaml:"loss_trigger_pct"` LossTriggerPct float64 `yaml:"loss_trigger_pct"`

12
go-client/sdk/trade.go
View File

@@ -30,18 +30,14 @@ func (c *Client) Passorder(ctx context.Context, req PassorderRequest) (*OrderRef
} }
// PassorderLatest 按最新价下单，不附加策略订单号。 // PassorderLatest 按最新价下单，不附加策略订单号。
func (c *Client) PassorderLatest(ctx context.Context, buy bool, stock string, volume int) (*OrderRefResult, error) { func (c *Client) PassorderLatest(ctx context.Context, side int, stock string, volume int) (*OrderRefResult, error) {
return c.PassorderLatestTagged(ctx, buy, stock, volume, "") return c.PassorderLatestTagged(ctx, side, stock, volume, "")
} }
// PassorderLatestTagged 使用 strategyName 将本地唯一订单号传给 QMT。 // PassorderLatestTagged 使用 strategyName 将本地唯一订单号传给 QMT。
func (c *Client) PassorderLatestTagged(ctx context.Context, buy bool, stock string, volume int, orderID string) (*OrderRefResult, error) { func (c *Client) PassorderLatestTagged(ctx context.Context, side int, stock string, volume int, orderID string) (*OrderRefResult, error) {
op := OpSell
if buy {
op = OpBuy
}
return c.Passorder(ctx, PassorderRequest{ return c.Passorder(ctx, PassorderRequest{
OpType: op, OpType: side,
OrderType: OrderTypeVolume, OrderType: OrderTypeVolume,
Stock: stock, Stock: stock,
PrType: PrTypeLatest, PrType: PrTypeLatest,