update api,libs
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@@ -8,8 +8,7 @@ from datetime import datetime, timedelta
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from threading import Lock
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from typing import Any
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# QMT 开平方向字段到本地买卖方向的映射。
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OFFSET_FLAG = {"23": "BUY", "24": "SELL", "48": "BUY", "49": "SELL"}
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from sdk import ORDER_SIDE_BY_OFFSET, Client, OrderItem
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# 表示委托仍在处理、可能继续成交的 QMT 状态。
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BUSY_STATUSES = {"48", "49", "50", "51", "52", "55"}
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@@ -27,56 +26,45 @@ class PlaceOrderRequest:
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strategy_name: str
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@dataclass(slots=True)
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class OrderItem:
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"""从 QMT 委托明细转换得到的本地订单记录。"""
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id: str
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code: str
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side: str
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remark: str
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status: str
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created_at: datetime | None
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volume: int
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local_order_id: str = ""
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class OrderBook:
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"""线程安全的活动委托缓存。"""
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def __init__(self, timeout_seconds: float = 300) -> None:
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self.timeout = timedelta(seconds=timeout_seconds)
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def __init__(self, lock_timeout_sec: float = 180, cancel_timeout_sec: float = 10) -> None:
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self.lock_timeout_sec = max(0.0, float(lock_timeout_sec))
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self.cancel_timeout_sec = timedelta(seconds=cancel_timeout_sec)
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self.data: dict[str, OrderItem] = {}
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self.index: list[str] = []
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self.lock = Lock()
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self.lock: dict[str, float] = {}
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self.mutex = Lock()
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@staticmethod
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def new_order_id(leg: str) -> str:
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"""生成短订单号，为 QMT 备注中的信号键预留空间。"""
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return f"zt-{leg[:1]}-{secrets.token_hex(4)}"
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def is_lock(self, side: str, code: str) -> bool:
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"""判断证券在指定买卖方向上是否已经被委托锁定。"""
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with self.lock:
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return f"{side}-{code}" in self.index
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def busy(self, code: str, side: str) -> bool:
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"""判断证券是否存在仍在处理中的同方向委托。"""
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with self.lock:
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with self.mutex:
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self._clear_expired_locks(datetime.now().timestamp())
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key = f"{side}-{code}"
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order = self.data.get(key)
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return key in self.index or bool(order and order.status in BUSY_STATUSES)
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return key in self.lock
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def refresh(self, client: Any) -> None:
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def refresh(self, client: Client) -> None:
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"""从 QMT 刷新当前委托明细和方向索引。"""
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parsed_orders = [
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parse_order(row) for row in client.trade_detail_data("order")
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]
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with self.lock:
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orders = client.trade_detail_data("order")
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parsed_orders = [(f"{item.side}-{item.code}", item) for item in orders]
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now_timestamp = datetime.now().timestamp()
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with self.mutex:
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self.data = {key: item for key, item in parsed_orders}
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self.index = [
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key for key, item in parsed_orders if item.status in BUSY_STATUSES
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]
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self.lock = {
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key: (
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item.created_at.timestamp()
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if item.created_at is not None
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else now_timestamp
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)
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for key, item in parsed_orders
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if item.status in BUSY_STATUSES
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}
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self._clear_expired_locks(now_timestamp)
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def cancel_expired(self, client: Any, now: datetime | None = None) -> None:
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"""尝试撤销超过有效期且具有委托编号的订单。"""
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@@ -87,7 +75,8 @@ class OrderBook:
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for order in list(self.data.values()):
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if (
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order.created_at is not None
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and current - order.created_at > self.timeout
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and order.status in {"49", "50", "51", "52"}
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and current - order.created_at > self.cancel_timeout_sec
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and order.id
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):
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client.cancel_by_id(order.id)
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@@ -107,7 +96,7 @@ class OrderBook:
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if result.get("status") != "success" or order_ref in {"", "unknown", "none"}:
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return False
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side = OFFSET_FLAG.get(str(request.op), "")
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side = ORDER_SIDE_BY_OFFSET.get(str(request.op), "")
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pending = OrderItem(
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id=order_ref,
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code=request.code,
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@@ -118,61 +107,18 @@ class OrderBook:
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volume=request.volume,
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local_order_id=request.order_id,
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)
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with self.lock:
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with self.mutex:
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key = f"{side}-{request.code}"
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self.data[key] = pending
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if key not in self.index:
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self.index.append(key)
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self.lock[key] = pending.created_at.timestamp()
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return True
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def parse_order(row: dict[str, Any]) -> tuple[str, OrderItem]:
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"""把 QMT 原始委托字段转换为本地订单及其索引键。"""
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volume = _as_int(row.get("m_nVolumeTotal")) + _as_int(
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row.get("m_nVolumeTraded")
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)
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timestamp = _as_int(row.get("m_nOrderTime"))
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if timestamp > 100_000_000_000:
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# QMT 某些版本返回毫秒时间戳。
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timestamp /= 1000
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created_at = (
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datetime.fromtimestamp(timestamp)
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if timestamp
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else _parse_insert_datetime(row)
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)
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item = OrderItem(
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id=str(row.get("m_strOrderSysID") or ""),
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code=str(row.get("m_strInstrumentID") or ""),
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side=OFFSET_FLAG.get(str(row.get("m_nOffsetFlag")), ""),
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remark=str(row.get("m_strRemark") or ""),
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status=str(row.get("m_nOrderStatus") or ""),
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created_at=created_at,
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volume=volume,
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local_order_id=_local_order_id(str(row.get("m_strRemark") or "")),
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)
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return f"{item.side}-{item.code}", item
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def _as_int(value: Any) -> int:
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"""安全转换整数，无效值按 0 处理。"""
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try:
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return int(value or 0)
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except (TypeError, ValueError):
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return 0
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def _parse_insert_datetime(row: dict[str, Any]) -> datetime | None:
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"""使用委托日期和时间字段构造本地时间。"""
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date = str(row.get("m_strInsertDate") or "")
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clock = str(row.get("m_strInsertTime") or "").replace(":", "").zfill(6)
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try:
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return datetime.strptime(date + clock, "%Y%m%d%H%M%S")
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except ValueError:
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return None
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def _local_order_id(remark: str) -> str:
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"""兼容 ``local_order_id|signal_key`` 形式的 QMT 备注。"""
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return remark.split("|", 1)[0] if remark else ""
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def _clear_expired_locks(self, now_timestamp: float) -> None:
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"""清理过期方向锁；调用方必须已持有 ``mutex``。"""
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expired = [
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key
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for key, created_at in self.lock.items()
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if now_timestamp - created_at >= self.lock_timeout_sec
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]
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for key in expired:
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self.lock.pop(key, None)
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