179 lines
5.7 KiB
Python
179 lines
5.7 KiB
Python
"""趋势策略委托簿，对应 Go 客户端的 ``logic/order.go``。"""
|
|
|
|
from __future__ import annotations
|
|
|
|
import secrets
|
|
from dataclasses import dataclass
|
|
from datetime import datetime, timedelta
|
|
from threading import Lock
|
|
from typing import Any
|
|
|
|
# QMT 开平方向字段到本地买卖方向的映射。
|
|
OFFSET_FLAG = {"23": "BUY", "24": "SELL", "48": "BUY", "49": "SELL"}
|
|
|
|
# 表示委托仍在处理、可能继续成交的 QMT 状态。
|
|
BUSY_STATUSES = {"48", "49", "50", "51", "52", "55"}
|
|
|
|
|
|
@dataclass(frozen=True, slots=True)
|
|
class PlaceOrderRequest:
|
|
"""``OrderBook.place`` 提交委托所需的全部参数。"""
|
|
|
|
client: Any
|
|
op: int
|
|
code: str
|
|
volume: int
|
|
order_id: str
|
|
strategy_name: str
|
|
|
|
|
|
@dataclass(slots=True)
|
|
class OrderItem:
|
|
"""从 QMT 委托明细转换得到的本地订单记录。"""
|
|
|
|
id: str
|
|
code: str
|
|
side: str
|
|
remark: str
|
|
status: str
|
|
created_at: datetime | None
|
|
volume: int
|
|
local_order_id: str = ""
|
|
|
|
|
|
class OrderBook:
|
|
"""线程安全的活动委托缓存。"""
|
|
|
|
def __init__(self, timeout_seconds: float = 300) -> None:
|
|
self.timeout = timedelta(seconds=timeout_seconds)
|
|
self.data: dict[str, OrderItem] = {}
|
|
self.index: list[str] = []
|
|
self.lock = Lock()
|
|
|
|
@staticmethod
|
|
def new_order_id(leg: str) -> str:
|
|
"""生成短订单号，为 QMT 备注中的信号键预留空间。"""
|
|
return f"zt-{leg[:1]}-{secrets.token_hex(4)}"
|
|
|
|
def is_lock(self, side: str, code: str) -> bool:
|
|
"""判断证券在指定买卖方向上是否已经被委托锁定。"""
|
|
with self.lock:
|
|
return f"{side}-{code}" in self.index
|
|
|
|
def busy(self, code: str, side: str) -> bool:
|
|
"""判断证券是否存在仍在处理中的同方向委托。"""
|
|
with self.lock:
|
|
key = f"{side}-{code}"
|
|
order = self.data.get(key)
|
|
return key in self.index or bool(order and order.status in BUSY_STATUSES)
|
|
|
|
def refresh(self, client: Any) -> None:
|
|
"""从 QMT 刷新当前委托明细和方向索引。"""
|
|
parsed_orders = [
|
|
parse_order(row) for row in client.trade_detail_data("order")
|
|
]
|
|
with self.lock:
|
|
self.data = {key: item for key, item in parsed_orders}
|
|
self.index = [
|
|
key for key, item in parsed_orders if item.status in BUSY_STATUSES
|
|
]
|
|
|
|
def cancel_expired(self, client: Any, now: datetime | None = None) -> None:
|
|
"""尝试撤销超过有效期且具有委托编号的订单。"""
|
|
self.refresh(client)
|
|
current = now or datetime.now()
|
|
|
|
# 使用快照遍历，避免网络调用期间长期持有互斥锁。
|
|
for order in list(self.data.values()):
|
|
if (
|
|
order.created_at is not None
|
|
and current - order.created_at > self.timeout
|
|
and order.id
|
|
):
|
|
client.cancel_by_id(order.id)
|
|
|
|
def place(self, request: PlaceOrderRequest) -> bool:
|
|
"""按最新价提交委托，并立即写入本地方向锁。"""
|
|
result = request.client.passorder_latest_tagged(
|
|
request.op,
|
|
request.code,
|
|
request.volume,
|
|
request.strategy_name,
|
|
request.order_id,
|
|
)
|
|
if not isinstance(result, dict):
|
|
return False
|
|
order_ref = str(result.get("order_ref") or "").strip().lower()
|
|
if result.get("status") != "success" or order_ref in {"", "unknown", "none"}:
|
|
return False
|
|
|
|
side = OFFSET_FLAG.get(str(request.op), "")
|
|
pending = OrderItem(
|
|
id=order_ref,
|
|
code=request.code,
|
|
side=side,
|
|
remark=request.order_id,
|
|
status="48",
|
|
created_at=datetime.now(),
|
|
volume=request.volume,
|
|
local_order_id=request.order_id,
|
|
)
|
|
with self.lock:
|
|
key = f"{side}-{request.code}"
|
|
self.data[key] = pending
|
|
if key not in self.index:
|
|
self.index.append(key)
|
|
return True
|
|
|
|
|
|
def parse_order(row: dict[str, Any]) -> tuple[str, OrderItem]:
|
|
"""把 QMT 原始委托字段转换为本地订单及其索引键。"""
|
|
volume = _as_int(row.get("m_nVolumeTotal")) + _as_int(
|
|
row.get("m_nVolumeTraded")
|
|
)
|
|
|
|
timestamp = _as_int(row.get("m_nOrderTime"))
|
|
if timestamp > 100_000_000_000:
|
|
# QMT 某些版本返回毫秒时间戳。
|
|
timestamp /= 1000
|
|
created_at = (
|
|
datetime.fromtimestamp(timestamp)
|
|
if timestamp
|
|
else _parse_insert_datetime(row)
|
|
)
|
|
|
|
item = OrderItem(
|
|
id=str(row.get("m_strOrderSysID") or ""),
|
|
code=str(row.get("m_strInstrumentID") or ""),
|
|
side=OFFSET_FLAG.get(str(row.get("m_nOffsetFlag")), ""),
|
|
remark=str(row.get("m_strRemark") or ""),
|
|
status=str(row.get("m_nOrderStatus") or ""),
|
|
created_at=created_at,
|
|
volume=volume,
|
|
local_order_id=_local_order_id(str(row.get("m_strRemark") or "")),
|
|
)
|
|
return f"{item.side}-{item.code}", item
|
|
|
|
|
|
def _as_int(value: Any) -> int:
|
|
"""安全转换整数，无效值按 0 处理。"""
|
|
try:
|
|
return int(value or 0)
|
|
except (TypeError, ValueError):
|
|
return 0
|
|
|
|
|
|
def _parse_insert_datetime(row: dict[str, Any]) -> datetime | None:
|
|
"""使用委托日期和时间字段构造本地时间。"""
|
|
date = str(row.get("m_strInsertDate") or "")
|
|
clock = str(row.get("m_strInsertTime") or "").replace(":", "").zfill(6)
|
|
try:
|
|
return datetime.strptime(date + clock, "%Y%m%d%H%M%S")
|
|
except ValueError:
|
|
return None
|
|
|
|
|
|
def _local_order_id(remark: str) -> str:
|
|
"""兼容 ``local_order_id|signal_key`` 形式的 QMT 备注。"""
|
|
return remark.split("|", 1)[0] if remark else ""
|