133 lines
5.0 KiB
Python
133 lines
5.0 KiB
Python
"""趋势策略委托簿，对应 Go 客户端的 ``logic/order.go``。"""
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from __future__ import annotations
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import secrets
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import logging as log
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from dataclasses import dataclass
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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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from sdk import APIError, 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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COMPLETED_STATUSES = {"56"}
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TRACKED_STATUSES = BUSY_STATUSES | COMPLETED_STATUSES
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CANCELABLE_STATUSES = {"49", "50", "51", "52"}
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@dataclass(frozen=True, slots=True)
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class PlaceOrderRequest:
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"""``OrderBook.place`` 提交委托所需的全部参数。"""
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client: Any
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op: int
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code: str
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volume: int
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order_id: str
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strategy_name: 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, 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: list[OrderItem] = []
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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 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.mutex:
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key = f"{side}-{code}"
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return key in self.lock
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def refresh(self, client: Client) -> None:
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"""从 QMT 刷新进行中和已完成委托，并撤销超时的活动委托。"""
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orders = client.trade_detail_data("order")
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current = datetime.now()
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now_timestamp = current.timestamp()
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data: list[OrderItem] = []
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lock: dict[str, float] = {}
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canceled = 0
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for item in orders:
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# 不处理状态不对的
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if item.status not in TRACKED_STATUSES:
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continue
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# 清理过期的
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if (
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item.created_at is not None
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and item.status in CANCELABLE_STATUSES
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and current - item.created_at > self.cancel_timeout_sec
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):
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client.cancel_by_id(item.id)
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canceled += 1
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log.info("[订单] 超时撤单，代码=%s，方向=%s，柜台订单=%s", item.code, item.side, item.id)
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continue
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# 缓存本次有效订单
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data.append(item)
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if item.status in BUSY_STATUSES:
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key = f"{item.side}-{item.code}"
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lock[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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with self.mutex:
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self.data = data
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self.lock = lock
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log.info("[订单] 刷新完成，跟踪=%d，处理中=%d，撤销=%d", len(data), len(lock), canceled)
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def place(self, request: PlaceOrderRequest) -> bool:
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"""按最新价提交委托，并立即写入本地方向锁。"""
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try:
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result = request.client.passorder_latest_tagged(
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request.op,
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request.code,
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request.volume,
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request.strategy_name,
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request.order_id,
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)
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except APIError as exc:
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log.exception("[订单] 下单失败，代码=%s，本地订单=%s，HTTP状态=%d，错误=%s", request.code, request.order_id, exc.status_code, exc.message or str(exc))
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return False
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if not isinstance(result, dict):
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log.warning("[订单] 下单失败，代码=%s，本地订单=%s，原因=响应格式无效", request.code, request.order_id)
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return False
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order_ref = str(result.get("order_ref") or "").strip().lower()
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if result.get("status") != "success" or order_ref in {"", "unknown", "none"}:
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log.warning("[订单] 下单被拒绝，代码=%s，本地订单=%s，状态=%s，柜台订单=%s", request.code, request.order_id, result.get("status"), order_ref)
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return False
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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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side=side,
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remark=request.order_id,
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status="48",
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created_at=datetime.now(),
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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.mutex:
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key = f"{side}-{request.code}"
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self.data.append(pending)
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self.lock[key] = pending.created_at.timestamp()
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log.info("[订单] 下单已受理，代码=%s，方向=%s，数量=%d，本地订单=%s，柜台订单=%s", request.code, side, request.volume, request.order_id, order_ref)
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return True
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