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``。"""
|
||
|
||
from __future__ import annotations
|
||
|
||
import secrets
|
||
import logging as log
|
||
from dataclasses import dataclass
|
||
from datetime import datetime, timedelta
|
||
from threading import Lock
|
||
from typing import Any
|
||
|
||
from sdk import APIError, ORDER_SIDE_BY_OFFSET, Client, OrderItem
|
||
|
||
# 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"}
|
||
COMPLETED_STATUSES = {"56"}
|
||
TRACKED_STATUSES = BUSY_STATUSES | COMPLETED_STATUSES
|
||
CANCELABLE_STATUSES = {"49", "50", "51", "52"}
|
||
|
||
|
||
@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
|
||
|
||
|
||
class OrderBook:
|
||
"""线程安全的活动委托缓存。"""
|
||
|
||
def __init__(self, lock_timeout_sec: float = 180, cancel_timeout_sec: float = 10) -> None:
|
||
self.lock_timeout_sec = max(0.0, float(lock_timeout_sec))
|
||
self.cancel_timeout_sec = timedelta(seconds=cancel_timeout_sec)
|
||
self.data: list[OrderItem] = []
|
||
self.lock: dict[str, float] = {}
|
||
self.mutex = 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 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.mutex:
|
||
key = f"{side}-{code}"
|
||
return key in self.lock
|
||
|
||
def refresh(self, client: Client) -> None:
|
||
"""从 QMT 刷新进行中和已完成委托，并撤销超时的活动委托。"""
|
||
orders = client.trade_detail_data("order")
|
||
current = datetime.now()
|
||
now_timestamp = current.timestamp()
|
||
data: list[OrderItem] = []
|
||
lock: dict[str, float] = {}
|
||
canceled = 0
|
||
|
||
for item in orders:
|
||
# 不处理状态不对的
|
||
if item.status not in TRACKED_STATUSES:
|
||
continue
|
||
# 清理过期的
|
||
if (
|
||
item.created_at is not None
|
||
and item.status in CANCELABLE_STATUSES
|
||
and current - item.created_at > self.cancel_timeout_sec
|
||
):
|
||
client.cancel_by_id(item.id)
|
||
canceled += 1
|
||
log.info("[Order] 超时撤单，代码=%s，方向=%s，柜台订单=%s", item.code, item.side, item.id)
|
||
continue
|
||
|
||
# 缓存本次有效订单
|
||
data.append(item)
|
||
|
||
if item.status in BUSY_STATUSES:
|
||
key = f"{item.side}-{item.code}"
|
||
lock[key] = (
|
||
item.created_at.timestamp()
|
||
if item.created_at is not None
|
||
else now_timestamp
|
||
)
|
||
|
||
|
||
with self.mutex:
|
||
self.data = data
|
||
self.lock = lock
|
||
log.info("[Order] 刷新完成，跟踪=%d，处理中=%d，撤销=%d", len(data), len(lock), canceled)
|
||
|
||
def place(self, request: PlaceOrderRequest) -> bool:
|
||
"""按最新价提交委托，并立即写入本地方向锁。"""
|
||
try:
|
||
result = request.client.passorder_latest_tagged(
|
||
request.op,
|
||
request.code,
|
||
request.volume,
|
||
request.strategy_name,
|
||
request.order_id,
|
||
)
|
||
except APIError as exc:
|
||
log.exception("[Order] 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))
|
||
return False
|
||
if not isinstance(result, dict):
|
||
log.warning("[Order] 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)
|
||
return False
|
||
order_ref = str(result.get("order_ref") or "").strip().lower()
|
||
if result.get("status") != "success" or order_ref in {"", "unknown", "none"}:
|
||
log.warning("[Order] 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)
|
||
return False
|
||
|
||
side = ORDER_SIDE_BY_OFFSET.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.mutex:
|
||
key = f"{side}-{request.code}"
|
||
self.data.append(pending)
|
||
self.lock[key] = pending.created_at.timestamp()
|
||
log.info("[Order] 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)
|
||
return True
|