仿alphaarena项目增加A股ai自动量化
This commit is contained in:
oficcejo
@@ -0,0 +1,628 @@
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"""
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智能盯盘 - miniQMT交易接口适配器
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封装miniQMT的交易功能，支持A股T+1交易
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使用主程序的配置管理系统
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"""
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import logging
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import os
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from typing import Dict, List, Optional
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from datetime import datetime
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class SmartMonitorQMT:
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"""miniQMT交易接口"""
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def __init__(self, mini_qmt_path: str = None):
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"""
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初始化miniQMT接口
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Args:
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mini_qmt_path: miniQMT安装路径
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"""
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self.logger = logging.getLogger(__name__)
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self.xt_trader = None
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self.account = None
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self.connected = False
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# 尝试导入miniQMT
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try:
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from xtquant import xttrader, xtdata
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self.xttrader = xttrader
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self.xtdata = xtdata
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self.logger.info("miniQMT模块加载成功")
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except ImportError as e:
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self.logger.warning(f"miniQMT模块未安装: {e}")
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self.logger.warning("将使用模拟模式（不实际下单）")
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def connect(self, account_id: str = None) -> bool:
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"""
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连接miniQMT
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Args:
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account_id: 交易账户ID（可选，从环境变量读取）
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Returns:
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是否连接成功
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"""
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if not self.xttrader:
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self.logger.warning("miniQMT未安装，使用模拟模式")
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self.connected = False
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return False
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# 从配置读取账户ID
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if account_id is None:
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account_id = os.getenv('MINIQMT_ACCOUNT_ID', '')
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if not account_id:
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self.logger.error("未配置miniQMT账户ID，请在环境配置中设置")
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self.connected = False
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return False
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try:
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# 创建交易对象
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self.xt_trader = self.xttrader.XtQuantTrader()
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# 连接
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self.xt_trader.start()
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# 连接账户
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self.account = self.xttrader.StockAccount(account_id)
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connect_result = self.xt_trader.connect()
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if connect_result == 0:
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self.connected = True
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self.logger.info(f"miniQMT连接成功，账户: {account_id}")
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return True
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else:
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self.logger.error(f"miniQMT连接失败，错误码: {connect_result}")
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return False
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except Exception as e:
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self.logger.error(f"连接miniQMT失败: {e}")
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return False
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def disconnect(self):
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"""断开连接"""
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if self.xt_trader:
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try:
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self.xt_trader.stop()
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self.connected = False
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self.logger.info("miniQMT已断开连接")
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except Exception as e:
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self.logger.error(f"断开连接失败: {e}")
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def get_account_info(self) -> Dict:
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"""
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获取账户信息
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Returns:
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账户信息字典
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"""
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if not self.connected or not self.account:
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return {
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'available_cash': 0,
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'total_value': 0,
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'positions_count': 0,
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'total_profit_loss': 0
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}
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try:
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# 获取资金信息
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asset = self.xt_trader.query_stock_asset(self.account)
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# 获取持仓信息
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positions = self.xt_trader.query_stock_positions(self.account)
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# 计算总浮动盈亏
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total_profit_loss = 0
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if positions:
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for pos in positions:
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total_profit_loss += pos.unrealized_profit
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return {
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'available_cash': asset.cash, # 可用资金
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'total_value': asset.total_asset, # 总资产
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'positions_count': len(positions) if positions else 0,
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'total_profit_loss': total_profit_loss,
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'frozen_cash': asset.frozen_cash, # 冻结资金
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'market_value': asset.market_value # 持仓市值
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}
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except Exception as e:
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self.logger.error(f"获取账户信息失败: {e}")
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return {
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'available_cash': 0,
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'total_value': 0,
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'positions_count': 0,
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'total_profit_loss': 0
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}
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def get_position(self, stock_code: str) -> Optional[Dict]:
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"""
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获取指定股票的持仓信息
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Args:
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stock_code: 股票代码
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Returns:
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持仓信息，如果未持有则返回None
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"""
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if not self.connected or not self.account:
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return None
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try:
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positions = self.xt_trader.query_stock_positions(self.account)
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if not positions:
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return None
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# 查找指定股票
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for pos in positions:
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if pos.stock_code == stock_code:
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# 计算持仓天数
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holding_days = 0
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if hasattr(pos, 'open_date'):
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try:
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open_date = datetime.strptime(str(pos.open_date), '%Y%m%d')
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holding_days = (datetime.now() - open_date).days
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except:
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pass
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return {
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'stock_code': pos.stock_code,
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'stock_name': getattr(pos, 'stock_name', ''),
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'quantity': pos.volume, # 持仓数量
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'can_sell': pos.can_use_volume, # 可用数量（考虑T+1）
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'cost_price': pos.avg_price, # 成本价
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'current_price': pos.last_price, # 最新价
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'market_value': pos.market_value, # 市值
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'profit_loss': pos.unrealized_profit, # 浮动盈亏
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'profit_loss_pct': (pos.last_price - pos.avg_price) / pos.avg_price * 100 if pos.avg_price > 0 else 0,
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'holding_days': holding_days,
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'buy_date': getattr(pos, 'open_date', '')
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}
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return None
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except Exception as e:
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self.logger.error(f"获取持仓信息失败 {stock_code}: {e}")
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return None
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def get_all_positions(self) -> List[Dict]:
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"""
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获取所有持仓
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Returns:
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持仓列表
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"""
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if not self.connected or not self.account:
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return []
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try:
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positions = self.xt_trader.query_stock_positions(self.account)
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if not positions:
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return []
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result = []
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for pos in positions:
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holding_days = 0
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if hasattr(pos, 'open_date'):
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try:
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open_date = datetime.strptime(str(pos.open_date), '%Y%m%d')
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holding_days = (datetime.now() - open_date).days
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except:
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pass
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result.append({
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'stock_code': pos.stock_code,
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'stock_name': getattr(pos, 'stock_name', ''),
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'quantity': pos.volume,
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'can_sell': pos.can_use_volume,
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'cost_price': pos.avg_price,
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'current_price': pos.last_price,
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'market_value': pos.market_value,
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'profit_loss': pos.unrealized_profit,
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'profit_loss_pct': (pos.last_price - pos.avg_price) / pos.avg_price * 100 if pos.avg_price > 0 else 0,
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'holding_days': holding_days
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})
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return result
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except Exception as e:
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self.logger.error(f"获取所有持仓失败: {e}")
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return []
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def buy_stock(self, stock_code: str, quantity: int,
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price: float = 0, order_type: str = 'market') -> Dict:
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"""
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买入股票
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Args:
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stock_code: 股票代码（如：600519.SH）
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quantity: 数量（股，必须是100的整数倍）
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price: 价格（限价单时使用，市价单可为0）
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order_type: 订单类型 ('market': 市价, 'limit': 限价)
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Returns:
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订单结果
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"""
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if not self.connected:
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return {
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'success': False,
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'error': 'miniQMT未连接',
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'message': '模拟模式：买入订单已记录但未实际执行'
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}
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# 检查数量是否是100的整数倍
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if quantity % 100 != 0:
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return {
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'success': False,
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'error': 'A股买入数量必须是100的整数倍（1手=100股）'
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}
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try:
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# 构造完整股票代码（带市场后缀）
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full_code = self._format_stock_code(stock_code)
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# 根据订单类型选择价格类型
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if order_type == 'market':
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# 市价单
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price_type = self.xttrader.XTP_PRICE_MARKET_OR_CANCEL # 市价剩余转限价
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else:
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# 限价单
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price_type = self.xttrader.XTP_PRICE_LIMIT
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# 下单
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order_id = self.xt_trader.order_stock(
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account=self.account,
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stock_code=full_code,
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order_type=self.xttrader.XTP_SIDE_BUY, # 买入
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order_volume=quantity,
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price_type=price_type,
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price=price
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)
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if order_id > 0:
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self.logger.info(f"买入订单已提交: {stock_code}, 数量: {quantity}, 订单号: {order_id}")
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return {
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'success': True,
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'order_id': order_id,
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'stock_code': stock_code,
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'quantity': quantity,
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'price': price,
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'order_type': order_type,
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'message': '买入订单已提交'
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}
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else:
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return {
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'success': False,
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'error': f'下单失败，订单号: {order_id}'
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}
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except Exception as e:
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self.logger.error(f"买入股票失败 {stock_code}: {e}")
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return {
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'success': False,
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'error': str(e)
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}
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def sell_stock(self, stock_code: str, quantity: int,
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price: float = 0, order_type: str = 'market') -> Dict:
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"""
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卖出股票
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Args:
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stock_code: 股票代码
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quantity: 数量（股）
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price: 价格（限价单时使用）
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order_type: 订单类型 ('market': 市价, 'limit': 限价)
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Returns:
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订单结果
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"""
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if not self.connected:
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return {
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'success': False,
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'error': 'miniQMT未连接',
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'message': '模拟模式：卖出订单已记录但未实际执行'
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}
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try:
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# 检查是否有持仓
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position = self.get_position(stock_code)
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if not position:
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return {
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'success': False,
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'error': f'未持有股票 {stock_code}'
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}
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# 检查可卖数量（T+1限制）
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if quantity > position['can_sell']:
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return {
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'success': False,
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'error': f'可卖数量不足（可卖: {position["can_sell"]}股，T+1限制）'
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}
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# 构造完整股票代码
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full_code = self._format_stock_code(stock_code)
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# 根据订单类型选择价格类型
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if order_type == 'market':
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price_type = self.xttrader.XTP_PRICE_MARKET_OR_CANCEL
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else:
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price_type = self.xttrader.XTP_PRICE_LIMIT
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# 下单
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order_id = self.xt_trader.order_stock(
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account=self.account,
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stock_code=full_code,
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order_type=self.xttrader.XTP_SIDE_SELL, # 卖出
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order_volume=quantity,
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price_type=price_type,
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price=price
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)
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if order_id > 0:
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self.logger.info(f"卖出订单已提交: {stock_code}, 数量: {quantity}, 订单号: {order_id}")
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return {
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'success': True,
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'order_id': order_id,
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'stock_code': stock_code,
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'quantity': quantity,
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'price': price,
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'order_type': order_type,
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'message': '卖出订单已提交'
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}
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else:
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return {
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'success': False,
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'error': f'下单失败，订单号: {order_id}'
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}
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except Exception as e:
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self.logger.error(f"卖出股票失败 {stock_code}: {e}")
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return {
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'success': False,
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'error': str(e)
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}
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def cancel_order(self, order_id: int) -> bool:
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"""
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撤销订单
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Args:
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order_id: 订单ID
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Returns:
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是否撤销成功
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"""
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if not self.connected:
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return False
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try:
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result = self.xt_trader.cancel_order_stock(self.account, order_id)
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if result == 0:
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self.logger.info(f"订单已撤销: {order_id}")
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return True
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else:
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self.logger.error(f"撤销订单失败: {order_id}, 错误码: {result}")
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return False
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except Exception as e:
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self.logger.error(f"撤销订单失败: {e}")
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return False
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def get_orders(self, stock_code: str = None) -> List[Dict]:
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"""
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获取当日委托订单
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Args:
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stock_code: 股票代码（可选，不传则返回所有订单）
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Returns:
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订单列表
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"""
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if not self.connected:
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return []
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try:
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orders = self.xt_trader.query_stock_orders(self.account)
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if not orders:
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return []
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result = []
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for order in orders:
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# 如果指定了股票代码，则过滤
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if stock_code and order.stock_code != self._format_stock_code(stock_code):
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continue
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result.append({
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'order_id': order.order_id,
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'stock_code': order.stock_code,
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'stock_name': getattr(order, 'stock_name', ''),
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'order_type': '买入' if order.order_type == self.xttrader.XTP_SIDE_BUY else '卖出',
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'price': order.price,
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'quantity': order.order_volume,
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'traded_quantity': order.traded_volume,
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'status': self._format_order_status(order.order_status),
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'order_time': getattr(order, 'insert_time', '')
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})
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return result
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except Exception as e:
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self.logger.error(f"获取订单失败: {e}")
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return []
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def _format_stock_code(self, stock_code: str) -> str:
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"""
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格式化股票代码（添加市场后缀）
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Args:
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stock_code: 股票代码（如：600519）
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Returns:
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完整代码（如：600519.SH）
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"""
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# 如果已经包含市场后缀，直接返回
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if '.' in stock_code:
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return stock_code
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# 沪市：6开头
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if stock_code.startswith('6'):
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return f"{stock_code}.SH"
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# 深市：0、3开头
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elif stock_code.startswith(('0', '3')):
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return f"{stock_code}.SZ"
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else:
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return stock_code
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def _format_order_status(self, status: int) -> str:
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"""格式化订单状态"""
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status_map = {
|
||||
0: '未报',
|
||||
1: '待报',
|
||||
2: '已报',
|
||||
3: '已报待撤',
|
||||
4: '部分待撤',
|
||||
5: '部成待撤',
|
||||
6: '部撤',
|
||||
7: '已撤',
|
||||
8: '部成',
|
||||
9: '已成',
|
||||
10: '废单'
|
||||
}
|
||||
return status_map.get(status, f'未知({status})')
|
||||
|
||||
|
||||
# 模拟交易类（当miniQMT不可用时使用）
|
||||
class SmartMonitorQMTSimulator:
|
||||
"""模拟交易（用于测试）"""
|
||||
|
||||
def __init__(self):
|
||||
self.logger = logging.getLogger(__name__)
|
||||
self.connected = True
|
||||
self.cash = 100000 # 模拟资金10万
|
||||
self.positions = {} # 模拟持仓
|
||||
self.orders = [] # 模拟订单
|
||||
self.logger.info("使用模拟交易模式")
|
||||
|
||||
def connect(self, account_id: str) -> bool:
|
||||
self.logger.info(f"模拟连接成功: {account_id}")
|
||||
return True
|
||||
|
||||
def disconnect(self):
|
||||
self.logger.info("模拟断开连接")
|
||||
|
||||
def get_account_info(self) -> Dict:
|
||||
total_value = self.cash
|
||||
for pos in self.positions.values():
|
||||
total_value += pos['market_value']
|
||||
|
||||
return {
|
||||
'available_cash': self.cash,
|
||||
'total_value': total_value,
|
||||
'positions_count': len(self.positions),
|
||||
'total_profit_loss': sum(pos['profit_loss'] for pos in self.positions.values())
|
||||
}
|
||||
|
||||
def get_position(self, stock_code: str) -> Optional[Dict]:
|
||||
return self.positions.get(stock_code)
|
||||
|
||||
def get_all_positions(self) -> List[Dict]:
|
||||
"""获取所有持仓"""
|
||||
return list(self.positions.values())
|
||||
|
||||
def buy_stock(self, stock_code: str, quantity: int,
|
||||
price: float = 0, order_type: str = 'market') -> Dict:
|
||||
cost = quantity * price if price > 0 else quantity * 10 # 假设价格
|
||||
if cost > self.cash:
|
||||
return {'success': False, 'error': '资金不足'}
|
||||
|
||||
self.cash -= cost
|
||||
|
||||
# 获取股票名称（简化版，实际应该从数据源获取）
|
||||
stock_name = f"股票{stock_code}"
|
||||
|
||||
self.positions[stock_code] = {
|
||||
'stock_code': stock_code,
|
||||
'stock_name': stock_name,
|
||||
'quantity': quantity,
|
||||
'can_sell': 0, # T+1，今天买入不能卖
|
||||
'cost_price': price if price > 0 else 10,
|
||||
'current_price': price if price > 0 else 10,
|
||||
'market_value': cost,
|
||||
'profit_loss': 0,
|
||||
'profit_loss_pct': 0,
|
||||
'holding_days': 0,
|
||||
'buy_date': datetime.now().strftime('%Y%m%d')
|
||||
}
|
||||
|
||||
# 记录订单
|
||||
self.orders.append({
|
||||
'order_id': len(self.orders) + 1,
|
||||
'stock_code': stock_code,
|
||||
'order_type': 'BUY',
|
||||
'quantity': quantity,
|
||||
'price': price,
|
||||
'status': '已成交',
|
||||
'order_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')
|
||||
})
|
||||
|
||||
self.logger.info(f"[模拟] 买入 {stock_code} {quantity}股 @ {price:.2f}元")
|
||||
return {'success': True, 'order_id': len(self.orders), 'message': '模拟买入成功'}
|
||||
|
||||
def sell_stock(self, stock_code: str, quantity: int,
|
||||
price: float = 0, order_type: str = 'market') -> Dict:
|
||||
if stock_code not in self.positions:
|
||||
return {'success': False, 'error': '未持有该股票'}
|
||||
|
||||
pos = self.positions[stock_code]
|
||||
if quantity > pos['can_sell']:
|
||||
return {'success': False, 'error': 'T+1限制，今天买入不能卖'}
|
||||
|
||||
sell_price = price if price > 0 else pos['current_price']
|
||||
revenue = quantity * sell_price
|
||||
self.cash += revenue
|
||||
|
||||
# 计算盈亏
|
||||
profit_loss = (sell_price - pos['cost_price']) * quantity
|
||||
|
||||
# 记录订单
|
||||
self.orders.append({
|
||||
'order_id': len(self.orders) + 1,
|
||||
'stock_code': stock_code,
|
||||
'order_type': 'SELL',
|
||||
'quantity': quantity,
|
||||
'price': sell_price,
|
||||
'status': '已成交',
|
||||
'order_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')
|
||||
})
|
||||
|
||||
# 更新或删除持仓
|
||||
if quantity >= pos['quantity']:
|
||||
del self.positions[stock_code]
|
||||
else:
|
||||
pos['quantity'] -= quantity
|
||||
pos['can_sell'] -= quantity
|
||||
pos['market_value'] = pos['quantity'] * pos['current_price']
|
||||
|
||||
self.logger.info(f"[模拟] 卖出 {stock_code} {quantity}股 @ {sell_price:.2f}元, 盈亏: {profit_loss:+.2f}元")
|
||||
return {
|
||||
'success': True,
|
||||
'order_id': len(self.orders),
|
||||
'profit_loss': profit_loss,
|
||||
'message': '模拟卖出成功'
|
||||
}
|
||||
|
||||
def cancel_order(self, order_id: int) -> bool:
|
||||
"""撤销订单（模拟）"""
|
||||
self.logger.info(f"[模拟] 撤销订单 {order_id}")
|
||||
return True
|
||||
|
||||
def get_orders(self, stock_code: str = None) -> List[Dict]:
|
||||
"""获取订单列表（模拟）"""
|
||||
return self.orders
|
||||
|
||||
Reference in New Issue
Block a user