增加miniqmt接口预留
This commit is contained in:
oficcejo
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#!/usr/bin/env python3
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# -*- coding: utf-8 -*-
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"""
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MiniQMT量化交易接口
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为监测板块提供量化交易功能预留接口
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支持自动下单、仓位管理、策略执行等功能
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"""
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import json
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from typing import Dict, List, Optional, Tuple
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from datetime import datetime
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from enum import Enum
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class TradeAction(Enum):
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"""交易动作枚举"""
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BUY = "buy" # 买入
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SELL = "sell" # 卖出
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HOLD = "hold" # 持有
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class OrderType(Enum):
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"""订单类型枚举"""
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MARKET = "market" # 市价单
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LIMIT = "limit" # 限价单
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STOP = "stop" # 止损单
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STOP_LIMIT = "stop_limit" # 止损限价单
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class PositionSide(Enum):
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"""持仓方向枚举"""
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LONG = "long" # 多头
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SHORT = "short" # 空头
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NONE = "none" # 无持仓
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class MiniQMTInterface:
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"""
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MiniQMT量化交易接口类
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提供与MiniQMT的对接功能
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"""
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def __init__(self, config: Dict = None):
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"""
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初始化接口
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Args:
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config: 配置字典，包含账户信息、连接参数等
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"""
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self.config = config or {}
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self.connected = False
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self.account_id = None
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self.positions = {} # 持仓信息
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self.orders = {} # 订单信息
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self.enabled = self.config.get('enabled', False)
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def connect(self, account_id: str = None) -> Tuple[bool, str]:
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"""
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连接到MiniQMT
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Args:
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account_id: 交易账户ID
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Returns:
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(成功标志, 消息)
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"""
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try:
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# TODO: 实现与MiniQMT的实际连接逻辑
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self.account_id = account_id or self.config.get('account_id')
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if not self.account_id:
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return False, "账户ID未配置"
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# 预留接口：连接MiniQMT
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# from xtquant import xtdata
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# xtdata.connect()
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self.connected = True
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return True, f"已连接到账户 {self.account_id}"
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except Exception as e:
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self.connected = False
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return False, f"连接失败: {str(e)}"
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def disconnect(self) -> bool:
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"""断开连接"""
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try:
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# TODO: 实现断开连接逻辑
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self.connected = False
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return True
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except Exception as e:
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print(f"断开连接失败: {e}")
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return False
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def is_connected(self) -> bool:
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"""检查连接状态"""
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return self.connected and self.enabled
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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.is_connected():
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return {
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'error': '未连接到MiniQMT',
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'connected': False
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}
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# TODO: 实现获取账户信息的逻辑
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# 预留接口：从MiniQMT获取账户信息
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return {
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'account_id': self.account_id,
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'total_assets': 0.0, # 总资产
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'available_cash': 0.0, # 可用资金
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'market_value': 0.0, # 持仓市值
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'frozen_cash': 0.0, # 冻结资金
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'profit_loss': 0.0, # 盈亏
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'connected': True
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}
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def get_positions(self) -> List[Dict]:
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"""
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获取当前持仓
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Returns:
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持仓列表
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"""
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if not self.is_connected():
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return []
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# TODO: 实现获取持仓的逻辑
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# 预留接口：从MiniQMT获取持仓信息
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# from xtquant import xttrader
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# positions = xttrader.query_stock_positions(self.account_id)
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return list(self.positions.values())
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def get_position(self, symbol: str) -> Optional[Dict]:
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"""
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获取指定股票的持仓
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Args:
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symbol: 股票代码
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Returns:
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持仓信息字典，无持仓返回None
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"""
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if not self.is_connected():
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return None
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return self.positions.get(symbol)
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def place_order(self,
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symbol: str,
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action: TradeAction,
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quantity: int,
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price: float = None,
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order_type: OrderType = OrderType.MARKET) -> Tuple[bool, str, str]:
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"""
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下单
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Args:
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symbol: 股票代码
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action: 交易动作
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quantity: 数量
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price: 价格（限价单时需要）
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order_type: 订单类型
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Returns:
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(成功标志, 消息, 订单ID)
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"""
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if not self.is_connected():
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return False, "未连接到MiniQMT", ""
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# 参数验证
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if quantity <= 0:
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return False, "数量必须大于0", ""
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if order_type == OrderType.LIMIT and price is None:
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return False, "限价单必须指定价格", ""
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try:
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# TODO: 实现实际下单逻辑
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# 预留接口：通过MiniQMT下单
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# from xtquant import xttrader
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# if action == TradeAction.BUY:
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# order_id = xttrader.order_stock(
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# self.account_id, symbol,
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# xtconstant.STOCK_BUY, quantity,
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# xtconstant.FIX_PRICE, price
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# )
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# elif action == TradeAction.SELL:
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# order_id = xttrader.order_stock(
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# self.account_id, symbol,
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# xtconstant.STOCK_SELL, quantity,
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# xtconstant.FIX_PRICE, price
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# )
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# 模拟订单ID
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order_id = f"ORD_{symbol}_{datetime.now().strftime('%Y%m%d%H%M%S')}"
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# 记录订单
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self.orders[order_id] = {
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'order_id': order_id,
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'symbol': symbol,
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'action': action.value,
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'quantity': quantity,
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'price': price,
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'order_type': order_type.value,
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'status': 'submitted',
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'create_time': datetime.now().isoformat()
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}
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return True, f"订单已提交: {order_id}", order_id
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except Exception as e:
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return False, f"下单失败: {str(e)}", ""
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def cancel_order(self, order_id: str) -> Tuple[bool, str]:
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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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(成功标志, 消息)
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"""
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if not self.is_connected():
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return False, "未连接到MiniQMT"
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try:
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# TODO: 实现撤单逻辑
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# 预留接口：通过MiniQMT撤单
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# from xtquant import xttrader
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# xttrader.cancel_order(self.account_id, order_id)
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if order_id in self.orders:
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self.orders[order_id]['status'] = 'cancelled'
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return True, f"订单 {order_id} 已撤销"
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else:
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return False, "订单不存在"
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except Exception as e:
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return False, f"撤单失败: {str(e)}"
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def get_order_status(self, order_id: str) -> Optional[Dict]:
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"""
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查询订单状态
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Args:
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order_id: 订单ID
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Returns:
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订单信息字典
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"""
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if not self.is_connected():
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return None
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# TODO: 实现查询订单状态逻辑
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return self.orders.get(order_id)
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def get_all_orders(self) -> List[Dict]:
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"""
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获取所有订单
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Returns:
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订单列表
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"""
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if not self.is_connected():
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return []
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return list(self.orders.values())
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def execute_strategy_signal(self,
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stock_id: int,
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symbol: str,
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signal: Dict,
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position_size: float = 0.2) -> Tuple[bool, str]:
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"""
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执行策略信号
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根据监测触发的信号自动执行交易
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Args:
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stock_id: 监测股票ID
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symbol: 股票代码
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signal: 信号字典，包含type, price, message等
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position_size: 仓位比例（默认20%）
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Returns:
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(成功标志, 执行结果消息)
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"""
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if not self.is_connected():
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return False, "MiniQMT未连接，无法执行交易"
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signal_type = signal.get('type')
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current_price = signal.get('price')
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try:
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# 获取账户信息
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account_info = self.get_account_info()
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available_cash = account_info.get('available_cash', 0)
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# 根据信号类型执行不同操作
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if signal_type == 'entry':
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# 进场信号 - 买入
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buy_amount = available_cash * position_size
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quantity = int(buy_amount / current_price / 100) * 100 # A股100股为一手
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if quantity > 0:
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success, msg, order_id = self.place_order(
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symbol=symbol,
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action=TradeAction.BUY,
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quantity=quantity,
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price=current_price,
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order_type=OrderType.LIMIT
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)
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if success:
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return True, f"进场买入成功: {quantity}股 @ ¥{current_price}, 订单号: {order_id}"
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else:
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return False, f"进场买入失败: {msg}"
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else:
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return False, "可用资金不足，无法买入"
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elif signal_type == 'take_profit':
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# 止盈信号 - 卖出
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position = self.get_position(symbol)
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if position and position.get('quantity', 0) > 0:
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quantity = position['quantity']
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success, msg, order_id = self.place_order(
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symbol=symbol,
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action=TradeAction.SELL,
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quantity=quantity,
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price=current_price,
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order_type=OrderType.LIMIT
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)
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if success:
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return True, f"止盈卖出成功: {quantity}股 @ ¥{current_price}, 订单号: {order_id}"
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else:
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return False, f"止盈卖出失败: {msg}"
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else:
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return False, "无持仓，无需卖出"
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elif signal_type == 'stop_loss':
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# 止损信号 - 紧急卖出
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position = self.get_position(symbol)
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if position and position.get('quantity', 0) > 0:
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quantity = position['quantity']
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# 止损使用市价单，快速成交
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success, msg, order_id = self.place_order(
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symbol=symbol,
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action=TradeAction.SELL,
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quantity=quantity,
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order_type=OrderType.MARKET
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)
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if success:
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return True, f"止损卖出成功: {quantity}股, 订单号: {order_id}"
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else:
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return False, f"止损卖出失败: {msg}"
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else:
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return False, "无持仓，无需止损"
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else:
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return False, f"未知的信号类型: {signal_type}"
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except Exception as e:
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return False, f"执行策略信号失败: {str(e)}"
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def calculate_position_size(self,
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symbol: str,
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price: float,
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max_position_pct: float = 0.2,
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max_risk_pct: float = 0.02) -> int:
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"""
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计算建议仓位大小
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Args:
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symbol: 股票代码
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price: 买入价格
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max_position_pct: 最大仓位比例（默认20%）
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max_risk_pct: 最大风险比例（默认2%）
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Returns:
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建议买入数量（股）
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"""
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if not self.is_connected():
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return 0
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try:
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account_info = self.get_account_info()
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total_assets = account_info.get('total_assets', 0)
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available_cash = account_info.get('available_cash', 0)
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# 基于最大仓位计算
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max_position_value = total_assets * max_position_pct
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# 基于可用资金计算
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max_buy_value = min(max_position_value, available_cash)
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# 计算股数（A股100股为一手）
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quantity = int(max_buy_value / price / 100) * 100
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return quantity
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except Exception as e:
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print(f"计算仓位失败: {e}")
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return 0
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def get_risk_metrics(self, symbol: str) -> Dict:
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"""
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获取风险指标
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Args:
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symbol: 股票代码
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Returns:
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风险指标字典
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"""
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if not self.is_connected():
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return {}
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position = self.get_position(symbol)
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if not position:
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return {
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'has_position': False,
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'profit_loss': 0,
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'profit_loss_pct': 0,
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'risk_exposure': 0
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}
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# 计算盈亏
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cost_price = position.get('cost_price', 0)
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current_price = position.get('current_price', 0)
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quantity = position.get('quantity', 0)
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profit_loss = (current_price - cost_price) * quantity
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profit_loss_pct = (current_price - cost_price) / cost_price * 100 if cost_price > 0 else 0
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# 计算风险敞口
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account_info = self.get_account_info()
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total_assets = account_info.get('total_assets', 0)
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position_value = current_price * quantity
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risk_exposure = position_value / total_assets if total_assets > 0 else 0
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return {
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'has_position': True,
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'quantity': quantity,
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'cost_price': cost_price,
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'current_price': current_price,
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'position_value': position_value,
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'profit_loss': profit_loss,
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'profit_loss_pct': profit_loss_pct,
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'risk_exposure': risk_exposure
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}
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def validate_trade(self,
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symbol: str,
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action: TradeAction,
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quantity: int,
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price: float = None) -> Tuple[bool, str]:
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"""
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验证交易是否可行
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Args:
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symbol: 股票代码
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action: 交易动作
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quantity: 数量
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price: 价格
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Returns:
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(可行标志, 原因)
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"""
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if not self.is_connected():
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return False, "未连接到MiniQMT"
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# 检查数量
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if quantity <= 0:
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return False, "数量必须大于0"
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if quantity % 100 != 0:
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return False, "A股必须以100股（1手）为单位交易"
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# 获取账户信息
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account_info = self.get_account_info()
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if action == TradeAction.BUY:
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# 买入验证
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if price is None:
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return False, "买入需要指定价格"
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required_cash = quantity * price * 1.001 # 考虑手续费
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available_cash = account_info.get('available_cash', 0)
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if required_cash > available_cash:
|
||||
return False, f"资金不足: 需要¥{required_cash:.2f}, 可用¥{available_cash:.2f}"
|
||||
|
||||
return True, "验证通过"
|
||||
|
||||
elif action == TradeAction.SELL:
|
||||
# 卖出验证
|
||||
position = self.get_position(symbol)
|
||||
if not position:
|
||||
return False, "无持仓，无法卖出"
|
||||
|
||||
available_quantity = position.get('quantity', 0)
|
||||
if quantity > available_quantity:
|
||||
return False, f"持仓不足: 需要{quantity}股, 可用{available_quantity}股"
|
||||
|
||||
return True, "验证通过"
|
||||
|
||||
return False, "未知的交易动作"
|
||||
|
||||
|
||||
class QuantStrategyConfig:
|
||||
"""量化策略配置"""
|
||||
|
||||
def __init__(self):
|
||||
self.auto_trade_enabled = False # 是否启用自动交易
|
||||
self.max_position_pct = 0.2 # 最大单个仓位比例
|
||||
self.max_total_position_pct = 0.8 # 最大总仓位比例
|
||||
self.max_risk_per_trade = 0.02 # 单笔最大风险比例
|
||||
self.min_trade_amount = 5000 # 最小交易金额
|
||||
self.use_stop_loss = True # 是否使用止损
|
||||
self.use_take_profit = True # 是否使用止盈
|
||||
self.trailing_stop_pct = 0.05 # 移动止损比例
|
||||
|
||||
def to_dict(self) -> Dict:
|
||||
"""转换为字典"""
|
||||
return {
|
||||
'auto_trade_enabled': self.auto_trade_enabled,
|
||||
'max_position_pct': self.max_position_pct,
|
||||
'max_total_position_pct': self.max_total_position_pct,
|
||||
'max_risk_per_trade': self.max_risk_per_trade,
|
||||
'min_trade_amount': self.min_trade_amount,
|
||||
'use_stop_loss': self.use_stop_loss,
|
||||
'use_take_profit': self.use_take_profit,
|
||||
'trailing_stop_pct': self.trailing_stop_pct
|
||||
}
|
||||
|
||||
@classmethod
|
||||
def from_dict(cls, data: Dict):
|
||||
"""从字典创建"""
|
||||
config = cls()
|
||||
config.auto_trade_enabled = data.get('auto_trade_enabled', False)
|
||||
config.max_position_pct = data.get('max_position_pct', 0.2)
|
||||
config.max_total_position_pct = data.get('max_total_position_pct', 0.8)
|
||||
config.max_risk_per_trade = data.get('max_risk_per_trade', 0.02)
|
||||
config.min_trade_amount = data.get('min_trade_amount', 5000)
|
||||
config.use_stop_loss = data.get('use_stop_loss', True)
|
||||
config.use_take_profit = data.get('use_take_profit', True)
|
||||
config.trailing_stop_pct = data.get('trailing_stop_pct', 0.05)
|
||||
return config
|
||||
|
||||
|
||||
# 全局MiniQMT接口实例
|
||||
miniqmt = MiniQMTInterface()
|
||||
|
||||
|
||||
def init_miniqmt(config: Dict = None) -> Tuple[bool, str]:
|
||||
"""
|
||||
初始化MiniQMT接口
|
||||
|
||||
Args:
|
||||
config: 配置字典
|
||||
|
||||
Returns:
|
||||
(成功标志, 消息)
|
||||
"""
|
||||
global miniqmt
|
||||
|
||||
try:
|
||||
# 从配置文件或环境变量读取配置
|
||||
if config is None:
|
||||
try:
|
||||
from config import MINIQMT_CONFIG
|
||||
config = MINIQMT_CONFIG
|
||||
except ImportError:
|
||||
config = {
|
||||
'enabled': False,
|
||||
'account_id': None
|
||||
}
|
||||
|
||||
miniqmt = MiniQMTInterface(config)
|
||||
|
||||
# 如果启用，尝试连接
|
||||
if config.get('enabled', False):
|
||||
success, msg = miniqmt.connect()
|
||||
return success, msg
|
||||
else:
|
||||
return True, "MiniQMT接口已初始化（未启用）"
|
||||
|
||||
except Exception as e:
|
||||
return False, f"初始化MiniQMT接口失败: {str(e)}"
|
||||
|
||||
|
||||
def get_miniqmt_status() -> Dict:
|
||||
"""
|
||||
获取MiniQMT接口状态
|
||||
|
||||
Returns:
|
||||
状态字典
|
||||
"""
|
||||
global miniqmt
|
||||
|
||||
return {
|
||||
'enabled': miniqmt.enabled,
|
||||
'connected': miniqmt.connected,
|
||||
'account_id': miniqmt.account_id,
|
||||
'ready': miniqmt.is_connected()
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user