quant1x-trader 0.0.0__py3-none-any.whl

quant1x_trader-0.0.0.dist-info/METADATA

@@ -0,0 +1,43 @@
+Metadata-Version: 2.4
+Name: quant1x-trader
+Version: 0.0.0
+Summary: Quant1X programmatic automated trading
+Author-email: Wang Feng <wangfengxy@sina.cn>
+License: MIT
+Project-URL: Homepage, https://gitee.com/quant1x/trader
+Keywords: quant1x,auto,trader
+Classifier: Development Status :: 2 - Pre-Alpha
+Classifier: Intended Audience :: Developers
+Classifier: License :: OSI Approved :: MIT License
+Classifier: Natural Language :: English
+Classifier: Programming Language :: Python :: 3
+Classifier: Programming Language :: Python :: 3.8
+Classifier: Programming Language :: Python :: 3.9
+Classifier: Programming Language :: Python :: 3.10
+Classifier: Programming Language :: Python :: 3.11
+Classifier: Programming Language :: Python :: 3.12
+Requires-Python: >=3.8
+Description-Content-Type: text/markdown
+License-File: LICENSE
+Requires-Dist: future~=1.0.0
+Requires-Dist: numpy~=2.3.0
+Requires-Dist: pandas~=2.3.0
+Requires-Dist: PyYAML~=6.0.1
+Requires-Dist: pywin32==311
+Requires-Dist: uvicorn~=0.29.0
+Requires-Dist: fastapi~=0.110.2
+Requires-Dist: path~=16.14.0
+Requires-Dist: requests~=2.32.0
+Requires-Dist: loguru~=0.7.2
+Requires-Dist: quant1x-xtquant~=2025.5.26
+Requires-Dist: quant1x-base~=0.6.29
+Requires-Dist: aiohttp~=3.12.15
+Requires-Dist: sanic~=23.12.1
+Requires-Dist: python-multipart~=0.0.19
+Requires-Dist: APScheduler~=3.10.4
+Dynamic: license-file
+
+# trader
+
+#### 介绍
+python实现的自动化交易员

quant1x_trader-0.0.0.dist-info/RECORD

@@ -0,0 +1,14 @@
+quant1x_trader-0.0.0.dist-info/licenses/LICENSE,sha256=QGbg9vBu92X93RlRr7rDfQvc632ykqWzhC1iWs17OC0,1087
+trader1x/__init__.py,sha256=tFXhZX139csbXPeqDgknKRFQC3cTHcWiWZDeY1c7E7o,103
+trader1x/config.py,sha256=Lln9Ze8teUQesLV9bn_vQSt0ItcAyIT8YF1wQTdpTUo,8791
+trader1x/context.py,sha256=YKxZbNsF8RAMbBWZPlPWz21K7lkWKlSMM19_tD8lAgw,7717
+trader1x/log4py.py,sha256=HNdS2tv_mKEwm2FljcCz9vRAaefGjsQX4xpyeDTN-Gw,1159
+trader1x/proxy.py,sha256=K9zOs_BDcM0NjG9A1bjdquer9-zB8bQHDRCmxqdurOc,18268
+trader1x/thinktrader.py,sha256=w6R99MoSihqnHljI7ps9ijU3bM_HDy9nmvqTSc5WSYQ,19322
+trader1x/utils.py,sha256=pmY20CM3-JO0kfkmrUCpfFp5wTLDQYEy1SfgNIMNytc,1323
+trader1x/win32serviceutil.py,sha256=jieIIyTdGEM3oNW4t5oKcG1Uf5MK9NC9tyTskTzUDD8,38933
+quant1x_trader-0.0.0.dist-info/METADATA,sha256=qNCpWX6NaNmVJX81lPnThmMaL7ZsxLGEgzsYX7u_HDM,1452
+quant1x_trader-0.0.0.dist-info/WHEEL,sha256=aeYiig01lYGDzBgS8HxWXOg3uV61G9ijOsup-k9o1sk,91
+quant1x_trader-0.0.0.dist-info/entry_points.txt,sha256=KaWVu2VzttfRIQRrZ9DxKj8etOEtnKl8REILAwditp4,58
+quant1x_trader-0.0.0.dist-info/top_level.txt,sha256=J1TOgUDUKoWldrXZ0qIdRCfbLTcTsD53UYzHXhsAZdM,9
+quant1x_trader-0.0.0.dist-info/RECORD,,

quant1x_trader-0.0.0.dist-info/WHEEL

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+Wheel-Version: 1.0
+Generator: setuptools (82.0.1)
+Root-Is-Purelib: true
+Tag: py3-none-any
+

quant1x_trader-0.0.0.dist-info/entry_points.txt

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+[console_scripts]
+quant1x-qmt-proxy = trader1x.proxy:main

quant1x_trader-0.0.0.dist-info/licenses/LICENSE

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+MIT License
+
+Copyright (c) 2023 王布衣
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

quant1x_trader-0.0.0.dist-info/top_level.txt

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+trader1x

trader1x/__init__.py

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+# -*- coding: UTF-8 -*-
+
+__author__ = 'WangFeng'
+
+# from .logger import logger, quant1x_data_path

trader1x/config.py

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+# -*- coding: UTF-8 -*-
+import os
+import sys
+import warnings
+from dataclasses import dataclass, field
+
+import q1x.base
+import yaml
+from q1x.base import TradingSession
+
+from trader1x import utils
+from trader1x.log4py import logger
+
+warnings.filterwarnings('ignore')
+
+
+def list_default_factory():
+    return []
+
+
+@dataclass
+class TradeRule:
+    """
+    交易规则
+    """
+    id: int = -1  # 策略ID, -1无效
+    auto: bool = False  # 是否自动执行
+    name: str = None  # 策略名称
+    flag: str = ''  # 订单标识,分早盘,尾盘和盘中
+    time: TradingSession = field(default_factory=lambda: TradingSession("09:30:00~11:30:00,13:00:00~14:56:30"))
+    weight: int = 0  # 策略权重, 默认0, 由系统自动分配
+    total: int = 3  # 订单总数, 默认是3
+    fee_max: float = 20000.00  # 可投入资金-最大
+    fee_min: float = 10000.00  # 可投入资金-最小
+    sectors: list[str] = None  # 板块, 策略适用的板块列表, 默认板块为空, 即全部个股
+    ignore_margin_trading: bool = True  # 剔除两融标的, 默认是剔除
+
+    def __init__(self, params: dict = None):
+        """
+        初始化
+        """
+        # 先让 dataclass 初始化默认值
+        # 手动初始化所有字段
+        self.time = TradingSession("09:30:00~11:30:00,13:00:00~14:56:30")
+        if params is None:
+            return
+        for key, value in params.items():
+            if not hasattr(self, key):
+                continue
+            tmp_value = getattr(self, key)
+            if isinstance(tmp_value, TradingSession):
+                new_value = TradingSession(value)
+                setattr(self, key, new_value)
+            else:
+                setattr(self, key, value)
+
+    def enable(self) -> bool:
+        """
+        是否有效
+        :return:
+        """
+        return self.auto and self.id >= 0
+
+    def buy_enable(self) -> bool:
+        """
+        买入有效
+        :return:
+        """
+        return self.enable() and self.total > 0
+
+    def sell_enable(self) -> bool:
+        """
+        卖出有效
+        :return:
+        """
+        return self.enable()
+
+    def is_cookie_cutter_for_sell(self) -> bool:
+        """
+        是否一刀切卖出
+        :return:
+        """
+        return self.sell_enable() and self.total == 0
+
+
+@dataclass
+class TraderConfig:
+    """
+    配置信息
+    """
+    # 账号ID
+    account_id: str = ''
+    # 运行路径
+    order_path: str = ''
+    # 时间范围 - 早盘策略
+    head_time: TradingSession = field(default_factory=lambda: TradingSession("09:27:00~14:57:00"))
+    # 时间范围 - 尾盘策略
+    tail_time: TradingSession = field(default_factory=lambda: TradingSession("14:45:00~14:59:50"))
+    # 时间范围 - 盘中订单
+    tick_time: TradingSession = field(default_factory=lambda: TradingSession("09:39:00-14:57:00"))
+    # 时间范围 - 持仓卖出
+    ask_time: TradingSession = field(default_factory=lambda: TradingSession("09:50:00~14:59:30"))
+    # 时间范围 - 撤销订单
+    cancel_time: TradingSession = field(default_factory=lambda: TradingSession("09:15:00~09:19:59, 09:30:00~14:56:59"))
+    # 时间范围 - 盘后复盘
+    review_time: TradingSession = field(default_factory=lambda: TradingSession("00:00:00~08:30:00, 15:01:00~23:59:59"))
+    # 买入持仓率, 资金控制阀值
+    position_ratio: float = 0.5000
+    # 印花税 - 买入, 按照成交金额, 买入0.0%
+    stamp_duty_rate_for_buy: float = 0.0000
+    # 印花税 - 卖出, 按照成交金额, 卖出0.1%
+    stamp_duty_rate_for_sell: float = 0.0010
+    # 过户费 - 双向, 按照数量收取, 默认万分之六, 0.06%
+    transfer_rate: float = 0.0006
+    # 券商佣金 - 双向, 按成交金额计算, 默认万分之二点五, 0.025%
+    commission_rate: float = 0.00025
+    # 券商佣金最低, 默认5.00
+    commission_min: float = 5.00
+    # 保留现金
+    keep_cash: float = 10000.00
+    # tick订单最大金额, 默认20000.00
+    tick_order_max_amount: float = 20000.00
+    # tick订单最小金额, 默认10000.00
+    tick_order_min_amount: float = 10000.00
+    # 买入最大金额
+    buy_amount_max: float = 250000.00
+    # 买入最小金额
+    buy_amount_min: float = 1000.00
+    # 每策略最多可买股票数量, 这里默认3
+    max_stock_quantity_for_strategy: int = 3
+    # 自动卖出, 默认为True
+    sell_order_auto: bool = False
+    # 自动交易head订单, 默认为True
+    head_order_auto: bool = False
+    # 自动交易tick订单, 默认为True
+    tick_order_auto: bool = False
+    # 自动交易tail订单, 默认为True
+    tail_order_auto: bool = False
+
+    # 启动了mimiQMT机器的代理服务的监听地址, 默认为回环地址127.0.0.1, 强烈不推荐使用0.0.0.0
+    proxy_address: str = q1x.base.lan_address()
+    # 代理服务的监听端口, 默认18168
+    proxy_port: int = 18168
+    # 代理服务默认工作线程数, 默认为cpu核数的二分之一
+    proxy_workers: int = q1x.base.max_procs()
+    # qmt proxy地址
+    proxy_url: str = ""
+    # 策略集合
+    strategies: list[TradeRule] = list_default_factory
+    # 可撤单的交易时段
+    cancel: TradingSession = field(
+        default_factory=lambda: TradingSession("09:15:00~09:19:59,09:25:00~11:29:59,13:00:00~14:59:59"))
+
+    def __fix_instance(self):
+        """
+        加载后修复
+        :return:
+        """
+        if isinstance(self.ask_time, str):
+            ts = TradingSession(self.ask_time)
+            if ts.is_valid():
+                self.ask_time = ts
+        if isinstance(self.cancel_time, str):
+            ts = TradingSession(self.cancel_time)
+            if ts.is_valid():
+                self.cancel_time = ts
+        if isinstance(self.tick_time, str):
+            ts = TradingSession(self.tick_time)
+            if ts.is_valid():
+                self.tick_time = ts
+
+    def __post_init__(self):
+        """
+        __init__()后调用, 调整类型
+        :return:
+        """
+        self.__fix_instance()
+
+
+# 全局变量 - 配置
+__global_config = TraderConfig()
+
+
+def load(config_filename: str = '') -> TraderConfig:
+    """
+    加载配置文件
+    :return:
+    """
+    global __global_config
+    config = TraderConfig()
+    config_filename = config_filename.strip()
+    if len(config_filename) == 0:
+        config_filename = utils.get_quant1x_config_filename()
+    config_filename = os.path.expanduser(config_filename)
+    logger.info(config_filename)
+    if not os.path.isfile(config_filename):
+        logger.error('QMT config {}: 不存在', config_filename)
+        sys.exit(utils.errno_config_not_exist)
+    try:
+        with open(config_filename, 'r', encoding='utf-8') as f:
+            result = yaml.load(f, Loader=yaml.FullLoader)
+            key_trader = "trader"
+            if isinstance(result, dict) and key_trader in result:
+                trader = result[key_trader]
+                for key, value in trader.items():
+                    if not hasattr(config, key):
+                        continue
+                    tmp_value = getattr(config, key)
+                    if isinstance(tmp_value, TradingSession):
+                        new_value = TradingSession(value)
+                        setattr(config, key, new_value)
+                    elif tmp_value is list_default_factory:
+                        if key == 'strategies':
+                            tmp_list = []
+                            if isinstance(value, list):
+                                for d in value:
+                                    rule = TradeRule(d)
+                                    tmp_list.append(rule)
+                            setattr(config, key, tmp_list)
+                    elif key == 'account_id':
+                        setattr(config, 'account_id', str(value))
+                    elif key == 'top_n':
+                        setattr(config, 'max_stock_quantity_for_strategy', value)
+                    else:
+                        setattr(config, key, value)
+    except Exception as e:
+        logger.error(f"发生了一个错误：{config_filename}\n错误信息：{e}")
+        logger.warning('系统将使用默认配置')
+        config = TraderConfig()
+    # finally:
+    #     logger.warning('系统将使用默认配置')
+    # 检查重点配置
+    if config.account_id == '':
+        logger.error('配置缺少账户id')
+        sys.exit(utils.errno_not_found_account_id)
+    if config.order_path == '':
+        logger.error('配置缺少订单路径')
+        sys.exit(utils.errno_not_found_order_path)
+    __global_config = config
+    return config
+
+
+def get() -> TraderConfig:
+    global __global_config
+    return __global_config
+
+
+if __name__ == '__main__':
+    filename = '~/.q1x/quant1x.yaml'
+    config = load(filename)
+    print(config)

trader1x/context.py

@@ -0,0 +1,260 @@
+# coding=utf-8
+import os
+import time
+
+import pandas as pd
+from xtquant import xtdata
+from xtquant.xttype import StockAccount
+
+from trader1x import utils
+from trader1x.config import TraderConfig
+from trader1x.log4py import logger
+
+# 禁止显示XtQuant的hello信息
+xtdata.enable_hello = False
+
+order_buy = 1
+order_sell = 2
+order_junk = 3
+flag_buy = "b"
+flag_sell = "s"
+flag_junk = "j"
+
+
+class QmtContext(object):
+    """
+    QMT 上下文
+    TODO: 按日期切换数据
+    """
+    current_date: str  # 当前日期
+    config_filename: str  # 配置文件名
+    order_path: str  # quant1x系统输出订单的路径
+    account_id: str  # 账号ID
+    t89k_order_file: str  # 订单文件
+    t89k_flag_ready: str  # 订单就绪标志
+    t89k_flag_done: str  # 订单执行完成标志
+    positions_sell_done: str  # 持仓卖出状态
+    qmt_order_filename: str  # qmt系统输出的订单路径
+    qmt_order_done: str  # qmt系统每日订单刷新完成标志
+    qmt_positions_filename: str # qmt持仓
+
+    def __init__(self, conf: TraderConfig):
+        self._config = conf
+        self.current_date = time.strftime(utils.kFormatFileDate)
+        self.account_id = conf.account_id
+        self.order_path = conf.order_path
+        self.switch_date()
+
+    def account(self) -> StockAccount:
+        return StockAccount(self.account_id)
+
+    def sell_is_ready(self) -> bool:
+        """
+        卖出条件是否就绪
+        :return:
+        """
+        return self._config.ask_time.is_trading()
+
+    def sell_is_auto(self) -> bool:
+        """
+        卖出操作是否自动一刀切
+        :return:
+        """
+        return self._config.sell_order_auto
+
+    def head_order_is_ready(self) -> bool:
+        """
+        早盘(买入)订单是否准备就绪
+        :return:
+        """
+        if os.path.isfile(self.t89k_flag_ready) and os.path.isfile(self.t89k_order_file):
+            return True
+        return False
+
+    def head_order_is_auto(self) -> bool:
+        """
+        是否执行 早盘订单的交易
+        :return:
+        """
+        return self._config.head_order_auto
+
+    def tick_order_is_auto(self) -> bool:
+        """
+        是否执行 盘中即时订单的交易
+        :return:
+        """
+        return self._config.tick_order_auto
+
+    def tail_order_is_auto(self) -> bool:
+        """
+        是否执行 尾盘订单的交易
+        :return:
+        """
+        return self._config.tail_order_auto
+
+    def can_review(self) -> bool:
+        """
+        是佛可以复盘
+        :return:
+        """
+        return self._config.review_time.is_trading()
+
+    def load_head_order(self) -> pd.DataFrame:
+        """
+        加载早盘订单
+        :return:
+        """
+        df = pd.read_csv(self.t89k_order_file)
+        return df
+
+    def switch_date(self):
+        """
+        重置属性
+        :return:
+        """
+        logger.warning("switch_date...")
+        # self.current_date = time.strftime(utils.kFormatFileDate)
+        v = xtdata.get_market_last_trade_date('SH')
+        local_time = time.localtime(v / 1000)
+        trade_date = time.strftime(utils.kFormatFileDate, local_time)
+        self.current_date = trade_date
+        logger.warning("switch_date...{}", self.current_date)
+        flag = 'head'
+        self.t89k_flag_ready = os.path.join(self.order_path, f'{self.current_date}-{flag}.ready')
+        self.t89k_flag_done = os.path.join(self.order_path, f'{self.current_date}-{flag}-{self.account_id}.done')
+        self.t89k_order_file = os.path.join(self.order_path, f'{self.current_date}-{flag}.csv')
+        self.positions_sell_done = os.path.join(self.order_path, f'{self.current_date}-sell-{self.account_id}.done')
+        # qmt订单文件
+        self.qmt_order_filename = os.path.join(self.order_path, f'{self.account_id}-orders.csv')
+        self.qmt_order_done = os.path.join(self.order_path, f'{self.account_id}-orders-{self.current_date}.done')
+        # qmt持仓文件
+        self.qmt_positions_filename = os.path.join(self.order_path, f'{self.account_id}-positions.csv')
+
+    def orders_has_refreshed(self) -> bool:
+        """
+        当日订单是否已经刷新完成
+        :return:
+        """
+        return self.__filelock(self.qmt_order_done)
+
+    def push_orders_refreshed(self):
+        """
+        标注订单刷新已完成
+        :return:
+        """
+        self._push_local_message(self.qmt_order_done)
+
+    def push_head_order_buy_completed(self):
+        """
+        买入操作完成
+        :return:
+        """
+        self._push_local_message(self.t89k_flag_done)
+        logger.info('订单买入操作完成')
+
+    def head_order_buy_is_finished(self) -> bool:
+        """
+        早盘订单是否完成
+        :return:
+        """
+        return os.path.isfile(self.t89k_flag_done)
+
+    def push_positions_sell_completed(self):
+        """
+        标记卖出操作完成
+        :return:
+        """
+        self._push_local_message(self.positions_sell_done)
+
+    def positions_sell_finished(self):
+        """
+        卖出是否操作完成
+        :return:
+        """
+        return os.path.isfile(self.positions_sell_done)
+
+    def check_buy_order_done_status(self, code: str) -> bool:
+        """
+        检查买入订单执行完成状态
+        :return:
+        """
+        flag = self.get_order_flag(code, order_buy)
+        return os.path.exists(flag)
+
+    def push_buy_order_done_status(self, code: str):
+        """
+        推送买入订单完成状态
+        :param code:
+        :return:
+        """
+        flag = self.get_order_flag(code, order_buy)
+        self._push_local_message(flag)
+
+    def _push_local_message(self, filename: str):
+        """
+        推送消息
+        :param filename:
+        :return:
+        """
+        with open(filename, 'w') as done_file:
+            pass
+
+    def get_order_flag(self, code: str, type: int) -> str:
+        """
+        获取订单标识
+        :param self:
+        :param code:
+        :param type: 1-b(buy),2-s(ell),3-j(unk)
+        :return:
+        """
+        today = time.strftime(utils.kFormatFileDate)
+        if type == order_buy:
+            order_flag = flag_buy
+        elif type == order_sell:
+            order_flag = flag_sell
+        else:
+            order_flag = flag_junk
+        order_flag_path = self.order_path + "/var/" + today
+        q1x_base.mkdirs(order_flag_path)
+        stock_order_flag = os.path.join(order_flag_path, f'{today}-{self.account_id}-{code}-{order_flag}.done')
+        return stock_order_flag
+
+    def fix_security_code(self, symbol: str) -> str:
+        """
+        调整证券代码
+        :param symbol:
+        :return:
+        """
+        security_code = ''
+        if len(symbol) == 6:
+            flag = self.get_security_type(symbol)
+            security_code = f'{symbol}.{flag}'
+        elif len(symbol) == 8 and symbol[:2] in ["sh", "sz", "SH", "SZ"]:
+            security_code = symbol[2:] + '.' + symbol[:2].upper()
+        else:
+            raise utils.errBadSymbol
+        return security_code
+
+    def get_security_type(self, symbol: str) -> str:
+        """
+        获取股票市场标识
+        :param symbol:  代码
+        :return:
+        """
+        if len(symbol) != 6:
+            raise utils.errBadSymbol
+        code_head = symbol[:2]
+        if code_head in ["00", "30"]:
+            return "SZ"
+        if code_head in ["60", "68"]:  # 688XXX科创板
+            return "SH"
+        if code_head in ["510"]:
+            return "SH"
+        raise utils.errBadSymbol
+
+    def __filelock(self, filename: str) -> bool:
+        """
+        文件锁状态
+        :return:
+        """
+        return os.path.isfile(filename)

trader1x/log4py.py

@@ -0,0 +1,36 @@
+# -*- coding: UTF-8 -*-
+import os
+import sys
+
+import yaml
+from loguru import logger as __logger
+from q1x.base import file, application
+
+from trader1x import utils
+
+# 获取默认的配置文件路径
+config_filename = utils.get_quant1x_config_filename()
+# 转换用户路径
+config_filename = os.path.expanduser(config_filename)
+# 检查配置文件是否存在
+if not os.path.isfile(config_filename):
+    __logger.error('QMT config {}: 不存在', config_filename)
+    sys.exit(utils.errno_config_not_exist)
+
+try:
+    with open(config_filename, 'r', encoding='utf-8') as f:
+        result = yaml.load(f, Loader=yaml.FullLoader)
+        key_basedir = "basedir"
+        if isinstance(result, dict) and key_basedir in result:
+            quant1x_data_path = result[key_basedir]
+except Exception as e:
+    quant1x_data_path = file.homedir()
+quant1x_data_path = os.path.expanduser(quant1x_data_path)
+_, filename, _ = application()
+if filename == 'pythonservice':
+    filename = 'proxy'
+__log_file = f"{quant1x_data_path}/logs/{filename}.log"
+# print(__log_file)
+__logger.add(__log_file, encoding="utf-8", rotation="00:00", retention="10 days")
+
+logger = __logger