quant1x-trader 0.1.5__tar.gz

quant1x-trader-0.1.5/LICENSE

@@ -0,0 +1,21 @@
+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-0.1.5/PKG-INFO

@@ -0,0 +1,30 @@
+Metadata-Version: 2.1
+Name: quant1x-trader
+Version: 0.1.5
+Summary: Quant1X程序化自动化交易
+Home-page: https://gitee.com/quant1x/trader
+Author: WangFeng
+Author-email: wangfengxy@sina.cn
+License: MIT license
+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
+License-File: LICENSE
+Requires-Dist: setuptools~=68.2.2
+Requires-Dist: future~=0.18.3
+Requires-Dist: numpy~=1.26.0
+Requires-Dist: pandas~=2.1.1
+Requires-Dist: PyYAML~=6.0.1
+Requires-Dist: pywin32==306
+Requires-Dist: uvicorn==0.18.1
+Requires-Dist: fastapi~=0.103.1
+Requires-Dist: path~=16.7.1
+Requires-Dist: requests==2.31.0
+Requires-Dist: loguru~=0.7.2

quant1x-trader-0.1.5/quant1x/autotrader/__init__.py

@@ -0,0 +1,10 @@
+# -*- coding: UTF-8 -*-
+
+import os
+import sys
+
+quant1x_parent_path = __file__.split('quant1x')[0]
+rootPath = os.path.abspath(quant1x_parent_path)
+# print(rootPath)
+sys.path.insert(0, rootPath)
+# print(sys.path)

quant1x-trader-0.1.5/quant1x/autotrader/__main__.py

@@ -0,0 +1,14 @@
+# -*- coding: UTF-8 -*-
+
+import os
+import sys
+
+quant1x_parent_path = __file__.split('quant1x')[0]
+rootPath = os.path.abspath(quant1x_parent_path)
+sys.path.insert(0, rootPath)
+
+from quant1x.autotrader.trader import auto_trader
+
+
+if __name__ == '__main__':
+    sys.exit(auto_trader())

quant1x-trader-0.1.5/quant1x/autotrader/base.py

@@ -0,0 +1,141 @@
+# -*- coding: UTF-8 -*-
+import re
+import threading
+import time
+from dataclasses import dataclass, field
+from typing import List
+
+TIME_FORMAT_TIMESTAMP = '%H:%M:%S'
+
+
+class Singleton:
+    """
+    线程安全的单例模式
+    """
+    _instance = None
+    _lock = threading.Lock()
+
+    def __new__(cls, *args, **kwargs):
+        with cls._lock:
+            if not cls._instance:
+                #cls._instance = super().__new__(cls, *args, **kwargs)
+                cls._instance = super().__new__(cls)
+        return cls._instance
+
+    def __init__(self):
+        pass
+
+
+@dataclass
+class TimeRange(object):
+    """
+    时间范围
+    """
+    begin: str
+    end: str
+
+    def __init__(self, time_range: str):
+        """
+        构造
+        :param time_range: 
+        :return: 
+        """
+        self.begin = ''
+        self.end = ''
+
+        time_range = time_range.strip()
+        list = re.split(r"[~-]\s*", time_range)
+        if len(list) != 2:
+            raise RuntimeError("非法的时间格式")
+        # TODO：时间格式校验
+        # 时间排序
+        self.begin = list[0].strip()
+        self.end = list[1].strip()
+        if self.begin > self.end:
+            self.begin, self.end = self.end, self.begin
+
+    def is_trading(self, timestamp: str = "") -> bool:
+        """
+        是否交易中
+        :param timestamp:
+        :return:
+        """
+        timestamp = timestamp.strip()
+        if len(timestamp) == 0:
+            timestamp = time.strftime(TIME_FORMAT_TIMESTAMP)
+        if self.begin <= timestamp <= self.end:
+            return True
+        return False
+
+    def is_valid(self) -> bool:
+        """
+        时段是否有效
+        :return:
+        """
+        return self.begin != '' and self.end != ''
+
+
+@dataclass
+class TradingSession:
+    """
+    交易时段
+    """
+    sessions: List
+
+    def __init__(self, time_range: str):
+        """
+        构造
+        :param time_range:
+        """
+        self.sessions = []
+        time_range = time_range.strip()
+        list = re.split(r",\s*", time_range)
+        for v in list:
+            v = v.strip()
+            r = TimeRange(v)
+            self.sessions.append(r)
+
+    # def __str__(self):
+    #     sb = []
+    #     for v in self.sessions:
+    #         sb.append(v)
+    #     return sb.__str__()
+
+    def is_trading(self, timestamp: str = "") -> bool:
+        """
+        是否交易中
+        :param timestamp:
+        :return:
+        """
+        timestamp = timestamp.strip()
+        if len(timestamp) == 0:
+            timestamp = time.strftime(TIME_FORMAT_TIMESTAMP)
+        for item in self.sessions:
+            v = item
+            if v.is_trading(timestamp):
+                return True
+        return False
+
+    def is_valid(self) -> bool:
+        """
+        时段是否有效
+        :return:
+        """
+        for item in self.sessions:
+            if not item.is_valid():
+                return False
+        return True
+
+
+if __name__ == '__main__':
+    time_range = " 09:30:00 ~ 14:56:30 "
+    time_range = " 14:56:30 - 09:30:00 "
+    tr = TimeRange(time_range)
+    print(tr)
+
+    time_range = "11:30:00 ~ 09:15:00 , 15:00:00 - 13:00:00 "
+    time_range = "15:00:00 - 13:00:00 "
+
+    tr = TradingSession(time_range)
+    print(tr)
+    print(tr.is_trading('09:30:00'))

quant1x-trader-0.1.5/quant1x/autotrader/callback.py

@@ -0,0 +1,83 @@
+# coding=utf-8
+
+from xtquant.xttrader import XtQuantTraderCallback
+
+
+class QmtTraderCallback(XtQuantTraderCallback):
+    def on_disconnected(self):
+        """
+        连接断开
+        :return:
+        """
+        print("connection lost")
+
+    def on_stock_order(self, order):
+        """
+        委托回报推送
+        :param order: XtOrder对象
+        :return:
+        """
+        print("on order callback:")
+        print(order.stock_code, order.order_status, order.order_sysid)
+
+    def on_stock_asset(self, asset):
+        """
+        资金变动推送  注意，该回调函数目前不生效
+        :param asset: XtAsset对象
+        :return:
+        """
+        print("on asset callback")
+        print(asset.account_id, asset.cash, asset.total_asset)
+
+    def on_stock_trade(self, trade):
+        """
+        成交变动推送
+        :param trade: XtTrade对象
+        :return:
+        """
+        print("on trade callback")
+        print(trade.account_id, trade.stock_code, trade.order_id)
+
+    def on_stock_position(self, position):
+        """
+        持仓变动推送  注意，该回调函数目前不生效
+        :param position: XtPosition对象
+        :return:
+        """
+        print("on position callback")
+        print(position.stock_code, position.volume)
+
+    def on_order_error(self, order_error):
+        """
+        委托失败推送
+        :param order_error:XtOrderError 对象
+        :return:
+        """
+        print("on order_error callback")
+        print(order_error.order_id, order_error.error_id, order_error.error_msg)
+
+    def on_cancel_error(self, cancel_error):
+        """
+        撤单失败推送
+        :param cancel_error: XtCancelError 对象
+        :return:
+        """
+        print("on cancel_error callback")
+        print(cancel_error.order_id, cancel_error.error_id, cancel_error.error_msg)
+
+    def on_order_stock_async_response(self, response):
+        """
+        异步下单回报推送
+        :param response: XtOrderResponse 对象
+        :return:
+        """
+        print("on_order_stock_async_response")
+        print(response.account_id, response.order_id, response.seq)
+
+    def on_account_status(self, status):
+        """
+        :param status: status账号状态
+        :return:
+        """
+        print("on_account_status")
+        print(status.account_id, status.account_type, status.status)

quant1x-trader-0.1.5/quant1x/autotrader/config.py

@@ -0,0 +1,91 @@
+# -*- coding: UTF-8 -*-
+
+from dataclasses import dataclass, field
+
+import yaml
+
+from quant1x.autotrader.base import TradingSession
+from quant1x.autotrader.logger import logger
+from quant1x.autotrader import env
+
+
+@dataclass
+class TraderConfig:
+    # 时间范围 - 持仓卖出
+    ask_time: TradingSession = TradingSession("09:51:00~14:59:30")
+    # 时间范围 - 撤销订单
+    cancel_time: TradingSession = TradingSession("09:15:00~09:19:59, 09:30:00~14:56:59")
+    # 时间范围 - 盘中订单
+    tick_time: TradingSession = TradingSession("09:30:00-14:57:00")
+    # 买入持仓率, 资金控制阀值
+    position_ratio: float = 0.5000
+    # 买入交易费率
+    buy_trade_rate: float = 0.0250
+    # TODO: 废弃, 相对开盘价溢价多少买入
+    buy_premium_rate: float = 0.0200
+    # 印花税, 按照成交金额, 买入没有, 卖出0.1%
+    stamp_duty_rate: float = 0.0010
+    # 过户费, 按照数量收取, 默认万分之六, 0.06%
+    transfer_rate: float = 0.0006
+    # 券商佣金, 按成交金额计算, 默认万分之二点五, 0.025%
+    commission_rate: float = 0.00025
+    # tick订单最大金额
+    tick_order_max_amount: float = 10000.00
+    # 买入最大金额
+    buy_amount_max: float = 250000.00
+
+    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()
+
+
+def load() -> TraderConfig:
+    """
+    加载配置文件
+    :return:
+    """
+    consts = TraderConfig()
+    config_filename = env.get_quant1x_config_filename()
+    logger.info(config_filename)
+    try:
+        with open(config_filename, 'r', encoding='utf-8') as f:
+            config_dict = yaml.load(f, Loader=yaml.FullLoader)
+            if isinstance(config_dict, dict):
+                consts = TraderConfig(**config_dict['trader'])
+    except FileNotFoundError:
+        logger.error(f"文件未找到：{config_filename}")
+    except IsADirectoryError:
+        logger.error(f"路径是一个目录：{config_filename}")
+    except PermissionError as e:
+        logger.error(f"没有权限访问文件：{config_filename}\n错误信息：{e}")
+    except Exception as e:
+        logger.error(f"发生了一个错误：{config_filename}\n错误信息：{e}")
+    # finally:
+    #     logger.warning('系统将使用默认配置')
+    return consts
+
+
+if __name__ == '__main__':
+    config = load()
+    print(config)

quant1x-trader-0.1.5/quant1x/autotrader/context.py

@@ -0,0 +1,159 @@
+# coding=utf-8
+import os
+import platform
+import time
+
+import pandas as pd
+import yaml
+from xtquant.xttype import StockAccount
+
+from quant1x.autotrader import utils, env
+from quant1x.autotrader.logger import logger
+
+
+class QmtContext(object):
+    """
+    QMT 上下文
+    """
+    current_date: str  # 当前日期
+    config_filename: str  # 配置文件名
+    order_path: str  # 运行路径
+    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
+
+    def __init__(self):
+        self.current_date = time.strftime(utils.kFormatFileDate)
+        self.config_filename = env.get_quant1x_config_filename()
+        logger.info('配置文件:{}', self.config_filename)
+        if not os.path.isfile(self.config_filename):
+            print('QMT config %s: 不存在' % self.config_filename)
+            exit(utils.errno_config_not_exist)
+        with open(self.config_filename, 'r', encoding='utf-8') as f:
+            result = yaml.load(f.read(), Loader=yaml.FullLoader)
+            self.account_id = str(result['order']['account_id'])
+            self.order_path = str(result['order']['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:
+        """
+        timestamp = time.strftime(utils.kTimestamp)
+        return utils.ask_begin <= timestamp <= utils.ask_end
+
+    def buy_is_ready(self) -> bool:
+        """
+        买入订单是否准备就绪
+        :return:
+        """
+        if not os.path.isfile(self.t89k_flag_ready) or not os.path.isfile(self.t89k_order_file):
+            return False
+        return True
+
+    def load_order(self) -> pd.DataFrame:
+        """
+        加载订单
+        :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)
+        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')
+
+    def order_buy_completed(self):
+        """
+        买入操作完成
+        :return:
+        """
+        self._push_local_message(self.t89k_flag_done)
+        print('订单买入操作完成')
+
+    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, 1)
+        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 ctx:
+        :param code:
+        :return:
+        """
+        flag = self.get_order_flag(code, 1)
+        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,2-s
+        :return:
+        """
+        today = time.strftime(utils.kFormatFileDate)
+        order_type = "b" if type == 1 else "s"
+        stock_order_flag = os.path.join(self.order_path, f'{today}-{self.account_id}-{code}-{order_type}.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

quant1x-trader-0.1.5/quant1x/autotrader/env.py

@@ -0,0 +1,51 @@
+#!/usr/bin/python
+# -*- coding: UTF-8 -*-
+
+import getpass
+import os
+import platform
+
+import win32com.client
+
+
+def get_quant1x_config_filename() -> str:
+    """
+    获取quant1x.yaml文件路径
+    :return:
+    """
+    # 默认配置文件名
+    default_config_filename = 'quant1x.yaml'
+
+    yaml_filename = '~/runtime/etc/' + default_config_filename
+    system = platform.system().lower()
+    if system == 'windows':
+        user_home = os.getenv("GOX_HOME")
+        if len(user_home) > 0:
+            user_home = user_home.strip()
+        if len(user_home) == 0:
+            user_home = '~'
+        quant1x_root = user_home + '/' + '.quant1x'
+        yaml_filename = os.path.expanduser(quant1x_root + '/' + default_config_filename)
+    yaml_filename = os.path.expanduser(yaml_filename)
+    return yaml_filename
+
+
+def get_gjzq_qmt_exec_path() -> str:
+    """
+    获取QMT安装路径
+    """
+    username = getpass.getuser()  # 当前用户名
+    qmt_exec_lnk = rf'C:\Users\{username}\AppData\Roaming\Microsoft\Windows\Start Menu\Programs\国金证券QMT交易端\启动国金证券QMT交易端.lnk'
+    shell = win32com.client.Dispatch("WScript.Shell")
+    shortcut = shell.CreateShortCut(qmt_exec_lnk)
+    # print(shortcut.Targetpath)
+    target_path = str(shortcut.Targetpath)
+    paths = target_path.split(r'\bin.x64')
+    exec_path = os.path.expanduser(paths[0])
+    exec_path = exec_path.replace('\\', '/')
+    return exec_path
+
+
+if __name__ == '__main__':
+    path = get_gjzq_qmt_exec_path()
+    print(path)

quant1x-trader-0.1.5/quant1x/autotrader/logger.py

@@ -0,0 +1,4 @@
+# -*- coding: UTF-8 -*-
+from loguru import logger as __logger
+
+logger = __logger

quant1x-trader-0.1.5/quant1x/autotrader/market.py

@@ -0,0 +1,51 @@
+# -*- coding: UTF-8 -*-
+
+BadSymbolError = RuntimeError("无法识别的证券代码")
+
+# 市场缩写
+MARKET_SHANGHAI = 'SH'  # 上海
+MARKET_SHENZHEN = 'SZ'  # 深圳
+MARKET_HONGKONG = 'HK'  # 香港
+
+# 市场缩写元组
+tup_market = (MARKET_SHANGHAI, MARKET_SHENZHEN)
+# 上海交易所证券代码前缀
+tup_prefix_shanghai = ('60', '68', '510')
+# 深圳交易所证券代码前缀
+tup_prefix_shenzhen = ('00', '30')
+
+
+def get_security_type(symbol: str) -> str:
+    """
+    获取股票市场标识
+    :param symbol:  代码
+    :return:
+    """
+    symbol = symbol.strip()
+    code = symbol.upper()
+    if code.startswith(tup_market):
+        return code[:2].upper()
+    elif code.endswith(tup_market):
+        return code[:-2].upper()
+    elif code.startswith(tup_prefix_shanghai):
+        return MARKET_SHANGHAI
+    elif code.startswith(tup_prefix_shenzhen):
+        return MARKET_SHENZHEN
+    raise BadSymbolError
+
+
+def fix_security_code(symbol: str) -> str:
+    """
+    调整证券代码
+    :param symbol:
+    :return:
+    """
+    security_code = ''
+    if len(symbol) == 6:
+        flag = 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 BadSymbolError
+    return security_code

quant1x-trader-0.1.5/quant1x/autotrader/thinktrader.py

@@ -0,0 +1,209 @@
+# -*- coding: UTF-8 -*-
+import math
+from typing import Tuple, Any
+
+from xtquant import xtdata
+from xtquant.xttrader import XtQuantTrader
+from xtquant.xttype import *
+
+from quant1x.autotrader import env, utils
+from quant1x.autotrader.base import *
+from quant1x.autotrader.config import TraderConfig
+from quant1x.autotrader.logger import logger
+
+
+class ThinkTrader(Singleton):
+    """
+    迅投XtQuant-miniQMT交易
+    """
+    xt_trader = None
+    account = None
+
+    def __init__(self, conf: TraderConfig):
+        """
+        初始化
+        :param conf:
+        """
+        super().__init__()
+        # self._ctx = None
+        self._config = conf
+
+    def stop(self):
+        """
+        析构方法, 销毁对象
+        """
+        if self.xt_trader is not None:
+            self.xt_trader.stop()
+        logger.info("thinktrader shutdown")
+
+    def set_trader(self, qmt_dir: str = '', session_id: int = 0) -> int:
+        qmt_dir.strip()
+        if qmt_dir == '':
+            qmt_dir = env.get_gjzq_qmt_exec_path() + '/userdata_mini'
+        logger.info("miniQmt: {}", qmt_dir)
+        if session_id == 0:
+            # session_id为会话编号，策略使用方对于不同的Python策略需要使用不同的会话编号
+            now = time.time()
+            session_id = int(now)
+        logger.info("session id: {}", session_id)
+        self.xt_trader = XtQuantTrader(qmt_dir, session_id)
+        # 启动交易线程
+        self.xt_trader.start()
+        # 建立交易连接，返回0表示连接成功
+        connect_result = self.xt_trader.connect()
+        return connect_result
+
+    def set_account(self, account_id, account_type='STOCK'):
+        self.account = StockAccount(account_id, account_type=account_type)
+        return self.account
+
+    @property
+    def get_account(self):
+        return self.account
+
+    @property
+    def get_trader(self):
+        return self.xt_trader
+
+    def query_asset(self):
+        """
+        获取资产数据
+        :return:
+        """
+        return self.xt_trader.query_stock_asset(self.get_account)
+
+    def single_available(self, total: int) -> float:
+        """
+        调整单一可用资金
+        :param asset:
+        :param total:
+        :return:
+        """
+        asset = self.query_asset()
+        if asset is None:
+            return 0.00
+        # 总资产
+        quant_balance = asset.total_asset
+        # 修订可以量化用金额
+        quant_available = asset.cash
+        if quant_available / quant_balance > self._config.position_ratio:
+            quant_available = quant_balance * self._config.position_ratio
+        if total > 0:
+            single_funds_available = quant_available / total
+        else:
+            single_funds_available = 0.00
+        # 检查最大值
+        if single_funds_available > self._config.buy_amount_max:
+            single_funds_available = self._config.buy_amount_max
+        return single_funds_available
+
+    def available_amount(self, stock_total: int) -> float:
+        """
+        计算单一标的可用金额
+        :param stock_total: 股票总数
+        :return:
+        """
+        single_funds_available = self.single_available(stock_total)
+        if single_funds_available <= 100:
+            return 0.00
+        # 扣除可能发生的交易费率
+        single_funds_available = single_funds_available * (1 - self._config.buy_trade_rate)
+        if single_funds_available > self._config.tick_order_max_amount:
+            # 超出81号策略单只个股最大买入金额
+            single_funds_available = self._config.tick_order_max_amount
+        return single_funds_available
+
+    def get_snapshot(self, security_code: str = '') -> Any:
+        """
+        获得快照
+        :param security_code:
+        :return:
+        """
+        tick_list = xtdata.get_full_tick([security_code])
+        if len(tick_list) != 1:
+            return None
+        snapshot = tick_list[security_code]
+        return snapshot
+
+    def available_price(self, price: float) -> float:
+        """
+        计算适合的买入价格
+        :param price:
+        :return:
+        """
+        lastPrice = price
+        # 价格笼子, +2%和+0.10哪个大
+        buy_price = max(lastPrice * 1.02, lastPrice + 0.10)
+        # 当前价格+0.05
+        # buy_price = snapshot['askPrice'][0] + 0.05
+        buy_price = lastPrice + 0.05
+        # 最后修订价格
+        buy_price = utils.price_round(buy_price)
+        return buy_price
+
+    def calculate_stock_volumes(self, fund: float, price: float) -> int:
+        """
+        可以购买的股票数量(股)
+        :return: 股票数量
+        """
+        # 1. 印花税, 按照成交金额计算, 买入没有, 卖出, 0.1%
+        # stamp_duty = amount * stamp_duty_rate
+        _stamp_duty_fee = price * self._config.stamp_duty_rate
+        # 2. 过户费, 按照股票数量, 双向, 0.06%
+        # transfer_fee = volume * transfer_rate
+        _transfer_fee = self._config.transfer_rate
+        # 3. 券商佣金, 按照成交金额计算, 双向, 0.025%
+        # commissions = amount * commission_rate
+        _commission_fee = price * self._config.commission_rate
+        volume = fund / (_stamp_duty_fee + _transfer_fee + _commission_fee)
+        volume = math.floor(volume / 100) * 100
+        return volume
+
+    def buy(self, code: str, price: float, vol: int, strategy_name='', order_remark='') -> int:
+        """
+        同步下买单
+        """
+        order_id = self.xt_trader.order_stock(self.account, code, xtconstant.STOCK_BUY, vol, xtconstant.FIX_PRICE,
+                                              price, strategy_name, order_remark)
+        return order_id
+
+    def tick_order_can_trade(self) -> bool:
+        """
+        检查盘中订单是否可以交易
+        :return:
+        """
+        return self._config.tick_time.is_trading()
+
+    def tick_order_is_ready(self) -> bool:
+        """
+        盘中订单是否就绪
+        :return:
+        """
+        return True
+
+    def current_date(self) -> tuple[str, str]:
+        """
+        今天
+        :return:
+        """
+        today = time.strftime(utils.kFormatOnlyDate)
+        v = xtdata.get_market_last_trade_date('SH')
+        local_time = time.localtime(v / 1000)
+        trade_date = time.strftime(utils.kFormatOnlyDate, local_time)
+        return today, trade_date
+
+    def today_is_trading_date(self) -> bool:
+        """
+        今天是否交易日
+        :return:
+        """
+        (today, trade_date) = self.current_date()
+        logger.info('today={}, trade_date={}', today, trade_date)
+        return today == trade_date
+
+    def order_can_cancel(self) -> bool:
+        """
+        委托订单可以撤销
+        :return:
+        """
+        return self._config.cancel_time.is_trading()

quant1x-trader-0.1.5/quant1x/autotrader/trader.py

@@ -0,0 +1,126 @@
+# -*- coding: UTF-8 -*-
+
+import os
+import time
+
+import pandas as pd
+
+from quant1x.autotrader import market, utils, context, thinktrader, config
+from quant1x.autotrader.logger import logger
+
+# 应用名称
+application = 'quant1x-trader'
+
+
+def auto_trader() -> int:
+    """
+    自动化交易入口
+    """
+    logger.info('{} start...', application)
+    # 0. 加载配置文件
+    logger.info('加载配置...')
+    conf = config.load()
+    logger.info('配置信息: {}', conf)
+    logger.info('加载配置...OK')
+    trader = thinktrader.ThinkTrader(conf)
+    # 1. 连接miniQMT
+    connect_result = trader.set_trader()
+    if connect_result == 0:
+        logger.info('connect miniQmt: success')
+    else:
+        logger.error('connect miniQmt: failed')
+        return utils.errno_miniqmt_connect_failed
+    logger.info('{} start...OK', application)
+    # 2. 设置账号
+    ctx = context.QmtContext()
+    trader.set_account(ctx.account_id)
+    # 3. 盘中交易流程
+    # 3.3 检测新增标的
+    logger.info('订单路径: {}', ctx.order_path)
+    last_mtime = 0
+    date_updated = False
+    while True:
+        time.sleep(1)
+        logger.info("检测[交易日]...")
+        # 3.3.1 检测当前日期是否最后一个交易日
+        (today, trade_date) = trader.current_date()
+        if today != trade_date:
+            logger.error('today={}, trade_date={}, 非交易日', today, trade_date)
+            continue
+        elif not date_updated:
+            # 如果状态还没调整
+            logger.error('today={}, trade_date={}, 当前日期为交易日, 等待开市', today, trade_date)
+            ctx.switch_date()
+            date_updated = True
+        logger.info("检测[交易时段]...")
+        if not trader.tick_order_can_trade():
+            logger.info('非盘中交易时段, waiting...')
+            continue
+        # 3.3.2 检测新标的
+        logger.warning('检测新增标的...')
+        filename_stock_pool = ctx.order_path + '/stock_pool.csv'
+        update_time = os.path.getmtime(filename_stock_pool)
+        if update_time == last_mtime:
+            logger.warning('检测新增标的...无变化')
+            continue
+        else:
+            last_mtime = update_time
+        mtime = time.localtime(last_mtime)
+        timestamp = time.strftime(utils.kFormatTimestamp, mtime)
+        logger.info('{} last modify: {}', filename_stock_pool, timestamp)
+        # 3.3.3 检查当日所有的订单
+        df = pd.read_csv(filename_stock_pool)
+        if len(df) == 0:
+            continue
+        # 过滤条件: 当日订单且策略编号为81
+        condition = (df['date'] == today) & (df['strategy_code'] == 81)
+        tick_orders = df[condition]
+        if len(tick_orders) == 0:
+            continue
+        stock_total = len(tick_orders)
+        logger.warning('盘中水位观测: {}', stock_total)
+        # 遍历订单
+        for idx, stock in tick_orders.iterrows():
+            # print(stock)
+            date = stock['date']
+            code = stock['code']
+            # 检查买入状态
+            if ctx.check_buy_order_done_status(code):
+                # 已经买入跳过
+                continue
+            strategy_code = stock['strategy_code']
+            strategy_name = stock['strategy_name']
+            security_name = stock['name']
+            security_code = market.fix_security_code(code)
+
+            # 评估可以委托买入的价格和数量
+            # 查询计算单一标的可用资金
+            single_funds_available = trader.available_amount(stock_total)
+            if single_funds_available <= 0:
+                logger.warning('!!!已满仓!!!')
+                continue
+            # 获取快照
+            snapshot = trader.get_snapshot(security_code)
+            # 计算溢价
+            last_price = snapshot['lastPrice']
+            buy_price = trader.available_price(last_price)
+            # 计算可买数量
+            buy_num = trader.calculate_stock_volumes(single_funds_available, buy_price)
+            if buy_num < 100:
+                logger.warning('单一股价过高, 分仓购买力不足1手')
+                stock_total = stock_total - 1
+                continue
+            logger.warning('{}: 证券名称={}, 证券代码={}, date={}, strategy_code={}, price={},vol={}', strategy_code,
+                           security_name, security_code, date, strategy_code, buy_price, buy_num)
+            # 委托买入
+            order_id = trader.buy(security_code, buy_price, buy_num, strategy_name, 'swfz')
+            logger.warning('order id: {}', order_id)
+            # 设置执行下单完成状态
+            ctx.push_buy_order_done_status(code)
+
+    # 4. 关闭
+    logger.info('{} stop...', application)
+    trader.stop()
+    logger.info('{} stop...OK', application)
+    logger.info('{} shutdown', application)
+    return 0

quant1x-trader-0.1.5/quant1x/autotrader/utils.py

@@ -0,0 +1,89 @@
+# coding=utf-8
+import time
+from decimal import Decimal, ROUND_HALF_UP
+
+import numpy as np
+from xtquant import xtdata
+from xtquant.xttype import *
+
+# 执行成功
+errno_success = 0
+# qmt错误码基数
+qmt_errno_base = 1000
+# miniQMT 没有找到
+errno_miniqmt_not_found = qmt_errno_base + 1
+# quant1x.yaml配置文件没找到
+errno_config_not_exist = qmt_errno_base + 2
+# 连接miniQMT失败
+errno_miniqmt_connect_failed = qmt_errno_base + 3
+# 非交易日
+errno_not_trade_day = qmt_errno_base + 4
+
+kFormatFileDate = '%Y%m%d'
+kFormatOnlyDate = '%Y-%m-%d'
+kFormatTimestamp = '%Y-%m-%d %H:%M:%S'
+kTimestamp = '%H:%M:%S'
+errBadSymbol = RuntimeError("无法识别的证券代码")
+
+# # 买入持仓率, 资金控制阀值
+# position_ratio = 0.5000
+# # 买入交易费率
+# buy_trade_rete = 0.0250
+# # 相对开盘价溢价多少买入
+# buy_premium_rate = 0.0200
+# # 买入最大金额
+# buy_amount_max = 250000.00
+#
+# # 竞价开始时间 - 卖出
+# ask_begin = '09:50:00'
+# # 竞价结束时间 - 卖出
+# ask_end = '14:59:30'
+#
+# # 盘中订单 - 开始时间
+# TICK_BEGIN = '09:30:00'
+# # 盘中订单 - 结束时间
+# TICK_END = '14:57:00'
+#
+# cancel_begin = '09:00:00'
+# cancel_end = '15:00:00'
+
+
+def is_nan(n) -> bool:
+    """
+    判断是否nan或inf
+    :param n:
+    :return:
+    """
+    return np.isnan(n) or np.isinf(n)
+
+
+def price_round(num: float, digits: int = 2) -> float:
+    """
+    价格四舍五入
+    :param num:
+    :param digits: 小数点后几位数字
+    :return:
+    """
+    if isinstance(num, float):
+        num = str(num)
+    x = Decimal(num).quantize((Decimal('0.' + '0' * digits)), rounding=ROUND_HALF_UP)
+    return float(x)
+
+
+def today_is_tradeday() -> bool:
+    """
+    今天是否交易日
+    :param start_time:
+    :param end_time:
+    :param count:
+    :return:
+    """
+    time_format = '%Y%m%d'
+    today = time.strftime(time_format)
+    dates = xtdata.get_trading_dates('SH', today, today)
+    if len(dates) == 0:
+        return False
+    date = time.strftime(time_format, time.localtime(dates[0] / 1000))
+    return today == date
+
+

quant1x-trader-0.1.5/quant1x_trader.egg-info/PKG-INFO

@@ -0,0 +1,30 @@
+Metadata-Version: 2.1
+Name: quant1x-trader
+Version: 0.1.5
+Summary: Quant1X程序化自动化交易
+Home-page: https://gitee.com/quant1x/trader
+Author: WangFeng
+Author-email: wangfengxy@sina.cn
+License: MIT license
+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
+License-File: LICENSE
+Requires-Dist: setuptools~=68.2.2
+Requires-Dist: future~=0.18.3
+Requires-Dist: numpy~=1.26.0
+Requires-Dist: pandas~=2.1.1
+Requires-Dist: PyYAML~=6.0.1
+Requires-Dist: pywin32==306
+Requires-Dist: uvicorn==0.18.1
+Requires-Dist: fastapi~=0.103.1
+Requires-Dist: path~=16.7.1
+Requires-Dist: requests==2.31.0
+Requires-Dist: loguru~=0.7.2

quant1x-trader-0.1.5/quant1x_trader.egg-info/SOURCES.txt

@@ -0,0 +1,22 @@
+LICENSE
+README.rst
+setup.py
+quant1x/autotrader/__init__.py
+quant1x/autotrader/__main__.py
+quant1x/autotrader/base.py
+quant1x/autotrader/callback.py
+quant1x/autotrader/config.py
+quant1x/autotrader/context.py
+quant1x/autotrader/env.py
+quant1x/autotrader/logger.py
+quant1x/autotrader/market.py
+quant1x/autotrader/thinktrader.py
+quant1x/autotrader/trader.py
+quant1x/autotrader/utils.py
+quant1x_trader.egg-info/PKG-INFO
+quant1x_trader.egg-info/SOURCES.txt
+quant1x_trader.egg-info/dependency_links.txt
+quant1x_trader.egg-info/entry_points.txt
+quant1x_trader.egg-info/not-zip-safe
+quant1x_trader.egg-info/requires.txt
+quant1x_trader.egg-info/top_level.txt

quant1x-trader-0.1.5/quant1x_trader.egg-info/dependency_links.txt

@@ -0,0 +1 @@
+

quant1x-trader-0.1.5/quant1x_trader.egg-info/entry_points.txt

@@ -0,0 +1,2 @@
+[console_scripts]
+quant1x-auto-trader = quant1x.autotrader.__main__:auto_trader

quant1x-trader-0.1.5/quant1x_trader.egg-info/not-zip-safe

@@ -0,0 +1 @@
+

quant1x-trader-0.1.5/quant1x_trader.egg-info/requires.txt

@@ -0,0 +1,11 @@
+setuptools~=68.2.2
+future~=0.18.3
+numpy~=1.26.0
+pandas~=2.1.1
+PyYAML~=6.0.1
+pywin32==306
+uvicorn==0.18.1
+fastapi~=0.103.1
+path~=16.7.1
+requests==2.31.0
+loguru~=0.7.2

quant1x-trader-0.1.5/quant1x_trader.egg-info/top_level.txt

@@ -0,0 +1 @@
+quant1x

quant1x-trader-0.1.5/setup.cfg

@@ -0,0 +1,4 @@
+[egg_info]
+tag_build = 
+tag_date = 0
+

quant1x-trader-0.1.5/setup.py

@@ -0,0 +1,80 @@
+#!/usr/bin/env python
+# coding=utf-8
+"""The setup script."""
+import setuptools
+from git import Repo
+
+# from quant1x import __author__
+
+# try:
+#     from setuptools import find_packages, setup
+# except ImportError:
+#     from distutils.core import find_packages, setup
+
+repo = Repo(r'./')
+tags = []
+for __tag in repo.tags:
+    tag = str(__tag)
+    tag = tag[1:]
+    tags.append(tag)
+tags.sort(key=lambda x: tuple(int(v) for v in x.split('.')))
+latest = tags[-1]
+
+app__version__ = latest
+__author__ = "WangFeng"
+
+
+def parse_requirements(filename):
+    line_iter = (line.strip() for line in open(filename))
+    return [line for line in line_iter if line and not line.startswith("#")]
+
+
+with open("README.rst", encoding="utf-8") as readme_file:
+    readme = readme_file.read()
+
+with open("HISTORY.rst", encoding="utf-8") as history_file:
+    history = history_file.read()
+
+requirements = parse_requirements("requirements.txt")
+test_requirements = requirements
+
+setuptools.setup(
+    name="quant1x-trader",
+    description="Quant1X程序化自动化交易",
+    author_email="wangfengxy@sina.cn",
+    url="https://gitee.com/quant1x/trader",
+    version=app__version__,
+    author=__author__,
+    long_description=readme,
+    packages=setuptools.find_packages(include=["quant1x.autotrader", "quant1x.autotrader.*"]),
+    include_package_data=True,
+    install_requires=requirements,
+    license="MIT license",
+    zip_safe=False,
+    keywords="quant1x auto trader",
+    entry_points={
+        "console_scripts": [
+            "quant1x-auto-trader=quant1x.autotrader.__main__:auto_trader",
+        ]
+    },
+    classifiers=[
+        "Development Status :: 2 - Pre-Alpha",
+        "Intended Audience :: Developers",
+        "License :: OSI Approved :: MIT License",
+        "Natural Language :: English",
+        "Programming Language :: Python :: 3",
+        "Programming Language :: Python :: 3.8",
+        "Programming Language :: Python :: 3.9",
+        "Programming Language :: Python :: 3.10",
+        "Programming Language :: Python :: 3.11",
+    ],
+    data_files=[
+        # ('xtquant', ['xtquant/xtdata.ini', 'xtquant/xtdata.log4cxx']),
+    ],
+    package_data={
+        '': ['*.dll', '*.pyd', '*.ini', '*.log4cxx'],
+    },
+    test_suite="tests",
+    tests_require=test_requirements,
+    setup_requires=requirements,
+)