接入 SimNow 模拟盘与期货下单、策略及品种推荐功能。
新增 vnpy CTP 桥接、以损定仓/固定张数、趋势回调与滚仓策略、按资金推荐品种及交易风控；模拟盘走 SimNow，实盘预留期货公司配置。 Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
+319
@@ -0,0 +1,319 @@
|
||||
"""CTP 执行层：模拟盘 → SimNow；实盘 → 期货公司（vnpy_ctp）。"""
|
||||
from __future__ import annotations
|
||||
|
||||
import logging
|
||||
import os
|
||||
import threading
|
||||
import time
|
||||
from typing import Any, Optional
|
||||
|
||||
from ctp_symbol import ths_to_vnpy_symbol, to_vnpy_exchange
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
GATEWAY_NAME = "CTP"
|
||||
|
||||
_bridge: Optional["CtpBridge"] = None
|
||||
_bridge_lock = threading.Lock()
|
||||
|
||||
|
||||
def _env(key: str, default: str = "") -> str:
|
||||
return (os.getenv(key) or default).strip()
|
||||
|
||||
|
||||
def _simnow_setting() -> dict[str, str]:
|
||||
"""SimNow 7×24 仿真默认前置（可在 .env 覆盖）。"""
|
||||
return {
|
||||
"用户名": _env("SIMNOW_USER"),
|
||||
"密码": _env("SIMNOW_PASSWORD"),
|
||||
"经纪商代码": _env("SIMNOW_BROKER_ID", "9999"),
|
||||
"交易服务器": _env("SIMNOW_TD_ADDRESS", "tcp://180.168.146.187:10201"),
|
||||
"行情服务器": _env("SIMNOW_MD_ADDRESS", "tcp://180.168.146.187:10211"),
|
||||
"产品名称": _env("SIMNOW_APP_ID", "simnow_client_test"),
|
||||
"授权编码": _env("SIMNOW_AUTH_CODE", "0000000000000000"),
|
||||
"产品信息": _env("SIMNOW_PRODUCT_INFO", "simnow_client_test"),
|
||||
}
|
||||
|
||||
|
||||
def _live_setting() -> dict[str, str]:
|
||||
return {
|
||||
"用户名": _env("CTP_LIVE_USER"),
|
||||
"密码": _env("CTP_LIVE_PASSWORD"),
|
||||
"经纪商代码": _env("CTP_LIVE_BROKER_ID"),
|
||||
"交易服务器": _env("CTP_LIVE_TD_ADDRESS"),
|
||||
"行情服务器": _env("CTP_LIVE_MD_ADDRESS"),
|
||||
"产品名称": _env("CTP_LIVE_APP_ID"),
|
||||
"授权编码": _env("CTP_LIVE_AUTH_CODE"),
|
||||
"产品信息": _env("CTP_LIVE_PRODUCT_INFO"),
|
||||
}
|
||||
|
||||
|
||||
def _setting_for_mode(mode: str) -> dict[str, str]:
|
||||
return _simnow_setting() if mode == "simulation" else _live_setting()
|
||||
|
||||
|
||||
def _mode_label(mode: str) -> str:
|
||||
return "SimNow 模拟" if mode == "simulation" else "期货公司实盘"
|
||||
|
||||
|
||||
class CtpBridge:
|
||||
def __init__(self) -> None:
|
||||
self._engine = None
|
||||
self._ee = None
|
||||
self._connected_mode: Optional[str] = None
|
||||
self._last_error: str = ""
|
||||
self._connect_lock = threading.Lock()
|
||||
self._init_engine()
|
||||
|
||||
def _init_engine(self) -> None:
|
||||
try:
|
||||
from vnpy.event import EventEngine
|
||||
from vnpy.trader.engine import MainEngine
|
||||
from vnpy_ctp import CtpGateway
|
||||
|
||||
self._ee = EventEngine()
|
||||
self._engine = MainEngine(self._ee)
|
||||
self._engine.add_gateway(CtpGateway)
|
||||
except ImportError:
|
||||
self._last_error = "未安装 vnpy / vnpy_ctp，请 pip install vnpy vnpy_ctp"
|
||||
except Exception as exc:
|
||||
self._last_error = str(exc)
|
||||
|
||||
def available(self) -> bool:
|
||||
return self._engine is not None
|
||||
|
||||
@property
|
||||
def last_error(self) -> str:
|
||||
return self._last_error
|
||||
|
||||
@property
|
||||
def connected_mode(self) -> Optional[str]:
|
||||
return self._connected_mode
|
||||
|
||||
def status(self, mode: str) -> dict[str, Any]:
|
||||
st = _setting_for_mode(mode)
|
||||
missing = [k for k in ("用户名", "密码", "交易服务器") if not st.get(k)]
|
||||
return {
|
||||
"vnpy_installed": self.available(),
|
||||
"connected": self._connected_mode == mode,
|
||||
"connected_mode": self._connected_mode,
|
||||
"mode_label": _mode_label(mode),
|
||||
"missing_config": missing,
|
||||
"last_error": self._last_error,
|
||||
"broker_id": st.get("经纪商代码", ""),
|
||||
"td_address": st.get("交易服务器", ""),
|
||||
}
|
||||
|
||||
def connect(self, mode: str, *, force: bool = False) -> None:
|
||||
if not self._engine:
|
||||
raise RuntimeError(self._last_error or "vnpy 引擎未初始化")
|
||||
if self._connected_mode == mode and not force:
|
||||
return
|
||||
setting = _setting_for_mode(mode)
|
||||
if not setting.get("用户名") or not setting.get("密码"):
|
||||
raise ValueError(
|
||||
f"{_mode_label(mode)}：请在 .env 配置 "
|
||||
f"{'SIMNOW_USER / SIMNOW_PASSWORD' if mode == 'simulation' else 'CTP_LIVE_USER / CTP_LIVE_PASSWORD'}"
|
||||
)
|
||||
if not setting.get("交易服务器"):
|
||||
raise ValueError(f"{_mode_label(mode)}：未配置交易服务器地址")
|
||||
|
||||
with self._connect_lock:
|
||||
if self._connected_mode and self._connected_mode != mode:
|
||||
try:
|
||||
self._engine.close()
|
||||
except Exception:
|
||||
pass
|
||||
self._connected_mode = None
|
||||
time.sleep(1)
|
||||
|
||||
self._engine.connect(setting, GATEWAY_NAME)
|
||||
# 等待登录与结算信息
|
||||
for _ in range(30):
|
||||
accounts = self._engine.get_all_accounts()
|
||||
if accounts:
|
||||
self._connected_mode = mode
|
||||
self._last_error = ""
|
||||
logger.info("CTP 已连接 [%s] account=%s", mode, len(accounts))
|
||||
return
|
||||
time.sleep(0.5)
|
||||
self._last_error = "CTP 连接超时，请检查 SimNow 账号、前置地址与交易时段"
|
||||
raise RuntimeError(self._last_error)
|
||||
|
||||
def ensure_connected(self, mode: str) -> None:
|
||||
if self._connected_mode != mode:
|
||||
self.connect(mode)
|
||||
|
||||
def get_account(self) -> dict[str, Any]:
|
||||
if not self._engine:
|
||||
return {}
|
||||
accounts = self._engine.get_all_accounts()
|
||||
if not accounts:
|
||||
return {}
|
||||
acc = accounts[0]
|
||||
return {
|
||||
"balance": float(getattr(acc, "balance", 0) or 0),
|
||||
"available": float(getattr(acc, "available", 0) or 0),
|
||||
"frozen": float(getattr(acc, "frozen", 0) or 0),
|
||||
"accountid": getattr(acc, "accountid", ""),
|
||||
}
|
||||
|
||||
def list_positions(self) -> list[dict[str, Any]]:
|
||||
if not self._engine:
|
||||
return []
|
||||
out: list[dict[str, Any]] = []
|
||||
for pos in self._engine.get_all_positions():
|
||||
vol = int(getattr(pos, "volume", 0) or 0)
|
||||
if vol <= 0:
|
||||
continue
|
||||
direction = getattr(pos, "direction", None)
|
||||
d = "long"
|
||||
if direction is not None and str(direction).endswith("SHORT"):
|
||||
d = "short"
|
||||
elif direction is not None and "空" in str(direction):
|
||||
d = "short"
|
||||
sym = getattr(pos, "symbol", "") or ""
|
||||
out.append({
|
||||
"symbol": sym,
|
||||
"direction": d,
|
||||
"lots": vol,
|
||||
"avg_price": float(getattr(pos, "price", 0) or 0),
|
||||
"pnl": float(getattr(pos, "pnl", 0) or 0),
|
||||
})
|
||||
return out
|
||||
|
||||
def send_order(
|
||||
self,
|
||||
*,
|
||||
ths_code: str,
|
||||
offset: str,
|
||||
direction: str,
|
||||
lots: int,
|
||||
price: float,
|
||||
) -> str:
|
||||
from vnpy.trader.constant import Direction, Offset, OrderType
|
||||
from vnpy.trader.object import OrderRequest
|
||||
|
||||
if not self._engine:
|
||||
raise RuntimeError("CTP 未初始化")
|
||||
sym, ex_name = ths_to_vnpy_symbol(ths_code)
|
||||
exchange = to_vnpy_exchange(ex_name)
|
||||
lots = max(1, int(lots))
|
||||
price = float(price)
|
||||
|
||||
offset = (offset or "open").lower()
|
||||
direction = (direction or "long").lower()
|
||||
|
||||
if offset in ("open", "open_long", "open_short"):
|
||||
d = Direction.LONG if direction == "long" or offset == "open_long" else Direction.SHORT
|
||||
off = Offset.OPEN
|
||||
elif offset in ("close", "close_long", "close_short"):
|
||||
# 平多 = 卖；平空 = 买
|
||||
if direction == "long" or offset == "close_long":
|
||||
d = Direction.SHORT
|
||||
else:
|
||||
d = Direction.LONG
|
||||
off = Offset.CLOSE
|
||||
else:
|
||||
raise ValueError(f"未知开平: {offset}")
|
||||
|
||||
req = OrderRequest(
|
||||
symbol=sym,
|
||||
exchange=exchange,
|
||||
direction=d,
|
||||
type=OrderType.LIMIT,
|
||||
volume=lots,
|
||||
price=price,
|
||||
offset=off,
|
||||
)
|
||||
vt_orderid = self._engine.send_order(req, GATEWAY_NAME)
|
||||
if not vt_orderid:
|
||||
raise RuntimeError("CTP 拒单或未返回委托号")
|
||||
return str(vt_orderid)
|
||||
|
||||
|
||||
def get_bridge() -> CtpBridge:
|
||||
global _bridge
|
||||
with _bridge_lock:
|
||||
if _bridge is None:
|
||||
_bridge = CtpBridge()
|
||||
return _bridge
|
||||
|
||||
|
||||
def try_init_vnpy(_settings: dict | None = None) -> bool:
|
||||
return get_bridge().available()
|
||||
|
||||
|
||||
def vnpy_available() -> bool:
|
||||
return get_bridge().available()
|
||||
|
||||
|
||||
def ctp_connect(mode: str, *, force: bool = False) -> dict[str, Any]:
|
||||
b = get_bridge()
|
||||
b.connect(mode, force=force)
|
||||
return b.status(mode)
|
||||
|
||||
|
||||
def ctp_status(mode: str) -> dict[str, Any]:
|
||||
return get_bridge().status(mode)
|
||||
|
||||
|
||||
def ctp_get_account(mode: str) -> dict[str, Any]:
|
||||
b = get_bridge()
|
||||
b.ensure_connected(mode)
|
||||
return b.get_account()
|
||||
|
||||
|
||||
def ctp_list_positions(mode: str) -> list[dict[str, Any]]:
|
||||
b = get_bridge()
|
||||
b.ensure_connected(mode)
|
||||
return b.list_positions()
|
||||
|
||||
|
||||
def get_ctp_balance(mode: str) -> Optional[float]:
|
||||
try:
|
||||
acc = ctp_get_account(mode)
|
||||
bal = acc.get("balance")
|
||||
return float(bal) if bal else None
|
||||
except Exception as exc:
|
||||
logger.debug("get_ctp_balance: %s", exc)
|
||||
return None
|
||||
|
||||
|
||||
def execute_order(
|
||||
conn,
|
||||
*,
|
||||
mode: str,
|
||||
offset: str,
|
||||
symbol: str,
|
||||
direction: str,
|
||||
lots: int,
|
||||
price: float,
|
||||
settings: dict | None = None,
|
||||
) -> dict[str, Any]:
|
||||
"""统一下单：simulation=SimNow，live=期货公司 CTP。"""
|
||||
del conn, settings
|
||||
if mode not in ("simulation", "live"):
|
||||
raise ValueError("未知交易模式")
|
||||
if not vnpy_available():
|
||||
raise ValueError(
|
||||
"请先安装 vnpy 与 vnpy_ctp：pip install vnpy vnpy_ctp\n"
|
||||
f"模拟盘需配置 .env 中 SIMNOW_USER / SIMNOW_PASSWORD 等"
|
||||
)
|
||||
b = get_bridge()
|
||||
b.ensure_connected(mode)
|
||||
order_id = b.send_order(
|
||||
ths_code=symbol,
|
||||
offset=offset,
|
||||
direction=direction,
|
||||
lots=lots,
|
||||
price=price,
|
||||
)
|
||||
return {
|
||||
"order_id": order_id,
|
||||
"mode": mode,
|
||||
"mode_label": _mode_label(mode),
|
||||
"symbol": symbol,
|
||||
"lots": lots,
|
||||
"price": price,
|
||||
}
|
||||
Reference in New Issue
Block a user