qmt隔夜文件单（python代码实现）实盘代码

# encoding:gbk

import logging

import pandas as pd

from datetime import datetime, timedelta, time

from decimal import InvalidOperation

from decimal import Decimal as D

from READFILE import read_file



logging.basicConfig(level=logging.INFO)

# 挂单失败后的等待时长，以秒计

TIMEOUT_ON_FAIL_SEC = 30

# 规避 account_callback 的 Racing Condition

RUN_TIME_DELAY = 10



# global FILEPATH, DIR, PRICE, VOL, START_TIME, account

SH_pattern = r'^[1-9]\d{5}\.(sh|SH)$'

SZ_pattern = r'^(?!39)\d{6}\.(sz|SZ)$'

SH_prefix = ['5', '6', '9', '11']

SZ_prefix = ['0', '2', '30', '12', '159']

COLNAMES = ['direction', 'vol', 'price', 'start_time']





def init(ContextInfo):

    ContextInfo.accID = account

    ContextInfo.set_account(ContextInfo.accID)



    ContextInfo.can_order = False

    ContextInfo.all_order_done = False



    if not load_file_order(ContextInfo):

        load_sys_order(ContextInfo)



    # load_file_order(ContextInfo)

    ContextInfo.run_time("place_order", "{0}nSecond".format(TIMEOUT_ON_FAIL_SEC),

                         (datetime.now() + timedelta(seconds=RUN_TIME_DELAY)).strftime('%Y-%m-%d %H:%M:%S'), 'SH')





def account_callback(ContextInfo, accountInfo):

    if not ContextInfo.can_order:

        ContextInfo.can_order = True





def handlebar(ContextInfo):

    return





def load_file_order(ContextInfo):

    def _price_vol_filtering(row):

        if not isinstance(row.start_time, time):

            logging.warning('读取{0}指令时间失败: {1}'.format(row.name, row.start_time))

            return None

        if row.direction not in ['买', '卖']:

            logging.warning('读取{0}买卖方向失败: {1}'.format(row.name, row.direction))

            return None

        try:

            # parse start_time

            curr_start_time = datetime.now().strftime('%Y-%m-%d ') + row.start_time.strftime('%H:%M:%S')

            curr_start_time = datetime.strptime(curr_start_time, '%Y-%m-%d %H:%M:%S')

            # parse direction

            curr_direction = 23 if row.direction == '买' else 24

            # parse price and vol

            price = D(row.price)

            vol = int(row.vol)

            return pd.Series([curr_direction, vol, price, curr_start_time])

        except InvalidOperation:

            logging.warning("读取 {0} 指令价格失败: {1}".format(row.name, row.price))

            return None

        except ValueError:

            logging.warning('读取 {0} 下单总量失败: {1}'.format(row.name, row.vol))

            return None



    def _name_parser(asset_name):

        # 目前默认用户输入.SH 或.SZ时标的名称正确

        if '.SH' in asset_name or '.SZ' in asset_name:

            # todo: SH/SZ_pattern regex check here?

            return asset_name

        else:

            raise ValueError('{0} 标的代码不合法'.format(asset_name))



    try:

        tmp_df = read_file(FILEPATH, names=COLNAMES, index_col=0)

    except:

        logging.warning('读取挂单配置文件失败或挂单配置文件为空，尝试交易读取配置面板参数')

        return None

    if tmp_df.empty:

        logging.warning('读取挂单配置文件失败或挂单配置文件为空，尝试交易读取配置面板参数')

        return None



    tmp_df.index = tmp_df.index.to_series().astype(str)

    tmp_df.index = tmp_df.index.str.strip()

    tmp_df.index = tmp_df.index.str.upper()

    tmp_df.index = tmp_df.index.to_series().apply(_name_parser).dropna()

    tmp_df = tmp_df.apply(_price_vol_filtering, axis=1, broadcast=True).dropna()

    if tmp_df.empty:

        logging.warning('读取挂单配置文件失败或挂单配置文件为空，尝试交易读取配置面板参数')

        return False



    tmp_df.set_axis(COLNAMES, axis='columns', inplace=True)

    # 挂单成功Flag

    tmp_df['finished'] = [False] * tmp_df.shape[0]

    ContextInfo.order_df = tmp_df

    ContextInfo.set_universe(ContextInfo.order_df.index.tolist())

    return True





def load_sys_order(ContextInfo):

    try:

        asset_name = ContextInfo.stockcode + '.' + ContextInfo.market

        ContextInfo.set_universe([asset_name])

        direction = 23 if DIR == '买入' else 24

        start_time = datetime.strptime(datetime.now().strftime('%Y%m%d') + str(START_TIME), '%Y%m%d%H%M%S')

        price = D(PRICE)

        vol = int(VOL)

    except BaseException:

        raise ValueError("读取策略面板交易配置失败。请尝试修正挂单配置文件或者策略面板参数。")



    price = float(price)

    ContextInfo.order_df = pd.DataFrame(data=[direction, vol, price, start_time], index=COLNAMES,

                                        columns=[asset_name]).T

    ContextInfo.order_df['finished'] = False

    return





def place_order(ContextInfo):

    if not ContextInfo.can_order or ContextInfo.all_order_done:

        return

    for curr_asset in ContextInfo.get_universe():

        if not ContextInfo.order_df.loc[curr_asset].finished \

                and datetime.now() > ContextInfo.order_df.loc[curr_asset].start_time:

            curr_order = ContextInfo.order_df.loc[curr_asset]

            direction = int(curr_order.direction)

            txt_direction = '买入' if direction == 23 else '卖出'

            price = float(D(curr_order.price))

            vol = int(curr_order.vol)

            order_remark = '隔日文件挂单: 以 {0} {1} {2}'.format(price, txt_direction, curr_asset)

            passorder(direction, 1101, ContextInfo.accID, curr_asset, 11, price, vol, order_remark, 1, order_remark,

                      ContextInfo)

            ContextInfo.order_df.loc[curr_asset, 'finished'] = True



    ContextInfo.all_order_done = all(ContextInfo.order_df['finished'].tolist())





def order_callback(ContextInfo, orderInfo):

    curr_asset = orderInfo.m_strInstrumentID + '.' + orderInfo.m_strExchangeID

    curr_remark = orderInfo.m_strRemark

    curr_status = orderInfo.m_nOrderStatus

    if '隔日文件挂单' in curr_remark and curr_status == 57:

        ContextInfo.order_df.loc[curr_asset, 'finished'] = False

        ContextInfo.all_order_done = False

        logging.error('{0} 隔日文件挂单：报单废单 (柜台返回失败)，原因：{1} 尝试重报'.format(curr_asset, orderInfo.m_strCancelInfo))

    elif '隔日文件挂单' in curr_remark and curr_status == 50:

        logging.info('{0} 隔日文件挂单：报单成功'.format(curr_asset))

    return





def orderError_callback(ContextInfo, orderArgs, errMsg):

    curr_asset = orderArgs.orderCode

    if '隔日文件挂单' in orderArgs.strategyName:

        ContextInfo.order_df.loc[curr_asset, 'finished'] = False

        ContextInfo.all_order_done = False

        logging.error('{0} 隔日文件挂单：账号下单异常 (COS/iQuant校验失败), 错误消息：{1} 尝试重报'.format(curr_asset, errMsg))

        return