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QuantTrader/core/oanda_execution.py

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+"""
+OANDA 执行适配器：把 OrderEvent 转换为 OANDA API 下单，并回写 FillEvent。
+"""
+
+from __future__ import annotations
+
+from queue import Queue
+
+import pandas as pd
+from loguru import logger
+from oandapyV20 import API
+import oandapyV20.endpoints.orders as orders
+
+from .events import FillEvent, OrderEvent
+
+
+def _normalize_instrument(symbol: str) -> str:
+    s = symbol.upper().replace(" ", "").replace("/", "_").replace("-", "_")
+    if "_" in s and len(s) == 7:
+        return s
+    stripped = s.replace("_", "")
+    if len(stripped) == 6:
+        return f"{stripped[:3]}_{stripped[3:]}"
+    return s
+
+
+class OandaExecution:
+    """
+    把 OrderEvent 翻译为 OANDA 订单；成交后投递 FillEvent。
+    """
+
+    def __init__(
+        self,
+        q: Queue,
+        account_id: str,
+        access_token: str,
+        environment: str = "practice",
+    ) -> None:
+        self.q = q
+        self.account_id = account_id
+        self.client = API(access_token=access_token, environment=environment)
+
+    def on_event(self, ev) -> None:
+        if not isinstance(ev, OrderEvent):
+            return
+        instrument = _normalize_instrument(ev.symbol)
+        units = ev.size if ev.side == "BUY" else -ev.size
+        order_body = {
+            "instrument": instrument,
+            "units": str(int(units)),
+            "timeInForce": "FOK",
+            "positionFill": "DEFAULT",
+        }
+        if ev.price is None:
+            order_body["type"] = "MARKET"
+        else:
+            order_body["type"] = "LIMIT"
+            order_body["timeInForce"] = "GTC"
+            order_body["price"] = f"{ev.price:.5f}"
+
+        payload = {"order": order_body}
+        req = orders.OrderCreate(accountID=self.account_id, data=payload)
+        try:
+            resp = self.client.request(req)
+        except Exception as exc:
+            logger.error(f"[OANDA] Order submission failed for {instrument}: {exc}")
+            return
+
+        fill_txn = resp.get("orderFillTransaction")
+        if not fill_txn:
+            logger.warning(f"[OANDA] Order accepted but no fill: {resp}")
+            return
+
+        try:
+            price = float(fill_txn["price"])
+            filled_units = abs(float(fill_txn["units"]))
+            commission = float(fill_txn.get("commission", 0))
+            ts = pd.to_datetime(fill_txn["time"]).to_pydatetime()
+            side = "BUY" if float(fill_txn["units"]) > 0 else "SELL"
+        except Exception as exc:
+            logger.error(f"[OANDA] Unable to parse fill transaction: {fill_txn} ({exc})")
+            return
+
+        self.q.put(
+            FillEvent(
+                ts=ts,
+                symbol=ev.symbol,
+                side=side,
+                size=filled_units,
+                price=price,
+                commission=abs(commission),
+            )
+        )