mirror of
https://github.com/xavierchuan/FX-ML-Trading-Engine.git
synced 2026-07-29 19:17:44 +00:00
xiaochuan
94 lines
2.8 KiB
Python
94 lines
2.8 KiB
Python
"""
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OANDA 执行适配器：把 OrderEvent 转换为 OANDA API 下单，并回写 FillEvent。
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"""
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from __future__ import annotations
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from queue import Queue
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import pandas as pd
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from loguru import logger
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from oandapyV20 import API
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import oandapyV20.endpoints.orders as orders
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from .events import FillEvent, OrderEvent
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def _normalize_instrument(symbol: str) -> str:
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s = symbol.upper().replace(" ", "").replace("/", "_").replace("-", "_")
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if "_" in s and len(s) == 7:
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return s
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stripped = s.replace("_", "")
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if len(stripped) == 6:
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return f"{stripped[:3]}_{stripped[3:]}"
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return s
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class OandaExecution:
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"""
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把 OrderEvent 翻译为 OANDA 订单；成交后投递 FillEvent。
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"""
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def __init__(
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self,
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q: Queue,
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account_id: str,
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access_token: str,
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environment: str = "practice",
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) -> None:
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self.q = q
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self.account_id = account_id
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self.client = API(access_token=access_token, environment=environment)
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def on_event(self, ev) -> None:
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if not isinstance(ev, OrderEvent):
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return
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instrument = _normalize_instrument(ev.symbol)
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units = ev.size if ev.side == "BUY" else -ev.size
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order_body = {
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"instrument": instrument,
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"units": str(int(units)),
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"timeInForce": "FOK",
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"positionFill": "DEFAULT",
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}
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if ev.price is None:
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order_body["type"] = "MARKET"
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else:
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order_body["type"] = "LIMIT"
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order_body["timeInForce"] = "GTC"
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order_body["price"] = f"{ev.price:.5f}"
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payload = {"order": order_body}
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req = orders.OrderCreate(accountID=self.account_id, data=payload)
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try:
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resp = self.client.request(req)
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except Exception as exc:
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logger.error(f"[OANDA] Order submission failed for {instrument}: {exc}")
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return
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fill_txn = resp.get("orderFillTransaction")
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if not fill_txn:
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logger.warning(f"[OANDA] Order accepted but no fill: {resp}")
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return
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try:
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price = float(fill_txn["price"])
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filled_units = abs(float(fill_txn["units"]))
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commission = float(fill_txn.get("commission", 0))
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ts = pd.to_datetime(fill_txn["time"]).to_pydatetime()
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side = "BUY" if float(fill_txn["units"]) > 0 else "SELL"
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except Exception as exc:
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logger.error(f"[OANDA] Unable to parse fill transaction: {fill_txn} ({exc})")
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return
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self.q.put(
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FillEvent(
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ts=ts,
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symbol=ev.symbol,
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side=side,
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size=filled_units,
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price=price,
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commission=abs(commission),
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)
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)
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