mirror of
https://github.com/xavierchuan/FX-ML-Trading-Engine.git
synced 2026-07-27 18:17:44 +00:00
xiaochuan
118 lines
4.4 KiB
Python
118 lines
4.4 KiB
Python
from typing import Optional
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from datetime import datetime
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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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import csv
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from pathlib import Path
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from .base import ExecutionHandler, OrderEvent, FillEvent
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class OANDAExecutionHandler(ExecutionHandler):
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"""实盘环境下的 OANDA 执行实现。"""
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def __init__(self, account_id: str, access_token: str, environment: str = "practice", fills_path: Optional[str] = None):
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super().__init__()
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self.client = API(access_token=access_token, environment=environment)
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self.account_id = account_id
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default_dir = Path("results/execution/live") if environment == "live" else Path("results/execution/paper")
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default_dir.mkdir(parents=True, exist_ok=True)
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self._fills_csv = Path(fills_path) if fills_path else default_dir / "fills.csv"
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if not self._fills_csv.exists():
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self._init_csv()
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def _init_csv(self) -> None:
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with self._fills_csv.open("w", newline="", encoding="utf-8") as f:
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writer = csv.DictWriter(
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f,
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fieldnames=["order_id", "ts", "symbol", "pnl", "adapter_latency_ms", "direction", "price", "quantity"],
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)
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writer.writeheader()
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async def execute_order(self, order: OrderEvent) -> None:
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# 将 OrderEvent 转换为 OANDA 下单请求
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instrument = order.instrument.replace("_", "_")
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units = int(order.quantity) if order.direction.upper() in ("BUY", "LONG") else -int(order.quantity)
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order_body = {
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"instrument": instrument,
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"units": str(units),
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"timeInForce": "FOK",
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"positionFill": "DEFAULT",
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}
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if order.price:
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order_body["type"] = "LIMIT"
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order_body["price"] = f"{order.price:.5f}"
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order_body["timeInForce"] = "GTC"
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else:
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order_body["type"] = "MARKET"
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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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order.status = "REJECTED"
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await self._notify_order(order)
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return
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order.status = "SUBMITTED"
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await self._notify_order(order)
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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 = datetime.fromisoformat(fill_txn["time"].replace("Z", "+00:00"))
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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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fill = FillEvent(
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instrument=order.instrument,
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direction=side,
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quantity=filled_units,
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price=price,
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timestamp=ts,
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commission=abs(commission),
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order_id=order.order_id
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)
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order.status = "FILLED"
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await self._notify_order(order)
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await self._notify_fill(fill)
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self.fills.append(fill)
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self.update_position(fill)
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self._append_fill_csv(fill)
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def _append_fill_csv(self, fill: FillEvent) -> None:
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record = {
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"order_id": fill.order_id or "",
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"ts": fill.timestamp.isoformat(),
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"symbol": fill.instrument,
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"pnl": 0.0,
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"adapter_latency_ms": None,
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"direction": fill.direction,
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"price": fill.price,
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"quantity": fill.quantity,
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}
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with self._fills_csv.open("a", newline="", encoding="utf-8") as f:
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writer = csv.DictWriter(f, fieldnames=record.keys())
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writer.writerow(record)
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async def cancel_order(self, order_id: str) -> bool:
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# OANDA 取消需要调用 OrderCancel 或交易 API；简单实现为更新状态
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if order_id in self.orders:
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order = self.orders[order_id]
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order.status = "CANCELLED"
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await self._notify_order(order)
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return True
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return False
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