基本完毕

core/data_providers.py

@@ -0,0 +1,373 @@
+import MetaTrader5 as mt5
+import pandas as pd
+import random
+from logger import logger
+from abc import ABC, abstractmethod
+from collections import namedtuple
+from config import SIMULATION_CONFIG
+
+class DataProvider(ABC):
+    """数据提供者抽象基类"""
+    @property
+    def is_live(self):
+        return False
+
+    @abstractmethod
+    def initialize(self):
+        pass
+
+    @abstractmethod
+    def shutdown(self):
+        pass
+
+    @abstractmethod
+    def get_current_price(self, symbol):
+        pass
+
+    @abstractmethod
+    def get_historical_data(self, symbol, timeframe, count, **kwargs):
+        pass
+
+    @abstractmethod
+    def get_account_info(self):
+        pass
+
+    @abstractmethod
+    def get_positions(self, symbol):
+        pass
+
+    @abstractmethod
+    def get_symbol_info(self, symbol):
+        pass
+
+    @abstractmethod
+    def send_order(self, symbol, order_type, volume):
+        pass
+
+    @abstractmethod
+    def close_position(self, ticket, symbol, volume):
+        pass
+
+class LiveDataProvider(DataProvider):
+    """实盘数据提供者"""
+    @property
+    def is_live(self):
+        return True
+
+    def initialize(self):
+        if not mt5.initialize():
+            logger.error("MT5初始化失败")
+            return False
+        logger.info("MT5连接成功")
+        return True
+
+    def shutdown(self):
+        mt5.shutdown()
+        logger.info("MT5连接已关闭")
+
+    def get_current_price(self, symbol):
+        tick = mt5.symbol_info_tick(symbol)
+        if tick:
+            # 对于某些品种（如XAUUSD），last价格可能为0，使用bid/ask的平均值作为替代
+            last_price = tick.last if tick.last != 0 else (tick.bid + tick.ask) / 2
+            logger.info(f"获取价格数据 - {symbol}: bid={tick.bid}, ask={tick.ask}, last={tick.last}, 使用last_price={last_price}")
+            return {'bid': tick.bid, 'ask': tick.ask, 'last': last_price, 'time': pd.to_datetime(tick.time, unit='s')}
+        else:
+            logger.error(f"无法获取 {symbol} 的价格数据")
+            return None
+
+    def get_historical_data(self, symbol, timeframe, count, **kwargs):
+        return mt5.copy_rates_from_pos(symbol, timeframe, 0, count)
+
+    def get_account_info(self):
+        return mt5.account_info()
+
+    def get_positions(self, symbol):
+        return mt5.positions_get(symbol=symbol)
+
+    def get_symbol_info(self, symbol):
+        return mt5.symbol_info(symbol)
+
+    def send_order(self, symbol, order_type, volume):
+        price_data = self.get_current_price(symbol)
+        if not price_data:
+            logger.error(f"无法获取 {symbol} 价格，无法下单")
+            return None
+            
+        # 对于买入使用ask价格，卖出使用bid价格
+        price = price_data['ask'] if order_type == "buy" else price_data['bid']
+        logger.info(f"下单价格 - {symbol} {order_type}: 使用价格 {price}")
+        
+        # 检查终端是否允许自动交易
+        if not mt5.terminal_info().trade_allowed:
+            logger.error("MT5终端未启用自动交易！请在MT5中点击'自动交易'按钮或按Ctrl+E启用")
+            return None
+            
+        # 检查账户是否允许交易
+        account_info = mt5.account_info()
+        if account_info and not account_info.trade_allowed:
+            logger.error("当前账户不允许自动交易，请联系 broker")
+            return None
+        
+        # 获取品种信息以确定支持的填充模式
+        symbol_info = mt5.symbol_info(symbol)
+        if not symbol_info:
+            logger.error(f"无法获取 {symbol} 的品种信息")
+            return None
+            
+        # 确定填充模式：优先使用品种支持的填充模式
+        filling_mode = mt5.ORDER_FILLING_IOC  # 默认使用IOC
+        if symbol_info.filling_mode == 1:  # 只支持FILLING模式
+            filling_mode = mt5.ORDER_FILLING_FOK
+        elif symbol_info.filling_mode == 2:  # 只支持RETURN模式
+            filling_mode = mt5.ORDER_FILLING_RETURN
+        elif symbol_info.filling_mode == 3:  # 支持所有模式
+            filling_mode = mt5.ORDER_FILLING_RETURN  # 优先使用RETURN
+            
+        logger.info(f"使用填充模式: {filling_mode} (品种支持模式: {symbol_info.filling_mode})")
+        
+        order_type_mt5 = mt5.ORDER_TYPE_BUY if order_type == "buy" else mt5.ORDER_TYPE_SELL
+        request = {
+            "action": mt5.TRADE_ACTION_DEAL,
+            "symbol": symbol,
+            "volume": volume,
+            "type": order_type_mt5,
+            "price": price,
+            "deviation": 20,
+            "magic": 234000,
+            "comment": f"{order_type} order",
+            "type_filling": filling_mode,
+        }
+        result = mt5.order_send(request)
+        
+        # 检查常见错误代码
+        if result and hasattr(result, 'retcode'):
+            if result.retcode == 10027:
+                logger.error("自动交易被禁用！请在MT5中：")
+                logger.error("1. 点击工具栏的'自动交易'按钮（绿色播放图标）")
+                logger.error("2. 或按快捷键 Ctrl+E")
+                logger.error("3. 确保按钮变为绿色状态")
+            elif result.retcode == 10030:
+                logger.error("订单填充模式不支持！尝试其他填充模式...")
+                # 如果RETURN模式失败，尝试IOC模式
+                if filling_mode != mt5.ORDER_FILLING_IOC:
+                    logger.info("尝试使用IOC填充模式...")
+                    request["type_filling"] = mt5.ORDER_FILLING_IOC
+                    result = mt5.order_send(request)
+                # 如果IOC模式也失败，尝试FOK模式
+                if result and result.retcode == 10030 and filling_mode != mt5.ORDER_FILLING_FOK:
+                    logger.info("尝试使用FOK填充模式...")
+                    request["type_filling"] = mt5.ORDER_FILLING_FOK
+                    result = mt5.order_send(request)
+            elif result.retcode != 10009:  # 10009 = 成功
+                logger.error(f"下单失败，错误代码: {result.retcode}, 错误信息: {result.comment if hasattr(result, 'comment') else '未知错误'}")
+        
+        return result
+
+    def close_position(self, ticket, symbol, volume):
+        positions = self.get_positions(symbol)
+        if not positions: 
+            logger.error(f"未找到任何持仓")
+            return False
+        
+        target_position = None
+        for pos in positions:
+            if pos.ticket == ticket:
+                target_position = pos
+                break
+        
+        if not target_position:
+            logger.error(f"未找到ticket为 {ticket} 的持仓")
+            return False
+        
+        # 获取当前tick价格
+        tick = mt5.symbol_info_tick(symbol)
+        if not tick:
+            logger.error(f"无法获取 {symbol} 的当前价格")
+            return False
+        
+        # 根据持仓类型确定平仓价格和订单类型
+        if target_position.type == mt5.POSITION_TYPE_BUY:  # 多单平仓
+            close_price = tick.bid
+            order_type = mt5.ORDER_TYPE_SELL
+        else:  # 空单平仓
+            close_price = tick.ask
+            order_type = mt5.ORDER_TYPE_BUY
+        
+        # 获取品种信息以确定支持的填充模式
+        symbol_info = mt5.symbol_info(symbol)
+        if not symbol_info:
+            logger.error(f"无法获取 {symbol} 的品种信息")
+            return False
+            
+        # 确定填充模式：优先使用IOC（即时成交或取消）
+        filling_mode = mt5.ORDER_FILLING_IOC
+        if symbol_info.filling_mode == 1:  # 只支持FILLING模式
+            filling_mode = mt5.ORDER_FILLING_FOK
+        elif symbol_info.filling_mode == 2:  # 只支持RETURN模式
+            filling_mode = mt5.ORDER_FILLING_RETURN
+        elif symbol_info.filling_mode == 3:  # 支持所有模式
+            filling_mode = mt5.ORDER_FILLING_IOC  # 优先使用IOC
+        
+        request = {
+            "action": mt5.TRADE_ACTION_DEAL,
+            "position": target_position.ticket,
+            "symbol": symbol,
+            "volume": volume,
+            "type": order_type,
+            "price": close_price,
+            "deviation": 20,
+            "magic": 234000,
+            "comment": f"Close position {ticket}",
+            "type_filling": filling_mode,
+        }
+        
+        logger.info(f"发送平仓请求: Ticket={ticket}, 价格={close_price}, 类型={order_type}, 填充模式={filling_mode}")
+        
+        result = mt5.order_send(request)
+        
+        if result.retcode == mt5.TRADE_RETCODE_DONE:
+            logger.info(f"平仓成功: Ticket {ticket}")
+            return True
+        else:
+            logger.error(f"平仓失败: Ticket={ticket}, 错误码={result.retcode}, 错误信息={result.comment}")
+            # 记录常见错误的具体原因
+            if result.retcode == 10027:
+                logger.error("自动交易被禁用！请在MT5中启用自动交易")
+            elif result.retcode == 10006:
+                logger.error("请求被拒绝，可能是价格变动过快")
+            elif result.retcode == 10013:
+                logger.error("无效请求，检查参数是否正确")
+            elif result.retcode == 10016:
+                logger.error("无效的成交量，检查手数是否符合要求")
+            return False
+
+class DryRunDataProvider(DataProvider):
+    """
+    纸上交易提供者 (Paper Trading / Dry Run)
+    - 使用来自MT5的实时价格数据
+    - 模拟下单和持仓，不发送真实订单
+    - 考虑点差影响
+    """
+    def __init__(self, initial_equity=10000, leverage=100):
+        self.simulated_ticket_counter = 0
+        self.equity = initial_equity
+        self.leverage = leverage
+        # 使用LiveDataProvider作为获取市场数据的来源
+        self._live_data_source = LiveDataProvider()
+        # 从配置获取点差
+        self.spread = SIMULATION_CONFIG.get("spread", 16)
+
+    def initialize(self):
+        logger.info("纸上交易模式初始化...")
+        return self._live_data_source.initialize()
+
+    def shutdown(self):
+        logger.info("纸上交易模式关闭.")
+        self._live_data_source.shutdown()
+
+    # --- 数据获取方法 (委托给LiveDataProvider) ---
+    def get_current_price(self, symbol):
+        price_data = self._live_data_source.get_current_price(symbol)
+        if price_data:
+            # 计算双向点差值（各一半）
+            spread_half = self.spread * 0.01 / 2  # XAUUSD: 1点 = 0.01，双向点差各一半
+            # 使用中间价计算双向点差
+            mid_price = price_data['last']
+            # 返回考虑双向点差的价格
+            return {
+                'bid': mid_price - spread_half,  # 卖出价格（中间价 - 点差/2）
+                'ask': mid_price + spread_half,  # 买入价格（中间价 + 点差/2）
+                'last': mid_price,  # 最后成交价（中间价）
+                'time': price_data['time']
+            }
+        return None
+
+    def get_historical_data(self, symbol, timeframe, count, **kwargs):
+        return self._live_data_source.get_historical_data(symbol, timeframe, count, **kwargs)
+
+    def get_symbol_info(self, symbol):
+        return self._live_data_source.get_symbol_info(symbol)
+
+    # --- 模拟状态和交易方法 ---
+    def get_account_info(self):
+        # 账户信息是模拟的，因为没有真实账户活动
+        return {'equity': self.equity}
+
+    def get_positions(self, symbol):
+        # 持仓信息是模拟的，由PositionManager在内部管理，这里返回空列表
+        return []
+
+    def send_order(self, symbol, order_type, volume):
+        self.simulated_ticket_counter += 1
+        price_data = self.get_current_price(symbol)
+        price = price_data['last'] if price_data else "N/A"
+        logger.info(f"[纸上交易] 模拟下单: {order_type} {volume:.2f}手 {symbol} @ {price}")
+        return {'order': self.simulated_ticket_counter}
+
+    def close_position(self, ticket, symbol, volume):
+        price_data = self.get_current_price(symbol)
+        price = price_data['last'] if price_data else "N/A"
+        logger.info(f"[纸上交易] 模拟平仓: Ticket {ticket} @ {price}")
+        return True
+
+class BacktestDataProvider(DataProvider):
+    """回测数据提供者"""
+    def __init__(self, df, initial_equity=10000, leverage=100):
+        self.df = df
+        self.current_index = 0
+        self.equity = initial_equity
+        self.leverage = leverage
+        self.simulated_ticket_counter = 0
+        # 从配置获取点差
+        self.spread = SIMULATION_CONFIG.get("spread", 16)
+
+    def initialize(self): return True
+    def shutdown(self): pass
+    def get_account_info(self):
+        return {'equity': self.equity}
+
+    def get_positions(self, symbol): return []
+    def get_symbol_info(self, symbol):
+        return {
+            'trade_contract_size': SIMULATION_CONFIG['contract_size'],
+            'volume_step': SIMULATION_CONFIG['volume_step'],
+            'volume_min': SIMULATION_CONFIG['volume_min'],
+            'volume_max': SIMULATION_CONFIG['volume_max'],
+        }
+
+    def get_current_price(self, symbol):
+        if self.current_index >= len(self.df):
+            return None
+        row = self.df.iloc[self.current_index]
+        # 计算双向点差值（各一半）
+        spread_half = self.spread * 0.01 / 2  # XAUUSD: 1点 = 0.01，双向点差各一半
+        # 返回考虑双向点差的价格
+        return {
+            'bid': row.close - spread_half,  # 卖出价格（中间价 - 点差/2）
+            'ask': row.close + spread_half,  # 买入价格（中间价 + 点差/2）
+            'last': row.close,  # 最后成交价（中间价）
+            'time': row.name
+        }
+
+    def get_historical_data(self, symbol, timeframe, count, **kwargs):
+        if self.current_index < count:
+            return None
+        end_index = self.current_index + 1
+        start_index = max(0, end_index - count)
+        return self.df.iloc[start_index:end_index].to_dict('records')
+
+    def send_order(self, symbol, order_type, volume):
+        self.simulated_ticket_counter += 1
+        logger.info(f"[回测模式] 下单: {order_type} {volume:.2f}手 {symbol}")
+        return {'order': self.simulated_ticket_counter}
+
+    def close_position(self, ticket, symbol, volume):
+        logger.info(f"[回测模式] 平仓: Ticket {ticket}")
+        return True
+
+    def tick(self):
+        if self.current_index < len(self.df) - 1:
+            self.current_index += 1
+            return True
+        return False