mirror of
https://github.com/silencesdg/mt5_python_ea_suite.git
synced 2026-07-29 11:47:44 +00:00
songkunling
374 lines
14 KiB
Python
374 lines
14 KiB
Python
import MetaTrader5 as mt5
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import pandas as pd
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import random
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from logger import logger
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from abc import ABC, abstractmethod
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from collections import namedtuple
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from config import SIMULATION_CONFIG
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class DataProvider(ABC):
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"""数据提供者抽象基类"""
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@property
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def is_live(self):
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return False
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@abstractmethod
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def initialize(self):
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pass
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@abstractmethod
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def shutdown(self):
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pass
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@abstractmethod
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def get_current_price(self, symbol):
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pass
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@abstractmethod
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def get_historical_data(self, symbol, timeframe, count, **kwargs):
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pass
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@abstractmethod
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def get_account_info(self):
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pass
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@abstractmethod
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def get_positions(self, symbol):
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pass
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@abstractmethod
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def get_symbol_info(self, symbol):
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pass
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@abstractmethod
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def send_order(self, symbol, order_type, volume):
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pass
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@abstractmethod
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def close_position(self, ticket, symbol, volume):
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pass
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class LiveDataProvider(DataProvider):
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"""实盘数据提供者"""
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@property
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def is_live(self):
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return True
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def initialize(self):
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if not mt5.initialize():
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logger.error("MT5初始化失败")
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return False
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logger.info("MT5连接成功")
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return True
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def shutdown(self):
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mt5.shutdown()
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logger.info("MT5连接已关闭")
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def get_current_price(self, symbol):
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tick = mt5.symbol_info_tick(symbol)
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if tick:
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# 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
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last_price = tick.last if tick.last != 0 else (tick.bid + tick.ask) / 2
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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}")
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return {'bid': tick.bid, 'ask': tick.ask, 'last': last_price, 'time': pd.to_datetime(tick.time, unit='s')}
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else:
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logger.error(f"无法获取 {symbol} 的价格数据")
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return None
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def get_historical_data(self, symbol, timeframe, count, **kwargs):
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return mt5.copy_rates_from_pos(symbol, timeframe, 0, count)
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def get_account_info(self):
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return mt5.account_info()
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def get_positions(self, symbol):
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return mt5.positions_get(symbol=symbol)
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def get_symbol_info(self, symbol):
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return mt5.symbol_info(symbol)
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def send_order(self, symbol, order_type, volume):
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price_data = self.get_current_price(symbol)
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if not price_data:
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logger.error(f"无法获取 {symbol} 价格，无法下单")
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return None
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# 对于买入使用ask价格，卖出使用bid价格
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price = price_data['ask'] if order_type == "buy" else price_data['bid']
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logger.info(f"下单价格 - {symbol} {order_type}: 使用价格 {price}")
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# 检查终端是否允许自动交易
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if not mt5.terminal_info().trade_allowed:
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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")
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return None
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# 检查账户是否允许交易
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account_info = mt5.account_info()
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if account_info and not account_info.trade_allowed:
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logger.error("当前账户不允许自动交易，请联系 broker")
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return None
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# 获取品种信息以确定支持的填充模式
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symbol_info = mt5.symbol_info(symbol)
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if not symbol_info:
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logger.error(f"无法获取 {symbol} 的品种信息")
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return None
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# 确定填充模式：优先使用品种支持的填充模式
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filling_mode = mt5.ORDER_FILLING_IOC # 默认使用IOC
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if symbol_info.filling_mode == 1: # 只支持FILLING模式
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filling_mode = mt5.ORDER_FILLING_FOK
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elif symbol_info.filling_mode == 2: # 只支持RETURN模式
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filling_mode = mt5.ORDER_FILLING_RETURN
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elif symbol_info.filling_mode == 3: # 支持所有模式
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filling_mode = mt5.ORDER_FILLING_RETURN # 优先使用RETURN
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logger.info(f"使用填充模式: {filling_mode} (品种支持模式: {symbol_info.filling_mode})")
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order_type_mt5 = mt5.ORDER_TYPE_BUY if order_type == "buy" else mt5.ORDER_TYPE_SELL
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request = {
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"action": mt5.TRADE_ACTION_DEAL,
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"symbol": symbol,
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"volume": volume,
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"type": order_type_mt5,
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"price": price,
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"deviation": 20,
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"magic": 234000,
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"comment": f"{order_type} order",
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"type_filling": filling_mode,
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}
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result = mt5.order_send(request)
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# 检查常见错误代码
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if result and hasattr(result, 'retcode'):
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if result.retcode == 10027:
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logger.error("自动交易被禁用！请在MT5中：")
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logger.error("1. 点击工具栏的'自动交易'按钮（绿色播放图标）")
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logger.error("2. 或按快捷键 Ctrl+E")
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logger.error("3. 确保按钮变为绿色状态")
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elif result.retcode == 10030:
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logger.error("订单填充模式不支持！尝试其他填充模式...")
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# 如果RETURN模式失败，尝试IOC模式
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if filling_mode != mt5.ORDER_FILLING_IOC:
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logger.info("尝试使用IOC填充模式...")
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request["type_filling"] = mt5.ORDER_FILLING_IOC
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result = mt5.order_send(request)
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# 如果IOC模式也失败，尝试FOK模式
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if result and result.retcode == 10030 and filling_mode != mt5.ORDER_FILLING_FOK:
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logger.info("尝试使用FOK填充模式...")
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request["type_filling"] = mt5.ORDER_FILLING_FOK
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result = mt5.order_send(request)
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elif result.retcode != 10009: # 10009 = 成功
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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'}")
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return result
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def close_position(self, ticket, symbol, volume):
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positions = self.get_positions(symbol)
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if not positions:
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logger.error(f"未找到任何持仓")
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return False
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target_position = None
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for pos in positions:
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if pos.ticket == ticket:
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target_position = pos
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break
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if not target_position:
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logger.error(f"未找到ticket为 {ticket} 的持仓")
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return False
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# 获取当前tick价格
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tick = mt5.symbol_info_tick(symbol)
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if not tick:
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logger.error(f"无法获取 {symbol} 的当前价格")
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return False
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# 根据持仓类型确定平仓价格和订单类型
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if target_position.type == mt5.POSITION_TYPE_BUY: # 多单平仓
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close_price = tick.bid
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order_type = mt5.ORDER_TYPE_SELL
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else: # 空单平仓
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close_price = tick.ask
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order_type = mt5.ORDER_TYPE_BUY
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# 获取品种信息以确定支持的填充模式
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symbol_info = mt5.symbol_info(symbol)
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if not symbol_info:
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logger.error(f"无法获取 {symbol} 的品种信息")
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return False
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# 确定填充模式：优先使用IOC（即时成交或取消）
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filling_mode = mt5.ORDER_FILLING_IOC
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if symbol_info.filling_mode == 1: # 只支持FILLING模式
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filling_mode = mt5.ORDER_FILLING_FOK
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elif symbol_info.filling_mode == 2: # 只支持RETURN模式
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filling_mode = mt5.ORDER_FILLING_RETURN
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elif symbol_info.filling_mode == 3: # 支持所有模式
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filling_mode = mt5.ORDER_FILLING_IOC # 优先使用IOC
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request = {
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"action": mt5.TRADE_ACTION_DEAL,
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"position": target_position.ticket,
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"symbol": symbol,
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"volume": volume,
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"type": order_type,
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"price": close_price,
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"deviation": 20,
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"magic": 234000,
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"comment": f"Close position {ticket}",
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"type_filling": filling_mode,
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}
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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}")
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result = mt5.order_send(request)
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if result.retcode == mt5.TRADE_RETCODE_DONE:
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logger.info(f"平仓成功: Ticket {ticket}")
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return True
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else:
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logger.error(f"平仓失败: Ticket={ticket}, 错误码={result.retcode}, 错误信息={result.comment}")
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# 记录常见错误的具体原因
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if result.retcode == 10027:
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logger.error("自动交易被禁用！请在MT5中启用自动交易")
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elif result.retcode == 10006:
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logger.error("请求被拒绝，可能是价格变动过快")
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elif result.retcode == 10013:
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logger.error("无效请求，检查参数是否正确")
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elif result.retcode == 10016:
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logger.error("无效的成交量，检查手数是否符合要求")
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return False
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class DryRunDataProvider(DataProvider):
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"""
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纸上交易提供者 (Paper Trading / Dry Run)
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- 使用来自MT5的实时价格数据
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- 模拟下单和持仓，不发送真实订单
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- 考虑点差影响
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"""
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def __init__(self, initial_equity=10000, leverage=100):
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self.simulated_ticket_counter = 0
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self.equity = initial_equity
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self.leverage = leverage
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# 使用LiveDataProvider作为获取市场数据的来源
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self._live_data_source = LiveDataProvider()
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# 从配置获取点差
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self.spread = SIMULATION_CONFIG.get("spread", 16)
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def initialize(self):
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logger.info("纸上交易模式初始化...")
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return self._live_data_source.initialize()
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def shutdown(self):
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logger.info("纸上交易模式关闭.")
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self._live_data_source.shutdown()
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# --- 数据获取方法 (委托给LiveDataProvider) ---
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def get_current_price(self, symbol):
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price_data = self._live_data_source.get_current_price(symbol)
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if price_data:
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# 计算双向点差值（各一半）
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spread_half = self.spread * 0.01 / 2 # XAUUSD: 1点 = 0.01，双向点差各一半
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# 使用中间价计算双向点差
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mid_price = price_data['last']
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# 返回考虑双向点差的价格
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return {
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'bid': mid_price - spread_half, # 卖出价格（中间价 - 点差/2）
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'ask': mid_price + spread_half, # 买入价格（中间价 + 点差/2）
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'last': mid_price, # 最后成交价（中间价）
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'time': price_data['time']
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}
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return None
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def get_historical_data(self, symbol, timeframe, count, **kwargs):
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return self._live_data_source.get_historical_data(symbol, timeframe, count, **kwargs)
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def get_symbol_info(self, symbol):
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return self._live_data_source.get_symbol_info(symbol)
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# --- 模拟状态和交易方法 ---
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def get_account_info(self):
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# 账户信息是模拟的，因为没有真实账户活动
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return {'equity': self.equity}
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def get_positions(self, symbol):
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# 持仓信息是模拟的，由PositionManager在内部管理，这里返回空列表
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return []
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def send_order(self, symbol, order_type, volume):
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self.simulated_ticket_counter += 1
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price_data = self.get_current_price(symbol)
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price = price_data['last'] if price_data else "N/A"
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logger.info(f"[纸上交易] 模拟下单: {order_type} {volume:.2f}手 {symbol} @ {price}")
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return {'order': self.simulated_ticket_counter}
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def close_position(self, ticket, symbol, volume):
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price_data = self.get_current_price(symbol)
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price = price_data['last'] if price_data else "N/A"
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logger.info(f"[纸上交易] 模拟平仓: Ticket {ticket} @ {price}")
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return True
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class BacktestDataProvider(DataProvider):
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"""回测数据提供者"""
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def __init__(self, df, initial_equity=10000, leverage=100):
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self.df = df
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self.current_index = 0
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self.equity = initial_equity
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self.leverage = leverage
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self.simulated_ticket_counter = 0
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# 从配置获取点差
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self.spread = SIMULATION_CONFIG.get("spread", 16)
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def initialize(self): return True
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def shutdown(self): pass
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def get_account_info(self):
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return {'equity': self.equity}
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def get_positions(self, symbol): return []
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def get_symbol_info(self, symbol):
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return {
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'trade_contract_size': SIMULATION_CONFIG['contract_size'],
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'volume_step': SIMULATION_CONFIG['volume_step'],
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'volume_min': SIMULATION_CONFIG['volume_min'],
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'volume_max': SIMULATION_CONFIG['volume_max'],
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}
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def get_current_price(self, symbol):
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if self.current_index >= len(self.df):
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return None
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row = self.df.iloc[self.current_index]
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# 计算双向点差值（各一半）
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spread_half = self.spread * 0.01 / 2 # XAUUSD: 1点 = 0.01，双向点差各一半
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# 返回考虑双向点差的价格
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return {
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'bid': row.close - spread_half, # 卖出价格（中间价 - 点差/2）
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'ask': row.close + spread_half, # 买入价格（中间价 + 点差/2）
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'last': row.close, # 最后成交价（中间价）
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'time': row.name
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}
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def get_historical_data(self, symbol, timeframe, count, **kwargs):
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if self.current_index < count:
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return None
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end_index = self.current_index + 1
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start_index = max(0, end_index - count)
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return self.df.iloc[start_index:end_index].to_dict('records')
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def send_order(self, symbol, order_type, volume):
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self.simulated_ticket_counter += 1
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logger.info(f"[回测模式] 下单: {order_type} {volume:.2f}手 {symbol}")
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return {'order': self.simulated_ticket_counter}
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def close_position(self, ticket, symbol, volume):
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logger.info(f"[回测模式] 平仓: Ticket {ticket}")
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return True
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def tick(self):
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if self.current_index < len(self.df) - 1:
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self.current_index += 1
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return True
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return False
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