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QMT Python 策略开发知识库

QMT Python Strategy Development Knowledge Base

为 QMT（迅投极速策略交易系统）提供完整的 Python 开发参考，分为教程指南和 API 参考两层。

Provides complete Python development references for QMT (Xuntou High-Speed Strategy Trading System), divided into two layers: Tutorial Guides and API References.

📖 文档结构

📖 Document Structure

教程/指南（实践导向）
├── overview.md              系统概述、模式选择、入门路径
├── execution-mechanisms.md  三种运行机制详解（含流程图和代码模板）
├── backtesting-guide.md     回测完整流程（数据准备→参数设置→运行→分析）
├── live-trading-guide.md    实盘交易指南（账号配置→委托管理→风险控制）
├── quick-reference.md       ★ 常用 API 速查卡片
├── best-practices.md        编码规范、性能优化、风险管理、调试技巧
├── joinquant-migration.md   聚宽策略迁移至 QMT 指南
└── examples/                代码示例（backtest / live-trading / subscribe / run-time）

API 参考（官方完整文档）
└── python-innerApi/
    ├── start_now.md          快速开始（回测/实盘概览 + 三种机制示例）
    ├── data_function.md      行情与数据函数（get_market_data_ex 等完整参数）
    ├── trading_function.md   交易函数（passorder、get_trade_detail_data 等）
    ├── system_function.md    系统函数（ContextInfo 方法、定时器等）
    ├── callback_function.md  回调函数（account/order/deal/position 主推）
    ├── quote_function.md     引用函数（扩展数据、因子、VBA调用）
    ├── drawing_function.md   绘图函数
    ├── interface_operation.md 界面操作说明
    ├── data_structure.md     数据结构定义（Bar/Tick/Order/Position 等对象字段）
    ├── enum_constants.md     枚举常量（opType、orderType、委托状态等）
    ├── variable_convention.md 变量约定
    ├── code_examples.md      完整代码示例合集
    ├── user_attention.md     用户注意事项
    └── question_answer.md    常见问题

数据字典
└── dict/                    各品种数据字段（stock / indexes / future / option 等）

Tutorials/Guides (Practice-Oriented)
├── overview.md              System overview, mode selection, getting started path
├── execution-mechanisms.md  Detailed explanation of three operation mechanisms (including flowcharts and code templates)
├── backtesting-guide.md     Complete backtesting process (data preparation → parameter setting → execution → analysis)
├── live-trading-guide.md    Live trading guide (account configuration → order management → risk control)
├── quick-reference.md       ★ Quick reference card for commonly used APIs
├── best-practices.md        Coding standards, performance optimization, risk management, debugging techniques
├── joinquant-migration.md   Guide for migrating JoinQuant strategies to QMT
└── examples/                Code examples (backtest / live-trading / subscribe / run-time)

API References (Official Complete Documentation)
└── python-innerApi/
    ├── start_now.md          Quick start (backtest/live trading overview + three mechanism examples)
    ├── data_function.md      Market and data functions (complete parameters for get_market_data_ex, etc.)
    ├── trading_function.md   Trading functions (passorder, get_trade_detail_data, etc.)
    ├── system_function.md    System functions (ContextInfo methods, timers, etc.)
    ├── callback_function.md  Callback functions (push for account/order/deal/position)
    ├── quote_function.md     Reference functions (extended data, factors, VBA calls)
    ├── drawing_function.md   Drawing functions
    ├── interface_operation.md Interface operation instructions
    ├── data_structure.md     Data structure definitions (fields of Bar/Tick/Order/Position objects, etc.)
    ├── enum_constants.md     Enumeration constants (opType, orderType, order status, etc.)
    ├── variable_convention.md Variable conventions
    ├── code_examples.md      Collection of complete code examples
    ├── user_attention.md     User notes
    └── question_answer.md    Frequently asked questions

Data Dictionary
└── dict/                    Data fields for various varieties (stock / indexes / future / option, etc.)

🚀 使用引导

🚀 Usage Guide

按场景选择入口

Select Entry by Scenario

场景	首先阅读	然后查阅
新手入门	`overview.md` → `execution-mechanisms.md`	`quick-reference.md`
编写回测策略	`backtesting-guide.md`	`examples/backtest.md`
编写实盘策略	`live-trading-guide.md`	`examples/live-trading.md`
查询 API 用法	`quick-reference.md` （速查）	`python-innerApi/data_function.md` 等（完整参数）
从聚宽迁移	`joinquant-migration.md`	`overview.md`
代码质量优化	`best-practices.md`	`examples/`
数据结构查询	`python-innerApi/data_structure.md`	`python-innerApi/enum_constants.md`

Scenario	Read First	Then Refer To
Beginner Getting Started	`overview.md` → `execution-mechanisms.md`	`quick-reference.md`
Writing Backtesting Strategies	`backtesting-guide.md`	`examples/backtest.md`
Writing Live Trading Strategies	`live-trading-guide.md`	`examples/live-trading.md`
Querying API Usage	`quick-reference.md` (quick lookup)	`python-innerApi/data_function.md` , etc. (complete parameters)
Migrating from JoinQuant	`joinquant-migration.md`	`overview.md`
Optimizing Code Quality	`best-practices.md`	`examples/`
Querying Data Structures	`python-innerApi/data_structure.md`	`python-innerApi/enum_constants.md`

快速查找路径

Quick Lookup Path

需要看函数怎么用？
  → quick-reference.md（常用函数精简版）
  → python-innerApi/data_function.md（数据获取类完整文档）
  → python-innerApi/trading_function.md（交易类完整文档）
  → python-innerApi/system_function.md（系统/ContextInfo 方法）

需要看完整代码？
  → python-innerApi/code_examples.md（官方示例合集）
  → examples/（精选示例）

需要查字段含义？
  → python-innerApi/data_structure.md（数据结构定义）
  → dict/（各品种数据字典）

遇到报错/问题？
  → python-innerApi/question_answer.md（官方FAQ）
  → python-innerApi/user_attention.md（注意事项）

Need to know how to use a function?
  → quick-reference.md (simplified version of commonly used functions)
  → python-innerApi/data_function.md (complete documentation for data acquisition functions)
  → python-innerApi/trading_function.md (complete documentation for trading functions)
  → python-innerApi/system_function.md (system/ContextInfo methods)

Need to see complete code?
  → python-innerApi/code_examples.md (official example collection)
  → examples/ (selected examples)

Need to check field meanings?
  → python-innerApi/data_structure.md (data structure definitions)
  → dict/ (data dictionaries for various varieties)

Encounter errors/issues?
  → python-innerApi/question_answer.md (official FAQ)
  → python-innerApi/user_attention.md (notes)

🔧 关键速查

🔧 Key Quick Reference

编码规范

Coding Standards

python

#coding:gbk  # 必须在文件第一行

python

#coding:gbk  # Must be on the first line of the file

核心概念

Core Concepts

概念	说明
handlebar	K线驱动（回测推荐）
subscribe	事件驱动（仅实盘，高频）
run_time	定时触发（监控场景）
quicktrade=0	等待K线完成再下单（逐K线模式）
quicktrade=2	立即下单（不需要等待）
最小单位	100 股

Concept	Description
handlebar	K-line driven (recommended for backtesting)
subscribe	Event-driven (live trading only, high frequency)
run_time	Scheduled trigger (monitoring scenarios)
quicktrade=0	Place order after K-line is completed (per K-line mode)
quicktrade=2	Place order immediately (no waiting required)
Minimum Unit	100 shares

最常用代码

Most Commonly Used Code

python

undefined

python

undefined

获取历史行情数据（回测用 subscribe=False，实盘用 subscribe=True）

Get historical market data (use subscribe=False for backtesting, subscribe=True for live trading)

data = C.get_market_data_ex(['close'], [stock], end_time=bar_date, period='1d', count=100, subscribe=False) close_list = list(data[stock].iloc[:, 0])

获取全推实时行情

Get full push real-time market data

tick = C.get_full_tick(['600000.SH']) price = tick['600000.SH']['lastPrice']

下单买入（23=买入, 1101=按股数, quicktrade=0 逐K线模式）

Place buy order (23=Buy, 1101=By share count, quicktrade=0 per K-line mode)

passorder(23, 1101, account, stock, 5, -1, 100, C)

下单买入（quicktrade=2 立即下单模式）

Place buy order (quicktrade=2 immediate order mode)

passorder(23, 1101, account, stock, 5, -1, 100, '策略名', 2, '备注', C)

passorder(23, 1101, account, stock, 5, -1, 100, 'Strategy Name', 2, 'Remarks', C)

查询持仓

Query positions

holds = get_trade_detail_data(account, 'stock', 'position') holds_dict = {f'{p.m_strInstrumentID}.{p.m_strExchangeID}': p.m_nVolume for p in holds}

查询账户可用资金（单位：分）

Query available account funds (unit: cents)

cash = get_trade_detail_data(account, 'stock', 'account')[0].m_dAvailable

undefined

cash = get_trade_detail_data(account, 'stock', 'account')[0].m_dAvailable

undefined

⚠️ 使用注意事项

⚠️ Usage Notes

编码声明：文件首行必须是
```
#coding:gbk
```
，不可省略
位置参数：
```
get_market_data_ex
```
的前两个参数
```
fields
```
和
```
stocks
```
必须用位置参数，不能用
```
fields=
```
或
```
stocks=
```
subscribe 参数：回测必须
```
False
```
，实盘使用
```
True
```
账号类型：
```
get_trade_detail_data
```
的第二个参数：股票用
```
'stock'
```
，两融用
```
'credit'
```
金额单位：
```
m_dAvailable
```
等金额字段单位是分，需
```
/100
```
转换为元
数量单位：股票交易必须是 100 的整数倍
实盘限制：
```
subscribe
```
和
```
run_time
```
仅支持实盘，不支持回测

Encoding Declaration: The first line of the file must be
```
#coding:gbk
```
, which cannot be omitted
Positional Parameters: The first two parameters
```
fields
```
and
```
stocks
```
of
```
get_market_data_ex
```
must be positional parameters, cannot use
```
fields=
```
or
```
stocks=
```
subscribe Parameter: Must be
```
False
```
for backtesting, use
```
True
```
for live trading
Account Type: The second parameter of
```
get_trade_detail_data
```
: use
```
'stock'
```
for stocks,
```
'credit'
```
for margin trading
Amount Unit: Amount fields such as
```
m_dAvailable
```
are in cents, need to divide by 100 to convert to yuan
Quantity Unit: Stock trading must be in integer multiples of 100
Live Trading Restrictions:
```
subscribe
```
and
```
run_time
```
only support live trading, not backtesting