def on_execution_report(context, execrpt):
"""响应委托被执行事件，委托成交或者撤单拒绝后被触发。
https://www.myquant.cn/docs/python/python_trade_event#on_execution_report%20-%20%E5%A7%94%E6%89%98%E6%89%A7%E8%A1%8C%E5%9B%9E%E6%8A%A5%E4%BA%8B%E4%BB%B6
https://www.myquant.cn/docs/python/python_object_trade#ExecRpt%20-%20%E5%9B%9E%E6%8A%A5%E5%AF%B9%E8%B1%A1
:param context:
:param execrpt:
:return:
"""
if context.now.isoweekday() > 5 or context.now.hour not in [
9, 10, 11, 13, 14
]:
# print(f"on_execution_report: {context.now} 不是交易时间")
return
latest_dt = context.now.strftime(dt_fmt)
logger = context.logger
msg = f"委托订单被执行通知：\n{'*' * 31}\n" \
f"时间：{latest_dt}\n" \
f"标的：{execrpt.symbol}\n" \
f"名称：{context.stocks.get(execrpt.symbol, '无名')}\n" \
f"方向：{order_side_map[execrpt.side]}{pos_effect_map[execrpt.position_effect]}\n" \
f"成交量：{int(execrpt.volume)}\n" \
f"成交价：{round(execrpt.price, 2)}\n" \
f"执行回报类型：{exec_type_map[execrpt.exec_type]}"
logger.info(msg.replace("\n", " - ").replace('*', ""))
if context.mode != MODE_BACKTEST and execrpt.exec_type in [
1, 5, 6, 8, 12, 19
]:
wx.push_text(content=str(msg), key=context.wx_key)
def on_backtest_finished(context, indicator):
"""
:param context:
:param indicator:
https://www.myquant.cn/docs/python/python_object_trade#bd7f5adf22081af5
:return:
"""
logger = context.logger
logger.info(str(indicator))
logger.info("回测结束 ... ")
cash = context.account().cash
for k, v in indicator.items():
if isinstance(v, float):
indicator[k] = round(v, 4)
symbol = list(context.symbols)[0]
row = OrderedDict({
"研究标的": ", ".join(list(context.symbols_map.keys())),
"回测开始时间": context.backtest_start_time,
"回测结束时间": context.backtest_end_time,
"累计收益率": indicator['pnl_ratio'],
"最大回撤": indicator['max_drawdown'],
"年化收益率": indicator['pnl_ratio_annual'],
"夏普比率": indicator['sharp_ratio'],
"盈利次数": indicator['win_count'],
"亏损次数": indicator['lose_count'],
"交易胜率": indicator['win_ratio'],
"累计出入金": int(cash['cum_inout']),
"累计交易额": int(cash['cum_trade']),
"累计手续费": int(cash['cum_commission']),
"累计平仓收益": int(cash['cum_pnl']),
"净收益": int(cash['pnl']),
"因子版本": context.symbols_map[symbol]['trader'].version,
"开多因子": context.symbols_map[symbol]['trader'].long_open_factors,
"平多因子": context.symbols_map[symbol]['trader'].long_close_factors,
"开空因子": context.symbols_map[symbol]['trader'].short_open_factors,
"平空因子": context.symbols_map[symbol]['trader'].short_close_factors,
})
df = pd.DataFrame([row])
df.to_excel(os.path.join(context.data_path, "回测结果.xlsx"), index=False)
logger.info("回测结果：{}".format(row))
content = ""
for k, v in row.items():
if k not in ["开多因子", '平多因子', '开空因子', '平空因子']:
content += "{}: {}\n".format(k, v)
push_text(content=content, key=context.wx_key)
for symbol in context.symbols:
# 查看买卖详情
file_bs = os.path.join(context.cache_path, "{}_bs.txt".format(symbol))
if os.path.exists(file_bs):
lines = [eval(x) for x in open(file_bs, 'r', encoding="utf-8").read().strip().split("\n")]
df = pd.DataFrame(lines)
print(symbol, "\n", df.desc.value_counts())
print(df)
def on_error(context, code, info):
if context.now.isoweekday() > 5 or context.now.hour not in [
9, 10, 11, 13, 14
]:
# print(f"on_error: {context.now} 不是交易时间")
return
logger = context.logger
msg = "{} - {}".format(code, info)
logger.warn(msg)
if context.mode != MODE_BACKTEST:
wx.push_text(content=msg, key=context.wx_key)
def on_order_status(context, order):
"""
https://www.myquant.cn/docs/python/python_object_trade#007ae8f5c7ec5298
:param context:
:param order:
:return:
"""
if context.now.isoweekday() > 5 or context.now.hour not in [
9, 10, 11, 13, 14
]:
# print(f"on_order_status: {context.now} 不是交易时间")
return
symbol = order.symbol
latest_dt = context.now.strftime("%Y-%m-%d %H:%M:%S")
logger = context.logger
if symbol not in context.symbols_info.keys():
msg = f"订单状态更新通知：\n{'*' * 31}\n" \
f"更新时间：{latest_dt}\n" \
f"标的名称：{symbol} {context.stocks.get(symbol, '无名')}\n" \
f"操作类型：{order_side_map[order.side]}{pos_effect_map[order.position_effect]}\n" \
f"操作描述：非机器交易标的\n" \
f"下单价格：{round(order.price, 2)}\n" \
f"最新状态：{order_status_map[order.status]}\n" \
f"委托（股）：{int(order.volume)}\n" \
f"已成（股）：{int(order.filled_volume)}\n" \
f"均价（元）：{round(order.filled_vwap, 2)}"
else:
trader: GmCzscTrader = context.symbols_info[symbol]['trader']
if trader.long_pos.operates:
last_op_desc = trader.long_pos.operates[-1]['op_desc']
else:
last_op_desc = ""
msg = f"订单状态更新通知：\n{'*' * 31}\n" \
f"更新时间：{latest_dt}\n" \
f"标的名称：{symbol} {context.stocks.get(symbol, '无名')}\n" \
f"操作类型：{order_side_map[order.side]}{pos_effect_map[order.position_effect]}\n" \
f"操作描述：{last_op_desc}\n" \
f"下单价格：{round(order.price, 2)}\n" \
f"最新状态：{order_status_map[order.status]}\n" \
f"委托（股）：{int(order.volume)}\n" \
f"已成（股）：{int(order.filled_volume)}\n" \
f"均价（元）：{round(order.filled_vwap, 2)}"
logger.info(msg.replace("\n", " - ").replace('*', ""))
if context.mode != MODE_BACKTEST and order.status in [1, 3, 5, 8, 9, 12]:
wx.push_text(content=str(msg), key=context.wx_key)
def report_account_status(context):
"""报告账户持仓状态"""
if context.now.isoweekday() > 5:
print(f"{context.now} 不是交易时间")
return
logger = context.logger
latest_dt = context.now.strftime(dt_fmt)
account = context.account(account_id=context.account_id)
cash = account.cash
positions = account.positions()
logger.info("=" * 30 + f" 账户状态【{latest_dt}】 " + "=" * 30)
cash_report = f"净值：{int(cash.nav)}，可用资金：{int(cash.available)}，" \
f"浮动盈亏：{int(cash.fpnl)}，标的数量：{len(positions)}"
logger.info(cash_report)
for p in positions:
p_report = f"标的：{p.symbol}，名称：{context.stocks.get(p.symbol, '无名')}，" \
f"数量：{p.volume}，成本：{round(p.vwap, 2)}，方向：{p.side}，" \
f"当前价：{round(p.price, 2)}，成本市值：{int(p.volume * p.vwap)}，" \
f"建仓时间：{p.created_at.strftime(dt_fmt)}"
logger.info(p_report)
# 实盘或仿真，推送账户信息到企业微信
if context.mode != MODE_BACKTEST:
msg = f"股票账户状态报告\n{'*' * 31}\n"
msg += f"账户净值：{int(cash.nav)}\n" \
f"持仓市值：{int(cash.market_value)}\n" \
f"可用资金：{int(cash.available)}\n" \
f"浮动盈亏：{int(cash.fpnl)}\n" \
f"标的数量：{len(positions)}\n" \
f"{'*' * 31}\n"
for p in positions:
try:
msg += f'标的代码：{p.symbol}\n' \
f"标的名称：{context.stocks.get(p.symbol, '无名')}\n" \
f'持仓数量：{p.volume}\n' \
f'最新价格：{round(p.price, 2)}\n' \
f'持仓成本：{round(p.vwap, 2)}\n' \
f'盈亏比例：{int((p.price - p.vwap) / p.vwap * 10000) / 100}%\n' \
f'持仓市值：{int(p.volume * p.vwap)}\n' \
f'持仓天数：{(context.now - p.created_at).days}\n' \
f"{'*' * 31}\n"
except:
print(p)
wx.push_text(msg.strip("\n *"), key=context.wx_key)
def check_index_status(qywx_key):
"""查看主要指数状态"""
from czsc.utils.cache import home_path
end_dt = datetime.now().strftime(dt_fmt)
wx.push_text(f"{end_dt} 开始获取主要指数行情快照", qywx_key)
for gm_symbol in indices.values():
try:
file_html = os.path.join(
home_path,
f"{gm_symbol}_{datetime.now().strftime('%Y%m%d')}.html")
gm_take_snapshot(gm_symbol, end_dt, file_html=file_html)
wx.push_file(file_html, qywx_key)
os.remove(file_html)
except:
traceback.print_exc()
wx.push_text(f"{end_dt} 获取主要指数行情快照获取结束，请仔细观察！！！", qywx_key)
def on_execution_report(context, execrpt):
"""响应委托被执行事件，委托成交或者撤单拒绝后被触发。
https://www.myquant.cn/docs/python/python_trade_event#on_execution_report%20-%20%E5%A7%94%E6%89%98%E6%89%A7%E8%A1%8C%E5%9B%9E%E6%8A%A5%E4%BA%8B%E4%BB%B6
https://www.myquant.cn/docs/python/python_object_trade#ExecRpt%20-%20%E5%9B%9E%E6%8A%A5%E5%AF%B9%E8%B1%A1
:param context:
:param execrpt:
:return:
"""
latest_dt = context.now.strftime("%Y-%m-%d %H:%M:%S")
logger = context.logger
msg = f"委托订单被执行通知：时间：{latest_dt}，标的：{execrpt.symbol}，方向：{execrpt.side}，" \
f"成交量: {int(execrpt.volume)}，成交价：{round(execrpt.price, 2)}，执行回报类型：{execrpt.exec_type}"
logger.info(msg)
if context.mode != MODE_BACKTEST:
push_text(content=str(msg), key=context.wx_key)
def on_account_status(context, account):
"""响应交易账户状态更新事件，交易账户状态变化时被触发
https://www.myquant.cn/docs/python/python_trade_event#4f07d24fc4314e3c
"""
status = account['status']
if status['state'] == 3:
return
if context.now.isoweekday() > 5 or context.now.hour not in [
9, 10, 11, 13, 14
]:
# print(f"on_account_status: {context.now} 不是交易时间")
return
logger = context.logger
msg = f"{str(account)}"
logger.warn(msg)
if context.mode != MODE_BACKTEST:
wx.push_text(content=msg, key=context.wx_key)
def on_order_status(context, order):
"""
https://www.myquant.cn/docs/python/python_object_trade#007ae8f5c7ec5298
:param context:
:param order:
:return:
"""
latest_dt = context.now.strftime("%Y-%m-%d %H:%M:%S")
logger = context.logger
file_orders = context.file_orders
msg = f"订单状态更新通知：交易时间：{latest_dt}，订单状态：{order.symbol}，方向：{order.side}，" \
f"价格：{round(order.price, 2)}，状态：{order.status}，" \
f"委托量：{int(order.volume)}，已成量: {int(order.filled_volume)}，" \
f"成交均价：{round(order.filled_vwap, 2)}"
logger.info(msg)
if context.mode == MODE_BACKTEST:
with open(file_orders, 'a', encoding="utf-8") as f:
f.write(str(order) + '\n')
else:
if order.status in [1, 3]:
push_text(content=str(msg), key=context.wx_key)
def monitor(use_cache=True):
push_text("自选股CZSC笔因子监控启动 @ {}".format(datetime.now().strftime("%Y-%m-%d %H:%M")), qywx_key)
moni_path = os.path.join(ct_path, "monitor")
# 首先清空历史快照
if os.path.exists(moni_path):
shutil.rmtree(moni_path)
os.makedirs(moni_path, exist_ok=True)
for s in symbols:
print(s)
try:
file_ct = os.path.join(ct_path, "{}.ct".format(s))
if os.path.exists(file_ct) and use_cache:
ct: CzscTrader = read_pkl(file_ct)
ct.update_factors()
else:
ct = CzscTrader(s, max_count=1000)
save_pkl(ct, file_ct)
# 每次执行，会在moni_path下面保存一份快照
file_html_ = os.path.join(moni_path, f"{ct.symbol}_{ct.kf.end_dt.strftime('%Y%m%d%H%M')}.html")
ct.take_snapshot(file_html_, width="1400px", height="580px")
if ct.s['日线笔因子'] != Factors.Other.value:
msg = "{} - {}\n".format(s, ct.s['日线笔因子'])
msg += "同花顺F10：http://basic.10jqka.com.cn/{}".format(s[:6])
push_text(msg, key=qywx_key)
file_html_new = os.path.join(moni_path, f"{ct.symbol}_{ct.kf.end_dt.strftime('%Y%m%d%H%M')}.html")
shutil.copyfile(file_html_, file_html_new)
push_file(file_html_new, key=qywx_key)
except Exception as e:
traceback.print_exc()
print("{} 执行失败 - {}".format(s, e))
push_text("自选股CZSC笔因子监控结束 @ {}".format(datetime.now().strftime("%Y-%m-%d %H:%M")), qywx_key)
def monitor(use_cache=True):
push_text(
"自选股CZSC笔因子监控启动 @ {}".format(
datetime.now().strftime("%Y-%m-%d %H:%M")), qywx_key)
moni_path = os.path.join(ct_path, "monitor")
# 首先清空历史快照
if os.path.exists(moni_path):
shutil.rmtree(moni_path)
os.makedirs(moni_path, exist_ok=True)
events_monitor = [
# 开多
Event(name="一买",
operate=Operate.LO,
factors=[
Factor(name="5分钟类一买",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类一买_任意_任意_0")]),
Factor(name="5分钟形一买",
signals_all=[Signal("5分钟_倒1笔_基础形态_类一买_任意_任意_0")]),
Factor(name="15分钟类一买",
signals_all=[Signal("15分钟_倒1笔_类买卖点_类一买_任意_任意_0")]),
Factor(name="15分钟形一买",
signals_all=[Signal("15分钟_倒1笔_基础形态_类一买_任意_任意_0")]),
Factor(name="30分钟类一买",
signals_all=[Signal("30分钟_倒1笔_类买卖点_类一买_任意_任意_0")]),
Factor(name="30分钟形一买",
signals_all=[Signal("30分钟_倒1笔_基础形态_类一买_任意_任意_0")]),
]),
Event(name="二买",
operate=Operate.LO,
factors=[
Factor(name="5分钟类二买",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类二买_任意_任意_0")]),
Factor(name="5分钟形二买",
signals_all=[Signal("5分钟_倒1笔_基础形态_类二买_任意_任意_0")]),
Factor(name="15分钟类二买",
signals_all=[Signal("15分钟_倒1笔_类买卖点_类二买_任意_任意_0")]),
Factor(name="15分钟形二买",
signals_all=[Signal("15分钟_倒1笔_基础形态_类二买_任意_任意_0")]),
Factor(name="30分钟类二买",
signals_all=[Signal("30分钟_倒1笔_类买卖点_类二买_任意_任意_0")]),
Factor(name="30分钟形二买",
signals_all=[Signal("30分钟_倒1笔_基础形态_类二买_任意_任意_0")]),
]),
Event(name="三买",
operate=Operate.LO,
factors=[
Factor(name="5分钟类三买",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类三买_任意_任意_0")]),
Factor(name="5分钟形三买",
signals_all=[Signal("5分钟_倒1笔_基础形态_类三买_任意_任意_0")]),
Factor(name="15分钟类三买",
signals_all=[Signal("15分钟_倒1笔_类买卖点_类三买_任意_任意_0")]),
Factor(name="15分钟形三买",
signals_all=[Signal("15分钟_倒1笔_基础形态_类三买_任意_任意_0")]),
Factor(name="30分钟类三买",
signals_all=[Signal("30分钟_倒1笔_类买卖点_类三买_任意_任意_0")]),
Factor(name="30分钟形三买",
signals_all=[Signal("30分钟_倒1笔_基础形态_类三买_任意_任意_0")]),
]),
# 平多
Event(name="一卖",
operate=Operate.LE,
factors=[
Factor(name="5分钟类一卖",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类一卖_任意_任意_0")]),
Factor(name="5分钟形一卖",
signals_all=[Signal("5分钟_倒1笔_基础形态_类一卖_任意_任意_0")]),
Factor(name="15分钟类一卖",
signals_all=[Signal("15分钟_倒1笔_类买卖点_类一卖_任意_任意_0")]),
Factor(name="15分钟形一卖",
signals_all=[Signal("15分钟_倒1笔_基础形态_类一卖_任意_任意_0")]),
Factor(name="30分钟类一卖",
signals_all=[Signal("30分钟_倒1笔_类买卖点_类一卖_任意_任意_0")]),
Factor(name="30分钟形一卖",
signals_all=[Signal("30分钟_倒1笔_基础形态_类一卖_任意_任意_0")]),
]),
Event(name="二卖",
operate=Operate.LE,
factors=[
Factor(name="5分钟类二卖",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类二卖_任意_任意_0")]),
Factor(name="5分钟形二卖",
signals_all=[Signal("5分钟_倒1笔_基础形态_类二卖_任意_任意_0")]),
Factor(name="15分钟类二卖",
signals_all=[Signal("15分钟_倒1笔_类买卖点_类二卖_任意_任意_0")]),
Factor(name="15分钟形二卖",
signals_all=[Signal("15分钟_倒1笔_基础形态_类二卖_任意_任意_0")]),
Factor(name="30分钟类二卖",
signals_all=[Signal("30分钟_倒1笔_类买卖点_类二卖_任意_任意_0")]),
Factor(name="30分钟形二卖",
signals_all=[Signal("30分钟_倒1笔_基础形态_类二卖_任意_任意_0")]),
]),
Event(name="三卖",
operate=Operate.LE,
factors=[
Factor(name="5分钟类三卖",
signals_all=[Signal("5分钟_倒1笔_类买卖点_类三卖_任意_任意_0")]),
Factor(name="5分钟形三卖",
signals_all=[Signal("5分钟_倒1笔_基础形态_类三卖_任意_任意_0")]),
Factor(name="15分钟类三卖",
signals_all=[Signal("15分钟_倒1笔_类买卖点_类三卖_任意_任意_0")]),
Factor(name="15分钟形三卖",
signals_all=[Signal("15分钟_倒1笔_基础形态_类三卖_任意_任意_0")]),
Factor(name="30分钟类三卖",
signals_all=[Signal("30分钟_倒1笔_类买卖点_类三卖_任意_任意_0")]),
Factor(name="30分钟形三卖",
signals_all=[Signal("30分钟_倒1笔_基础形态_类三卖_任意_任意_0")]),
]),
]
for s in symbols:
print(s)
try:
file_ct = os.path.join(ct_path, "{}.ct".format(s))
if os.path.exists(file_ct) and use_cache:
ct: CzscTrader = read_pkl(file_ct)
ct.update_factors()
else:
ct = CzscTrader(s, max_count=1000)
save_pkl(ct, file_ct)
# 每次执行，会在moni_path下面保存一份快照
file_html = os.path.join(
moni_path,
f"{ct.symbol}_{ct.end_dt.strftime('%Y%m%d%H%M')}.html")
ct.take_snapshot(file_html, width="1400px", height="580px")
msg = f"标的代码：{s}\n同花顺F10：http://basic.10jqka.com.cn/{s.split('.')[0]}\n"
for event in events_monitor:
m, f = event.is_match(ct.s)
if m:
msg += "监控提醒：{}@{}\n".format(event.name, f)
if "监控提醒" in msg:
push_text(msg.strip("\n"), key=qywx_key)
except Exception as e:
traceback.print_exc()
print("{} 执行失败 - {}".format(s, e))
push_text(
"自选股CZSC笔因子监控结束 @ {}".format(
datetime.now().strftime("%Y-%m-%d %H:%M")), qywx_key)
def on_backtest_finished(context, indicator):
"""回测结束回调函数
:param context:
:param indicator:
https://www.myquant.cn/docs/python/python_object_trade#bd7f5adf22081af5
:return:
"""
wx_key = context.wx_key
symbols = context.symbols
data_path = context.data_path
logger = context.logger
logger.info(str(indicator))
logger.info("回测结束 ... ")
cash = context.account().cash
for k, v in indicator.items():
if isinstance(v, float):
indicator[k] = round(v, 4)
row = OrderedDict({
"研究标的": ", ".join(list(context.symbols_info.keys())),
"回测开始时间": context.backtest_start_time,
"回测结束时间": context.backtest_end_time,
"累计收益率": indicator['pnl_ratio'],
"最大回撤": indicator['max_drawdown'],
"年化收益率": indicator['pnl_ratio_annual'],
"夏普比率": indicator['sharp_ratio'],
"盈利次数": indicator['win_count'],
"亏损次数": indicator['lose_count'],
"交易胜率": indicator['win_ratio'],
"累计出入金": int(cash['cum_inout']),
"累计交易额": int(cash['cum_trade']),
"累计手续费": int(cash['cum_commission']),
"累计平仓收益": int(cash['cum_pnl']),
"净收益": int(cash['pnl']),
})
sdt = pd.to_datetime(context.backtest_start_time).strftime('%Y%m%d')
edt = pd.to_datetime(context.backtest_end_time).strftime('%Y%m%d')
file_xlsx = os.path.join(data_path, f'{context.name}_{sdt}_{edt}.xlsx')
file = pd.ExcelWriter(file_xlsx, mode='w')
dfe = pd.DataFrame({"指标": list(row.keys()), "值": list(row.values())})
dfe.to_excel(file, sheet_name='回测表现', index=False)
logger.info("回测结果：{}".format(row))
content = ""
for k, v in row.items():
content += "{}: {}\n".format(k, v)
wx.push_text(content=content, key=wx_key)
trades = []
operates = []
performances = []
for symbol in symbols:
trader: GmCzscTrader = context.symbols_info[symbol]['trader']
trades.extend(trader.long_pos.pairs)
operates.extend(trader.long_pos.operates)
performances.append(trader.long_pos.evaluate_operates())
df = pd.DataFrame(trades)
df['开仓时间'] = df['开仓时间'].apply(lambda x: x.strftime("%Y-%m-%d %H:%M"))
df['平仓时间'] = df['平仓时间'].apply(lambda x: x.strftime("%Y-%m-%d %H:%M"))
df.to_excel(file, sheet_name='交易汇总', index=False)
dfo = pd.DataFrame(operates)
dfo['dt'] = dfo['dt'].apply(lambda x: x.strftime("%Y-%m-%d %H:%M"))
dfo.to_excel(file, sheet_name='操作汇总', index=False)
dfp = pd.DataFrame(performances)
dfp.to_excel(file, sheet_name='表现汇总', index=False)
file.close()
wx.push_file(file_xlsx, wx_key)
def on_account_status(context, account):
"""响应交易账户状态更新事件，交易账户状态变化时被触发"""
context.logger.info(str(account))
push_text(str(account), key=context.wx_key)
def on_error(context, code, info):
logger = context.logger
msg = "{} - {}".format(code, info)
logger.warn(msg)
if context.mode != MODE_BACKTEST:
push_text(content=msg, key=context.wx_key)
