def on_market_prepare_open(self, protfolio: Portfolio, today: datetime):
"""
市场准备开始（比如：竞价）.
"""
indicator = Indicator(40)
for code in self.codes:
bars = self.market.getHistory().getKbars(code, 100)
indicator.update_bar(bars)
count = 20
aroon_down, aroon_up = indicator.aroon(count)
need_hold = aroon_up > 50 and aroon_up > aroon_down
position = protfolio.getLongPosition(code)
if need_hold:
if position.pos_total < 1:
targetPrice = bars[-1].close_price * 1.05 # 上一个交易日的收盘价作为买如价
ok = protfolio.buyAtPercentage(code, targetPrice, 1)
print(f"buy: price = {targetPrice} , {ok}")
else:
if position.pos_total > 0:
targetPrice = bars[-1].close_price * 0.92 # 上一个交易日的收盘价作为买如价
ok = protfolio.sellAll(code, targetPrice)
print(f"sell: price = {targetPrice} , {ok}")
pass
def on_market_prepare_close(self, protfolio: Portfolio):
"""
市场准备关市.
"""
self.write_log("on_market_prepare_close")
protfolio.sell("000034", 344.23, 200)
pass
def on_market_prepare_open(self, protfolio: Portfolio):
"""
市场准备开始（比如：竞价）.
"""
self.write_log("on_market_prepare")
protfolio.buy("000034", 344.23, 200)
pass
def on_bar_per_minute(self, time: datetime, protfolio: Portfolio):
"""
市场开市后的每分钟。
"""
#每天两点半的后尝试去做交易。
if time.hour == 14 and time.minute == 30:
self.__history_bar100 = self.market.getHistory().getKbars(
self.code, 100)
assert len(self.__history_bar100) == 100
bars = self.__history_bar100
todayBar = self.market.getRealTime().getKBar(self.code)
indicator = Indicator(40)
indicator.update_bar(bars)
dif, dea, macd_bar = indicator.macd(fast_period=12,
slow_period=26,
signal_period=9,
array=True)
if (not self.today_has_buy):
# 预测金叉
todayBar.close_price = todayBar.close_price * 1.01
indicator.update_bar(todayBar)
dif, dea, predict_macd_bar = indicator.macd(fast_period=12,
slow_period=26,
signal_period=9,
array=True)
print(
f"[{self.market.getToday()}]:bar={macd_bar[-1]},predic_bar={predict_macd_bar[-1]}"
)
if (predict_macd_bar[-1] > 0 and macd_bar[-1] <= 0):
targetPrice = todayBar.close_price # 上一个交易日的收盘价作为买如价
print(f" gold cross!!!")
if protfolio.buy(self.code, targetPrice, 100):
self.today_has_buy = True
elif (not self.today_has_sell):
todayBar.close_price = todayBar.close_price * 0.99
indicator.update_bar(todayBar)
dif, dea, predict_macd_bar = indicator.macd(fast_period=12,
slow_period=26,
signal_period=9,
array=True)
print(
f"[{self.market.getToday()}]:bar={macd_bar[-1]},predic_bar={predict_macd_bar[-1]}"
)
if (predict_macd_bar[-1] <= 0 and macd_bar[-1] > 0):
targetPrice = todayBar.close_price
print(f" dead cross!!!")
if protfolio.sell(self.code, targetPrice, 100):
self.today_has_sell = True
def on_bar_per_minute(self, time: datetime, protfolio: Portfolio):
"""
市场开市后的每分钟。
"""
self.on_bar_per_minute_count = self.on_bar_per_minute_count + 1
assert is_same_minitue(time, self.market.getToday())
assert time.hour >= 9 #9点后开市
if (time.hour > 9 or (time.hour == 9 and time.minute > 32)):
##开市之后的实时信息不应该为none
bar = self.market.getRealTime().getKBar("601318")
assert not bar is None
tickData: BarData = self.market.getRealTime().getTick("601318")
preTickData: BarData = self.daily_pre_tick
assert not tickData is None
assert not preTickData is None
deltaFloat = preTickData.close_price * 0.015
assert utils.isEqualFloat(preTickData.close_price,
tickData.open_price, deltaFloat)
self.daily_pre_tick = self.market.getRealTime().getTick("601318")
# 中国平安601318
# 2019-03-25 10:35:00:open = 71.03,close=70.96 一天最高点
# 2019-03-25 13:12:00:open = 69.97,close=69.79 下午开盘的一个低点
# 2019-03-25 13:47:00:open = 70.33,close=70.41 下午的一个高点
sell_time_01 = datetime(2019, 3, 25, 13, 12)
if not self.sell_time_01_tag:
if (utils.is_same_minitue(sell_time_01, time)):
protfolio.sell("601318", 70.35, 120)
self.sell_time_01_tag = True
#self.write_log(f" on_bar_per_minute:{time}" )
# 中国平安601318 在datetime(2019, 2, 26, 10, 28)时刻，最低到达 low_price=67.15
if (utils.is_same_time(datetime(2019, 2, 26, 10, 28),
self.market.getToday(),
deltaSecond=30)):
protfolio.buy("601318", 70.75, 20) ##测试交割价格在67.15附近
# 中国平安601318 在datetime(2019, 2, 27, 9, 48)时刻，最高到达 high_price=68.57
if (utils.is_same_time(datetime(2019, 2, 27, 9, 48),
self.market.getToday(),
deltaSecond=30)):
protfolio.sell("601318", 60.75, 20) ##测试交割价格在68.57附近
###开始做空买入在datetime(2019, 2, 27, 9, 48)时刻，最高到达 high_price=68.57
# 中国平安601318 在datetime(2019, 2, 28)时刻，9点40分左右到最低点66.8，10:47最高到达68.08，然后14:00后面出现新的第二低点67.2-67.4
if (utils.is_same_time(datetime(2019, 2, 28, 11, 00),
self.market.getToday(),
deltaSecond=30)):
assert protfolio.cover("601318", 67.3,
10) == True ## 11点后开始平仓，以当天第二低价格平仓
# 4月1日 - 20日随机交易
today = self.market.getToday()
def on_market_close(self, protfolio: Portfolio):
"""
市场关市.
"""
time = self.market.getToday()
assert time.hour == 15 and time.minute == 0
assert self.on_bar_per_minute_count > 200
self.final_valid_capital = protfolio.getValidCapital()
# 中国平安601318 在datetime(2019, 2, 26, 10, 28)时刻，最低到达 low_price=67.15
if utils.is_same_day(datetime(2019, 2, 26), self.market.getToday()):
#当天已经买入121*100股，持有仓位资金不为0
assert protfolio.getTotalHoldCapital() > 810700
position = protfolio.getLongPosition("601318")
assert position.is_long == True
assert position.pos_total == 121 * 100
assert position.getPosAvailable() == 0 # 因为今天才交易，可用仓位为0
pass
def on_market_prepare_close(self, protfolio: Portfolio):
"""
市场准备关市.
"""
time = self.market.getToday()
assert time.hour == 14 and time.minute == 57
# 最开始datetime(2019, 2, 26, 10, 28)买入100股，由于A股T+1的限制，是不可以当天卖的
if (utils.is_same_day(datetime(2019, 2, 26, 10, 28), time)):
assert protfolio.sell("601318", 67.00, 100) == False
pass
def __randomTrade(self, protfolio: Portfolio):
happen = random.random()
code = "601318"
price = self.market.getRealTime().getTick(code).close_price
trade_price = price * random.uniform(0.94, 1.06)
volume = random.randint(3, 100)
if happen <= 0.25:
protfolio.buy(code, trade_price, volume)
elif happen <= 0.5:
protfolio.sell(code, trade_price, volume)
elif happen <= 0.75:
protfolio.short(code, trade_price, volume)
else:
protfolio.cover(code, trade_price, volume)
def on_market_prepare_open(self, protfolio: Portfolio, today: datetime):
"""
市场准备开始（比如：竞价）.
"""
indicator = Indicator(40)
for code in self.codes:
bars = self.market.getHistory().getKbars(code, 100)
indicator.update_bar(bars)
dif, dea, macd_bar = indicator.kdj()
##金叉出现
if (macd_bar[-1] >= 0 and macd_bar[-2] <= 0):
tradePrice = bars[-1].close_price * 1.01 # 上一个交易日的收盘价作为买如价
protfolio.buy(code, tradePrice, 1)
protfolio.cover(code, tradePrice, 1) ##平仓做空
##死叉出现
if (macd_bar[-1] <= 0 and macd_bar[-2] >= 0):
targetPrice = bars[-1].close_price * 0.99 # 上一个交易日的收盘价作为买如价
protfolio.sell(code, targetPrice, 1)
protfolio.short(code, targetPrice, 1) ##开仓做空
pass
def on_market_open(self, protfolio: Portfolio):
"""
市场开市.
"""
self.market_open_count = self.market_open_count + 1
self.on_bar_per_minute_count = 0
if (is_same_day(datetime(2019, 2, 23), self.market.getToday())):
###刚刚开始，没有任何持仓
assert protfolio.sell("601318", 67.15, 100) == False
assert protfolio.cover("601318", 67.15, 100) == False
# 中国平安601318 在datetime(2019, 2, 26, 10, 28)时刻，最低到达 low_price=67.15
# 中国平安601318 在datetime(2019, 2, 27, 9, 48)时刻，最高到达 high_price=68.57
# 中国平安601318 在datetime(2019, 2, 28)时刻，9点40分左右到最低点66.8，10:47最高到达68.08，然后14:00后面出现新的第二低点67.2-67.4
self.daily_pre_tick = self.market.getRealTime().getTick("601318")
if (is_same_day(datetime(2019, 2, 26, 10, 28),
self.market.getToday())):
assert protfolio.buy("601318", 67.15, 100) == True
assert protfolio.buy("601318", 67.15, 100) == False ##钱不够
assert protfolio.buy("601318", 67.15, 1) == True
assert protfolio.buy("601318", 67.10,
1) == True ##价格过低，能委托成功，但没发成交
assert protfolio.buy("601318", 66.10,
1) == True ##价格过低，能委托成功，但没发成交
assert protfolio.buy("601318", 66.10,
1) == True ##价格过低，能委托成功，但没发成交
if (is_same_day(datetime(2019, 2, 27, 9, 48), self.market.getToday())):
position = protfolio.getLongPosition("601318")
assert position.is_long == True
assert position.pos_total == 121 * 100
assert position.getPosAvailable() == 121 * 100 # 昨天买入的，所以今天可用
assert protfolio.sell("601318", 68.54, 500) == False ##持仓数不够
assert protfolio.sell("601318", 68.54, 55) == True
assert protfolio.sell("601318", 68.54, 46) == True
assert protfolio.short(
"601318", 68.54, 10
) == True ###开始做空买入在datetime(2019, 2, 27, 9, 48)时刻，最高到达 high_price=68.57
assert protfolio.short("601318", 68.70,
1) == True ##价格过低，能委托成功，但没发成交
if (is_same_day(datetime(2019, 2, 28, 10, 48),
self.market.getToday())):
assert protfolio.buy("601318", 67.40, 120) == True
# 4月23日，清空持仓
if (is_same_day(datetime(2019, 4, 23), self.market.getToday())):
longPos = protfolio.getLongPosition("601318")
shortPos = protfolio.getShortPosition("601318")
assert longPos.pos_lock == 0 and shortPos.pos_lock == 0 #这个时间是没有冻结的
#high: 2019 - 04 - 23 13: 47:00: open = 83.77, close = 83.88
#low: 2019 - 04 - 23 09: 31:00: open = 81.38, close = 81.35
protfolio.cover("601318", 83.77, shortPos.pos_total / 100)
protfolio.sell("601318", 81.35, longPos.pos_total / 100)
pass