def handle_bar(context, bar_dict):
# 开始编写你的主要的算法逻辑
# bar_dict[order_book_id] 可以拿到某个证券的bar信息
# context.portfolio 可以拿到现在的投资组合状态信息
# 使用order_shares(id_or_ins, amount)方法进行落单
# TODO: 开始编写你的算法吧！
# 对我们选中的股票集合进行loop，运算每一只股票的RSI数值
for stock in context.stocks:
# 读取历史数据
prices = history(context.TIME_PERIOD + 1, '1d', 'close')[stock].values
# 用Talib计算RSI值
rsi_data = talib.RSI(prices, timeperiod=context.TIME_PERIOD)[-1]
curPosition = context.portfolio.positions[stock].quantity
#用剩余现金的30%来购买新的股票
target_available_cash = context.portfolio.cash * context.ORDER_PERCENT
#当RSI大于设置的上限阀值，清仓该股票
if rsi_data > context.HIGH_RSI and curPosition > 0:
order_target_value(stock, 0)
#当RSI小于设置的下限阀值，用剩余cash的一定比例补仓该股
if rsi_data < context.LOW_RSI:
# logger.info("target available cash caled: " + str(target_available_cash))
#如果剩余的现金不够一手 - 100shares，那么会被ricequant 的order management system reject掉
order_value(stock, target_available_cash)
def handle_bar(context, bar_dict):
order_id = order_value(context.s1, 1000, style=LimitOrder(context.limitprice))
order = get_order(order_id)
order_side = SIDE.BUY if order.quantity > 0 else SIDE.SELL
assert order.side == order_side
assert order.order_book_id == context.s1
assert order.quantity == 100
assert order.unfilled_quantity + order.filled_quantity == order.quantity
assert order.price == context.limitprice
def position(context, bar_dict):
stocks = set(context.to_buy)
holdings = set(get_holdings(context))
to_buy = stocks - holdings
holdings = set(get_holdings(context))
to_sell = holdings - stocks
for stock in to_sell:
if bar_dict[stock].is_trading:
order_target_percent(stock, 0)
to_buy = get_trading_stocks(to_buy, context, bar_dict)
cash = context.portfolio.cash
average_value = 0
if len(to_buy) > 0:
average_value = 0.98 * cash / len(to_buy)
for stock in to_buy:
if bar_dict[stock].is_trading:
order_value(stock, average_value)
context.marketval = context.portfolio.market_value
def handle_bar(context, bar_dict):
order_id = order_value(context.s1, 1000, style=LimitOrder(context.limitprice))
order = get_order(order_id)
order_side = SIDE.BUY if order.quantity > 0 else SIDE.SELL
assert order.side == order_side
assert order.order_book_id == context.s1
assert order.quantity == 100
assert order.unfilled_quantity + order.filled_quantity == order.quantity
assert order.price == context.limitprice
def handle_bar(context, bar_dict):
#count = context.buyStkCount
#context.today = context.now.date()
#context.today = str(context.today)
#context.prev_calendar_date = get_prev_trade_date(context,context.today)
#for stk in context.A_H_price_compare_result.A_code:
# df = context.A_H_price_compare_result[(context.A_H_price_compare_result.A_code == stk)]
# plot(stk, df.iloc[0,7])
df = context.A_H_price_compare_result[(context.A_H_price_compare_result.A_code == '000002.XSHE')]
plot('000002.XSHE', df.iloc[0,8])
# 买入新股
A_stk = '000002.XSHE'
H_stk = ''
if not context.holding_A:
order_target_percent('000002.XSHE', 1)
context.holding_A = True
if bar_dict[A_stk].is_trading:
if df.iloc[0,8] <= -10:
order_value('000002.XSHE', 20000)
if df.iloc[0,8] >= -5 and A_stk in context.portfolio.positions:
order_value('000002.XSHE', -20000)