def market_open(self, event: Event, account: AbstractAccount, data_portal: DataPortal):
dest_position = 0
current_position = 0
net_value = None
# 等待直到获取到最新的股票价格
current_price = None
try:
current_price = data_portal.current_price([self.code], event.visible_time)[self.code].price
except:
logging.error("没有获取到当天的开盘价,code:{}".format(self.code))
if current_price:
net_value = account.net_value({self.code: current_price})
current_bid_ask = None
try:
current_bid_ask = data_portal.current_bid_ask([self.code])[self.code]
except:
logging.error("没有获取到最新的买卖价， code:{}".format(self.code))
if self.last_close_price and current_price:
if np.log(current_price / self.last_close_price) < 0.025:
dest_position = int(net_value / current_price)
if len(account.positions) > 0:
current_position = account.positions[self.code]
change = dest_position - current_position
if change != 0:
direction = OrderDirection.BUY if change > 0 else OrderDirection.SELL
reason = "时间:{}, 当前持仓:{}, 总市值：{}, 目标持仓:{}, 昨日收盘价:{}, 今日开盘价：{}, 最新买卖价:{}, strategy:{}" \
.format(event.visible_time, current_position, net_value, dest_position, self.last_close_price,
current_price, current_bid_ask.__dict__ if current_bid_ask else None, TestStrategy3.__doc__)
if current_bid_ask:
delta = 0.01
limit_price = (current_bid_ask.bid_price + delta) if direction == OrderDirection.BUY else (
current_bid_ask.ask_price - delta)
order = LimitOrder(self.code, direction, abs(change), event.visible_time, limit_price)
order.with_reason(reason)
account.place_order(order)
# self.ensure_order_filled(account, data_portal, order, period=30, retry_count=3)
self.ensure_order_filled_v2(account, data_portal, order, duration=60, delta=delta)
else:
order = MKTOrder(self.code, direction, abs(change), event.visible_time)
order.with_reason(reason)
account.place_order(order)
else:
msg = "不需要下单, 时间:{}, 当前持仓:{}, 总市值：{}, 目标持仓:{}, 昨日收盘价:{}, 今日开盘价：{}". \
format(event.visible_time, current_position, net_value, dest_position, self.last_close_price,
current_price)
logging.info(msg)
def do_initialize(self, engine: Engine, data_portal: DataPortal):
if engine.is_backtest:
market_close = EventDefinition(ed_type=EventDefinitionType.TIME, time_rule=MarketClose())
market_open = EventDefinition(ed_type=EventDefinitionType.TIME, time_rule=MarketOpen())
else:
market_open = EventDefinition(ed_type=EventDefinitionType.TIME, time_rule=MarketOpen(second_offset=5))
market_close = EventDefinition(ed_type=EventDefinitionType.TIME, time_rule=MarketClose(second_offset=-60))
market_close_set_price = EventDefinition(ed_type=EventDefinitionType.TIME,
time_rule=MarketClose())
engine.register_event(market_close_set_price, self.set_close_price)
engine.register_event(market_open, self.market_open)
engine.register_event(market_close, self.market_close)
# 初始化昨日开盘价和收盘价
self.last_open = None
self.last_close = None
if not engine.is_backtest:
command = HistoryDataQueryCommand(None, None, self.scope.codes, window=1)
command.with_calendar(trading_calendar=self.scope.trading_calendar)
df = data_portal.history_data("ibAdjustedDailyBar", command)
if len(df) >= 1:
self.last_open = df.iloc[-1]['open']
self.last_close = df.iloc[-1]['close']
logging.info("初始化数据成功，昨日开盘价:{}, 昨日收盘价:{}, bar的开始时间:{}"
.format(self.last_open, self.last_close, df.iloc[-1]['start_time']))
else:
raise RuntimeError("没有获取到昨日开盘价和收盘价")
# self.last_open = 35.17
# self.last_close = 33.77
if len(self.scope.codes) != 1:
raise RuntimeError("wrong codes")
self.code = self.scope.codes[0]
def market_close(self, event: Event, account: AbstractAccount, data_portal: DataPortal):
dest_position = 0
current_position = 0
net_value = None
# 等待直到获取到最新的股票价格
current_price = None
try:
current_price = data_portal.current_price([self.code], event.visible_time)[self.code].price
except:
logging.error("没有获取到当天的开盘价,code:{}".format(self.code))
if current_price:
net_value = account.net_value({self.code: current_price})
if current_price and self.last_close and current_price > self.last_close:
dest_position = int(net_value / current_price)
if len(account.positions) > 0:
current_position = account.positions[self.code]
change = dest_position - current_position
if change != 0:
direction = OrderDirection.BUY if change > 0 else OrderDirection.SELL
reason = "时间:{}, 当前持仓:{}, 总市值：{}, 目标持仓:{}, 昨日收盘价:{}, 今日收盘价:{}, strategy:{}".format(event.visible_time,
current_position,
net_value, dest_position,
self.last_close,
current_price, TestStrategy2.__doc__)
if current_price:
order = LimitOrder(self.code, direction, abs(change), event.visible_time, current_price)
order.with_reason(reason)
account.place_order(order)
self.ensure_order_filled(account, data_portal, order, 40, 1)
else:
order = MKTOrder(self.code, direction, abs(change), event.visible_time)
order.with_reason(reason)
account.place_order(order)
else:
logging.info("不需要下单, 时间:{}, 当前持仓:{}, 总市值：{}, 目标持仓:{}, 今日开盘价:{}, 今日收盘价:{}".
format(event.visible_time,
current_position,
net_value, dest_position,
self.last_open,
current_price))
self.last_close = current_price
def market_open(self, event: Event, account: AbstractAccount,
data_portal: DataPortal):
if len(account.positions) > 0:
raise RuntimeError("错误的账户状态")
# 检查最新价格的时间是否是开盘之后的价格
open_time = event.visible_time
code = self.scope.codes[0]
while True:
cp = data_portal.current_price([code], event.visible_time)[code]
if cp.time >= open_time:
break
logging.info("没有获取到最新的价格，将会重试, 获取到的价格是:{}, 事件时间是:{}".format(
cp, event.visible_time))
time.sleep(1)
quantity = int(account.cash * 0.5 / cp.price)
buy_order = MKTOrder(code, OrderDirection.BUY, quantity,
event.visible_time)
account.place_order(buy_order)
self.base_price = cp.price
# contract.multiplier = 5000
contract.lastTradeDateOrContractMonth = "202104"
# contract: Contract = Contract()
# contract.symbol = '700'
# contract.secType = 'STK'
# contract.exchange = "SEHK"
# contract.currency = "HKD"
#
# req = Request.new_request()
# # client.cli.reqTickByTickData(req.req_id, contract, "AllLast", 0, False)
# # client.cli.reqContractDetails(req.req_id, contract)
# client.cli.reqMktData(req.req_id, contract, '', False, False, None)
code = 'CL_FUT_USD_NYMEX_202104'
# code = 'GSX_STK_USD_SMART'
dp: DataPortal = DataPortal(is_backtest=False,
ts_type_name_for_current_price='ibMarketData',
subscribe_codes=[code])
# cp = dp.current_price([code], Timestamp.now(tz='Asia/Shanghai'))
# print("cp:{}".format(cp))
class MySub(TimeSeriesSubscriber):
def on_data(self, data: TSData):
print(str(data.__dict__))
ts_repo: TimeSeriesRepo = BeanContainer.getBean(TimeSeriesRepo)
ts: TimeSeries = ts_repo.find_one('ibMarketData')
ts.subscribe(MySub(), ['CL_FUT_USD_NYMEX_202104'])
while True:
def set_close_price(self, event: Event, account: AbstractAccount, data_portal: DataPortal):
current_price = data_portal.current_price([self.code], event.visible_time)[self.code].price
self.last_close = current_price
logging.info("设置收盘价为:{}".format(current_price))
def market_close(self, event: Event, account: AbstractAccount,
data_portal: DataPortal):
dest_position = 0
current_position = 0
net_value = None
# 等待直到获取到最新的股票价格
current_price = None
try:
current_price = data_portal.current_price(
[self.code], event.visible_time)[self.code].price
except:
logging.error("没有获取到当天的开盘价,code:{}".format(self.code))
if current_price:
net_value = account.net_value({self.code: current_price})
current_bid_ask = None
try:
current_bid_ask = data_portal.current_bid_ask([self.code
])[self.code]
except:
logging.error("没有获取到最新的买卖价,code:{}".format(self.code))
# if current_price and self.last_close and current_price > self.last_close:
if True:
dest_position = int(net_value * self.long_leverage / current_price)
if len(account.positions) > 0:
current_position = account.positions[self.code]
change = dest_position - current_position
if change != 0:
direction = OrderDirection.BUY if change > 0 else OrderDirection.SELL
reason = "时间:{}, 当前持仓:{}, 总市值：{}, 目标持仓:{}, 昨日收盘价:{}, 今日收盘价:{}, " \
"买卖价:{}, strategy:{}".format(event.visible_time,
current_position,
net_value, dest_position,
self.last_close,
current_price,
current_bid_ask.__dict__ if current_bid_ask else None,
SPCEStrategy.__doc__)
if current_bid_ask:
delta = 0.01
limit_price = (current_bid_ask.bid_price +
delta) if direction == OrderDirection.BUY else (
current_bid_ask.ask_price - delta)
order = LimitOrder(self.code, direction, abs(change),
event.visible_time, limit_price)
order.with_reason(reason)
account.place_order(order)
# self.ensure_order_filled(account, data_portal, order, 40, 1)
self.ensure_order_filled_v2(account, data_portal, order, 40,
delta)
else:
order = MKTOrder(self.code, direction, abs(change),
event.visible_time)
order.with_reason(reason)
account.place_order(order)
else:
logging.info(
"不需要下单, 时间:{}, 当前持仓:{}, 总市值：{}, 目标持仓:{}, 今日开盘价:{}, 今日收盘价:{}".
format(event.visible_time, current_position, net_value,
dest_position, self.last_open, current_price))
self.last_close = current_price