def run_tianqin_code(bid, user_id, pwd, td_url):
api = TqApi(TqAccount(bid, user_id, pwd),
auth="[email protected],MaYanQiong",
_stock=True,
_td_url=td_url,
debug="c.log")
is_ctp = False if bid == "快期模拟" else True
account = api.get_account()
if bid == "快期模拟":
assert account.ctp_balance == '-' or math.isnan(account.ctp_balance)
assert account.ctp_available == '-' or math.isnan(
account.ctp_available)
else:
logger.info(f"{account.ctp_balance}, {account.ctp_available}")
logger.info(f"{'='*30} 登录成功后，账户初始状态 {'='*30}")
positions = api._data["trade"][user_id]["positions"]
orders = api._data["trade"][user_id]["orders"]
check_orders(orders, api, is_ctp)
check_positions(positions, api, is_ctp)
check_account(account, positions, is_ctp)
check_risk_rule(api, None)
check_risk_data(api, "SSE.10002504")
api.set_risk_management_rule("SZSE", True)
logger.info(f"{'='*12} 期权 开仓 {'='*12}")
# quote = api.get_quote("SZSE.91000999") # ETF 期权 SSE.10002504
# print(quote)
# 挂单
# order = api.insert_order(symbol="SSE.10002504", direction="BUY", offset="OPEN", limit_price=quote.lower_limit + quote.price_tick, volume=2)
# order = api.insert_order(symbol="SSE.10002504", direction="SELL", offset="OPEN", limit_price=quote.upper_limit - quote.price_tick, volume=2)
# 可成交
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.ask_price1, volume=3)
# 可成交 FAK 下单失败,CTP:交易所不支持的价格类型
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.ask_price1, volume=2, advanced="FAK")
# 可成交 FOK
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.ask_price1, volume=2, advanced="FOK")
# BEST
order = api.insert_order(symbol="SZSE.91000999",
direction="BUY",
offset="OPEN",
limit_price="BEST",
volume=5)
# BEST FOK 下单失败,已撤单报单被拒绝12038，合约代码:SSE.10002513，下单方向:买，开平标志:开仓，委托价格:最优价，委托手数:3
# order = api.insert_order(symbol="SSE.10002513", direction="SELL", offset="CLOSE", limit_price="BEST", volume=3, advanced="FOK")
# any_price 通知: 下单失败,CTP:交易所不支持的价格类型
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", volume=3)
# FIVELEVEL 通知: 下单失败,CTP:交易所不支持的价格类型
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price="FIVELEVEL", volume=3)
api.wait_update()
# api.cancel_order(order)
while order.status == "ALIVE":
api.wait_update()
check_all(api, bid, user_id)
# check_risk_rule(api,None)
check_risk_data(api, "SZSE.91000999")
api.close()
def test_get_account(self):
"""
获取账户资金信息
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(dir_path, "log_file",
"test_td_basic_get_account_simulate.script.lzma"))
# 测试: 获取数据
api = TqApi(_ins_url=self.ins_url,
_td_url=self.td_url,
_md_url=self.md_url)
TqApi.RD = random.Random(4)
order = api.insert_order("DCE.jd2001",
"BUY",
"OPEN",
1,
limit_price=4570)
while order.status == "ALIVE":
api.wait_update()
account = api.get_account()
# 测试脚本重新生成后，数据根据实际情况有变化
self.assertEqual(
str(account),
"{'currency': 'CNY', 'pre_balance': 10000000.0, 'static_balance': 10000000.0, 'balance': 9994873.877, 'available': 9992016.477, 'float_profit': -5120.0, 'position_profit': -5120.0, 'close_profit': 0.0, 'frozen_margin': 0.0, 'margin': 2857.4, 'frozen_commission': 0.0, 'commission': 6.122999999999999, 'frozen_premium': 0.0, 'premium': 0.0, 'deposit': 0.0, 'withdraw': 0.0, 'risk_ratio': 0.00028588654896140217}"
)
self.assertEqual(account.currency, "CNY")
self.assertEqual(account.pre_balance, 10000000.0)
self.assertEqual(9994873.877, account.balance)
self.assertEqual(6.122999999999999, account["commission"])
self.assertEqual(2857.4, account["margin"])
self.assertEqual(-5120.0, account.position_profit)
api.close()
def test_get_account(self):
"""
获取账户资金信息
"""
# 预设服务器端响应
self.mock.run("test_td_basic_get_account_simulate.script")
# 测试: 获取数据
api = TqApi(_ins_url=self.ins_url,
_td_url=self.td_url,
_md_url=self.md_url)
TqApi.RD = random.Random(4)
order = api.insert_order("DCE.jd2001",
"BUY",
"OPEN",
1,
limit_price=4570)
while order.status == "ALIVE":
api.wait_update()
account = api.get_account()
self.assertEqual(
str(account),
"{'currency': 'CNY', 'pre_balance': 10000000.0, 'static_balance': 10000000.0, 'balance': 9999973.877, 'available': 9997116.477, 'float_profit': -20.0, 'position_profit': -20.0, 'close_profit': 0.0, 'frozen_margin': 0.0, 'margin': 2857.4, 'frozen_commission': 0.0, 'commission': 6.122999999999999, 'frozen_premium': 0.0, 'premium': 0.0, 'deposit': 0.0, 'withdraw': 0.0, 'risk_ratio': 0.00028574074644055193}"
)
self.assertEqual(account.currency, "CNY")
self.assertEqual(account.pre_balance, 10000000.0)
self.assertEqual(9999973.877, account.balance)
self.assertEqual(6.122999999999999, account["commission"])
self.assertEqual(2857.4, account["margin"])
self.assertEqual(-20.0, account.position_profit)
api.close()
def test_get_account_option(self):
"""
获取账户资金信息
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(
dir_path, "log_file",
"test_td_basic_get_account_simulate_option.script.lzma"))
# 测试: 获取数据
api = TqApi(_ins_url=self.ins_url_2020_04_02,
_td_url=self.td_url,
_md_url=self.md_url)
utils.RD = random.Random(4)
order1 = api.insert_order("CZCE.SR007C5600",
"SELL",
"OPEN",
2,
limit_price=50)
order2 = api.insert_order("DCE.m2007-P-2900",
"BUY",
"OPEN",
3,
limit_price=180)
while order1.status == "ALIVE" or order2.status == "ALIVE":
api.wait_update()
account = api.get_account()
# 测试脚本重新生成后，数据根据实际情况有变化
self.assertEqual(
str(account),
"{'currency': 'CNY', 'pre_balance': 10000000.0, 'static_balance': 10000000.0, 'balance': 9998650.0, 'available': 9989752.8, 'ctp_balance': nan, 'ctp_available': nan, 'float_profit': -300.0, 'position_profit': 0.0, 'close_profit': 0.0, 'frozen_margin': 0.0, 'margin': 4797.200000000001, 'frozen_commission': 0.0, 'commission': 50.0, 'frozen_premium': 0.0, 'premium': -5400.0, 'deposit': 0.0, 'withdraw': 0.0, 'risk_ratio': 0.00047978477094407754, 'market_value': 4100.0}"
)
self.assertEqual(account.currency, "CNY")
self.assertEqual(account.pre_balance, 10000000.0)
self.assertEqual(account.balance, 9998650.0)
self.assertEqual(account["commission"], 50.0)
self.assertEqual(account["margin"], 4797.200000000001)
self.assertEqual(account.position_profit, 0.0)
self.assertEqual(account.available, 9989752.8)
self.assertNotEqual(account.ctp_balance, account.ctp_balance) # nan
self.assertEqual(account.float_profit, -300.0)
self.assertEqual(account.position_profit, 0.0)
self.assertEqual(account.margin, 4797.200000000001)
self.assertEqual(account.commission, 50.0)
self.assertEqual(account.premium, -5400.0)
self.assertEqual(account.risk_ratio, 0.00047978477094407754)
self.assertEqual(account.market_value, 4100.0)
api.close()
from tqsdk import TqApi, TqAccount
import nest_asyncio
nest_asyncio.apply()
# api = TqApi(TqAccount("H华安期货", "117889998", "262010",front_broker='6020',front_url='tcp://183.11.217.235:41207'),web_gui="0.0.0.0:9876")
# api = TqApi(TqAccount("快期模拟", "cjj208", "Chenjj1230"))
api = TqApi(TqAccount("simnow",
"090828",
"jimc1230",
front_broker='9999',
front_url='tcp://180.168.146.187:10100'),
web_gui="0.0.0.0:9876")
# 获得 m2005 的持仓引用，当持仓有变化时 position 中的字段会对应更新
position = api.get_position("SHFE.rb2005")
# 获得资金账户引用，当账户有变化时 account 中的字段会对应更新
account = api.get_account()
# 下单并返回委托单的引用，当该委托单有变化时 order 中的字段会对应更新
order = api.insert_order(symbol="SHFE.rb2005",
direction="BUY",
offset="OPEN",
volume=2,
limit_price=3521)
#canorder = api.cancel_order(order)
while True:
api.wait_update()
if api.is_changing(order, ["status", "volume_orign", "volume_left"]):
#subprocess.call("cls",shell=True)
print("单状态: %s, 已成交: %d 手" %
(order.status, order.volume_orign - order.volume_left))
if api.is_changing(position, "pos_long_today"):
class Turtle:
def __init__(self,
account,
symbol,
donchian_channel_open_position=20,
donchian_channel_stop_profit=10,
atr_day_length=20,
max_risk_ratio=0.5):
self.account = account # 交易账号
self.symbol = symbol # 合约代码
self.donchian_channel_open_position = donchian_channel_open_position # 唐奇安通道的天数周期(开仓)
self.donchian_channel_stop_profit = donchian_channel_stop_profit # 唐奇安通道的天数周期(止盈)
self.atr_day_length = atr_day_length # ATR计算所用天数
self.max_risk_ratio = max_risk_ratio # 最高风险度
self.state = {
"position": 0, # 本策略净持仓数(正数表示多头，负数表示空头，0表示空仓)
"last_price": float("nan"), # 上次调仓价
}
self.n = 0 # 平均真实波幅(N值)
self.unit = 0 # 买卖单位
self.donchian_channel_high = 0 # 唐奇安通道上轨
self.donchian_channel_low = 0 # 唐奇安通道下轨
self.api = TqApi(self.account)
self.quote = self.api.get_quote(self.symbol)
# 由于ATR是路径依赖函数，因此使用更长的数据序列进行计算以便使其值稳定下来
kline_length = max(donchian_channel_open_position + 1,
donchian_channel_stop_profit + 1,
atr_day_length * 5)
self.klines = self.api.get_kline_serial(self.symbol,
24 * 60 * 60,
data_length=kline_length)
self.account = self.api.get_account()
self.target_pos = TargetPosTask(self.api,
self.symbol,
init_pos=self.state["position"])
def recalc_paramter(self):
# 平均真实波幅(N值)
self.n = ATR(self.klines, self.atr_day_length)["atr"].iloc[-1]
# 买卖单位
self.unit = int((self.account.balance * 0.01) /
(self.quote.volume_multiple * self.n))
# 唐奇安通道上轨：前N个交易日的最高价
self.donchian_channel_high = max(
self.klines.high[-self.donchian_channel_open_position - 1:-1])
# 唐奇安通道下轨：前N个交易日的最低价
self.donchian_channel_low = min(
self.klines.low[-self.donchian_channel_open_position - 1:-1])
print("唐其安通道上下轨: %f, %f" %
(self.donchian_channel_high, self.donchian_channel_low))
return True
def set_position(self, pos):
self.state["position"] = pos
self.state["last_price"] = self.quote["last_price"]
self.target_pos.set_target_volume(self.state["position"])
def try_open(self):
"""开仓策略"""
while self.state["position"] == 0:
self.api.wait_update()
if self.api.is_changing(self.klines.iloc[-1],
"datetime"): # 如果产生新k线,则重新计算唐奇安通道及买卖单位
self.recalc_paramter()
if self.api.is_changing(self.quote, "last_price"):
print("最新价: %f" % self.quote.last_price)
if self.quote.last_price > self.donchian_channel_high: # 当前价>唐奇安通道上轨，买入1个Unit；(持多仓)
print("当前价>唐奇安通道上轨，买入1个Unit(持多仓): %d 手" % self.unit)
self.set_position(self.state["position"] + self.unit)
elif self.quote.last_price < self.donchian_channel_low: # 当前价<唐奇安通道下轨，卖出1个Unit；(持空仓)
print("当前价<唐奇安通道下轨，卖出1个Unit(持空仓): %d 手" % self.unit)
self.set_position(self.state["position"] - self.unit)
def try_close(self):
"""交易策略"""
while self.state["position"] != 0:
self.api.wait_update()
if self.api.is_changing(self.quote, "last_price"):
print("最新价: ", self.quote.last_price)
if self.state["position"] > 0: # 持多单
# 加仓策略: 如果是多仓且行情最新价在上一次建仓（或者加仓）的基础上又上涨了0.5N，就再加一个Unit的多仓,并且风险度在设定范围内(以防爆仓)
if self.quote.last_price >= self.state[
"last_price"] + 0.5 * self.n and self.account.risk_ratio <= self.max_risk_ratio:
print("加仓:加1个Unit的多仓")
self.set_position(self.state["position"] + self.unit)
# 止损策略: 如果是多仓且行情最新价在上一次建仓（或者加仓）的基础上又下跌了2N，就卖出全部头寸止损
elif self.quote.last_price <= self.state[
"last_price"] - 2 * self.n:
print("止损:卖出全部头寸")
self.set_position(0)
# 止盈策略: 如果是多仓且行情最新价跌破了10日唐奇安通道的下轨，就清空所有头寸结束策略,离场
if self.quote.last_price <= min(
self.klines.
low[-self.donchian_channel_stop_profit - 1:-1]):
print("止盈:清空所有头寸结束策略,离场")
self.set_position(0)
elif self.state["position"] < 0: # 持空单
# 加仓策略: 如果是空仓且行情最新价在上一次建仓（或者加仓）的基础上又下跌了0.5N，就再加一个Unit的空仓,并且风险度在设定范围内(以防爆仓)
if self.quote.last_price <= self.state[
"last_price"] - 0.5 * self.n and self.account.risk_ratio <= self.max_risk_ratio:
print("加仓:加1个Unit的空仓")
self.set_position(self.state["position"] - self.unit)
# 止损策略: 如果是空仓且行情最新价在上一次建仓（或者加仓）的基础上又上涨了2N，就平仓止损
elif self.quote.last_price >= self.state[
"last_price"] + 2 * self.n:
print("止损:卖出全部头寸")
self.set_position(0)
# 止盈策略: 如果是空仓且行情最新价升破了10日唐奇安通道的上轨，就清空所有头寸结束策略,离场
if self.quote.last_price >= max(
self.klines.
high[-self.donchian_channel_stop_profit - 1:-1]):
print("止盈:清空所有头寸结束策略,离场")
self.set_position(0)
def strategy(self):
"""海龟策略"""
print("等待K线及账户数据...")
deadline = time.time() + 5
while not self.recalc_paramter():
if not self.api.wait_update(deadline=deadline):
raise Exception("获取数据失败，请确认行情连接正常并已经登录交易账户")
while True:
self.try_open()
self.try_close()
data_length = 200 # k线数据长度
SYMBOL = "SHFE.rb2005" # 合约代码
api = TqApi(TqAccount("simnow", "090828", "jimc1230",front_broker='9999',front_url='tcp://180.168.146.187:10100'),web_gui="0.0.0.0:9876")#web_gui="0.0.0.0:9876"
# api = TqApi(backtest=TqBacktest(start_dt=date(2020, 3,10), end_dt=date(2020, 3, 19)),web_gui="0.0.0.0:9876")#"0.0.0.0:9876"#回测模式
# api = TqApi(backtest = TqReplay(date(2020,3,18)),web_gui="0.0.0.0:9876")#复盘模式
print("策略开始运行")
# "duration_seconds=60"为一分钟线, 日线的duration_seconds参数为: 24*60*60
klines = api.get_kline_serial(SYMBOL, duration_seconds=1*60, data_length=data_length)
#收盘后不可查
target_pos = TargetPosTask(api, SYMBOL)
position = api.get_position(SYMBOL)#指定一个品种查看持仓相关信息
account = api.get_account()#获取用户账户资金信息
while True:
api.wait_update()
if api.is_changing(klines.iloc[-1], "datetime"): # 产生新k线:重新计算SMA
klines["ma5"]=ma(klines["close"], 5)
klines["ma10"]=ma(klines["close"], 10)
klines["ma89"]=ma(klines["close"], 89)
klines["ma144"]=ma(klines["close"], 144)
sar=SAR(klines, 4, 0.02, 0.2)
if api.is_changing(klines.iloc[-1], "datetime"): # 产生新k线:重新计算SMA
if klines['close'].iloc[-1] < klines['ma89'].iloc[-2]:
def run_tianqin_code(bid, user_id, pwd, td_url):
api = TqApi(TqAccount(bid, user_id, pwd), auth="[email protected],MaYanQiong", _stock=True,
_md_url="wss://nfmd.shinnytech.com/t/nfmd/front/mobile", _td_url=td_url)
print(api._md_url)
is_ctp = False if bid == "快期模拟" else True
account = api.get_account()
if bid == "快期模拟":
assert account.ctp_balance == '-' or math.isnan(account.ctp_balance)
assert account.ctp_available == '-' or math.isnan(account.ctp_available)
else:
logger.info(f"{account.ctp_balance}, {account.ctp_available}")
logger.info(f"{'='*30} 登录成功后，账户初始状态 {'='*30}")
positions = api._data["trade"][user_id]["positions"]
orders = api._data["trade"][user_id]["orders"]
check_orders(orders, api, is_ctp)
check_positions(positions, api, is_ctp)
check_account(account, positions, is_ctp)
logger.info(f"{'='*12} 期权 开仓 {'='*12}")
quote = api.get_quote("CZCE.RM105") # ETF 期权
print(quote)
# 挂单
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.lower_limit + quote.price_tick, volume=2)
# 可成交
order = api.insert_order(symbol="CZCE.RM105", direction="BUY", offset="OPEN", limit_price=quote.ask_price1, volume=1)
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.ask_price1, volume=3)
# 可成交 FAK 下单失败,CTP:交易所不支持的价格类型
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.ask_price1, volume=2, advanced="FAK")
# 可成交 FOK
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.ask_price1, volume=2, advanced="FOK")
# BEST
# order = api.insert_order(symbol="SSE.10002513", direction="SELL", offset="CLOSE", limit_price="BEST", volume=10)
# BEST FOK 下单失败,已撤单报单被拒绝12038，合约代码:SSE.10002513，下单方向:买，开平标志:开仓，委托价格:最优价，委托手数:3
# order = api.insert_order(symbol="SSE.10002513", direction="SELL", offset="CLOSE", limit_price="BEST", volume=3, advanced="FOK")
# any_price 通知: 下单失败,CTP:交易所不支持的价格类型
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", volume=3)
# FIVELEVEL 通知: 下单失败,CTP:交易所不支持的价格类型
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price="FIVELEVEL", volume=3)
while order.status == "ALIVE":
api.wait_update()
api.wait_update()
api.wait_update()
check_all(api, bid, user_id)
# logger.info(f"{'='*30} 发平仓挂单 {'='*30}")
# positions = api._data["trade"][user_id]["positions"]
# for pos in positions.values():
# symbol = f"{pos.exchange_id}.{pos.instrument_id}"
# quote = api.get_quote(symbol)
# if pos.pos_long > 0:
# api.insert_order(symbol=symbol, direction="SELL", offset="CLOSE",
# limit_price=quote.upper_limit - quote.price_tick,
# volume=pos.pos_long)
# if pos.pos_short > 0:
# api.insert_order(symbol=symbol, direction="BUY", offset="CLOSE",
# limit_price=quote.lower_limit + quote.price_tick,
# volume=pos.pos_short)
# check_all(api, bid, user_id)
api.close()
def double_moving_average(api: TqApi,
symbol: str,
max_position: int = 10,
fast: int = 5,
slow: int = 20):
strategy_name: str = 'DoubleMovingAverage'
api: TqApi = api
symbol: str = symbol
timeout: int = 5
max_position: int = max_position
fast: int = fast
slow: int = slow
ma: DataFrame = DataFrame()
tq_account: Account = api.get_account()
tq_position: Position = api.get_position(symbol)
tq_candlestick: DataFrame = api.get_kline_serial(symbol=symbol,
duration_seconds=24 * 60 *
60)
tq_target_pos = TargetPosTask(api, symbol)
deadline: float
try:
while True:
deadline = time.time() + timeout
if not api.wait_update(deadline=deadline):
raise RuntimeError('没有在规定时间内获得数据！')
# api.wait_update()
if api.is_changing(tq_candlestick):
ma['fast'] = tafunc.ma(tq_candlestick.close, fast)
ma['slow'] = tafunc.ma(tq_candlestick.close, slow)
tq_candlestick['ma_fast'] = ma['fast']
tq_candlestick['ma_fast.color'] = 'green'
tq_candlestick['ma_slow'] = ma['slow']
tq_candlestick['ma_slow.color'] = 0xFF9933CC
# 最新的快均线数值 > 最新的慢均线数值，且 前一根快均线数值 < 前一根慢均线数值
# 即快均线从下向上穿过慢均线
if (ma['fast'].iloc[-1] > ma['slow'].iloc[-1]
and ma['fast'].iloc[-2] < ma['slow'].iloc[-2]):
# # 如果有空仓，平空仓
# if tq_position.pos_short > 0:
# api.insert_order(symbol=symbol,
# direction='BUY',
# offset='CLOSE',
# limit_price=tq_candlestick.close.iloc[-1],
# volume=tq_position.pos_short
# )
# # 开多仓
# api.insert_order(symbol=symbol,
# direction='BUY',
# offset='OPEN',
# limit_price=tq_candlestick.close.iloc[-1],
# volume=max_position
# )
tq_target_pos.set_target_volume(max_position)
# 最新的快均线数值 < 最新的慢均线数值，且 前一根快均线数值 > 前一根慢均线数值
# 即快均线从上向下穿过慢均线
if (ma['fast'].iloc[-1] < ma['slow'].iloc[-1]
and ma['fast'].iloc[-2] > ma['slow'].iloc[-2]):
# # 如果有多仓，平多仓
# if tq_position.pos_short > 0:
# api.insert_order(symbol=symbol,
# direction='SELL',
# offset='CLOSE',
# limit_price=tq_candlestick.close.iloc[-1],
# volume=tq_position.pos_short
# )
# # 开空仓
# api.insert_order(symbol=symbol,
# direction='SELL',
# offset='OPEN',
# limit_price=tq_candlestick.close.iloc[-1],
# volume=max_position
# )
tq_target_pos.set_target_volume(-max_position)
except BacktestFinished:
api.close()
print(f'参数: fast={fast}, slow={slow}, 最终权益={tq_account["balance"]}')
class Turtle:
def __init__(self, account_id, symbol, donchian_channel_open_position=20, donchian_channel_stop_profit=10, atr_day_length=20):
self.account_id = account_id
self.symbol = symbol # 合约代码
self.donchian_channel_open_position = donchian_channel_open_position # 唐奇安通道的天数周期(开仓)
self.donchian_channel_stop_profit = donchian_channel_stop_profit # 唐奇安通道的天数周期(止盈)
self.atr_day_length = atr_day_length # ATR计算所用天数
self.state = {
"position": 0, # 本策略净持仓数(正数表示多头，负数表示空头，0表示空仓)
"last_price": float("nan"), # 上次调仓价
}
self.n = 0
self.unit = 0
self.donchian_channel_high = 0
self.donchian_channel_low = 0
self.api = TqApi(self.account_id)
self.quote = self.api.get_quote(self.symbol)
# 由于ATR是路径依赖函数，因此使用更长的数据序列进行计算以便使其值稳定下来
kline_length = max(donchian_channel_open_position + 1, donchian_channel_stop_profit + 1, atr_day_length * 5)
self.klines = self.api.get_kline_serial(self.symbol, 24 * 60 * 60, data_length=kline_length)
self.account = self.api.get_account()
self.target_pos = TargetPosTask(self.api, self.symbol, init_pos=self.state["position"])
def recalc_paramter(self):
try:
df = self.klines.to_dataframe()
# 本交易日的平均真实波幅(N值)
self.n = talib.ATR(df["high"], df["low"], df["close"], timeperiod=self.atr_day_length).iloc[-1]
# 买卖单位
self.unit = int((self.account["balance"] * 0.01) / (self.quote["volume_multiple"] * self.n))
print('atr:', self.n, " unit:", self.unit)
# 唐奇安通道上轨：前N个交易日的最高价
self.donchian_channel_high = max(self.klines.high[-self.donchian_channel_open_position - 1:-1])
# 唐奇安通道下轨：前N个交易日的最低价
self.donchian_channel_low = min(self.klines.low[-self.donchian_channel_open_position - 1:-1])
print("唐其安通道上下轨:", self.donchian_channel_high, self.donchian_channel_low)
except Exception: # 若尚未接收到数据, 即数据为NaN, 则在ATR或unit计算时会报错
return False
return True
def set_position(self, pos):
self.state["position"] = pos
self.state["last_price"] = self.quote["last_price"]
self.target_pos.set_target_volume(self.state["position"])
def try_open(self):
"""开仓策略"""
while self.state["position"] == 0:
self.api.wait_update()
if self.api.is_changing(self.klines[-1], "datetime"): # 如果产生新k线,则重新计算唐奇安通道及买卖单位
self.recalc_paramter()
if self.api.is_changing(self.quote, "last_price"):
print("最新价: ", self.quote["last_price"])
if self.quote["last_price"] > self.donchian_channel_high: # 当前价>唐奇安通道上轨，买入1个Unit；(持多仓)
print("当前价>唐奇安通道上轨，买入1个Unit(持多仓):", self.unit, "手")
self.set_position(self.state["position"] + self.unit)
elif self.quote["last_price"] < self.donchian_channel_low: # 当前价<唐奇安通道下轨，卖出1个Unit；(持空仓)
print("当前价<唐奇安通道下轨，卖出1个Unit(持空仓):", self.unit, "手")
self.set_position(self.state["position"] - self.unit)
def try_close(self):
"""交易策略"""
while self.state["position"] != 0:
self.api.wait_update()
if self.api.is_changing(self.quote, "last_price"):
print("最新价: ", self.quote["last_price"])
if self.state["position"] > 0: # 持多单
# 加仓策略: 如果是多仓且资产的价格在上一次建仓（或者加仓）的基础上又上涨了0.5N，就再加一个Unit的多仓
if self.quote["last_price"] >= self.state["last_price"] + 0.5 * self.n:
print("加仓:加1个Unit的多仓")
self.set_position(self.state["position"] + self.unit)
# 止损策略: 如果是多仓且资产的价格在上一次建仓（或者加仓）的基础上又下跌了2N，就卖出全部头寸止损
elif self.quote["last_price"] <= self.state["last_price"] - 2 * self.n:
print("止损:卖出全部头寸")
self.set_position(0)
# 止盈策略: 如果是多仓且当前资产价格跌破了10日唐奇安通道的下轨，就清空所有头寸结束策略,离场
if self.quote["last_price"] <= min(self.klines.low[-self.donchian_channel_stop_profit - 1:-1]):
print("止盈:清空所有头寸结束策略,离场")
self.set_position(0)
elif self.state["position"] < 0: # 持空单
# 加仓策略: 如果是空仓且资产的价格在上一次建仓（或者加仓）的基础上又下跌了0.5N，就再加一个Unit的空仓
if self.quote["last_price"] <= self.state["last_price"] - 0.5 * self.n:
print("加仓:加1个Unit的空仓")
self.set_position(self.state["position"] - self.unit)
# 止损策略: 如果是空仓且资产的价格在上一次建仓（或者加仓）的基础上又上涨了2N，就平仓止损
elif self.quote["last_price"] >= self.state["last_price"] + 2 * self.n:
print("止损:卖出全部头寸")
self.set_position(0)
# 止盈策略: 如果是空仓且当前资产价格升破了10日唐奇安通道的上轨，就清空所有头寸结束策略,离场
if self.quote["last_price"] >= max(self.klines.high[-self.donchian_channel_stop_profit - 1:-1]):
print("止盈:清空所有头寸结束策略,离场")
self.set_position(0)
def strategy(self):
"""海龟策略"""
print("等待K线及账户数据...")
deadline = time.time()+5
while not self.recalc_paramter():
if not self.api.wait_update(deadline=deadline):
raise Exception("获取数据失败，请确认行情连接正常并已经登录交易账户")
while True:
self.try_open()
self.try_close()
def run_tianqin_code(bid, user_id, pwd, td_url):
api = TqApi(TqAccount(bid, user_id, pwd),
auth="[email protected],MaYanQiong",
_td_url=td_url)
is_ctp = False if bid == "快期模拟" else True
account = api.get_account()
if bid == "快期模拟":
assert account.ctp_balance == '-' or math.isnan(account.ctp_balance)
assert account.ctp_available == '-' or math.isnan(
account.ctp_available)
else:
logger.info(f"{account.ctp_balance}, {account.ctp_available}")
logger.info(f"{'='*30} 登录成功后，账户初始状态 {'='*30}")
positions = api._data["trade"][user_id]["positions"]
orders = api._data["trade"][user_id]["orders"]
check_orders(orders, api, is_ctp)
check_positions(positions, api, is_ctp)
check_account(account, positions, is_ctp)
logger.info(f"{'='*30} 全部撤单 & 全部平仓 {'='*30}")
for order in orders.values():
if order.status != "FINISHED":
api.cancel_order(order)
for pos in positions.values():
symbol = f"{pos.exchange_id}.{pos.instrument_id}"
quote = api.get_quote(symbol)
if pos.pos_long > 0:
api.insert_order(symbol=symbol,
direction="SELL",
offset="CLOSE",
limit_price=quote.bid_price1,
volume=pos.pos_long)
if pos.pos_short > 0:
api.insert_order(symbol=symbol,
direction="BUY",
offset="CLOSE",
limit_price=quote.ask_price1,
volume=pos.pos_short)
while True:
api.wait_update(deadline=time.time() + 30)
# 全部持仓清 0
is_all_clear = True
for pos in positions.values():
if pos.pos_long > 0 or pos.pos_short > 0:
is_all_clear = False
for order in orders.values():
if order.status != "FINISHED":
is_all_clear = False
if is_all_clear:
logger.info("全部撤单 & 全部平仓 ok")
break
else:
logger.info("还没完成全部撤单 & 全部平仓")
logger.info(f"{'='*12} 期货 开仓 {'='*12}")
quote = api.get_quote("CZCE.RM105")
api.insert_order(symbol="CZCE.RM105",
direction="BUY",
offset="OPEN",
limit_price=quote.lower_limit + quote.price_tick,
volume=2)
api.insert_order(symbol="CZCE.RM105",
direction="BUY",
offset="OPEN",
limit_price=quote.ask_price1,
volume=3)
quote1 = api.get_quote("CZCE.CF105")
api.insert_order(symbol="CZCE.CF105",
direction="SELL",
offset="OPEN",
limit_price=quote1.upper_limit - quote1.price_tick,
volume=2)
api.insert_order(symbol="CZCE.CF105",
direction="SELL",
offset="OPEN",
limit_price=quote1.bid_price1,
volume=3)
check_all(api, bid, user_id)
# logger.info(f"{'='*12} 期权 开仓 {'='*12}")
# quote = api.get_quote("CZCE.RM009C2300")
# api.insert_order(symbol="CZCE.RM009C2300", direction="BUY", offset="OPEN",
# limit_price=quote.lower_limit + quote.price_tick,
# volume=2)
# api.insert_order(symbol="CZCE.RM009C2300", direction="BUY", offset="OPEN", limit_price=quote.ask_price1,
# volume=3)
# quote1 = api.get_quote("CZCE.CF009C11600")
# api.insert_order(symbol="CZCE.CF009C11600", direction="SELL", offset="OPEN",
# limit_price=quote1.upper_limit - quote1.price_tick,
# volume=2)
# api.insert_order(symbol="CZCE.CF009C11600", direction="SELL", offset="OPEN", limit_price=quote1.bid_price1,
# volume=3)
#
# quote2 = api.get_quote("CZCE.RM009P2300")
# api.insert_order(symbol="CZCE.RM009P2300", direction="BUY", offset="OPEN",
# limit_price=quote2.lower_limit + quote2.price_tick,
# volume=2)
# api.insert_order(symbol="CZCE.RM009P2300", direction="BUY", offset="OPEN", limit_price=quote2.ask_price1,
# volume=3)
# quote3 = api.get_quote("CZCE.CF009C11600")
# api.insert_order(symbol="CZCE.CF009P11600", direction="SELL", offset="OPEN",
# limit_price=quote3.upper_limit - quote3.price_tick,
# volume=2)
# api.insert_order(symbol="CZCE.CF009P11600", direction="SELL", offset="OPEN", limit_price=quote3.bid_price1,
# volume=3)
# PUT
# check_all(api, bid, user_id)
# logger.info(f"{'='*30} 发平仓挂单 {'='*30}")
# positions = api._data["trade"][user_id]["positions"]
# for pos in positions.values():
# symbol = f"{pos.exchange_id}.{pos.instrument_id}"
# quote = api.get_quote(symbol)
# if pos.pos_long > 0:
# api.insert_order(symbol=symbol, direction="SELL", offset="CLOSE",
# limit_price=quote.upper_limit - quote.price_tick,
# volume=pos.pos_long)
# if pos.pos_short > 0:
# api.insert_order(symbol=symbol, direction="BUY", offset="CLOSE",
# limit_price=quote.lower_limit + quote.price_tick,
# volume=pos.pos_short)
# check_all(api, bid, user_id)
api.close()
import logging
logging.basicConfig(filename='log.txt',filemode='a',level = logging.INFO,format = '%(asctime)s - %(name)s - %(levelname)s - %(message)s')
#logging.basicConfig(level = logging.INFO,format = '%(asctime)s - %(name)s - %(levelname)s - %(message)s')
#pdb.set_trace()
print('This is yhlz\'s trading server,now started!\n')
try:
#api=TqApi(TqAccount('快期模拟','284837','86888196'))
api=TqApi(TqAccount('simnow','133492','Yhlz0000'))
logging.info('success sign in! with simnow')
# api=TqApi(TqAccount('H华安期货','100909186','Yhlz0000'))
# logging.info('success sign in! with 100909186')
except Exception:
logging.info('problem with sign in!')
raise SystemExit
contral='' #use for contral the whole program stop or not ,if it equal to 'q' then progam stoped
account=api.get_account() #account is a value is a object can used as account.balence etc.
position=api.get_position() #position is a dict where the key is contract,value is each contract's features
class Get_Input(threading.Thread): # this thread contral wheather to stop whole program
def run(self):
global contral
while True:
contral=input('press q to quit!')
logging.info(contral)
logging.info(time.ctime())
now=time.localtime(time.time())
if now.tm_hour==15 or now.tm_hour==3 or contral=='q':
logging.info('Ready to quit')
return
#######---------------------------get all data and all strategy needed ready-------------------------------------#######
f=open(r'strategytorun.txt')
strategy_list=f.readlines() #a list of strategy need to run
