def handle_bar(self, event):
Environment.logger.info('self.time_tag', self.time_tag, datetime.now())
# Environment.logger.debug(len(Environment.bar_position_data_list))
if self.time_tag not in self.group_hold_index:
return
# 取当前bar的持仓情况
available_position_dict = {}
for position in Environment.bar_position_data_list:
if position.account_id == self.account[0]:
available_position_dict[position.instrument + '.' + position.exchange] = position.position - position.frozen
# 因子选股的持仓股票
current_group_hold_list = self.group_hold.loc[self.time_tag].dropna().index.values
# 当前资金账户的持仓股票
position_stock_list = list(available_position_dict.keys())
# 需要买入调仓的股票
buy_stock_list = np.setdiff1d(current_group_hold_list, position_stock_list)
# 需要卖出调仓的股票
sell_stock_list = np.setdiff1d(position_stock_list, current_group_hold_list)
# 需要调仓的股票，取这些票的收盘价
buy_sell_stock_list = np.union1d(buy_stock_list, sell_stock_list)
close_price_all = self.data_class.get_market_data(Environment.daily_data, stock_code=buy_sell_stock_list,
field=['close'],
start=self.time_tag, end=self.time_tag)
Environment.logger.info(len(current_group_hold_list), len(position_stock_list), len(buy_stock_list),
len(sell_stock_list))
print(Environment.bar_account_data_list[0].available)
# 循环遍历股票池
for stock in sell_stock_list:
# 取当前股票的收盘价
close_price = close_price_all['close'][stock]
if np.isnan(close_price):
continue
Trade(self).order_shares(stock_code=stock, shares=-available_position_dict[stock], price_type='fix',
order_price=close_price, account_id=self.account[0])
Environment.logger.info(self.time_tag, 'sell', stock, available_position_dict[stock],
'fix', close_price, self.account[0])
print(Environment.bar_account_data_list[0].available, Environment.bar_account_data_list[0].account_id)
# print(position_stock_list)
if position_stock_list:
self.single_stock_value = (Environment.bar_account_data_list[0].available -
Environment.bar_account_data_list[0].total_balance * (1 - self.hold_ratio)) / \
len(buy_stock_list)
self.single_stock_value = max(self.single_stock_value, 0)
print(self.single_stock_value)
if self.single_stock_value > 0:
for stock in buy_stock_list:
# 取当前股票的收盘价
close_price = close_price_all['close'][stock]
if np.isnan(close_price):
continue
buy_share = int(self.single_stock_value / close_price / 100) * 100
Trade(self).order_shares(stock_code=stock, shares=buy_share, price_type='fix', order_price=close_price,
account_id=self.account[0])
Environment.logger.info(self.time_tag, 'buy', stock, buy_share, 'fix', close_price, self.account[0])
def on_bar(self, event):
Environment.logger.info('self.time_tag', self.time_tag, datetime.now(),
(time.time() - self.now) * 1000)
Environment.logger.debug(len(Environment.bar_position_data_list))
# 取当前bar的持仓情况
with Timer(True):
available_position_dict = {}
for position in Environment.bar_position_data_list:
available_position_dict[
position.instrument + '.' +
position.exchange] = position.position - position.frozen
index_member_list = self.index_member_obj.get_index_member_in_date(
self.time_tag)
close_price_all = self.data_class.get_market_data(
Environment.daily_data,
stock_code=index_member_list,
field=['close'],
start=self.time_tag,
end=self.time_tag)
# 循环遍历股票池
for stock in index_member_list:
# 取当前股票的收盘价
close_price = close_price_all['close'][stock]
if close_price:
ma5 = self.ma5[stock][self.time_tag]
ma20 = self.ma10[stock][self.time_tag]
if ma5 and ma20:
# 如果5日均线突破20日均线，并且没有持仓，则买入这只股票100股，以收盘价为指定价交易
if ma5 > ma20 and stock not in available_position_dict.keys(
) and stock in index_member_list:
Trade(self).order_shares(stock_code=stock,
shares=100,
price_type='fix',
order_price=close_price,
account=self.account[0])
Environment.logger.info('buy', stock, -1, 'fix',
close_price, self.account)
# 如果20日均线突破5日均线，并且有持仓，则卖出这只股票100股，以收盘价为指定价交易
elif ma5 < ma20 and stock in available_position_dict.keys(
):
Trade(self).order_shares(stock_code=stock,
shares=-100,
price_type='fix',
order_price=close_price,
account=self.account[0])
Environment.logger.info('sell', stock, -1, 'fix',
close_price, self.account)
for stock in available_position_dict.keys():
if stock not in index_member_list:
Trade(self).order_shares(stock_code=stock,
shares=-100,
price_type='fix',
order_price=close_price,
account=self.account[0])
Environment.logger.info('sell not in index_member_list',
stock, -1, 'fix', close_price,
self.account)
self.now = time.time()
def handle_bar(self, event):
# 取当前bar的持仓情况
available_position_dict = {}
for position in Environment.bar_position_data_list:
available_position_dict[
position.instrument + "." +
position.exchange] = position.position - position.frozen
# 当前bar的具体时间戳
current_date = data_transfer.millisecond_to_date(
millisecond=self.timetag, format="%Y-%m-%d")
# 时间戳转换成int，方便后面取数据
current_date_int = data_transfer.date_str_to_int(current_date)
print(current_date)
# 取数据实例
data_class = GetData()
# 循环遍历股票池
for stock in self.universe:
# 取当前股票的收盘价
close_price = data_class.get_market_data(Environment.daily_data,
stock_code=[stock],
field=["close"],
end=current_date)
# print(self.start, current_date)
close_array = np.array(close_price)
if len(close_array) > 0:
# 利用talib计算MA
ma5 = talib.MA(np.array(close_price), timeperiod=5)
ma20 = talib.MA(np.array(close_price), timeperiod=20)
# print(type(close_price.keys()))
# 过滤因为停牌没有数据
if current_date_int in close_price.keys():
# 如果5日均线突破20日均线，并且没有持仓，则买入这只股票100股，以收盘价为指定价交易
if ma5[-1] > ma20[
-1] and stock not in available_position_dict.keys(
):
Trade(self).order_shares(
stock_code=stock,
shares=100,
price_type="fix",
order_price=close_price[current_date_int],
account=self.account[0])
print("buy", stock, 1, "fix",
close_price[current_date_int], self.account)
# 如果20日均线突破5日均线，并且有持仓，则卖出这只股票100股，以收盘价为指定价交易
elif ma5[-1] < ma20[
-1] and stock in available_position_dict.keys():
Trade(self).order_shares(
stock_code=stock,
shares=-100,
price_type="fix",
order_price=close_price[current_date_int],
account=self.account[0])
print("sell", stock, -1, "fix",
close_price[current_date_int], self.account)
def __init__(self, strategy_name='strategy_base'):
self._strategy_name = strategy_name
self._run_mode = RunMode.BACKTESTING.value
self._account = ['test_account']
self._capital = {'test_account': 1000000}
self._start = datetime(2017, 1, 1)
self._end = datetime(2018, 1, 1)
self._benchmark = '000300.SH'
self._period = Period.DAILY.value # 后续支持1min 3min 5min 等多周期
self._universe = []
self._rights_adjustment = RightsAdjustment.FROWARD.value
self._time_tag = 0
# 数据缓存开关
self._daily_data_cache = False
self._one_min_data_cache = False
# 取数据
self._get_data = GetKlineData()
self.bar_index = 0
# 初始化交易函数
self.trade = Trade(self)
def handle_bar(self, event):
print('self.time_tag', self.time_tag, datetime.now(),
(time.time() - self.now) * 1000)
print(len(Environment.bar_position_data_list))
# 取当前bar的持仓情况
with Timer(True):
available_position_dict = {}
for position in Environment.bar_position_data_list:
available_position_dict[
position.instrument + '.' +
position.exchange] = position.position - position.frozen
index_member_list = self.index_member_obj.get_index_member_in_date(
self.time_tag)
close_price_all = self.data_class.get_market_data(
Environment.daily_data,
stock_code=index_member_list,
field=['close'],
start=self.time_tag,
end=self.time_tag)
# 循环遍历股票池
for stock in index_member_list:
# 取当前股票的收盘价
close_price = close_price_all['close'][stock]
# print(close_price, type(close_price))
# close_array = np.array(close_price)
if close_price:
# if len(close_array) > 0:
# # 利用talib计算MA
# try:
# ma5 = talib.MA(close_array[-20:], timeperiod=5)
# ma20 = talib.MA(close_array[-20:], timeperiod=20)
# except Exception as e:
# continue
# print('ma5', ma5[-1], ma20[-1], ma5[-1] > ma20[-1], len(available_position_dict.keys()))
# 过滤因为停牌没有数据
# if self.time_tag in close_price.index:
# print("qqqqqq", type(self.ma5), self.ma5)
ma5 = self.ma5[stock][self.time_tag]
ma20 = self.ma10[stock][self.time_tag]
if ma5 and ma20:
# 如果5日均线突破20日均线，并且没有持仓，则买入这只股票100股，以收盘价为指定价交易
if ma5 > ma20 and stock not in available_position_dict.keys(
) and stock in index_member_list:
Trade(self).order_shares(stock_code=stock,
shares=100,
price_type='fix',
order_price=close_price,
account=self.account[0])
print('buy', stock, -1, 'fix', close_price,
self.account)
# 如果20日均线突破5日均线，并且有持仓，则卖出这只股票100股，以收盘价为指定价交易
elif ma5 < ma20 and stock in available_position_dict.keys(
):
Trade(self).order_shares(stock_code=stock,
shares=-100,
price_type='fix',
order_price=close_price,
account=self.account[0])
print('sell', stock, -1, 'fix', close_price,
self.account)
for stock in available_position_dict.keys():
if stock not in index_member_list:
Trade(self).order_shares(stock_code=stock,
shares=-100,
price_type='fix',
order_price=close_price,
account=self.account[0])
print('sell not in index_member_list', stock, -1, 'fix',
close_price, self.account)
self.now = time.time()