# 定義初始倉位
OrderRecord = Record()
# 移動停損點數
StopLoss = 10
# 訂閱報價
GO = haohaninfo.GOrder.GOQuote()
# 進場判斷
for row in GO.Subscribe(Broker, 'match', Product):
# 取得時間、價格欄位
Time = datetime.datetime.strptime(row[0], '%Y/%m/%d %H:%M:%S.%f')
Price = float(row[2])
# 無條件進場多單
OrderRecord.Order('B', Product, Time, Price, 1)
# 進場後判斷最高價變數
AfterOrder = Price
print(Time, '價格', Price, '無條件進場多單')
GO.EndSubscribe()
# 出場判斷
for row in GO.Subscribe(Broker, 'match', Product):
# 取得時間、價格欄位
Time = datetime.datetime.strptime(row[0], '%Y/%m/%d %H:%M:%S.%f')
Price = float(row[2])
# 判斷移動停損
if Price > AfterOrder:
AfterOrder = Price
elif Price <= AfterOrder - StopLoss:
# 空單出場
if OrderRecord.GetOpenInterest()==0 :
# 在9點15 判斷當日高低點
if KBar['time'][n].strftime('%H%M') <= "0916" :
# 新的一天則新增一組key
if Date not in CeilPrice.keys():
CeilPrice[Date] = KBar['high'][n]
FloorPrice[Date] = KBar['low'][n]
Spread[Date]=(CeilPrice[Date]-FloorPrice[Date])*0.2
else:
CeilPrice[Date] = max(CeilPrice[Date],KBar['high'][n])
FloorPrice[Date] = min(FloorPrice[Date],KBar['low'][n])
Spread[Date]=(CeilPrice[Date]-FloorPrice[Date])*0.2
# 在9:16以後 並且當日無進場，則開始判斷當日進場
elif KBar['time'][n].strftime('%H%M') > "0916" and KBar['time'][n].strftime('%Y%m%d') != LastOrderDay :
if KBar['close'][n] > CeilPrice[Date] + Spread[Date] :
OrderRecord.Order('Buy', KBar['product'][n+1],KBar['time'][n+1],KBar['open'][n+1],1)
OrderPrice = KBar['open'][n+1]
StopLossPoint = OrderPrice * (1-MoveStopLoss)
LastOrderDay = KBar['time'][n].strftime('%Y%m%d')
elif KBar['close'][n] < FloorPrice[Date] - Spread[Date] :
OrderRecord.Order('Sell', KBar['product'][n+1],KBar['time'][n+1],KBar['open'][n+1],1)
OrderPrice = KBar['open'][n+1]
StopLossPoint = OrderPrice * (1+MoveStopLoss)
LastOrderDay = KBar['time'][n].strftime('%Y%m%d')
# 如果有多單部位，則在1330點以後立即平倉
elif OrderRecord.GetOpenInterest()==1 :
# 逐筆更新移動停損價位
if KBar['close'][n] * (1-MoveStopLoss) > StopLossPoint :
StopLossPoint = KBar['close'][n] * (1-MoveStopLoss)
# 判斷到期出場
EndDate = sys.argv[2]
# 停損停利點數設置
StopLoss = float(sys.argv[3])
TakeProfit = float(sys.argv[4])
LastOrderDay = ''
# 回測取報價物件
KBar = GOrder.GetTAKBar(StartDate, EndDate, 'TXF', 'Future', '1', '1')
# 開始回測
for n in range(0, len(KBar['time'])):
# 如果無未平倉部位 並時間為指定的進場時間 則進場
if OrderRecord.GetOpenInterest() == 0:
# 如果最新的K線時間在 10點至11點內
if KBar['time'][n].strftime('%H%M') >= "1000" and KBar['time'][
n].strftime('%H%M') <= "1100":
OrderRecord.Order('Buy', KBar['product'][n], KBar['time'][n],
KBar['open'][n], 1)
OrderPrice = KBar['open'][n + 1]
StopLossPoint = OrderPrice - StopLoss
TakeProfitPoint = OrderPrice + TakeProfit
LastOrderDay = KBar['time'][n].strftime('%Y%m%d')
# 如果有未平倉部位，則在11點以後立即平倉
elif OrderRecord.GetOpenInterest() == 1:
# 如果最新的K線時間超過 11點
if KBar['time'][n].strftime('%H%M') >= "1100":
OrderRecord.Cover('Sell', KBar['product'][n], KBar['time'][n],
KBar['open'][n], 1)
# 如果上一根K的收盤價觸及停利價位，則在最新時間出場
elif KBar['close'][n] > TakeProfitPoint:
OrderRecord.Cover('Sell', KBar['product'][n + 1],
KBar['time'][n + 1], KBar['open'][n + 1], 1)
# 如果上一根K的收盤價觸及停損價位，則在最新時間出場