def GetKBar(Num,Prod,Kind,DN):
# 取歷史報價
Data = GOrder.GetHistoryKBar(Num,Prod,Kind,DN)
# 刪除換行符號並依逗號分隔
Data = [ i.strip('\n').split(',') for i in Data ]
# 將資料改為Talib套件適用的格式
KBar = {}
KBar['date'] = np.array([ i[0] for i in Data ])
KBar['open'] = np.array([ float(i[2]) for i in Data ])
KBar['high'] = np.array([ float(i[3]) for i in Data ])
KBar['low'] = np.array([ float(i[4]) for i in Data ])
KBar['close'] = np.array([ float(i[5]) for i in Data ])
KBar['volume'] = np.array([ int(i[6]) for i in Data ])
return KBar
# 載入必要模組
from haohaninfo import GOrder
from order import Record
import sys
# 登入帳號密碼(讀者須修正該帳號密碼為自己的，否則無法執行策略)
GOrder.Login('TestAccount','TestPasswd')
# 建立部位管理物件
OrderRecord=Record()
# 取得回測參數
StartDate=sys.argv[1]
EndDate=sys.argv[2]
# 每日進場標記、高低點判斷
LastOrderDay=''
CeilPrice={}
FloorPrice={}
Spread={}
MoveStopLoss=0.02
# 回測取報價物件
KBar=GOrder.GetTAKBar(StartDate,EndDate,'3008','Stock','1','1')
# 開始回測
for n in range(0,len(KBar['time'])):
# 將日期取出
Date=KBar['time'][n].strftime('%Y%m%d')
# 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 :
# 在9點15 判斷當日高低點
if KBar['time'][n].strftime('%H%M') <= "0916" :
# 載入必要模組
from haohaninfo import GOrder
from order import Record
import sys
# 登入帳號密碼(讀者須修正該帳號密碼為自己的，否則無法執行策略)
GOrder.Login('TestAccount', 'TestPasswd')
# 建立部位管理物件
OrderRecord = Record()
# 取得回測參數
StartDate = sys.argv[1]
EndDate = sys.argv[2]
# 每日進場標記、高低點判斷
LastOrderDay = ''
CeilPrice = {}
FloorPrice = {}
Spread = {}
StopLoss = 30
TakeProfit = 70
# 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'])):
# 將日期取出
Date = KBar['time'][n].strftime('%Y%m%d')
# 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:
# 在9點15 判斷當日高低點
# 載入必要模組
from haohaninfo import GOrder
from chart import ChartKBar_MA
import sys
# 取得回測參數
Excgange = sys.argv[1]
Product = sys.argv[2]
StartDate = sys.argv[3]
EndDate = sys.argv[4]
Klen = sys.argv[5]
LongPeriod = int(sys.argv[6])
ShortPeriod = int(sys.argv[7])
# 登入帳號密碼(讀者須修正該帳號密碼為自己的，否則無法執行策略)
GOrder.Login('TestAccount', 'TestPasswd')
# K線物件
KBar = GOrder.GetTAKBar(StartDate, EndDate, Product, Excgange, '0', Klen)
# 繪製K線圖加上MA線圖
ChartKBar_MA(KBar, LongPeriod, ShortPeriod)
from haohaninfo import GOrder # 匯入模組
N = 10 # 設定MA期數
TotalProfit = [] # 用來記錄每筆損益
flag = 0 # 手中部位狀態，0代表空手，1代表持有多單，-1代表持有空單
Data = GOrder.GetHistoryKBar('100', '2330', 'Stock', '1') # 取歷史報價
Data = [i.strip('\n').split(',') for i in Data] # 利用列表推導式將資料轉為List格式
lastClose = None # 昨日收盤價
lastMA = None # 昨日MA值
for k in range(N, len(Data) - 1):
price = [float(i[5]) for i in Data[k - N + 1:k + 1]] # 取近N日的收盤價
nextDate = Data[k + 1][0] # 隔日日期
nextOpen = float(Data[k + 1][2]) # 隔日開盤價
thisClose = float(Data[k][5]) # 當日收盤價
thisMA = sum(price) / N # 當日MA值
# 第一筆資料無法判斷是否交叉
if lastClose != None:
# 收盤價由下往上穿越平均線
if lastClose <= lastMA and thisClose > thisMA:
# 多單進場
if flag == 0:
flag = 1
OrderDate = nextDate
OrderPrice = nextOpen
# 將空單平倉，並多單進場
elif flag == -1:
# 先平倉，並記錄損益
CoverDate = nextDate
CoverPrice = nextOpen
from haohaninfo import GOrder # 匯入模組
Broker = 'Simulator' # Yuanta(元大證券)、Capital(群益證券)、Capital_Future(群益期貨)、Kgi(凱基證券)、Kgi_Future(凱基期貨)、Simulator(虛擬期貨)
Kind = 'match' # match(成交資訊)、commission(委託資訊)、updn5(上下五檔資訊)
Prod = 'TXFJ9' # 商品代碼(GOrder內需先訂閱該商品)
lastMinute = None # 存放上一筆資料的分鐘
Close = [] # 存放每分鐘的收盤價
N = 5 # 定義MA期數
# 串接GOrder即時報價
GO = GOrder.GOQuote()
for i in GO.Describe(Broker, Kind, Prod):
time = i[0] # 時間
minute = time[14:16] # 分鐘
price = float(i[2]) # 價格
if minute == lastMinute: # 同一分鐘
Close[-1] = price # 不斷更新最近一根K棒的收盤價
else: # 不同分鐘
Close.append(price) # 新增一根K棒的收盤價
if len(Close) >= N: # 陣列裡的收盤價數量足夠就可以開始計算MA指標
MA = sum(Close[-N:]) / N # 期數為N期的MA指標
print(i[0], MA) # 印出當前的時間及MA指標
lastMinute = minute # 記錄當前分鐘
from haohaninfo import GOrder # 匯入模組
Broker = 'Simulator' # Yuanta(元大證券)、Capital(群益證券)、Capital_Future(群益期貨)、Kgi(凱基證券)、Kgi_Future(凱基期貨)、Simulator(虛擬期貨)
Kind = 'match' # match(成交資訊)、commission(委託資訊)、updn5(上下五檔資訊)
Prod = 'TXFJ9' # 商品代碼(GOrder內需先訂閱該商品)
lastTime = None # 存放上一筆資料的時間
Close = [] # 存放每分鐘的收盤價
MA_List = [] # 存放每分鐘的MA值
MA = None # 定義MA值
N = 5 # 定義MA期數
# 串接GOrder即時報價
GO = GOrder.GOQuote()
for i in GO.Describe(Broker, Kind, Prod):
time = i[0] # 時間
minute = time[14:16] # 分鐘
price = float(i[2]) # 價格
if time == lastTime: # 同一分鐘
Close[-1] = price # 不斷更新最近一根K棒的收盤價
else: # 不同分鐘
Close.append(price) # 新增一根K棒的收盤價
if len(Close) >= N: # 陣列裡的收盤價數量足夠就可以開始計算MA指標
MA = sum(Close[-N:]) / N # 期數為N期的MA指標
if time == lastTime: # 同一分鐘
MA_List[-1] = MA # 不斷更新最近一根K棒的MA值
else: # 不同分鐘
MA_List.append(MA) # 新增一根K棒的MA值
# Yuanta(元大證券)、Capital(群益證券)、Capital_Future(群益期貨)、Kgi(凱基證券)、Kgi_Future(凱基期貨)、Simulator(虛擬期貨)
Broker = 'Masterlink_Future'
PriceOffer = 'Simulator'
# match(成交資訊)、commission(委託資訊)、updn5(上下五檔資訊)
Kind = 'match'
# 取即時報價的商品代碼(GOrder內需先訂閱該商品)
Prod = 'TXFA0'
# 取得當天日期
Date = datetime.datetime.now().strftime("%Y/%m/%d")
# 定義報價指令的物件
GOQ = GOrder.GOQuote()
# 定義下單指令的物件
GOC = GOrder.GOCommand()
endTime = datetime.datetime.strptime('2020/1/3 16:33:10', '%Y/%m/%d %H:%M:%S')
import tick2OHLC
A = tick2OHLC.tick2OHLC()
for row in GOQ.Describe(PriceOffer, Kind, Prod):
time = datetime.datetime.strptime(row[0], '%Y/%m/%d %H:%M:%S.%f')
price = float(row[2])
print(time, price)
A.put(time, price)
# if time >= endTime:
# GOQ.EndDescribe()
from haohaninfo import GOrder
import datetime
from order_bigdata import OrderMKT
BK = 'Simulator_Stock'
STK = '3481'
T1 = '1023'
T2 = '1022'
GOQ = GOrder.GOQuote()
Index = 0
for row in GOQ.Subscribe(BK, 'match', STK):
# ['2021/05/27 10:08:24.656481', '2615', '140.5', '10', '88258', '140', '140.5']
print(row)
T = datetime.datetime.strptime(row[0], '%Y/%m/%d %H:%M:%S.%f')
T0 = T.strftime('%H%M')
if Index == 0:
print(T0, T1)
if T0 >= T1:
Index = 1
OINFO = OrderMKT(BK, STK, 'B', '1')
print('進場成功', OINFO)
break
from haohaninfo import GOrder
import GOrder_GetKBar, datetime
# Yuanta(元大證券)、Capital(群益證券)、Capital_Future(群益期貨)、Kgi(凱基證券)、Kgi_Future(凱基期貨)、Simulator(虛擬期貨)
Broker = 'Simulator'
# match(成交資訊)、commission(委託資訊)、updn5(上下五檔資訊)
Kind = 'match'
# 取即時報價的商品代碼(GOrder內需先訂閱該商品)
Prod = 'TXFH9'
# 取得當天日期
Date = datetime.datetime.now().strftime("%Y/%m/%d")
# 開始判斷時間
StartTime = datetime.datetime.strptime(Date + ' 09:00:00.00',
'%Y/%m/%d %H:%M:%S.%f')
# 定義報價指令的物件
a = GOrder.GOQuote()
# 定義下單指令的物件
b = GOrder.GOCommand()
# 定義K棒物件(1分K)
KBar = GOrder_GetKBar.KBar(Date, 1)
# 固定式停損點數
StopLoss = 20
# 定義WMA快線及慢線期數、
FastN = 5
SlowN = 10
# 定義兩次交叉需間隔的時間
M = 8
# 進場判斷
CrossTime = None
Interval = datetime.timedelta(minutes=M)
# 該商品近10年的現金股利
Data3 = [ i[2] for i in Data2 ]
# 若資料內有NA值則略過這檔股票
if 'NA' in Data3:
continue
# 將股利資訊從 字串型態 轉為 浮點位型態
Data4 = [ float(i) for i in Data3 ]
# 近10年發放現金股利的次數
Num = len([ i for i in Data4 if float(i) > 0 ])
# 連續10年都有發放現金股利
if Num >= 10:
# 每一年發放的現金股利都不低於前一年
Check = True
for i in range(1,10):
if Data3[i] < Data3[i-1]:
Check = False
break
# 印出符合條件的股票代碼及近10年發放的現金股利
if Check == True:
# 取該檔股票的歷史日K棒 (K棒數量,商品代碼,商品種類,日夜盤)
KBar = GOrder.GetHistoryKBar('250', Prod, 'Stock', '1')
# 目前無法取到上櫃股票的歷史資料
if KBar != ['']:
Close = [ i.split(',') for i in KBar ] # 依照逗號分隔欄位
Close = [ float(i[5]) for i in Close ] # 取出收盤價
MA250 = round(sum(Close)/250,2) # 計算年均線(一年約250個交易日)
TodayClose = Close[-1] # 最近一日的收盤價
# 收盤價 > 年均線
if TodayClose > MA250:
print(Prod,'TodayClose:',TodayClose,'MA250:',MA250)
from haohaninfo import GOrder
GOC = GOrder.GOCommand()
def OrderMKT(broker, stock, bs, qty):
OrderNo = GOC.Order(broker, stock, bs, "0", qty, "IOC", "MKT", "A")
while True:
OrderRS = GOC.GetAccount(broker, OrderNo)
OrderInfo = OrderRS[0].split(',')
print(OrderInfo)
if OrderInfo[1] == '成交':
return OrderInfo
# OrderMKT('Simulator_Stock','2615','B','1')
# OrderInfo=OrderMKT('Simulator_Stock','2014','B','1')
# print('成交時間 %s 成交價 %s'%(OrderInfo[7],OrderInfo[4]))
# ['S2021052600045,委託,3481,B,3.7,1000,ROD,2021/05/26 13:16:50,[email protected]']
# ['S2021052600046,成交,3481,B,21.6,1000,IOC,2021/05/26 13:17:19,[email protected]']
# 成交時間 44.05 成交價 2021/05/26 13:25:53
def GetPricebyTick(price, tick):
StockPriceList = []
StockPriceList.extend([i / 100 for i in range(1, 1001, 1)])
StockPriceList.extend([i / 100 for i in range(1005, 5005, 5)])
StockPriceList.extend([i / 10 for i in range(501, 1001, 1)])
StockPriceList.extend([i / 10 for i in range(1005, 5005, 5)])
StockPriceList.extend([i for i in range(501, 1001, 1)])
