def morning_auction(self, context: SimContext, data: SimDataService):
dt: str = context.get_dt()
if dt not in self.__dt_map:
return
shares: dict = context.get_holding()
for (ts_code, share) in shares.items(): # type: str, SimShareHold
p: SimDailyPrice = context.get_today_price(ts_code)
context.sell_share(ts_code, p.down_limit)
def before_trade(self, context: SimContext, data: SimDataService):
dt: str = context.get_dt()
if dt not in self.__dt_map:
return
to_buy: list = self.__dt_map[dt]
# 尽量等权买入
for i in range(len(to_buy)):
max_num = len(to_buy) - i
ts_code = to_buy[i].ts_code
p: SimDailyPrice = context.get_today_price(ts_code)
context.buy_amap(ts_code, p.open, context.get_cash() / max_num)
def after_trade(self, context: SimContext, data: SimDataService):
# 清除已补的缺口，或30天前的缺口
dt: str = context.get_dt()
old_dt: str = date_utils.format_delta(dt, -30)
for ts_code in self.target:
p: SimDailyPrice = context.get_today_price(ts_code)
if p is None or p.is_trade == 0:
# 未上市 或 停牌就不用看了
continue
self.last_trade_price[ts_code] = p
ts_gap: list = self.gap[ts_code]
if len(ts_gap) == 0:
continue
to_remove: list = []
for gap_price in ts_gap: # type: SimDailyPrice
if gap_price.trade_date < old_dt or p.high >= gap_price.low:
to_remove.append(gap_price)
if len(to_remove) > 0:
for r in to_remove: # type: SimDailyPrice
ts_gap.remove(r)
log.info('Gap clear: %s %s %.2f. Gap num: %d' %
(ts_code, dt, gap_price.low, len(ts_gap)))
self.yesterday_buy = set()
just_buy: dict = context.get_holding_just_buy()
for ts_code in just_buy: # type: str
self.yesterday_buy.add(ts_code)
self.before_yesterday_buy = set()
old_holdings: dict = context.get_holding()
for ts_code in old_holdings: # type: str
self.before_yesterday_buy.add(ts_code)
# 新的缺口数目标应该是 max(剩余缺口数+1，标准缺口数)
for ts_code in self.target: # type: str
new_gap_num: int = len(self.gap[ts_code]) + 1
if new_gap_num < self.standard_gap_num:
new_gap_num = self.standard_gap_num
self.gap_num_target[ts_code] = new_gap_num
def morning_auction(self, context: SimContext, data: SimDataService):
dt: str = context.get_dt()
shares: list = context.get_holding()
self.selling_orders = []
for (ts_code, share) in shares.items(): # type: str, SimShareHold
p: SimDailyPrice = context.get_today_price(ts_code)
gap: list = self.gap[ts_code]
for gap_price in gap:
gap_price.update_adj('qfq', p.adj)
if len(gap) < self.gap_num_target[ts_code] - 1:
# 买入目标缺口数 = 当前缺口数 + 1。已经补了一个缺口，无条件卖出
self.selling_orders.append(
context.sell_share(ts_code, p.down_limit))
elif ts_code in self.before_yesterday_buy:
# 第三日无条件卖出
self.selling_orders.append(
context.sell_share(ts_code, p.down_limit))
else:
# 按补缺卖出
min_low = p.up_limit
for gap_price in self.gap[ts_code]:
if gap_price.low < min_low:
min_low = gap_price.low
self.selling_orders.append(context.sell_share(
ts_code, min_low))
def morning_auction(self, context: SimContext, data: SimDataService):
dt = context.get_dt()
price: SimDailyPrice = data.get_qfq_price(['000050.SZ'], dt, dt, dt)[0]
context.buy_amap('000050.SZ', price.pre_close)
if dt == '20200527':
s: SimShareHold = context.get_hold('000050.SZ')
context.sell_share(s.get_ts_code(), price.pre_close)
def morning_auction(self, context: SimContext, data: SimDataService):
price: SimDailyPrice = context.get_today_price(self.__target)
s: SimShareHold = context.get_hold(self.__target)
if context.is_first_day():
predict_num = context.get_max_can_buy(context.get_cash(),
price.pre_close)
self.__buy_order = context.buy_amap(self.__target, price.pre_close)
# 可买入数量应考虑了手续费
assert self.__buy_order.get_num() == predict_num
elif context.is_last_day():
self.__sell_order = context.sell_share(s.get_ts_code(),
price.pre_close)
elif s is not None:
assert decimal_utils.equals(price.pre_close, s.get_current_price())
def __init__(self,
handler: SimHandler,
sd: dict(type=str, help="回测开始日期"),
ed: dict(type=str, help="回测结束日期"),
cash: dict(type=Decimal, help="起始现金") = 500000,
charge: dict(type=Decimal, help="交易费率") = 0.00025,
tax: dict(type=Decimal, help="印花税率") = 0.001,
pass_tax: dict(type=Decimal, help="过户费率") = 0.00002):
self.__cash = cash
self.__sd = sd
self.__ed = ed
self.h: SimHandler = handler
self.d: SimDataService = SimDataService()
self.c: SimContext = SimContext(self.d, sd, ed, cash, charge, tax, pass_tax)
self.__dr: dict = {}
self.h.init(self.c, self.d)
self.c.finish_init()
def init(self, context: SimContext, data: SimDataService):
ts_code_set: set = set()
for i in self.__list: # type: NormalLoopbackShare
ts_code_set.add(i.ts_code)
context.register_code(ts_code_set)
def before_trade(self, context: SimContext, data: SimDataService):
holding: dict = context.get_holding()
dt: str = context.get_dt()
to_buy = []
to_sell = []
for ts_code in self.target:
ts_gap: list = self.gap[ts_code]
p: SimDailyPrice = context.get_today_price(ts_code)
if ts_code in self.last_trade_price and p.is_trade == 1:
lp: SimDailyPrice = self.__get_last_trade_day_price(ts_code, p)
if p.open < lp.low:
# 缺口
ts_gap.append(lp)
log.info('New gap: %s %s %.2f. Gap num: %d' %
(ts_code, context.get_dt(), lp.low, len(ts_gap)))
if len(ts_gap) >= self.gap_num_target[ts_code]:
if ts_code in holding:
# 已经持有了，还在往下跳缺口，垃圾货要赶紧卖了
to_sell.append(ts_code)
else:
to_buy.append(ts_code)
for ts_code in to_sell: # type: str
# 取消已有的卖出订单，然后无条件卖出
for o in self.selling_orders: # type SimOrder
if o.get_ts_code() == ts_code:
context.retrieve_order(o)
p: SimDailyPrice = context.get_today_price(ts_code)
context.sell_share(ts_code, p.down_limit)
# 尽量等权买入
for i in range(len(to_buy)):
max_num = len(to_buy) - i
ts_code = to_buy[i]
p: SimDailyPrice = context.get_today_price(ts_code)
context.buy_amap(ts_code, p.open, context.get_cash() / max_num)
def after_trade(self, context: SimContext, data: SimDataService):
price: SimDailyPrice = context.get_today_price(self.__target)
s: SimShareHold = context.get_hold(self.__target)
if s is not None:
assert decimal_utils.equals(price.close, s.get_current_price())
def before_trade(self, context: SimContext, data: SimDataService):
price: SimDailyPrice = context.get_today_price(self.__target)
s: SimShareHold = context.get_hold(self.__target)
if context.is_first_day():
# 这天应该能按开盘价成交
assert self.__buy_order.is_deal()
assert decimal_utils.equals(self.__buy_order.get_deal_price(),
price.open)
charge: Decimal = context.get_charge()
pass_t: Decimal = context.get_pass_tax()
self.__buy_cost: Decimal = (self.__buy_order.get_num() * self.__buy_order.get_deal_price()) * \
(1 + charge + pass_t)
# 手续费计算验证
assert decimal_utils.equals(self.__buy_cost,
self.__buy_order.get_deal_cost())
elif context.is_last_day():
# 这天应该能按开盘价成交
assert self.__sell_order.is_deal()
assert decimal_utils.equals(self.__sell_order.get_deal_price(),
price.open)
# 全卖光了
assert s.get_num() == 0
assert s.get_can_sell() == 0
charge: Decimal = context.get_charge()
pass_t: Decimal = context.get_pass_tax()
tax: Decimal = context.get_tax()
self.__sell_cost = (self.__sell_order.get_num() * self.__sell_order.get_deal_price()) * \
(charge + pass_t + tax)
# 手续费计算验证
assert decimal_utils.equals(self.__sell_cost,
self.__sell_order.get_deal_cost())
earn = self.__sell_order.get_num(
) * self.__sell_order.get_deal_price()
assert decimal_utils.equals(
context.get_cash(),
context.get_init_cash() + earn -
self.__buy_order.get_deal_cost() -
self.__sell_order.get_deal_cost())
elif s is not None:
assert decimal_utils.equals(price.open, s.get_current_price())