def run(engine: ScriptEngine):
"""
脚本策略的主函数说明：
1. 唯一入参是脚本引擎ScriptEngine对象，通用它来完成查询和请求操作
2. 该函数会通过一个独立的线程来启动运行，区别于其他策略模块的事件驱动
3. while循环的维护，请通过engine.strategy_active状态来判断，实现可控退出
脚本策略的应用举例：
1. 自定义篮子委托执行执行算法
2. 股指期货和一篮子股票之间的对冲策略
3. 国内外商品、数字货币跨交易所的套利
4. 自定义组合指数行情监控以及消息通知
5. 股票市场扫描选股类交易策略（龙一、龙二）
6. 等等~~~
"""
vt_symbols = ["IF1912.CFFEX", "rb2001.SHFE"]
# 订阅行情
engine.subscribe(vt_symbols)
# 获取合约信息
for vt_symbol in vt_symbols:
contract = engine.get_contract(vt_symbol)
msg = f"合约信息，{contract}"
engine.write_log(msg)
# 持续运行，使用strategy_active来判断是否要退出程序
print(engine.strategy_active)
while engine.strategy_active:
# 轮询获取行情
for vt_symbol in vt_symbols:
tick = engine.get_tick(vt_symbol)
msg = f"最新行情, {tick}"
engine.write_log(msg)
# 等待3秒进入下一轮
sleep(3)
def run(engine: ScriptEngine):
"""
the main function of the script strategy explained ：
1. the only parameter is the script engine ScriptEngine objects ， general inquiries and requests it to complete the operation
2. this function will start to run through a separate thread ， event policy module is different from other drivers
3. while cycle maintenance ， please engine.strategy_active state is determined ， for controlled exit
for example application scripting policy ：
1. custom baskets entrust execution algorithm
2. hedging strategies between index futures and a basket of stocks
3. domestic and foreign goods 、 cross-exchange digital currency arbitrage
4. combination index custom monitoring, and message notification quote
5. stock market trading strategies scanning picking class （ ryuichi 、 ryuji ）
6. and many more ~~~
"""
vt_symbols = ["IF1912.CFFEX", "rb2001.SHFE"]
# subscribe quotes
engine.subscribe(vt_symbols)
# get contract information
for vt_symbol in vt_symbols:
contract = engine.get_contract(vt_symbol)
msg = f" contract information ，{contract}"
engine.write_log(msg)
# continuous operation ， use strategy_active to determine whether to exit the program
while engine.strategy_active:
# polling get quotes
for vt_symbol in vt_symbols:
tick = engine.get_tick(vt_symbol)
msg = f" the latest market , {tick}"
engine.write_log(msg)
# wait 3 seconds into the next round
sleep(3)
def run(engine: ScriptEngine):
""""""
vt_symbols = ['btcusdt.HUOBI', 'ethusdt.HUOBI']
# 订阅行情
engine.subscribe(vt_symbols)
# 获取合约信息
for vt_symbol in vt_symbols:
contract = engine.get_contract(vt_symbol)
msg = f"合约信息，{contract}"
engine.write_log(msg)
# 持续运行，使用strategy_active来判断是否要退出程序
engine.strategy_active = True
while engine.strategy_active:
# 轮询获取行情
for vt_symbol in vt_symbols:
tick = engine.get_tick(vt_symbol)
msg = f"最新行情, {tick}"
engine.write_log(msg)
# 等待3秒进入下一轮
time.sleep(3)
def run(engine: ScriptEngine):
"""
"""
# 设置参数
leg1_symbol = "TF2006.CFFEX"
leg2_symbol = "T2006.CFFEX"
entry_level = 5 # 入场位置
tick_add = 1 # 买卖超价Tick
trading_size = 100000 # 交易数量
vt_symbols = [leg1_symbol, leg2_symbol]
# 订阅行情
engine.subscribe(vt_symbols)
# 初始化变量
pos_data = {}
target_data = {}
for vt_symbol in vt_symbols:
pos_data[vt_symbol] = 0
target_data[vt_symbol] = 0
# 持续运行，使用strategy_active来判断是否要退出程序
while engine.strategy_active:
# 获取行情
leg1_tick = engine.get_tick(leg1_symbol)
leg2_tick = engine.get_tick(leg2_symbol)
# 计算交易目标
# 开仓
if not target_data[leg1_symbol]:
if leg1_tick.bid_price_1 >= leg2_tick.ask_price_1 + entry_level:
print(f"满足开仓条件，卖{leg1_symbol}，买{leg2_symbol}")
target_data[leg1_symbol] = -trading_size
target_data[leg2_symbol] = trading_size
elif leg1_tick.ask_price_1 <= leg2_tick.bid_price_1 - entry_level:
print(f"满足开仓条件，买{leg1_symbol}，卖{leg2_symbol}")
target_data[leg1_symbol] = trading_size
target_data[leg2_symbol] = -trading_size
# 平仓
else:
if target_data[leg1_symbol] > 0:
if leg1_tick.ask_price_1 <= leg2_tick.bid_price_1:
print("满足平仓条件")
target_data[leg1_symbol] = 0
target_data[leg2_symbol] = 0
else:
if leg1_tick.bid_price_1 >= leg2_tick.ask_price_1:
print("满足平仓条件")
target_data[leg1_symbol] = 0
target_data[leg2_symbol] = 0
# 检查委托情况
active_orders = engine.get_all_active_orders()
if active_orders:
print("当前存在活动委托，执行撤单")
for order in active_orders:
engine.cancel_order(order.vt_orderid)
continue
# 执行交易
for vt_symbol in vt_symbols:
pos = pos_data[vt_symbol]
target = target_data[vt_symbol]
diff = target - pos
contract = engine.get_contract(vt_symbol)
price_add = tick_add * contract.pricetick
tick = engine.get_tick(vt_symbol)
# 持仓和目标一致，无需交易
if not diff:
continue
# 大于则买入
elif diff > 0:
# 有空头持仓，买入平仓
if pos < 0:
engine.cover(vt_symbol, tick.ask_price_1 + price_add,
abs(diff))
print(f"cover {vt_symbol}")
# 否则买入开仓
else:
engine.buy(vt_symbol, tick.ask_price_1 + price_add,
abs(diff))
print(f"buy {vt_symbol}")
# 小于则卖出
elif diff < 0:
# 有多头持仓，卖出平仓
if pos > 0:
engine.sell(vt_symbol, tick.bid_price_1 - price_add,
abs(diff))
print(f"sell {vt_symbol}")
# 否则卖出开仓
else:
engine.short(vt_symbol, tick.bid_price_1 - price_add,
abs(diff))
print(f"short {vt_symbol}")
# 等待进入下一轮
sleep(10)