def handle_data(self, data):
from zipline.api import (
order_percent,
order_target,
order_target_percent,
order_target_value,
order_value,
)
for style in [
MarketOrder(),
LimitOrder(10),
StopOrder(10),
StopLimitOrder(10, 10)
]:
with assert_raises(UnsupportedOrderParameters):
order(self.asset, 10, limit_price=10, style=style)
with assert_raises(UnsupportedOrderParameters):
order(self.asset, 10, stop_price=10, style=style)
with assert_raises(UnsupportedOrderParameters):
order_value(self.asset, 300, limit_price=10, style=style)
with assert_raises(UnsupportedOrderParameters):
order_value(self.asset, 300, stop_price=10, style=style)
with assert_raises(UnsupportedOrderParameters):
order_percent(self.asset, .1, limit_price=10, style=style)
with assert_raises(UnsupportedOrderParameters):
order_percent(self.asset, .1, stop_price=10, style=style)
with assert_raises(UnsupportedOrderParameters):
order_target(self.asset, 100, limit_price=10, style=style)
with assert_raises(UnsupportedOrderParameters):
order_target(self.asset, 100, stop_price=10, style=style)
with assert_raises(UnsupportedOrderParameters):
order_target_value(self.asset,
100,
limit_price=10,
style=style)
with assert_raises(UnsupportedOrderParameters):
order_target_value(self.asset, 100, stop_price=10, style=style)
with assert_raises(UnsupportedOrderParameters):
order_target_percent(self.asset,
.2,
limit_price=10,
style=style)
with assert_raises(UnsupportedOrderParameters):
order_target_percent(self.asset,
.2,
stop_price=10,
style=style)
def handle_data(self, data):
from zipline.api import (
order_percent,
order_target,
order_target_percent,
order_target_value,
order_value,
)
for style in [MarketOrder(), LimitOrder(10),
StopOrder(10), StopLimitOrder(10, 10)]:
with assert_raises(UnsupportedOrderParameters):
order(self.asset, 10, limit_price=10, style=style)
with assert_raises(UnsupportedOrderParameters):
order(self.asset, 10, stop_price=10, style=style)
with assert_raises(UnsupportedOrderParameters):
order_value(self.asset, 300, limit_price=10, style=style)
with assert_raises(UnsupportedOrderParameters):
order_value(self.asset, 300, stop_price=10, style=style)
with assert_raises(UnsupportedOrderParameters):
order_percent(self.asset, .1, limit_price=10, style=style)
with assert_raises(UnsupportedOrderParameters):
order_percent(self.asset, .1, stop_price=10, style=style)
with assert_raises(UnsupportedOrderParameters):
order_target(self.asset, 100, limit_price=10, style=style)
with assert_raises(UnsupportedOrderParameters):
order_target(self.asset, 100, stop_price=10, style=style)
with assert_raises(UnsupportedOrderParameters):
order_target_value(self.asset, 100,
limit_price=10,
style=style)
with assert_raises(UnsupportedOrderParameters):
order_target_value(self.asset, 100,
stop_price=10,
style=style)
with assert_raises(UnsupportedOrderParameters):
order_target_percent(self.asset, .2,
limit_price=10,
style=style)
with assert_raises(UnsupportedOrderParameters):
order_target_percent(self.asset, .2,
stop_price=10,
style=style)
def short_down_gaps(context, data):
"""
Short the stocks that gapped down.
"""
for asset in context.assets_to_short:
# Sell with market order
algo.order_value(
asset,
context.target_value_per_position,
style=MarketOrder(
) # for IBKR, specify exchange (e.g. exchange="SMART")
)
def rebalance(context, data):
# Pipeline data will be a dataframe with boolean columns named 'longs' and
# 'shorts'.
pipeline_data = context.pipeline_data
all_assets = pipeline_data.index
record(universe_size=len(all_assets))
# Build a 2x-leveraged, equal-weight, long-short portfolio.
cash = context.portfolio.cash / len(all_assets)
if cash < 0:
return
for asset in all_assets:
close = data.current(asset, "close")
uplimit = data.current(asset, "up_limit") / 1000
if (close >= uplimit):
print(asset, "价格限制", 'close', close, 'uplimit', uplimit)
else:
order_value(asset, cash)
open_orders = get_open_orders()
# If there are any open orders.
if open_orders:
# open_orders is a dictionary keyed by sid, with values that are lists of orders. Iterate over the dictionary
for security, orders in open_orders.items():
# Iterate over the orders and log the total open amount
# for each order.
for oo in orders:
message = 'Open order for {amount} shares in {stock}'
message = message.format(amount=oo.amount, stock=security)
log.info(message)
# Remove any assets that should no longer be in our portfolio.
positions = context.portfolio.positions
for asset in viewkeys(positions) - set(all_assets):
# This will fail if the asset was removed from our portfolio because it
# was delisted.
if data.can_trade(asset):
order(asset, -positions[asset].amount)
def handle_data(context, data):
# 获取股票的收盘价
close_data = history(12,'1d','close')
# 取得过去五天的平均价格
ma5 = close_data[-6:-2].mean()
# 取得过去10天的平均价格
ma10 = close_data[-11:-2].mean()
# 取得当前的现金
print get_datetime(),ma5,ma10
cash = context.portfolio.cash
#print ma5[sid(symbol(context.security))],ma10[sid(stock)],cash,symbol(context.security)
#如果当前有余额，并且五日均线大于十日均线
if ma5[sid(symbol(context.security))] > ma10[sid(symbol(context.security))]:
order_value(symbol(context.security), cash)
# 如果五日均线小于十日均线，并且目前有头寸
elif ma5[sid(symbol(context.security))] < ma10[sid(symbol(context.security))]:
# 全部卖出
order_target(symbol(context.security), 0)
