def handle_bar(self, event):
Environment.logger.info('self.time_tag', self.time_tag, datetime.now(),
(time.time() - self.now) * 1000)
Environment.logger.debug(len(Environment.bar_position_data_list))
# 取当前bar的持仓情况
with Timer(True):
available_position_dict = {}
for position in Environment.bar_position_data_list:
available_position_dict[
position.instrument + '.' +
position.exchange] = position.position - position.frozen
index_member_list = self.index_member_obj.get_index_member_in_date(
self.time_tag)
close_price_all = self.data_class.get_market_data(
Environment.daily_data,
stock_code=index_member_list,
field=['close'],
start=self.time_tag,
end=self.time_tag)
# 循环遍历股票池
for stock in index_member_list:
# 取当前股票的收盘价
close_price = close_price_all['close'][stock]
if close_price:
ma5 = self.ma5[stock][self.time_tag]
ma20 = self.ma10[stock][self.time_tag]
if ma5 and ma20:
# 如果5日均线突破20日均线，并且没有持仓，则买入这只股票100股，以收盘价为指定价交易
if ma5 > ma20 and stock not in available_position_dict.keys(
) and stock in index_member_list:
self.trade.order_shares(stock_code=stock,
shares=100,
price_type='fix',
order_price=close_price,
account_id=self.account[0])
Environment.logger.info('buy', stock, -1, 'fix',
close_price, self.account)
# 如果20日均线突破5日均线，并且有持仓，则卖出这只股票100股，以收盘价为指定价交易
elif ma5 < ma20 and stock in available_position_dict.keys(
):
self.trade.order_shares(stock_code=stock,
shares=-100,
price_type='fix',
order_price=close_price,
account_id=self.account[0])
Environment.logger.info('sell', stock, -1, 'fix',
close_price, self.account)
for stock in available_position_dict.keys():
if stock not in index_member_list:
Trade(self).order_shares(stock_code=stock,
shares=-100,
price_type='fix',
order_price=close_price,
account_id=self.account[0])
Environment.logger.info('sell not in index_member_list',
stock, -1, 'fix', close_price,
self.account)
self.now = time.time()
with switch_collection(Kline,
security_code) as KlineDaily_security_code:
doc_list = []
for index, row in kline_daily_data.iterrows():
date_int = int(row['date'])
if not np.isnan(date_int):
date_int = str(date_int)
time_tag = datetime.strptime(date_int, "%Y%m%d")
doc = KlineDaily_security_code(
time_tag=time_tag,
pre_close=None,
open=int(row['open']),
high=int(row['high']),
low=int(row['low']),
close=int(row['close']),
volume=int(row['volume']),
amount=int(row['amount']),
match_items=None,
interest=None)
doc_list.append(doc)
KlineDaily_security_code.objects.insert(doc_list)
if __name__ == '__main__':
with Timer(True):
save_index_kline_object = SaveIndexKlineDaily(
'../../../../data/KLine_daily/KLine_index_daily/')
save_index_kline_object.insert_security_code_list()
):
Trade(self).order_shares(
stock_code=stock,
shares=100,
price_type="fix",
order_price=close_price[current_date_int],
account=self.account[0])
print("buy", stock, 1, "fix",
close_price[current_date_int], self.account)
# 如果20日均线突破5日均线，并且有持仓，则卖出这只股票100股，以收盘价为指定价交易
elif ma5[-1] < ma20[
-1] and stock in available_position_dict.keys():
Trade(self).order_shares(
stock_code=stock,
shares=-100,
price_type="fix",
order_price=close_price[current_date_int],
account=self.account[0])
print("sell", stock, -1, "fix",
close_price[current_date_int], self.account)
if __name__ == "__main__":
# 测试运行完整个策略所需时间
from AmazingQuant.utils.performance_test import Timer
time_test = Timer(True)
with time_test:
# 运行策略，设置是否保存委托，成交，资金，持仓
MaStrategy().run(save_trade_record=True)
def handle_bar(self, event):
print('self.time_tag', self.time_tag, datetime.now(),
(time.time() - self.now) * 1000)
print(len(Environment.bar_position_data_list))
# 取当前bar的持仓情况
with Timer(True):
available_position_dict = {}
for position in Environment.bar_position_data_list:
available_position_dict[
position.instrument + '.' +
position.exchange] = position.position - position.frozen
index_member_list = self.index_member_obj.get_index_member_in_date(
self.time_tag)
close_price_all = self.data_class.get_market_data(
Environment.daily_data,
stock_code=index_member_list,
field=['close'],
start=self.time_tag,
end=self.time_tag)
# 循环遍历股票池
for stock in index_member_list:
# 取当前股票的收盘价
close_price = close_price_all['close'][stock]
# print(close_price, type(close_price))
# close_array = np.array(close_price)
if close_price:
# if len(close_array) > 0:
# # 利用talib计算MA
# try:
# ma5 = talib.MA(close_array[-20:], timeperiod=5)
# ma20 = talib.MA(close_array[-20:], timeperiod=20)
# except Exception as e:
# continue
# print('ma5', ma5[-1], ma20[-1], ma5[-1] > ma20[-1], len(available_position_dict.keys()))
# 过滤因为停牌没有数据
# if self.time_tag in close_price.index:
# print("qqqqqq", type(self.ma5), self.ma5)
ma5 = self.ma5[stock][self.time_tag]
ma20 = self.ma10[stock][self.time_tag]
if ma5 and ma20:
# 如果5日均线突破20日均线，并且没有持仓，则买入这只股票100股，以收盘价为指定价交易
if ma5 > ma20 and stock not in available_position_dict.keys(
) and stock in index_member_list:
Trade(self).order_shares(stock_code=stock,
shares=100,
price_type='fix',
order_price=close_price,
account=self.account[0])
print('buy', stock, -1, 'fix', close_price,
self.account)
# 如果20日均线突破5日均线，并且有持仓，则卖出这只股票100股，以收盘价为指定价交易
elif ma5 < ma20 and stock in available_position_dict.keys(
):
Trade(self).order_shares(stock_code=stock,
shares=-100,
price_type='fix',
order_price=close_price,
account=self.account[0])
print('sell', stock, -1, 'fix', close_price,
self.account)
for stock in available_position_dict.keys():
if stock not in index_member_list:
Trade(self).order_shares(stock_code=stock,
shares=-100,
price_type='fix',
order_price=close_price,
account=self.account[0])
print('sell not in index_member_list', stock, -1, 'fix',
close_price, self.account)
self.now = time.time()
