def getPairQuote(jqETFID, jqFutureID, sdate, unitETFVolumns):
fMultiply= cfg.getFutureMultiply(jqFutureID)
mdata= cfg.getMergeData(jqETFID, jqFutureID, sdate)
mdata['bidp']= mdata.apply(lambda x:getMDPrice(x.b1_p, x.b2_p, x.b3_p, x.b4_p, x.b5_p, x.b1_v, x.b2_v, x.b3_v, x.b4_v, x.b5_v, unitETFVolumns), axis = 1)
mdata['askp']= mdata.apply(lambda x:getMDPrice(x.a1_p, x.a2_p, x.a3_p, x.a4_p, x.a5_p, x.a1_v, x.a2_v, x.a3_v, x.a4_v, x.a5_v, unitETFVolumns), axis = 1)
mdata= mdata[['bidp', 'askp', 'fb1_p', 'fa1_p']]
mdata['lesf']= mdata['askp']*unitETFVolumns- mdata['fb1_p']* fMultiply
mdata['self']= mdata['bidp']*unitETFVolumns- mdata['fa1_p']* fMultiply
return mdata
def getPairStatInfo(jqETFID, jqFutureID, listTradeDay, nIndex, nParamDay= 5):
listdata= []
for i in range(nParamDay):
mdata= cfg.getMergeData(jqETFID, jqFutureID, listTradeDay[nIndex- 1- i])
listdata.append(mdata[['current', 'fcurrent']])
mdata= pd.concat(listdata)
inid= mdata.mean()
fMultiply= cfg.getFutureMultiply(jqFutureID)
unitETFVolumns= np.round(inid['fcurrent']* fMultiply/ inid['current'], -2)
mdata['basis']= mdata['current']*unitETFVolumns- mdata['fcurrent']* fMultiply
basisMean= np.round( mdata['basis'].mean())
basisStd= np.round( mdata['basis'].std())
return [unitETFVolumns, basisMean, basisStd]
return pdTradeInfo, pdAllTrade
if __name__ == '__main__':
t0 = ti.time()
jqFutureID = 'IC2009.CCFX'
jqETFID = '510500.XSHG'
listTradeDay = cfg.getTradeDays()
nIndex = -1
nTestDay = 5
tradeThreshold = 1
positionThreshold = 5
levelThreshold = 8
nTradeSilence = 3
nParamDay = 5
mdata = cfg.getMergeData(jqETFID, jqFutureID, listTradeDay[nIndex])
statInfo = getPairStatInfo(jqETFID, jqFutureID, listTradeDay, nParamDay,
nIndex) #unitETFVolumns, basisMean, basisStd
print('day: ' + listTradeDay[nIndex])
print('unitETFVolumns: %d' % statInfo[0])
print('basisMean: %d' % statInfo[1])
print('basisStd: %d' % statInfo[2])
pqdata = getPairQuote(jqETFID, jqFutureID, listTradeDay[nIndex],
statInfo[0])
iniPosition = pd.DataFrame(columns=('volume', 'price'))
pdTrade, pdPosition, statInfo = simuDay(jqETFID, jqFutureID, listTradeDay,
nIndex, nParamDay, tradeThreshold,
positionThreshold, levelThreshold,
nTradeSilence, iniPosition)
print('day: %s, P&L: %0.2f' % (listTradeDay[nIndex], statInfo[-1]))
pdTradeInfo, pdAllTrade = PairTradeStrategy(jqETFID, jqFutureID, nParamDay,