# 載入必要模組
from haohaninfo import GOrder
from order import Record
import sys
# 登入帳號密碼(讀者須修正該帳號密碼為自己的，否則無法執行策略)
GOrder.Login('TestAccount','TestPasswd')
# 建立部位管理物件
OrderRecord=Record()
# 取得回測參數
StartDate=sys.argv[1]
EndDate=sys.argv[2]
# 每日進場標記、高低點判斷
LastOrderDay=''
CeilPrice={}
FloorPrice={}
Spread={}
MoveStopLoss=0.02
# 回測取報價物件
KBar=GOrder.GetTAKBar(StartDate,EndDate,'3008','Stock','1','1')
# 開始回測
for n in range(0,len(KBar['time'])):
# 將日期取出
Date=KBar['time'][n].strftime('%Y%m%d')
# 如果無未平倉部位 並時間為指定的進場時間 則進場
if OrderRecord.GetOpenInterest()==0 :
# 在9點15 判斷當日高低點
if KBar['time'][n].strftime('%H%M') <= "0916" :
# -*- coding: utf-8 -*-
import sys, haohaninfo, datetime
from order import Record
# 定義交易商品
Product = sys.argv[1]
# 定義券商
Broker = 'Simulator'
# 定義初始倉位
OrderRecord = Record()
# 移動停損點數
StopLoss = 10
# 訂閱報價
GO = haohaninfo.GOrder.GOQuote()
# 進場判斷
for row in GO.Subscribe(Broker, 'match', Product):
# 取得時間、價格欄位
Time = datetime.datetime.strptime(row[0], '%Y/%m/%d %H:%M:%S.%f')
Price = float(row[2])
# 無條件進場多單
OrderRecord.Order('B', Product, Time, Price, 1)
# 進場後判斷最高價變數
AfterOrder = Price
print(Time, '價格', Price, '無條件進場多單')
GO.EndSubscribe()
# 出場判斷
for row in GO.Subscribe(Broker, 'match', Product):
# 載入必要模組
from haohaninfo import GOrder
from order import Record
import sys
# 登入帳號密碼(讀者須修正該帳號密碼為自己的，否則無法執行策略)
GOrder.Login('TestAccount', 'TestPasswd')
# 建立部位管理物件
OrderRecord = Record()
# 取得回測參數
StartDate = sys.argv[1]
EndDate = sys.argv[2]
# 每日進場標記、高低點判斷
LastOrderDay = ''
CeilPrice = {}
FloorPrice = {}
Spread = {}
StopLoss = 30
TakeProfit = 70
# 回測取報價物件
KBar = GOrder.GetTAKBar(StartDate, EndDate, 'TXF', 'Future', '1', '1')
# 開始回測
for n in range(0, len(KBar['time'])):
# 將日期取出
Date = KBar['time'][n].strftime('%Y%m%d')
# 如果無未平倉部位 並時間為指定的進場時間 則進場
if OrderRecord.GetOpenInterest() == 0:
# 在9點15 判斷當日高低點
# -*- coding: utf-8 -*-
import sys, haohaninfo, datetime
from order import Record
from indicator import KBar
# 定義交易商品
Product = sys.argv[1]
# 定義券商
# Broker='Masterlink_Future'
Broker = 'Simulator'
# 定義K棒物件
Today = datetime.datetime.now().strftime('%Y%m%d')
KBar1M = KBar(Today, 1)
# 定義初始倉位
OrderRecord = Record()
# 定義突破n分鐘的高低點
BeforeTime = 30
# 定義持倉最久時間(180分鐘)
HoldTime = datetime.timedelta(minutes=180)
# 移動停損點數
StopLoss = 30
# 訂閱報價
GO = haohaninfo.GOrder.GOQuote()
# 進場判斷
for row in GO.Subscribe(Broker, 'match', Product):
# 取得時間、價格、量欄位
Time = datetime.datetime.strptime(row[0], '%Y/%m/%d %H:%M:%S.%f')
Price = float(row[2])
Qty = float(row[3])
# 將資料填入K棒
# 匯入模組
from indicator import GetHistoryDataByPeriod, KBar
from order import Record
import datetime, sys
# 指定日期
DataPath = sys.argv[1] # 'C:/Data'
Broker = sys.argv[2] # 'simulator'
Product = sys.argv[3] # 'TXFI9'
Start = sys.argv[4] # '20190830'
End = sys.argv[5] # '20190911'
# 定義初始倉位
OrderRecord = Record()
# 定義K棒物件(判斷區間)
MinuteKbar = KBar(Start, 1)
# 定義MA、RSI週期
MAPeriod = 10
RSIPeriod = 30
# 策略迴圈 (GetHistoryDataByPeriod 改為取得即時報價即可轉為實單交易)
for row in GetHistoryDataByPeriod(DataPath, Broker, Product, 'Match', Start,
End):
Time = datetime.datetime.strptime(row[0], '%Y/%m/%d %H:%M:%S.%f')
Price = float(row[2])
Qty = int(row[3])
# 餵資料進K線物件
ChangeFlag = MinuteKbar.AddPrice(Time, Price, Qty)
# 如果有換K棒才會取得MA以及RSI
if ChangeFlag == 1:
# -*- coding: utf-8 -*-
import sys, haohaninfo, datetime, numpy
from order import Record
from indicator import KBar
# 定義交易商品
Product = sys.argv[1]
# 定義券商
Broker = 'Simulator'
# 定義初始倉位
OrderRecord = Record()
# 定義K棒物件
Today = datetime.datetime.now().strftime('%Y%m%d')
KBar1M = KBar(Today, 1)
# 定義布林通道週期
Period = 10
# 訂閱報價
GO = haohaninfo.GOrder.GOQuote()
# 進場判斷
for row in GO.Subscribe(Broker, 'match', Product):
# 取得時間、價格欄位
Time = datetime.datetime.strptime(row[0], '%Y/%m/%d %H:%M:%S.%f')
Price = float(row[2])
Qty = float(row[3])
ChangeKFlag = KBar1M.AddPrice(Time, Price, Qty)
# 每分鐘判斷一次
if ChangeKFlag == 1:
# 取得布林通道上下界
Upper, Middle, Lower = KBar1M.GetBBands(Period)
def orderPaser(order_line):
'''
param: one string of every single order
return: one Order object containing record and all info
'''
use_line = order_line.split(' ', 4) #取订单,切分
#print (use_line[4]) #去除无用字符，仅保留4
p1 = r"(?<=is\":\[).+?(?=\],\"inf)"
searchObj = re.compile(p1).search(use_line[4])
if searchObj:
record_set = re.compile(p1).search(use_line[4]).group(0) #提取一个订单中的所有记录
else:
return None
p_order = r"(?<=\"info\":\{).+?(?=\}\},\"type\":)"
order = re.compile(p_order).search(use_line[4]).group(0) #提取一个订单中的信息
#print (order)
#提取并转换订单中的时间
p_time = re.compile(r"20[0-9][0-9]\..+?:[0-9][0-9]:[0-9][0-9]")
time_str = p_time.findall(order)
order = p_time.sub(' ', order) #删除字符串中的时间，方便后续对字符串处理
time_set = []
for time_s in time_str:
time_set.append(time.strptime(time_s, "%Y.%m.%d %H:%M:%S"))
#提取并转换订单中的 carTypeNo
p_carTypeNo = re.compile(r"(?<=carTypeNo\":).+?(?=,\")")
carTypeNo = p_carTypeNo.findall(order)[0].replace('\"', '')
#print(carTypeNo)
carTypeNo = carTypeNo
order = p_carTypeNo.sub('" "', order)
#print(order)
#将订单信息转换为字典
order_peice = order.replace('\"', '').split(',')
order_dict = {}
#print(order_peice)
for order_info in order_peice:
order_info = order_info.split(':')
#print(order_info)
order_dict[order_info[0]] = order_info[1]
#格式化时间
if time_set[0] < time_set[1]:
order_dict['timeStart'] = time_set[0]
order_dict['timeEnd'] = time_set[1]
else:
order_dict['timeStart'] = time_set[1]
order_dict['timeEnd'] = time_set[0]
order_dict['cts'] = order_dict['cts']
order_dict['ctl'] = order_dict['ctl']
#插入carTypeNo
order_dict['carTypeNo'] = carTypeNo
#print(order_dict)
#生成order对象
order_temp = Order(order_dict)
'''
下面为记录的处理
'''
p2 = r"\[.+?\]"
matcher2 = re.compile(p2).findall(record_set) #将记录集转为List
record_idx = 0 #取第一条记录
#print (matcher2[record_idx])
pattern3 = re.compile(r"(?<=\[).+?(?=\])")
record_list = []
#将一条记录分片
for record in matcher2:
peice = pattern3.search(record).group(0).replace('\"', '').split(',')
#print (peice)
#将一条记录保存为Record对象
r_temp = Record(float(peice[0])*0.001,float(peice[1]),float(peice[2]),\
float(peice[3]),float(peice[7]))
#print(r_temp.soc)
record_list.append(r_temp)
#print(record_list)
order_temp.record_list = record_list
return order_temp
# 載入必要模組
from haohaninfo import GOrder
from order import Record
import sys
# 取得回測參數
StartDate = sys.argv[1]
EndDate = sys.argv[2]
# 登入帳號密碼(讀者須修正該帳號密碼為自己的，否則無法執行策略)
GOrder.Login('TestAccount', 'TestPasswd')
# 建立部位管理物件
OrderRecord = Record()
# 回測取報價物件
KBar = GOrder.GetTAKBar(StartDate, EndDate, '3008', 'Stock', '1', '1')
# 開始回測
for n in range(0, len(KBar['time'])):
# 如果無未平倉部位 並時間為指定的進場時間 則進場
if OrderRecord.GetOpenInterest() == 0:
# 如果最新的K線時間在 10點至11點內買進
if KBar['time'][n].strftime('%H%M') >= "1000" and KBar['time'][
n].strftime('%H%M') < "1100":
OrderRecord.Order('Buy', KBar['product'][n], KBar['time'][n],
KBar['open'][n], 1)
# 如果有未平倉部位，則在11點以後立即平倉
elif OrderRecord.GetOpenInterest() == 1:
# 如果最新的K線時間超過 11點
if KBar['time'][n].strftime('%H%M') >= "1100":
OrderRecord.Cover('Sell', KBar['product'][n], KBar['time'][n],