def market_open(self, event: Event, account: AbstractAccount, data_portal: DataPortal):
dest_position = 0
current_position = 0
net_value = None
# 等待直到获取到最新的股票价格
current_price = None
try:
current_price = data_portal.current_price([self.code], event.visible_time)[self.code].price
except:
logging.error("没有获取到当天的开盘价,code:{}".format(self.code))
if current_price:
net_value = account.net_value({self.code: current_price})
current_bid_ask = None
try:
current_bid_ask = data_portal.current_bid_ask([self.code])[self.code]
except:
logging.error("没有获取到最新的买卖价， code:{}".format(self.code))
if self.last_close_price and current_price:
if np.log(current_price / self.last_close_price) < 0.025:
dest_position = int(net_value / current_price)
if len(account.positions) > 0:
current_position = account.positions[self.code]
change = dest_position - current_position
if change != 0:
direction = OrderDirection.BUY if change > 0 else OrderDirection.SELL
reason = "时间:{}, 当前持仓:{}, 总市值：{}, 目标持仓:{}, 昨日收盘价:{}, 今日开盘价：{}, 最新买卖价:{}, strategy:{}" \
.format(event.visible_time, current_position, net_value, dest_position, self.last_close_price,
current_price, current_bid_ask.__dict__ if current_bid_ask else None, TestStrategy3.__doc__)
if current_bid_ask:
delta = 0.01
limit_price = (current_bid_ask.bid_price + delta) if direction == OrderDirection.BUY else (
current_bid_ask.ask_price - delta)
order = LimitOrder(self.code, direction, abs(change), event.visible_time, limit_price)
order.with_reason(reason)
account.place_order(order)
# self.ensure_order_filled(account, data_portal, order, period=30, retry_count=3)
self.ensure_order_filled_v2(account, data_portal, order, duration=60, delta=delta)
else:
order = MKTOrder(self.code, direction, abs(change), event.visible_time)
order.with_reason(reason)
account.place_order(order)
else:
msg = "不需要下单, 时间:{}, 当前持仓:{}, 总市值：{}, 目标持仓:{}, 昨日收盘价:{}, 今日开盘价：{}". \
format(event.visible_time, current_position, net_value, dest_position, self.last_close_price,
current_price)
logging.info(msg)
def market_close(self, event: Event, account: AbstractAccount, data_portal: DataPortal):
dest_position = 0
current_position = 0
net_value = None
# 等待直到获取到最新的股票价格
current_price = None
try:
current_price = data_portal.current_price([self.code], event.visible_time)[self.code].price
except:
logging.error("没有获取到当天的开盘价,code:{}".format(self.code))
if current_price:
net_value = account.net_value({self.code: current_price})
if current_price and self.last_close and current_price > self.last_close:
dest_position = int(net_value / current_price)
if len(account.positions) > 0:
current_position = account.positions[self.code]
change = dest_position - current_position
if change != 0:
direction = OrderDirection.BUY if change > 0 else OrderDirection.SELL
reason = "时间:{}, 当前持仓:{}, 总市值：{}, 目标持仓:{}, 昨日收盘价:{}, 今日收盘价:{}, strategy:{}".format(event.visible_time,
current_position,
net_value, dest_position,
self.last_close,
current_price, TestStrategy2.__doc__)
if current_price:
order = LimitOrder(self.code, direction, abs(change), event.visible_time, current_price)
order.with_reason(reason)
account.place_order(order)
self.ensure_order_filled(account, data_portal, order, 40, 1)
else:
order = MKTOrder(self.code, direction, abs(change), event.visible_time)
order.with_reason(reason)
account.place_order(order)
else:
logging.info("不需要下单, 时间:{}, 当前持仓:{}, 总市值：{}, 目标持仓:{}, 今日开盘价:{}, 今日收盘价:{}".
format(event.visible_time,
current_position,
net_value, dest_position,
self.last_open,
current_price))
self.last_close = current_price
def on_tick(self, event: Event, account: AbstractAccount, data_portal: DataPortal):
if not self.market_is_open:
return
if not isinstance(event.data, Tick):
raise RuntimeError("wrong data")
data = DataFrame([{'visible_time': event.data.visible_time, 'price': event.data.price}]).set_index('visible_time')
self.daily_ticks.append(data)
now = Timestamp.now(tz='Asia/Shanghai')
start = now - self.time_span
check_df = self.daily_ticks[start: now]
this_price = event.data.price
if len(account.get_open_orders()) <= 0:
if len(account.positions) > 0:
max_price = check_df['price'].max()
change = abs((this_price - max_price) / max_price)
if change > self.threshold:
reason = '当前价格:{}, 时间范围：{}的最高价为：{}, 当前持仓:{}'.\
format(this_price, self.time_span, max_price, account.positions)
order = LimitOrder(self.code, OrderDirection.SELL, quantity=abs(account.positions[self.code]),
place_time=event.visible_time, limit_price=this_price)
order.with_reason(reason)
account.place_order(order)
self.ensure_order_filled(account, data_portal, order, period=10, retry_count=2)
else:
logging.info("当前价格:{}, 时间范围：{}的最高价为：{}, 变动为:{}".
format(this_price, self.time_span, max_price, change))
else:
lowest_price = check_df['price'].min()
change = abs((this_price - lowest_price) / lowest_price)
if change > self.threshold:
reason = '当前价格:{}, 时间范围：{}的最低价为：{}, 当前持仓:{}'.\
format(this_price, self.time_span, lowest_price, account.positions)
quantity = int(account.cash / this_price)
order = LimitOrder(self.code, OrderDirection.BUY, quantity=quantity,
place_time=event.visible_time, limit_price=this_price)
order.with_reason(reason)
account.place_order(order)
self.ensure_order_filled(account, data_portal, order, period=10, retry_count=2)
else:
logging.info("当前价格:{}, 时间范围：{}的最低价为：{}, 变动为:{}".
format(this_price, self.time_span, lowest_price, change))
def market_close(self, event: Event, account: AbstractAccount,
data_portal: DataPortal):
dest_position = 0
current_position = 0
net_value = None
# 等待直到获取到最新的股票价格
current_price = None
try:
current_price = data_portal.current_price(
[self.code], event.visible_time)[self.code].price
except:
logging.error("没有获取到当天的开盘价,code:{}".format(self.code))
if current_price:
net_value = account.net_value({self.code: current_price})
current_bid_ask = None
try:
current_bid_ask = data_portal.current_bid_ask([self.code
])[self.code]
except:
logging.error("没有获取到最新的买卖价,code:{}".format(self.code))
# if current_price and self.last_close and current_price > self.last_close:
if True:
dest_position = int(net_value * self.long_leverage / current_price)
if len(account.positions) > 0:
current_position = account.positions[self.code]
change = dest_position - current_position
if change != 0:
direction = OrderDirection.BUY if change > 0 else OrderDirection.SELL
reason = "时间:{}, 当前持仓:{}, 总市值：{}, 目标持仓:{}, 昨日收盘价:{}, 今日收盘价:{}, " \
"买卖价:{}, strategy:{}".format(event.visible_time,
current_position,
net_value, dest_position,
self.last_close,
current_price,
current_bid_ask.__dict__ if current_bid_ask else None,
SPCEStrategy.__doc__)
if current_bid_ask:
delta = 0.01
limit_price = (current_bid_ask.bid_price +
delta) if direction == OrderDirection.BUY else (
current_bid_ask.ask_price - delta)
order = LimitOrder(self.code, direction, abs(change),
event.visible_time, limit_price)
order.with_reason(reason)
account.place_order(order)
# self.ensure_order_filled(account, data_portal, order, 40, 1)
self.ensure_order_filled_v2(account, data_portal, order, 40,
delta)
else:
order = MKTOrder(self.code, direction, abs(change),
event.visible_time)
order.with_reason(reason)
account.place_order(order)
else:
logging.info(
"不需要下单, 时间:{}, 当前持仓:{}, 总市值：{}, 目标持仓:{}, 今日开盘价:{}, 今日收盘价:{}".
format(event.visible_time, current_position, net_value,
dest_position, self.last_open, current_price))
self.last_close = current_price