def __init__(self):
df = pd.read_csv('d:/ru_data.csv',
header=0,
index_col=0,
parse_dates=True)
self.signals = df.resample('5min').sum().dropna()
self.date_index = self.signals.index
self.close = CLOSE()
def __init__(self):
self.closes = CLOSE()
self.preCloses = CLOSE().shift(1)
self.openes = OPEN()
self.lowes = LOW()
self.highes = HIGH()
# 计算指数的备用指标
self.closeDLastClose = self.closes / self.preCloses - 1.
self.closeDOpen = self.closes / self.openes - 1.
self.closeDLow = self.closes / self.lowes - 1.
self.highDClose = 1. - self.highes / self.closes
# 定义指数的权重
self.indexWeights = pd.Series(
[1., -2., 1.], index=['000016.zicn', '000300.zicn', '000905.zicn'])
def __init__(self, batches, pack):
self.var = VARIANCE(120, 'close')
self.max = MAX(120, 'high')
self.min = MIN(120, 'low')
self.close = CLOSE()
self.batches = batches
self.interval = {}
self.bought_grid = {}
self.bought_price = {}
self.bought_amount = {}
self.sold_grid = {}
self.sold_price = {}
self.sold_amount = {}
self.count = 0
self.pack = pack
def __init__(self):
self.closes = CLOSE()
self.mul = LAST('multiplier')
self.preMul = LAST('multiplier').shift(1)
self.preCloses = CLOSE().shift(1)
self.openes = OPEN()
self.lowes = LOW()
self.highes = HIGH()
# 计算指数的备用指标
self.closeDLastClose = self.closes / self.preCloses - 1.
self.closeDOpen = self.closes / self.openes - 1.
self.closeDLow = self.closes / self.lowes - 1.
self.highDClose = 1. - self.highes / self.closes
self.ih_amount = 28
self.if_amount = 42
self.ic_amount = 12
# 定义指数的权重
names = ['000016.zicn', '000300.zicn', '000905.zicn']
self.indexWeights = SeriesValues(np.array([1., -2., 1.]),
index=dict(zip(names, range(len(names)))))
def __init__(self, window_up, multi_up, window_down, multi_down, **kwargs):
self._window_up = int(window_up)
self._multi_up = multi_up
self._window_down = int(window_down)
self._multi_down = multi_down
self._open = OPEN()
self._close = CLOSE()
self._high = HIGH()
self._low = LOW()
self._price_daily = defaultdict(lambda: defaultdict(list))
self._thrust = defaultdict(lambda: defaultdict(list))
self._day_count = 0
self._update_date = None
self._save_thrust = kwargs.get('save_thrust', True)
self._del_rule = kwargs.get('del_rule', {'nth': 3, 'day_of_week': 6})
self._main_contract = None
def __init__(self):
self.window = 10
self.ma = MA(self.window, 'close')
self.std = SQRT(VARIANCE(10, RETURNSimple('close')))
self.close = CLOSE()
self.pack = {'ta.xzce': 1,
'zc.xzce': 1,
'y.xdce': 1,
'ru.xsge': 1,
'a.xdce': 1,
'j.xdce': 1,
'jm.xdce': 1,
'ic.ccfx': 1,
'if.ccfx': 1,
'ih.ccfx': 1}
self.upper_direction = -1
self.lower_direction = 1
self.position_book = {}
self.order_queue = {}
def __init__(self):
self.window = 20
self.ma = MA(self.window, 'close')
self.var = SQRT(VARIANCE(20, RETURNSimple('close')))
self.close = CLOSE()
self.pack = {
'ta.xzce': 1,
'y.xdce': 1,
'ru.xsge': 1,
'a.xdce': 1,
'ic.ccfx': 1,
'if.ccfx': 1,
'ih.ccfx': 1
}
self.upper_direction = -1
self.lower_direction = 1
self.step = 0.005
self.profit_threshold = 0.005
self.position_book = {}
self.order_queue = {}
def __init__(self):
self.preMax = MMAX(10, 'close').shift(1)
self.preMin = MMIN(10, 'close').shift(1)
self.maxOI = MMAX(10, 'openInterest')
self.current = CLOSE()
self.count = 0
def __init__(self):
self.preMax = MAX(10, 'close').shift(1)
self.preMin = MIN(10, 'close').shift(1)
self.current = CLOSE()
self.count = 0
def __init__(self):
self.count = 0
self.close = CLOSE()