class StrategyTest(StockStrategy):
market_open_count = 0
start_trade_time = None
end_trade_time = None
final_valid_capital = 0
portfolio: Portfolio = None
def __init__(self, ):
pass
def on_create(self):
"""
决策初始化.
"""
self.market_open_count = 0
self.market = MarketImpl()
self.market.addNotice("601318") ##工商银行
if (not self.backtestContext is None):
# 从网络上面准备数据。
self.write_log(
f"on_create from backtestEngine, start={self.backtestContext.start_date},end={self.backtestContext.end_date}"
)
else:
self.write_log("on_create")
pass
def on_destroy(self):
"""
决策结束.（被停止之后）
"""
self.write_log("on_destroy")
pass
daily_pre_tick: TickData = None
def on_market_prepare_open(self, protfolio: Portfolio, toady: datetime):
self.portfolio = protfolio
"""
市场准备开始（比如：竞价）.
"""
assert is_same_day(toady, self.market.getToday())
if (self.start_trade_time is None):
self.start_trade_time = toady
self.end_trade_time = toady
self.daily_pre_tick = None
pass
def on_market_open(self, protfolio: Portfolio):
"""
市场开市.
"""
self.market_open_count = self.market_open_count + 1
self.on_bar_per_minute_count = 0
if (is_same_day(datetime(2019, 2, 23), self.market.getToday())):
###刚刚开始，没有任何持仓
assert protfolio.sell("601318", 67.15, 100) == False
assert protfolio.cover("601318", 67.15, 100) == False
# 中国平安601318 在datetime(2019, 2, 26, 10, 28)时刻，最低到达 low_price=67.15
# 中国平安601318 在datetime(2019, 2, 27, 9, 48)时刻，最高到达 high_price=68.57
# 中国平安601318 在datetime(2019, 2, 28)时刻，9点40分左右到最低点66.8，10:47最高到达68.08，然后14:00后面出现新的第二低点67.2-67.4
self.daily_pre_tick = self.market.getRealTime().getTick("601318")
if (is_same_day(datetime(2019, 2, 26, 10, 28),
self.market.getToday())):
assert protfolio.buy("601318", 67.15, 100) == True
assert protfolio.buy("601318", 67.15, 100) == False ##钱不够
assert protfolio.buy("601318", 67.15, 1) == True
assert protfolio.buy("601318", 67.10,
1) == True ##价格过低，能委托成功，但没发成交
assert protfolio.buy("601318", 66.10,
1) == True ##价格过低，能委托成功，但没发成交
assert protfolio.buy("601318", 66.10,
1) == True ##价格过低，能委托成功，但没发成交
if (is_same_day(datetime(2019, 2, 27, 9, 48), self.market.getToday())):
position = protfolio.getLongPosition("601318")
assert position.is_long == True
assert position.pos_total == 121 * 100
assert position.getPosAvailable() == 121 * 100 # 昨天买入的，所以今天可用
assert protfolio.sell("601318", 68.54, 500) == False ##持仓数不够
assert protfolio.sell("601318", 68.54, 55) == True
assert protfolio.sell("601318", 68.54, 46) == True
assert protfolio.short(
"601318", 68.54, 10
) == True ###开始做空买入在datetime(2019, 2, 27, 9, 48)时刻，最高到达 high_price=68.57
assert protfolio.short("601318", 68.70,
1) == True ##价格过低，能委托成功，但没发成交
if (is_same_day(datetime(2019, 2, 28, 10, 48),
self.market.getToday())):
assert protfolio.buy("601318", 67.40, 120) == True
# 4月23日，清空持仓
if (is_same_day(datetime(2019, 4, 23), self.market.getToday())):
longPos = protfolio.getLongPosition("601318")
shortPos = protfolio.getShortPosition("601318")
assert longPos.pos_lock == 0 and shortPos.pos_lock == 0 #这个时间是没有冻结的
#high: 2019 - 04 - 23 13: 47:00: open = 83.77, close = 83.88
#low: 2019 - 04 - 23 09: 31:00: open = 81.38, close = 81.35
protfolio.cover("601318", 83.77, shortPos.pos_total / 100)
protfolio.sell("601318", 81.35, longPos.pos_total / 100)
pass
def on_market_prepare_close(self, protfolio: Portfolio):
"""
市场准备关市.
"""
time = self.market.getToday()
assert time.hour == 14 and time.minute == 57
# 最开始datetime(2019, 2, 26, 10, 28)买入100股，由于A股T+1的限制，是不可以当天卖的
if (utils.is_same_day(datetime(2019, 2, 26, 10, 28), time)):
assert protfolio.sell("601318", 67.00, 100) == False
pass
def on_market_close(self, protfolio: Portfolio):
"""
市场关市.
"""
time = self.market.getToday()
assert time.hour == 15 and time.minute == 0
assert self.on_bar_per_minute_count > 200
self.final_valid_capital = protfolio.getValidCapital()
# 中国平安601318 在datetime(2019, 2, 26, 10, 28)时刻，最低到达 low_price=67.15
if utils.is_same_day(datetime(2019, 2, 26), self.market.getToday()):
#当天已经买入121*100股，持有仓位资金不为0
assert protfolio.getTotalHoldCapital() > 810700
position = protfolio.getLongPosition("601318")
assert position.is_long == True
assert position.pos_total == 121 * 100
assert position.getPosAvailable() == 0 # 因为今天才交易，可用仓位为0
pass
sell_time_01_tag = False
def on_bar_per_minute(self, time: datetime, protfolio: Portfolio):
"""
市场开市后的每分钟。
"""
self.on_bar_per_minute_count = self.on_bar_per_minute_count + 1
assert is_same_minitue(time, self.market.getToday())
assert time.hour >= 9 #9点后开市
if (time.hour > 9 or (time.hour == 9 and time.minute > 32)):
##开市之后的实时信息不应该为none
bar = self.market.getRealTime().getKBar("601318")
assert not bar is None
tickData: BarData = self.market.getRealTime().getTick("601318")
preTickData: BarData = self.daily_pre_tick
assert not tickData is None
assert not preTickData is None
deltaFloat = preTickData.close_price * 0.015
assert utils.isEqualFloat(preTickData.close_price,
tickData.open_price, deltaFloat)
self.daily_pre_tick = self.market.getRealTime().getTick("601318")
# 中国平安601318
# 2019-03-25 10:35:00:open = 71.03,close=70.96 一天最高点
# 2019-03-25 13:12:00:open = 69.97,close=69.79 下午开盘的一个低点
# 2019-03-25 13:47:00:open = 70.33,close=70.41 下午的一个高点
sell_time_01 = datetime(2019, 3, 25, 13, 12)
if not self.sell_time_01_tag:
if (utils.is_same_minitue(sell_time_01, time)):
protfolio.sell("601318", 70.35, 120)
self.sell_time_01_tag = True
#self.write_log(f" on_bar_per_minute:{time}" )
# 中国平安601318 在datetime(2019, 2, 26, 10, 28)时刻，最低到达 low_price=67.15
if (utils.is_same_time(datetime(2019, 2, 26, 10, 28),
self.market.getToday(),
deltaSecond=30)):
protfolio.buy("601318", 70.75, 20) ##测试交割价格在67.15附近
# 中国平安601318 在datetime(2019, 2, 27, 9, 48)时刻，最高到达 high_price=68.57
if (utils.is_same_time(datetime(2019, 2, 27, 9, 48),
self.market.getToday(),
deltaSecond=30)):
protfolio.sell("601318", 60.75, 20) ##测试交割价格在68.57附近
###开始做空买入在datetime(2019, 2, 27, 9, 48)时刻，最高到达 high_price=68.57
# 中国平安601318 在datetime(2019, 2, 28)时刻，9点40分左右到最低点66.8，10:47最高到达68.08，然后14:00后面出现新的第二低点67.2-67.4
if (utils.is_same_time(datetime(2019, 2, 28, 11, 00),
self.market.getToday(),
deltaSecond=30)):
assert protfolio.cover("601318", 67.3,
10) == True ## 11点后开始平仓，以当天第二低价格平仓
# 4月1日 - 20日随机交易
today = self.market.getToday()
#today >= datetime(2019,3,2,0) and today <= datetime(2019,3,20,0) or
# if today >= datetime(2019,4,1,0) and today <= datetime(2019,4,20,0):
# happen = random.random()
# if happen <= 0.1:
# self.__randomTrade(protfolio)
def __randomTrade(self, protfolio: Portfolio):
happen = random.random()
code = "601318"
price = self.market.getRealTime().getTick(code).close_price
trade_price = price * random.uniform(0.94, 1.06)
volume = random.randint(3, 100)
if happen <= 0.25:
protfolio.buy(code, trade_price, volume)
elif happen <= 0.5:
protfolio.sell(code, trade_price, volume)
elif happen <= 0.75:
protfolio.short(code, trade_price, volume)
else:
protfolio.cover(code, trade_price, volume)
def on_order(self, order: OrderData):
print(f"{self.market.getToday()}：onOrder: {order}")
sell_at_2019_2_27_9_48 = False
buy_at_2019_2_26_10_28 = 0
sell_at_2019_3_25_13_47 = False
short_at_2019_2_27_9_48 = False
cover_at_2019_2_28_14_more = False
def on_trade(self, trade: TradeData):
print(f"{self.market.getToday()}：on_trade: {trade}")
# 中国平安601318 在datetime(2019, 2, 26, 10, 28)时刻，最低到达 low_price=67.15,到达买入价
# 中国平安601318 在datetime(2019, 2, 27, 9, 48)时刻，最高到达 high_price=68.57，到达卖出价
# 中国平安601318 在datetime(2019, 3, 25, 13, 10)时刻，从最高价71到一个新底69.75, 后面再到一个新的高点。7.38左右
# 中国平安601318 在datetime(2019, 2, 28)时刻，9点40分左右到最低点66.8，10:47最高到达68.08，然后14:00后面出现新的第二低点67.2-67.4
is_buy = trade.direction == Direction.LONG and trade.offset == Offset.OPEN
is_sell = trade.direction == Direction.SHORT and trade.offset == Offset.CLOSE
is_short = trade.direction == Direction.SHORT and trade.offset == Offset.OPEN
is_cover = trade.direction == Direction.LONG and trade.offset == Offset.CLOSE
if (utils.is_same_time(datetime(2019, 2, 26, 10, 28),
self.market.getToday(),
deltaSecond=30)):
if is_buy:
self.buy_at_2019_2_26_10_28 = self.buy_at_2019_2_26_10_28 + 1
assert utils.isEqualFloat(67.15, trade.price,
0.5) #成交价格在67.15中间
if (utils.is_same_day(datetime(2019, 2, 28), self.market.getToday())):
if is_cover:
assert self.cover_at_2019_2_28_14_more == False
self.cover_at_2019_2_28_14_more = True
assert utils.isEqualFloat(67.3, trade.price,
0.5) #成交价格在67.15中间
if (utils.is_same_time(self.market.getToday(),
datetime(2019, 2, 27, 9, 48),
deltaMinitue=1,
deltaSecond=2)):
if is_sell:
self.sell_at_2019_2_27_9_48 = True
assert utils.isEqualFloat(68.57, trade.price,
0.5) # 成交价格在68.57中间
if is_short:
self.short_at_2019_2_27_9_48 = True
assert utils.isEqualFloat(68.57, trade.price,
0.5) # 成交价格在68.57中间
# 中国平安601318
# 2019-03-25 10:35:00:open = 71.03,close=70.96 一天最高点
# 2019-03-25 13:12:00:open = 69.97,close=69.79 下午开盘的一个低点
# 2019-03-25 13:47:00:open = 70.33,close=70.41 下午的一个高点
if (utils.is_same_time(self.market.getToday(),
datetime(2019, 3, 25, 13, 47),
deltaMinitue=4,
deltaSecond=2)):
if is_sell:
self.sell_at_2019_3_25_13_47 = True
assert utils.isEqualFloat(70.36, trade.price,
0.5) # 成交价格在68.57中间
def on_stop_order(self, stop_order: StopOrder):
print(f"{self.market.getToday()}：on_stop_order: {stop_order}")
class macd(StockStrategy):
def __init__(self):
pass
codes = ["300004"]
activity_long_dict:Dict[str,Long_Item] = {}
activity_short_dict:Dict[str,Short_Item] = {}
long_datas:Sequence["Long_Item"] = []
short_datas:Sequence["Short_Item"] = []
def on_create(self):
"""
决策初始化.
"""
self.write_log("on_create")
self.market = MarketImpl()
for code in self.codes:
self.market.addNotice(code)
pass
def on_destroy(self):
"""
决策结束.（被停止之后）
"""
self.write_log("on_destroy")
pass
def on_market_prepare_open(self,protfolio:Portfolio,today:datetime):
"""
市场准备开始（比如：竞价）.
"""
indicator = Indicator(40)
for code in self.codes:
bars = self.market.getHistory().getKbars(code, 100);
indicator.update_bar(bars)
dif, dea, macd_bar = indicator.macd(fast_period=12, slow_period=26, signal_period=9, array=True);
##金叉出现
if (macd_bar[-1] >= 0 and macd_bar[-2] <= 0):
tradePrice = bars[-1].close_price * 1.01 # 上一个交易日的收盘价作为买如价
protfolio.buy(code, tradePrice, 1)
protfolio.cover(code,tradePrice,1) ##平仓做空
##死叉出现
if (macd_bar[-1] <= 0 and macd_bar[-2] >=0):
targetPrice = bars[-1].close_price * 0.99 # 上一个交易日的收盘价作为买如价
protfolio.sell(code, targetPrice, 1)
protfolio.short(code, targetPrice, 1) ##开仓做空
pass
def on_trade(self, trade: TradeData):
is_buy = trade.direction == Direction.LONG and trade.offset == Offset.OPEN
is_sell = trade.direction == Direction.SHORT and trade.offset == Offset.CLOSE
is_short = trade.direction == Direction.SHORT and trade.offset == Offset.OPEN
is_cover = trade.direction == Direction.LONG and trade.offset == Offset.CLOSE
today = self.market.getToday()
if is_buy:
long_data = Long_Item(symbol=trade.symbol,start_time=today,start_price=trade.price)
self.activity_long_dict[trade.symbol] = long_data
self.__update_long_max_price(trade.symbol,trade.price)
elif is_sell:
self.__update_long_max_price(trade.symbol,trade.price)
long_data = self.activity_long_dict.get(trade.symbol)
if not long_data is None:
long_data.end_time = today
long_data.end_price = trade.price
long_data.duration_days = (today - long_data.start_time).days
self.long_datas.append(long_data)
del self.activity_long_dict[trade.symbol]
elif is_short:
short_data = Short_Item(symbol=trade.symbol, start_time=today, start_price=trade.price)
self.activity_short_dict[trade.symbol] = short_data
self.__update_short_min_price(trade.symbol,trade.price)
elif is_cover:
self.__update_short_min_price(trade.symbol,trade.price)
short_data = self.activity_short_dict.get(trade.symbol)
if not short_data is None:
short_data.end_time = today
short_data.end_price = trade.price
short_data.duration_days = (today - short_data.start_time).days
self.short_datas.append(short_data)
del self.activity_short_dict[trade.symbol]
def __update_long_max_price(self,code:str,max_price:float):
data_item = self.activity_long_dict.get(code)
if data_item is None:
return
today = self.market.getToday()
delta_day = (today - data_item.start_time).days
if max_price > data_item.max_price:
data_item.max_price = max_price
data_item.max_price_time = today
data_item.max_price_day = delta_day
delta_pnl = (data_item.max_price - data_item.start_price) / data_item.start_price
if (delta_pnl >= 0.03 and data_item.max_pnl_3_day < 0):
data_item.max_pnl_3_day = delta_day
if (delta_pnl >= 0.05 and data_item.max_pnl_5_day < 0):
data_item.max_pnl_5_day = delta_day
if (delta_pnl >= 0.07 and data_item.max_pnl_7_day < 0):
data_item.max_pnl_7_day = delta_day
if (delta_pnl >= 0.09 and data_item.max_pnl_9_day < 0):
data_item.max_pnl_9_day = delta_day
if (delta_pnl >= 0.11 and data_item.max_pnl_11_day < 0):
data_item.max_pnl_11_day = delta_day
if (delta_pnl >= 0.13 and data_item.max_pnl_13_day < 0):
data_item.max_pnl_13_day = delta_day
if (delta_pnl >= 0.15 and data_item.max_pnl_15_day < 0):
data_item.max_pnl_15_day = delta_day
if (delta_pnl >= 0.17 and data_item.max_pnl_17_day < 0):
data_item.max_pnl_17_day = delta_day
if (delta_pnl >= 0.19 and data_item.max_pnl_19_day < 0):
data_item.max_pnl_19_day = delta_day
if (delta_pnl >= 0.21 and data_item.max_pnl_21_more_day < 0):
data_item.max_pnl_21_more_day = delta_day
def __update_short_min_price(self, code:str, min_price:float):
data_item:Short_Item = self.activity_short_dict.get(code)
if data_item is None:
return
today = self.market.getToday()
delta_day = (today - data_item.start_time).days
if min_price < data_item.min_price:
data_item.min_price = min_price
data_item.min_price_time = today
data_item.min_price_day = delta_day
delta_pnl = (data_item.min_price - data_item.start_price) / data_item.start_price
if (delta_pnl >= 0.03 and data_item.min_pnl_3_day < 0):
data_item.min_pnl_3_day = delta_day
if (delta_pnl >= 0.05 and data_item.min_pnl_5_day < 0):
data_item.min_pnl_5_day = delta_day
if (delta_pnl >= 0.07 and data_item.min_pnl_7_day < 0):
data_item.min_pnl_7_day = delta_day
if (delta_pnl >= 0.09 and data_item.min_pnl_9_day < 0):
data_item.min_pnl_9_day = delta_day
if (delta_pnl >= 0.11 and data_item.min_pnl_11_day < 0):
data_item.min_pnl_11_day = delta_day
if (delta_pnl >= 0.13 and data_item.min_pnl_13_day < 0):
data_item.min_pnl_13_day = delta_day
if (delta_pnl >= 0.15 and data_item.min_pnl_15_day < 0):
data_item.min_pnl_15_day = delta_day
if (delta_pnl >= 0.17 and data_item.min_pnl_17_day < 0):
data_item.min_pnl_17_day = delta_day
if (delta_pnl >= 0.19 and data_item.min_pnl_19_day < 0):
data_item.min_pnl_19_day = delta_day
if (delta_pnl >= 0.21 and data_item.min_pnl_21_more_day < 0):
data_item.min_pnl_21_more_day = delta_day
def on_market_open(self,protfolio:Portfolio):
"""
市场开市.
"""
def on_market_prepare_close(self,protfolio:Portfolio):
"""
市场准备关市.
"""
pass
def on_market_close(self, protfolio:Portfolio):
"""
市场关市.
"""
for code in self.codes:
bar = self.market.getRealTime().getKBar(code)
self.__update_long_max_price(code,bar.high_price)
self.__update_short_min_price(code,bar.low_price)
pass
def on_bar_per_minute(self, time: datetime, protfolio:Portfolio):
"""
市场开市后的每分钟。
"""
pass