def handle_data(self):
for s in self.tradableAssets:
if s[:2] != 'if':
if self.signal[s] > 0 and self.secPos[s] == 0:
self.order(s, 1, 200)
elif self.signal[s] < 0 and self.secPos[s] != 0:
self.order(s, -1, 200)
# 找到需要使用的主力合约
current_time = self.current_datetime
year = current_time.year
month = current_time.month
delDay = nthWeekDay(3, 6, month, year)
changeContractDay = advanceDateByCalendar('China.SSE', delDay, '-1b')
contract_month = month
if current_time.date() >= changeContractDay:
contract_month = month + 1
ifc = 'if15%02d.cffex' % contract_month
ifcOld = 'if15%02d.cffex' % month
if month < contract_month and self.secPos[ifcOld] != 0:
# 需要移仓， 平掉旧合约
self.order_to(ifcOld, 1, 0)
self.order_to(ifc, -1, 1)
def handle_data(self):
for s in self.tradableAssets:
if s[:2] != 'if':
if self.signal[s] > 0 and self.secPos[s] == 0:
self.order(s, 1, 200)
elif self.signal[s] < 0 and self.secPos[s] != 0:
self.order(s, -1, 200)
# 找到需要使用的主力合约
current_time = self.current_datetime
year = current_time.year
month = current_time.month
delDay = nthWeekDay(3, 6, month, year)
changeContractDay = advanceDateByCalendar('China.SSE', delDay, '-1b')
contract_month = month
if current_time.date() >= changeContractDay:
contract_month = month + 1
ifc = 'if15%02d.cffex' % contract_month
ifcOld = 'if15%02d.cffex' % month
if month < contract_month and self.secPos[ifcOld] != 0:
# 需要移仓， 平掉旧合约
self.order_to(ifcOld, 1, 0)
self.order_to(ifc, -1, 1)
def get_continuous_future_contract(universe, current_date, del_rule, contract_prefix_len=2):
"""
:param universe: dict, key = maturity month, value = contract id
:param current_date: datetime, current datetime
:param del_rule: dict, termination rule of fut contract
:param contract_prefix_len: int, optional, length of the prefix of contract ids
:return: the contract id to use, given current date
"""
year = current_date.year
month = current_date.month
del_day = nthWeekDay(nth=del_rule['nth'],
dayOfWeek=del_rule['day_of_week'],
month=month,
year=year)
del_date = advanceDateByCalendar(holidayCenter='China.SSE',
referenceDate=del_day,
period='-1b')
contract_month = month if current_date < del_date else month + 1
contract_year = year - 2000
if contract_month > 12:
contract_month -= 12
contract_year += 1
suffix = universe[0].split('.')[1]
prefix = universe[0].split('.')[0][:contract_prefix_len]
contract_id = '%s%02d%02d.%s' % (prefix, contract_year, contract_month, suffix)
return contract_id
def handle_data(self):
# 计算指数指标得分
closeDLastCloseScore = self.closeDLastClose['000016.zicn',
'000300.zicn',
'000905.zicn'].dot(
self.indexWeights)
closeDOpenScore = self.closeDOpen['000016.zicn', '000300.zicn',
'000905.zicn'].dot(self.indexWeights)
closeDLowScore = self.closeDLow['000016.zicn', '000300.zicn',
'000905.zicn'].dot(self.indexWeights)
highDCloseScore = self.highDClose['000016.zicn', '000300.zicn',
'000905.zicn'].dot(self.indexWeights)
# 找到需要使用的主力合约
current_time = self.current_datetime
year = current_time.year
month = current_time.month
delDay = nthWeekDay(3, 6, month, year)
changeContractDay = advanceDateByCalendar('China.SSE', delDay, '-1b')
contract_month = month
if current_time.date() >= changeContractDay:
contract_month = month + 1
ihc, ifc, icc = 'ih15%02d' % contract_month, 'if15%02d' % contract_month, 'ic15%02d' % contract_month
ihcOld, ifcOld, iccOld = 'ih15%02d' % month, 'if15%02d' % month, 'ic15%02d' % month
if month < contract_month and self.secPos[ihcOld] != 0:
# 需要移仓， 平掉旧合约
self.order_to(ihcOld, 1, 0)
self.order_to(ifcOld, 1, 0)
self.order_to(iccOld, 1, 0)
# 定义基差
ihBasis = self.closes[ihc] / self.closes['000016.zicn'] - 1.
ihPreBasis = self.preCloses[ihc] / self.preCloses['000016.zicn'] - 1.
ifBasis = self.closes[ifc] / self.closes['000300.zicn'] - 1.
ifPreBasis = self.preCloses[ifc] / self.preCloses['000300.zicn'] - 1.
icBasis = self.closes[icc] / self.closes['000905.zicn'] - 1.
icPreBasis = self.preCloses[icc] / self.preCloses['000905.zicn'] - 1.
# 计算基差得分
ihBasisDiff = ihPreBasis - ihBasis
ifBasisDiff = ifPreBasis - ifBasis
icBasisDiff = icPreBasis - icBasis
basis = ihBasis - 2. * ifBasis + icBasis
basisScore = ihBasisDiff - 2. * ifBasisDiff + icBasisDiff
# 5个信号合并产生开平仓信号
elects = 0
for signal in [
closeDLastCloseScore, closeDOpenScore, closeDLowScore,
highDCloseScore, basisScore
]:
if basis < 0. < signal:
elects += 1
elif signal < 0. < basis:
elects -= 1
# 开平仓逻辑
if elects > 0:
# 多头信号
self.order_to(ihc, 1, 1)
self.order_to(ifc, -1, 2)
self.order_to(icc, 1, 1)
elif elects < 0:
# 空头信号
self.order_to(ihc, -1, 1)
self.order_to(ifc, 1, 2)
self.order_to(icc, -1, 1)
else:
# 平仓信号
self.order_to(ihc, 1, 0)
self.order_to(ifc, 1, 0)
self.order_to(icc, 1, 0)
# 记录必要的信息，供回测后查看
# 指数价格信息
self.keep("000016.zicn_open", self.openes['000016.zicn'])
self.keep("000016.zicn_high", self.highes['000016.zicn'])
self.keep("000016.zicn_low", self.lowes['000016.zicn'])
self.keep("000016.zicn_close", self.closes['000016.zicn'])
self.keep("000300.zicn_open", self.openes['000300.zicn'])
self.keep("000300.zicn_high", self.highes['000300.zicn'])
self.keep("000300.zicn_low", self.lowes['000300.zicn'])
self.keep("000300.zicn_close", self.closes['000300.zicn'])
self.keep("000905.zicn_open", self.openes['000905.zicn'])
self.keep("000905.zicn_high", self.highes['000905.zicn'])
self.keep("000905.zicn_low", self.lowes['000905.zicn'])
self.keep("000905.zicn_close", self.closes['000905.zicn'])
# 期货价格信息
self.keep("IH_ID", ihc)
self.keep("IH_CLOSER", self.closes[ihc])
self.keep("IF_ID", ifc)
self.keep("IF_CLOSER", self.closes[ifc])
self.keep("IC_ID", icc)
self.keep("IC_CLOSER", self.closes[icc])
# 因子信息
self.keep("C/LC-1", closeDLastCloseScore)
self.keep("C/O-1", closeDOpenScore)
self.keep("C/L-1", closeDLowScore)
self.keep("1-H/C", highDCloseScore)
# 基差信息
self.keep("BASIS_DIFF", basisScore)
self.keep("BASIS", basis)
# 开平仓方向信号
self.keep("POSITION_SIGNAL", elects)
self.keep("Released_PnL", self.realizedHoldings['pnl'])
self.keep("PnL", self.holdings['pnl'])
def handle_data(self):
# 计算指数指标得分
closeDLastCloseScore = self.closeDLastClose['000016.zicn', '000300.zicn', '000905.zicn'].dot(self.indexWeights)
closeDOpenScore = self.closeDOpen['000016.zicn', '000300.zicn', '000905.zicn'].dot(self.indexWeights)
closeDLowScore = self.closeDLow['000016.zicn', '000300.zicn', '000905.zicn'].dot(self.indexWeights)
highDCloseScore = self.highDClose['000016.zicn', '000300.zicn', '000905.zicn'].dot(self.indexWeights)
# 找到需要使用的主力合约
current_time = self.current_datetime
year = current_time.year
month = current_time.month
delDay = nthWeekDay(3, 6, month, year)
changeContractDay = advanceDateByCalendar('China.SSE', delDay, '-1b')
contract_month = month
if current_time.date() >= changeContractDay:
contract_month = month + 1
ihc, ifc, icc = 'ih15%02d' % contract_month, 'if15%02d' % contract_month, 'ic15%02d' % contract_month
ihcOld, ifcOld, iccOld = 'ih15%02d' % month, 'if15%02d' % month, 'ic15%02d' % month
if month < contract_month and self.secPos[ihcOld] != 0:
# 需要移仓， 平掉旧合约
self.order_to(ihcOld, 1, 0)
self.order_to(ifcOld, 1, 0)
self.order_to(iccOld, 1, 0)
# 定义基差
ihBasis = self.closes[ihc] / self.closes['000016.zicn'] - 1.
ihPreBasis = self.preCloses[ihc] / self.preCloses['000016.zicn'] - 1.
ifBasis = self.closes[ifc] / self.closes['000300.zicn'] - 1.
ifPreBasis = self.preCloses[ifc] / self.preCloses['000300.zicn'] - 1.
icBasis = self.closes[icc] / self.closes['000905.zicn'] - 1.
icPreBasis = self.preCloses[icc] / self.preCloses['000905.zicn'] - 1.
# 计算基差得分
ihBasisDiff = ihPreBasis - ihBasis
ifBasisDiff = ifPreBasis - ifBasis
icBasisDiff = icPreBasis - icBasis
basis = ihBasis - 2. * ifBasis + icBasis
basisScore = ihBasisDiff - 2. * ifBasisDiff + icBasisDiff
# 5个信号合并产生开平仓信号
elects = 0
for signal in [closeDLastCloseScore, closeDOpenScore, closeDLowScore, highDCloseScore, basisScore]:
if basis < 0. < signal:
elects += 1
elif signal < 0. < basis:
elects -= 1
# 开平仓逻辑
if elects > 0:
# 多头信号
self.order_to(ihc, 1, 1)
self.order_to(ifc, -1, 2)
self.order_to(icc, 1, 1)
elif elects < 0:
# 空头信号
self.order_to(ihc, -1, 1)
self.order_to(ifc, 1, 2)
self.order_to(icc, -1, 1)
else:
# 平仓信号
self.order_to(ihc, 1, 0)
self.order_to(ifc, 1, 0)
self.order_to(icc, 1, 0)
# 记录必要的信息，供回测后查看
# 指数价格信息
self.keep("000016.zicn_open", self.openes['000016.zicn'])
self.keep("000016.zicn_high", self.highes['000016.zicn'])
self.keep("000016.zicn_low", self.lowes['000016.zicn'])
self.keep("000016.zicn_close", self.closes['000016.zicn'])
self.keep("000300.zicn_open", self.openes['000300.zicn'])
self.keep("000300.zicn_high", self.highes['000300.zicn'])
self.keep("000300.zicn_low", self.lowes['000300.zicn'])
self.keep("000300.zicn_close", self.closes['000300.zicn'])
self.keep("000905.zicn_open", self.openes['000905.zicn'])
self.keep("000905.zicn_high", self.highes['000905.zicn'])
self.keep("000905.zicn_low", self.lowes['000905.zicn'])
self.keep("000905.zicn_close", self.closes['000905.zicn'])
# 期货价格信息
self.keep("IH_ID", ihc)
self.keep("IH_CLOSER", self.closes[ihc])
self.keep("IF_ID", ifc)
self.keep("IF_CLOSER", self.closes[ifc])
self.keep("IC_ID", icc)
self.keep("IC_CLOSER", self.closes[icc])
# 因子信息
self.keep("C/LC-1", closeDLastCloseScore)
self.keep("C/O-1", closeDOpenScore)
self.keep("C/L-1", closeDLowScore)
self.keep("1-H/C", highDCloseScore)
# 基差信息
self.keep("BASIS_DIFF", basisScore)
self.keep("BASIS", basis)
# 开平仓方向信号
self.keep("POSITION_SIGNAL", elects)
self.keep("Released_PnL", self.realizedHoldings['pnl'])
self.keep("PnL", self.holdings['pnl'])
