def get_signal(signal, aum, balance, EndDate, close_dict):
signal['symbol'] = signal.index
symbol_lst = signal.symbol.tolist()
porfolio = Future()
main_contract_dict = porfolio.get_main_symbol(product=symbol_lst,
date=EndDate)
main_contract = pd.DataFrame(main_contract_dict).T[['main_contract']]
contract_lst = main_contract.main_contract.tolist()
ExchangeID_dict = porfolio.get_ExchangeID(contract_lst=contract_lst)
ExchangeInstID_dict = porfolio.get_ExchangeInstID(
contract_lst=contract_lst)
VolumeMultiple_dict = porfolio.get_VolumeMultiple(contract_lst)
main_contract['symbol'] = main_contract.index
signal_dict = {}
for symbol in symbol_lst:
main_contract = main_contract_dict[symbol]['main_contract']
trading_code = ExchangeID_dict[main_contract][
'ExchangeID'] + '.' + ExchangeInstID_dict[main_contract][
'ExchangeInstID']
signal_dict[symbol] = {
'symbol': symbol,
'trading_code': trading_code,
'weight': signal.loc[symbol]['weight'],
'last_price': close_dict[symbol],
'VolumeMultiple':
VolumeMultiple_dict[main_contract]['VolumeMultiple']
}
trading_info = pd.DataFrame(signal_dict).T
trading_info['position'] = aum * balance / len(symbol_lst) * trading_info[
'weight'] / trading_info['last_price'] / trading_info['VolumeMultiple']
# trading_info['position'] = trading_info['position'].apply(lambda x: int(np.around(x, 0)))
print(trading_info)
return trading_info
for idx, row in df.iterrows():
info_txt = info_txt + '净盈亏: ' + str(np.around(row.net_profit, 4)) + '; 多头盈亏: ' +\
str(np.around(row.long, 4)) + ' 空头盈亏: ' + \
str(np.around(row.short, 4)) + ';'
print(info_txt)
tkinter.messagebox.showinfo('提示', info_txt)
if __name__ == '__main__':
# 创建api实例，设置web_gui=True生成图形化界面
api = TqApi(web_gui=True)
product_lst = ['SC', 'PP']
hold_code_lst = ['sc2009', 'pp2009']
info_lst = ['ExchangeID', 'VolumeMultiple']
porfolio = Future()
# tq_code_lst = [exchageID[i.upper()]['ExchangeID'] + '.' + i for i in hold_code_lst]
# print(tq_code_lst)
# 订阅 cu2002 合约的10秒线
long_code_lst = ['sc2009']
short_code_lst = ['pp2009']
long_cost_lst = [306.02]
short_cost_lst = [6962.27]
long_volume = [1]
short_volume = [-1]
info_lst = ['ExchangeID', 'VolumeMultiple']
long_product_lst = [i[:-4] for i in long_code_lst]
short_product_lst = [j[:-4] for j in short_code_lst]
symbol_lst = copy.deepcopy(long_product_lst)
symbol_lst.extend(short_product_lst)
result = [[]]
for x in items:
result.extend([subset + [x] for subset in result])
return result
if __name__ == "__main__":
level_lst = [i for i in range(1, 6)]
level_lst = [5]
date_lst = [('2015-01-01', '2020-01-01'), ('2015-01-01', '2020-07-01')]
# date_lst = [('2015-01-01', '2020-01-01')]
method = 'sum' # 单利：sum；复利：muti
fee = np.float(0.00015)
fold_ini_path = 'e://Strategy//MT4//'
# fold_ini_path = 'G://缠论//回测报告//'
porfolio = Future()
mode = '蓝线笔_蓝线反转确认_蓝线反转平仓_200627'
code_lst = [
'ap', 'ag', 'al', 'cf', 'cu', 'fu', 'i', 'j', 'ni', 'pb', 'pp', 'rb',
'sc', 'tf', 'v', 'zc', 'zn', 'c', 'if', 'sf', 'p', 'hc', 'au', 'jm',
'sm', 'ru', 'bu', 'oi', 'sr', 'ta', 'm', 'ma'
] # 所有品种32个
# code_lst = ['ma', 'ta', 'c', 'bu', 'sf', 'v', 'sm', 'hc', 'rb', 'pp', 'p', 'zc', 'ag', 'al', 'i',
# 'pb', 'ap', 'zn'] # 保证金<10000的品种18个
# code_lst = ['ma', 'ta', 'c', 'bu', 'sf', 'v', 'sm', 'hc', 'rb', 'pp', 'p'] # 保证金<5000的品种11个
ret = {}
ret['symbol'] = []
ret['tm'] = []
ret['start_time'] = []
ret['end_time'] = []
# 求集合的所有子集
result = [[]]
for x in items:
result.extend([subset + [x] for subset in result])
return result
if __name__ == "__main__":
fold_ini_path = 'e://Strategy//MT4//'
# fold_ini_path = 'G://缠论//回测报告//'
level = 1
date_lst = [('2020-01-01', '2020-07-01'), ('2015-01-01', '2017-01-01'), ('2017-01-01', '2020-01-01')]
# date_lst = [('2017-01-01', '2020-07-01')]
fee = np.float(0.00015)
porfolio = Future()
period_ini_lst = [15, 30, 60, 240, 1440]
period_ini_lst = [5, 15, 30, 60, 240, 1440]
period_lst_all = PowerSetsRecursive(period_ini_lst)
period_lst_all = [i for i in period_lst_all if len(i) == 1]
# period_lst_all = [[5, 15, 30, 60, 240, 1440]]
print(period_lst_all)
code_lst = ['ap', 'ag', 'al', 'cf', 'cu', 'fu', 'i', 'j', 'ni', 'pb', 'pp', 'rb', 'sc', 'tf', 'v', 'zc', 'zn', 'c',
'if', 'sf', 'p', 'hc', 'au', 'jm', 'sm', 'ru', 'bu', 'oi', 'sr', 'ta', 'm', 'ma'] # 所有品种32个
# code_lst_5 = ['ap', 'j', 'i', 'fu', 'sm', 'if', 'v', 'zn', 'pp', 'ni', 'pb'] # 所有5分钟夏普>0
# code_lst_15 = ['ap', 'ag', 'al', 'cf', 'cu', 'fu', 'i', 'j', 'ni', 'pb', 'pp', 'sc', 'v', 'zc', 'zn', 'c',
# 'if', 'sf', 'hc', 'au', 'sm', 'sr', 'ta'] # 所有15分钟夏普>0
# code_lst_30 = ['ap', 'al', 'fu', 'i', 'j', 'pp', 'rb', 'sc', 'tf', 'v', 'zc', 'zn',
# 'if', 'sf', 'sm', 'ta'] # 所有30分钟夏普>0
code_lst_5.extend(code_lst_1440)
period_dict = {}
for symbol in symbol_lst:
period_dict[symbol.upper()] = len([i for i in code_lst_5 if i == symbol])
init_aum = 100000 * len(symbol_lst)
symbol_lst = [i.upper() for i in symbol_lst]
calen, next_tradeday, EndDate, StartDate, hq_last_date = get_date(calen, today)
print(today)
# close_dict = {}
# for index_code in symbol_lst:
# code = code_dic[index_code]
# index_hq = stock_price(code, hq_last_date, hq_last_date, 'daily')
# close_dict[index_code] = index_hq.close.tolist()[-1]
# print(close_dict)
porfolio = Future()
main_contract_dict = porfolio.get_main_symbol(product=symbol_lst, date=hq_last_date)
main_contract = pd.DataFrame(main_contract_dict).T[['main_contract']]
print(main_contract)
PriceTick_dict = porfolio.get_PriceTick(symbol_lst)
contract_lst = main_contract.main_contract.tolist()
ExchangeID_dict = porfolio.get_ExchangeID(contract_lst=contract_lst)
ExchangeInstID_dict = porfolio.get_ExchangeInstID(contract_lst=contract_lst)
VolumeMultiple_dict = porfolio.get_VolumeMultiple(contract_lst)
LongMarginRatio_dict = porfolio.get_LongMarginRatio(contract_lst)
ShortMarginRatio_dict = porfolio.get_ShortMarginRatio(contract_lst)
main_contract['symbol'] = main_contract.index
print(main_contract)
signal_dict = {}
for symbol in symbol_lst:
datetime.timedelta(days=1),
end_date='2030-01-01')[0]
if datetime.datetime.now().hour >= 18:
calen.append(next_tradeday)
EndDate = calen[-1]
StartDate = calen[0]
hq_last_date = calen[-2]
return calen, next_tradeday, EndDate, StartDate, str(hq_last_date)[:10]
if __name__ == "__main__":
path = 'G:/trading/trading_report/'
account = '21900576'
ip = '127.0.0.1:1114'
bars = 5
porfolio = Future()
today = datetime.date.today()
calen = get_trade_days(count=bars)
calen = list(calen)
calen, next_tradeday, EndDate, StartDate, hq_last_date = get_date(
calen, today)
hq_last_date = hq_last_date[:4] + hq_last_date[5:7] + hq_last_date[8:]
today = datetime.date.strftime(today, '%Y%m%d')
api = JzStrategy('ZhangFang', ip)
### 查询
fund_df = api.req_fund()
print(fund_df)
fund_df = fund_df.loc[:, [
'交易日', '当前保证金总额', '期货结算准备金', '上次结算准备金', '平仓盈亏', '持仓盈亏', '投资者帐号'
]]
if __name__ == '__main__':
symbol_lst = [
'C', 'CS', 'A', 'B', 'M', 'RM', 'Y', 'P', 'OI', 'L', 'V', 'PP', 'TA',
'RU', 'BU', 'MA', 'SC', 'FU', 'AL', 'ZN', 'CU', 'PB', 'NI', 'SN', 'J',
'JM', 'I', 'RB', 'HC', 'ZC', 'SF', 'SM', 'FG', 'IF', 'IH', 'IC', 'T',
'TF', 'AG', 'AU', 'JD', 'AP', 'CJ', 'CF', 'SR'
]
symbol_lst = ['RU', 'C', 'P', 'AU', 'CU', 'ZN', 'SC', 'Y', 'CF', 'I', 'AG']
date = datetime.date.today()
bars = 5
calen = get_trade_days(count=bars)
calen = list(calen)
calen, next_tradeday, EndDate, StartDate, hq_last_date = get_date(
calen, date)
porfolio = Future()
print(EndDate)
df = porfolio.get_main_symbol(product=symbol_lst, date=EndDate)
df = pd.DataFrame(df).T
print(df)
df.to_csv('G:/trading/main_contract.csv')
# code = 'Y8888.XDCE'
# sday = '2010-01-01'
# eday = '2020-06-02'
# temp = get_price(code, start_date=sday, end_date=eday, frequency='1m', fields=None, skip_paused=True, fq='pre',
# count=None)[['open', 'high', 'low', 'close', 'volume']]
# print(temp)
# # temp['date_time'] = temp.index
# # temp['date_time'] = temp['date_time'].apply(lambda x: str(x) + str(' 00:00'))
# # temp = temp.set_index(['date_time'])
balance = 10
bars = 5
calen = get_trade_days(count=bars)
today = datetime.date.today()
calen = list(calen)
if today in calen:
calen, next_tradeday, EndDate, StartDate, hq_last_date = get_date(
calen, today)
# EndDate = today
signal = pd.read_csv(signal_path + 'temp//ymjh_' + hq_last_date +
'.csv',
index_col=0)
print(signal)
signal['symbol'] = signal.index
symbol_lst = signal.symbol.tolist()
porfolio = Future()
main_contract_dict = porfolio.get_main_symbol(product=symbol_lst,
date=EndDate)
main_contract = pd.DataFrame(main_contract_dict).T[['main_contract']]
print(main_contract)
contract_lst = main_contract.main_contract.tolist()
ExchangeID_dict = porfolio.get_ExchangeID(contract_lst=contract_lst)
ExchangeInstID_dict = porfolio.get_ExchangeInstID(
contract_lst=contract_lst)
VolumeMultiple_dict = porfolio.get_VolumeMultiple(contract_lst)
main_contract['symbol'] = main_contract.index
print(main_contract)
signal_dict = {}
for symbol in symbol_lst:
main_contract = main_contract_dict[symbol]['main_contract']
'C', 'CS', 'A', 'B', 'M', 'RM', 'Y', 'P', 'OI', 'L', 'V', 'PP', 'TA',
'RU', 'BU', 'MA', 'SC', 'FU', 'AL', 'ZN', 'CU', 'PB', 'NI', 'SN', 'J',
'JM', 'I', 'RB', 'HC', 'ZC', 'SF', 'SM', 'FG', 'IF', 'IH', 'IC', 'T',
'TF', 'AG', 'AU', 'JD', 'AP', 'CJ', 'CF', 'SR'
]
info_lst = [
'ExchangeID', 'VolumeMultiple', 'MaxMarketOrderVolume',
'MaxLimitOrderVolume'
] # 'VolumeMultiple',
contract_lst = [
'RU2009', 'FG2009', 'AU2012', 'SR2009', 'P2009', 'C2009', 'ZN2008',
'CU2008', 'M2009', 'SC2012', 'Y2009', 'OI2009', 'AG2012', 'SC2008',
'JD2009', 'AP2010', 'IF2007', 'IH2007', 'IC2007', 'SA2009'
]
# contract_lst = ['RU']
date = datetime.date.today()
porfolio = Future()
df = porfolio.get_contract_info(contract_lst=contract_lst,
info_lst=info_lst)
df = pd.DataFrame(df).T
print(df)
df.to_csv('G:/trading/exchageID.csv')
# 获取持仓限制
limit_position = porfolio.get_limit_position(contract_lst)
limit_position_ret = {}
limit_position_ret['limit_position'] = limit_position
limit_position = pd.DataFrame(limit_position_ret)
print(limit_position)
contract_lst = ['RU']
df = porfolio.get_VolumeMultiple(contract_lst)
print(df)
