股指套利15秒级别Index Futures Spread Trading 15s

#!/usr/bin/env python
# coding:utf-8
from PoboAPI import *
import datetime
import numpy as np
from pandas import Series, DataFrame
import pandas as pd

#用poboquant python实现，在poboquant上运行，如果有问题 可加群 726895887 咨询
#开始时间，用于初始化一些参数,tick级别回测
#展示如何将tick级别数据转为15秒级别调用，仍有优化空间，很多细节可以补充
def OnStart(context) :
    print "I\'m starting..."
    #登录交易账号，需在主页用户管理中设置账号，并把期货测试替换成您的账户名称
    context.myacc = None
    #g.PriceSeries=[]
    if context.accounts.has_key("回测期货") :
        print "登录交易账号[回测期货]"
        if context.accounts["回测期货"].Login() :
            context.myacc = context.accounts["回测期货"]

def OnMarketQuotationInitialEx(context, exchange,daynight):
    g.PriceSeries=[]
    g.PriceSeries=pd.DataFrame(columns=['time','spread'])
    #g.PriceSeries=g.PriceSeries.set_index('time')
# #
#         return
    #获取主力合约
    #g.code = GetMainContract('SHFE', 'rb',20)
    #订阅K线数据，用于驱动OnBar事件
    #SubscribeBar(g.code, BarType.Day)
    g.code1 = "IF1905.CFFEX"  
    g.code2 = "IF1906.CFFEX"  
    #SubscribeQuote([g.code1,g.code2])
    SubscribeQuote([g.code1])
    
#def GetResample    
#实时行情事件，当有新行情出现时调用该事件Ex
def OnQuote(context, code):
    
    option = PBObj()
  
    pos = context.myacc.GetPositions(option)
    
    newdata=[]
    
    dyndata1 = GetQuote(g.code1)
    dyndata2 = GetQuote(g.code2)
    now1 = dyndata1.now
    now2 = dyndata2.now
    #print str(now1)+" "+str(now2)
    if now1<>0 and now2<>0:
        
        spread=now1-now2
        
        print "spread "+str(spread)        
        
        pricetime=GetCurrentTime()

        print "price "+str(now1)
        
        #newdata=pd.DataFrame({'time':pricetime,'spread':spread},ignore_index=True)

        #g.PriceSeries=g.PriceSeries.append(newdata)
        g.PriceSeries=g.PriceSeries.append([{'time':pricetime,'spread':spread}],ignore_index=True)
        #g.PriceSeries=g.PriceSeries.set_index('time')
        
        #g.PriceSeries

        #print "series "+str(g.PriceSeries)
        
    if len(g.PriceSeries)>30 and len(g.PriceSeries)%30 == 0:
        
        spread15s=g.PriceSeries.iloc[-1:]["spread"].values[0]
        
        #print "spread15s "+str(spread15s)
        #print "with time "+str(g.PriceSeries.iloc[-1:]["time"].values[0])
    
        if spread15s<=13 and now1>0.0 and now2>0.0 and context.myacc and len(pos)==0 :
          # 当日收盘价小于昨收则买入
              print "满足价差开仓条件......."+str(spread15s)+" "+str(pricetime)
              context.myacc.InsertOrder(g.code1, BSType.BuyOpen, now1, 20)
              context.myacc.InsertOrder(g.code2, BSType.SellOpen, now2, 20)
        elif spread15s>=22 and now1>0.0  and now2>0.0 and context.myacc and len(pos)>0 :
          # 当日收盘价大于昨收则卖出
              print "满足价差平仓条件......."+str(spread15s)+" "+str(pricetime)
              context.myacc.InsertOrder(g.code1, BSType.SellClose, now1, 20)
              context.myacc.InsertOrder(g.code2, BSType.BuyClose, now2, 20)


    
    
    
    
    
    
    
    
# def OnBar(context,code,bartype) :
#     #过滤掉不需要的行情通知
#     if code != g.code:
#         return
#     dyndata = GetQuote(g.code)
#     #计算均线
#     MA = GetIndicator("MA",code,params=(5,10),bar_type = BarType.Day)
#     MA1 = MA["MA(5)"]
#     MA2 = MA["MA(10)"]
#     if len(MA2)<2:
#         return
#     #ma1上穿ma2时买入螺纹主力1手
#     elif MA1[-1] >= MA2[-1] and MA1[-2]<MA2[-2]:
#         QuickInsertOrder(context.myacc,g.code,'buy','open',dyndata.now,1)
#     #ma1下穿ma2时卖出平仓
#     elif MA1[-1] <= MA2[-1] and MA1[-2]>MA2[-2]:
#         QuickInsertOrder(context.myacc,g.code,'sell','close',dyndata.now,1)