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tick级别价差交易例子 Spread Trade Tick Level Example
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tick级别价差交易例子 Spread Trade Tick Level Example
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# coding:utf-8
#!/usr/bin/env python
from PoboAPI import *
import datetime
#用poboquant python实现，在poboquant上运行，如果有问题 可加群 726895887 咨询
#在tick级别回测
#开始时间，用于初始化一些参数
def OnStart(context) :
print "I\'m starting..."
#设定一个全局变量品种
g.code1 = "MA905.CZCE"
g.code2="MA909.CZCE"
accountname="回测期货"
#订阅实时数据，用于驱动OnQuote事件
SubscribeQuote([g.code1,g.code2])
#订阅K线数据，用于驱动OnBar事件
#SubscribeBar(g.code, BarType.Min)
#登录交易账号，需在主页用户管理中设置账号，并把证券测试替换成您的账户名称
context.myacc = None
if context.accounts.has_key(accountname) :
print "登录交易账号 "+str(accountname)
if context.accounts[accountname].Login() :
context.myacc = context.accounts[accountname]
#实时行情事件，当有新行情出现时调用该事件
def OnQuote(context, code) :
accountname="回测期货"
#过滤掉不需要的行情通知
#if code != g.code1 or code!=g.code2 :
# return
#获取最新行情
dyndataleg1 = GetQuote(g.code1)
dyndataleg2 = GetQuote(g.code2)
#if dyndata :
#.now指最新价，详细属性见API文档
# now1 = dyndata.now
#打印最新价
# log.info("最新价: " + str(dyndata.now))
#获取K线数据
g.code1 = "MA905.CZCE"
g.code2="MA909.CZCE"
#klinedata3l = GetHisData(g.code1, BarType.Min3)
klinedataM1leg1 = GetHisData(g.code1, BarType.Min)
#klinedata3v = GetHisData(g.code2, BarType.Min3)
klinedataM1leg2 = GetHisData(g.code2, BarType.Min)
#spread3=klinedata3l[-2].low-klinedata3v[-2].close
#print "spread3 is " +str(spread3)
spread1=klinedataM1leg1[-2].close-klinedataM1leg2[-2].close #1分钟价差 选-1，-2，还是-3等看该价差对的历史表现，可以自己灵活调整
spreadt=dyndataleg1.now-dyndataleg2.now #tick价差
tradingtime=dyndataleg2.time
#print "spread1 is " +str(spread1)
option = PBObj()
option.buysellflag = '0' #查询持仓
pos = context.accounts[accountname].GetPositions(option)
#打印K线数据，如最新一根K线的最高价
#if len(klinedata3) > 0 and len(klinedata1)> 0:
# lasthigh3 = klinedata3[-1].high
# lasthigh1 = klinedata1[-1].high
# log.info("最新3分钟K线的最高价: " + str(lasthigh3))
# log.info("最新1分钟K线的最高价: " + str(lasthigh1))
#如果配置好交易账号了，可以根据条件下单，需把下面中的证券测试账号换成您设置的账号名称
if spread1-10>=spreadt and dyndataleg1.now>0.0 and dyndataleg2.now>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(spread1)+" "+str(spreadt)+" "+str(tradingtime)
context.myacc.InsertOrder(g.code1, BSType.BuyOpen, dyndataleg1.now, 20)
context.myacc.InsertOrder(g.code2, BSType.SellOpen, dyndataleg2.now, 20)
elif spread1+10<=spreadt and dyndataleg1.now>0.0 and dyndataleg2.now>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(spread1)+" "+str(spreadt)+" "+str(tradingtime)
context.myacc.InsertOrder(g.code1, BSType.SellClose, dyndataleg1.now, 20)
context.myacc.InsertOrder(g.code2, BSType.BuyClose, dyndataleg2.now, 20)
#委托回报事件，当有委托回报时调用
def OnOrderChange(context, AccountName, order) :
#打印委托信息，id是编号，volume是数量，详细见API文档
print "委托编号： " + order.id + " 账号名称： " + AccountName
print "Vol: " + str(order.volume) + " Price: " + str(order.price)