Python量化交易策略

策略详情
按照1分k线图；跳过9：30点1分k线图不计算
买入；监控市面的可转债；当某1分涨幅大于x涨幅，一直重复x次，选择买入，符合x设置的条件只选择成交额最大的可转债买入（x要自定义）
例如；9：36分涨幅大于等于0.1；一直重复了2次；这2次的每1分都大于等于0.1；那么应该9：38分01秒买入

卖出方法条件1；当买入价格盈亏x%，选择自动卖出；（x要自定义）

卖出方法条件2；当某1分跌幅大于x跌幅，一直重复x次，选择卖出（x要自定义）、
例如；9：36分跌幅大于等于-0.1；一直重复了2次；这2次的每1分都大于等于-0.1；那么应该9：38分01秒卖出
（卖出符合这个2个条件任意一条都可以自动卖出）

1；可以设置每天用多少x万元交易
2；能可以设置1天买卖x次，超过次数停止工作；
3；能设置账户最大涨幅或者最大跌幅，超过这个最大涨幅或者最大跌幅，如果有持仓可转债立即卖出，停止工作；
4；买卖有选项，可以选择 对方最优价格 和 本方最优价格

# encoding:gbk
# coding:gbk
''''''
# coding:gbkimport datetime
import pandas as pd
import numpy as np
import talib
import timedef init(ContextInfo):ContextInfo.trade_code_list = ['113595.SH', '127098.SZ', '123224.SZ', '128041.SZ', '127097.SZ', '110044.SH', '123235.SZ', '123054.SZ', '128085.SZ', '123167.SZ', '113627.SH', '123118.SZ', '113044.SH', '127101.SZ', '123207.SZ', '110059.SH', '113052.SH', '127096.SZ', '110061.SH', '127081.SZ']ContextInfo.set_universe(ContextInfo.trade_code_list)ContextInfo.accID = '6000000058'#'620000155051'ContextInfo.buy = TrueContextInfo.capital = 100000ContextInfo.sell = False# 自定义设置x秒、涨跌幅和重复次数ContextInfo.minutes_gain=1#买入间隔分钟ContextInfo.minutes_loss=1#卖出间隔分钟数#ContextInfo.x_seconds_gain = 60#间隔秒数#ContextInfo.x_seconds_loss = 60#间隔秒数ContextInfo.increase_percent_gain = 1#条件涨幅 >=ContextInfo.increase_percent_loss = -1#条件跌幅<=ContextInfo.repeat_times_gain = 1#买入重复次数ContextInfo.repeat_times_loss = 1#卖出重复次数ContextInfo.df = []ContextInfo.his_DF = []# 最大交易次数、最大涨幅和最大跌幅ContextInfo.trades_loss = 0  # 卖出次数ContextInfo.trades_gain  = 0  # 买入次数ContextInfo.max_trades_loss = 10  # 卖出最大次数ContextInfo.max_trades_gain = 10  # 买入最大次数ContextInfo.max_daily_gain = 5  # 最大涨幅 到了最大涨幅，最大跌幅自动卖出ContextInfo.max_daily_loss = -5  # 最大跌幅ContextInfo.one_profit_limit=3 #单次盈利超过这里2是2%ContextInfo.one_loss_limit=-1#单次亏损限制自动 则卖出持仓ContextInfo.Today_profit_limit=10 #当日盈利限制超过停止交易ContextInfo.Today_loss_limit=-10 #当日亏损限制超过 则卖出持仓，当日停止交易ContextInfo.Date=''ContextInfo.Date_Time={}#{'2024':ContextInfo.Today_profit_and_loss}ContextInfo.Today_profit_and_loss=0 #当日盈亏ContextInfo.status=0 #持仓状态0为空仓，1为满仓ContextInfo.status_code=0 #持仓代码ContextInfo.account_price=100000#可用资金 调整到x元持仓 卖出是调整到0元ContextInfo.stop_status=0#初始化清空账户停止交易状态 ContextInfo.type_gain='MARKET'ContextInfo.type_loss='MARKET'#LATEST：最新 FIX：指定 HANG：挂单 COMPETE：对手 MARKET：市价 SALE5, SALE4, SALE3, ‘SALE2’, ‘SALE1’：卖5-1价‘BUY1’, ‘BUY2’, ‘BUY3’, ‘BUY4’, ‘BUY5’：买1-5价
def zhangfu(list1):a=((list1[1] - list1[0])/list1[0])*100return a
#bond(ContextInfo, ContextInfo.x_seconds_gain,ContextInfo.x_seconds_loss, ContextInfo.increase_percent_gain,ContextInfo.increase_percent_loss, ContextInfo.repeat_times_gain,ContextInfo.repeat_times_loss,time1)
def bond(ContextInfo, percentage_gain,percentage_loss, num_trades_gain,num_trades_loss,formatted_time):if ContextInfo.status==0:#空仓try:num_trades=num_trades_gainif ContextInfo.Today_profit_and_loss>ContextInfo.Today_profit_limit:print('当日账户涨幅{}超过（大于）限制的最大涨幅{}今日停止交易'.format(ContextInfo.Today_profit_and_loss,ContextInfo.Today_profit_limit))return [2, list(ContextInfo.df['trade_code'])[0]]if list(ContextInfo.df['买入卖出条件'])[0]==1:new_price = list(ContextInfo.df['close'])[0]return [1, list(ContextInfo.df['trade_code'])[0],new_price]#买入except Exception as e:print('异常')print(ContextInfo.df)print(e)else:num_trades=num_trades_loss#time_list=Transform_time_21(formatted_time, num_trades, seconds)if ContextInfo.Today_profit_and_loss<ContextInfo.Today_loss_limit:print('当日账户跌幅{}超过（小于）限制的最大跌幅{} 持仓立即卖出，且今日停止交易'.format(ContextInfo.Today_profit_and_loss,ContextInfo.Today_loss_limit))new_price = list(ContextInfo.df['close'])[0]# get_current_price2(ContextInfo, list(ContextInfo.df['trade_code'])[0])return [-2, list(ContextInfo.df['trade_code'])[0],new_price]#loss_DF=status_df(ContextInfo,ContextInfo.minutes_loss)df_loss=loss_DF[loss_DF['名称']==ContextInfo.status_code]if ContextInfo.one_loss>=ContextInfo.one_profit_limit:print("当前持仓盈利{}超过单笔限制{}卖出当前持仓".format(ContextInfo.one_loss,ContextInfo.one_profit_limit))new_price = list(df_loss['close'])[0]return [-1, list(ContextInfo.df['trade_code'])[0],new_price]#卖出        if ContextInfo.one_loss<=ContextInfo.one_loss_limit:print("当前持仓亏损{}超过单笔限制{}卖出当前持仓".format(ContextInfo.one_loss,ContextInfo.one_loss_limit))new_price = list(df_loss['close'])[0]return [-1, list(ContextInfo.df['trade_code'])[0],new_price]#卖出if list(df_loss['买入卖出条件'])[0]==-1:new_price = list(df_loss['close'])[0]return [-1, list(ContextInfo.df['trade_code'])[0],new_price]#卖出else:print('当前不符合卖出条件无法卖出')return [0, list(ContextInfo.df['trade_code'])[0]]#持有def execute_buy(ContextInfo, stockcode,price):# 执行买入操作的逻辑print("全仓买入{}".format(stockcode))print(ContextInfo.df)ContextInfo.buy = FalseContextInfo.sell = True# 列表中股票分别下单买入10手order_target_percent 1.0  order_target_value  ContextInfo.type_gain  order_value(stockcode,ContextInfo.account_price, 'fix', price, ContextInfo, ContextInfo.accID)ContextInfo.trades_gain = ContextInfo.trades_gain + 1ContextInfo.status=1def execute_sell(ContextInfo, stockcode):#price# 执行卖出操作的逻辑print("全仓卖出{}".format(stockcode))print(ContextInfo.df)ContextInfo.buy = TrueContextInfo.sell = False# 列表中股票分别下单 order_target_percent ContextInfo.account_price ContextInfo.type_loss, #print('按照指定价{}卖出可转债{}'.format(price,stockcode))print('按照市场价卖出可转债{}'.format(stockcode))#order_target_value(stockcode, 0,'fix',price, ContextInfo, ContextInfo.accID)  # 'MARKET'：市单价 'COMPETE'：对手order_target_value(stockcode, 0,ContextInfo.type_loss, ContextInfo, ContextInfo.accID)  # 'MARKET'：市单价 'COMPETE'：对手ContextInfo.trades_loss = ContextInfo.trades_loss + 1ContextInfo.status=0import datetimedef Transform_time(timestamp):# 将13位时间戳转换为datetime对象dt = datetime.datetime.fromtimestamp(int(timestamp) / 1000)  # 需要将13位时间戳除以1000得到以秒为单位的时间戳# 将datetime对象格式化为可读时间格式formatted_time = dt.strftime('%Y-%m-%d %H:%M:%S')return formatted_timedef status_df(ContextInfo,x):x=x+1hisdict = ContextInfo.get_history_data(x, '1m', 'close')#,skip_paused=True)data_dict=[]for k, v in hisdict.items():if len(v) > 1:v_dict={'名称':k}v_num=len(v)-1signal_list=[]for i in range(v_num):zhangfu_value=zhangfu([v[i],v[i+1]])v_dict['涨幅'+str(i)]=zhangfu_valueif zhangfu_value<=ContextInfo.increase_percent_loss:signal_list.append(-1)elif zhangfu_value>=ContextInfo.increase_percent_gain:signal_list.append(1)else:signal_list.append(0)if list(set(signal_list)) == [-1]:v_dict['买入卖出条件']=-1elif list(set(signal_list)) == [1]:v_dict['买入卖出条件']=1else:v_dict['买入卖出条件']=0data_dict.append(v_dict)his_DF=pd.DataFrame(data_dict)df = ContextInfo.get_market_data(['amount','close'], stock_code=ContextInfo.get_universe(), skip_paused=True, period='1m',dividend_type='front', count=-1)df=df.reset_index()#.index=list(range(len(df)))his_DF['amount']=df['amount']his_DF['close']=df['close']#print(his_DF)return his_DF
def handlebar(ContextInfo):  # ['lastClose', 'close','amount']index = ContextInfo.barpostime0= ContextInfo.get_bar_timetag(index)time1 = Transform_time(time0)start_930=datetime.datetime.strptime('09:31:00', "%H:%M:%S")delta=datetime.timedelta(seconds=ContextInfo.minutes_gain*60*ContextInfo.repeat_times_gain)start_9x=start_930+deltaif datetime.datetime.strptime(time1.split(' ')[1], "%H:%M:%S")<=start_9x:print('当前时间{}小于等于{}不进行交易'.format(time1.split(' ')[1],str(start_9x).split(' ')[1]))returnelse:print('当前时间{}为正常交易时间'.format(time1))if ContextInfo.Date!=time1.split(' ')[0]:ContextInfo.Date=time1.split(' ')[0]ContextInfo.trades_gain=0#新的日期买入次数归零ContextInfo.trades_loss=0#新的日期买出次数归零ContextInfo.Today_profit_and_loss=0#新的日期清空账户涨跌幅ContextInfo.stop_status==0#新的日期清空账户停止交易状态print("新的交易日！！{}".format(ContextInfo.Date))else:index = ContextInfo.barposlist_1=[]#historysumsprint('历史持仓为')result_historysums_records=get_result_records('historysums', index, ContextInfo)for i in result_historysums_records:list_1.append({'交易代码':i.market+'.'+i.stockcode,#'交易日期':Transform_time(i.trade_date),'持仓盈亏':i.profit,#'盈利占比权重':i.benefit_weight,'交易次数':i.buy_sell_times,'持仓成本':i.trade_price,'最新价':i.current_price,'仓位数量':i.position,#'仓位金额':i.position*i.trade_price,'最新价':i.current_price,})#：number，最新价，持仓中用这个价if ContextInfo.stop_status==1:print('当日已经停止交易')returnContextInfo.Date_Time[ContextInfo.Date]=[list_1]print("历史交易明细为")print(ContextInfo.Date_Time)ContextInfo.Today_profit_and_loss=sum([i['持仓盈亏'] for i in list_1])/ContextInfo.capitalContextInfo.Date_Time[ContextInfo.Date]=ContextInfo.Today_profit_and_loss#{'2024':ContextInfo.Today_profit_and_loss}print("账户今日涨跌幅为{}".format(ContextInfo.Today_profit_and_loss))print("全部日期涨跌幅为")print(ContextInfo.Date_Time)print("账户当前时刻买入次数{}".format(ContextInfo.trades_gain))print("账户当前时刻卖出次数{}".format(ContextInfo.trades_loss))#ContextInfo.Today_profit_and_loss#print("最大涨幅为{}".format(ContextInfo.max_daily_gain))if ContextInfo.Today_profit_and_loss > ContextInfo.Today_profit_limit:print('因为涨幅{}超出当日最大涨幅{}停止交易'.format(ContextInfo.Today_profit_and_loss,ContextInfo.Today_profit_limit))return  # 涨跌幅超过设定值， 止操作elif ContextInfo.Today_profit_and_loss < ContextInfo.Today_loss_limit:print('因为跌幅{}超出当日最大跌幅{}停止交易'.format(ContextInfo.Today_profit_and_loss,ContextInfo.Today_loss_limit))return  # 涨跌幅超过设定值，停止操作his_DF=status_df(ContextInfo,ContextInfo.minutes_gain)if ContextInfo.trades_gain <= ContextInfo.max_trades_gain and ContextInfo.trades_loss <= ContextInfo.max_trades_loss:index = ContextInfo.barposresult_holdings_records=get_result_records('holdings', index, ContextInfo)#当下持仓if result_holdings_records==[]:print("当前没有持仓")ContextInfo.status=0end_his_DF=his_DF[his_DF['买入卖出条件']==1]if len(end_his_DF)==0:print("当前时间分钟{}没有满足买入条件的可转债".format(time1))ContextInfo.df=[]returnelse:end_his_DF['trade_code']=end_his_DF['名称']ContextInfo.df = end_his_DF.sort_values(by='amount', ascending=False)  # 必然是成交额最大的可转债print('当前股票池状态:')print(ContextInfo.df)else:result_records=result_holdings_recordsi=result_records[0]print('当前持仓为')print({'交易代码':i.market+'.'+i.stockcode,#'交易日期':Transform_time(i.trade_date),'持仓盈亏':i.profit,#'盈利占比权重':i.benefit_weight,'交易次数':i.buy_sell_times,'持仓成本':i.trade_price,'最新价':i.current_price,'仓位数量':i.position,#'仓位金额':i.position*i.trade_price,'最新价':i.current_price,})one_loss=((i.current_price-i.trade_price)/i.trade_price)*100print("当前持仓盈亏{}".format(one_loss))ContextInfo.one_loss=one_lossif len(result_records)!=1:print("策略超过持仓数量限制1，持有{}支可转债".format(len(result_records)))status_code=result_records[0].stockcode+'.'+result_records[0].marketContextInfo.status_code=status_codeif i.position*i.trade_price>ContextInfo.account_price:print('持仓总额{}超过设定的限制{}，停止策略'.format(i.position*i.trade_price,ContextInfo.account_price))returnprint("时间{}持仓可转债{}金额{}".format(time1,status_code,i.position*i.trade_price))#enddict={i.trade_date:i.profit for i in result_historysums_records}#print(enddict)ContextInfo.status=1# 交易策略# 买入条件：假设一支可转债在9点30分20秒涨跌幅为8%，过了20秒也就是9点30分40秒，涨跌幅为9%，比之前20秒大于1%，一直重复x次都符合这设定，只考虑  成交额  是第一的  可转债 进行买入# 卖出条件：假设一支可转债在9点30分20秒涨跌幅为8%，过了20秒也就是9点30分40秒，涨跌幅为7%，比之前20秒小于1%，一直重复x次都符合这设定，进行卖出condition = bond(ContextInfo, ContextInfo.increase_percent_gain,ContextInfo.increase_percent_loss, ContextInfo.repeat_times_gain,ContextInfo.repeat_times_loss,time1)# 增加模拟资金；能设置1天买卖操作次数，超过次数停止工作；能设置1天涨幅大于x%或者跌幅大于x%停止操作#print(condition)if condition[0] == 1:if ContextInfo.status==0:print("时间{}以{}价格买入可转债{}".format(time1,condition[2],condition[1]))execute_buy(ContextInfo, condition[1], condition[2])#ContextInfo.status==1elif condition[0] == -1:if ContextInfo.status==1:#if ContextInfo.status_code!=0:print("时间{}以{}价格卖出可转债{}".format(time1,condition[2],ContextInfo.status_code))execute_sell(ContextInfo,ContextInfo.status_code)#condition[1]#elif condition[0] == 2:ContextInfo.stop_status=1elif condition[0] == -2:if ContextInfo.status==1:#if ContextInfo.status_code!=0:print("时间{}今日最后一次卖出可转债{}".format(time1,ContextInfo.status_code))execute_sell(ContextInfo,ContextInfo.status_code, condition[2])#condition[1]#ContextInfo.stop_status=1else:pass#print('持有')else:print('因为超出当日最大交易次数停止交易')return