移植自JavaScript版本商品期货跨期对冲 - 百行代码实现 简单的跨期对冲, 抛砖引玉, 细节还需要处理, 轮训间隔可以缩小到1秒或者删除Sleep那行策略就可以随时响应价格变化。 教学策略,学习为主。
class Hedge: '对冲控制类' def __init__(self, q, e, initAccount, symbolA, symbolB, hedgeSpread, coverSpread): self.q = q self.initAccount = initAccount self.status = 0 self.symbolA = symbolA self.symbolB = symbolB self.e = e self.isBusy = False self.hedgeSpread = hedgeSpread self.coverSpread = coverSpread self.opAmount = OpAmount self.records = [] self.preBarTime = 0 def poll(self): if (self.isBusy or not exchange.IO("status")) or not ext.IsTrading(self.symbolA): Sleep(1000) return insDetailA = exchange.SetContractType(self.symbolA) if not insDetailA: return tickerA = exchange.GetTicker() if not tickerA: return insDetailB = exchange.SetContractType(self.symbolB) if not insDetailB: return tickerB = exchange.GetTicker() if not tickerB: return # 计算差价K线 r = exchange.GetRecords() if not r: return diff = tickerB["Last"] - tickerA["Last"] if r[-1]["Time"] != self.preBarTime: # 更新 self.records.append({"Time": r[-1]["Time"], "High": diff, "Low": diff, "Open": diff, "Close": diff, "Volume": 0}) self.preBarTime = r[-1]["Time"] if diff > self.records[-1]["High"]: self.records[-1]["High"] = diff if diff < self.records[-1]["Low"]: self.records[-1]["Low"] = diff self.records[-1]["Close"] = diff ext.PlotRecords(self.records, "diff:B-A") ext.PlotHLine(self.hedgeSpread if diff > 0 else -self.hedgeSpread, "hedgeSpread") ext.PlotHLine(self.coverSpread if diff > 0 else -self.coverSpread, "coverSpread") LogStatus(_D(), "A卖B买", _N(tickerA["Buy"] - tickerB["Sell"]), "A买B卖", _N(tickerA["Sell"] - tickerB["Buy"])) action = 0 if self.status == 0: if (tickerA["Buy"] - tickerB["Sell"]) > self.hedgeSpread: Log("开仓 A卖B买", tickerA["Buy"], tickerB["Sell"], "#FF0000") action = 1 # 加入图表标记 ext.PlotFlag(self.records[-1]["Time"], "A卖B买", "O") elif (tickerB["Buy"] - tickerA["Sell"]) > self.hedgeSpread: Log("开仓 B卖A买", tickerB["Buy"], tickerA["Sell"], "#FF0000") action = 2 # 加入图表标记 ext.PlotFlag(self.records[-1]["Time"], "B卖A买", "O") elif self.status == 1 and (tickerA["Sell"] - tickerB["Buy"]) <= self.coverSpread: Log("平仓 A买B卖", tickerA["Sell"], tickerB["Buy"], "#FF0000") action = 2 # 加入图表标记 ext.PlotFlag(self.records[-1]["Time"], "A买B卖", "C") elif self.status == 2 and (tickerB["Sell"] - tickerA["Buy"]) <= self.coverSpread: Log("平仓 B买A卖", tickerB["Sell"] - tickerA["Buy"], "#FF0000") action = 1 # 加入图表标记 ext.PlotFlag(self.records[-1]["Time"], "B买A卖", "C") if action == 0: return self.isBusy = True tasks = [] if action == 1: tasks.append([self.symbolA, "sell" if self.status == 0 else "closebuy"]) tasks.append([self.symbolB, "buy" if self.status == 0 else "closesell"]) elif action == 2: tasks.append([self.symbolA, "buy" if self.status == 0 else "closesell"]) tasks.append([self.symbolB, "sell" if self.status == 0 else "closebuy"]) def callBack(task, ret): def callBack(task, ret): self.isBusy = False if task["action"] == "sell": self.status = 2 elif task["action"] == "buy": self.status = 1 else: self.status = 0 account = _C(exchange.GetAccount) LogProfit(account["Balance"] - self.initAccount["Balance"], account) self.q.pushTask(self.e, tasks[1][0], tasks[1][1], self.opAmount, callBack) self.q.pushTask(self.e, tasks[0][0], tasks[0][1], self.opAmount, callBack) def SetHedgeSpread(self, hedgeSpread): self.hedgeSpread = hedgeSpread Log("hedgeSpread修改为:", hedgeSpread) def SetCoverSpread(self, coverSpread): self.coverSpread = coverSpread Log("coverSpread修改为:", coverSpread) def main(): SetErrorFilter("ready|login|timeout") Log("正在与交易服务器连接...") while not exchange.IO("status"): Sleep(1000) Log("与交易服务器连接成功") initAccount = _C(exchange.GetAccount) Log(initAccount) n = 0 def callBack(task, ret): Log(task["desc"], "成功" if ret else "失败") q = ext.NewTaskQueue(callBack) p = ext.NewPositionManager() if CoverAll: Log("开始平掉所有残余仓位...") p.CoverAll() Log("操作完成") t = Hedge(q, exchange, initAccount, SA, SB, HedgeSpread, CoverSpread) while True: q.poll() t.poll() cmd = GetCommand() if cmd: arr = cmd.split(":") if arr[0] == "AllCover": p.CoverAll() elif arr[0] == "SetHedgeSpread": t.SetHedgeSpread(float(arr[1])) elif arr[0] == "SetCoverSpread": t.SetCoverSpread(float(arr[1]))template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6