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- 股票多品种平衡策略
股票多品种平衡策略
Author:
雨幕(youquant), Date: 2022-03-06 10:10:43
Tags:
/*backtest
start: 2016-05-01 09:00:00
end: 2022-03-06 15:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_XTP","currency":"STOCK","balance":100000,"minFee":0}]
args: [["contractTypes","600519.SH,600690.SH,600006.SH,601328.SH,600887.SH,600121.SH,601633.SH"]]
*/
// 全局变量
var StatusMsg = ""
function newDate() {
var timezone = 8 //目标时区时间,东八区
var offset_GMT = new Date().getTimezoneOffset() // 本地时间和格林威治的时间差,单位为分钟
var nowDate = new Date().getTime() // 本地时间距 1970 年 1 月 1 日午夜(GMT 时间)之间的毫秒数
var targetDate = new Date(nowDate + offset_GMT * 60 * 1000 + timezone * 60 * 60 * 1000)
return targetDate
}
function GetPosition(e, contractTypeName) {
var allAmount = 0
var allProfit = 0
var allFrozen = 0
var posMargin = 0
var price = 0
var direction = null
positions = _C(e.GetPosition)
for (var i = 0; i < positions.length; i++) {
if (positions[i].ContractType != contractTypeName) {
continue
}
if (positions[i].Type == PD_LONG) {
posMargin = positions[i].MarginLevel
allAmount += positions[i].Amount
allProfit += positions[i].Profit
allFrozen += positions[i].FrozenAmount
price = positions[i].Price
direction = positions[i].Type
}
}
if (allAmount === 0) {
return null
}
return {
MarginLevel: posMargin,
FrozenAmount: allFrozen,
Price: price,
Amount: allAmount,
Profit: allProfit,
Type: direction,
ContractType: contractTypeName,
CanCoverAmount: allAmount - allFrozen
}
}
function Buy(e, contractType, opAmount, insDetail) {
var initPosition = GetPosition(e, contractType)
var isFirst = true
var initAmount = initPosition ? initPosition.Amount : 0
var positionNow = initPosition
if(opAmount % insDetail.LotSize != 0) {
throw "每手数量不匹配"
}
while (true) {
var needOpen = opAmount
if (isFirst) {
isFirst = false
} else {
Sleep(Interval*20)
positionNow = GetPosition(e, contractType)
if (positionNow) {
needOpen = opAmount - (positionNow.Amount - initAmount)
}
Log("positionNow:", positionNow, "needOpen:", needOpen)// 测试
}
if (needOpen < insDetail.LotSize || needOpen % insDetail.LotSize != 0) {
break
}
var depth = _C(e.GetDepth)
// 需要检测是否涨跌停
var amount = needOpen
e.SetDirection("buy")
var orderId = e.Buy(depth.Asks[0].Price + (insDetail.PriceSpread * SlideTick), amount, contractType, 'Ask', depth.Asks[0])
// CancelPendingOrders
while (true) {
Sleep(Interval*20)
var orders = _C(e.GetOrders)
if (orders.length === 0) {
break
}
for (var j = 0; j < orders.length; j++) {
e.CancelOrder(orders[j].Id)
if (j < (orders.length - 1)) {
Sleep(Interval*20)
}
}
}
}
var ret = null
if (!positionNow) {
return ret
}
ret = positionNow
return ret
}
function Sell(e, contractType, lots, insDetail) {
var initAmount = 0
var firstLoop = true
if(lots % insDetail.LotSize != 0) {
throw "每手数量不匹配"
}
while (true) {
var n = 0
var total = 0
var positions = _C(e.GetPosition)
var nowAmount = 0
for (var i = 0; i < positions.length; i++) {
if (positions[i].ContractType != contractType) {
continue
}
nowAmount += positions[i].Amount
}
if (firstLoop) {
initAmount = nowAmount
firstLoop = false
}
var amountChange = initAmount - nowAmount
if (typeof(lots) == 'number' && amountChange >= lots) {
break
}
for (var i = 0; i < positions.length; i++) {
if (positions[i].ContractType != contractType) {
continue
}
var amount = positions[i].Amount
var depth
var opAmount = 0
var opPrice = 0
if (positions[i].Type == PD_LONG) {
depth = _C(e.GetDepth)
// 需要检测是否涨跌停
opAmount = amount
opPrice = depth.Bids[0].Price - (insDetail.PriceSpread * SlideTick)
}
if (typeof(lots) === 'number') {
opAmount = Math.min(opAmount, lots - (initAmount - nowAmount))
}
if (opAmount > 0) {
if (positions[i].Type == PD_LONG) {
e.SetDirection("closebuy")
e.Sell(opPrice, opAmount, contractType, "平仓", 'Bid', depth.Bids[0])
}
n++
}
// break to check always
if (typeof(lots) === 'number') {
break
}
}
if (n === 0) {
break
}
while (true) {
Sleep(Interval*20)
var orders = _C(e.GetOrders)
if (orders.length === 0) {
break
}
for (var j = 0; j < orders.length; j++) {
e.CancelOrder(orders[j].Id)
if (j < (orders.length - 1)) {
Sleep(Interval*20)
}
}
}
}
}
/*
1、9:15-9:25为开盘集合竞价;
2、9:30-11:30,13:00-14:57为连续竞价阶段;
3、14:57-15:00为收盘集合竞价。
*/
function IsTrading() {
var now = newDate() // 使用 newDate() 代替 new Date() 因为服务器时区问题
var day = now.getDay()
var hour = now.getHours()
var minute = now.getMinutes()
StatusMsg = "非交易时段"
if (day === 0 || day === 6) {
return false
}
if((hour == 9 && minute >= 30) || (hour == 11 && minute < 30) || (hour > 9 && hour < 11)) {
// 9:30-11:30
StatusMsg = "交易时段"
return true
} else if (hour >= 13 && hour < 15) {
// 13:00-15:00
StatusMsg = "交易时段"
return true
}
return false
}
function main(){
var cts = contractTypes.split(",")
var acc = _C(exchange.GetAccount)
var value = _N(acc.Balance * ratio, 0)
while (true) {
var rowsData = []
_.each(cts, function(ct) {
if (!IsTrading()) {
return
}
var info = exchange.SetContractType(ct)
if (!info) {
return
}
var ticker = exchange.GetTicker()
if (!ticker) {
return
}
if (IsVirtual()) {
ticker.Info = {}
ticker.Info.LotSize = info.VolumeMultiple
ticker.Info.PriceSpread = 0.01
}
var pos = GetPosition(exchange, ct)
if (!pos) {
// 没有持仓,按照价值建仓
var amount = parseInt(value / ticker.Last / info.VolumeMultiple)
if (amount < 1) {
return
}
amount = amount * info.VolumeMultiple
Buy(exchange, ct, amount, ticker.Info)
} else {
// 计算价值偏离,平衡仓位
var nowValue = ticker.Last * pos.Amount
var diffValue = nowValue - value
if (diffValue > 0) {
// 持有价值增加超过阈值
var amount = parseInt(diffValue / ticker.Last / info.VolumeMultiple)
if (amount >= 1) {
// 平衡
amount = amount * info.VolumeMultiple
Sell(exchange, ct, amount, ticker.Info)
var newPos = GetPosition(exchange, ct)
Log("当前持仓价值:", pos.Amount + " * " + ticker.Last + " = " + nowValue, ",初期价值:", value, ",本次平衡价值:", amount * ticker.Last, ",平衡后的持仓价值:", newPos.Amount * ticker.Last)
}
} else if (diffValue < 0) {
// 持有价值减少超过阈值
var amount = parseInt(-diffValue / ticker.Last / info.VolumeMultiple)
if (amount >= 1) {
// 平衡
amount = amount * info.VolumeMultiple
Buy(exchange, ct, amount, ticker.Info)
var newPos = GetPosition(exchange, ct)
Log("当前持仓价值:", pos.Amount + " * " + ticker.Last + " = " + nowValue, ",初期价值:", value, ",本次平衡价值:", amount * ticker.Last, ",平衡后的持仓价值:", newPos.Amount * ticker.Last)
}
}
}
rowsData.push([info.InstrumentID, info.InstrumentName, info.VolumeMultiple, ticker.Last, pos ? pos.Price : "--", pos ? pos.Amount : "--", value, pos ? ticker.Last * pos.Amount : "--"])
})
var tbl = {
"type" : "table",
"title" : "行情、持仓数据",
"cols" : ["股票代码", "名称", "一手乘数", "当前价格", "持仓价格", "持仓数量", "初期价值", "当前价值"],
"rows" : rowsData
}
LogStatus("日期时间:", _D(), ", 状态信息:", StatusMsg, "\n`" + JSON.stringify(tbl) + "`")
Sleep(1000)
}
}
template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6