- 策略广场
- 商品期货跨品种套利
商品期货跨品种套利
Author:
雨幕(youquant), Date: 2022-10-26 14:05:09
Tags:
'''backtest
start: 2022-09-01 09:00:00
end: 2022-09-09 15:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
mode: 1
'''
p = ext.NewPositionManager()
def onTick():
global maxDiff, minDiff
# 获取合约A行情数据
infoA = exchange.SetContractType(symbolA)
tickA = exchange.GetTicker()
recordsA = exchange.GetRecords()
# 获取合约B行情数据
infoB = exchange.SetContractType(symbolB)
tickB = exchange.GetTicker()
recordsB = exchange.GetRecords()
if not tickA or not tickB or not recordsA or not recordsB:
return
# 分析持仓
pos = exchange.GetPosition()
if pos is None:
return
longPosOfSymbolA = p.GetPosition(symbolA, PD_LONG)
shortPosOfSymbolA = p.GetPosition(symbolA, PD_SHORT)
longPosOfSymbolB = p.GetPosition(symbolB, PD_LONG)
shortPosOfSymbolB = p.GetPosition(symbolB, PD_SHORT)
# 计算价差
diff = tickA["Last"] - tickB["Last"]
if not longPosOfSymbolA and not shortPosOfSymbolA and not longPosOfSymbolB and not shortPosOfSymbolB:
if diff > maxDiff:
# 空A合约,多B合约
Log("空A合约:", symbolA, ",多B合约:", symbolB, ", diff:", diff, ", maxDiff:", maxDiff, "#FF0000")
p.OpenShort(symbolA, 1)
p.OpenLong(symbolB, 1)
elif diff < minDiff:
# 多A合约,空B合约
Log("多A合约:", symbolA, ",空B合约:", symbolB, ", diff:", diff, ", minDiff:", minDiff, "#FF0000")
p.OpenLong(symbolA, 1)
p.OpenShort(symbolB, 1)
if longPosOfSymbolA and shortPosOfSymbolB and not shortPosOfSymbolA and not longPosOfSymbolB:
# 持有A多头、B空头
if diff > (longPosOfSymbolA["Price"] - shortPosOfSymbolB["Price"]) + stopProfit:
# 止盈
Log("持有A多头、B空头,止盈。", "diff:", diff, "持有差价:", (longPosOfSymbolA["Price"] - shortPosOfSymbolB["Price"]))
p.Cover(symbolA)
p.Cover(symbolB)
elif diff < (longPosOfSymbolA["Price"] - shortPosOfSymbolB["Price"]) - stopLoss:
# 止损
Log("持有A多头、B空头,止损。", "diff:", diff, "持有差价:", (longPosOfSymbolA["Price"] - shortPosOfSymbolB["Price"]))
p.Cover(symbolA)
p.Cover(symbolB)
elif shortPosOfSymbolA and longPosOfSymbolB and not longPosOfSymbolA and not shortPosOfSymbolB:
# 持有A空头、B多头
if diff < (shortPosOfSymbolA["Price"] - longPosOfSymbolB["Price"]) - stopProfit:
# 止盈
Log("持有A空头、B多头,止盈。", "diff:", diff, "持有差价:", (shortPosOfSymbolA["Price"] - longPosOfSymbolB["Price"]))
p.Cover(symbolA)
p.Cover(symbolB)
elif diff > (shortPosOfSymbolA["Price"] - longPosOfSymbolB["Price"]) + stopLoss:
# 止损
Log("持有A空头、B多头,止损。", "diff:", diff, "持有差价:", (shortPosOfSymbolA["Price"] - longPosOfSymbolB["Price"]))
p.Cover(symbolA)
p.Cover(symbolB)
# 画图
ext.PlotLine("差价", diff)
def main():
while True:
if exchange.IO("status"):
onTick()
LogStatus(_D(), "已连接")
else:
LogStatus(_D(), "未连接")
Sleep(500)
template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6