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+# 导入函数库
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+from jqdata import *
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+from jqdata import finance
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+import pandas as pd
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+import numpy as np
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+from datetime import date, datetime, timedelta
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+import re
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+
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+# 烛台影线形态反向交易策略 v002
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+# 基于烛台形态检测，采用两阶段仓位管理的交易策略
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+# 第一阶段：同时开立多空头寸（市场中性）
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+# 第二阶段：亏损方平仓，保留盈利方
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+# 第三阶段：对剩余头寸应用标准止盈止损逻辑
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+
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+# 设置以便完整打印 DataFrame
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+pd.set_option('display.max_rows', None)
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+pd.set_option('display.max_columns', None)
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+pd.set_option('display.width', None)
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+pd.set_option('display.max_colwidth', 20)
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+
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+## 初始化函数，设定基准等等
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+def initialize(context):
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+ # 设定沪深300作为基准
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+ set_benchmark('000300.XSHG')
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+ # 开启动态复权模式(真实价格)
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+ set_option('use_real_price', True)
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+ # 输出内容到日志
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+ log.info('=' * 60)
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+ log.info('烛台影线形态交易策略 v002 初始化开始')
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+ log.info('策略类型: 两阶段仓位管理策略')
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+ log.info('=' * 60)
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+
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+ ### 期货相关设定 ###
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+ # 设定账户为金融账户
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+ set_subportfolios([SubPortfolioConfig(cash=context.portfolio.starting_cash, type='index_futures')])
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+ # 期货类每笔交易时的手续费是: 买入时万分之0.23,卖出时万分之0.23,平今仓为万分之23
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+ set_order_cost(OrderCost(open_commission=0.000023, close_commission=0.000023, close_today_commission=0.0023), type='index_futures')
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+
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+ # 设置期货交易的滑点
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+ set_slippage(StepRelatedSlippage(2))
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+
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+ # 初始化全局变量
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+ g.usage_percentage = 0.8 # 最大资金使用比例
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+ g.max_margin_per_position = 20000 # 单个标的最大持仓保证金（元）
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+
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+ # 烛台形态检测参数（与研究文件保持一致）
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+ g.hatch_to_body_ratio = 1.2 # 影线与实体长度比率阈值
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+ g.opposite_hatch_ratio = 0.5 # 相反方向影线与实体长度比率阈值
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+ g.historical_days = 365 # 历史数据天数，用于计算平均实体长度阈值（与研究文件保持一致）
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+
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+ # 全局阈值缓存（每月更新一次）
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+ g.monthly_body_threshold_cache = {} # 存储每月计算的实体长度阈值
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+ g.last_threshold_update_month = None # 记录上次更新阈值的月份
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+
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+ # 止损止盈策略参数
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+ g.fixed_stop_loss_rate = 0.01 # 固定止损比率（1%）
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+ g.trailing_stop_thresholds = [0.05, 0.10] # 动态追踪止损触发条件（5%, 10%）
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+ g.trailing_stop_rates = [0.01, 0.02, 0.03] # 动态追踪止损比率（1%, 2%, 3%）
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+
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+ # 两阶段仓位管理参数
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+ g.phase2_loss_threshold = 0.015 # 第二阶段亏损触发阈值（3%）- 当任一方向亏损达到此比例时平仓该方向
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+
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+ # 输出两阶段策略参数
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+ log.info("两阶段仓位管理参数:")
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+ log.info(f" 第一阶段: 同时开立多空头寸（市场中性）")
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+ log.info(f" 第二阶段触发条件: 亏损方达到 {g.phase2_loss_threshold:.1%} 时平仓，保留盈利方")
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+ log.info(f" 第三阶段: 对剩余头寸应用标准止盈止损逻辑")
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+ log.info(f" - 固定止损: {g.fixed_stop_loss_rate:.1%}")
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+ log.info(f" - 动态追踪止损: {g.trailing_stop_rates}")
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+
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+ # 开仓方向配置参数（v002版本已移除方向判断逻辑，保留变量以兼容其他代码）
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+ g.reverse_direction_symbols = [] # v002不再使用方向判断，同时开立多空头寸
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+
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+ # 期货品种完整配置字典
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+ g.futures_config = {
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+ # 贵金属
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+ 'AU': {'has_night_session': True, 'margin_rate': {'long': 0.14, 'short': 0.14}, 'multiplier': 1000},
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+ 'AG': {'has_night_session': True, 'margin_rate': {'long': 0.14, 'short': 0.14}, 'multiplier': 15},
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+
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+ # 有色金属
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+ 'CU': {'has_night_session': True, 'margin_rate': {'long': 0.09, 'short': 0.09}, 'multiplier': 5},
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+ 'AL': {'has_night_session': True, 'margin_rate': {'long': 0.09, 'short': 0.09}, 'multiplier': 5},
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+ 'ZN': {'has_night_session': True, 'margin_rate': {'long': 0.09, 'short': 0.09}, 'multiplier': 5},
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+ 'PB': {'has_night_session': True, 'margin_rate': {'long': 0.09, 'short': 0.09}, 'multiplier': 5},
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+ 'NI': {'has_night_session': True, 'margin_rate': {'long': 0.12, 'short': 0.12}, 'multiplier': 1},
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+ 'SN': {'has_night_session': True, 'margin_rate': {'long': 0.12, 'short': 0.12}, 'multiplier': 1},
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+ 'SS': {'has_night_session': True, 'margin_rate': {'long': 0.07, 'short': 0.07}, 'multiplier': 5},
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+
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+ # 黑色系
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+ 'RB': {'has_night_session': True, 'margin_rate': {'long': 0.07, 'short': 0.07}, 'multiplier': 10},
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+ 'HC': {'has_night_session': True, 'margin_rate': {'long': 0.07, 'short': 0.07}, 'multiplier': 10},
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+ 'I': {'has_night_session': True, 'margin_rate': {'long': 0.1, 'short': 0.1}, 'multiplier': 100},
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+ 'JM': {'has_night_session': True, 'margin_rate': {'long': 0.22, 'short': 0.22}, 'multiplier': 100},
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+ 'J': {'has_night_session': True, 'margin_rate': {'long': 0.22, 'short': 0.22}, 'multiplier': 60},
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+
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+ # 能源化工
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+ 'SP': {'has_night_session': True, 'margin_rate': {'long': 0.1, 'short': 0.1}, 'multiplier': 10},
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+ 'FU': {'has_night_session': True, 'margin_rate': {'long': 0.08, 'short': 0.08}, 'multiplier': 10},
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+ 'BU': {'has_night_session': True, 'margin_rate': {'long': 0.04, 'short': 0.04}, 'multiplier': 10},
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+ 'RU': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 10},
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+ 'BR': {'has_night_session': True, 'margin_rate': {'long': 0.07, 'short': 0.07}, 'multiplier': 5},
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+ 'SC': {'has_night_session': True, 'margin_rate': {'long': 0.12, 'short': 0.12}, 'multiplier': 1000},
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+ 'NR': {'has_night_session': True, 'margin_rate': {'long': 0.13, 'short': 0.13}, 'multiplier': 10},
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+ 'LU': {'has_night_session': True, 'margin_rate': {'long': 0.15, 'short': 0.15}, 'multiplier': 10},
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+ 'LC': {'has_night_session': False, 'margin_rate': {'long': 0.1, 'short': 0.1}, 'multiplier': 1},
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+
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+ # 化工
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+ 'FG': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 20},
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+ 'TA': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 5},
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+ 'MA': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 10},
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+ 'SA': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 20},
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+ 'L': {'has_night_session': True, 'margin_rate': {'long': 0.07, 'short': 0.07}, 'multiplier': 5},
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+ 'V': {'has_night_session': True, 'margin_rate': {'long': 0.07, 'short': 0.07}, 'multiplier': 5},
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+ 'EG': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 10},
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+ 'PP': {'has_night_session': True, 'margin_rate': {'long': 0.07, 'short': 0.07}, 'multiplier': 5},
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+ 'EB': {'has_night_session': True, 'margin_rate': {'long': 0.12, 'short': 0.12}, 'multiplier': 5},
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+ 'PG': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 20},
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+
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+ # 农产品
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+ 'RM': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 10},
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+ 'OI': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 10},
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+ 'CF': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 5},
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+ 'SR': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 10},
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+ 'PF': {'has_night_session': True, 'margin_rate': {'long': 0.1, 'short': 0.1}, 'multiplier': 5},
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+ 'C': {'has_night_session': True, 'margin_rate': {'long': 0.07, 'short': 0.07}, 'multiplier': 10},
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+ 'CS': {'has_night_session': True, 'margin_rate': {'long': 0.07, 'short': 0.07}, 'multiplier': 10},
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+ 'CY': {'has_night_session': True, 'margin_rate': {'long': 0.15, 'short': 0.15}, 'multiplier': 5},
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+ 'A': {'has_night_session': True, 'margin_rate': {'long': 0.07, 'short': 0.07}, 'multiplier': 10},
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+ 'B': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 10},
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+ 'M': {'has_night_session': True, 'margin_rate': {'long': 0.07, 'short': 0.07}, 'multiplier': 10},
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+ 'Y': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 10},
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+ 'P': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 10},
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+
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+ # 无夜盘品种
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+ 'IF': {'has_night_session': False, 'margin_rate': {'long': 0.08, 'short': 0.08}, 'multiplier': 300},
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+ 'IH': {'has_night_session': False, 'margin_rate': {'long': 0.08, 'short': 0.08}, 'multiplier': 300},
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+ 'IC': {'has_night_session': False, 'margin_rate': {'long': 0.08, 'short': 0.08}, 'multiplier': 200},
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+ 'IM': {'has_night_session': False, 'margin_rate': {'long': 0.08, 'short': 0.08}, 'multiplier': 200},
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+ 'AP': {'has_night_session': False, 'margin_rate': {'long': 0.08, 'short': 0.08}, 'multiplier': 10},
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+ 'CJ': {'has_night_session': False, 'margin_rate': {'long': 0.09, 'short': 0.09}, 'multiplier': 5},
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+ 'PK': {'has_night_session': False, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 5},
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+ 'JD': {'has_night_session': False, 'margin_rate': {'long': 0.07, 'short': 0.07}, 'multiplier': 10},
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+ 'LH': {'has_night_session': False, 'margin_rate': {'long': 0.1, 'short': 0.1}, 'multiplier': 16}
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+ }
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+
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+ # 策略品种选择策略配置
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+ # 方案1：全品种策略 - 考虑所有配置的期货品种
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+ # g.strategy_focus_symbols = [] # 空列表表示考虑所有品种
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+
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+ # 方案2：精选品种策略 - 只交易流动性较好的特定品种（如需使用请取消下行注释）
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+ g.strategy_focus_symbols = ['RM', 'CJ', 'CY', 'JD', 'L', 'LC', 'SF', 'SI']
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+
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+ log.info(f"品种选择策略: {'全品种策略（覆盖所有配置品种）' if not g.strategy_focus_symbols else '精选品种策略（' + str(len(g.strategy_focus_symbols)) + '个品种）'}")
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+
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+ # 交易记录和数据存储
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+ g.trade_history = {}
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+ g.candlestick_signals = {} # 存储烛台形态信号
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+ g.daily_data_cache = {} # 存储历史日线数据缓存
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+ g.minute_data_cache = {} # 存储今日分钟数据缓存
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+ g.body_threshold_cache = {} # 存储实体长度阈值缓存
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+
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+ # 保证金比例管理
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+ g.margin_rate_history = {} # 保证金比例变化历史记录
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+ g.today_trades = [] # 当日交易记录
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+
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+ # 定时任务设置
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+ # 每月第1个交易日更新阈值
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+ run_monthly(monthly_update_thresholds, 1, 'before_open', reference_security='IF1808.CCFX')
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+
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+ # 夜盘开始 - 仅止损止盈检查
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+ run_daily(main_trading_stop_only, time='21:05:00', reference_security='IF1808.CCFX')
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+ run_daily(main_trading_stop_only, time='21:35:00', reference_security='IF1808.CCFX')
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+ run_daily(main_trading_stop_only, time='22:05:00', reference_security='IF1808.CCFX')
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+ run_daily(main_trading_stop_only, time='22:35:00', reference_security='IF1808.CCFX')
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+
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+ # 日盘开始 - 仅止损止盈检查
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+ run_daily(main_trading_stop_only, time='09:05:00', reference_security='IF1808.CCFX')
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+ run_daily(main_trading_stop_only, time='09:35:00', reference_security='IF1808.CCFX')
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+ run_daily(main_trading_stop_only, time='10:05:00', reference_security='IF1808.CCFX')
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+ run_daily(main_trading_stop_only, time='10:35:00', reference_security='IF1808.CCFX')
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+ run_daily(main_trading_stop_only, time='11:05:00', reference_security='IF1808.CCFX')
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+ run_daily(main_trading_stop_only, time='11:25:00', reference_security='IF1808.CCFX')
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+ run_daily(main_trading_stop_only, time='13:35:00', reference_security='IF1808.CCFX')
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+ run_daily(main_trading_stop_only, time='14:05:00', reference_security='IF1808.CCFX')
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+
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+ # 收盘前 - 14:55进行完整交易检查，14:35仅止损止盈
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+ run_daily(main_trading_stop_only, time='14:35:00', reference_security='IF1808.CCFX')
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+
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+ # 完整交易检查 - 仅在14:55执行（任务1, 2, 3, 4, 5, 6, 7）
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+ run_daily(main_trading_complete, time='14:55:00', reference_security='IF1808.CCFX')
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+
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+ # 收盘后
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+ run_daily(after_market_close, time='15:30:00', reference_security='IF1808.CCFX')
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+
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+############################ 主程序执行函数 ###################################
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+
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+def monthly_update_thresholds(context):
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+ """每月更新实体长度阈值"""
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+ log.info("=" * 60)
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+ log.info("每月阈值更新开始")
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+ log.info("=" * 60)
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+
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+ current_month = context.current_dt.strftime('%Y-%m')
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+
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+ # 检查是否需要更新
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+ if g.last_threshold_update_month == current_month:
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+ log.info(f"本月阈值已更新，跳过更新")
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+ return
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+
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+ # 获取所有需要计算阈值的品种
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+ focus_symbols = g.strategy_focus_symbols if g.strategy_focus_symbols else list(g.futures_config.keys())
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+
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+ updated_count = 0
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+ for symbol in focus_symbols:
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+ try:
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+ # 获取主力合约
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+ dominant_future = get_dominant_future(symbol)
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+ if not dominant_future:
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+ continue
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+
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+ # 获取365天历史数据
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+ data = attribute_history(dominant_future, g.historical_days, '1d',
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+ ['open', 'close', 'high', 'low', 'volume'],
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+ df=True)
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+
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+ if data is not None and len(data) > 30: # 确保有足够数据
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+ # 计算实体长度阈值
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+ data['body_length'] = abs(data['close'] - data['open'])
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+ body_threshold = data['body_length'].mean()
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+
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+ # 存储到全局阈值缓存
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+ g.monthly_body_threshold_cache[dominant_future] = body_threshold
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+ updated_count += 1
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+
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+ log.info(f"更新 {symbol}({dominant_future}) 实体长度阈值: {body_threshold:.4f}")
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+
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+ except Exception as e:
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+ log.warning(f"更新{symbol}阈值时出错: {str(e)}")
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+ continue
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+
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+ # 更新最后更新月份
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+ g.last_threshold_update_month = current_month
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+
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+ log.info(f"阈值更新完成，共更新 {updated_count} 个品种")
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+ log.info("=" * 60)
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+
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+def main_trading_stop_only(context):
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|
|
+ """仅进行止损止盈检查的交易时段"""
|
|
|
+ # 只进行止损止盈检查
|
|
|
+ task_7_check_stop_loss_profit(context)
|
|
|
+
|
|
|
+def main_trading_complete(context):
|
|
|
+ """14:55 完整交易检查 - 执行任务1, 2, 3, 4, 5, 6, 7"""
|
|
|
+ log.info("=" * 60)
|
|
|
+ log.info("14:55 烛台影线形态反向交易策略 - 完整交易检查")
|
|
|
+ log.info("=" * 60)
|
|
|
+
|
|
|
+ # 任务1: 获取所有可交易品种
|
|
|
+ task_1_get_tradable_futures(context)
|
|
|
+
|
|
|
+ # 任务2: 获取历史数据并处理阈值（包括单独计算缺失阈值）
|
|
|
+ task_2_load_historical_data_and_thresholds(context)
|
|
|
+
|
|
|
+ # 任务3: 获取今日分钟数据
|
|
|
+ task_3_update_realtime_data(context)
|
|
|
+
|
|
|
+ # 任务4: 检测烛台形态
|
|
|
+ task_4_detect_candlestick_patterns(context)
|
|
|
+
|
|
|
+ # 任务5: 检查开仓条件（简化版）
|
|
|
+ filtered_signals = task_5_check_opening_conditions(context)
|
|
|
+
|
|
|
+ # 任务6: 执行交易
|
|
|
+ if filtered_signals:
|
|
|
+ task_6_execute_trades(context, filtered_signals)
|
|
|
+
|
|
|
+ # 任务7: 检查止损止盈
|
|
|
+ task_7_check_stop_loss_profit(context)
|
|
|
+
|
|
|
+ # 任务8: 检查换月移仓
|
|
|
+ task_8_check_position_switch(context)
|
|
|
+
|
|
|
+############################ 核心任务函数 ###################################
|
|
|
+
|
|
|
+def task_1_get_tradable_futures(context):
|
|
|
+ """任务1: 获取所有可交易品种（分白天和晚上）"""
|
|
|
+ log.info("执行任务1: 获取可交易品种")
|
|
|
+
|
|
|
+ current_time = str(context.current_dt.time())[:2]
|
|
|
+
|
|
|
+ # 从策略关注列表中筛选可交易品种
|
|
|
+ focus_symbols = g.strategy_focus_symbols if g.strategy_focus_symbols else list(g.futures_config.keys())
|
|
|
+
|
|
|
+ potential_icon_list = []
|
|
|
+ night_session_symbols = []
|
|
|
+ day_only_symbols = []
|
|
|
+
|
|
|
+ # 预先分类所有品种
|
|
|
+ for symbol in focus_symbols:
|
|
|
+ if get_futures_config(symbol, 'has_night_session', False):
|
|
|
+ night_session_symbols.append(symbol)
|
|
|
+ else:
|
|
|
+ day_only_symbols.append(symbol)
|
|
|
+
|
|
|
+ if current_time in ('21', '22'):
|
|
|
+ # 夜盘时间：只考虑有夜盘的品种
|
|
|
+ potential_icon_list = night_session_symbols[:]
|
|
|
+ log.info(f"夜盘时间，有夜盘交易的品种: {len(night_session_symbols)}个")
|
|
|
+ log.info(f"夜盘可交易品种: {potential_icon_list[:10]}{'...' if len(potential_icon_list) > 10 else ''}") # 显示前10个，避免日志过长
|
|
|
+ else:
|
|
|
+ # 日盘时间：所有品种都可以交易（包括有夜盘的和只有日盘的）
|
|
|
+ potential_icon_list = focus_symbols[:]
|
|
|
+ log.info(f"日盘时间，全部品种: {len(focus_symbols)}个（含夜盘品种: {len(night_session_symbols)}个，日盘专属品种: {len(day_only_symbols)}个）")
|
|
|
+ if day_only_symbols:
|
|
|
+ log.info(f"日盘专属品种: {day_only_symbols}")
|
|
|
+ log.info(f"日盘可交易品种: {potential_icon_list[:10]}{'...' if len(potential_icon_list) > 10 else ''}") # 显示前10个，避免日志过长
|
|
|
+
|
|
|
+ potential_future_list = []
|
|
|
+ for symbol in potential_icon_list:
|
|
|
+ dominant_future = get_dominant_future(symbol)
|
|
|
+ if dominant_future:
|
|
|
+ potential_future_list.append(dominant_future)
|
|
|
+
|
|
|
+ # 过滤掉已有持仓的品种
|
|
|
+ existing_positions = set(g.trade_history.keys())
|
|
|
+ potential_future_list = [f for f in potential_future_list if not check_symbol_prefix_match(f, existing_positions)]
|
|
|
+
|
|
|
+ # 存储到全局变量
|
|
|
+ g.tradable_futures = potential_future_list
|
|
|
+ log.info(f"最终可交易期货品种数量: {len(potential_future_list)}")
|
|
|
+
|
|
|
+ return potential_future_list
|
|
|
+
|
|
|
+def task_2_load_historical_data_and_thresholds(context):
|
|
|
+ """任务2: 获取历史数据并处理阈值（包括单独计算缺失阈值）"""
|
|
|
+ log.info("执行任务2: 加载历史数据并处理阈值")
|
|
|
+
|
|
|
+ if not hasattr(g, 'tradable_futures'):
|
|
|
+ return
|
|
|
+
|
|
|
+ for future_code in g.tradable_futures:
|
|
|
+ try:
|
|
|
+ # 获取30天历史数据（用于分钟数据合并）
|
|
|
+ data = attribute_history(future_code, 30, '1d',
|
|
|
+ ['open', 'close', 'high', 'low', 'volume'],
|
|
|
+ df=True)
|
|
|
+
|
|
|
+ if data is not None and len(data) > 0:
|
|
|
+ # 排除今天的数据
|
|
|
+ today = context.current_dt.date()
|
|
|
+ data = data[data.index.date < today]
|
|
|
+ g.daily_data_cache[future_code] = data
|
|
|
+
|
|
|
+ # 处理阈值：优先使用月度阈值，缺失时单独计算
|
|
|
+ if future_code in g.monthly_body_threshold_cache:
|
|
|
+ # 使用月度阈值缓存
|
|
|
+ body_threshold = g.monthly_body_threshold_cache[future_code]
|
|
|
+ g.body_threshold_cache[future_code] = body_threshold
|
|
|
+ # log.info(f"已缓存 {future_code} 历史数据 {len(data)} 条，使用月度阈值: {body_threshold:.4f}")
|
|
|
+ else:
|
|
|
+ # 单独计算缺失的阈值
|
|
|
+ log.info(f"{future_code} 未找到月度阈值，开始单独计算")
|
|
|
+ body_threshold = calculate_individual_threshold(context, future_code)
|
|
|
+ if body_threshold is not None:
|
|
|
+ g.body_threshold_cache[future_code] = body_threshold
|
|
|
+ log.info(f"已为 {future_code} 单独计算阈值: {body_threshold:.4f}")
|
|
|
+ else:
|
|
|
+ log.warning(f"{future_code} 无法计算阈值，跳过")
|
|
|
+
|
|
|
+ except Exception as e:
|
|
|
+ log.warning(f"加载{future_code}历史数据时出错: {str(e)}")
|
|
|
+ continue
|
|
|
+
|
|
|
+ log.info(f"历史数据缓存完成，共缓存 {len(g.daily_data_cache)} 个品种")
|
|
|
+
|
|
|
+def calculate_individual_threshold(context, future_code):
|
|
|
+ """为单个工具计算实体长度阈值并自动缓存到月度阈值中"""
|
|
|
+ try:
|
|
|
+ log.info(f"为 {future_code} 单独计算365天历史阈值")
|
|
|
+
|
|
|
+ # 获取365天历史数据
|
|
|
+ data = attribute_history(future_code, g.historical_days, '1d',
|
|
|
+ ['open', 'close', 'high', 'low', 'volume'],
|
|
|
+ df=True)
|
|
|
+
|
|
|
+ if data is not None and len(data) > 30: # 确保有足够数据
|
|
|
+ # 排除今天的数据
|
|
|
+ today = context.current_dt.date()
|
|
|
+ data = data[data.index.date < today]
|
|
|
+
|
|
|
+ # 计算实体长度阈值
|
|
|
+ data['body_length'] = abs(data['close'] - data['open'])
|
|
|
+ body_threshold = data['body_length'].mean()
|
|
|
+
|
|
|
+ # 🚀 优化1：将计算结果自动添加到月度阈值缓存中
|
|
|
+ g.monthly_body_threshold_cache[future_code] = body_threshold
|
|
|
+ log.info(f"✅ {future_code} 单独计算完成，阈值: {body_threshold:.4f}，已添加到月度缓存")
|
|
|
+ log.info(f"当前月度缓存包含 {len(g.monthly_body_threshold_cache)} 个品种阈值")
|
|
|
+
|
|
|
+ return body_threshold
|
|
|
+ else:
|
|
|
+ log.warning(f"{future_code} 历史数据不足，无法计算阈值")
|
|
|
+ return None
|
|
|
+
|
|
|
+ except Exception as e:
|
|
|
+ log.warning(f"为 {future_code} 单独计算阈值时出错: {str(e)}")
|
|
|
+ return None
|
|
|
+
|
|
|
+def task_3_update_realtime_data(context):
|
|
|
+ """任务3: 获取今日分钟数据"""
|
|
|
+ # log.info("执行任务3: 更新实时数据")
|
|
|
+
|
|
|
+ # 收集需要更新数据的品种
|
|
|
+ update_symbols = set()
|
|
|
+
|
|
|
+ # 添加可交易品种
|
|
|
+ if hasattr(g, 'tradable_futures') and g.tradable_futures:
|
|
|
+ update_symbols.update(g.tradable_futures)
|
|
|
+
|
|
|
+ # 添加持仓品种（用于止损止盈）- 去掉_long/_short后缀
|
|
|
+ if hasattr(g, 'trade_history') and g.trade_history:
|
|
|
+ for key in g.trade_history.keys():
|
|
|
+ # 去掉可能的_long或_short后缀
|
|
|
+ clean_symbol = key.replace('_long', '').replace('_short', '')
|
|
|
+ update_symbols.add(clean_symbol)
|
|
|
+
|
|
|
+ if not update_symbols:
|
|
|
+ return
|
|
|
+
|
|
|
+ for future_code in update_symbols:
|
|
|
+ try:
|
|
|
+ # 获取今日分钟数据
|
|
|
+ minute_data = get_today_minute_data(context, future_code)
|
|
|
+ if minute_data is None:
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 获取历史数据
|
|
|
+ historical_data = g.daily_data_cache.get(future_code)
|
|
|
+ if historical_data is None:
|
|
|
+ # 为持仓品种临时获取历史数据
|
|
|
+ try:
|
|
|
+ data = attribute_history(future_code, g.historical_days, '1d',
|
|
|
+ ['open', 'close', 'high', 'low', 'volume'],
|
|
|
+ df=True)
|
|
|
+ if data is not None and len(data) > 0:
|
|
|
+ today = context.current_dt.date()
|
|
|
+ data = data[data.index.date < today]
|
|
|
+
|
|
|
+ # 计算实体长度阈值
|
|
|
+ data['body_length'] = abs(data['close'] - data['open'])
|
|
|
+ body_threshold = data['body_length'].mean()
|
|
|
+
|
|
|
+ g.daily_data_cache[future_code] = data
|
|
|
+ g.body_threshold_cache[future_code] = body_threshold
|
|
|
+ historical_data = data
|
|
|
+ log.info(f"为持仓品种 {future_code} 临时获取历史数据 {len(data)} 条")
|
|
|
+ except Exception as e:
|
|
|
+ log.warning(f"获取{future_code}历史数据失败: {str(e)}")
|
|
|
+ continue
|
|
|
+
|
|
|
+ if historical_data is None:
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 将今日数据合并为日线数据
|
|
|
+ today_data = aggregate_minute_to_daily(minute_data)
|
|
|
+ if today_data is not None:
|
|
|
+ # 合并历史数据和今日数据
|
|
|
+ combined_data = pd.concat([historical_data, today_data], sort=False)
|
|
|
+ g.minute_data_cache[future_code] = combined_data
|
|
|
+
|
|
|
+ except Exception as e:
|
|
|
+ log.warning(f"更新{future_code}实时数据时出错: {str(e)}")
|
|
|
+ continue
|
|
|
+
|
|
|
+def task_4_detect_candlestick_patterns(context):
|
|
|
+ """任务4: 检测烛台形态"""
|
|
|
+ # log.info("执行任务4: 检测烛台形态")
|
|
|
+
|
|
|
+ candlestick_signals = []
|
|
|
+
|
|
|
+ # 获取已持仓的品种列表
|
|
|
+ existing_positions = set(g.trade_history.keys())
|
|
|
+
|
|
|
+ for future_code, data in g.minute_data_cache.items():
|
|
|
+ try:
|
|
|
+ # 检查是否已有相似持仓，如果有则跳过分析
|
|
|
+ if check_symbol_prefix_match(future_code, existing_positions):
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 获取实体长度阈值
|
|
|
+ body_threshold = g.body_threshold_cache.get(future_code)
|
|
|
+ if body_threshold is None:
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 检查最新的烛台形态
|
|
|
+ latest_pattern = check_latest_candlestick_pattern(data, future_code, body_threshold)
|
|
|
+ if latest_pattern:
|
|
|
+ candlestick_signals.append(latest_pattern)
|
|
|
+ log.info(f"{future_code} 发现烛台形态: {latest_pattern['hatch_direction']}影线")
|
|
|
+
|
|
|
+ except Exception as e:
|
|
|
+ log.warning(f"检测{future_code}烛台形态时出错: {str(e)}")
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 存储到全局变量
|
|
|
+ g.candlestick_signals = candlestick_signals
|
|
|
+ if len(candlestick_signals) > 0:
|
|
|
+ log.info(f"烛台形态检测完成，发现信号 {len(candlestick_signals)} 个")
|
|
|
+
|
|
|
+ return candlestick_signals
|
|
|
+
|
|
|
+def task_5_check_opening_conditions(context):
|
|
|
+ """任务5: 检查开仓条件（简化版）"""
|
|
|
+ log.info("执行任务5: 检查开仓条件（简化版）")
|
|
|
+
|
|
|
+ if not hasattr(g, 'candlestick_signals') or not g.candlestick_signals:
|
|
|
+ log.info("没有检测到烛台信号")
|
|
|
+ return []
|
|
|
+
|
|
|
+ log.info(f"检测到 {len(g.candlestick_signals)} 个烛台信号，开始筛选")
|
|
|
+
|
|
|
+ filtered_signals = []
|
|
|
+
|
|
|
+ for i, signal in enumerate(g.candlestick_signals):
|
|
|
+ log.info(f"处理信号 {i+1}: {signal['symbol']} {signal['hatch_direction']}影线")
|
|
|
+
|
|
|
+ # 仅检查是否已有相似持仓（避免重复开仓同一品种）
|
|
|
+ if check_symbol_prefix_match(signal['symbol'], set(g.trade_history.keys())):
|
|
|
+ log.info(f"{signal['symbol']} 已有相似持仓，跳过")
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 简化版：只要形态满足条件就接受，无额外验证
|
|
|
+ filtered_signals.append(signal)
|
|
|
+ log.info(f"{signal['symbol']} 烛台形态满足条件，接受交易信号")
|
|
|
+
|
|
|
+ log.info(f"开仓条件检查完成，满足条件 {len(filtered_signals)} 个")
|
|
|
+ return filtered_signals
|
|
|
+
|
|
|
+def task_6_execute_trades(context, filtered_signals):
|
|
|
+ """任务6: 执行交易（两阶段策略版 - 同时开立多空头寸）"""
|
|
|
+ log.info("执行任务6: 执行交易（两阶段策略版）")
|
|
|
+
|
|
|
+ if not filtered_signals:
|
|
|
+ log.info("没有满足条件的交易信号")
|
|
|
+ return
|
|
|
+
|
|
|
+ log.info(f"开始执行 {len(filtered_signals)} 个交易信号")
|
|
|
+
|
|
|
+ for i, signal in enumerate(filtered_signals):
|
|
|
+ symbol = signal['symbol']
|
|
|
+ log.info(f"执行交易 {i+1}: {symbol} {signal['hatch_direction']}影线形态")
|
|
|
+ log.info(f"{symbol} 第一阶段: 同时开立多空头寸（市场中性）")
|
|
|
+
|
|
|
+ try:
|
|
|
+ # 计算目标手数（使用long方向计算，多空手数相同）
|
|
|
+ target_hands = calculate_target_hands(context, symbol, 'long')
|
|
|
+ log.info(f"计算目标手数: {symbol} 多空各 {target_hands} 手")
|
|
|
+
|
|
|
+ if target_hands > 0:
|
|
|
+ # 同时开立多头和空头头寸
|
|
|
+ log.info(f"开始同时下单: {symbol} 多头 {target_hands}手 + 空头 {target_hands}手")
|
|
|
+ success = open_dual_position(context, symbol, target_hands, signal)
|
|
|
+
|
|
|
+ if success:
|
|
|
+ log.info(f"✅ 成功开立双向头寸 {symbol}, 多空各 {target_hands} 手（第一阶段）")
|
|
|
+ else:
|
|
|
+ log.warning(f"❌ 双向开仓失败 {symbol}")
|
|
|
+ else:
|
|
|
+ log.warning(f"{symbol} 计算目标手数为0，跳过")
|
|
|
+ except Exception as e:
|
|
|
+ log.warning(f"{symbol} 交易执行出错: {str(e)}")
|
|
|
+ continue
|
|
|
+
|
|
|
+ log.info("交易执行完成")
|
|
|
+
|
|
|
+def task_8_check_position_switch(context):
|
|
|
+ """任务8: 检查换月移仓"""
|
|
|
+ # log.info("执行任务8: 检查换月移仓")
|
|
|
+
|
|
|
+ switch_result = position_auto_switch(context)
|
|
|
+ if switch_result:
|
|
|
+ log.info(f"执行了 {len(switch_result)} 次移仓换月")
|
|
|
+ for result in switch_result:
|
|
|
+ log.info(f"移仓: {result['before']} -> {result['after']}")
|
|
|
+
|
|
|
+def task_7_check_stop_loss_profit(context):
|
|
|
+ """任务7: 检查止损止盈（带交易时间验证）"""
|
|
|
+ # log.info("执行任务7: 检查止损止盈")
|
|
|
+
|
|
|
+ # 获取当前时间
|
|
|
+ current_time = context.current_dt.strftime('%H:%M')
|
|
|
+ current_hour = int(current_time[:2])
|
|
|
+
|
|
|
+ # 判断是否为夜盘时间（21:00-23:00 和 00:00-02:30）
|
|
|
+ is_night_session = (current_hour >= 21) or (current_hour <= 2)
|
|
|
+
|
|
|
+ # 遍历所有持仓进行止损止盈检查
|
|
|
+ subportfolio = context.subportfolios[0]
|
|
|
+ long_positions = list(subportfolio.long_positions.values())
|
|
|
+ short_positions = list(subportfolio.short_positions.values())
|
|
|
+
|
|
|
+ closed_count = 0
|
|
|
+ skipped_count = 0
|
|
|
+
|
|
|
+ for position in long_positions + short_positions:
|
|
|
+ security = position.security
|
|
|
+ underlying_symbol = security.split('.')[0][:-4]
|
|
|
+
|
|
|
+ # 检查交易时间适配性
|
|
|
+ has_night_session = get_futures_config(underlying_symbol, 'has_night_session', False)
|
|
|
+
|
|
|
+ # 如果是夜盘时间，但品种不支持夜盘交易，则跳过
|
|
|
+ if is_night_session and not has_night_session:
|
|
|
+ skipped_count += 1
|
|
|
+ # log.info(f"跳过夜盘时间的日间品种: {underlying_symbol} ({current_time})")
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 执行止损止盈检查
|
|
|
+ if check_stop_loss_profit(context, position):
|
|
|
+ closed_count += 1
|
|
|
+
|
|
|
+ if closed_count > 0:
|
|
|
+ log.info(f"执行了 {closed_count} 次止损止盈")
|
|
|
+
|
|
|
+ if skipped_count > 0:
|
|
|
+ log.info(f"夜盘时间跳过 {skipped_count} 个日间品种的止损止盈检查")
|
|
|
+
|
|
|
+############################ 数据处理辅助函数 ###################################
|
|
|
+
|
|
|
+def check_has_night_session(underlying_symbol):
|
|
|
+ """检查品种是否有夜盘"""
|
|
|
+ return get_futures_config(underlying_symbol, 'has_night_session', False)
|
|
|
+
|
|
|
+def get_today_minute_data(context, future_code):
|
|
|
+ """获取今日分钟数据"""
|
|
|
+ try:
|
|
|
+ # 判断该品种是否有夜盘
|
|
|
+ underlying_symbol = future_code.split('.')[0][:-4]
|
|
|
+ has_night_session = check_has_night_session(underlying_symbol)
|
|
|
+
|
|
|
+ end_time = context.current_dt
|
|
|
+
|
|
|
+ # 获取足够的历史分钟数据
|
|
|
+ minute_data = attribute_history(future_code,
|
|
|
+ count=800, # 获取足够多的数据
|
|
|
+ unit='1m',
|
|
|
+ fields=['open', 'close', 'high', 'low', 'volume'],
|
|
|
+ df=True)
|
|
|
+
|
|
|
+ if minute_data is None or len(minute_data) == 0:
|
|
|
+ return None
|
|
|
+
|
|
|
+ # 提取所有日期（年月日维度）
|
|
|
+ minute_data['date'] = minute_data.index.date
|
|
|
+ unique_dates = sorted(minute_data['date'].unique())
|
|
|
+
|
|
|
+ if has_night_session:
|
|
|
+ # 有夜盘的品种：需要找到前一交易日的21:00作为今日开盘起点
|
|
|
+ today_date = end_time.date()
|
|
|
+
|
|
|
+ # 找到今天之前的最后一个交易日
|
|
|
+ previous_trading_dates = [d for d in unique_dates if d < today_date]
|
|
|
+ if not previous_trading_dates:
|
|
|
+ return minute_data
|
|
|
+
|
|
|
+ previous_trading_date = max(previous_trading_dates)
|
|
|
+
|
|
|
+ # 找到前一交易日21:00:00的数据作为开盘起点
|
|
|
+ previous_day_data = minute_data[minute_data['date'] == previous_trading_date]
|
|
|
+ night_21_data = previous_day_data[previous_day_data.index.hour == 21]
|
|
|
+
|
|
|
+ if len(night_21_data) > 0:
|
|
|
+ # 从前一交易日21:00开始的所有数据
|
|
|
+ start_time = night_21_data.index[0] # 21:00:00的时间点
|
|
|
+ filtered_data = minute_data[minute_data.index >= start_time]
|
|
|
+ return filtered_data.drop(columns=['date'])
|
|
|
+ else:
|
|
|
+ # 备选方案：使用今天9:00开始的数据
|
|
|
+ today_data = minute_data[minute_data['date'] == today_date]
|
|
|
+ day_9_data = today_data[today_data.index.hour >= 9]
|
|
|
+ if len(day_9_data) > 0:
|
|
|
+ return day_9_data.drop(columns=['date'])
|
|
|
+ else:
|
|
|
+ return minute_data.drop(columns=['date'])
|
|
|
+ else:
|
|
|
+ # 没有夜盘的品种：从今天9:00:00开始
|
|
|
+ today_date = end_time.date()
|
|
|
+ today_data = minute_data[minute_data['date'] == today_date]
|
|
|
+
|
|
|
+ # 找到今天9:00:00开始的数据
|
|
|
+ day_9_data = today_data[today_data.index.hour >= 9]
|
|
|
+
|
|
|
+ if len(day_9_data) > 0:
|
|
|
+ return day_9_data.drop(columns=['date'])
|
|
|
+ else:
|
|
|
+ return today_data.drop(columns=['date']) if len(today_data) > 0 else minute_data.drop(columns=['date'])
|
|
|
+
|
|
|
+ except Exception as e:
|
|
|
+ log.warning(f"获取{future_code}今日分钟数据时出错: {str(e)}")
|
|
|
+
|
|
|
+ return None
|
|
|
+
|
|
|
+def aggregate_minute_to_daily(minute_data):
|
|
|
+ """将分钟数据聚合为日数据"""
|
|
|
+ try:
|
|
|
+ if minute_data is None or len(minute_data) == 0:
|
|
|
+ return None
|
|
|
+
|
|
|
+ # 获取今日日期（使用最后一条数据的日期作为今日日期）
|
|
|
+ today_date = minute_data.index[-1].date()
|
|
|
+
|
|
|
+ # 聚合为日数据
|
|
|
+ daily_data = pd.DataFrame({
|
|
|
+ 'open': [minute_data['open'].iloc[0]], # 今日交易开始时的开盘价
|
|
|
+ 'close': [minute_data['close'].iloc[-1]], # 当前收盘价，实时更新
|
|
|
+ 'high': [minute_data['high'].max()],
|
|
|
+ 'low': [minute_data['low'].min()],
|
|
|
+ 'volume': [minute_data['volume'].sum()]
|
|
|
+ }, index=[pd.Timestamp(today_date)])
|
|
|
+
|
|
|
+ return daily_data
|
|
|
+
|
|
|
+ except Exception as e:
|
|
|
+ log.warning(f"聚合分钟数据时出错: {str(e)}")
|
|
|
+ return None
|
|
|
+
|
|
|
+def check_latest_candlestick_pattern(data, future_code, body_threshold):
|
|
|
+ """检查最新的烛台形态"""
|
|
|
+ if len(data) < 1:
|
|
|
+ return None
|
|
|
+
|
|
|
+ # 获取最新一天的数据
|
|
|
+ today = data.iloc[-1]
|
|
|
+
|
|
|
+ # 检查烛台形态
|
|
|
+ pattern_result = check_candlestick_pattern_single_day(today, body_threshold)
|
|
|
+ if not pattern_result:
|
|
|
+ return None
|
|
|
+
|
|
|
+ return {
|
|
|
+ 'symbol': future_code,
|
|
|
+ 'date': today.name,
|
|
|
+ 'hatch_direction': pattern_result['hatch_direction'],
|
|
|
+ 'open': today['open'],
|
|
|
+ 'close': today['close'],
|
|
|
+ 'high': today['high'],
|
|
|
+ 'low': today['low'],
|
|
|
+ 'body_length': pattern_result['body_length'],
|
|
|
+ 'hatch_length': pattern_result['hatch_length']
|
|
|
+ }
|
|
|
+
|
|
|
+def check_candlestick_pattern_single_day(row, body_threshold):
|
|
|
+ """检查单日烛台形态是否符合影线条件"""
|
|
|
+ open_price = row['open']
|
|
|
+ close_price = row['close']
|
|
|
+ high_price = row['high']
|
|
|
+ low_price = row['low']
|
|
|
+
|
|
|
+ # 计算实体长度
|
|
|
+ body_length = abs(close_price - open_price)
|
|
|
+
|
|
|
+ # 检查实体长度是否满足阈值
|
|
|
+ if body_length < body_threshold:
|
|
|
+ return None
|
|
|
+
|
|
|
+ # 计算影线长度
|
|
|
+ upper_hatch = high_price - max(open_price, close_price)
|
|
|
+ lower_hatch = min(open_price, close_price) - low_price
|
|
|
+
|
|
|
+ # 检查影线条件
|
|
|
+ hatch_direction = None
|
|
|
+ hatch_length = 0
|
|
|
+
|
|
|
+ # 检查上影线条件：上影线长度符合要求 且 下影线长度小于实体长度的一半
|
|
|
+ if (upper_hatch >= g.hatch_to_body_ratio * body_length and
|
|
|
+ lower_hatch < g.opposite_hatch_ratio * body_length):
|
|
|
+ hatch_direction = 'up'
|
|
|
+ hatch_length = upper_hatch
|
|
|
+ # 检查下影线条件：下影线长度符合要求 且 上影线长度小于实体长度的一半
|
|
|
+ elif (lower_hatch >= g.hatch_to_body_ratio * body_length and
|
|
|
+ upper_hatch < g.opposite_hatch_ratio * body_length):
|
|
|
+ hatch_direction = 'down'
|
|
|
+ hatch_length = lower_hatch
|
|
|
+
|
|
|
+ # 如果满足影线条件，返回形态信息
|
|
|
+ if hatch_direction is not None:
|
|
|
+ return {
|
|
|
+ 'hatch_direction': hatch_direction,
|
|
|
+ 'body_length': body_length,
|
|
|
+ 'hatch_length': hatch_length
|
|
|
+ }
|
|
|
+
|
|
|
+ return None
|
|
|
+
|
|
|
+############################ 动态保证金率调整函数 ###################################
|
|
|
+
|
|
|
+def detect_and_update_margin_rates(context, symbol, actual_hands, cash_change, direction):
|
|
|
+ """
|
|
|
+ 检测并更新保证金率配置
|
|
|
+
|
|
|
+ 参数:
|
|
|
+ symbol: 期货合约代码
|
|
|
+ actual_hands: 实际成交手数
|
|
|
+ cash_change: 实际资金变化（保证金使用）
|
|
|
+ direction: 交易方向
|
|
|
+ """
|
|
|
+ try:
|
|
|
+ underlying_symbol = symbol.split('.')[0][:-4]
|
|
|
+
|
|
|
+ if underlying_symbol not in g.futures_config:
|
|
|
+ return
|
|
|
+
|
|
|
+ current_price = get_current_data()[symbol].last_price
|
|
|
+ multiplier = get_multiplier(underlying_symbol)
|
|
|
+
|
|
|
+ # 计算实际保证金率
|
|
|
+ contract_value = current_price * multiplier * actual_hands
|
|
|
+ actual_margin_rate = cash_change / contract_value if contract_value > 0 else 0
|
|
|
+
|
|
|
+ # 获取配置中的保证金率
|
|
|
+ config_margin_rate = g.futures_config[underlying_symbol]['margin_rate'][direction]
|
|
|
+
|
|
|
+ # 计算差异百分比
|
|
|
+ rate_diff_percentage = abs(actual_margin_rate - config_margin_rate) / config_margin_rate * 100 if config_margin_rate > 0 else 100
|
|
|
+
|
|
|
+ # 如果差异超过10%，更新配置
|
|
|
+ if rate_diff_percentage > 10:
|
|
|
+ log.info(f"🔍 检测到{underlying_symbol}保证金率差异: 配置={config_margin_rate:.3f}, 实际={actual_margin_rate:.3f}, 差异={rate_diff_percentage:.1f}%")
|
|
|
+
|
|
|
+ # 更新配置
|
|
|
+ g.futures_config[underlying_symbol]['margin_rate'][direction] = actual_margin_rate
|
|
|
+
|
|
|
+ # 如果是双向更新（多空保证金率通常相同）
|
|
|
+ if g.futures_config[underlying_symbol]['margin_rate']['long'] == g.futures_config[underlying_symbol]['margin_rate']['short']:
|
|
|
+ g.futures_config[underlying_symbol]['margin_rate']['long'] = actual_margin_rate
|
|
|
+ g.futures_config[underlying_symbol]['margin_rate']['short'] = actual_margin_rate
|
|
|
+ log.info(f"✅ 已更新{underlying_symbol}保证金率为 {actual_margin_rate:.3f} (双向)")
|
|
|
+ else:
|
|
|
+ log.info(f"✅ 已更新{underlying_symbol} {direction}保证金率为 {actual_margin_rate:.3f}")
|
|
|
+
|
|
|
+ except Exception as e:
|
|
|
+ log.warning(f"检测保证金率时出错 {symbol}: {str(e)}")
|
|
|
+
|
|
|
+############################ 机会性仓位调整函数 ###################################
|
|
|
+
|
|
|
+def opportunistic_position_increase(context, symbol, direction, signal):
|
|
|
+ """
|
|
|
+ 机会性仓位调整：在保证金使用量低于限制时自动增加仓位
|
|
|
+
|
|
|
+ 参数:
|
|
|
+ symbol: 期货合约代码
|
|
|
+ direction: 交易方向
|
|
|
+ signal: 交易信号
|
|
|
+ """
|
|
|
+ try:
|
|
|
+ if symbol not in g.trade_history:
|
|
|
+ return False
|
|
|
+
|
|
|
+ underlying_symbol = symbol.split('.')[0][:-4]
|
|
|
+ current_price = get_current_data()[symbol].last_price
|
|
|
+ margin_rate = get_margin_rate(underlying_symbol, direction)
|
|
|
+ multiplier = get_multiplier(underlying_symbol)
|
|
|
+
|
|
|
+ # 获取当前持仓信息
|
|
|
+ current_actual_margin = g.trade_history[symbol]['actual_margin']
|
|
|
+ current_hands = g.trade_history[symbol]['actual_hands']
|
|
|
+
|
|
|
+ # 计算剩余保证金容量
|
|
|
+ max_margin = g.max_margin_per_position
|
|
|
+ remaining_margin_capacity = max_margin - current_actual_margin
|
|
|
+
|
|
|
+ # 检查是否有足够的剩余容量增加至少1手
|
|
|
+ single_hand_margin = current_price * multiplier * margin_rate
|
|
|
+
|
|
|
+ if remaining_margin_capacity >= single_hand_margin:
|
|
|
+ # 计算可以增加的最大手数
|
|
|
+ additional_hands = int(remaining_margin_capacity / single_hand_margin)
|
|
|
+
|
|
|
+ # 同时考虑可用资金限制
|
|
|
+ available_cash = context.portfolio.available_cash * g.usage_percentage
|
|
|
+ max_hands_by_cash = int(available_cash / single_hand_margin)
|
|
|
+
|
|
|
+ # 取较小值
|
|
|
+ additional_hands = min(additional_hands, max_hands_by_cash)
|
|
|
+
|
|
|
+ if additional_hands >= 1:
|
|
|
+ log.info(f"🚀 机会性增仓机会: {symbol} 当前{current_hands}手(保证金:{current_actual_margin:.0f}), 可增加{additional_hands}手")
|
|
|
+
|
|
|
+ # 计算新的目标手数
|
|
|
+ new_target_hands = current_hands + additional_hands
|
|
|
+
|
|
|
+ # 执行增仓
|
|
|
+ order = order_target(symbol, new_target_hands, side=direction)
|
|
|
+
|
|
|
+ if order and order.filled > 0:
|
|
|
+ # 计算实际增仓使用的保证金
|
|
|
+ cash_after = context.portfolio.available_cash
|
|
|
+ additional_margin_used = order.filled * single_hand_margin # 估算使用的保证金
|
|
|
+
|
|
|
+ # 更新交易记录
|
|
|
+ new_total_hands = current_hands + order.filled
|
|
|
+ new_total_margin = current_actual_margin + additional_margin_used
|
|
|
+
|
|
|
+ g.trade_history[symbol]['actual_hands'] = new_total_hands
|
|
|
+ g.trade_history[symbol]['target_hands'] = new_target_hands
|
|
|
+ g.trade_history[symbol]['actual_margin'] = new_total_margin
|
|
|
+
|
|
|
+ log.info(f"✅ 成功增仓 {symbol} {order.filled}手, 总手数: {new_total_hands}手, 总保证金: {new_total_margin:.0f}")
|
|
|
+
|
|
|
+ # 记录增仓交易
|
|
|
+ g.today_trades.append({
|
|
|
+ 'security': symbol,
|
|
|
+ 'underlying_symbol': underlying_symbol,
|
|
|
+ 'direction': direction,
|
|
|
+ 'order_amount': order.filled,
|
|
|
+ 'order_price': order.avg_cost if order.avg_cost else order.price,
|
|
|
+ 'cash_change': additional_margin_used,
|
|
|
+ 'time': context.current_dt,
|
|
|
+ 'trade_type': 'increase' # 标记为增仓
|
|
|
+ })
|
|
|
+
|
|
|
+ return True
|
|
|
+
|
|
|
+ return False
|
|
|
+
|
|
|
+ except Exception as e:
|
|
|
+ log.warning(f"机会性增仓时出错 {symbol}: {str(e)}")
|
|
|
+ return False
|
|
|
+
|
|
|
+############################ 交易执行函数 ###################################
|
|
|
+
|
|
|
+def open_dual_position(context, security, target_hands, signal):
|
|
|
+ """同时开立多空头寸（第一阶段）"""
|
|
|
+ try:
|
|
|
+ underlying_symbol = security.split('.')[0][:-4]
|
|
|
+
|
|
|
+ # 记录交易前的可用资金
|
|
|
+ cash_before = context.portfolio.available_cash
|
|
|
+
|
|
|
+ # 先开多头
|
|
|
+ log.info(f"开立多头头寸: {security} {target_hands}手")
|
|
|
+ order_long = order_target(security, target_hands, side='long')
|
|
|
+
|
|
|
+ if order_long is None or order_long.filled == 0:
|
|
|
+ log.warning(f"多头开仓失败: {security}")
|
|
|
+ return False
|
|
|
+
|
|
|
+ # 记录多头开仓后的资金
|
|
|
+ cash_after_long = context.portfolio.available_cash
|
|
|
+ cash_change_long = cash_before - cash_after_long
|
|
|
+
|
|
|
+ # 再开空头
|
|
|
+ log.info(f"开立空头头寸: {security} {target_hands}手")
|
|
|
+ order_short = order_target(security, target_hands, side='short')
|
|
|
+
|
|
|
+ if order_short is None or order_short.filled == 0:
|
|
|
+ log.warning(f"空头开仓失败: {security}，需要平掉多头")
|
|
|
+ # 如果空头开仓失败，平掉已开的多头
|
|
|
+ close_position(context, security, 'long')
|
|
|
+ return False
|
|
|
+
|
|
|
+ # 记录空头开仓后的资金
|
|
|
+ cash_after_short = context.portfolio.available_cash
|
|
|
+ cash_change_short = cash_after_long - cash_after_short
|
|
|
+
|
|
|
+ # 获取订单价格和数量
|
|
|
+ long_price = order_long.avg_cost if order_long.avg_cost else order_long.price
|
|
|
+ short_price = order_short.avg_cost if order_short.avg_cost else order_short.price
|
|
|
+ long_amount = order_long.filled
|
|
|
+ short_amount = order_short.filled
|
|
|
+
|
|
|
+ # 记录当日交易
|
|
|
+ g.today_trades.append({
|
|
|
+ 'security': security,
|
|
|
+ 'underlying_symbol': underlying_symbol,
|
|
|
+ 'direction': 'long',
|
|
|
+ 'order_amount': long_amount,
|
|
|
+ 'order_price': long_price,
|
|
|
+ 'cash_change': cash_change_long,
|
|
|
+ 'time': context.current_dt,
|
|
|
+ 'phase': 1
|
|
|
+ })
|
|
|
+
|
|
|
+ g.today_trades.append({
|
|
|
+ 'security': security,
|
|
|
+ 'underlying_symbol': underlying_symbol,
|
|
|
+ 'direction': 'short',
|
|
|
+ 'order_amount': short_amount,
|
|
|
+ 'order_price': short_price,
|
|
|
+ 'cash_change': cash_change_short,
|
|
|
+ 'time': context.current_dt,
|
|
|
+ 'phase': 1
|
|
|
+ })
|
|
|
+
|
|
|
+ # 生成唯一的配对ID
|
|
|
+ pair_id = f"{security}_{context.current_dt.strftime('%Y%m%d_%H%M%S')}"
|
|
|
+
|
|
|
+ # 记录多头交易信息
|
|
|
+ long_key = f"{security}_long"
|
|
|
+ g.trade_history[long_key] = {
|
|
|
+ 'entry_price': long_price,
|
|
|
+ 'target_hands': target_hands,
|
|
|
+ 'actual_hands': long_amount,
|
|
|
+ 'actual_margin': cash_change_long,
|
|
|
+ 'direction': 'long',
|
|
|
+ 'entry_time': context.current_dt,
|
|
|
+ 'signal_info': signal,
|
|
|
+ 'max_profit': 0.0,
|
|
|
+ 'max_profit_price': long_price,
|
|
|
+ 'phase': 1, # 第一阶段：双向持仓
|
|
|
+ 'pair_id': pair_id, # 配对ID
|
|
|
+ 'paired_position': f"{security}_short" # 配对的另一方
|
|
|
+ }
|
|
|
+
|
|
|
+ # 记录空头交易信息
|
|
|
+ short_key = f"{security}_short"
|
|
|
+ g.trade_history[short_key] = {
|
|
|
+ 'entry_price': short_price,
|
|
|
+ 'target_hands': target_hands,
|
|
|
+ 'actual_hands': short_amount,
|
|
|
+ 'actual_margin': cash_change_short,
|
|
|
+ 'direction': 'short',
|
|
|
+ 'entry_time': context.current_dt,
|
|
|
+ 'signal_info': signal,
|
|
|
+ 'max_profit': 0.0,
|
|
|
+ 'max_profit_price': short_price,
|
|
|
+ 'phase': 1, # 第一阶段：双向持仓
|
|
|
+ 'pair_id': pair_id, # 配对ID
|
|
|
+ 'paired_position': f"{security}_long" # 配对的另一方
|
|
|
+ }
|
|
|
+
|
|
|
+ log.info(f"成功开立双向头寸 - 多头: {long_amount}手@{long_price:.2f}(保证金:{cash_change_long:.0f}), "
|
|
|
+ f"空头: {short_amount}手@{short_price:.2f}(保证金:{cash_change_short:.0f})")
|
|
|
+
|
|
|
+ return True
|
|
|
+
|
|
|
+ except Exception as e:
|
|
|
+ log.warning(f"双向开仓失败 {security}: {str(e)}")
|
|
|
+ return False
|
|
|
+
|
|
|
+def open_position(context, security, target_hands, direction, signal):
|
|
|
+ """开仓（优化版：使用order_target按手数开仓）"""
|
|
|
+ try:
|
|
|
+ # 记录交易前的可用资金
|
|
|
+ cash_before = context.portfolio.available_cash
|
|
|
+
|
|
|
+ # 使用order_target按手数开仓，自动处理持仓差额
|
|
|
+ order = order_target(security, target_hands, side=direction)
|
|
|
+
|
|
|
+ if order is not None and order.filled > 0:
|
|
|
+ # 记录交易后的可用资金
|
|
|
+ cash_after = context.portfolio.available_cash
|
|
|
+
|
|
|
+ # 计算实际资金变化
|
|
|
+ cash_change = cash_before - cash_after
|
|
|
+
|
|
|
+ # 获取订单价格和数量
|
|
|
+ order_price = order.avg_cost if order.avg_cost else order.price
|
|
|
+ order_amount = order.filled
|
|
|
+
|
|
|
+ # 记录当日交易
|
|
|
+ underlying_symbol = security.split('.')[0][:-4]
|
|
|
+ g.today_trades.append({
|
|
|
+ 'security': security,
|
|
|
+ 'underlying_symbol': underlying_symbol,
|
|
|
+ 'direction': direction,
|
|
|
+ 'order_amount': order_amount,
|
|
|
+ 'order_price': order_price,
|
|
|
+ 'cash_change': cash_change,
|
|
|
+ 'time': context.current_dt
|
|
|
+ })
|
|
|
+
|
|
|
+ # 记录交易信息，包含止损止盈相关信息
|
|
|
+ g.trade_history[security] = {
|
|
|
+ 'entry_price': order_price,
|
|
|
+ 'target_hands': target_hands,
|
|
|
+ 'actual_hands': order_amount,
|
|
|
+ 'actual_margin': cash_change,
|
|
|
+ 'direction': direction,
|
|
|
+ 'entry_time': context.current_dt,
|
|
|
+ 'signal_info': signal,
|
|
|
+ 'max_profit': 0.0, # 初始化最大利润
|
|
|
+ 'max_profit_price': order_price # 记录最大利润时的价格
|
|
|
+ }
|
|
|
+
|
|
|
+ # 🚀 优化2：动态保证金率调整
|
|
|
+ detect_and_update_margin_rates(context, security, order_amount, cash_change, direction)
|
|
|
+
|
|
|
+ # 🚀 优化3：机会性仓位调整
|
|
|
+ opportunistic_position_increase(context, security, direction, signal)
|
|
|
+
|
|
|
+ return True
|
|
|
+
|
|
|
+ except Exception as e:
|
|
|
+ log.warning(f"开仓失败 {security}: {str(e)}")
|
|
|
+
|
|
|
+ return False
|
|
|
+
|
|
|
+def close_position(context, security, direction):
|
|
|
+ """平仓（优化版：使用order_target平仓到0手）"""
|
|
|
+ try:
|
|
|
+ # 使用order_target平仓到0手，自动处理持仓清零
|
|
|
+ order = order_target(security, 0, side=direction)
|
|
|
+
|
|
|
+ if order is not None and order.filled > 0:
|
|
|
+ underlying_symbol = security.split('.')[0][:-4]
|
|
|
+
|
|
|
+ # 记录当日交易（平仓）
|
|
|
+ g.today_trades.append({
|
|
|
+ 'security': security,
|
|
|
+ 'underlying_symbol': underlying_symbol,
|
|
|
+ 'direction': direction,
|
|
|
+ 'order_amount': -order.filled, # 负数表示平仓
|
|
|
+ 'order_price': order.avg_cost if order.avg_cost else order.price,
|
|
|
+ 'cash_change': 0, # 平仓不计算保证金变化
|
|
|
+ 'time': context.current_dt
|
|
|
+ })
|
|
|
+
|
|
|
+ log.info(f"平仓成功 - 品种: {underlying_symbol}, 平仓手数: {order.filled}")
|
|
|
+
|
|
|
+ # 从交易历史中移除
|
|
|
+ if security in g.trade_history:
|
|
|
+ del g.trade_history[security]
|
|
|
+ return True
|
|
|
+
|
|
|
+ except Exception as e:
|
|
|
+ log.warning(f"平仓失败 {security}: {str(e)}")
|
|
|
+
|
|
|
+ return False
|
|
|
+
|
|
|
+def check_stop_loss_profit(context, position):
|
|
|
+ """检查止损止盈（支持两阶段策略）"""
|
|
|
+ security = position.security
|
|
|
+
|
|
|
+ # 尝试匹配trade_history中的key（可能是原始security或带_long/_short后缀的）
|
|
|
+ trade_key = None
|
|
|
+ if security in g.trade_history:
|
|
|
+ trade_key = security
|
|
|
+ else:
|
|
|
+ # 检查是否有带方向后缀的key
|
|
|
+ for key in g.trade_history.keys():
|
|
|
+ if key.startswith(security + '_'):
|
|
|
+ if g.trade_history[key]['direction'] == position.side:
|
|
|
+ trade_key = key
|
|
|
+ break
|
|
|
+
|
|
|
+ if trade_key is None:
|
|
|
+ return False
|
|
|
+
|
|
|
+ trade_info = g.trade_history[trade_key]
|
|
|
+ direction = trade_info['direction']
|
|
|
+ entry_price = trade_info['entry_price']
|
|
|
+ current_price = position.price
|
|
|
+ phase = trade_info.get('phase', 3) # 默认第三阶段（兼容旧数据）
|
|
|
+
|
|
|
+ # 计算当前盈亏比率
|
|
|
+ if direction == 'long':
|
|
|
+ profit_rate = (current_price - entry_price) / entry_price
|
|
|
+ else:
|
|
|
+ profit_rate = (entry_price - current_price) / entry_price
|
|
|
+
|
|
|
+ # 更新最大利润记录
|
|
|
+ if profit_rate > trade_info['max_profit']:
|
|
|
+ trade_info['max_profit'] = profit_rate
|
|
|
+ trade_info['max_profit_price'] = current_price
|
|
|
+ g.trade_history[trade_key] = trade_info
|
|
|
+
|
|
|
+ # 第一阶段：双向持仓，检查是否有一方亏损达到阈值
|
|
|
+ if phase == 1:
|
|
|
+ # 只有亏损达到阈值才平仓
|
|
|
+ if profit_rate <= -g.phase2_loss_threshold:
|
|
|
+ log.info(f"【第二阶段触发】{security} {direction} 亏损达到阈值")
|
|
|
+ log.info(f"亏损率: {profit_rate:.3%}, 触发阈值: {-g.phase2_loss_threshold:.3%}, 成本价: {entry_price:.2f}, 当前价格: {current_price:.2f}")
|
|
|
+
|
|
|
+ # 平仓亏损方向
|
|
|
+ close_position(context, security, direction)
|
|
|
+
|
|
|
+ # 更新配对的另一方进入第三阶段
|
|
|
+ paired_key = trade_info.get('paired_position')
|
|
|
+ if paired_key and paired_key in g.trade_history:
|
|
|
+ g.trade_history[paired_key]['phase'] = 3
|
|
|
+ log.info(f"【进入第三阶段】{paired_key} 继续持有，应用标准止盈止损逻辑")
|
|
|
+
|
|
|
+ return True
|
|
|
+
|
|
|
+ # 第一阶段不进行其他止损止盈检查
|
|
|
+ return False
|
|
|
+
|
|
|
+ # 第三阶段：单向持仓，应用原有的标准止盈止损逻辑
|
|
|
+ # 检查固定止损
|
|
|
+ if profit_rate <= -g.fixed_stop_loss_rate:
|
|
|
+ log.info(f"【第三阶段】触发固定止损 {security} {direction}, 当前亏损率: {profit_rate:.3%}, 成本价: {entry_price:.2f}, 当前价格: {current_price:.2f}")
|
|
|
+ close_position(context, security, direction)
|
|
|
+ return True
|
|
|
+
|
|
|
+ # 检查动态追踪止盈
|
|
|
+ max_profit = trade_info['max_profit']
|
|
|
+ if max_profit > 0:
|
|
|
+ # 确定追踪止损比率
|
|
|
+ if max_profit <= g.trailing_stop_thresholds[0]: # ≤5%
|
|
|
+ trailing_rate = g.trailing_stop_rates[0] # 2%
|
|
|
+ elif max_profit <= g.trailing_stop_thresholds[1]: # 5%-10%
|
|
|
+ trailing_rate = g.trailing_stop_rates[1] # 3%
|
|
|
+ else: # >10%
|
|
|
+ trailing_rate = g.trailing_stop_rates[2] # 4%
|
|
|
+
|
|
|
+ # 检查是否触发追踪止损
|
|
|
+ profit_drawdown = max_profit - profit_rate
|
|
|
+ if profit_drawdown >= trailing_rate:
|
|
|
+ log.info(f"【第三阶段】触发动态追踪止损 {security} {direction}")
|
|
|
+ log.info(f"最大利润: {max_profit:.3%}, 当前利润: {profit_rate:.3%}, 回撤: {profit_drawdown:.3%}, 触发阈值: {trailing_rate:.3%}")
|
|
|
+ close_position(context, security, direction)
|
|
|
+ return True
|
|
|
+
|
|
|
+ return False
|
|
|
+
|
|
|
+############################ 辅助函数 ###################################
|
|
|
+
|
|
|
+def determine_trading_direction(symbol, hatch_direction):
|
|
|
+ """
|
|
|
+ 确定开仓方向（支持可配置的正向/反向逻辑）
|
|
|
+
|
|
|
+ 参数:
|
|
|
+ symbol: 期货合约代码 (如 'JD2510.XDCE')
|
|
|
+ hatch_direction: 影线方向 ('up' 或 'down')
|
|
|
+
|
|
|
+ 返回:
|
|
|
+ (direction, logic_description): 交易方向和逻辑说明的元组
|
|
|
+ """
|
|
|
+ # 提取基础品种代码
|
|
|
+ underlying_symbol = symbol.split('.')[0][:-4] # 如 'JD2510.XDCE' -> 'JD'
|
|
|
+
|
|
|
+ # 检查是否在反向逻辑列表中
|
|
|
+ use_reverse_logic = underlying_symbol in g.reverse_direction_symbols
|
|
|
+
|
|
|
+ if use_reverse_logic:
|
|
|
+ # 反向逻辑：上影线做空，下影线做多（当前逻辑）
|
|
|
+ if hatch_direction == 'up':
|
|
|
+ direction = 'short'
|
|
|
+ logic_description = f"反向逻辑：{underlying_symbol}上影线做空"
|
|
|
+ else:
|
|
|
+ direction = 'long'
|
|
|
+ logic_description = f"反向逻辑：{underlying_symbol}下影线做多"
|
|
|
+ else:
|
|
|
+ # 正向逻辑：上影线做多，下影线做空（新逻辑）
|
|
|
+ if hatch_direction == 'up':
|
|
|
+ direction = 'long'
|
|
|
+ logic_description = f"正向逻辑：{underlying_symbol}上影线做多"
|
|
|
+ else:
|
|
|
+ direction = 'short'
|
|
|
+ logic_description = f"正向逻辑：{underlying_symbol}下影线做空"
|
|
|
+
|
|
|
+ return direction, logic_description
|
|
|
+
|
|
|
+def get_futures_config(underlying_symbol, config_key=None, default_value=None):
|
|
|
+ """获取期货品种配置信息的辅助函数"""
|
|
|
+ if underlying_symbol not in g.futures_config:
|
|
|
+ if config_key and default_value is not None:
|
|
|
+ return default_value
|
|
|
+ return {}
|
|
|
+
|
|
|
+ if config_key is None:
|
|
|
+ return g.futures_config[underlying_symbol]
|
|
|
+
|
|
|
+ return g.futures_config[underlying_symbol].get(config_key, default_value)
|
|
|
+
|
|
|
+def get_margin_rate(underlying_symbol, direction, default_rate=0.10):
|
|
|
+ """获取保证金比例的辅助函数"""
|
|
|
+ return g.futures_config.get(underlying_symbol, {}).get('margin_rate', {}).get(direction, default_rate)
|
|
|
+
|
|
|
+def get_multiplier(underlying_symbol, default_multiplier=10):
|
|
|
+ """获取合约乘数的辅助函数"""
|
|
|
+ return g.futures_config.get(underlying_symbol, {}).get('multiplier', default_multiplier)
|
|
|
+
|
|
|
+def calculate_target_hands(context, security, direction):
|
|
|
+ """计算目标开仓手数（优化版：直接返回手数用于order_target）"""
|
|
|
+ current_price = get_current_data()[security].last_price
|
|
|
+ underlying_symbol = security.split('.')[0][:-4]
|
|
|
+
|
|
|
+ # 使用保证金比例
|
|
|
+ margin_rate = get_margin_rate(underlying_symbol, direction)
|
|
|
+ multiplier = get_multiplier(underlying_symbol)
|
|
|
+
|
|
|
+ # 计算单手保证金
|
|
|
+ single_hand_margin = current_price * multiplier * margin_rate
|
|
|
+
|
|
|
+ # 还要考虑可用资金限制
|
|
|
+ available_cash = context.portfolio.available_cash * g.usage_percentage
|
|
|
+
|
|
|
+ # 根据单个标的最大持仓保证金限制计算开仓数量
|
|
|
+ max_margin = g.max_margin_per_position
|
|
|
+
|
|
|
+ if single_hand_margin <= max_margin:
|
|
|
+ # 如果单手保证金不超过最大限制，计算最大可开仓手数
|
|
|
+ max_hands = int(max_margin / single_hand_margin)
|
|
|
+ max_hands_by_cash = int(available_cash / single_hand_margin)
|
|
|
+
|
|
|
+ # 取两者较小值
|
|
|
+ actual_hands = min(max_hands, max_hands_by_cash)
|
|
|
+
|
|
|
+ # 确保至少开1手
|
|
|
+ actual_hands = max(1, actual_hands)
|
|
|
+
|
|
|
+ # 实际保证金
|
|
|
+ actual_margin = single_hand_margin * actual_hands
|
|
|
+
|
|
|
+ log.info(f"单手保证金: {single_hand_margin:.0f}, 目标开仓手数: {actual_hands}, 预计保证金: {actual_margin:.0f}")
|
|
|
+
|
|
|
+ # 直接返回手数，用于order_target()
|
|
|
+ return actual_hands
|
|
|
+ else:
|
|
|
+ # 如果单手保证金超过最大限制，默认开仓1手
|
|
|
+ actual_hands = 1
|
|
|
+ actual_margin = single_hand_margin * actual_hands
|
|
|
+
|
|
|
+ log.info(f"单手保证金: {single_hand_margin:.0f} 超过最大限制: {max_margin}, 默认开仓1手, 预计保证金: {actual_margin:.0f}")
|
|
|
+
|
|
|
+ # 直接返回手数，用于order_target()
|
|
|
+ return actual_hands
|
|
|
+
|
|
|
+def check_sufficient_capital(context, symbol):
|
|
|
+ """检查资金是否充足"""
|
|
|
+ try:
|
|
|
+ current_price = get_current_data()[symbol].last_price
|
|
|
+ underlying_symbol = symbol.split('.')[0][:-4]
|
|
|
+
|
|
|
+ margin_rate = get_margin_rate(underlying_symbol, 'long')
|
|
|
+ multiplier = get_multiplier(underlying_symbol)
|
|
|
+
|
|
|
+ # 计算单手保证金
|
|
|
+ single_hand_margin = current_price * multiplier * margin_rate
|
|
|
+
|
|
|
+ # 使用实际可用资金（考虑资金使用比例）
|
|
|
+ available_cash = context.portfolio.available_cash * g.usage_percentage
|
|
|
+
|
|
|
+ # 检查是否有足够资金开仓至少1手
|
|
|
+ return available_cash >= single_hand_margin
|
|
|
+ except:
|
|
|
+ return False
|
|
|
+
|
|
|
+def check_price_and_liquidity(signal):
|
|
|
+ """检查价格合理性和流动性"""
|
|
|
+ try:
|
|
|
+ # 简单的合理性检查
|
|
|
+ symbol = signal['symbol']
|
|
|
+ current_data = get_current_data()[symbol]
|
|
|
+
|
|
|
+ log.info(f"{symbol} 价格检查 - 当前价: {current_data.last_price:.2f}, 涨停: {current_data.high_limit:.2f}, 跌停: {current_data.low_limit:.2f}, 成交量: {current_data.volume}")
|
|
|
+
|
|
|
+ # 检查是否处于涨跌停
|
|
|
+ if current_data.last_price <= current_data.low_limit:
|
|
|
+ log.warning(f"{symbol} 价格触及跌停板 ({current_data.last_price:.2f} <= {current_data.low_limit:.2f})，跳过")
|
|
|
+ return False
|
|
|
+
|
|
|
+ if current_data.last_price >= current_data.high_limit:
|
|
|
+ log.warning(f"{symbol} 价格触及涨停板 ({current_data.last_price:.2f} >= {current_data.high_limit:.2f})，跳过")
|
|
|
+ return False
|
|
|
+
|
|
|
+ # 检查成交量是否充足
|
|
|
+ if current_data.volume <= 0:
|
|
|
+ log.warning(f"{symbol} 无成交量 ({current_data.volume})，跳过")
|
|
|
+ return False
|
|
|
+
|
|
|
+ log.info(f"{symbol} 价格和流动性检查通过")
|
|
|
+ return True
|
|
|
+ except Exception as e:
|
|
|
+ log.warning(f"{signal['symbol']} 价格检查时出错: {str(e)}")
|
|
|
+ return False
|
|
|
+
|
|
|
+def check_symbol_prefix_match(symbol, hold_symbols):
|
|
|
+ """检查是否有相似的持仓品种（支持带_long/_short后缀的key）"""
|
|
|
+ symbol_prefix = symbol[:-9]
|
|
|
+
|
|
|
+ for hold_symbol in hold_symbols:
|
|
|
+ # 移除可能的_long或_short后缀
|
|
|
+ clean_hold_symbol = hold_symbol.replace('_long', '').replace('_short', '')
|
|
|
+ hold_symbol_prefix = clean_hold_symbol[:-9] if len(clean_hold_symbol) > 9 else clean_hold_symbol
|
|
|
+
|
|
|
+ if symbol_prefix == hold_symbol_prefix:
|
|
|
+ return True
|
|
|
+ return False
|
|
|
+
|
|
|
+def after_market_close(context):
|
|
|
+ """收盘后运行函数"""
|
|
|
+ log.info(str('函数运行时间(after_market_close):'+str(context.current_dt.time())))
|
|
|
+
|
|
|
+ # 只有当天有交易时才打印统计信息
|
|
|
+ if g.today_trades:
|
|
|
+ print_daily_trading_summary(context)
|
|
|
+
|
|
|
+ # 清空当日交易记录
|
|
|
+ g.today_trades = []
|
|
|
+
|
|
|
+ log.info('##############################################################')
|
|
|
+
|
|
|
+def print_daily_trading_summary(context):
|
|
|
+ """打印当日交易汇总"""
|
|
|
+ if not g.today_trades:
|
|
|
+ return
|
|
|
+
|
|
|
+ log.info("\n=== 当日交易汇总 ===")
|
|
|
+ total_margin = 0
|
|
|
+
|
|
|
+ for trade in g.today_trades:
|
|
|
+ if trade['order_amount'] > 0: # 开仓
|
|
|
+ log.info(f"开仓 {trade['underlying_symbol']} {trade['direction']} {trade['order_amount']}手 "
|
|
|
+ f"价格:{trade['order_price']:.2f} 保证金:{trade['cash_change']:.0f}")
|
|
|
+ total_margin += trade['cash_change']
|
|
|
+ else: # 平仓
|
|
|
+ log.info(f"平仓 {trade['underlying_symbol']} {trade['direction']} {abs(trade['order_amount'])}手 "
|
|
|
+ f"价格:{trade['order_price']:.2f}")
|
|
|
+
|
|
|
+ log.info(f"当日保证金占用: {total_margin:.0f}")
|
|
|
+ log.info("==================\n")
|
|
|
+
|
|
|
+########################## 自动移仓换月函数 #################################
|
|
|
+def position_auto_switch(context, pindex=0, switch_func=None, callback=None):
|
|
|
+ """
|
|
|
+ 期货自动移仓换月。默认使用市价单进行开平仓。
|
|
|
+ """
|
|
|
+ import re
|
|
|
+ subportfolio = context.subportfolios[pindex]
|
|
|
+ symbols = set(subportfolio.long_positions.keys()) | set(subportfolio.short_positions.keys())
|
|
|
+ switch_result = []
|
|
|
+ for symbol in symbols:
|
|
|
+ match = re.match(r"(?P<underlying_symbol>[A-Z]{1,})", symbol)
|
|
|
+ if not match:
|
|
|
+ raise ValueError("未知期货标的: {}".format(symbol))
|
|
|
+ else:
|
|
|
+ dominant = get_dominant_future(match.groupdict()["underlying_symbol"])
|
|
|
+ cur = get_current_data()
|
|
|
+ symbol_last_price = cur[symbol].last_price
|
|
|
+ dominant_last_price = cur[dominant].last_price
|
|
|
+ log.info(f'当前持仓合约: {symbol}, 当前主力合约: {dominant}')
|
|
|
+
|
|
|
+ if dominant > symbol:
|
|
|
+ for positions_ in (subportfolio.long_positions, subportfolio.short_positions):
|
|
|
+ if symbol not in positions_.keys():
|
|
|
+ continue
|
|
|
+ else :
|
|
|
+ p = positions_[symbol]
|
|
|
+
|
|
|
+ if switch_func is not None:
|
|
|
+ switch_func(context, pindex, p, dominant)
|
|
|
+ else:
|
|
|
+ amount = p.total_amount
|
|
|
+ # 跌停不能开空和平多，涨停不能开多和平空。
|
|
|
+ if p.side == "long":
|
|
|
+ symbol_low_limit = cur[symbol].low_limit
|
|
|
+ dominant_high_limit = cur[dominant].high_limit
|
|
|
+ if symbol_last_price <= symbol_low_limit:
|
|
|
+ log.warning("标的{}跌停，无法平仓。移仓换月取消。".format(symbol))
|
|
|
+ continue
|
|
|
+ elif dominant_last_price >= dominant_high_limit:
|
|
|
+ log.warning("标的{}涨停，无法开仓。移仓换月取消。".format(dominant))
|
|
|
+ continue
|
|
|
+ else:
|
|
|
+ log.info("进行移仓换月: ({0},long) -> ({1},long)".format(symbol, dominant))
|
|
|
+ order_old = order_target(symbol, 0, side='long')
|
|
|
+ if order_old != None and order_old.filled > 0:
|
|
|
+ order_new = order_target(dominant, amount, side='long')
|
|
|
+ if order_new != None and order_new.filled > 0:
|
|
|
+ switch_result.append({"before": symbol, "after": dominant, "side": "long"})
|
|
|
+ # 换月中的买卖都成功了，则增加新的记录去掉旧的记录
|
|
|
+ # 检查是否有带_long后缀的key
|
|
|
+ old_key = f"{symbol}_long" if f"{symbol}_long" in g.trade_history else symbol
|
|
|
+ new_key = f"{dominant}_long" if "_long" in old_key else dominant
|
|
|
+ if old_key in g.trade_history:
|
|
|
+ g.trade_history[new_key] = g.trade_history[old_key]
|
|
|
+ del g.trade_history[old_key]
|
|
|
+ else:
|
|
|
+ log.warning("标的{}交易失败，无法开仓。移仓换月失败。".format(dominant))
|
|
|
+ if p.side == "short":
|
|
|
+ symbol_high_limit = cur[symbol].high_limit
|
|
|
+ dominant_low_limit = cur[dominant].low_limit
|
|
|
+ if symbol_last_price >= symbol_high_limit:
|
|
|
+ log.warning("标的{}涨停，无法平仓。移仓换月取消。".format(symbol))
|
|
|
+ continue
|
|
|
+ elif dominant_last_price <= dominant_low_limit:
|
|
|
+ log.warning("标的{}跌停，无法开仓。移仓换月取消。".format(dominant))
|
|
|
+ continue
|
|
|
+ else:
|
|
|
+ log.info("进行移仓换月: ({0},short) -> ({1},short)".format(symbol, dominant))
|
|
|
+ order_old = order_target(symbol, 0, side='short')
|
|
|
+ if order_old != None and order_old.filled > 0:
|
|
|
+ order_new = order_target(dominant, amount, side='short')
|
|
|
+ if order_new != None and order_new.filled > 0:
|
|
|
+ switch_result.append({"before": symbol, "after": dominant, "side": "short"})
|
|
|
+ # 换月中的买卖都成功了，则增加新的记录去掉旧的记录
|
|
|
+ # 检查是否有带_short后缀的key
|
|
|
+ old_key = f"{symbol}_short" if f"{symbol}_short" in g.trade_history else symbol
|
|
|
+ new_key = f"{dominant}_short" if "_short" in old_key else dominant
|
|
|
+ if old_key in g.trade_history:
|
|
|
+ g.trade_history[new_key] = g.trade_history[old_key]
|
|
|
+ del g.trade_history[old_key]
|
|
|
+ else:
|
|
|
+ log.warning("标的{}交易失败，无法开仓。移仓换月失败。".format(dominant))
|
|
|
+ if callback:
|
|
|
+ callback(context, pindex, p, dominant)
|
|
|
+ return switch_result
|
maxfeng