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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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+# 多均线穿越突破策略 v001
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+# 基于K线实体穿越多条均线的交易策略
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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('多均线穿越突破策略初始化开始')
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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.min_cross_mas = 3 # 最少穿越均线数量
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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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+ g.price_deviation_min = 0.005 # 价格偏离临界线最小比例（0.5%）
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+ g.price_deviation_max = 0.01 # 价格偏离临界线最大比例（1%）
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+
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+ # 均线交叉数量检查相关参数
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+ g.max_ma_crosses = 4 # 最大允许的均线交叉数量
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+ g.ma_cross_check_days = 10 # 检查均线交叉的天数
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+
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+ # 止损止盈策略参数
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+ g.gap_ratio_threshold = 0.002 # 跳空比例：0.2%
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+ g.market_close_times = ["14:55:00"] # 盘尾时间
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+ g.profit_thresholds = [5000, 15000] # 价格分区
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+ g.stop_ratios = [0.0025, 0.005, 0.01, 0.02] # 止盈止损比例：[0.25%, 0.5%, 1%, 2%]
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+
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+ # 新增参数
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+ g.fixed_profit_threshold = 4000 # 固定金额止盈止损阈值（元）
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+ g.daily_change_threshold = 0.01 # 日内变化比例阈值：1%
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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': 0.04, 'short': 0.04}, 'multiplier': 1000},
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+ 'AG': {'has_night_session': True, 'margin_rate': {'long': 0.04, 'short': 0.04}, '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': 0.05, 'short': 0.05}, 'multiplier': 5},
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+ 'AL': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 5},
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+ 'ZN': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 5},
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+ 'PB': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 5},
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+ 'NI': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 1},
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+ 'SN': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 1},
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+ 'SS': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, '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': 0.05, 'short': 0.05}, 'multiplier': 10},
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+ 'HC': {'has_night_session': True, 'margin_rate': {'long': 0.04, 'short': 0.04}, '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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+ 'AO': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 20},
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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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+ 'BC': {'has_night_session': True, 'margin_rate': {'long': 0.13, 'short': 0.13}, 'multiplier': 5},
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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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+ 'CY': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 5},
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+ 'SH': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 30},
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+ 'PX': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 5},
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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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+ '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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+ 'PR': {'has_night_session': True, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 10},
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+ 'AD': {'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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+ 'EC': {'has_night_session': False, 'margin_rate': {'long': 0.12, 'short': 0.12}, 'multiplier': 50},
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+ 'SF': {'has_night_session': False, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 5},
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+ 'SM': {'has_night_session': False, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 5},
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+ 'UR': {'has_night_session': False, 'margin_rate': {'long': 0.09, 'short': 0.09}, 'multiplier': 20},
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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': 0.07, 'short': 0.07}, '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': 0.08, 'short': 0.08}, 'multiplier': 5},
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+ 'LH': {'has_night_session': False, 'margin_rate': {'long': 0.1, 'short': 0.1}, 'multiplier': 16},
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+ 'SI': {'has_night_session': False, 'margin_rate': {'long': 0.13, 'short': 0.13}, 'multiplier': 5},
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+ 'LC': {'has_night_session': False, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 1},
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+ 'PS': {'has_night_session': False, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 5},
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+ 'LG': {'has_night_session': False, 'margin_rate': {'long': 0.05, 'short': 0.05}, 'multiplier': 5}
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+ }
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+
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+ # 当前策略关注的标的列表（可以根据需要调整，为空则考虑所有品种）
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+ g.strategy_focus_symbols = []
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+
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+ # 如果关注列表为空，则使用所有配置的品种
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+ if not g.strategy_focus_symbols:
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+ g.strategy_focus_symbols = list(g.futures_config.keys())
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+ log.info("策略关注品种列表为空，将考虑所有配置的品种")
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+
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+ # 打印配置摘要
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+ log.info(f"策略关注品种总数: {len(g.strategy_focus_symbols)}")
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+
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+ # 交易记录和数据存储
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+ # 1. 当天临时数据（仅当天使用，当天结束后清理）
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+ g.daily_transient_data = {
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+ 'ma_cross_signals': {}, # 存储多均线穿越信号（当天信号，当天处理）
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+ 'tradable_futures': [], # 可交易期货品种（每天重新生成）
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+ 'today_trades': [] # 当日交易记录（收盘后打印并清空）
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+ }
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+
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+ # 2. 持续数据（当天数据第二天也要用，按日期管理）
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+ g.persistent_daily_data = {
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+ 'daily_data_cache': {}, # 存储历史日线数据缓存（用于计算均线，持续更新）
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+ 'minute_data_cache': {}, # 存储分钟数据缓存（夜盘数据第二天日盘还需要）
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+ 'ma_cross_filtered_futures': {}, # 存储通过均线交叉检查的品种（按日期缓存）
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+ 'gap_check_results': {} # 存储跳空检查结果（当天计算，持仓期间使用）
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+ }
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+
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+ # 3. 持仓数据（持仓期间要用，平仓后不用）
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+ g.position_data = {
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+ 'trade_history': {}, # 持仓信息（平仓后删除）
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+ 'ma_data_cache': {} # 存储均线数据缓存（持仓期间用于止损，平仓后可清理）
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+ }
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+
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+ # 4. 历史数据（一直需要保留）
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+ g.historical_data = {
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+ 'margin_rate_history': {}, # 保证金比例变化历史记录（用于统计分析）
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+ 'change_fail_history': {} # 换月失败历史记录（用于统计分析）
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+ }
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+
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+ # 保留原有变量名的兼容性映射（逐步替换）
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+ g.trade_history = g.position_data['trade_history']
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+ g.ma_cross_signals = g.daily_transient_data['ma_cross_signals']
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+ g.daily_data_cache = g.persistent_daily_data['daily_data_cache']
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+ g.minute_data_cache = g.persistent_daily_data['minute_data_cache']
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+ g.ma_data_cache = g.position_data['ma_data_cache']
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+ g.ma_cross_filtered_futures = g.persistent_daily_data['ma_cross_filtered_futures']
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+ g.gap_check_results = g.persistent_daily_data['gap_check_results']
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+ g.margin_rate_history = g.historical_data['margin_rate_history']
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+ g.today_trades = g.daily_transient_data['today_trades']
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+
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+ # 定时任务设置 - 根据新的时间安排
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+ # 夜盘开始
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+ run_daily(main_trading_21_05, time='21:05:00', reference_security='IF1808.CCFX')
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+ run_daily(main_trading_regular, time='21:35:00', reference_security='IF1808.CCFX')
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+ run_daily(main_trading_regular, time='22:05:00', reference_security='IF1808.CCFX')
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+ run_daily(main_trading_regular, time='22:35:00', reference_security='IF1808.CCFX')
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+
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+ # 日盘开始
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+ run_daily(main_trading_09_05, time='09:05:00', reference_security='IF1808.CCFX')
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+ run_daily(main_trading_regular, time='09:35:00', reference_security='IF1808.CCFX')
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+ run_daily(main_trading_regular, time='10:05:00', reference_security='IF1808.CCFX')
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+ run_daily(main_trading_regular, time='10:35:00', reference_security='IF1808.CCFX')
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+ run_daily(main_trading_regular, time='11:05:00', reference_security='IF1808.CCFX')
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+ run_daily(main_trading_regular, time='11:25:00', reference_security='IF1808.CCFX')
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+ run_daily(main_trading_regular, time='13:35:00', reference_security='IF1808.CCFX')
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+ run_daily(main_trading_regular, time='14:05:00', reference_security='IF1808.CCFX')
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+
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+ # 收盘前
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+ run_daily(main_trading_before_close, time='14:35:00', reference_security='IF1808.CCFX')
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+ run_daily(main_trading_before_close, 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 main_trading_21_05(context):
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+ """21:05 执行任务1, 2, 3, 4, 5, 6, 9"""
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+ log.info("-" * 50)
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+ log.info("21:05 多均线穿越突破策略 - 夜盘开始")
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+ log.info("执行任务: 1, 2, 3, 4, 5, 6, 9")
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+ log.info("-" * 50)
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+
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+ # 任务1: 获取所有可交易品种
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+ task_1_get_tradable_futures(context)
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+
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+ # 任务2: 获取历史数据并保存到内存
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+ task_2_load_historical_data(context)
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+
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+ # 任务3: 检查均线交叉数量，过滤掉交叉过多的品种
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+ task_3_check_ma_crosses(context)
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+
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+ # 任务4: 获取今日分钟数据并合并均线数据
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+ task_4_update_realtime_data(context)
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+
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+ # 任务5: 判断上穿下穿情况
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+ task_5_analyze_ma_crosses(context)
|
|
|
+
|
|
|
+ # 任务6: 检查开仓条件
|
|
|
+ filtered_signals = task_6_check_opening_conditions(context)
|
|
|
+
|
|
|
+ # 如果任务6有满足条件的，执行任务7开仓
|
|
|
+ if filtered_signals:
|
|
|
+ task_7_execute_trades(context, filtered_signals)
|
|
|
+
|
|
|
+ # 任务9: 检查止损止盈
|
|
|
+ task_9_check_stop_loss_profit(context)
|
|
|
+
|
|
|
+def main_trading_09_05(context):
|
|
|
+ """09:05 执行任务1, 2, 3, 4, 5, 6, 9"""
|
|
|
+ log.info("-" * 50)
|
|
|
+ log.info("09:05 多均线穿越突破策略 - 日盘开始")
|
|
|
+ log.info("执行任务: 1, 2, 3, 4, 5, 6, 9")
|
|
|
+ log.info("-" * 50)
|
|
|
+
|
|
|
+ # 任务1: 获取所有可交易品种
|
|
|
+ task_1_get_tradable_futures(context)
|
|
|
+
|
|
|
+ # 任务2: 获取历史数据并保存到内存
|
|
|
+ task_2_load_historical_data(context)
|
|
|
+
|
|
|
+ # 任务3: 检查均线交叉数量，过滤掉交叉过多的品种
|
|
|
+ task_3_check_ma_crosses(context)
|
|
|
+
|
|
|
+ # 任务4: 获取今日分钟数据并合并均线数据
|
|
|
+ task_4_update_realtime_data(context)
|
|
|
+
|
|
|
+ # 任务5: 判断上穿下穿情况
|
|
|
+ task_5_analyze_ma_crosses(context)
|
|
|
+
|
|
|
+ # 任务6: 检查开仓条件
|
|
|
+ filtered_signals = task_6_check_opening_conditions(context)
|
|
|
+
|
|
|
+ # 如果任务6有满足条件的，执行任务7开仓
|
|
|
+ if filtered_signals:
|
|
|
+ task_7_execute_trades(context, filtered_signals)
|
|
|
+
|
|
|
+ # 任务9: 检查止损止盈
|
|
|
+ task_9_check_stop_loss_profit(context)
|
|
|
+
|
|
|
+def main_trading_regular(context):
|
|
|
+ """常规时间执行任务4, 5, 6, 9"""
|
|
|
+ current_time = context.current_dt.strftime('%H:%M')
|
|
|
+ # log.info(f"----- {current_time} 常规检查 -----")
|
|
|
+ # log.info("执行任务: 4, 5, 6, 9")
|
|
|
+
|
|
|
+ # 任务4: 获取今日分钟数据并合并均线数据
|
|
|
+ task_4_update_realtime_data(context)
|
|
|
+
|
|
|
+ # 任务5: 判断上穿下穿情况
|
|
|
+ task_5_analyze_ma_crosses(context)
|
|
|
+
|
|
|
+ # 任务6: 检查开仓条件
|
|
|
+ filtered_signals = task_6_check_opening_conditions(context)
|
|
|
+
|
|
|
+ # 如果任务6有满足条件的，执行任务7开仓
|
|
|
+ if filtered_signals:
|
|
|
+ task_7_execute_trades(context, filtered_signals)
|
|
|
+
|
|
|
+ # 任务9: 检查止损止盈
|
|
|
+ task_9_check_stop_loss_profit(context)
|
|
|
+
|
|
|
+def main_trading_before_close(context):
|
|
|
+ """收盘前执行任务4, 5, 6, 8, 9"""
|
|
|
+ current_time = context.current_dt.strftime('%H:%M')
|
|
|
+ # log.info(f"----- {current_time} 收盘前检查 -----")
|
|
|
+ # log.info("执行任务: 4, 5, 6, 8, 9")
|
|
|
+
|
|
|
+ # 任务4: 获取今日分钟数据并合并均线数据
|
|
|
+ task_4_update_realtime_data(context)
|
|
|
+
|
|
|
+ # 任务5: 判断上穿下穿情况
|
|
|
+ task_5_analyze_ma_crosses(context)
|
|
|
+
|
|
|
+ # 任务6: 检查开仓条件
|
|
|
+ filtered_signals = task_6_check_opening_conditions(context)
|
|
|
+
|
|
|
+ # 如果任务6有满足条件的，执行任务7开仓
|
|
|
+ if filtered_signals:
|
|
|
+ task_7_execute_trades(context, filtered_signals)
|
|
|
+
|
|
|
+ # 任务8: 检查换月移仓
|
|
|
+ task_8_check_position_switch(context)
|
|
|
+
|
|
|
+ # 任务9: 检查止损止盈
|
|
|
+ task_9_check_stop_loss_profit(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
|
|
|
+ # 如果关注列表为空，则使用所有配置的品种
|
|
|
+ focus_symbols = g.strategy_focus_symbols if g.strategy_focus_symbols else list(g.futures_config.keys())
|
|
|
+
|
|
|
+ potential_icon_list = []
|
|
|
+
|
|
|
+ if current_time in ('21', '22'):
|
|
|
+ # 夜盘时间：只考虑有夜盘的品种
|
|
|
+ for symbol in focus_symbols:
|
|
|
+ if get_futures_config(symbol, 'has_night_session', False):
|
|
|
+ potential_icon_list.append(symbol)
|
|
|
+ log.info(f"夜盘时间，可交易品种: {potential_icon_list}")
|
|
|
+ else:
|
|
|
+ # 日盘时间：所有关注的品种都可以交易
|
|
|
+ potential_icon_list = focus_symbols[:]
|
|
|
+ log.info(f"日盘时间，可交易品种: {potential_icon_list}")
|
|
|
+
|
|
|
+ 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)]
|
|
|
+
|
|
|
+ # 存储到新的数据结构
|
|
|
+ g.daily_transient_data['tradable_futures'] = potential_future_list
|
|
|
+ g.tradable_futures = potential_future_list # 保持兼容性
|
|
|
+ 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(context):
|
|
|
+ """任务2: 获取所有可交易品种和持仓品种今天之前所需的数据，并保存到内存中"""
|
|
|
+ # log.info("执行任务2: 加载历史数据到内存")
|
|
|
+
|
|
|
+ # 收集需要更新历史数据的品种
|
|
|
+ symbols_to_update = set()
|
|
|
+
|
|
|
+ # 添加可交易品种
|
|
|
+ if hasattr(g, 'tradable_futures') and g.tradable_futures:
|
|
|
+ symbols_to_update.update(g.tradable_futures)
|
|
|
+
|
|
|
+ # 添加持仓品种（重要：确保持仓品种的历史数据也被更新）
|
|
|
+ if hasattr(g, 'trade_history') and g.trade_history:
|
|
|
+ symbols_to_update.update(g.trade_history.keys())
|
|
|
+
|
|
|
+ if not symbols_to_update:
|
|
|
+ log.info("没有需要更新历史数据的品种")
|
|
|
+ return
|
|
|
+
|
|
|
+ log.info(f"需要更新历史数据的品种数量: {len(symbols_to_update)} (可交易: {len(g.tradable_futures) if hasattr(g, 'tradable_futures') else 0}, 持仓: {len(g.trade_history) if hasattr(g, 'trade_history') else 0})")
|
|
|
+
|
|
|
+ for future_code in symbols_to_update:
|
|
|
+ try:
|
|
|
+ # 获取50天历史数据（用于计算均线）
|
|
|
+ data = attribute_history(future_code, 50, '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
|
|
|
+ log.debug(f"已缓存 {future_code} 历史数据 {len(data)} 条，日期范围: {data.index[0].date()} 到 {data.index[-1].date()}")
|
|
|
+
|
|
|
+ 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 task_3_check_ma_crosses(context):
|
|
|
+ """任务3: 检查均线交叉数量，过滤掉交叉过多的品种"""
|
|
|
+ # log.info("执行任务3: 检查均线交叉数量")
|
|
|
+
|
|
|
+ if not hasattr(g, 'tradable_futures'):
|
|
|
+ return
|
|
|
+
|
|
|
+ # 存储通过均线交叉检查的品种
|
|
|
+ today_date = context.current_dt.date()
|
|
|
+ if today_date not in g.ma_cross_filtered_futures:
|
|
|
+ g.ma_cross_filtered_futures[today_date] = []
|
|
|
+
|
|
|
+ filtered_futures = []
|
|
|
+
|
|
|
+ for future_code in g.tradable_futures:
|
|
|
+ try:
|
|
|
+ # 获取历史数据
|
|
|
+ historical_data = g.daily_data_cache.get(future_code)
|
|
|
+ if historical_data is None or len(historical_data) < 30:
|
|
|
+ log.warning(f"{future_code} 历史数据不足，跳过")
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 计算移动平均线
|
|
|
+ data_with_ma = historical_data.copy()
|
|
|
+ data_with_ma['MA5'] = data_with_ma['close'].rolling(window=5).mean()
|
|
|
+ data_with_ma['MA10'] = data_with_ma['close'].rolling(window=10).mean()
|
|
|
+ data_with_ma['MA20'] = data_with_ma['close'].rolling(window=20).mean()
|
|
|
+ data_with_ma['MA30'] = data_with_ma['close'].rolling(window=30).mean()
|
|
|
+
|
|
|
+ # 检查均线交叉数量
|
|
|
+ ma_crosses = count_ma_crosses(data_with_ma, g.ma_cross_check_days)
|
|
|
+
|
|
|
+ # 如果交叉数量在允许范围内，保留该品种
|
|
|
+ if ma_crosses <= g.max_ma_crosses:
|
|
|
+ filtered_futures.append(future_code)
|
|
|
+ log.info(f"{future_code} 通过均线交叉检查，交叉数量: {ma_crosses}")
|
|
|
+ else:
|
|
|
+ log.info(f"{future_code} 均线交叉过多，被过滤，交叉数量: {ma_crosses} > {g.max_ma_crosses}")
|
|
|
+
|
|
|
+ except Exception as e:
|
|
|
+ log.warning(f"检查{future_code}均线交叉时出错: {str(e)}")
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 更新可交易品种列表
|
|
|
+ g.tradable_futures = filtered_futures
|
|
|
+ g.ma_cross_filtered_futures[today_date] = filtered_futures
|
|
|
+
|
|
|
+ log.info(f"均线交叉检查完成，剩余可交易品种数量: {len(g.tradable_futures)}")
|
|
|
+ if len(g.tradable_futures) > 0:
|
|
|
+ log.info(f"通过检查的品种: {g.tradable_futures}")
|
|
|
+
|
|
|
+ return filtered_futures
|
|
|
+
|
|
|
+def task_4_update_realtime_data(context):
|
|
|
+ """任务4: 获取所有可交易品种和持仓品种今天所需的分钟数据作为今天数据，和2中的数据合并出最新的均线数据，并保存到内存中"""
|
|
|
+ log.info("执行任务4: 更新实时数据和均线")
|
|
|
+
|
|
|
+ # 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）
|
|
|
+ if hasattr(g, 'trade_history') and g.trade_history:
|
|
|
+ update_symbols.update(g.trade_history.keys())
|
|
|
+
|
|
|
+ if not update_symbols:
|
|
|
+ log.info("没有需要更新的品种")
|
|
|
+ return
|
|
|
+
|
|
|
+ today_date = context.current_dt.date()
|
|
|
+
|
|
|
+ for future_code in update_symbols:
|
|
|
+ # log.info(f"任务4 future_code: {future_code}")
|
|
|
+ try:
|
|
|
+ # 获取今日分钟数据
|
|
|
+ minute_data = get_today_minute_data(context, future_code)
|
|
|
+ # log.info(f"minute_data: {minute_data}")
|
|
|
+ if minute_data is None:
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 获取历史数据，如果缓存中没有则现场获取
|
|
|
+ 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, 50, '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
|
|
|
+ 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
|
|
|
+
|
|
|
+ # 检查跳空（只在第一次获取今日数据时检查）
|
|
|
+ if future_code not in g.gap_check_results:
|
|
|
+ gap_result = check_gap_opening(historical_data, minute_data)
|
|
|
+ g.gap_check_results[future_code] = gap_result
|
|
|
+ if gap_result['has_gap']:
|
|
|
+ log.info(f"{future_code} 检测到跳空开盘，跳空比例: {gap_result['gap_ratio']:.3%}")
|
|
|
+
|
|
|
+ # 合并数据并计算均线
|
|
|
+ combined_data = combine_and_calculate_ma(historical_data, minute_data)
|
|
|
+ if combined_data is not None:
|
|
|
+ g.ma_data_cache[future_code] = combined_data
|
|
|
+ log.debug(f"已更新 {future_code} 均线数据: {combined_data}")
|
|
|
+
|
|
|
+ except Exception as e:
|
|
|
+ log.warning(f"更新{future_code}实时数据时出错: {str(e)}")
|
|
|
+ continue
|
|
|
+
|
|
|
+ # log.debug(f"实时数据更新完成，共更新 {len(g.ma_data_cache)} 个品种（可交易: {len(g.tradable_futures) if hasattr(g, 'tradable_futures') else 0}，持仓: {len(g.trade_history) if hasattr(g, 'trade_history') else 0}）")
|
|
|
+
|
|
|
+def task_5_analyze_ma_crosses(context):
|
|
|
+ """任务5: 根据交易品种的今天数据和均线数据，判断是否出现了上穿或者下穿的情况"""
|
|
|
+ # log.info("执行任务5: 分析均线穿越")
|
|
|
+
|
|
|
+ ma_cross_signals = []
|
|
|
+
|
|
|
+ # 获取已持仓的品种列表
|
|
|
+ existing_positions = set(g.trade_history.keys())
|
|
|
+
|
|
|
+ for future_code, data in g.ma_data_cache.items():
|
|
|
+ log.info(f"future_code: {future_code}")
|
|
|
+ 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):
|
|
|
+ # log.(f"{future_code} 已有相似持仓，跳过均线穿越分析")
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 检查最新的多均线穿越
|
|
|
+ latest_cross = check_latest_multi_ma_cross(data, future_code)
|
|
|
+ if latest_cross:
|
|
|
+ ma_cross_signals.append(latest_cross)
|
|
|
+ log.info(f"{future_code} 发现多均线穿越: {latest_cross['direction']}")
|
|
|
+ log.info(f"开盘价格: {latest_cross['open']}, 当前价格: {latest_cross['close']}, 临界线: {latest_cross['critical_ma_name']}({latest_cross['critical_ma_value']:.2f}), 穿越数量: {latest_cross['crossed_count']}")
|
|
|
+ log.info(f"MA5: {latest_cross['ma5']}, MA10: {latest_cross['ma10']}, MA20: {latest_cross['ma20']}, MA30: {latest_cross['ma30']}")
|
|
|
+
|
|
|
+ except Exception as e:
|
|
|
+ log.warning(f"分析{future_code}均线穿越时出错: {str(e)}")
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 存储到全局变量
|
|
|
+ g.ma_cross_signals = ma_cross_signals
|
|
|
+ if len(ma_cross_signals) > 0:
|
|
|
+ log.info(f"均线穿越分析完成，发现信号 {len(ma_cross_signals)} 个")
|
|
|
+ log.debug(f"ma_cross_signals: {ma_cross_signals}")
|
|
|
+
|
|
|
+ return ma_cross_signals
|
|
|
+
|
|
|
+def task_6_check_opening_conditions(context):
|
|
|
+ """任务6: 针对那些有上穿和下穿的情况检查是否满足开仓条件"""
|
|
|
+ # log.info("执行任务6: 检查开仓条件")
|
|
|
+
|
|
|
+ if not hasattr(g, 'ma_cross_signals'):
|
|
|
+ return []
|
|
|
+
|
|
|
+ filtered_signals = []
|
|
|
+
|
|
|
+ for signal in g.ma_cross_signals:
|
|
|
+ # 检查是否已有相似持仓
|
|
|
+ if check_symbol_prefix_match(signal['symbol'], set(g.trade_history.keys())):
|
|
|
+ log.warning(f"{signal['symbol']} 已有相似持仓，跳过")
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 检查价格位置合理性
|
|
|
+ if not check_price_position(signal):
|
|
|
+ log.warning(f"{signal['symbol']} 价格位置不合理，跳过")
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 检查日内变化比例
|
|
|
+ if not check_daily_change_ratio(signal):
|
|
|
+ log.warning(f"{signal['symbol']} 日内变化比例不满足条件，跳过")
|
|
|
+ continue
|
|
|
+
|
|
|
+ filtered_signals.append(signal)
|
|
|
+ log.info(f"{signal['symbol']} 满足开仓条件")
|
|
|
+
|
|
|
+ if len(filtered_signals) > 0:
|
|
|
+ log.info(f"开仓条件检查完成，满足条件 {len(filtered_signals)} 个")
|
|
|
+ return filtered_signals
|
|
|
+
|
|
|
+def task_7_execute_trades(context, filtered_signals):
|
|
|
+ """任务7: 针对满足开仓条件的标的，计算购买的金额，并发起交易请求"""
|
|
|
+ # log.info("执行任务7: 执行交易")
|
|
|
+
|
|
|
+ for signal in filtered_signals:
|
|
|
+ symbol = signal['symbol']
|
|
|
+ direction = 'long' if signal['direction'] == 'up' else 'short'
|
|
|
+
|
|
|
+ # 检查资金充足性
|
|
|
+ if not check_sufficient_capital(context, symbol):
|
|
|
+ log.warning(f"{symbol} 资金不足，跳过开仓")
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 计算开仓金额
|
|
|
+ order_value = calculate_order_value(context, symbol, direction)
|
|
|
+ log.info(f"计算开仓金额: {symbol} {direction} 金额: {order_value}")
|
|
|
+
|
|
|
+ # 如果计算出的金额为0，说明资金不足，跳过开仓
|
|
|
+ if order_value <= 0:
|
|
|
+ log.warning(f"资金不足，跳过开仓 {symbol} {direction}")
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 执行开仓
|
|
|
+ success = open_position(context, symbol, order_value, direction, signal)
|
|
|
+
|
|
|
+ if success:
|
|
|
+ # 获取实际保证金（只有在开仓成功时才能获取）
|
|
|
+ actual_margin = g.trade_history[symbol]['actual_margin']
|
|
|
+ # 获取成交价格
|
|
|
+ actual_price = g.trade_history[symbol]['entry_price']
|
|
|
+ log.info(f"成功开仓 {symbol} {direction}, 成交价格: {actual_price:.2f}, 金额: {order_value}, 实际保证金: {actual_margin:.0f}")
|
|
|
+ else:
|
|
|
+ log.warning(f"开仓失败 {symbol} {direction}")
|
|
|
+
|
|
|
+def task_8_check_position_switch(context):
|
|
|
+ """任务8: 针对已经持仓的标的，检查是否换月移仓"""
|
|
|
+ # 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']}")
|
|
|
+ # else:
|
|
|
+ # log.info("无需移仓换月")
|
|
|
+
|
|
|
+def task_9_check_stop_loss_profit(context):
|
|
|
+ """任务9: 针对已经持仓的标的，检查是否止损或止盈"""
|
|
|
+ # log.info("执行任务9: 检查止损止盈")
|
|
|
+
|
|
|
+ # 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
|
|
|
+ for position in long_positions + short_positions:
|
|
|
+ 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")
|
|
|
+ # else:
|
|
|
+ # log.info("无需止损止盈")
|
|
|
+
|
|
|
+############################ 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
|
|
|
+
|
|
|
+ # log.debug(f"原始分钟数据范围: {minute_data.index[0]} 到 {minute_data.index[-1]}")
|
|
|
+
|
|
|
+ # 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())
|
|
|
+ # log.debug(f"数据包含的日期: {unique_dates}")
|
|
|
+
|
|
|
+ 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]
|
|
|
+ # log.debug(f"夜盘标的 today_date: {today_date}, previous_trading_dates: {previous_trading_dates}")
|
|
|
+ if not previous_trading_dates:
|
|
|
+ log.info(f"{future_code} 没有前一交易日数据，可能是新上市品种或长假后首日")
|
|
|
+ # 使用今天9:00开始的数据作为备选
|
|
|
+ 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'])
|
|
|
+
|
|
|
+ previous_trading_date = max(previous_trading_dates)
|
|
|
+ # log.debug(f"前一交易日: {previous_trading_date}")
|
|
|
+
|
|
|
+ # 计算距离前一交易日的天数
|
|
|
+ days_gap = (today_date - previous_trading_date).days
|
|
|
+
|
|
|
+ # 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]
|
|
|
+ # log.debug(f"夜盘品种，从{start_time}开始，数据量: {len(filtered_data)}")
|
|
|
+ return filtered_data.drop(columns=['date'])
|
|
|
+ else:
|
|
|
+ # 如果找不到21:00的数据，判断是否是因为假期
|
|
|
+ if days_gap > 3:
|
|
|
+ log.info(f"{future_code} 距离前一交易日{days_gap}天，可能是长假期间，使用日盘数据")
|
|
|
+ else:
|
|
|
+ log.info(f"{future_code} 前一交易日无21:00夜盘数据，可能该日无夜盘交易")
|
|
|
+
|
|
|
+ # 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:
|
|
|
+ log.debug(f"日盘品种，从今天9:00开始，数据量: {len(day_9_data)}")
|
|
|
+ return day_9_data.drop(columns=['date'])
|
|
|
+ else:
|
|
|
+ log.info(f"{future_code} 今天无9:00日盘数据，可能是休市日")
|
|
|
+ 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 combine_and_calculate_ma(historical_data, minute_data):
|
|
|
+ """合并历史数据和分钟数据，计算均线"""
|
|
|
+ try:
|
|
|
+ # 将分钟数据聚合为日数据
|
|
|
+ today_data = aggregate_minute_to_daily(minute_data)
|
|
|
+ if today_data is None:
|
|
|
+ return None
|
|
|
+
|
|
|
+ # 合并历史数据和今日数据
|
|
|
+ combined_data = pd.concat([historical_data, today_data])
|
|
|
+
|
|
|
+ # 计算移动平均线
|
|
|
+ combined_data['MA5'] = combined_data['close'].rolling(window=5).mean()
|
|
|
+ combined_data['MA10'] = combined_data['close'].rolling(window=10).mean()
|
|
|
+ combined_data['MA20'] = combined_data['close'].rolling(window=20).mean()
|
|
|
+ combined_data['MA30'] = combined_data['close'].rolling(window=30).mean()
|
|
|
+
|
|
|
+ return combined_data
|
|
|
+
|
|
|
+ except Exception as e:
|
|
|
+ log.warning(f"合并数据和计算均线时出错: {str(e)}")
|
|
|
+ return None
|
|
|
+
|
|
|
+def aggregate_minute_to_daily(minute_data):
|
|
|
+ """将分钟数据聚合为日数据
|
|
|
+ 注意：传入的minute_data已经是经过过滤的今日交易数据
|
|
|
+ - 对于有夜盘的品种：数据从前一交易日21:00开始
|
|
|
+ - 对于无夜盘的品种：数据从当日9:00开始
|
|
|
+ 开盘价(open)是第一个分钟K线的开盘价（今日交易开盘价）
|
|
|
+ 收盘价(close)是当前最新的分钟K线收盘价，会随时间更新
|
|
|
+ """
|
|
|
+ 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()
|
|
|
+ # log.debug(f"聚合数据范围: {minute_data.index[0]} 到 {minute_data.index[-1]}")
|
|
|
+ # log.debug(f"开盘价数据: {minute_data['open'].iloc[0]:.2f}")
|
|
|
+
|
|
|
+ # 聚合为日数据
|
|
|
+ # 开盘价：今日交易开始时的第一个分钟K线的开盘价（固定不变）
|
|
|
+ # 收盘价：当前最新分钟K线的收盘价（实时更新）
|
|
|
+ # 最高价：所有分钟K线中的最高价
|
|
|
+ # 最低价：所有分钟K线中的最低价
|
|
|
+ # 成交量：所有分钟K线成交量的总和
|
|
|
+ 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)])
|
|
|
+
|
|
|
+ # log.debug(f"聚合后的日数据: 开盘价={daily_data['open'].iloc[0]:.2f}, 收盘价={daily_data['close'].iloc[0]:.2f}")
|
|
|
+
|
|
|
+ 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_gap_opening(historical_data, minute_data):
|
|
|
+ """
|
|
|
+ 检查开盘是否跳空
|
|
|
+ :param historical_data: 历史日线数据
|
|
|
+ :param minute_data: 今日分钟数据
|
|
|
+ :return: 跳空检查结果字典
|
|
|
+ """
|
|
|
+ try:
|
|
|
+ if historical_data is None or len(historical_data) == 0 or minute_data is None or len(minute_data) == 0:
|
|
|
+ return {'has_gap': False, 'gap_ratio': 0.0}
|
|
|
+
|
|
|
+ # 获取前一交易日收盘价
|
|
|
+ previous_close = historical_data['close'].iloc[-1]
|
|
|
+
|
|
|
+ # 获取今日开盘价
|
|
|
+ today_open = minute_data['open'].iloc[0]
|
|
|
+
|
|
|
+ # 计算跳空比例
|
|
|
+ gap_ratio = abs(today_open - previous_close) / previous_close
|
|
|
+
|
|
|
+ # 判断是否跳空
|
|
|
+ has_gap = gap_ratio >= g.gap_ratio_threshold
|
|
|
+
|
|
|
+ return {
|
|
|
+ 'has_gap': has_gap,
|
|
|
+ 'gap_ratio': gap_ratio,
|
|
|
+ 'previous_close': previous_close,
|
|
|
+ 'today_open': today_open
|
|
|
+ }
|
|
|
+
|
|
|
+ except Exception as e:
|
|
|
+ log.warning(f"检查跳空开盘时出错: {str(e)}")
|
|
|
+ return {'has_gap': False, 'gap_ratio': 0.0}
|
|
|
+
|
|
|
+############################ 原有函数保持不变 ###################################
|
|
|
+
|
|
|
+def check_latest_multi_ma_cross(data, future_code):
|
|
|
+ """检查最新的多均线穿越情况"""
|
|
|
+ if len(data) < 2:
|
|
|
+ return None
|
|
|
+
|
|
|
+ # 获取最新两天的数据
|
|
|
+ today = data.iloc[-1]
|
|
|
+ yesterday = data.iloc[-2]
|
|
|
+ # log.debug(f"today: {today}")
|
|
|
+ # log.debug(f"yesterday: {yesterday}")
|
|
|
+
|
|
|
+ # 检查多均线穿越
|
|
|
+ cross_result = check_multi_ma_cross_single_day(today)
|
|
|
+ if not cross_result:
|
|
|
+ return None
|
|
|
+
|
|
|
+ # TODO：验证穿越的有效性，暂时感觉没用先注释了
|
|
|
+ # 验证穿越的有效性
|
|
|
+ # if not validate_ma_cross(today, yesterday):
|
|
|
+ # return None
|
|
|
+
|
|
|
+ return {
|
|
|
+ 'symbol': future_code,
|
|
|
+ 'date': today.name,
|
|
|
+ 'direction': cross_result['direction'],
|
|
|
+ 'open': today['open'],
|
|
|
+ 'close': today['close'],
|
|
|
+ 'high': today['high'],
|
|
|
+ 'low': today['low'],
|
|
|
+ 'ma5': today['MA5'],
|
|
|
+ 'ma10': today['MA10'],
|
|
|
+ 'ma20': today['MA20'],
|
|
|
+ 'ma30': today['MA30'],
|
|
|
+ 'critical_ma_name': cross_result['critical_ma_name'],
|
|
|
+ 'critical_ma_value': cross_result['critical_ma_value'],
|
|
|
+ 'crossed_count': cross_result['crossed_count']
|
|
|
+ }
|
|
|
+
|
|
|
+def check_multi_ma_cross_single_day(row):
|
|
|
+ """检查单日K线是否穿越了至少3条均线，并返回临界线信息"""
|
|
|
+ open_price = row['open']
|
|
|
+ close_price = row['close']
|
|
|
+ ma_values = [('MA5', row['MA5']), ('MA10', row['MA10']), ('MA20', row['MA20']), ('MA30', row['MA30'])]
|
|
|
+ log.debug(f"open_price: {open_price}, close_price: {close_price}, ma_values: {ma_values}")
|
|
|
+
|
|
|
+ # 检查是否有NaN值
|
|
|
+ if pd.isna(row['MA5']) or pd.isna(row['MA10']) or pd.isna(row['MA20']) or pd.isna(row['MA30']):
|
|
|
+ return None
|
|
|
+
|
|
|
+ # 如果开盘价和收盘价相等，不可能有穿越
|
|
|
+ if open_price == close_price:
|
|
|
+ return None
|
|
|
+
|
|
|
+ # 1. 统计开盘价和均线的高低关系
|
|
|
+ open_above_count = 0 # 开盘价高于均线的数量
|
|
|
+ open_below_count = 0 # 开盘价低于均线的数量
|
|
|
+ open_above_mas = [] # 开盘价高于的均线列表
|
|
|
+ open_below_mas = [] # 开盘价低于的均线列表
|
|
|
+
|
|
|
+ for ma_name, ma_value in ma_values:
|
|
|
+ if open_price > ma_value:
|
|
|
+ open_above_count += 1
|
|
|
+ open_above_mas.append((ma_name, ma_value))
|
|
|
+ elif open_price < ma_value:
|
|
|
+ open_below_count += 1
|
|
|
+ open_below_mas.append((ma_name, ma_value))
|
|
|
+
|
|
|
+ # 2. 统计收盘价和均线的高低关系
|
|
|
+ close_above_count = 0 # 收盘价高于均线的数量
|
|
|
+ close_below_count = 0 # 收盘价低于均线的数量
|
|
|
+ close_above_mas = [] # 收盘价高于的均线列表
|
|
|
+ close_below_mas = [] # 收盘价低于的均线列表
|
|
|
+
|
|
|
+ for ma_name, ma_value in ma_values:
|
|
|
+ if close_price > ma_value:
|
|
|
+ close_above_count += 1
|
|
|
+ close_above_mas.append((ma_name, ma_value))
|
|
|
+ elif close_price < ma_value:
|
|
|
+ close_below_count += 1
|
|
|
+ close_below_mas.append((ma_name, ma_value))
|
|
|
+
|
|
|
+ # 3. 计算穿越情况
|
|
|
+ # 上穿：收盘价高于的数量比开盘价高于的数量增加了
|
|
|
+ upward_cross_count = close_above_count - open_above_count
|
|
|
+ # 下穿：收盘价低于的数量比开盘价低于的数量增加了
|
|
|
+ downward_cross_count = close_below_count - open_below_count
|
|
|
+
|
|
|
+ log.debug(f"开盘价高于均线数量: {open_above_count}, 收盘价高于均线数量: {close_above_count}")
|
|
|
+ log.debug(f"开盘价低于均线数量: {open_below_count}, 收盘价低于均线数量: {close_below_count}")
|
|
|
+ log.debug(f"上穿数量: {upward_cross_count}, 下穿数量: {downward_cross_count}")
|
|
|
+
|
|
|
+ # 4. 判断是否满足最少穿越条件并找到临界线
|
|
|
+ if upward_cross_count >= g.min_cross_mas:
|
|
|
+ # 上穿：找到被穿越的均线中值最大的一条作为临界线
|
|
|
+ # 被穿越的均线是那些开盘价低于但收盘价高于的均线
|
|
|
+ crossed_mas = []
|
|
|
+ crossed_ma_names = []
|
|
|
+ for ma_name, ma_value in ma_values:
|
|
|
+ if open_price <= ma_value and close_price > ma_value:
|
|
|
+ crossed_mas.append((ma_name, ma_value))
|
|
|
+ crossed_ma_names.append(ma_name)
|
|
|
+
|
|
|
+ if len(crossed_mas) > 0:
|
|
|
+ # 找到值最大的被穿越均线
|
|
|
+ critical_ma = max(crossed_mas, key=lambda x: x[1])
|
|
|
+ return {
|
|
|
+ 'direction': 'up',
|
|
|
+ 'critical_ma_name': critical_ma[0],
|
|
|
+ 'critical_ma_value': critical_ma[1],
|
|
|
+ 'crossed_count': upward_cross_count,
|
|
|
+ 'crossed_ma_names': crossed_ma_names # 添加被穿越的均线名称列表
|
|
|
+ }
|
|
|
+
|
|
|
+ elif downward_cross_count >= g.min_cross_mas:
|
|
|
+ # 下穿：找到被穿越的均线中值最小的一条作为临界线
|
|
|
+ # 被穿越的均线是那些开盘价高于但收盘价低于的均线
|
|
|
+ crossed_mas = []
|
|
|
+ crossed_ma_names = []
|
|
|
+ for ma_name, ma_value in ma_values:
|
|
|
+ if open_price >= ma_value and close_price < ma_value:
|
|
|
+ crossed_mas.append((ma_name, ma_value))
|
|
|
+ crossed_ma_names.append(ma_name)
|
|
|
+
|
|
|
+ if len(crossed_mas) > 0:
|
|
|
+ # 找到值最小的被穿越均线
|
|
|
+ critical_ma = min(crossed_mas, key=lambda x: x[1])
|
|
|
+ return {
|
|
|
+ 'direction': 'down',
|
|
|
+ 'critical_ma_name': critical_ma[0],
|
|
|
+ 'critical_ma_value': critical_ma[1],
|
|
|
+ 'crossed_count': downward_cross_count,
|
|
|
+ 'crossed_ma_names': crossed_ma_names # 添加被穿越的均线名称列表
|
|
|
+ }
|
|
|
+
|
|
|
+ return None
|
|
|
+
|
|
|
+def validate_ma_cross(today, yesterday):
|
|
|
+ """验证均线穿越的有效性"""
|
|
|
+ # 检查均线排列是否合理
|
|
|
+ ma_today = [today['MA5'], today['MA10'], today['MA20'], today['MA30']]
|
|
|
+ ma_yesterday = [yesterday['MA5'], yesterday['MA10'], yesterday['MA20'], yesterday['MA30']]
|
|
|
+
|
|
|
+ # 简单的均线排列检查
|
|
|
+ # 可以根据需要添加更复杂的验证逻辑
|
|
|
+ return True
|
|
|
+
|
|
|
+def check_sufficient_capital(context, symbol):
|
|
|
+ """检查资金是否充足"""
|
|
|
+ try:
|
|
|
+ # 计算单手保证金
|
|
|
+ single_hand_margin = calculate_required_margin(context, symbol)
|
|
|
+ # 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_position(signal):
|
|
|
+ """检查价格位置的合理性"""
|
|
|
+ close = signal['close']
|
|
|
+ critical_ma_value = signal['critical_ma_value']
|
|
|
+
|
|
|
+ # 检查收盘价与临界线的偏离度
|
|
|
+ deviation = abs(close - critical_ma_value) / critical_ma_value
|
|
|
+
|
|
|
+ # 偏离度需要在合理范围内：大于最小偏离度且小于最大偏离度
|
|
|
+ if deviation < g.price_deviation_min:
|
|
|
+ log.warning(f"价格偏离度过小: {deviation:.3%} < {g.price_deviation_min:.1%}")
|
|
|
+ return False
|
|
|
+ elif deviation > g.price_deviation_max:
|
|
|
+ log.warning(f"价格偏离度过大: {deviation:.3%} > {g.price_deviation_max:.1%}")
|
|
|
+ return False
|
|
|
+ else:
|
|
|
+ log.info(f"价格偏离度合理: {g.price_deviation_min:.1%} <= {deviation:.3%} <= {g.price_deviation_max:.1%}")
|
|
|
+ return True
|
|
|
+
|
|
|
+def check_daily_change_ratio(signal):
|
|
|
+ """检查日内变化比例是否满足条件"""
|
|
|
+ open_price = signal['open']
|
|
|
+ close_price = signal['close']
|
|
|
+
|
|
|
+ # 计算日内变化比例
|
|
|
+ if open_price == 0:
|
|
|
+ log.warning("开盘价为0，无法计算日内变化比例")
|
|
|
+ return False
|
|
|
+
|
|
|
+ daily_change_ratio = abs(close_price - open_price) / open_price
|
|
|
+
|
|
|
+ # 检查是否满足最小变化比例要求
|
|
|
+ if daily_change_ratio >= g.daily_change_threshold:
|
|
|
+ log.info(f"日内变化比例满足条件: {daily_change_ratio:.3%} >= {g.daily_change_threshold:.1%}")
|
|
|
+ return True
|
|
|
+ else:
|
|
|
+ log.warning(f"日内变化比例不足: {daily_change_ratio:.3%} < {g.daily_change_threshold:.1%}")
|
|
|
+ return False
|
|
|
+
|
|
|
+############################ 交易执行函数 ###################################
|
|
|
+
|
|
|
+def open_position(context, security, value, direction, signal):
|
|
|
+ """开仓"""
|
|
|
+ try:
|
|
|
+ # 记录交易前的可用资金
|
|
|
+ cash_before = context.portfolio.available_cash
|
|
|
+
|
|
|
+ order = order_target_value(security, value, side=direction)
|
|
|
+ log.debug(f"order: {order}")
|
|
|
+
|
|
|
+ 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
|
|
|
+
|
|
|
+ # 计算实际保证金比例
|
|
|
+ underlying_symbol = security.split('.')[0][:-4]
|
|
|
+ multiplier = get_multiplier(underlying_symbol)
|
|
|
+
|
|
|
+ # 单笔保证金 = 资金变化 / 数量
|
|
|
+ single_margin = cash_change / order_amount if order_amount > 0 else 0
|
|
|
+
|
|
|
+ # 实际保证金比例 = 单笔保证金 / (订单价格 * 合约乘数)
|
|
|
+ contract_value = order_price * multiplier
|
|
|
+ actual_margin_rate = single_margin / contract_value if contract_value > 0 else 0
|
|
|
+
|
|
|
+ # 校准保证金比例（只有变化大于1%时才更新）
|
|
|
+ current_rate = get_margin_rate(underlying_symbol, direction)
|
|
|
+ rate_change = abs(actual_margin_rate - current_rate) / current_rate if current_rate > 0 else 0
|
|
|
+
|
|
|
+ if rate_change > 0.01: # 变化大于1%
|
|
|
+ # 记录保证金比例变化历史
|
|
|
+ history_key = f"{underlying_symbol}_{direction}"
|
|
|
+ if history_key not in g.margin_rate_history:
|
|
|
+ g.margin_rate_history[history_key] = []
|
|
|
+
|
|
|
+ g.margin_rate_history[history_key].append({
|
|
|
+ 'date': context.current_dt.date(),
|
|
|
+ 'time': context.current_dt.time(),
|
|
|
+ 'old_rate': current_rate,
|
|
|
+ 'new_rate': actual_margin_rate,
|
|
|
+ 'change_pct': rate_change * 100,
|
|
|
+ 'security': security
|
|
|
+ })
|
|
|
+
|
|
|
+ # 直接更新配置字典中的保证金比例
|
|
|
+ if underlying_symbol in g.futures_config:
|
|
|
+ g.futures_config[underlying_symbol]['margin_rate'][direction] = actual_margin_rate
|
|
|
+
|
|
|
+ log.debug(f"保证金比例校准: {underlying_symbol}_{direction} {current_rate:.4f} -> {actual_margin_rate:.4f} (变化{rate_change*100:.1f}%)")
|
|
|
+
|
|
|
+ # 记录当日交易
|
|
|
+ g.today_trades.append({
|
|
|
+ 'security': security, # 交易标的
|
|
|
+ 'underlying_symbol': underlying_symbol, # 标的字母
|
|
|
+ 'direction': direction, # 方向
|
|
|
+ 'order_amount': order_amount, # 开仓数量
|
|
|
+ 'order_price': order_price, # 开仓金额
|
|
|
+ 'cash_change': cash_change, # 现金变化
|
|
|
+ 'actual_margin_rate': actual_margin_rate, # 实际保证金率
|
|
|
+ 'time': context.current_dt # 成交日期
|
|
|
+ })
|
|
|
+
|
|
|
+ # 记录交易信息
|
|
|
+ g.trade_history[security] = {
|
|
|
+ 'entry_price': order_price, # 成交价格
|
|
|
+ 'position_value': value, # 开仓金额
|
|
|
+ 'actual_margin': cash_change, # 实际保证金
|
|
|
+ 'direction': direction, # 方向
|
|
|
+ 'entry_time': context.current_dt, # 开仓时间
|
|
|
+ 'signal_info': signal # 信号信息
|
|
|
+ }
|
|
|
+
|
|
|
+ log.debug(f"开仓成功 - 品种: {underlying_symbol}, 手数: {order_amount}, 订单价格: {order_price:.2f}")
|
|
|
+ log.debug(f"资金变化: {cash_change:.0f}, 实际保证金比例: {actual_margin_rate:.4f}")
|
|
|
+ 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"""
|
|
|
+ try:
|
|
|
+ order = order_target_value(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
|
|
|
+ 'actual_margin_rate': 0,
|
|
|
+ 'time': context.current_dt
|
|
|
+ })
|
|
|
+
|
|
|
+ log.info(f"平仓成功 - 品种: {underlying_symbol}, 手数: {order.filled}")
|
|
|
+
|
|
|
+ # 从交易历史中移除
|
|
|
+ if security in g.trade_history:
|
|
|
+ del g.trade_history[security]
|
|
|
+
|
|
|
+ # 清理与该持仓相关的数据
|
|
|
+ clear_position_related_data(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"""
|
|
|
+ security = position.security
|
|
|
+
|
|
|
+ if security not in g.trade_history:
|
|
|
+ return False
|
|
|
+
|
|
|
+ trade_info = g.trade_history[security]
|
|
|
+
|
|
|
+ # 检查固定金额止盈止损
|
|
|
+ # fixed_amount_stop_result = check_fixed_amount_stop(context, security, position, trade_info)
|
|
|
+ # if fixed_amount_stop_result:
|
|
|
+ # return True
|
|
|
+
|
|
|
+ # 跟踪均线止损止盈
|
|
|
+ tracking_stop_result = check_tracking_ma_stop(context, security, position, trade_info)
|
|
|
+ if tracking_stop_result:
|
|
|
+ return True
|
|
|
+
|
|
|
+ return False
|
|
|
+
|
|
|
+def check_fixed_amount_stop(context, security, position, trade_info):
|
|
|
+ """
|
|
|
+ 检查固定金额止盈止损
|
|
|
+ :param context: 上下文对象
|
|
|
+ :param security: 标的代码
|
|
|
+ :param position: 持仓对象
|
|
|
+ :param trade_info: 交易信息
|
|
|
+ :return: 是否触发止损止盈
|
|
|
+ """
|
|
|
+ try:
|
|
|
+ direction = trade_info['direction']
|
|
|
+ entry_price = trade_info['entry_price']
|
|
|
+ current_price = position.price
|
|
|
+
|
|
|
+ # 计算当前盈亏
|
|
|
+ underlying_symbol = security.split('.')[0][:-4]
|
|
|
+ multiplier = get_multiplier(underlying_symbol)
|
|
|
+
|
|
|
+ if direction == 'long':
|
|
|
+ profit_loss = (current_price - entry_price) * multiplier * abs(position.total_amount)
|
|
|
+ else:
|
|
|
+ profit_loss = (entry_price - current_price) * multiplier * abs(position.total_amount)
|
|
|
+
|
|
|
+ # 检查是否达到固定金额阈值
|
|
|
+ if abs(profit_loss) >= g.fixed_profit_threshold:
|
|
|
+ if profit_loss > 0:
|
|
|
+ log.info(f"触发固定金额止盈 {security} {direction}")
|
|
|
+ log.info(f"盈利金额: {profit_loss:.0f} >= {g.fixed_profit_threshold}")
|
|
|
+ else:
|
|
|
+ log.info(f"触发固定金额止损 {security} {direction}")
|
|
|
+ log.info(f"亏损金额: {abs(profit_loss):.0f} >= {g.fixed_profit_threshold}")
|
|
|
+
|
|
|
+ log.info(f"开仓价格: {entry_price:.2f}, 当前价格: {current_price:.2f}")
|
|
|
+ close_position(context, security, direction)
|
|
|
+ return True
|
|
|
+
|
|
|
+ return False
|
|
|
+
|
|
|
+ except Exception as e:
|
|
|
+ log.warning(f"检查固定金额止损时出错 {security}: {str(e)}")
|
|
|
+ return False
|
|
|
+
|
|
|
+def check_tracking_ma_stop(context, security, position, trade_info):
|
|
|
+ """
|
|
|
+ 检查跟踪均线止损止盈（简化版：默认使用MA5均线）
|
|
|
+ :param context: 上下文对象
|
|
|
+ :param security: 标的代码
|
|
|
+ :param position: 持仓对象
|
|
|
+ :param trade_info: 交易信息
|
|
|
+ :return: 是否触发止损止盈
|
|
|
+ """
|
|
|
+ try:
|
|
|
+ direction = trade_info['direction']
|
|
|
+ entry_price = trade_info['entry_price']
|
|
|
+ current_price = position.price
|
|
|
+
|
|
|
+ # 获取最新的均线数据
|
|
|
+ if security not in g.ma_data_cache:
|
|
|
+ return False
|
|
|
+
|
|
|
+ ma_data = g.ma_data_cache[security]
|
|
|
+ if len(ma_data) == 0:
|
|
|
+ return False
|
|
|
+
|
|
|
+ latest_data = ma_data.iloc[-1]
|
|
|
+
|
|
|
+ # 默认使用MA5均线作为跟踪止损线
|
|
|
+ ma5 = latest_data['MA5']
|
|
|
+
|
|
|
+ # 检查是否有NaN值
|
|
|
+ if pd.isna(ma5):
|
|
|
+ return False
|
|
|
+
|
|
|
+ # 使用MA5作为止损均线
|
|
|
+ stop_ma_price = ma5
|
|
|
+ stop_ma_name = 'MA5'
|
|
|
+
|
|
|
+ log.debug(f"使用默认跟踪均线: {stop_ma_name}({stop_ma_price:.2f})")
|
|
|
+
|
|
|
+ # 计算止损均线的收益水平
|
|
|
+ underlying_symbol = security.split('.')[0][:-4]
|
|
|
+ multiplier = get_multiplier(underlying_symbol)
|
|
|
+
|
|
|
+ if direction == 'long':
|
|
|
+ ma_profit = (stop_ma_price - entry_price) * multiplier * abs(position.total_amount)
|
|
|
+ else:
|
|
|
+ ma_profit = (entry_price - stop_ma_price) * multiplier * abs(position.total_amount)
|
|
|
+
|
|
|
+ # 获取跳空信息
|
|
|
+ gap_info = g.gap_check_results.get(security, {'has_gap': False})
|
|
|
+ has_gap = gap_info['has_gap']
|
|
|
+
|
|
|
+ # 判断是否盘尾
|
|
|
+ current_time = context.current_dt.strftime('%H:%M:%S')
|
|
|
+ is_market_close = current_time in g.market_close_times
|
|
|
+
|
|
|
+ # 确定止损比例
|
|
|
+ stop_ratio = get_tracking_stop_ratio(ma_profit, has_gap, is_market_close)
|
|
|
+
|
|
|
+ # 计算止损价格
|
|
|
+ if direction == 'long':
|
|
|
+ stop_price = stop_ma_price * (1 - stop_ratio)
|
|
|
+ should_stop = current_price <= stop_price
|
|
|
+ else:
|
|
|
+ stop_price = stop_ma_price * (1 + stop_ratio)
|
|
|
+ should_stop = current_price >= stop_price
|
|
|
+ log.debug(f"has_gap: {has_gap}, ma_profit: {ma_profit}, stop_ma_price: {stop_ma_price}, stop_ratio: {stop_ratio}, stop_price: {stop_price}, should_stop: {should_stop}")
|
|
|
+
|
|
|
+ if should_stop:
|
|
|
+ log.info(f"触发跟踪均线止损 {security} {direction}")
|
|
|
+ log.info(f"止损均线: {stop_ma_name}({stop_ma_price:.2f}), 方向: {direction}, 收益: {ma_profit:.0f}, 跳空: {has_gap}, 盘尾: {is_market_close}")
|
|
|
+ log.info(f"止损比例: {stop_ratio:.4f}, 止损价格: {stop_price:.2f}, 当前价格: {current_price:.2f}")
|
|
|
+ close_position(context, security, direction)
|
|
|
+ return True
|
|
|
+
|
|
|
+ return False
|
|
|
+
|
|
|
+ except Exception as e:
|
|
|
+ log.warning(f"检查跟踪均线止损时出错 {security}: {str(e)}")
|
|
|
+ return False
|
|
|
+
|
|
|
+def get_tracking_stop_ratio(ma_profit, has_gap, is_market_close):
|
|
|
+ """
|
|
|
+ 根据均线收益、跳空情况、盘中盘尾确定止损比例
|
|
|
+ :param ma_profit: 止损均线的收益水平
|
|
|
+ :param has_gap: 是否跳空
|
|
|
+ :param is_market_close: 是否盘尾
|
|
|
+ :return: 止损比例
|
|
|
+ """
|
|
|
+ # 根据收益水平分区
|
|
|
+ if ma_profit < g.profit_thresholds[0]: # 收益 < 5000
|
|
|
+ if is_market_close: # 盘尾
|
|
|
+ if has_gap:
|
|
|
+ return g.stop_ratios[0] # 0.25%
|
|
|
+ else:
|
|
|
+ return g.stop_ratios[1] # 0.5%
|
|
|
+ else: # 盘中
|
|
|
+ if has_gap:
|
|
|
+ return g.stop_ratios[1] # 0.5%
|
|
|
+ else:
|
|
|
+ return g.stop_ratios[2] # 1%
|
|
|
+ elif ma_profit < g.profit_thresholds[1]: # 5000 <= 收益 < 15000
|
|
|
+ if is_market_close: # 盘尾
|
|
|
+ return g.stop_ratios[1] # 0.5%
|
|
|
+ else: # 盘中
|
|
|
+ return g.stop_ratios[2] # 1%
|
|
|
+ else: # 收益 >= 15000
|
|
|
+ if is_market_close: # 盘尾
|
|
|
+ return g.stop_ratios[2] # 1%
|
|
|
+ else: # 盘中
|
|
|
+ return g.stop_ratios[3] # 2%
|
|
|
+
|
|
|
+############################ 辅助函数 ###################################
|
|
|
+
|
|
|
+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
|
|
|
+ :param underlying_symbol: 品种符号，如 'AU', 'PF' 等
|
|
|
+ :param config_key: 配置键，如 'multiplier', 'has_night_session' 等
|
|
|
+ :param default_value: 默认值
|
|
|
+ :return: 配置值或整个配置字典
|
|
|
+ """
|
|
|
+ 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
|
|
|
+ :param underlying_symbol: 品种符号
|
|
|
+ :param direction: 方向 'long' 或 'short'
|
|
|
+ :param default_rate: 默认保证金比例
|
|
|
+ :return: 保证金比例
|
|
|
+ """
|
|
|
+ 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
|
|
|
+ :param underlying_symbol: 品种符号
|
|
|
+ :param default_multiplier: 默认合约乘数
|
|
|
+ :return: 合约乘数
|
|
|
+ """
|
|
|
+ return g.futures_config.get(underlying_symbol, {}).get('multiplier', default_multiplier)
|
|
|
+
|
|
|
+def calculate_order_value(context, security, direction):
|
|
|
+ """计算开仓金额"""
|
|
|
+ current_price = get_current_data()[security].last_price
|
|
|
+ underlying_symbol = security.split('.')[0][:-4]
|
|
|
+
|
|
|
+ # 使用保证金比例（已经过校准）
|
|
|
+ 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
|
|
|
+ log.debug(f"可用资金: {available_cash:.0f}")
|
|
|
+
|
|
|
+ # 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)
|
|
|
+
|
|
|
+ # 实际保证金金额
|
|
|
+ actual_margin = current_price * multiplier * margin_rate * actual_hands
|
|
|
+
|
|
|
+ # 计算订单金额
|
|
|
+ order_value = actual_margin
|
|
|
+
|
|
|
+ log.debug(f"单手保证金: {single_hand_margin:.0f}, 最大手数(保证金限制): {max_hands}, 最大手数(资金限制): {max_hands_by_cash}, 实际开仓手数: {actual_hands}, 实际保证金: {actual_margin:.0f}")
|
|
|
+ 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 = current_price * multiplier * margin_rate * actual_hands
|
|
|
+
|
|
|
+ # 计算订单金额
|
|
|
+ order_value = actual_margin
|
|
|
+
|
|
|
+ log.debug(f"单手保证金: {single_hand_margin:.0f} 超过最大限制: {max_margin}, 默认开仓1手, 实际保证金: {actual_margin:.0f}")
|
|
|
+
|
|
|
+ log.debug(f"计算结果 - 品种: {underlying_symbol}, 开仓手数: {actual_hands}, 订单金额: {order_value:.0f}, 实际保证金: {actual_margin:.0f}")
|
|
|
+
|
|
|
+ return order_value
|
|
|
+
|
|
|
+def calculate_required_margin(context, symbol):
|
|
|
+ """计算所需保证金"""
|
|
|
+ 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)
|
|
|
+
|
|
|
+ return current_price * multiplier * margin_rate
|
|
|
+
|
|
|
+def check_symbol_prefix_match(symbol, hold_symbols):
|
|
|
+ """检查是否有相似的持仓品种"""
|
|
|
+ symbol_prefix = symbol[:-9]
|
|
|
+
|
|
|
+ for hold_symbol in hold_symbols:
|
|
|
+ hold_symbol_prefix = hold_symbol[:-9]
|
|
|
+ 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)
|
|
|
+ print_margin_rate_changes(context)
|
|
|
+
|
|
|
+ # 打印内存使用报告
|
|
|
+ memory_usage_report()
|
|
|
+
|
|
|
+ # 清理当天临时数据
|
|
|
+ clear_daily_transient_data()
|
|
|
+
|
|
|
+ # 清理过期的持续数据（保留最近5天）
|
|
|
+ clear_expired_persistent_data(context, days_to_keep=5)
|
|
|
+
|
|
|
+ # 优化历史数据缓存（保留最多50个品种）
|
|
|
+ optimize_daily_data_cache(max_symbols=50)
|
|
|
+
|
|
|
+ log.info('##############################################################')
|
|
|
+
|
|
|
+def print_daily_trading_summary(context):
|
|
|
+ """打印当日交易汇总"""
|
|
|
+ if not g.today_trades:
|
|
|
+ return
|
|
|
+
|
|
|
+ log.debug("\n=== 当日交易汇总 ===")
|
|
|
+ total_margin = 0
|
|
|
+
|
|
|
+ for trade in g.today_trades:
|
|
|
+ if trade['order_amount'] > 0: # 开仓
|
|
|
+ log.debug(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} "
|
|
|
+ f"比例:{trade['actual_margin_rate']:.4f}")
|
|
|
+ total_margin += trade['cash_change']
|
|
|
+ else: # 平仓
|
|
|
+ log.debug(f"平仓 {trade['underlying_symbol']} {trade['direction']} {abs(trade['order_amount'])}手 "
|
|
|
+ f"价格:{trade['order_price']:.2f}")
|
|
|
+
|
|
|
+ log.debug(f"当日保证金占用: {total_margin:.0f}")
|
|
|
+ log.debug("==================\n")
|
|
|
+
|
|
|
+def print_margin_rate_changes(context):
|
|
|
+ """打印保证金比例变化记录"""
|
|
|
+ if not g.margin_rate_history:
|
|
|
+ return
|
|
|
+
|
|
|
+ log.debug("\n=== 保证金比例变化记录 ===")
|
|
|
+ for key, history in g.margin_rate_history.items():
|
|
|
+ log.debug(f"{key}:")
|
|
|
+ for record in history:
|
|
|
+ log.debug(f" {record['date']} {record['time']}: {record['old_rate']:.4f} -> {record['new_rate']:.4f} "
|
|
|
+ f"(变化{record['change_pct']:.1f}%)")
|
|
|
+ log.debug("========================\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。
|
|
|
+ :param context: 上下文对象
|
|
|
+ :param pindex: 子仓对象
|
|
|
+ :param switch_func: 用户自定义的移仓换月函数.
|
|
|
+ 函数原型必须满足: func(context, pindex, previous_dominant_future_position, current_dominant_future_symbol)
|
|
|
+ :param callback: 移仓换月完成后的回调函数。
|
|
|
+ 函数原型必须满足: func(context, pindex, previous_dominant_future_position, current_dominant_future_symbol)
|
|
|
+ :return: 发生移仓换月的标的。类型为列表。
|
|
|
+ """
|
|
|
+ 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))
|
|
|
+ raise ValueError("Unknow target: {}".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'current_hold_symbol: {symbol}, current_main_symbol: {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))
|
|
|
+ log.warning("Can't close {} position due to the limit up. Cancelling the exchange.".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(symbol))
|
|
|
+ log.warning("Can't close {} position due to the limit down. Cancelling the exchange.".format(symbol))
|
|
|
+ continue
|
|
|
+ else:
|
|
|
+ # log.info("进行移仓换月: ({0},long) -> ({1},long)".format(symbol, dominant))
|
|
|
+ log.info("Start the exchange: ({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
|
|
|
+ g.trade_history[dominant] = g.trade_history[symbol]
|
|
|
+ del g.trade_history[symbol]
|
|
|
+ else:
|
|
|
+ # log.warning("标的{}交易失败，无法开仓。移仓换月取消。".format(domaint))
|
|
|
+ log.warning("Trade of {} failed, no new positions. Cancelling the exchange.".format(dominant))
|
|
|
+ # 换月中的买成功了，卖失败了，则在换月记录里增加新的记录，在交易记录里去掉旧的记录
|
|
|
+ log.warning(f'换月多头失败{dominant}, {g.trade_history[symbol]}')
|
|
|
+ g.historical_data['change_fail_history'][dominant] = g.trade_history[symbol]
|
|
|
+ del g.trade_history[symbol]
|
|
|
+ if callback:
|
|
|
+ callback(context, pindex, p, 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))
|
|
|
+ log.warning("Can't close {} position due to the limit up. Cancelling the exchange.".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(symbol))
|
|
|
+ log.warning("Can't close {} position due to the limit down. Cancelling the exchange.".format(symbol))
|
|
|
+ continue
|
|
|
+ else:
|
|
|
+ # log.info("进行移仓换月: ({0},short) -> ({1},short)".format(symbol, dominant))
|
|
|
+ log.info("Start the exchange: ({0},short) -> ({1},short)".format(symbol, dominant))
|
|
|
+ order_old = order_target(symbol,0,side='short')
|
|
|
+ if order_old != None and order_old.filled > 0:
|
|
|
+ log.info(f'换月做空{dominant},数量位{amount}')
|
|
|
+ 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
|
|
|
+ g.trade_history[dominant] = g.trade_history[symbol]
|
|
|
+ del g.trade_history[symbol]
|
|
|
+ else:
|
|
|
+ # log.warning("标的{}交易失败，无法开仓。移仓换月取消。".format(dominant))
|
|
|
+ log.warning("Trade of {} failed, no new positions. Cancelling the exchange.".format(dominant))
|
|
|
+ # 换月中的买成功了，卖失败了，则在换月记录里增加新的记录，在交易记录里去掉旧的记录
|
|
|
+ log.warning(f'换月空头失败{dominant}, {g.trade_history[symbol]}')
|
|
|
+ g.historical_data['change_fail_history'][dominant] = g.trade_history[symbol]
|
|
|
+ log.warning(f'失败记录{g.historical_data["change_fail_history"]}')
|
|
|
+ del g.trade_history[symbol]
|
|
|
+ # order_target(symbol,0,side='short')
|
|
|
+ # order_target(dominant,amount,side='short')
|
|
|
+ # switch_result.append({"before": symbol, "after": dominant, "side": "short"})
|
|
|
+ if callback:
|
|
|
+ callback(context, pindex, p, dominant)
|
|
|
+ return switch_result
|
|
|
+
|
|
|
+def count_ma_crosses(data, days):
|
|
|
+ """
|
|
|
+ 判断过去指定天数内4条MA均线的交叉次数
|
|
|
+ :param data: 包含MA5, MA10, MA20, MA30的DataFrame
|
|
|
+ :param days: 检查的天数
|
|
|
+ :return: 总交叉次数
|
|
|
+ """
|
|
|
+ if len(data) < days + 1:
|
|
|
+ return 0
|
|
|
+
|
|
|
+ # 获取最近days天的数据
|
|
|
+ recent_data = data.iloc[-days-1:]
|
|
|
+
|
|
|
+ ma5 = recent_data['MA5'].values
|
|
|
+ ma10 = recent_data['MA10'].values
|
|
|
+ ma20 = recent_data['MA20'].values
|
|
|
+ ma30 = recent_data['MA30'].values
|
|
|
+
|
|
|
+ # 检查是否有NaN值
|
|
|
+ if np.any(np.isnan([ma5, ma10, ma20, ma30])):
|
|
|
+ return 0
|
|
|
+
|
|
|
+ # 计算各均线间的交叉次数
|
|
|
+ cross_5_10 = sum([1 for i in range(1, len(ma5)) if ((ma5[i] > ma10[i] and ma5[i-1] < ma10[i-1]) or
|
|
|
+ (ma5[i] < ma10[i] and ma5[i-1] > ma10[i-1]))])
|
|
|
+ cross_5_20 = sum([1 for i in range(1, len(ma5)) if ((ma5[i] > ma20[i] and ma5[i-1] < ma20[i-1]) or
|
|
|
+ (ma5[i] < ma20[i] and ma5[i-1] > ma20[i-1]))])
|
|
|
+ cross_5_30 = sum([1 for i in range(1, len(ma5)) if ((ma5[i] > ma30[i] and ma5[i-1] < ma30[i-1]) or
|
|
|
+ (ma5[i] < ma30[i] and ma5[i-1] > ma30[i-1]))])
|
|
|
+ cross_10_20 = sum([1 for i in range(1, len(ma10)) if ((ma10[i] > ma20[i] and ma10[i-1] < ma20[i-1]) or
|
|
|
+ (ma10[i] < ma20[i] and ma10[i-1] > ma20[i-1]))])
|
|
|
+ cross_10_30 = sum([1 for i in range(1, len(ma10)) if ((ma10[i] > ma30[i] and ma10[i-1] < ma30[i-1]) or
|
|
|
+ (ma10[i] < ma30[i] and ma10[i-1] > ma30[i-1]))])
|
|
|
+ cross_20_30 = sum([1 for i in range(1, len(ma20)) if ((ma20[i] > ma30[i] and ma20[i-1] < ma30[i-1]) or
|
|
|
+ (ma20[i] < ma30[i] and ma20[i-1] > ma30[i-1]))])
|
|
|
+
|
|
|
+ total_crosses = cross_5_10 + cross_5_20 + cross_5_30 + cross_10_20 + cross_10_30 + cross_20_30
|
|
|
+
|
|
|
+ log.debug(f'总交叉数: {total_crosses}, MA5-MA10: {cross_5_10}, MA5-MA20: {cross_5_20}, MA5-MA30: {cross_5_30}, MA10-MA20: {cross_10_20}, MA10-MA30: {cross_10_30}, MA20-MA30: {cross_20_30}')
|
|
|
+
|
|
|
+ return total_crosses
|
|
|
+
|
|
|
+############################ 数据清理管理函数 ###################################
|
|
|
+
|
|
|
+def clear_daily_transient_data():
|
|
|
+ """清理当天临时数据（每日收盘后调用）"""
|
|
|
+ log.info("清理当天临时数据")
|
|
|
+ g.daily_transient_data['ma_cross_signals'].clear()
|
|
|
+ g.daily_transient_data['tradable_futures'].clear()
|
|
|
+ g.daily_transient_data['today_trades'].clear()
|
|
|
+
|
|
|
+ # 更新兼容性映射
|
|
|
+ g.ma_cross_signals = g.daily_transient_data['ma_cross_signals']
|
|
|
+ g.tradable_futures = g.daily_transient_data['tradable_futures']
|
|
|
+ g.today_trades = g.daily_transient_data['today_trades']
|
|
|
+
|
|
|
+def clear_expired_persistent_data(context, days_to_keep=5):
|
|
|
+ """清理过期的持续数据（保留最近N天）"""
|
|
|
+ today_date = context.current_dt.date()
|
|
|
+ cutoff_date = today_date - timedelta(days=days_to_keep)
|
|
|
+
|
|
|
+ # 清理过期的均线交叉过滤结果
|
|
|
+ expired_dates = [date for date in g.persistent_daily_data['ma_cross_filtered_futures'].keys() if date < cutoff_date]
|
|
|
+ for date in expired_dates:
|
|
|
+ del g.persistent_daily_data['ma_cross_filtered_futures'][date]
|
|
|
+
|
|
|
+ # 清理过期的分钟数据缓存（保留最近N天）
|
|
|
+ minute_cache = g.persistent_daily_data['minute_data_cache']
|
|
|
+ expired_symbols = []
|
|
|
+ for symbol, cache_data in minute_cache.items():
|
|
|
+ if isinstance(cache_data, dict) and 'date' in cache_data:
|
|
|
+ cache_date = cache_data['date']
|
|
|
+ if cache_date < cutoff_date:
|
|
|
+ expired_symbols.append(symbol)
|
|
|
+ # 如果缓存数据格式不正确，也清理掉
|
|
|
+ elif not isinstance(cache_data, dict):
|
|
|
+ expired_symbols.append(symbol)
|
|
|
+
|
|
|
+ for symbol in expired_symbols:
|
|
|
+ del minute_cache[symbol]
|
|
|
+
|
|
|
+ if expired_dates or expired_symbols:
|
|
|
+ log.info(f"清理过期数据 - 均线交叉过滤: {len(expired_dates)}天, 分钟数据缓存: {len(expired_symbols)}个品种")
|
|
|
+
|
|
|
+def clear_position_related_data(security):
|
|
|
+ """清理与特定持仓相关的数据（平仓时调用）"""
|
|
|
+ # 清理该标的的均线数据缓存
|
|
|
+ if security in g.position_data['ma_data_cache']:
|
|
|
+ del g.position_data['ma_data_cache'][security]
|
|
|
+ log.info(f"清理平仓标的的均线数据缓存: {security}")
|
|
|
+
|
|
|
+ # 清理跳空检查结果（如果不再持仓）
|
|
|
+ if security in g.persistent_daily_data['gap_check_results']:
|
|
|
+ del g.persistent_daily_data['gap_check_results'][security]
|
|
|
+ log.info(f"清理平仓标的的跳空检查结果: {security}")
|
|
|
+
|
|
|
+ # 更新兼容性映射
|
|
|
+ g.ma_data_cache = g.position_data['ma_data_cache']
|
|
|
+ g.gap_check_results = g.persistent_daily_data['gap_check_results']
|
|
|
+
|
|
|
+def memory_usage_report():
|
|
|
+ """内存使用情况报告"""
|
|
|
+ report = {
|
|
|
+ '当天临时数据': {
|
|
|
+ '均线穿越信号': len(g.daily_transient_data['ma_cross_signals']),
|
|
|
+ '可交易品种': len(g.daily_transient_data['tradable_futures']),
|
|
|
+ '当日交易': len(g.daily_transient_data['today_trades'])
|
|
|
+ },
|
|
|
+ '持续数据': {
|
|
|
+ '历史日线缓存': len(g.persistent_daily_data['daily_data_cache']),
|
|
|
+ '分钟数据缓存': len(g.persistent_daily_data['minute_data_cache']),
|
|
|
+ '均线交叉过滤': len(g.persistent_daily_data['ma_cross_filtered_futures']),
|
|
|
+ '跳空检查结果': len(g.persistent_daily_data['gap_check_results'])
|
|
|
+ },
|
|
|
+ '持仓数据': {
|
|
|
+ '交易历史': len(g.position_data['trade_history']),
|
|
|
+ '均线数据缓存': len(g.position_data['ma_data_cache'])
|
|
|
+ },
|
|
|
+ '历史数据': {
|
|
|
+ '保证金历史': len(g.historical_data['margin_rate_history']),
|
|
|
+ '换月失败历史': len(g.historical_data.get('change_fail_history', {}))
|
|
|
+ }
|
|
|
+ }
|
|
|
+
|
|
|
+ log.info("=== 内存使用情况报告 ===")
|
|
|
+ for category, data in report.items():
|
|
|
+ log.info(f"{category}: {data}")
|
|
|
+ log.info("========================")
|
|
|
+
|
|
|
+ return report
|
|
|
+
|
|
|
+def optimize_daily_data_cache(max_symbols=50):
|
|
|
+ """优化历史日线数据缓存，删除不必要的数据"""
|
|
|
+ cache = g.persistent_daily_data['daily_data_cache']
|
|
|
+
|
|
|
+ if len(cache) <= max_symbols:
|
|
|
+ return
|
|
|
+
|
|
|
+ # 获取当前持仓的标的
|
|
|
+ current_positions = set(g.position_data['trade_history'].keys())
|
|
|
+
|
|
|
+ # 优先保留持仓标的的数据
|
|
|
+ symbols_to_keep = set()
|
|
|
+ symbols_to_remove = set()
|
|
|
+
|
|
|
+ for symbol in cache.keys():
|
|
|
+ if len(symbols_to_keep) < max_symbols:
|
|
|
+ # 提取标的前缀（去掉合约月份）
|
|
|
+ symbol_prefix = symbol[:-9] if len(symbol) > 9 else symbol
|
|
|
+
|
|
|
+ # 检查是否有相关持仓
|
|
|
+ has_related_position = any(pos.startswith(symbol_prefix) for pos in current_positions)
|
|
|
+
|
|
|
+ if has_related_position:
|
|
|
+ symbols_to_keep.add(symbol)
|
|
|
+ else:
|
|
|
+ symbols_to_remove.add(symbol)
|
|
|
+ else:
|
|
|
+ symbols_to_remove.add(symbol)
|
|
|
+
|
|
|
+ # 删除不需要的数据
|
|
|
+ for symbol in symbols_to_remove:
|
|
|
+ if len(symbols_to_keep) < max_symbols:
|
|
|
+ symbols_to_keep.add(symbol)
|
|
|
+ else:
|
|
|
+ del cache[symbol]
|
|
|
+
|
|
|
+ if symbols_to_remove:
|
|
|
+ log.info(f"优化历史日线缓存，删除 {len(symbols_to_remove)} 个标的的数据")
|
|
|
+ log.debug(f"删除的标的: {list(symbols_to_remove)[:10]}...") # 只显示前10个
|
|
|
+
|
|
|
+ # 更新兼容性映射
|
|
|
+ g.daily_data_cache = g.persistent_daily_data['daily_data_cache']
|
maxfeng