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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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+import math
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+from datetime import date, datetime, timedelta, time
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+import re
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+
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+# 顺势交易策略 v001
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+# 基于均线走势（前提条件）+ K线形态（开盘价差、当天价差）的期货交易策略
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+#
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+# 核心逻辑：
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+# 1. 开盘时检查均线走势（MA30<=MA20<=MA10<=MA5为多头，反之为空头）
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+# 2. 检查开盘价差是否符合方向要求（多头>=0.5%，空头<=-0.5%）
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+# 3. 14:35和14:55检查当天价差（多头>0，空头<0），满足条件则开仓
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+# 4. 应用固定止损和动态追踪止盈
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+# 5. 自动换月移仓
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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('均线形态交易策略 v001 初始化开始')
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+ log.info('策略类型: 均线走势 + K线形态')
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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 = 30000 # 单个标的最大持仓保证金（元）
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+
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+ # 均线策略参数
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+ g.ma_periods = [5, 10, 20, 30] # 均线周期
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+ g.ma_historical_days = 60 # 获取历史数据天数（确保足够计算MA30）
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+ g.ma_open_gap_threshold = 0.001 # 方案1开盘价差阈值（0.2%）
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+ g.ma_pattern_lookback_days = 10 # 历史均线模式一致性检查的天数
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+ g.ma_pattern_consistency_threshold = 0.8 # 历史均线模式一致性阈值（80%）
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+ g.check_intraday_spread = False # 是否检查日内价差（True: 检查, False: 跳过）
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+ g.ma_proximity_min_threshold = 8 # MA5与MA10贴近计数和的最低阈值
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+ g.ma_pattern_extreme_days_threshold = 4 # 极端趋势天数阈值
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+ g.ma_distribution_lookback_days = 5 # MA5分布过滤回溯天数
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+ g.ma_distribution_min_ratio = 0.4 # MA5分布满足比例阈值
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+ g.enable_ma_distribution_filter = True # 是否启用MA5分布过滤
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+ g.ma_cross_threshold = 1 # 均线穿越数量阈值
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+ g.enable_open_gap_filter = True # 是否启用开盘价差过滤
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+
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+ # 均线价差策略方案选择
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+ g.ma_gap_strategy_mode = 3 # 策略模式选择（1: 原方案, 2: 新方案, 3: 方案3）
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+ g.ma_open_gap_threshold2 = 0.001 # 方案2开盘价差阈值（0.2%）
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+ g.ma_intraday_threshold_scheme2 = 0.005 # 方案2日内变化阈值（0.5%）
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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.ma_offset_ratio_normal = 0.003 # 均线跟踪止盈常规偏移量（0.3%）
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+ g.ma_offset_ratio_close = 0.01 # 均线跟踪止盈收盘前偏移量（1%）
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+ g.days_for_adjustment = 4 # 持仓天数调整阈值
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+
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+ # 输出策略参数
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+ log.info("均线形态策略参数:")
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+ log.info(f" 均线周期: {g.ma_periods}")
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+ log.info(f" 策略模式: 方案{g.ma_gap_strategy_mode}")
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+ log.info(f" 方案1开盘价差阈值: {g.ma_open_gap_threshold:.1%}")
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+ log.info(f" 方案2开盘价差阈值: {g.ma_open_gap_threshold2:.1%}")
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+ log.info(f" 方案2日内变化阈值: {g.ma_intraday_threshold_scheme2:.1%}")
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+ log.info(f" 历史均线模式检查天数: {g.ma_pattern_lookback_days}天")
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+ log.info(f" 历史均线模式一致性阈值: {g.ma_pattern_consistency_threshold:.1%}")
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+ log.info(f" 极端趋势天数阈值: {g.ma_pattern_extreme_days_threshold}")
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+ log.info(f" 均线贴近计数阈值: {g.ma_proximity_min_threshold}")
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+ log.info(f" MA5分布过滤天数: {g.ma_distribution_lookback_days}")
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+ log.info(f" MA5分布最低比例: {g.ma_distribution_min_ratio:.0%}")
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+ log.info(f" 启用MA5分布过滤: {g.enable_ma_distribution_filter}")
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+ log.info(f" 是否检查日内价差: {g.check_intraday_spread}")
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+ log.info(f" 均线穿越阈值: {g.ma_cross_threshold}")
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+ log.info(f" 是否启用开盘价差过滤: {g.enable_open_gap_filter}")
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+ log.info(f" 固定止损: {g.fixed_stop_loss_rate:.1%}")
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+ log.info(f" 均线跟踪止盈常规偏移: {g.ma_offset_ratio_normal:.1%}")
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+ log.info(f" 均线跟踪止盈收盘前偏移: {g.ma_offset_ratio_close:.1%}")
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+ log.info(f" 持仓天数调整阈值: {g.days_for_adjustment}天")
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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': 0.21, 'short': 0.21}, 'multiplier': 1000, 'trading_start_time': '21:00'},
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+ 'AG': {'has_night_session': True, 'margin_rate': {'long': 0.22, 'short': 0.22}, 'multiplier': 15, 'trading_start_time': '21:00'},
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+
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+ # 有色金属
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+ 'CU': {'has_night_session': True, 'margin_rate': {'long': 0.15, 'short': 0.15}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+ 'AL': {'has_night_session': True, 'margin_rate': {'long': 0.15, 'short': 0.15}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+ 'ZN': {'has_night_session': True, 'margin_rate': {'long': 0.14, 'short': 0.14}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+ 'PB': {'has_night_session': True, 'margin_rate': {'long': 0.14, 'short': 0.14}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+ 'NI': {'has_night_session': True, 'margin_rate': {'long': 0.16, 'short': 0.16}, 'multiplier': 1, 'trading_start_time': '21:00'},
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+ 'SN': {'has_night_session': True, 'margin_rate': {'long': 0.17, 'short': 0.17}, 'multiplier': 1, 'trading_start_time': '21:00'},
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+ 'SS': {'has_night_session': True, 'margin_rate': {'long': 0.07, 'short': 0.07}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+
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+ # 黑色系
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+ 'RB': {'has_night_session': True, 'margin_rate': {'long': 0.13, 'short': 0.13}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'HC': {'has_night_session': True, 'margin_rate': {'long': 0.13, 'short': 0.13}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'I': {'has_night_session': True, 'margin_rate': {'long': 0.16, 'short': 0.16}, 'multiplier': 100, 'trading_start_time': '21:00'},
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+ 'JM': {'has_night_session': True, 'margin_rate': {'long': 0.17, 'short': 0.17}, 'multiplier': 100, 'trading_start_time': '21:00'},
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+ 'J': {'has_night_session': True, 'margin_rate': {'long': 0.25, 'short': 0.25}, 'multiplier': 60, 'trading_start_time': '21:00'},
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+
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+ # 能源化工
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+ 'SP': {'has_night_session': True, 'margin_rate': {'long': 0.13, 'short': 0.13}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'FU': {'has_night_session': True, 'margin_rate': {'long': 0.16, 'short': 0.16}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'BU': {'has_night_session': True, 'margin_rate': {'long': 0.17, 'short': 0.17}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'RU': {'has_night_session': True, 'margin_rate': {'long': 0.15, 'short': 0.15}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'BR': {'has_night_session': True, 'margin_rate': {'long': 0.15, 'short': 0.15}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+ 'SC': {'has_night_session': True, 'margin_rate': {'long': 0.17, 'short': 0.17}, 'multiplier': 1000, 'trading_start_time': '21:00'},
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+ 'NR': {'has_night_session': True, 'margin_rate': {'long': 0.15, 'short': 0.15}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'LU': {'has_night_session': True, 'margin_rate': {'long': 0.17, 'short': 0.17}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'LC': {'has_night_session': False, 'margin_rate': {'long': 0.16, 'short': 0.16}, 'multiplier': 1, 'trading_start_time': '09:00'},
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+
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+ # 化工
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+ 'FG': {'has_night_session': True, 'margin_rate': {'long': 0.16, 'short': 0.16}, 'multiplier': 20, 'trading_start_time': '21:00'},
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+ 'TA': {'has_night_session': True, 'margin_rate': {'long': 0.13, 'short': 0.13}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+ 'MA': {'has_night_session': True, 'margin_rate': {'long': 0.12, 'short': 0.12}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'SA': {'has_night_session': True, 'margin_rate': {'long': 0.14, 'short': 0.14}, 'multiplier': 20, 'trading_start_time': '21:00'},
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+ 'L': {'has_night_session': True, 'margin_rate': {'long': 0.12, 'short': 0.12}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+ 'V': {'has_night_session': True, 'margin_rate': {'long': 0.12, 'short': 0.12}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+ 'EG': {'has_night_session': True, 'margin_rate': {'long': 0.12, 'short': 0.12}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'PP': {'has_night_session': True, 'margin_rate': {'long': 0.12, 'short': 0.12}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+ 'EB': {'has_night_session': True, 'margin_rate': {'long': 0.12, 'short': 0.12}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+ 'PG': {'has_night_session': True, 'margin_rate': {'long': 0.12, 'short': 0.12}, 'multiplier': 20, 'trading_start_time': '21:00'},
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+ 'PX': {'has_night_session': True, 'margin_rate': {'long': 0.1, 'short': 0.1}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+
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+ # 农产品
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+ 'RM': {'has_night_session': True, 'margin_rate': {'long': 0.13, 'short': 0.13}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'OI': {'has_night_session': True, 'margin_rate': {'long': 0.13, 'short': 0.13}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'CF': {'has_night_session': True, 'margin_rate': {'long': 0.13, 'short': 0.13}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+ 'SR': {'has_night_session': True, 'margin_rate': {'long': 0.12, 'short': 0.12}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'PF': {'has_night_session': True, 'margin_rate': {'long': 0.13, 'short': 0.13}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+ 'C': {'has_night_session': True, 'margin_rate': {'long': 0.12, 'short': 0.12}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'CS': {'has_night_session': True, 'margin_rate': {'long': 0.11, 'short': 0.11}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'CY': {'has_night_session': True, 'margin_rate': {'long': 0.11, 'short': 0.11}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+ 'A': {'has_night_session': True, 'margin_rate': {'long': 0.12, 'short': 0.12}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'B': {'has_night_session': True, 'margin_rate': {'long': 0.12, 'short': 0.12}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'M': {'has_night_session': True, 'margin_rate': {'long': 0.12, 'short': 0.12}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'Y': {'has_night_session': True, 'margin_rate': {'long': 0.12, 'short': 0.12}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'P': {'has_night_session': True, 'margin_rate': {'long': 0.13, 'short': 0.13}, 'multiplier': 10, 'trading_start_time': '21:00'},
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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': 0.17, 'short': 0.17}, 'multiplier': 300, 'trading_start_time': '09:30'},
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+ 'IH': {'has_night_session': False, 'margin_rate': {'long': 0.15, 'short': 0.15}, 'multiplier': 300, 'trading_start_time': '09:30'},
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+ 'IC': {'has_night_session': False, 'margin_rate': {'long': 0.17, 'short': 0.17}, 'multiplier': 200, 'trading_start_time': '09:30'},
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+ 'IM': {'has_night_session': False, 'margin_rate': {'long': 0.17, 'short': 0.17}, 'multiplier': 200, 'trading_start_time': '09:30'},
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+ 'AP': {'has_night_session': False, 'margin_rate': {'long': 0.16, 'short': 0.16}, 'multiplier': 10, 'trading_start_time': '09:00'},
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+ 'CJ': {'has_night_session': False, 'margin_rate': {'long': 0.14, 'short': 0.14}, 'multiplier': 5, 'trading_start_time': '09:00'},
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+ 'PK': {'has_night_session': False, 'margin_rate': {'long': 0.13, 'short': 0.13}, 'multiplier': 5, 'trading_start_time': '09:00'},
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+ 'JD': {'has_night_session': False, 'margin_rate': {'long': 0.11, 'short': 0.11}, 'multiplier': 10, 'trading_start_time': '09:00'},
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+ 'LH': {'has_night_session': False, 'margin_rate': {'long': 0.13, 'short': 0.13}, 'multiplier': 16, 'trading_start_time': '09:00'},
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+ 'T': {'has_night_session': False, 'margin_rate': {'long': 0.03, 'short': 0.03}, 'multiplier': 1000000, 'trading_start_time': '09:30'},
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+ 'PS': {'has_night_session': False, 'margin_rate': {'long': 0.16, 'short': 0.16}, 'multiplier': 3, 'trading_start_time': '09:00'},
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+ 'UR': {'has_night_session': False, 'margin_rate': {'long': 0.14, 'short': 0.14}, 'multiplier': 20, 'trading_start_time': '09:00'},
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+ 'MO': {'has_night_session': True, 'margin_rate': {'long': 0.17, 'short': 0.17}, 'multiplier': 100, 'trading_start_time': '21:00'},
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+ # 'LF': {'has_night_session': False, 'margin_rate': {'long': 0.12, 'short': 0.12}, 'multiplier': 1, 'trading_start_time': '09:30'},
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+ 'HO': {'has_night_session': False, 'margin_rate': {'long': 0.15, 'short': 0.15}, 'multiplier': 100, 'trading_start_time': '09:30'},
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+ # 'LR': {'has_night_session': True, 'margin_rate': {'long': 0.21, 'short': 0.21}, 'multiplier': 20, 'trading_start_time': '21:00'},
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+ 'LG': {'has_night_session': True, 'margin_rate': {'long': 0.13, 'short': 0.13}, 'multiplier': 90, 'trading_start_time': '21:00'},
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+ # 'FB': {'has_night_session': True, 'margin_rate': {'long': 0.14, 'short': 0.14}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ # 'PM': {'has_night_session': True, 'margin_rate': {'long': 0.2, 'short': 0.2}, 'multiplier': 50, 'trading_start_time': '21:00'},
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+ 'EC': {'has_night_session': False, 'margin_rate': {'long': 0.23, 'short': 0.23}, 'multiplier': 50, 'trading_start_time': '09:00'},
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+ # 'RR': {'has_night_session': True, 'margin_rate': {'long': 0.11, 'short': 0.11}, 'multiplier': 10, 'trading_start_time': '21:00'},
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+ 'OP': {'has_night_session': False, 'margin_rate': {'long': 0.13, 'short': 0.13}, 'multiplier': 40, 'trading_start_time': '09:00'},
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+ # 'IO': {'has_night_session': True, 'margin_rate': {'long': 0.17, 'short': 0.17}, 'multiplier': 1, 'trading_start_time': '21:00'},
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+ 'BC': {'has_night_session': True, 'margin_rate': {'long': 0.15, 'short': 0.15}, 'multiplier': 5, 'trading_start_time': '21:00'},
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+ # 'WH': {'has_night_session': False, 'margin_rate': {'long': 0.2, 'short': 0.2}, 'multiplier': 20, 'trading_start_time': '09:00'},
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+ 'SH': {'has_night_session': True, 'margin_rate': {'long': 0.13, 'short': 0.13}, 'multiplier': 30, 'trading_start_time': '21:00'},
|
|
|
+ # 'RI': {'has_night_session': False, 'margin_rate': {'long': 0.21, 'short': 0.21}, 'multiplier': 20, 'trading_start_time': '09:00'},
|
|
|
+ 'TS': {'has_night_session': False, 'margin_rate': {'long': 0.015, 'short': 0.015}, 'multiplier': 2000000, 'trading_start_time': '09:30'},
|
|
|
+ # 'JR': {'has_night_session': False, 'margin_rate': {'long': 0.21, 'short': 0.21}, 'multiplier': 20, 'trading_start_time': '09:00'},
|
|
|
+ 'AD': {'has_night_session': False, 'margin_rate': {'long': 0.13, 'short': 0.13}, 'multiplier': 10, 'trading_start_time': '09:00'},
|
|
|
+ # 'BB': {'has_night_session': False, 'margin_rate': {'long': 0.19, 'short': 0.19}, 'multiplier': 500, 'trading_start_time': '09:00'},
|
|
|
+ 'PL': {'has_night_session': False, 'margin_rate': {'long': 0.12, 'short': 0.12}, 'multiplier': 20, 'trading_start_time': '09:00'},
|
|
|
+ # 'RS': {'has_night_session': False, 'margin_rate': {'long': 0.26, 'short': 0.26}, 'multiplier': 10, 'trading_start_time': '09:00'},
|
|
|
+ 'SI': {'has_night_session': False, 'margin_rate': {'long': 0.15, 'short': 0.15}, 'multiplier': 5, 'trading_start_time': '09:00'},
|
|
|
+ # 'ZC': {'has_night_session': True, 'margin_rate': {'long': 0.56, 'short': 0.56}, 'multiplier': 100, 'trading_start_time': '21:00'},
|
|
|
+ 'SM': {'has_night_session': False, 'margin_rate': {'long': 0.15, 'short': 0.15}, 'multiplier': 5, 'trading_start_time': '09:00'},
|
|
|
+ 'AO': {'has_night_session': True, 'margin_rate': {'long': 0.17, 'short': 0.17}, 'multiplier': 20, 'trading_start_time': '21:00'},
|
|
|
+ 'TL': {'has_night_session': False, 'margin_rate': {'long': 0.045, 'short': 0.045}, 'multiplier': 1000000, 'trading_start_time': '09:00'},
|
|
|
+ 'SF': {'has_night_session': False, 'margin_rate': {'long': 0.14, 'short': 0.14}, 'multiplier': 5, 'trading_start_time': '09:00'},
|
|
|
+ # 'WR': {'has_night_session': False, 'margin_rate': {'long': 0.15, 'short': 0.15}, 'multiplier': 10, 'trading_start_time': '09:00'},
|
|
|
+ 'PR': {'has_night_session': True, 'margin_rate': {'long': 0.12, 'short': 0.12}, 'multiplier': 15, 'trading_start_time': '21:00'},
|
|
|
+ 'TF': {'has_night_session': False, 'margin_rate': {'long': 0.022, 'short': 0.022}, 'multiplier': 1000000, 'trading_start_time': '09:00'},
|
|
|
+ # 'VF': {'has_night_session': False, 'margin_rate': {'long': 0.12, 'short': 0.12}, 'multiplier': 1, 'trading_start_time': '09:00'},
|
|
|
+ 'BZ': {'has_night_session': False, 'margin_rate': {'long': 0.13, 'short': 0.13}, 'multiplier': 30, 'trading_start_time': '09:00'},
|
|
|
+ }
|
|
|
+
|
|
|
+ # 策略品种选择策略配置
|
|
|
+ # 方案1：全品种策略 - 考虑所有配置的期货品种
|
|
|
+ g.strategy_focus_symbols = [] # 空列表表示考虑所有品种
|
|
|
+
|
|
|
+ # 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）
|
|
|
+ # g.strategy_focus_symbols = ['RM', 'CJ', 'CY', 'JD', 'L', 'LC', 'SF', 'SI']
|
|
|
+
|
|
|
+ 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）'}")
|
|
|
+
|
|
|
+ # 交易记录和数据存储
|
|
|
+ g.trade_history = {} # 持仓记录 {symbol: {'entry_price': xxx, 'direction': xxx, ...}}
|
|
|
+ g.daily_ma_candidates = {} # 通过均线和开盘价差检查的候选品种 {symbol: {'direction': 'long'/'short', 'open_price': xxx, ...}}
|
|
|
+ g.today_trades = [] # 当日交易记录
|
|
|
+ g.excluded_contracts = {} # 每日排除的合约缓存 {dominant_future: {'reason': 'ma_trend'/'open_gap', 'trading_day': xxx}}
|
|
|
+ g.ma_checked_underlyings = {} # 记录各品种在交易日的均线检查状态 {symbol: trading_day}
|
|
|
+ g.last_ma_trading_day = None # 最近一次均线检查所属交易日
|
|
|
+
|
|
|
+ # 夜盘禁止操作标志
|
|
|
+ g.night_session_blocked = False # 标记是否禁止当晚操作
|
|
|
+ g.night_session_blocked_trading_day = None # 记录被禁止的交易日
|
|
|
+
|
|
|
+ # 定时任务设置
|
|
|
+ # 夜盘开始（21:05） - 均线和开盘价差检查
|
|
|
+ run_daily(check_ma_trend_and_open_gap, time='21:05:00', reference_security='IF1808.CCFX')
|
|
|
+
|
|
|
+ # 日盘开始 - 均线和开盘价差检查
|
|
|
+ run_daily(check_ma_trend_and_open_gap, time='09:05:00', reference_security='IF1808.CCFX')
|
|
|
+ run_daily(check_ma_trend_and_open_gap, time='09:35:00', reference_security='IF1808.CCFX')
|
|
|
+
|
|
|
+ # 夜盘开仓和止损止盈检查
|
|
|
+ run_daily(check_open_and_stop, time='21:05:00', reference_security='IF1808.CCFX')
|
|
|
+ run_daily(check_open_and_stop, time='21:35:00', reference_security='IF1808.CCFX')
|
|
|
+ run_daily(check_open_and_stop, time='22:05:00', reference_security='IF1808.CCFX')
|
|
|
+ run_daily(check_open_and_stop, time='22:35:00', reference_security='IF1808.CCFX')
|
|
|
+
|
|
|
+ # 日盘开仓和止损止盈检查
|
|
|
+ run_daily(check_open_and_stop, time='09:05:00', reference_security='IF1808.CCFX')
|
|
|
+ run_daily(check_open_and_stop, time='09:35:00', reference_security='IF1808.CCFX')
|
|
|
+ run_daily(check_open_and_stop, time='10:05:00', reference_security='IF1808.CCFX')
|
|
|
+ run_daily(check_open_and_stop, time='10:35:00', reference_security='IF1808.CCFX')
|
|
|
+ run_daily(check_open_and_stop, time='11:05:00', reference_security='IF1808.CCFX')
|
|
|
+ run_daily(check_open_and_stop, time='11:25:00', reference_security='IF1808.CCFX')
|
|
|
+ run_daily(check_open_and_stop, time='13:35:00', reference_security='IF1808.CCFX')
|
|
|
+ run_daily(check_open_and_stop, time='14:05:00', reference_security='IF1808.CCFX')
|
|
|
+ run_daily(check_open_and_stop, time='14:35:00', reference_security='IF1808.CCFX')
|
|
|
+ run_daily(check_open_and_stop, time='14:55:00', reference_security='IF1808.CCFX')
|
|
|
+ run_daily(check_ma_trailing_reactivation, time='14:55:00', reference_security='IF1808.CCFX')
|
|
|
+
|
|
|
+ # 收盘后
|
|
|
+ run_daily(after_market_close, time='15:30:00', reference_security='IF1808.CCFX')
|
|
|
+
|
|
|
+ log.info('=' * 60)
|
|
|
+
|
|
|
+############################ 主程序执行函数 ###################################
|
|
|
+
|
|
|
+def get_current_trading_day(current_dt):
|
|
|
+ """根据当前时间推断对应的期货交易日"""
|
|
|
+ current_date = current_dt.date()
|
|
|
+ current_time = current_dt.time()
|
|
|
+
|
|
|
+ trade_days = get_trade_days(end_date=current_date, count=1)
|
|
|
+ if trade_days and trade_days[0] == current_date:
|
|
|
+ trading_day = current_date
|
|
|
+ else:
|
|
|
+ next_days = get_trade_days(start_date=current_date, count=1)
|
|
|
+ trading_day = next_days[0] if next_days else current_date
|
|
|
+
|
|
|
+ if current_time >= time(20, 59):
|
|
|
+ next_trade_days = get_trade_days(start_date=trading_day, count=2)
|
|
|
+ if len(next_trade_days) >= 2:
|
|
|
+ return next_trade_days[1]
|
|
|
+ if len(next_trade_days) == 1:
|
|
|
+ return next_trade_days[0]
|
|
|
+ return trading_day
|
|
|
+
|
|
|
+
|
|
|
+def normalize_trade_day_value(value):
|
|
|
+ """将交易日对象统一转换为 datetime.date"""
|
|
|
+ if isinstance(value, date) and not isinstance(value, datetime):
|
|
|
+ return value
|
|
|
+ if isinstance(value, datetime):
|
|
|
+ return value.date()
|
|
|
+ if hasattr(value, 'to_pydatetime'):
|
|
|
+ return value.to_pydatetime().date()
|
|
|
+ try:
|
|
|
+ return pd.Timestamp(value).date()
|
|
|
+ except Exception:
|
|
|
+ return value
|
|
|
+
|
|
|
+
|
|
|
+def check_ma_trend_and_open_gap(context):
|
|
|
+ """阶段一：开盘时均线走势和开盘价差检查（一天一次）"""
|
|
|
+ log.info("=" * 60)
|
|
|
+ current_trading_day = get_current_trading_day(context.current_dt)
|
|
|
+ log.info(f"执行均线走势和开盘价差检查 - 时间: {context.current_dt}, 交易日: {current_trading_day}")
|
|
|
+ log.info("=" * 60)
|
|
|
+
|
|
|
+ # 换月移仓检查（在所有部分之前）
|
|
|
+ position_auto_switch(context)
|
|
|
+
|
|
|
+ # ==================== 第一部分：基础数据获取 ====================
|
|
|
+
|
|
|
+ # 步骤1：交易日检查和缓存清理
|
|
|
+ if g.last_ma_trading_day != current_trading_day:
|
|
|
+ if g.excluded_contracts:
|
|
|
+ log.info(f"交易日切换至 {current_trading_day}，清空上一交易日的排除缓存")
|
|
|
+ g.excluded_contracts = {}
|
|
|
+ g.ma_checked_underlyings = {}
|
|
|
+ g.last_ma_trading_day = current_trading_day
|
|
|
+
|
|
|
+ # 步骤2：获取当前时间和筛选可交易品种
|
|
|
+ current_time = str(context.current_dt.time())[:5] # HH:MM格式
|
|
|
+ focus_symbols = g.strategy_focus_symbols if g.strategy_focus_symbols else list(g.futures_config.keys())
|
|
|
+ tradable_symbols = []
|
|
|
+
|
|
|
+ # 根据当前时间确定可交易的时段
|
|
|
+ # 21:05 -> 仅接受21:00开盘的合约
|
|
|
+ # 09:05 -> 接受09:00或21:00开盘的合约
|
|
|
+ # 09:35 -> 接受所有时段（21:00, 09:00, 09:30）的合约
|
|
|
+ for symbol in focus_symbols:
|
|
|
+ trading_start_time = get_futures_config(symbol, 'trading_start_time', '09:05')
|
|
|
+ should_trade = False
|
|
|
+
|
|
|
+ if current_time == '21:05':
|
|
|
+ should_trade = trading_start_time.startswith('21:00')
|
|
|
+ elif current_time == '09:05':
|
|
|
+ should_trade = trading_start_time.startswith('21:00') or trading_start_time.startswith('09:00')
|
|
|
+ elif current_time == '09:35':
|
|
|
+ should_trade = True
|
|
|
+
|
|
|
+ if should_trade:
|
|
|
+ tradable_symbols.append(symbol)
|
|
|
+
|
|
|
+ if not tradable_symbols:
|
|
|
+ log.info(f"当前时间 {current_time} 无品种开盘，跳过检查")
|
|
|
+ return
|
|
|
+
|
|
|
+ log.info(f"当前时间 {current_time} 开盘品种: {tradable_symbols}")
|
|
|
+
|
|
|
+ # 步骤3：对每个品种循环处理
|
|
|
+ for symbol in tradable_symbols:
|
|
|
+ # 步骤3.1：检查是否已处理过
|
|
|
+ if g.ma_checked_underlyings.get(symbol) == current_trading_day:
|
|
|
+ log.info(f"{symbol} 已在交易日 {current_trading_day} 完成均线检查，跳过本次执行")
|
|
|
+ continue
|
|
|
+
|
|
|
+ try:
|
|
|
+ g.ma_checked_underlyings[symbol] = current_trading_day
|
|
|
+
|
|
|
+ # 步骤3.2：获取主力合约
|
|
|
+ dominant_future = get_dominant_future(symbol)
|
|
|
+ if not dominant_future:
|
|
|
+ log.info(f"{symbol} 未找到主力合约，跳过")
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 步骤3.3：检查排除缓存
|
|
|
+ if dominant_future in g.excluded_contracts:
|
|
|
+ excluded_info = g.excluded_contracts[dominant_future]
|
|
|
+ if excluded_info['trading_day'] == current_trading_day:
|
|
|
+ continue
|
|
|
+ else:
|
|
|
+ # 新的一天，从缓存中移除（会在after_market_close统一清理，这里也做兜底）
|
|
|
+ del g.excluded_contracts[dominant_future]
|
|
|
+
|
|
|
+ # 步骤3.4：检查是否已有持仓
|
|
|
+ if check_symbol_prefix_match(dominant_future, context, set(g.trade_history.keys())):
|
|
|
+ log.info(f"{symbol} 已有持仓，跳过")
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 步骤3.5：获取历史数据和前一交易日数据（合并优化）
|
|
|
+ # 获取历史数据（需要足够计算MA30）
|
|
|
+ historical_data = get_price(dominant_future, end_date=context.current_dt,
|
|
|
+ frequency='1d', fields=['open', 'close', 'high', 'low'],
|
|
|
+ count=g.ma_historical_days)
|
|
|
+
|
|
|
+ if historical_data is None or len(historical_data) < max(g.ma_periods):
|
|
|
+ log.info(f"{symbol} 历史数据不足，跳过")
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 获取前一交易日并在历史数据中匹配
|
|
|
+ previous_trade_days = get_trade_days(end_date=current_trading_day, count=2)
|
|
|
+ previous_trade_days = [normalize_trade_day_value(d) for d in previous_trade_days]
|
|
|
+ previous_trading_day = None
|
|
|
+ if len(previous_trade_days) >= 2:
|
|
|
+ previous_trading_day = previous_trade_days[-2]
|
|
|
+ elif len(previous_trade_days) == 1 and previous_trade_days[0] < current_trading_day:
|
|
|
+ previous_trading_day = previous_trade_days[0]
|
|
|
+
|
|
|
+ if previous_trading_day is None:
|
|
|
+ log.info(f"{symbol} 无法确定前一交易日，跳过")
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 在历史数据中匹配前一交易日
|
|
|
+ historical_dates = historical_data.index.date
|
|
|
+ match_indices = np.where(historical_dates == previous_trading_day)[0]
|
|
|
+ if len(match_indices) == 0:
|
|
|
+ earlier_indices = np.where(historical_dates < previous_trading_day)[0]
|
|
|
+ if len(earlier_indices) == 0:
|
|
|
+ log.info(f"{symbol} 历史数据缺少 {previous_trading_day} 之前的记录，跳过")
|
|
|
+ continue
|
|
|
+ match_indices = [earlier_indices[-1]]
|
|
|
+
|
|
|
+ # 提取截至前一交易日的数据，并一次性提取所有需要的字段
|
|
|
+ data_upto_yesterday = historical_data.iloc[:match_indices[-1] + 1]
|
|
|
+ yesterday_data = data_upto_yesterday.iloc[-1]
|
|
|
+ yesterday_close = yesterday_data['close']
|
|
|
+ yesterday_open = yesterday_data['open']
|
|
|
+
|
|
|
+ # 步骤3.6：获取当前价格数据
|
|
|
+ current_data = get_current_data()[dominant_future]
|
|
|
+ today_open = current_data.day_open
|
|
|
+
|
|
|
+ # ==================== 第二部分：核心指标计算 ====================
|
|
|
+
|
|
|
+ # 步骤4：计算均线相关指标（合并优化）
|
|
|
+ ma_values = calculate_ma_values(data_upto_yesterday, g.ma_periods)
|
|
|
+ ma_proximity_counts = calculate_ma_proximity_counts(data_upto_yesterday, g.ma_periods, g.ma_pattern_lookback_days)
|
|
|
+
|
|
|
+ log.info(f"{symbol}({dominant_future}) 均线检查:")
|
|
|
+ log.info(f" 均线贴近统计: {ma_proximity_counts}")
|
|
|
+
|
|
|
+ # 检查均线贴近计数
|
|
|
+ proximity_sum = ma_proximity_counts.get('MA5', 0) + ma_proximity_counts.get('MA10', 0)
|
|
|
+ if proximity_sum < g.ma_proximity_min_threshold:
|
|
|
+ log.info(f" {symbol}({dominant_future}) ✗ 均线贴近计数不足，MA5+MA10={proximity_sum} < {g.ma_proximity_min_threshold}，跳过")
|
|
|
+ add_to_excluded_contracts(dominant_future, 'ma_proximity', current_trading_day)
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 步骤5：计算极端趋势天数
|
|
|
+ extreme_above_count, extreme_below_count = calculate_extreme_trend_days(
|
|
|
+ data_upto_yesterday,
|
|
|
+ g.ma_periods,
|
|
|
+ g.ma_pattern_lookback_days
|
|
|
+ )
|
|
|
+ extreme_total = extreme_above_count + extreme_below_count
|
|
|
+ min_extreme = min(extreme_above_count, extreme_below_count)
|
|
|
+ filter_threshold = max(2, g.ma_pattern_extreme_days_threshold)
|
|
|
+ log.info(
|
|
|
+ f" 极端趋势天数统计: 收盘在所有均线上方 {extreme_above_count} 天, 收盘在所有均线下方 {extreme_below_count} 天, "
|
|
|
+ f"合计 {extreme_total} 天, min(A,B)={min_extreme} (过滤阈值: {filter_threshold})"
|
|
|
+ )
|
|
|
+ if extreme_above_count > 0 and extreme_below_count > 0 and min_extreme >= filter_threshold:
|
|
|
+ log.info(
|
|
|
+ f" {symbol}({dominant_future}) ✗ 极端趋势多空同时出现且 min(A,B)={min_extreme} ≥ {filter_threshold}，跳过"
|
|
|
+ )
|
|
|
+ add_to_excluded_contracts(dominant_future, 'ma_extreme_trend', current_trading_day)
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 步骤6：判断均线走势
|
|
|
+ direction = None
|
|
|
+ if check_ma_pattern(ma_values, 'long'):
|
|
|
+ direction = 'long'
|
|
|
+ elif check_ma_pattern(ma_values, 'short'):
|
|
|
+ direction = 'short'
|
|
|
+ else:
|
|
|
+ add_to_excluded_contracts(dominant_future, 'ma_trend', current_trading_day)
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 步骤7：检查MA5分布过滤
|
|
|
+ if g.enable_ma_distribution_filter:
|
|
|
+ distribution_passed, distribution_stats = check_ma5_distribution_filter(
|
|
|
+ data_upto_yesterday,
|
|
|
+ g.ma_distribution_lookback_days,
|
|
|
+ direction,
|
|
|
+ g.ma_distribution_min_ratio
|
|
|
+ )
|
|
|
+ log.info(
|
|
|
+ f" MA5分布过滤: 方向 {direction}, 有效天数 "
|
|
|
+ f"{distribution_stats['valid_days']}/{distribution_stats['lookback_days']}，"
|
|
|
+ f"满足天数 {distribution_stats['qualified_days']}/{distribution_stats['required_days']}"
|
|
|
+ )
|
|
|
+ if not distribution_passed:
|
|
|
+ insufficiency = distribution_stats['valid_days'] < distribution_stats['lookback_days']
|
|
|
+ reason = "有效数据不足" if insufficiency else "满足天数不足"
|
|
|
+ log.info(
|
|
|
+ f" {symbol}({dominant_future}) ✗ MA5分布过滤未通过（{reason}）"
|
|
|
+ )
|
|
|
+ add_to_excluded_contracts(dominant_future, 'ma5_distribution', current_trading_day)
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 步骤8：检查历史均线模式一致性
|
|
|
+ consistency_passed, consistency_ratio = check_historical_ma_pattern_consistency(
|
|
|
+ historical_data, direction, g.ma_pattern_lookback_days, g.ma_pattern_consistency_threshold
|
|
|
+ )
|
|
|
+
|
|
|
+ if not consistency_passed:
|
|
|
+ log.info(f" {symbol}({dominant_future}) ✗ 历史均线模式一致性不足 "
|
|
|
+ f"({consistency_ratio:.1%} < {g.ma_pattern_consistency_threshold:.1%})，跳过")
|
|
|
+ add_to_excluded_contracts(dominant_future, 'ma_consistency', current_trading_day)
|
|
|
+ continue
|
|
|
+ else:
|
|
|
+ log.info(f" {symbol}({dominant_future}) ✓ 历史均线模式一致性检查通过 "
|
|
|
+ f"({consistency_ratio:.1%} >= {g.ma_pattern_consistency_threshold:.1%})")
|
|
|
+
|
|
|
+ # 步骤9：检查开盘价差（可配置开关）
|
|
|
+ if g.enable_open_gap_filter:
|
|
|
+ gap_check_passed = check_open_gap_filter(
|
|
|
+ symbol=symbol,
|
|
|
+ dominant_future=dominant_future,
|
|
|
+ direction=direction,
|
|
|
+ yesterday_close=yesterday_close,
|
|
|
+ today_open=today_open,
|
|
|
+ current_trading_day=current_trading_day
|
|
|
+ )
|
|
|
+ if not gap_check_passed:
|
|
|
+ continue
|
|
|
+ else:
|
|
|
+ log.info(" 已关闭开盘价差过滤（enable_open_gap_filter=False），跳过该检查")
|
|
|
+
|
|
|
+ # 步骤10：将通过检查的品种加入候选列表
|
|
|
+ g.daily_ma_candidates[dominant_future] = {
|
|
|
+ 'symbol': symbol,
|
|
|
+ 'direction': direction,
|
|
|
+ 'open_price': today_open,
|
|
|
+ 'yesterday_close': yesterday_close,
|
|
|
+ 'yesterday_open': yesterday_open,
|
|
|
+ 'ma_values': ma_values
|
|
|
+ }
|
|
|
+
|
|
|
+ log.info(f" ✓✓ {symbol} 通过均线和开盘价差检查，加入候选列表")
|
|
|
+
|
|
|
+ except Exception as e:
|
|
|
+ g.ma_checked_underlyings.pop(symbol, None)
|
|
|
+ log.warning(f"{symbol} 检查时出错: {str(e)}")
|
|
|
+ continue
|
|
|
+
|
|
|
+ log.info(f"候选列表更新完成，当前候选品种: {list(g.daily_ma_candidates.keys())}")
|
|
|
+ log.info("=" * 60)
|
|
|
+
|
|
|
+def check_open_and_stop(context):
|
|
|
+ """统一的开仓和止损止盈检查函数"""
|
|
|
+ # 先检查换月移仓
|
|
|
+ log.info("=" * 60)
|
|
|
+ current_trading_day = get_current_trading_day(context.current_dt)
|
|
|
+ log.info(f"执行开仓和止损止盈检查 - 时间: {context.current_dt}, 交易日: {current_trading_day}")
|
|
|
+ log.info("=" * 60)
|
|
|
+ log.info(f"先检查换月：")
|
|
|
+ position_auto_switch(context)
|
|
|
+
|
|
|
+ # 获取当前时间
|
|
|
+ current_time = str(context.current_dt.time())[:2]
|
|
|
+
|
|
|
+ # 判断是否为夜盘时间
|
|
|
+ is_night_session = (current_time in ['21', '22', '23', '00', '01', '02'])
|
|
|
+
|
|
|
+ # 检查是否禁止当晚操作
|
|
|
+ if is_night_session and g.night_session_blocked:
|
|
|
+ blocked_trading_day = normalize_trade_day_value(g.night_session_blocked_trading_day) if g.night_session_blocked_trading_day else None
|
|
|
+ current_trading_day_normalized = normalize_trade_day_value(current_trading_day)
|
|
|
+ if blocked_trading_day == current_trading_day_normalized:
|
|
|
+ log.info(f"当晚操作已被禁止（订单状态为'new'，无夜盘），跳过所有操作")
|
|
|
+ return
|
|
|
+
|
|
|
+ # 得到当前未完成订单
|
|
|
+ orders = get_open_orders()
|
|
|
+ # 循环，撤销订单
|
|
|
+ if len(orders) == 0:
|
|
|
+ log.debug(f"无未完成订单")
|
|
|
+ else:
|
|
|
+ for _order in orders.values():
|
|
|
+ log.debug(f"order: {_order}")
|
|
|
+ cancel_order(_order)
|
|
|
+
|
|
|
+ # 第一步：检查开仓条件
|
|
|
+ log.info(f"检查开仓条件：")
|
|
|
+ if g.daily_ma_candidates:
|
|
|
+ log.info("=" * 60)
|
|
|
+ log.info(f"执行开仓检查 - 时间: {context.current_dt}, 候选品种数量: {len(g.daily_ma_candidates)}")
|
|
|
+
|
|
|
+ # 遍历候选品种
|
|
|
+ candidates_to_remove = []
|
|
|
+
|
|
|
+ for dominant_future, candidate_info in g.daily_ma_candidates.items():
|
|
|
+ try:
|
|
|
+ symbol = candidate_info['symbol']
|
|
|
+ direction = candidate_info['direction']
|
|
|
+ open_price = candidate_info['open_price']
|
|
|
+ yesterday_close = candidate_info.get('yesterday_close')
|
|
|
+ yesterday_open = candidate_info.get('yesterday_open')
|
|
|
+
|
|
|
+ # 检查是否已有持仓
|
|
|
+ if check_symbol_prefix_match(dominant_future, context, set(g.trade_history.keys())):
|
|
|
+ log.info(f"{symbol} 已有持仓，从候选列表移除")
|
|
|
+ candidates_to_remove.append(dominant_future)
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 获取当前价格
|
|
|
+ current_data = get_current_data()[dominant_future]
|
|
|
+ current_price = current_data.last_price
|
|
|
+
|
|
|
+ # 计算当天价差
|
|
|
+ intraday_diff = current_price - open_price
|
|
|
+ intraday_diff_ratio = intraday_diff / open_price
|
|
|
+
|
|
|
+ log.info(f"{symbol}({dominant_future}) 开仓条件检查:")
|
|
|
+ log.info(f" 方向: {direction}, 开盘价: {open_price:.2f}, 当前价: {current_price:.2f}, "
|
|
|
+ f"当天价差: {intraday_diff:.2f}, 变化比例: {intraday_diff_ratio:.2%}")
|
|
|
+
|
|
|
+ # 判断是否满足开仓条件 - 仅检查均线穿越得分
|
|
|
+ should_open = True
|
|
|
+ log.info(f" 开仓条件简化：仅检查均线穿越得分，跳过策略1,2,3的判断")
|
|
|
+
|
|
|
+ if should_open:
|
|
|
+ ma_values = candidate_info.get('ma_values') or {}
|
|
|
+ cross_score, score_details = calculate_ma_cross_score(open_price, current_price, ma_values, direction)
|
|
|
+
|
|
|
+ # 根据当前时间调整所需的均线穿越得分阈值
|
|
|
+ current_time_str = str(context.current_dt.time())[:5] # HH:MM格式
|
|
|
+ required_cross_score = g.ma_cross_threshold
|
|
|
+ if current_time_str != '14:55':
|
|
|
+ # 在14:55以外的时间，需要更高的得分阈值
|
|
|
+ required_cross_score = g.ma_cross_threshold + 1
|
|
|
+
|
|
|
+ log.info(f" 均线穿越得分: {cross_score}, 得分详情: {score_details}, 当前时间: {current_time_str}, 所需阈值: {required_cross_score}")
|
|
|
+
|
|
|
+ # 检查得分是否满足条件
|
|
|
+ score_passed = False
|
|
|
+ if cross_score >= required_cross_score:
|
|
|
+ # 如果得分达到阈值，检查特殊情况：只有1分且来自MA5
|
|
|
+ if cross_score == 1 and required_cross_score == 1:
|
|
|
+ # 检查这一分是否来自MA5
|
|
|
+ from_ma5_only = len(score_details) == 1 and score_details[0]['period'] == 5
|
|
|
+ if not from_ma5_only:
|
|
|
+ score_passed = True
|
|
|
+ log.info(f" ✓ 均线穿越得分检查通过：1分且非来自MA5")
|
|
|
+ else:
|
|
|
+ log.info(f" ✗ 均线穿越得分检查未通过：1分且仅来自MA5")
|
|
|
+ else:
|
|
|
+ score_passed = True
|
|
|
+ log.info(f" ✓ 均线穿越得分检查通过")
|
|
|
+
|
|
|
+ if not score_passed:
|
|
|
+ log.info(f" ✗ 均线穿越得分不足或不符合条件（{cross_score} < {required_cross_score} 或 1分来自MA5），跳过开仓")
|
|
|
+ continue
|
|
|
+ # 执行开仓
|
|
|
+ log.info(f" 准备开仓: {symbol} {direction}")
|
|
|
+ target_hands, single_hand_margin = calculate_target_hands(context, dominant_future, direction)
|
|
|
+
|
|
|
+ if target_hands > 0:
|
|
|
+ success = open_position(context, dominant_future, target_hands, direction, single_hand_margin,
|
|
|
+ f'均线形态开仓')
|
|
|
+ if success:
|
|
|
+ log.info(f" ✓✓ {symbol} 开仓成功，从候选列表移除")
|
|
|
+ candidates_to_remove.append(dominant_future)
|
|
|
+ else:
|
|
|
+ log.warning(f" ✗ {symbol} 开仓失败")
|
|
|
+ else:
|
|
|
+ log.warning(f" ✗ {symbol} 计算目标手数为0，跳过开仓")
|
|
|
+
|
|
|
+ except Exception as e:
|
|
|
+ log.warning(f"{dominant_future} 处理时出错: {str(e)}")
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 从候选列表中移除已开仓的品种
|
|
|
+ for future in candidates_to_remove:
|
|
|
+ if future in g.daily_ma_candidates:
|
|
|
+ del g.daily_ma_candidates[future]
|
|
|
+
|
|
|
+ log.info(f"剩余候选品种: {list(g.daily_ma_candidates.keys())}")
|
|
|
+ log.info("=" * 60)
|
|
|
+
|
|
|
+ # 第二步：检查止损止盈
|
|
|
+ log.info(f"检查止损止盈条件：")
|
|
|
+ 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
|
|
|
+ continue
|
|
|
+
|
|
|
+ # 执行止损止盈检查
|
|
|
+ if check_position_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")
|
|
|
+
|
|
|
+
|
|
|
+def check_ma_trailing_reactivation(context):
|
|
|
+ """检查是否需要恢复均线跟踪止盈"""
|
|
|
+ subportfolio = context.subportfolios[0]
|
|
|
+ positions = list(subportfolio.long_positions.values()) + list(subportfolio.short_positions.values())
|
|
|
+
|
|
|
+ if not positions:
|
|
|
+ return
|
|
|
+
|
|
|
+ reenabled_count = 0
|
|
|
+ current_data = get_current_data()
|
|
|
+
|
|
|
+ for position in positions:
|
|
|
+ security = position.security
|
|
|
+ trade_info = g.trade_history.get(security)
|
|
|
+
|
|
|
+ if not trade_info or trade_info.get('ma_trailing_enabled', True):
|
|
|
+ continue
|
|
|
+
|
|
|
+ direction = trade_info['direction']
|
|
|
+ ma_values = calculate_realtime_ma_values(security, [5])
|
|
|
+ ma5_value = ma_values.get('ma5')
|
|
|
+
|
|
|
+ if ma5_value is None or security not in current_data:
|
|
|
+ continue
|
|
|
+
|
|
|
+ today_price = current_data[security].last_price
|
|
|
+
|
|
|
+ if direction == 'long' and today_price > ma5_value:
|
|
|
+ trade_info['ma_trailing_enabled'] = True
|
|
|
+ reenabled_count += 1
|
|
|
+ log.info(f"恢复均线跟踪止盈: {security} {direction}, 当前价 {today_price:.2f} > MA5 {ma5_value:.2f}")
|
|
|
+ elif direction == 'short' and today_price < ma5_value:
|
|
|
+ trade_info['ma_trailing_enabled'] = True
|
|
|
+ reenabled_count += 1
|
|
|
+ log.info(f"恢复均线跟踪止盈: {security} {direction}, 当前价 {today_price:.2f} < MA5 {ma5_value:.2f}")
|
|
|
+
|
|
|
+ if reenabled_count > 0:
|
|
|
+ log.info(f"恢复均线跟踪止盈持仓数量: {reenabled_count}")
|
|
|
+
|
|
|
+
|
|
|
+def check_position_stop_loss_profit(context, position):
|
|
|
+ """检查单个持仓的止损止盈"""
|
|
|
+ log.info(f"检查持仓: {position.security}")
|
|
|
+ security = position.security
|
|
|
+
|
|
|
+ if security not in g.trade_history:
|
|
|
+ return False
|
|
|
+
|
|
|
+ trade_info = g.trade_history[security]
|
|
|
+ direction = trade_info['direction']
|
|
|
+ entry_price = trade_info['entry_price']
|
|
|
+ entry_time = trade_info['entry_time']
|
|
|
+ entry_trading_day = trade_info.get('entry_trading_day')
|
|
|
+ if entry_trading_day is None:
|
|
|
+ entry_trading_day = get_current_trading_day(entry_time)
|
|
|
+ trade_info['entry_trading_day'] = entry_trading_day
|
|
|
+ if entry_trading_day is not None:
|
|
|
+ entry_trading_day = normalize_trade_day_value(entry_trading_day)
|
|
|
+ current_trading_day = normalize_trade_day_value(get_current_trading_day(context.current_dt))
|
|
|
+ current_price = position.price
|
|
|
+
|
|
|
+ # 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
|
|
|
+
|
|
|
+ # 检查固定止损
|
|
|
+ log.info("=" * 60)
|
|
|
+ log.info(f"检查固定止损：")
|
|
|
+ log.info("=" * 60)
|
|
|
+ if profit_rate <= -g.fixed_stop_loss_rate:
|
|
|
+ log.info(f"{security} {direction} 触发固定止损 {g.fixed_stop_loss_rate:.3%}, 当前亏损率: {profit_rate:.3%}, "
|
|
|
+ f"成本价: {entry_price:.2f}, 当前价格: {current_price:.2f}")
|
|
|
+ close_position(context, security, direction)
|
|
|
+ return True
|
|
|
+ else:
|
|
|
+ log.debug(f"{security} {direction} 未触发固定止损 {g.fixed_stop_loss_rate:.3%}, 当前亏损率: {profit_rate:.3%}, "
|
|
|
+ f"成本价: {entry_price:.2f}, 当前价格: {current_price:.2f}")
|
|
|
+
|
|
|
+ if entry_trading_day is not None and entry_trading_day == current_trading_day:
|
|
|
+ log.info(f"{security} 建仓交易日内跳过动态止盈检查")
|
|
|
+ return False
|
|
|
+
|
|
|
+ # 检查是否启用均线跟踪止盈
|
|
|
+ log.info("=" * 60)
|
|
|
+ log.info(f"检查是否启用均线跟踪止盈：")
|
|
|
+ log.info("=" * 60)
|
|
|
+ if not trade_info.get('ma_trailing_enabled', True):
|
|
|
+ log.debug(f"{security} {direction} 未启用均线跟踪止盈")
|
|
|
+ return False
|
|
|
+
|
|
|
+ # 检查均线跟踪止盈
|
|
|
+ # 获取持仓天数
|
|
|
+ entry_date = entry_time.date()
|
|
|
+ current_date = context.current_dt.date()
|
|
|
+ all_trade_days = get_all_trade_days()
|
|
|
+ holding_days = sum((entry_date <= d <= current_date) for d in all_trade_days)
|
|
|
+
|
|
|
+ # 计算变化率
|
|
|
+ today_price = get_current_data()[security].last_price
|
|
|
+ avg_daily_change_rate = calculate_average_daily_change_rate(security)
|
|
|
+ historical_data = attribute_history(security, 1, '1d', ['close'])
|
|
|
+ yesterday_close = historical_data['close'].iloc[-1]
|
|
|
+ today_change_rate = abs((today_price - yesterday_close) / yesterday_close)
|
|
|
+
|
|
|
+ # 根据时间判断使用的偏移量
|
|
|
+ current_time = context.current_dt.time()
|
|
|
+ target_time = datetime.strptime('14:55:00', '%H:%M:%S').time()
|
|
|
+ if current_time > target_time:
|
|
|
+ offset_ratio = g.ma_offset_ratio_close
|
|
|
+ log.debug(f"当前时间是：{current_time}，使用偏移量: {offset_ratio:.3%}")
|
|
|
+ else:
|
|
|
+ offset_ratio = g.ma_offset_ratio_normal
|
|
|
+ log.debug(f"当前时间是：{current_time}，使用偏移量: {offset_ratio:.3%}")
|
|
|
+ # 选择止损均线
|
|
|
+ close_line = None
|
|
|
+ if today_change_rate >= 1.5 * avg_daily_change_rate:
|
|
|
+ close_line = 'ma5' # 波动剧烈时用短周期
|
|
|
+ elif holding_days <= g.days_for_adjustment:
|
|
|
+ close_line = 'ma5' # 持仓初期用短周期
|
|
|
+ else:
|
|
|
+ close_line = 'ma5' if today_change_rate >= 1.2 * avg_daily_change_rate else 'ma10'
|
|
|
+
|
|
|
+ # 计算实时均线值
|
|
|
+ ma_values = calculate_realtime_ma_values(security, [5, 10])
|
|
|
+ ma_value = ma_values[close_line]
|
|
|
+
|
|
|
+ # 应用偏移量
|
|
|
+ if direction == 'long':
|
|
|
+ adjusted_ma_value = ma_value * (1 - offset_ratio)
|
|
|
+ else:
|
|
|
+ adjusted_ma_value = ma_value * (1 + offset_ratio)
|
|
|
+
|
|
|
+ # 判断是否触发均线止损
|
|
|
+ if (direction == 'long' and today_price < adjusted_ma_value) or \
|
|
|
+ (direction == 'short' and today_price > adjusted_ma_value):
|
|
|
+ log.info(f"触发均线跟踪止盈 {security} {direction}, 止损均线: {close_line}, "
|
|
|
+ f"均线值: {ma_value:.2f}, 调整后: {adjusted_ma_value:.2f}, "
|
|
|
+ f"当前价: {today_price:.2f}, 持仓天数: {holding_days}")
|
|
|
+ close_position(context, security, direction)
|
|
|
+ return True
|
|
|
+ else:
|
|
|
+ log.debug(f"未触发均线跟踪止盈 {security} {direction}, 止损均线: {close_line}, "
|
|
|
+ f"均线值: {ma_value:.2f}, 调整后: {adjusted_ma_value:.2f}, "
|
|
|
+ f"当前价: {today_price:.2f}, 持仓天数: {holding_days}")
|
|
|
+
|
|
|
+ return False
|
|
|
+
|
|
|
+############################ 核心辅助函数 ###################################
|
|
|
+
|
|
|
+def calculate_ma_values(data, periods):
|
|
|
+ """计算均线值
|
|
|
+
|
|
|
+ Args:
|
|
|
+ data: DataFrame，包含'close'列的历史数据（最后一行是最新的数据）
|
|
|
+ periods: list，均线周期列表，如[5, 10, 20, 30]
|
|
|
+
|
|
|
+ Returns:
|
|
|
+ dict: {'MA5': value, 'MA10': value, 'MA20': value, 'MA30': value}
|
|
|
+ 返回最后一行（最新日期）的各周期均线值
|
|
|
+ """
|
|
|
+ ma_values = {}
|
|
|
+
|
|
|
+ for period in periods:
|
|
|
+ if len(data) >= period:
|
|
|
+ # 计算最后period天的均线值
|
|
|
+ ma_values[f'MA{period}'] = data['close'].iloc[-period:].mean()
|
|
|
+ else:
|
|
|
+ ma_values[f'MA{period}'] = None
|
|
|
+
|
|
|
+ return ma_values
|
|
|
+
|
|
|
+
|
|
|
+def calculate_ma_cross_score(open_price, current_price, ma_values, direction):
|
|
|
+ """根据开盘价与当前价统计多周期均线穿越得分
|
|
|
+ 返回: (总得分, 得分详情列表)
|
|
|
+ 得分详情: [{'period': 5, 'delta': 1}, {'period': 10, 'delta': 1}, ...]
|
|
|
+ """
|
|
|
+ if not ma_values:
|
|
|
+ return 0, []
|
|
|
+ assert direction in ('long', 'short')
|
|
|
+ score = 0
|
|
|
+ score_details = []
|
|
|
+ for period in g.ma_periods:
|
|
|
+ key = f'MA{period}'
|
|
|
+ ma_value = ma_values.get(key)
|
|
|
+ if ma_value is None:
|
|
|
+ continue
|
|
|
+ cross_up = open_price < ma_value and current_price > ma_value
|
|
|
+ cross_down = open_price > ma_value and current_price < ma_value
|
|
|
+ if not (cross_up or cross_down):
|
|
|
+ continue
|
|
|
+ if direction == 'long':
|
|
|
+ delta = 1 if cross_up else -1
|
|
|
+ else:
|
|
|
+ delta = -1 if cross_up else 1
|
|
|
+ score += delta
|
|
|
+ score_details.append({'period': period, 'delta': delta})
|
|
|
+ log.debug(
|
|
|
+ f" 均线穿越[{key}] - 开盘 {open_price:.2f}, 当前 {current_price:.2f}, "
|
|
|
+ f"均线 {ma_value:.2f}, 方向 {direction}, 增量 {delta}, 当前得分 {score}"
|
|
|
+ )
|
|
|
+ return score, score_details
|
|
|
+
|
|
|
+
|
|
|
+def calculate_ma_proximity_counts(data, periods, lookback_days):
|
|
|
+ """统计近 lookback_days 天收盘价贴近各均线的次数"""
|
|
|
+ proximity_counts = {f'MA{period}': 0 for period in periods}
|
|
|
+
|
|
|
+ if len(data) < lookback_days:
|
|
|
+ return proximity_counts
|
|
|
+
|
|
|
+ closes = data['close'].iloc[-lookback_days:]
|
|
|
+ ma_series = {
|
|
|
+ period: data['close'].rolling(window=period).mean().iloc[-lookback_days:]
|
|
|
+ for period in periods
|
|
|
+ }
|
|
|
+
|
|
|
+ for idx, close_price in enumerate(closes):
|
|
|
+ min_diff = None
|
|
|
+ closest_period = None
|
|
|
+
|
|
|
+ for period in periods:
|
|
|
+ ma_value = ma_series[period].iloc[idx]
|
|
|
+ if pd.isna(ma_value):
|
|
|
+ continue
|
|
|
+ diff = abs(close_price - ma_value)
|
|
|
+ if min_diff is None or diff < min_diff:
|
|
|
+ min_diff = diff
|
|
|
+ closest_period = period
|
|
|
+
|
|
|
+ if closest_period is not None:
|
|
|
+ proximity_counts[f'MA{closest_period}'] += 1
|
|
|
+
|
|
|
+ return proximity_counts
|
|
|
+
|
|
|
+
|
|
|
+def calculate_extreme_trend_days(data, periods, lookback_days):
|
|
|
+ """统计过去 lookback_days 天收盘价相对所有均线的极端趋势天数"""
|
|
|
+ if len(data) < lookback_days:
|
|
|
+ return 0, 0
|
|
|
+
|
|
|
+ recent_closes = data['close'].iloc[-lookback_days:]
|
|
|
+ ma_series = {
|
|
|
+ period: data['close'].rolling(window=period).mean().iloc[-lookback_days:]
|
|
|
+ for period in periods
|
|
|
+ }
|
|
|
+
|
|
|
+ above_count = 0
|
|
|
+ below_count = 0
|
|
|
+
|
|
|
+ for idx, close_price in enumerate(recent_closes):
|
|
|
+ ma_values = []
|
|
|
+ valid = True
|
|
|
+
|
|
|
+ for period in periods:
|
|
|
+ ma_value = ma_series[period].iloc[idx]
|
|
|
+ if pd.isna(ma_value):
|
|
|
+ valid = False
|
|
|
+ break
|
|
|
+ ma_values.append(ma_value)
|
|
|
+
|
|
|
+ if not valid or not ma_values:
|
|
|
+ continue
|
|
|
+
|
|
|
+ if all(close_price > ma_value for ma_value in ma_values):
|
|
|
+ above_count += 1
|
|
|
+ elif all(close_price < ma_value for ma_value in ma_values):
|
|
|
+ below_count += 1
|
|
|
+
|
|
|
+ return above_count, below_count
|
|
|
+
|
|
|
+
|
|
|
+def check_ma5_distribution_filter(data, lookback_days, direction, min_ratio):
|
|
|
+ """检查近 lookback_days 天收盘价相对于MA5的分布情况"""
|
|
|
+ stats = {
|
|
|
+ 'lookback_days': lookback_days,
|
|
|
+ 'valid_days': 0,
|
|
|
+ 'qualified_days': 0,
|
|
|
+ 'required_days': max(0, math.ceil(lookback_days * min_ratio))
|
|
|
+ }
|
|
|
+
|
|
|
+ if lookback_days <= 0:
|
|
|
+ return True, stats
|
|
|
+
|
|
|
+ if len(data) < max(lookback_days, 5):
|
|
|
+ return False, stats
|
|
|
+
|
|
|
+ recent_closes = data['close'].iloc[-lookback_days:]
|
|
|
+ ma5_series = data['close'].rolling(window=5).mean().iloc[-lookback_days:]
|
|
|
+
|
|
|
+ for close_price, ma5_value in zip(recent_closes, ma5_series):
|
|
|
+ log.debug(f"close_price: {close_price}, ma5_value: {ma5_value}")
|
|
|
+ if pd.isna(ma5_value):
|
|
|
+ continue
|
|
|
+ stats['valid_days'] += 1
|
|
|
+ if direction == 'long' and close_price < ma5_value:
|
|
|
+ stats['qualified_days'] += 1
|
|
|
+ elif direction == 'short' and close_price > ma5_value:
|
|
|
+ stats['qualified_days'] += 1
|
|
|
+
|
|
|
+ if stats['valid_days'] < lookback_days:
|
|
|
+ return False, stats
|
|
|
+
|
|
|
+ return stats['qualified_days'] >= stats['required_days'], stats
|
|
|
+
|
|
|
+
|
|
|
+def check_open_gap_filter(symbol, dominant_future, direction, yesterday_close, today_open, current_trading_day):
|
|
|
+ """开盘价差过滤辅助函数
|
|
|
+
|
|
|
+ 根据当前策略模式(`g.ma_gap_strategy_mode`)和对应阈值检查开盘价差是否符合方向要求。
|
|
|
+
|
|
|
+ Args:
|
|
|
+ symbol: 品种代码（如 'AO'）
|
|
|
+ dominant_future: 主力合约代码（如 'AO2502.XSGE'）
|
|
|
+ direction: 方向，'long' 或 'short'
|
|
|
+ yesterday_close: 前一交易日收盘价
|
|
|
+ today_open: 当日开盘价
|
|
|
+ current_trading_day: 当前期货交易日
|
|
|
+
|
|
|
+ Returns:
|
|
|
+ bool: True 表示通过开盘价差过滤，False 表示未通过（并已加入排除缓存）
|
|
|
+ """
|
|
|
+ open_gap_ratio = (today_open - yesterday_close) / yesterday_close
|
|
|
+ log.info(
|
|
|
+ f" 开盘价差检查: 昨收 {yesterday_close:.2f}, 今开 {today_open:.2f}, "
|
|
|
+ f"价差比例 {open_gap_ratio:.2%}"
|
|
|
+ )
|
|
|
+
|
|
|
+ gap_check_passed = False
|
|
|
+
|
|
|
+ if g.ma_gap_strategy_mode == 1:
|
|
|
+ # 方案1：多头检查上跳，空头检查下跳
|
|
|
+ if direction == 'long' and open_gap_ratio >= g.ma_open_gap_threshold:
|
|
|
+ log.info(
|
|
|
+ f" {symbol}({dominant_future}) ✓ 方案1多头开盘价差检查通过 "
|
|
|
+ f"({open_gap_ratio:.2%} >= {g.ma_open_gap_threshold:.2%})"
|
|
|
+ )
|
|
|
+ gap_check_passed = True
|
|
|
+ elif direction == 'short' and open_gap_ratio <= -g.ma_open_gap_threshold:
|
|
|
+ log.info(
|
|
|
+ f" {symbol}({dominant_future}) ✓ 方案1空头开盘价差检查通过 "
|
|
|
+ f"({open_gap_ratio:.2%} <= {-g.ma_open_gap_threshold:.2%})"
|
|
|
+ )
|
|
|
+ gap_check_passed = True
|
|
|
+ elif g.ma_gap_strategy_mode == 2 or g.ma_gap_strategy_mode == 3:
|
|
|
+ # 方案2和方案3：多头检查下跳，空头检查上跳
|
|
|
+ if direction == 'long' and open_gap_ratio <= -g.ma_open_gap_threshold2:
|
|
|
+ log.info(
|
|
|
+ f" {symbol}({dominant_future}) ✓ 方案{g.ma_gap_strategy_mode}多头开盘价差检查通过 "
|
|
|
+ f"({open_gap_ratio:.2%} <= {-g.ma_open_gap_threshold2:.2%})"
|
|
|
+ )
|
|
|
+ gap_check_passed = True
|
|
|
+ elif direction == 'short' and open_gap_ratio >= g.ma_open_gap_threshold2:
|
|
|
+ log.info(
|
|
|
+ f" {symbol}({dominant_future}) ✓ 方案{g.ma_gap_strategy_mode}空头开盘价差检查通过 "
|
|
|
+ f"({open_gap_ratio:.2%} >= {g.ma_open_gap_threshold2:.2%})"
|
|
|
+ )
|
|
|
+ gap_check_passed = True
|
|
|
+
|
|
|
+ if not gap_check_passed:
|
|
|
+ add_to_excluded_contracts(dominant_future, 'open_gap', current_trading_day)
|
|
|
+ return False
|
|
|
+
|
|
|
+ return True
|
|
|
+
|
|
|
+
|
|
|
+
|
|
|
+def check_ma_pattern(ma_values, direction):
|
|
|
+ """检查均线排列模式是否符合方向要求
|
|
|
+
|
|
|
+ Args:
|
|
|
+ ma_values: dict，包含MA5, MA10, MA20, MA30的均线值
|
|
|
+ direction: str，'long'或'short'
|
|
|
+
|
|
|
+ Returns:
|
|
|
+ bool: 是否符合均线排列要求
|
|
|
+ """
|
|
|
+ ma5 = ma_values['MA5']
|
|
|
+ ma10 = ma_values['MA10']
|
|
|
+ ma20 = ma_values['MA20']
|
|
|
+ ma30 = ma_values['MA30']
|
|
|
+
|
|
|
+ if direction == 'long':
|
|
|
+ # 多头模式：MA30 <= MA20 <= MA10 <= MA5 或 MA30 <= MA20 <= MA5 <= MA10
|
|
|
+ # 或者：MA20 <= MA30 <= MA10 <= MA5 或 MA20 <= MA30 <= MA5 <= MA10
|
|
|
+ pattern1 = (ma30 <= ma20 <= ma10 <= ma5)
|
|
|
+ pattern2 = (ma30 <= ma20 <= ma5 <= ma10)
|
|
|
+ pattern3 = (ma20 <= ma30 <= ma10 <= ma5)
|
|
|
+ pattern4 = (ma20 <= ma30 <= ma5 <= ma10)
|
|
|
+ return pattern1 or pattern2 or pattern3 or pattern4
|
|
|
+ elif direction == 'short':
|
|
|
+ # 空头模式：MA10 <= MA5 <= MA20 <= MA30 或 MA5 <= MA10 <= MA20 <= MA30
|
|
|
+ # 或者：MA10 <= MA5 <= MA30 <= MA20 或 MA5 <= MA10 <= MA30 <= MA20
|
|
|
+ pattern1 = (ma10 <= ma5 <= ma20 <= ma30)
|
|
|
+ pattern2 = (ma5 <= ma10 <= ma20 <= ma30)
|
|
|
+ pattern3 = (ma10 <= ma5 <= ma30 <= ma20)
|
|
|
+ pattern4 = (ma5 <= ma10 <= ma30 <= ma20)
|
|
|
+ return pattern1 or pattern2 or pattern3 or pattern4
|
|
|
+ else:
|
|
|
+ return False
|
|
|
+
|
|
|
+def check_historical_ma_pattern_consistency(historical_data, direction, lookback_days, consistency_threshold):
|
|
|
+ """检查历史均线模式的一致性
|
|
|
+
|
|
|
+ Args:
|
|
|
+ historical_data: DataFrame，包含足够天数的历史数据
|
|
|
+ direction: str，'long'或'short'
|
|
|
+ lookback_days: int，检查过去多少天
|
|
|
+ consistency_threshold: float，一致性阈值（0-1之间）
|
|
|
+
|
|
|
+ Returns:
|
|
|
+ tuple: (bool, float) - (是否通过一致性检查, 实际一致性比例)
|
|
|
+ """
|
|
|
+ if len(historical_data) < max(g.ma_periods) + lookback_days:
|
|
|
+ # 历史数据不足
|
|
|
+ return False, 0.0
|
|
|
+
|
|
|
+ match_count = 0
|
|
|
+ total_count = lookback_days
|
|
|
+ # log.debug(f"历史均线模式一致性检查: {direction}, 检查过去{lookback_days}天的数据")
|
|
|
+ # log.debug(f"历史数据: {historical_data}")
|
|
|
+
|
|
|
+ # 检查过去lookback_days天的均线模式
|
|
|
+ for i in range(lookback_days):
|
|
|
+ # 获取倒数第(i+1)天的数据（i=0时是昨天，i=1时是前天，依此类推）
|
|
|
+ end_idx = -(i + 1)
|
|
|
+ # 获取这一天的具体日期
|
|
|
+ date = historical_data.index[end_idx].date()
|
|
|
+ # 获取到该天（包括该天）为止的所有数据
|
|
|
+ if i == 0:
|
|
|
+ data_slice = historical_data
|
|
|
+ else:
|
|
|
+ data_slice = historical_data.iloc[:-i]
|
|
|
+
|
|
|
+ # 计算该天的均线值
|
|
|
+ # log.debug(f"对于倒数第{i+1}天，end_idx: {end_idx}，日期: {date}，计算均线值: {data_slice}")
|
|
|
+ ma_values = calculate_ma_values(data_slice, g.ma_periods)
|
|
|
+ # log.debug(f"end_idx: {end_idx}，日期: {date}，倒数第{i+1}天的均线值: {ma_values}")
|
|
|
+
|
|
|
+ # 检查是否符合模式
|
|
|
+ if check_ma_pattern(ma_values, direction):
|
|
|
+ match_count += 1
|
|
|
+ # log.debug(f"日期: {date}，对于倒数第{i+1}天，历史均线模式一致性检查: {direction} 符合模式")
|
|
|
+ # else:
|
|
|
+ # log.debug(f"日期: {date}，对于倒数第{i+1}天，历史均线模式一致性检查: {direction} 不符合模式")
|
|
|
+
|
|
|
+ consistency_ratio = match_count / total_count
|
|
|
+ passed = consistency_ratio >= consistency_threshold
|
|
|
+
|
|
|
+ return passed, consistency_ratio
|
|
|
+
|
|
|
+############################ 交易执行函数 ###################################
|
|
|
+
|
|
|
+def open_position(context, security, target_hands, direction, single_hand_margin, reason=''):
|
|
|
+ """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
|
|
|
+ order = order_target(security, target_hands, side=direction)
|
|
|
+ log.debug(f"order: {order}")
|
|
|
+
|
|
|
+ # 检查订单状态，如果为'new'说明当晚没有夜盘
|
|
|
+ if order is not None:
|
|
|
+ order_status = str(order.status).lower()
|
|
|
+ if order_status == 'new':
|
|
|
+ # 取消订单
|
|
|
+ cancel_order(order)
|
|
|
+ current_trading_day = get_current_trading_day(context.current_dt)
|
|
|
+ g.night_session_blocked = True
|
|
|
+ g.night_session_blocked_trading_day = current_trading_day
|
|
|
+ log.warning(f"订单状态为'new'，说明{current_trading_day}当晚没有夜盘，已取消订单: {security} {direction} {target_hands}手，并禁止当晚所有操作")
|
|
|
+ return False
|
|
|
+
|
|
|
+ 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
|
|
|
+
|
|
|
+ # 计算保证金变化
|
|
|
+ margin_change = single_hand_margin * target_hands
|
|
|
+
|
|
|
+ # 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, # 合约代码
|
|
|
+ 'underlying_symbol': underlying_symbol, # 标的代码
|
|
|
+ 'direction': direction, # 方向
|
|
|
+ 'order_amount': order_amount, # 订单数量
|
|
|
+ 'order_price': order_price, # 订单价格
|
|
|
+ 'cash_change': cash_change, # 资金变化
|
|
|
+ 'margin_change': margin_change, # 保证金
|
|
|
+ 'time': context.current_dt # 时间
|
|
|
+ })
|
|
|
+
|
|
|
+ # 记录交易信息
|
|
|
+ entry_trading_day = get_current_trading_day(context.current_dt)
|
|
|
+ g.trade_history[security] = {
|
|
|
+ 'entry_price': order_price,
|
|
|
+ 'target_hands': target_hands,
|
|
|
+ 'actual_hands': order_amount,
|
|
|
+ 'actual_margin': margin_change,
|
|
|
+ 'direction': direction,
|
|
|
+ 'entry_time': context.current_dt,
|
|
|
+ 'entry_trading_day': entry_trading_day
|
|
|
+ }
|
|
|
+
|
|
|
+ ma_trailing_enabled = True
|
|
|
+ ma_values_at_entry = calculate_realtime_ma_values(security, [5])
|
|
|
+ ma5_value = ma_values_at_entry.get('ma5')
|
|
|
+ if ma5_value is not None:
|
|
|
+ if direction == 'long' and order_price < ma5_value:
|
|
|
+ ma_trailing_enabled = False
|
|
|
+ log.info(f"禁用均线跟踪止盈: {security} {direction}, 开仓价 {order_price:.2f} < MA5 {ma5_value:.2f}")
|
|
|
+ elif direction == 'short' and order_price > ma5_value:
|
|
|
+ ma_trailing_enabled = False
|
|
|
+ log.info(f"禁用均线跟踪止盈: {security} {direction}, 开仓价 {order_price:.2f} > MA5 {ma5_value:.2f}")
|
|
|
+
|
|
|
+ g.trade_history[security]['ma_trailing_enabled'] = ma_trailing_enabled
|
|
|
+
|
|
|
+ log.info(f"开仓成功: {security} {direction} {order_amount}手 @{order_price:.2f}, "
|
|
|
+ f"保证金: {margin_change:.0f}, 资金变化: {cash_change:.0f}, 原因: {reason}")
|
|
|
+
|
|
|
+ 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:
|
|
|
+ # 使用order_target平仓到0手
|
|
|
+ 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,
|
|
|
+ 'order_price': order.avg_cost if order.avg_cost else order.price,
|
|
|
+ 'cash_change': 0,
|
|
|
+ 'time': context.current_dt
|
|
|
+ })
|
|
|
+
|
|
|
+ log.info(f"平仓成功: {underlying_symbol} {direction} {order.filled}手")
|
|
|
+
|
|
|
+ # 从交易历史中移除
|
|
|
+ if security in g.trade_history:
|
|
|
+ del g.trade_history[security]
|
|
|
+ log.debug(f"从交易历史中移除: {security}")
|
|
|
+ else:
|
|
|
+ log.info(f"平仓失败: {security} {direction} {order.filled}手")
|
|
|
+ return True
|
|
|
+
|
|
|
+ except Exception as e:
|
|
|
+ log.warning(f"平仓失败 {security}: {str(e)}")
|
|
|
+
|
|
|
+ return False
|
|
|
+
|
|
|
+############################ 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"""
|
|
|
+ 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 add_to_excluded_contracts(dominant_future, reason, current_trading_day):
|
|
|
+ """将合约添加到排除缓存"""
|
|
|
+ g.excluded_contracts[dominant_future] = {
|
|
|
+ 'reason': reason,
|
|
|
+ 'trading_day': current_trading_day
|
|
|
+ }
|
|
|
+
|
|
|
+def has_reached_trading_start(current_dt, trading_start_time_str, has_night_session=False):
|
|
|
+ """判断当前是否已到达合约允许交易的起始时间"""
|
|
|
+ if not trading_start_time_str:
|
|
|
+ return True
|
|
|
+
|
|
|
+ try:
|
|
|
+ hour, minute = [int(part) for part in trading_start_time_str.split(':')[:2]]
|
|
|
+ except Exception:
|
|
|
+ return True
|
|
|
+
|
|
|
+ start_time = time(hour, minute)
|
|
|
+ current_time = current_dt.time()
|
|
|
+
|
|
|
+ if has_night_session:
|
|
|
+ if current_time >= start_time:
|
|
|
+ return True
|
|
|
+ if current_time < time(12, 0):
|
|
|
+ return True
|
|
|
+ if time(8, 30) <= current_time <= time(15, 30):
|
|
|
+ return True
|
|
|
+ return False
|
|
|
+
|
|
|
+ if current_time < start_time:
|
|
|
+ return False
|
|
|
+ if current_time >= time(20, 0):
|
|
|
+ return False
|
|
|
+ return True
|
|
|
+
|
|
|
+def calculate_target_hands(context, security, direction):
|
|
|
+ """计算目标开仓手数"""
|
|
|
+ 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
|
|
|
+ log.debug(f"计算单手保证金: {current_price:.2f} * {multiplier:.2f} * {margin_rate:.2f} = {single_hand_margin:.2f}")
|
|
|
+
|
|
|
+ # 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)
|
|
|
+
|
|
|
+ log.info(f"单手保证金: {single_hand_margin:.0f}, 目标开仓手数: {actual_hands}")
|
|
|
+
|
|
|
+ return actual_hands, single_hand_margin
|
|
|
+ else:
|
|
|
+ # 如果单手保证金超过最大限制，默认开仓1手
|
|
|
+ actual_hands = 1
|
|
|
+
|
|
|
+ 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")
|
|
|
+
|
|
|
+ return actual_hands, single_hand_margin
|
|
|
+
|
|
|
+def check_symbol_prefix_match(symbol, context, hold_symbols):
|
|
|
+ """检查是否有相似的持仓品种"""
|
|
|
+ log.debug(f"检查持仓")
|
|
|
+ symbol_prefix = symbol[:-9]
|
|
|
+
|
|
|
+ long_positions = context.subportfolios[0].long_positions
|
|
|
+ short_positions = context.subportfolios[0].short_positions
|
|
|
+ log.debug(f"long_positions: {long_positions}, short_positions: {short_positions}")
|
|
|
+
|
|
|
+ for hold_symbol in hold_symbols:
|
|
|
+ hold_symbol_prefix = hold_symbol[:-9] if len(hold_symbol) > 9 else hold_symbol
|
|
|
+
|
|
|
+ if symbol_prefix == hold_symbol_prefix:
|
|
|
+ return True
|
|
|
+ return False
|
|
|
+
|
|
|
+def calculate_average_daily_change_rate(security, days=30):
|
|
|
+ """计算日均变化率"""
|
|
|
+ historical_data = attribute_history(security, days + 1, '1d', ['close'])
|
|
|
+ daily_change_rates = abs(historical_data['close'].pct_change()).iloc[1:]
|
|
|
+ return daily_change_rates.mean()
|
|
|
+
|
|
|
+def calculate_realtime_ma_values(security, ma_periods):
|
|
|
+ """计算包含当前价格的实时均线值"""
|
|
|
+ historical_data = attribute_history(security, max(ma_periods), '1d', ['close'])
|
|
|
+ today_price = get_current_data()[security].last_price
|
|
|
+ close_prices = historical_data['close'].tolist() + [today_price]
|
|
|
+ ma_values = {f'ma{period}': sum(close_prices[-period:]) / period for period in ma_periods}
|
|
|
+ return ma_values
|
|
|
+
|
|
|
+def sync_trade_history_with_positions(context):
|
|
|
+ """同步g.trade_history与实际持仓，清理已平仓但记录未删除的持仓"""
|
|
|
+ if not g.trade_history:
|
|
|
+ return
|
|
|
+
|
|
|
+ subportfolio = context.subportfolios[0]
|
|
|
+ actual_positions = set(subportfolio.long_positions.keys()) | set(subportfolio.short_positions.keys())
|
|
|
+
|
|
|
+ # 找出g.trade_history中有记录但实际已平仓的合约
|
|
|
+ stale_records = []
|
|
|
+ for security in g.trade_history.keys():
|
|
|
+ if security not in actual_positions:
|
|
|
+ stale_records.append(security)
|
|
|
+
|
|
|
+ # 清理这些过期记录
|
|
|
+ if stale_records:
|
|
|
+ log.info("=" * 60)
|
|
|
+ log.info("发现持仓记录与实际持仓不同步，进行清理：")
|
|
|
+ for security in stale_records:
|
|
|
+ trade_info = g.trade_history[security]
|
|
|
+ underlying_symbol = security.split('.')[0][:-4]
|
|
|
+ log.info(f" 清理过期记录: {underlying_symbol}({security}) {trade_info['direction']}, "
|
|
|
+ f"成本价: {trade_info['entry_price']:.2f}, "
|
|
|
+ f"入场时间: {trade_info['entry_time']}")
|
|
|
+ del g.trade_history[security]
|
|
|
+ log.info(f"共清理 {len(stale_records)} 条过期持仓记录")
|
|
|
+ log.info("=" * 60)
|
|
|
+
|
|
|
+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())))
|
|
|
+
|
|
|
+ # 同步检查：清理g.trade_history中已平仓但记录未删除的持仓
|
|
|
+ sync_trade_history_with_positions(context)
|
|
|
+
|
|
|
+ # 清空候选列表（每天重新检查）
|
|
|
+ g.daily_ma_candidates = {}
|
|
|
+
|
|
|
+ # 清空排除缓存（每天重新检查）
|
|
|
+ excluded_count = len(g.excluded_contracts)
|
|
|
+ if excluded_count > 0:
|
|
|
+ log.info(f"清空排除缓存，共 {excluded_count} 个合约")
|
|
|
+ g.excluded_contracts = {}
|
|
|
+
|
|
|
+ # 重置夜盘禁止操作标志
|
|
|
+ if g.night_session_blocked:
|
|
|
+ log.info(f"重置夜盘禁止操作标志")
|
|
|
+ g.night_session_blocked = False
|
|
|
+ g.night_session_blocked_trading_day = None
|
|
|
+
|
|
|
+ # 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"""
|
|
|
+ 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:
|
|
|
+ underlying_symbol = match.groupdict()["underlying_symbol"]
|
|
|
+ trading_start = get_futures_config(underlying_symbol, 'trading_start_time', None)
|
|
|
+ has_night_session = get_futures_config(underlying_symbol, 'has_night_session', False)
|
|
|
+ # log.debug(f"移仓换月: {symbol}, 交易开始时间: {trading_start}, 夜盘: {has_night_session}")
|
|
|
+ if trading_start and not has_reached_trading_start(context.current_dt, trading_start, has_night_session):
|
|
|
+ # log.info("{} 当前时间 {} 未到达交易开始时间 {} (夜盘:{} )，跳过移仓".format(
|
|
|
+ # symbol,
|
|
|
+ # context.current_dt.strftime('%H:%M:%S'),
|
|
|
+ # trading_start,
|
|
|
+ # has_night_session
|
|
|
+ # ))
|
|
|
+ continue
|
|
|
+ dominant = get_dominant_future(underlying_symbol)
|
|
|
+ cur = get_current_data()
|
|
|
+ symbol_last_price = cur[symbol].last_price
|
|
|
+ dominant_last_price = cur[dominant].last_price
|
|
|
+
|
|
|
+ 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"})
|
|
|
+ # 换月成功，更新交易记录
|
|
|
+ if symbol in g.trade_history:
|
|
|
+ # 复制旧的交易记录作为基础
|
|
|
+ old_entry_price = g.trade_history[symbol]['entry_price']
|
|
|
+ g.trade_history[dominant] = g.trade_history[symbol].copy()
|
|
|
+
|
|
|
+ # 更新成本价为新合约的实际开仓价
|
|
|
+ new_entry_price = None
|
|
|
+ if order_new.avg_cost and order_new.avg_cost > 0:
|
|
|
+ new_entry_price = order_new.avg_cost
|
|
|
+ g.trade_history[dominant]['entry_price'] = order_new.avg_cost
|
|
|
+ elif order_new.price and order_new.price > 0:
|
|
|
+ new_entry_price = order_new.price
|
|
|
+ g.trade_history[dominant]['entry_price'] = order_new.price
|
|
|
+ else:
|
|
|
+ # 如果订单价格无效，使用当前价格作为成本价
|
|
|
+ new_entry_price = dominant_last_price
|
|
|
+ g.trade_history[dominant]['entry_price'] = dominant_last_price
|
|
|
+
|
|
|
+ # 更新入场时间
|
|
|
+ g.trade_history[dominant]['entry_time'] = context.current_dt
|
|
|
+ # 更新入场交易日
|
|
|
+ g.trade_history[dominant]['entry_trading_day'] = get_current_trading_day(context.current_dt)
|
|
|
+ # 删除旧合约的交易记录
|
|
|
+ del g.trade_history[symbol]
|
|
|
+
|
|
|
+ log.info(f"移仓换月成本价更新: {symbol} -> {dominant}, "
|
|
|
+ f"旧成本价: {old_entry_price:.2f}, 新成本价: {new_entry_price:.2f}")
|
|
|
+ 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"})
|
|
|
+ # 换月成功，更新交易记录
|
|
|
+ if symbol in g.trade_history:
|
|
|
+ # 复制旧的交易记录作为基础
|
|
|
+ old_entry_price = g.trade_history[symbol]['entry_price']
|
|
|
+ g.trade_history[dominant] = g.trade_history[symbol].copy()
|
|
|
+
|
|
|
+ # 更新成本价为新合约的实际开仓价
|
|
|
+ new_entry_price = None
|
|
|
+ if order_new.avg_cost and order_new.avg_cost > 0:
|
|
|
+ new_entry_price = order_new.avg_cost
|
|
|
+ g.trade_history[dominant]['entry_price'] = order_new.avg_cost
|
|
|
+ elif order_new.price and order_new.price > 0:
|
|
|
+ new_entry_price = order_new.price
|
|
|
+ g.trade_history[dominant]['entry_price'] = order_new.price
|
|
|
+ else:
|
|
|
+ # 如果订单价格无效，使用当前价格作为成本价
|
|
|
+ new_entry_price = dominant_last_price
|
|
|
+ g.trade_history[dominant]['entry_price'] = dominant_last_price
|
|
|
+
|
|
|
+ # 更新入场时间
|
|
|
+ g.trade_history[dominant]['entry_time'] = context.current_dt
|
|
|
+ # 更新入场交易日
|
|
|
+ g.trade_history[dominant]['entry_trading_day'] = get_current_trading_day(context.current_dt)
|
|
|
+ # 删除旧合约的交易记录
|
|
|
+ del g.trade_history[symbol]
|
|
|
+
|
|
|
+ log.info(f"移仓换月成本价更新: {symbol} -> {dominant}, "
|
|
|
+ f"旧成本价: {old_entry_price:.2f}, 新成本价: {new_entry_price:.2f}")
|
|
|
+ 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