期货单边tick交易

#!/usr/bin/env python
# coding:utf-8
from PoboAPI import *
import collections
import datetime
# on tick level 自己补充一下细节
def OnStart(context) :
    print "I\'m starting..."
    #g.code = "TA901.CZCE" #works for TA MA day 6 4
    #g.code= GetMainContract('CZCE', 'TA',20)
    #g.code="cu1905C49000.SHFE"#"m1905-C-2500.DCE"#"10001731.SHSE"#"510050.SHSE" #"510050.SHSE"#"10001620.SHSE"#"600500.SHSE" "10001727.SHSE" "ta905.CZCE"
    #g.code="10001731.SHSE"
    #g.code = "510050.SHSE"
    g.code = GetMainContract('CZCE', 'rm',20)
    g.accountname="填你自己的账户名称"#"回测期货"#"回测证券"
    SubscribeQuote(g.code)
    #SubscribeBar(g.code,BarType.Min)
    g.priceseries=collections.deque(maxlen=20) #初始化deque
    if context.accounts.has_key(g.accountname) :
        print "登录交易账号 ：" + str(g.accountname)
        context.accounts[g.accountname].Login()
        print "账户登录成功"
def OnMarketQuotationInitialEx(context, exchange,daynight):
    if exchange == 'CZCE' and daynight == 'night':
        print '郑商所夜盘行情开盘时重登交易账号'
        context.accounts[g.accountname].Logout()
        context.accounts[g.accountname].Login()
    if exchange == 'CZCE' and daynight == 'day':
        print '郑商所日盘行情开盘时重登交易账号'
        context.accounts[g.accountname].Logout()
        context.accounts[g.accountname].Login()    

def OnOrderChange(context, AccountName, order) :
    Test = context.accounts[g.accountname].GetOrder(order.id)
    print "order info "+str(Test.volume)+"  "+str(Test.id)
    print "order status"+str(Test.IsCanCancel())
    
        
def OnQuote(context,code) :
    g.code = GetMainContract('CZCE', 'rm',20)
    print "g.code "+str(g.code)
    dyndata = GetQuote(g.code)
    print str(g.accountname)

    now1 = dyndata.now
    if now1<>0.0:
        g.priceseries.append(now1)
        print str(g.priceseries)
    
    pos = context.accounts[g.accountname].GetPositions()
    #print str(pos)+"len pos "+str(len(pos))
    bal = context.accounts[g.accountname].AccountBalance
    #floatprofit=bal.FloatingProfit
    holdingpositions=0
#     exchange = GetVarieties('SHFE')
#     print exchange
# #     for i in exchange:
        
# #         print i,exchange[i]
#     list1 = GetFuturesContracts2('m',exchange_code = 'auto')
#     print list1    
    posfloatingprofit=0
    openprice=10000
    longpos=0
    if len(pos)>0:
        
        
        
        for i in pos:
            
            if i.contract==g.code:
                
                longpos=longpos+1
            
                holdingpositions=i.availvolume
                
                openprice=i.openavgprice
                
                posfloatingprofit=(now1-openprice)*10
        print "longpos"+str(longpos)
        
        
        
    
    if len(g.priceseries)==20:
        
        counter=0.0
        
        if g.priceseries[19]<g.priceseries[13]-2 and g.priceseries[18]<g.priceseries[10]-2 and g.priceseries[19]<=g.priceseries[17] :
            
            counter=1
        if g.priceseries[19]>g.priceseries[13]+4 and g.priceseries[17]>g.priceseries[10]+3 and now1>openprice+12:
            counter=-1
        
#         for i in range(len(g.priceseries)-1):
            
#             if g.priceseries[i+1]>g.priceseries[i]:
                
#                 #counter+=1*(1+(i+1.0)/10.0)
                
        #print "counter "+str(counter)+" "+ str(round(10*counter,0))        
#     option = PBObj()
#     klinedata = GetHisData(g.code, BarType.Day, option)
    
#     if klinedata[len(klinedata)-1].close < klinedata[len(klinedata)-2].close :
#         # 当日收盘价小于昨收则买入     
#         context.accounts["回测证券"].InsertOrder("600050.SHSE", BSType.Buy, dyndata.now, 10000)
#     elif klinedata[len(klinedata)-1].close > klinedata[len(klinedata)-2].close :
#         # 当日收盘价大于昨收则卖出
#         context.accounts["回测证券"].InsertOrder(code, BSType.Sell, dyndata.now, 10000)
        if counter==1 and (len(pos)==0 or longpos<3):
            # 当日收盘价小于昨收则买入   #(counter<5 and len(pos)>0)
            print "time to buy-------------"
            #print "buy at "+str(dyndata.askprice(0)-4)
            context.accounts[g.accountname].InsertOrder(g.code, BSType.BuyOpen, dyndata.askprice(0)+1, 2)
            #orderinfo=context.accounts[g.accountname].GetOrder()
            #print "order id is ........"+str(orderinfo.id)
        elif (counter==-1 and len(pos)>0) or (posfloatingprofit>300) :
            # 当日收盘价大于昨收则卖出
            print "sell"
            context.accounts[g.accountname].InsertOrder(g.code, BSType.SellClose, dyndata.bidprice(0), min(holdingpositions,longpos))