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Copy path白糖根据历史波动率跨式Sugar opt strangle on His Vola
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白糖根据历史波动率跨式Sugar opt strangle on His Vola
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# coding:utf-8
#!/usr/bin/env python
from PoboAPI import *
import datetime
import numpy as np
#用poboquant python实现，在poboquant上运行，如果有问题 可加群 726895887 咨询
#根据白糖期货的历史波动率 做白糖期权 跨式策略
#long sugar price volatility, when historical volatility below 10% long strangle,volatility over 20% ,close the strangle
#开始时间，用于初始化一些参数
def OnStart(context) :
print "system starting..."
#设定一个全局变量品种
g.code1 = "SR901C6000.CZCE"
g.code2 = "SR901P5000.CZCE"
g.code0="SR901.CZCE"
#订阅实时数据，用于驱动OnQuote事件
SubscribeQuote([g.code1,g.code2,g.code0])
#订阅K线数据，用于驱动OnBar事件
SubscribeBar(g.code1, BarType.Day)
SubscribeBar(g.code2, BarType.Day)
SubscribeBar(g.code0, BarType.Day)
#登录交易账号，需在主页用户管理中设置账号，并把证券测试替换成您的账户名称
context.myacc = None
if context.accounts.has_key("回测期货") :
print "登录交易账号[回测期货]"
if context.accounts["回测期货"].Login() :
context.myacc = context.accounts["回测期货"]
#实时行情事件，当有新行情出现时调用该事件
def OnQuote(context, code) :
#过滤掉不需要的行情通知
# if code != g.code1 :
# return
# if code != g.code2 :
# return
#获取最新行情
dyndata1 = GetQuote(g.code1)
dyndata2 = GetQuote(g.code2)
tradingtime=GetQuote(g.code0).time
print "tradingtime ",tradingtime
if dyndata1 and dyndata2 :
#.now指最新价，详细属性见API文档
now1 = dyndata1.now
now2 = dyndata2.now
#打印最新价
log.info("SR901C6000最新价1: " + str(dyndata1.now))
log.info("SR901P5000最新价2: " + str(dyndata2.now))
#获取K线数据
klinedata1 = GetHisData(g.code1, BarType.Day)
klinedata2 = GetHisData(g.code2, BarType.Day)
#打印K线数据，如最新一根K线的收盘价
CalOBJ = CreateCalcObj() #创建一个计算对象
option = PBObj()
#option.StartDate = datetime.datetime(int(tradingtime.year), int(tradingtime.month), int(tradingtime.day))
yearstring=int(tradingtime.year)
#print "yearstring=int(tradingtime.year)",int(tradingtime.year)
monthstring=int(tradingtime.month)
daystring=int(tradingtime.day)
#准备计算白糖期货的历史波动率
if monthstring-1 in [1,3,5,7,8,10,12]:
option.StartDate = datetime.datetime(yearstring,monthstring-1,daystring)
if monthstring-1==2:
if daystring>28:
option.StartDate = datetime.datetime(yearstring,monthstring-1,28)
else:
option.StartDate = datetime.datetime(yearstring,monthstring-1,daystring)
if monthstring-1 in [4,6,9,11]:
if daystring>30:
option.StartDate = datetime.datetime(yearstring,monthstring-1,30)
else:
option.StartDate = datetime.datetime(yearstring,monthstring-1,daystring)
option.Count = 30 #计算30天历史波动率
klinedata = GetHisData(g.code0, BarType.Day, option)
#print "len(klinedata) ",len(klinedata)
klist = []
i=0
while i<len(klinedata):
klist.append(klinedata[i].close)
#print "klinedata[i].close",klinedata[i].close
i+=1
if len(klist)>0:
Kl = np.array(klist, dtype=np.double)
HisVola=CalOBJ.GetVolatility(Kl)*100 #得到历史波动率
print "30D HisVola "+str(HisVola)
bal = context.myacc.AccountBalance #
posmargin=bal.MarketValue
pos = context.myacc.GetPositions()
poslength=len(pos)
print "持仓合约数： "+str(poslength)
#如果配置好交易账号了，可以根据条件下单，需把下面中的证券测试账号换成您设置的账号名称
if len(klinedata1) > 1 and len(klinedata2) > 1 and HisVola<10 and context.myacc and posmargin<100000 :
# 白糖1901波动率低于10%就买入跨式
print "buy open the spread with HisVola"+str(HisVola)
print "trading day "+str(tradingtime)
print "期权持仓市值 "+str(posmargin)
context.myacc.InsertOrder(g.code1, BSType.BuyOpen, dyndata1.now, 10)
context.myacc.InsertOrder(g.code2, BSType.BuyOpen, dyndata2.now, 10)
if len(klinedata1) > 1 and len(klinedata2) > 1 and HisVola>=20 and poslength>0 and context.myacc :
# 白糖1901波动率高于20%就卖平跨式
print "sell close the spread,take profit "+str(HisVola)
print "trading day "+str(tradingtime)
context.myacc.InsertOrder(g.code1, BSType.SellClose, dyndata1.now, 10)
context.myacc.InsertOrder(g.code2, BSType.SellClose, dyndata2.now, 10)
if len(klinedata1) > 1 and len(klinedata2) > 1 and HisVola<5 and poslength>0 and context.myacc :
# 白糖1901波动率低于5%就卖平跨式止损
print "sell close the spread,cut loss "+str(HisVola)
print "trading day "+str(tradingtime)
context.myacc.InsertOrder(g.code1, BSType.SellClose, dyndata1.now, 10)
context.myacc.InsertOrder(g.code2, BSType.SellClose, dyndata2.now, 10)
#委托回报事件，当有委托回报时调用
def OnOrderChange(context, AccountName, order) :
#打印委托信息，id是编号，volume是数量，详细见API文档
print "委托编号： " + order.id + " 账号名称： " + AccountName
print "Vol: " + str(order.volume) + " Price: " + str(order.price)