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Apple日内 Intraday Apple
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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
#开始时间，用于初始化一些参数
def OnStart(context) :
print "I\'m starting..."
#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
accountname="simnow期货测试1"
if context.accounts.has_key(accountname) :
print "登录交易账号[simnow期货]"
if context.accounts[accountname].Login() :
context.myacc = context.accounts[accountname]
def OnMarketQuotationInitial(context, marketid):
if marketid != 'CZCE':
return
#获取主力合约
g.code = GetMainContract('CZCE', 'ap',20)
print g.code
#订阅实时数据，用于驱动OnQuote事件
SubscribeQuote(g.code)
#订阅K线数据，用于驱动OnBar事件
SubscribeBar(g.code, BarType.Min5)
def OnOrderChange(context, AccountName, order) :
accountname="simnow期货测试1"
Test = context.accounts[accountname].GetOrder(order.id)
print str(Test.volume)
#实时行情事件，当有新行情出现时调用该事件
def OnBar(context,code,bartype) :
accountname="simnow期货测试1"
#print "code is "+str(code)
#过滤掉不需要的行情通知
if code != g.code:
return
dyndata = GetQuote(g.code)
#创建均线
MACDindi = CreateIndicator("MACD")
#设定参数，也可以不设置，系统有自带的默认参数
param = {"SHORT":12,"LONG":26,"M":9} #fast and slow and ma days
MACDindi.SetParameter(param)
#设定要计算KDJ的品种和K线周期
MACDindi.Attach(g.code, BarType.Min5)
#开始计算
MACDindi.Calc()
#获取计算结果，返回对应结果的list
diff = MACDindi.GetValue("DIF")
dea = MACDindi.GetValue("DEA")
#posi = context.myacc.GetPositions()
bal=context.accounts[accountname].AccountBalance.AssetsBalance
LongPos=0
LongPosVolume=0
HoldingLongCost=0.0
ShortPos=0
ShortPosVolume=0
HoldingShortCost=0.0
option = PBObj()
#option.buysellflag = '0'
TradeDetails = context.accounts[accountname].GetTradeDetails(option)
#print TradeDetails
if len(TradeDetails)>0:
print "期货成交： "
for i in TradeDetails:
print str(i.contract)+" "+str(i.volume)+" "+str(i.price)
#print i.bstype.OffsetFlag
print '----------------'
pos = context.accounts[accountname].GetPositions(option)
if len(pos)>0:
print "账户金额："+str(bal)
print "期货持仓： "#pos
for i in pos:
print str(i.contract)+" "+str(i.volume)+" "+str(i.openavgprice)+" "+str(i.bstype.BuySellFlag)
if str(i.bstype.BuySellFlag)=="0":
LongPos=1
print "long pos"
HoldingLongCost=float(i.openavgprice)
LongPosVolume=i.volume
if str(i.bstype.BuySellFlag)=="1":
ShortPos=1
print "short pos"
HoldingShortCost=float(i.openavgprice)
ShortPosVolume=i.volume
print '----------------'
#print "len(diff)"+str(len(diff))
if len(diff)<2:
print "len(diff)<2"
return
#ma1上穿ma2时买入螺纹主力1手
elif diff[-1] >0 and dea [-1]>0 and diff[-1]>dea [-1]+0.4 and diff[-2]<=dea [-2] and LongPos==0:
print "to buy open...diff "+str(diff[-1])+" dea "+str(dea[-1])
context.myacc.InsertOrder(g.code, BSType.BuyOpen, dyndata.now+5, 150) #提高委托价格，确保买入成交
bal=context.accounts[accountname].AccountBalance.AssetsBalance
print "账户金额2 ："+str(bal)
#orders = context.accounts["回测期货"].GetOrder(order.id)
#print str(orders.volume)
#OnOrderChange(context, "回测期货", order)
print "发生交易："
#ma1下穿ma2时卖出平仓
elif diff[-1] <0 and dea[-1]<0 and diff[-1]<dea[-1] and diff[-2]>=dea[-2] and len(pos)>0 and LongPos==1 or dyndata.now<HoldingLongCost-10:
print "to sell close..diff "+str(diff[-1])+" dea "+str(dea[-1])
if dyndata.now<HoldingLongCost-10:
print "止损平仓-------------------------------------"
context.myacc.InsertOrder(g.code, BSType.SellClose, dyndata.now-5, LongPosVolume) #降低委托价格，确保卖出成交
elif diff[-1] <0 and dea[-1]<0 and diff[-1]+0.4<dea[-1] and diff[-2]>=dea[-2] and ShortPos==0:
print "to sell open...diff "+str(diff[-1])+" dea "+str(dea[-1])
context.myacc.InsertOrder(g.code, BSType.SellOpen, dyndata.now-5, 150) #降低委托价格，确保卖开成交
bal=context.accounts[accountname].AccountBalance.AssetsBalance
print "账户金额2 ："+str(bal)
#orders = context.accounts["回测期货"].GetOrder(order.id)
#print str(orders.volume)
#OnOrderChange(context, "回测期货", order)
print "发生交易："
elif diff[-1] >0 and dea[-1]>0 and diff[-1]>dea[-1] and diff[-2]<=dea[-2] and len(pos)>0 and ShortPos==1 or dyndata.now>HoldingShortCost+10:
print "reach here"
print "to buy close..diff "+str(diff[-1])+" dea "+str(dea[-1])+" "+str(ShortPos)
if dyndata.now>HoldingShortCost+10:
print "买入止损平仓-------------------------------------"
context.myacc.InsertOrder(g.code, BSType.BuyClose, dyndata.now+5, ShortPosVolume) #降低委托价格，确保卖出成交