SMA例子 SMA Example

# 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
    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"]    

def OnMarketQuotationInitial(context, marketid):
    if marketid != 'SHFE':
        return
    #获取主力合约
    g.code = GetMainContract('SHFE', 'rb',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.Day)
    
def OnOrderChange(context, AccountName, order) :
    Test = context.accounts["回测期货"].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) :

    #过滤掉不需要的行情通知
    if code != g.code:
        return
    dyndata = GetQuote(g.code)
    #创建均线
    option = PBObj()
    klinedata = GetHisData(g.code, BarType.Day, option)
    i=0
    klist = []#初始化k线数据数组
    while i<len(klinedata):
      klist.append(klinedata[i].close)#存入k线收盘价数据
      i+=1
    if len(klist)>0:
      sma5 = CreateCalcObj()
      sma10 = CreateCalcObj()
      X = np.array(klist, dtype=np.double)
      MA5=sma5.SMA(X, 5,0.3, -2) #计算sma
      MA10=sma10.SMA(X, 10,0.3, -2)
      print "ma5 and ma10 length are "+str(MA5[-2])+" "+str(MA10[-2])
    if len(MA10)<2:
        return
    #ma5上穿ma10时买入螺纹主力10手
    elif MA5[-1] >= MA10[-1] and MA5[-2]<MA10[-2]:
        print "to buy...." 
        context.myacc.InsertOrder(g.code, BSType.BuyOpen, dyndata.now, 10)
        bal=context.accounts["回测期货"].AccountBalance.AssetsBalance
        print "账户金额 ："+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："
        option = PBObj()
        option.buysellflag = '0'
        TradeDetails = context.accounts["回测期货"].GetTradeDetails(option)
        print TradeDetails
        for i in TradeDetails:
          print i
          #print i.bstype.OffsetFlag
        print '----------------'
        pos = context.accounts["回测期货"].GetPositions(option)
        print "期货持仓： ",pos
        for i in pos:
          print i.bstype.contract
        print '----------------'
        
    #ma5下穿ma10时卖出平仓
    elif MA5[-1] <= MA10[-1] and MA5[-2]>MA10[-2]:
        print "to sell..." 
        context.myacc.InsertOrder(g.code, BSType.SellClose, dyndata.now, 10)