Python版商品期货跨期对冲策略 (教学).md

策略名称

Python版商品期货跨期对冲策略 (教学)

策略作者

小小梦

策略描述

移植自JavaScript版本商品期货跨期对冲 - 百行代码实现 简单的跨期对冲, 抛砖引玉, 细节还需要处理, 轮训间隔可以缩小到1秒或者删除Sleep那行策略就可以随时响应价格变化。 教学策略，学习为主。

策略参数

参数	默认值	描述
SA	rb2010	合约A
SB	rb2101	合约B
HedgeSpread	170	开仓价差
CoverSpread	150	平仓价差
OpAmount	true	开仓手数
CoverAll	false	启动时平掉所有仓位

按钮	默认值	描述
AllCover	button	平仓
SetHedgeSpread	false	设置HedgeSpread
SetCoverSpread	false	设置CoverSpread

源码 (python)

class Hedge:
    '对冲控制类'
    def __init__(self, q, e, initAccount, symbolA, symbolB, hedgeSpread, coverSpread):
        self.q = q 
        self.initAccount = initAccount
        self.status = 0
        self.symbolA = symbolA
        self.symbolB = symbolB
        self.e = e
        self.isBusy = False 
        self.hedgeSpread = hedgeSpread
        self.coverSpread = coverSpread
        self.opAmount = OpAmount 
        self.records = []
        self.preBarTime = 0
        
    def poll(self):
        if (self.isBusy or not exchange.IO("status")) or not ext.IsTrading(self.symbolA):
            Sleep(1000)
            return 

        insDetailA = exchange.SetContractType(self.symbolA)
        if not insDetailA:
            return 

        tickerA = exchange.GetTicker()
        if not tickerA:
            return 

        insDetailB = exchange.SetContractType(self.symbolB)
        if not insDetailB:
            return 

        tickerB = exchange.GetTicker()
        if not tickerB:
            return 

        # 计算差价K线
        r = exchange.GetRecords()
        if not r:
            return 
        diff = tickerB["Last"] - tickerA["Last"]
        if r[-1]["Time"] != self.preBarTime:
            # 更新
            self.records.append({"Time": r[-1]["Time"], "High": diff, "Low": diff, "Open": diff, "Close": diff, "Volume": 0})
            self.preBarTime = r[-1]["Time"]
        if diff > self.records[-1]["High"]:
            self.records[-1]["High"] = diff
        if diff < self.records[-1]["Low"]:
            self.records[-1]["Low"] = diff
        self.records[-1]["Close"] = diff
        ext.PlotRecords(self.records, "diff:B-A")
        ext.PlotHLine(self.hedgeSpread if diff > 0 else -self.hedgeSpread, "hedgeSpread")
        ext.PlotHLine(self.coverSpread if diff > 0 else -self.coverSpread, "coverSpread")

        LogStatus(_D(), "A卖B买", _N(tickerA["Buy"] - tickerB["Sell"]), "A买B卖", _N(tickerA["Sell"] - tickerB["Buy"]))
        action = 0

        if self.status == 0:
            if (tickerA["Buy"] - tickerB["Sell"]) > self.hedgeSpread:
                Log("开仓 A卖B买", tickerA["Buy"], tickerB["Sell"], "#FF0000")
                action = 1
                # 加入图表标记
                ext.PlotFlag(self.records[-1]["Time"], "A卖B买", "O")
            elif (tickerB["Buy"] - tickerA["Sell"]) > self.hedgeSpread:
                Log("开仓 B卖A买", tickerB["Buy"], tickerA["Sell"], "#FF0000")
                action = 2
                # 加入图表标记
                ext.PlotFlag(self.records[-1]["Time"], "B卖A买", "O")
        elif self.status == 1 and (tickerA["Sell"] - tickerB["Buy"]) <= self.coverSpread:
            Log("平仓 A买B卖", tickerA["Sell"], tickerB["Buy"], "#FF0000")
            action = 2
            # 加入图表标记
            ext.PlotFlag(self.records[-1]["Time"], "A买B卖", "C")
        elif self.status == 2 and (tickerB["Sell"] - tickerA["Buy"]) <= self.coverSpread:
            Log("平仓 B买A卖", tickerB["Sell"] - tickerA["Buy"], "#FF0000")
            action = 1 
            # 加入图表标记
            ext.PlotFlag(self.records[-1]["Time"], "B买A卖", "C")

        if action == 0:
            return 
        
        self.isBusy = True
        tasks = []
        if action == 1:
            tasks.append([self.symbolA, "sell" if self.status == 0 else "closebuy"])
            tasks.append([self.symbolB, "buy" if self.status == 0 else "closesell"])
        elif action == 2:
            tasks.append([self.symbolA, "buy" if self.status == 0 else "closesell"])
            tasks.append([self.symbolB, "sell" if self.status == 0 else "closebuy"])

        def callBack(task, ret):
            def callBack(task, ret):
                self.isBusy = False
                if task["action"] == "sell":
                    self.status = 2
                elif task["action"] == "buy":
                    self.status = 1
                else:
                    self.status = 0
                    account = _C(exchange.GetAccount)
                    LogProfit(account["Balance"] - self.initAccount["Balance"], account)
            self.q.pushTask(self.e, tasks[1][0], tasks[1][1], self.opAmount, callBack)

        self.q.pushTask(self.e, tasks[0][0], tasks[0][1], self.opAmount, callBack)

    def SetHedgeSpread(self, hedgeSpread):
        self.hedgeSpread = hedgeSpread
        Log("hedgeSpread修改为：", hedgeSpread)
    def SetCoverSpread(self, coverSpread):
        self.coverSpread = coverSpread
        Log("coverSpread修改为：", coverSpread)

def main():
    SetErrorFilter("ready|login|timeout")
    Log("正在与交易服务器连接...")
    while not exchange.IO("status"):
        Sleep(1000)

    Log("与交易服务器连接成功")
    initAccount = _C(exchange.GetAccount)
    Log(initAccount)
    n = 0 

    def callBack(task, ret):
        Log(task["desc"], "成功" if ret else "失败")

    q = ext.NewTaskQueue(callBack)
    p = ext.NewPositionManager()
    if CoverAll:
        Log("开始平掉所有残余仓位...")
        p.CoverAll()
        Log("操作完成")

    t = Hedge(q, exchange, initAccount, SA, SB, HedgeSpread, CoverSpread)
    while True:
        q.poll()
        t.poll()
        cmd = GetCommand()
        if cmd:
            arr = cmd.split(":")
            if arr[0] == "AllCover":
                p.CoverAll()
            elif arr[0] == "SetHedgeSpread":
                t.SetHedgeSpread(float(arr[1]))
            elif arr[0] == "SetCoverSpread":
                t.SetCoverSpread(float(arr[1]))

策略出处

https://www.fmz.com/strategy/211504

更新时间

2020-07-25 10:58:57