import numpy as npimport talibimport timeimport jqdataimport talibimport smtplibfrom email.mime.text import MIMETextfrom email.header import Header## 初始化函数，设定基准等等def initialize(context):#上海期货交易所产品'''AG8888.XSGE白银期货指数PB8888.XSGE铅期货指数AU8888.XSGE黄金期货指数RB8888.XSGE螺纹钢期货指数AL8888.XSGE铝期货指数RU8888.XSGE天然橡胶期货指数BU8888.XSGE石油沥青期货指数SN8888.XSGE锡期货指数CU8888.XSGE铜期货指数WR8888.XSGE线材期货指数FU8888.XSGE燃料油期货指数ZN8888.XSGE锌期货指数HC8888.XSGE热轧卷板期货指数NI8888.XSGE镍期货指数SP8888.XSGE纸浆主力合约'''g.stockkind='AG'g.stockcode=str('AG9999.XSGE')#g.stockkind='AU'#g.stockkind='RB'# 设定XX期货作为基准set_benchmark('AG9999.XSGE')# 开启动态复权模式(真实价格)set_option('use_real_price', True)# 过滤掉order系列API产生的比error级别低的log# log.set_level('order', 'error')# 输出内容到日志 log.info()log.info('初始函数开始运行且全局只运行一次')# 开盘前运行run_daily( before_market_open, time='09:00', reference_security='AG9999.XSGE')### 期货相关设定 #### 设定账户为金融账户set_subportfolios([SubPortfolioConfig(cash=context.portfolio.starting_cash, type='index_futures')])# 期货类每笔交易时的手续费是：买入时万分之0.23,卖出时万分之0.23,平今仓为万分之23set_order_cost(OrderCost(open_commission=0.000023, close_commission=0.000023,close_today_commission=0.0023), type='index_futures')# 设定保证金比例set_option('futures_margin_rate', 0.15)# 设置期货交易的滑点set_slippage(StepRelatedSlippage(2))# 运行函数（reference_security为运行时间的参考标的；传入的标的只做种类区分，因此传入'FX'或'FX'是一样的）# 注意：before_open/open/close/after_close等相对时间不可用于有夜盘的交易品种，有夜盘的交易品种请指定绝对时间（如9：30）## 开盘前运行函数def before_market_open(context):# 输出运行时间log.info('函数运行时间(before_market_open)：'+str(context.current_dt.time()))# 给微信发送消息（添加模拟交易，并绑定微信生效）# send_message('美好的一天~')#stocklist=[]## 获取主力合约g.domin=get_dominant_future(g.stockkind, date=context.previous_date)print (g.domin)#买入信号g.sign=0#当日清仓标志g.clear=0## 开盘时运行函数def handle_data(context,data):log.info('函数运行时间(market_open):'+str(context.current_dt.time()))timeArray = context.current_dt.time().strftime('%H:%M:%S')#timeArray = time.strptime(context.current_dt.time(), "%H:%M:%S")clocktime=int(str(timeArray)[-5:-3])if clocktime % 5 == 0: deal(context)else:passdef deal(context):## 交易# 获取当月合约交割日期end_data = get_CCFX_end_date(g.domin)#判断g.sign 做macd交易判断df=get_price(g.stockcode ,count=40, end_date=context.current_dt, frequency='15m',fields='close')df2=get_price(g.stockcode ,count=40, end_date=context.current_dt, frequency='60m',fields='close')df3=get_price(g.stockcode ,count=40, end_date=context.current_dt, frequency='240m',fields='close')df4=get_price(g.stockcode ,count=40, end_date=context.current_dt, frequency='1d',fields='close')macd_15min=macd(df['close'])[0]macd_60min=macd(df2['close'])[0]macd_1h=macd_60minmacd_4h=macd(df3['close'])[0]macd_4h_diff=macd(df3['close'])[1]macd_4h_dea=macd(df3['close'])[2]macd_1d=macd(df4['close'])[0]#print (macd_15min)#print (macd_60min)#止损清仓判断if tralling_stop(context, g.stockcode)==1:#止损多头order_target(g.domin, 0, side='long')g.sign=0g.clear=1elif tralling_stop(context, g.stockcode)==-1:#止损空头order_target(g.domin, 0, side='short')g.sign=0g.clear=-1#开仓同时保证自己当日没有过当前方向的清仓'''if macd_15min[-1]>0 and macd_15min[-2]<=0 and macd_60min[-1]>0 and g.clear<1:g.sign=1elif macd_15min[-1]<0 and macd_15min[-2]>=0 and macd_60min[-1]<0 and g.clear>-1:g.sign=-1''''''if macd_1h[-1]>0 and macd_1h[-2]<=0 and macd_1d[-1]>0 and g.clear<1:g.sign=1elif macd_1h[-1]<0 and macd_1h[-2]>=0 and macd_1d[-1]<0 and g.clear>-1:g.sign=-1'''#单纯macdif macd_4h[-1]>0>macd_4h[-2] and macd_4h_diff[-1]>0 and macd_4h_dea[-1]>0:g.sign=1elif macd_4h[-1]<0<macd_4h[-2]and macd_4h_diff[-1]<0 and macd_4h_dea[-1]<0:g.sign=-1# 判断当月合约交割日当天不开仓，多头交易if (g.sign==1):if (context.current_dt.date() == end_data):passelse:#如果空仓>=0，开多仓if (len(context.portfolio.short_positions) >= 0 and len(context.portfolio.long_positions) == 0):log.info('开多仓---：')if len(context.portfolio.short_positions) >0 :# 平仓空头order_target(g.domin, 0, side='short')# 做多头合约print('开多头合约')if context.portfolio.available_cash>3500:order_value(g.domin, 0.9*context.portfolio.available_cash , side='long')g.sign=1else:print ('没钱开仓')#空头交易if (g.sign == -1):if (context.current_dt.date() == end_data):# returnpasselse:#如果多仓>=0，开空仓if (len(context.portfolio.short_positions) >= 0 and len(context.portfolio.long_positions) == 0):log.info('开空仓---：')if len(context.portfolio.long_positions) >0 :# 平仓多头order_target(g.domin, 0, side='long')# 开空头合约print('开空头合约')if context.portfolio.available_cash>3500:order_value(g.domin, 0.9*context.portfolio.available_cash , side='short')g.sign=-1else:print ('没钱开仓')else:passdef fasong(message,targetmail):'''发送邮箱'''sender = 'XXX@' #企业263邮箱'''接收邮箱'''receiver = targetmail'''发送邮件主题'''subject = 'message stock''''发送邮箱服务器'''smtpserver = '''''发送邮箱用户/密码'''username = 'XXX@'password = 'XXXXX''''中文需参数‘utf-8’ ，单字节字符不需要'''msg = MIMEText(message,'plain','utf-8')msg['Subject'] = Header(subject, 'utf-8')msg['From'] = 'XX<XXXX@>'msg['To'] = targetmailsmtp = smtplib.SMTP()smtp.connect('')smtp.login(username, password)smtp.sendmail(sender, receiver, msg.as_string())smtp.quit()print ("Email has been sent out!") ########################## 获取期货合约信息，请保留 ################################## 获取金融期货合约到期日def get_CCFX_end_date(future_code):# 获取金融期货合约到期日return get_security_info(future_code).end_date###############def macd(close):macdDIFF, macdDEA, macd = talib.MACDEXT(close, fastperiod=12, fastmatype=1, slowperiod=26, slowmatype=1, signalperiod=9, signalmatype=1)macd = macd * 2list1=[macd,macdDIFF,macdDEA]return list1def tralling_stop(context, stock_code): ATR_timeperiod=14# 获取stock_code股票的历史数据Data_ATR=get_price(stock_code ,count=ATR_timeperiod+10, end_date=context.current_dt, frequency='15m',fields=['close','high','low'])close_ATR = Data_ATR['close']high_ATR = Data_ATR['high']low_ATR = Data_ATR['low']# 计算stock_code股票的ATatr = talib.ATR(high_ATR, low_ATR, close_ATR)highest20 = max(close_ATR[-20:])lowest20 = min(close_ATR[-20:])if ((highest20 - close_ATR[-1]) > (2*atr[-1])) and len(context.portfolio.long_positions) >0:print('ATR多头止损')return 1elif ((close_ATR[-1] - lowest20 ) > (2*atr[-1])) and len(context.portfolio.short_positions) >0:print('ATR空头止损')return -1else:return 0
