中小板最小流通市值5只
from jqdata import *
def initialize(context):
set_benchmark('000300.XSHG')
set_option('use_real_price', True)
log.info('初始函数开始运行且全局只运行一次')
log.set_level('order', 'error')
g.security_universe_index = "399101.XSHE"
g.buy_stock_count = 5
set_order_cost(OrderCost(close_tax=0.001, open_commission=0.0003, close_commission=0.0003, min_commission=5),
type='stock')
run_daily(my_trade, time='14:40', reference_security='000300.XSHG')
run_daily(after_market_close, time='after_close', reference_security='000300.XSHG')
def my_trade(context):
check_out_lists = get_index_stocks(g.security_universe_index)
q = query(valuation.code).filter(
valuation.code.in_(check_out_lists)
).order_by(
valuation.circulating_market_cap.asc()
).limit(
g.buy_stock_count * 3
)
check_out_lists = list(get_fundamentals(q).code)
check_out_lists = filter_st_stock(check_out_lists)
check_out_lists = filter_limitup_stock(context, check_out_lists)
check_out_lists = filter_limitdown_stock(context, check_out_lists)
check_out_lists = filter_paused_stock(check_out_lists)
check_out_lists = check_out_lists[:g.buy_stock_count]
adjust_position(context, check_out_lists)
def after_market_close(context):
log.info(str('函数运行时间(after_market_close):' + str(context.current_dt.time())))
trades = get_trades()
for _trade in trades.values():
log.info('成交记录:' + str(_trade))
log.info('一天结束')
log.info('##############################################################')
def order_target_value_(security, value):
if value == 0:
log.debug("Selling out %s" % (security))
else:
log.debug("Order %s to value %f" % (security, value))
return order_target_value(security, value)
def open_position(security, value):
order = order_target_value_(security, value)
if order != None and order.filled > 0:
return True
return False
def close_position(position):
security = position.security
order = order_target_value_(security, 0)
if order != None:
if order.status == OrderStatus.held and order.filled == order.amount:
return True
return False
def adjust_position(context, buy_stocks):
for stock in context.portfolio.positions:
if stock not in buy_stocks:
log.info("stock [%s] in position is not buyable" % (stock))
position = context.portfolio.positions[stock]
close_position(position)
else:
log.info("stock [%s] is already in position" % (stock))
position_count = len(context.portfolio.positions)
if g.buy_stock_count > position_count:
value = context.portfolio.cash / (g.buy_stock_count - position_count)
for stock in buy_stocks:
if context.portfolio.positions[stock].total_amount == 0:
if open_position(stock, value):
if len(context.portfolio.positions) == g.buy_stock_count:
break
def filter_paused_stock(stock_list):
current_data = get_current_data()
return [stock for stock in stock_list if not current_data[stock].paused]
def filter_st_stock(stock_list):
current_data = get_current_data()
return [stock for stock in stock_list
if not current_data[stock].is_st
and 'ST' not in current_data[stock].name
and '*' not in current_data[stock].name
and '退' not in current_data[stock].name]
def filter_limitup_stock(context, stock_list):
last_prices = history(1, unit='1m', field='close', security_list=stock_list)
current_data = get_current_data()
return [stock for stock in stock_list if stock in context.portfolio.positions.keys()
or last_prices[stock][-1] < current_data[stock].high_limit]
def filter_limitdown_stock(context, stock_list):
last_prices = history(1, unit='1m', field='close', security_list=stock_list)
current_data = get_current_data()
return [stock for stock in stock_list if stock in context.portfolio.positions.keys()
or last_prices[stock][-1] > current_data[stock].low_limit]