python 期货现货差价监测_Python期货期权无风险套利监控升级版

代码基于天勤量化平台，先贴出完整代码：

#!/usr/bin/env python

# -*- coding: utf-8 -*-

#import asyncio

from tqsdk import TqApi, TqAuth

from contextlib import closing

from time import time

# 创建API实例.

api = TqApi(auth=TqAuth("天勤账号", "账号密码"))

async def taoli(Call='',Put='',Lr=3, Dlr=1): #默认3跳，1跳对手价平仓损耗，1跳抹除手续费，1跳纯利润

quote_C = api.get_quote(Call)

quote_P = api.get_quote(Put)

futer = quote_C.underlying_symbol

quote_F = api.get_quote(futer)

async with api.register_update_notify([quote_C,quote_P,quote_F]) as update_chan: #

async for _ in update_chan: #

D_time = (quote_C.last_exercise_datetime-time()) * Lr / (Dlr*86400)

if quote_C.exercise_type == 'A':

lr = quote_F.price_tick * Lr #行权盈利点数