python123第九周平台答案_【干货分享】从零开始学量化：09HANS123策略

# encoding: utf-8

from gmsdk.api import StrategyBase

from gmsdk import md

from gmsdk.enums import *

import arrow

import time

# 每次开仓量

OPEN_VOL = 5

# 最大开仓次数

MAX_TRADING_TIMES = 50

class Hans123(StrategyBase):

def __init__(self, *args, **kwargs):

super(Hans123, self).__init__(*args, **kwargs)

# 是否已获取当天时间标识

self.time_flag = False

# 是否已获取当天上、下轨数据

self.data_flag = False

# 持仓量

self.long_holding = 0;

self.short_holding = 0;

# 当天交易次数

self.trading_times = 0;

self.__get_param()

def __get_param(self):

'''

获取配置参数

'''

# 交易证券代码

self.trade_symbol = self.config.get('para', 'trade_symbol')

pos = self.trade_symbol.find('.')

self.exchange = self.trade_symbol[:pos]

self.sec_id = self.trade_symbol[pos + 1:]

# 开盘时间

self.open_time = self.config.get('para', 'open_time')

# hans时间

self.hans_time = self.config.get('para', 'hans_time')

# 强制平仓时间

self.ex_time = self.config.get('para', 'ex_time')

def __get_time(self, cur_utc):

'''

获取当天的重要时间参数

'''

utc = arrow.get(cur_utc).replace(tzinfo='local')

cur_date = utc.format('YYYY-MM-DD')

FMT = '%s %s'

self.today_open_time = FMT % (cur_date, self.open_time)

print('today open time: %s' % self.today_open_time)

self.today_hans_time = FMT % (cur_date, self.hans_time)

print('today hans time: %s' % self.today_hans_time)

today_ex_time = FMT % (cur_date, self.ex_time)

print('today exit time:%s' % today_ex_time)

self.ex_time_utc = arrow.get(today_ex_time).replace(tzinfo='local').timestamp

self.hans_time_utc = arrow.get(self.today_hans_time).replace(tzinfo='local').timestamp

def __init_band_data(self, bar_type):

'''

获取上、下轨数据

'''

bars = self.get_bars(self.trade_symbol, bar_type, self.today_open_time, self.today_hans_time)

close_list = [bar.close for bar in bars]

# 上轨

self.upr_band = max(close_list)

print('upper band:%s' % self.upr_band)

# 下轨

self.dwn_band = min(close_list)

print('down band: %s' % self.dwn_band)

def on_tick(self, tick):

'''

tick行情事件

'''

# 获取最新价

self.last_price = tick.last_price

def on_bar(self, bar):

'''

bar周期数据事件

'''

# 获取当天的时间参数

if self.time_flag is False:

self.__get_time(bar.utc_time)

self.time_flag = True

# 计算上、下轨

if bar.utc_time < self.ex_time_utc and bar.utc_time > self.hans_time_utc:

if self.time_flag is True and self.data_flag is False:

self.__init_band_data(bar.bar_type)

self.data_flag = True

# 休市前强平当天仓位

if bar.utc_time > self.ex_time_utc:

if self.long_holding > 0:

self.close_long(self.exchange, self.sec_id, 0, self.long_holding)

print('exit time close long: %s, vol: %s' % (self.trade_symbol, self.long_holding))

self.long_holding = 0

elif self.short_holding > 0:

self.close_short(self.exchange, self.sec_id, 0, self.short_holding)

print('exit time close long: %s, vol: %s' % (self.trade_symbol, self.short_holding))

self.short_holding = 0

return

if self.trading_times > MAX_TRADING_TIMES:

print('trading times more than max trading times, stop trading')

return

# 交易时间段

if bar.utc_time > self.hans_time_utc and bar.utc_time < self.ex_time_utc:

if bar.close > self.upr_band:

if self.short_holding > 0:

# 有空仓，先平空仓

self.close_short(self.exchange, self.sec_id, 0, self.short_holding)

print('close short: %s, vol:%s' % (self.trade_symbol, self.short_holding))

self.short_holding = 0

# 开多仓

self.open_long(self.exchange, self.sec_id, 0, OPEN_VOL)

print('open long: %s, vol:%s' % (self.trade_symbol, OPEN_VOL))

self.long_holding += OPEN_VOL

# 开仓次数+1

self.trading_times += 1

elif bar.close < self.dwn_band:

if self.long_holding > 0:

# 有多仓，先平多仓

self.close_long(self.exchange, self.sec_id, 0, self.long_holding)

print('close long: %s, vol:%s' % (self.trade_symbol, self.long_holding))

self.long_holding = 0

# 开空仓

self.open_short(self.exchange, self.sec_id, 0, OPEN_VOL)

print('open short: %s, vol:%s' % (self.trade_symbol, OPEN_VOL))

self.short_holding += OPEN_VOL

# 开仓次数+1

self.trading_times += 1

if __name__ == '__main__':

hans123 = Hans123(config_file='Hans123.ini')

ret = hans123.run()

print(hans123.get_strerror(ret))