python从零开始学炒股大全集_【干货分享】从零开始学量化：01因子选股策略

# !/usr/bin/env python

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

from gmsdk.api import StrategyBase

'''

请在Strategy中修改个人账号密码和策略ID

'''

class Strategy(StrategyBase):

def __init__(self, pe_len = 1000, mv_len = 5, *args, **kwargs):

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

self.pe_len = pe_len

self.mv_len = mv_len

self.buy_dict = {}

self.sell_dict = {}

self.is_traded = False

self.md.subscribe('SHSE.000016.bar.60') # 订阅一个行情，在交易时间触发下单

def md_init(self):

# region 获取中证全指中当天可交易的股票

instruments1 = self.get_instruments('SHSE', 1, 1)

instruments2 = self.get_instruments('SZSE', 1, 1)

symbol_list1 = set(instrument.symbol for instrument in instruments2 + instruments1 if instrument.symbol[5] not in ['2', '9']) #获取当日可交易的股票，剔除B股

constituents = self.get_constituents('SHSE.000985')

symbol_list2 = set(constituent.symbol for constituent in constituents)#获取中证全指成分股(剔除ST、*ST股票，以及上市时间不足3个月等股票后剩余的股票)

symbol_list = symbol_list1 & symbol_list2

symbol_list = ','.join(symbol for symbol in symbol_list)

# endregion

# region 选出PE最小的1000只中市值最小的5只

market_index = self.get_last_market_index(symbol_list)

data = list(mi for mi in market_index if mi.pe_ratio > 0) # 剔除PE为负的股票

data = sorted(data, key= lambda mi: mi.pe_ratio)[:self.pe_len] # PE最小的1000只

data = sorted(data, key= lambda mi: mi.market_value)[:self.mv_len] # 市值最小的5只

# endregion

# region 为了计算仓位，获取昨日dailybar，存入buy_dict

buy_list = ','.join(d.symbol for d in data)

dailybars = self.get_last_dailybars(buy_list)

self.buy_dict = dict((dailybar.sec_id, dailybar) for dailybar in dailybars)

# endregion

# 收到第一根Bar后交易

def on_bar(self, bar):

print(bar.strendtime[:-6].replace('T', ' '))

if self.is_traded:

return

self.is_traded = True

self.md_init()

# region 没有持仓时直接open_long

print(self.buy_dict.keys())

positions = self.get_positions()

if len(positions) == 0:

cash = self.get_cash()

for b in self.buy_dict.values():

order = self.open_long(b.exchange, b.sec_id, 0, int(cash.available * 0.95 / len(self.buy_dict) / b.close / 100) * 100)

return

# endregion

# region 有持仓时结合持仓获取buy_dict，sell_dict

for p in positions:

if p.sec_id in self.buy_dict:

self.buy_dict.pop(p.sec_id)

else:

self.sell_dict[p.sec_id] = p

# endregion

for p in self.sell_dict.values(): # 先卖出,卖盘成交时再买入，若资金足够也可以直接买入

self.close_long(p.exchange, p.sec_id, 0, p.volume)

def on_order_filled(self,order):

if order.sec_id in self.sell_dict and order.strategy_id == self.strategy_id:

self.sell_dict.pop(order.sec_id)

if len(self.sell_dict) == 0:#由于资金每次都开满，等卖盘全部成交资金回流时再买入

cash = self.get_cash()

for bar in self.buy_dict.values():

self.open_long(bar.exchange, bar.sec_id, 0, int(cash.available * 0.95 / len(self.buy_dict) / bar.close / 100) * 100)

if __name__ == '__main__':

my_strategy = Strategy(

username='username', # 请修改账号

password='password', # 请修改密码

strategy_id='strategy_id', # 请修改策略ID

mode=3,

td_addr='localhost:8001')

ret = my_strategy.run()

print('exit code: ', ret)