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run_gm_1min.py
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run_gm_1min.py
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# coding: utf-8
import traceback
from src.gm_utils import *
from src import conf
set_gm_token(conf.gm_token)
def adjust_position(context, symbol):
bars = context.data(symbol=symbol, frequency='60s', count=100, fields='symbol,eob,open,close,high,low,volume')
trader = context.symbols_map[symbol]['trader']
bars = format_kline(bars)
bars_new = [x for x in bars if x.dt > trader.kg.end_dt]
if bars_new:
trader.update_factors(bars_new)
context.symbols_map[symbol]['trader'] = trader
last_bar = bars[-1]
if last_bar.dt.minute % 30 == 0:
print("{} - {} - {}".format(trader.s['symbol'], trader.s['dt'], trader.s['close']))
if context.mode != MODE_BACKTEST:
take_snapshot(context, trader, name='快照')
exchange = symbol.split(".")[0]
if exchange in ["SZSE", "SHSE"]:
adjust_share_position(context, symbol, trader)
else:
adjust_future_position(context, symbol, trader)
def init(context):
data_path = conf.data_path
context.wx_key = conf.wx_token
context.share_id = conf.share_account_id # 股票账户ID
context.future_id = conf.future_account_id # 期货账户ID
cache_path = os.path.join(data_path, "cache")
if not os.path.exists(data_path):
os.makedirs(cache_path)
context.logger = create_logger(os.path.join(data_path, "backtest.log"), cmd=True, name="gm")
context.data_path = data_path
context.cache_path = cache_path
context.file_orders = os.path.join(data_path, "orders.txt")
# 交易因子定义
long_open_factors = [
"日线笔因子@DLA2~30分钟三买",
"日线笔因子@DLC1~5分钟近七笔为底背弛&1分钟近五笔为大级别底分",
"日线笔因子@DLB8~15分钟近七笔为底背弛",
"日线笔因子@DLB9~15分钟近九笔为底背弛",
"日线笔因子@DLB5~60分钟近七笔为底背弛",
"日线笔因子@DLA4~15分钟近七笔为BaA式右侧底&15分钟第N笔对应1分钟不少于5笔",
"日线笔因子@DLA3~15分钟三买&15分钟第N笔对应1分钟不少于5笔",
"日线笔因子@DLA2a~30分钟三买&30分钟最近一个向上笔创新高",
"日线笔因子@DLD1~5分钟近七笔为底背弛&1分钟近五笔为大级别底分",
"日线笔因子@DLB2~30分钟近七笔为底背弛",
]
long_close_factors = [
"日线笔因子@DSA1~30分钟近五笔为三卖",
"日线笔因子@DSB1~30分钟近七笔为顶背弛",
"日线笔因子@DSC1~30分钟近五笔为大级别顶分",
]
if context.mode == MODE_BACKTEST:
# mp 小于1，按百分比下单
symbols_map = {
# "SHSE.603027": {"mp": 0.8, "factors": {"long_open_factors": long_open_factors,
# "long_close_factors": long_close_factors,
# "version": "603027@2021-02-17"}},
# "SZSE.002739": {"mp": 0.8, "factors": {"long_open_factors": long_open_factors,
# "long_close_factors": long_close_factors,
# "version": "603027@2021-02-17"}},
"SZSE.002588": {"mp": 0.8, "factors": {"long_open_factors": long_open_factors,
"long_close_factors": long_close_factors,
"version": "002588@2021-02-17"}},
}
subscribe(",".join(symbols_map.keys()), frequency='60s', count=300, wait_group=False)
if context.mode == MODE_BACKTEST:
context.logger.info("回测配置：")
context.logger.info("backtest_start_time = " + str(context.backtest_start_time))
context.logger.info("backtest_end_time = " + str(context.backtest_end_time))
else:
context.logger.info("\n\n")
context.logger.info("=" * 88)
context.logger.info("实盘开始 ...")
for symbol in symbols_map.keys():
kg = get_init_kg(context, symbol, generator=KlineGeneratorBy1Min, max_count=1000)
trader = GmTrader(kg, factors=symbols_map[symbol]["factors"])
symbols_map[symbol]['trader'] = trader
context.logger.info("{} 初始化完成，当前时间：{}".format(symbol, trader.end_dt))
context.logger.info(f"交易配置：{symbols_map}")
context.symbols_map = symbols_map
def on_bar(context, bars):
context.unfinished_orders = get_unfinished_orders()
for bar in bars:
symbol = bar['symbol']
try:
adjust_position(context, symbol)
except:
traceback.print_exc()
if context.now.minute == 58 and context.now.hour == 14 and context.mode == MODE_BACKTEST:
report_account_status(context)
if __name__ == '__main__':
# run(strategy_id='3d7bd7d2-2733-11eb-a40d-3cf0110437a2',
# mode=MODE_LIVE,
# filename='run_gm_1min.py',
# token='15bd09a572bff415a52b60001504f0a2dc38fa6e')
run(filename='run_gm_1min.py',
token='15bd09a572bff415a52b60001504f0a2dc38fa6e',
strategy_id='add4163e-1825-11eb-a4e8-3cf0110437a2',
mode=MODE_BACKTEST,
backtest_start_time='2020-01-01 08:30:00',
backtest_end_time='2020-12-31 15:30:00',
backtest_initial_cash=100000000,
backtest_transaction_ratio=1,
backtest_commission_ratio=0.001,
backtest_slippage_ratio=0,
backtest_adjust=ADJUST_PREV,
backtest_check_cache=1)