均线突破策略-Tick¶

策略思想¶

本策略是基于tick数据的高频日内交易策略。策略每tick触发一次，根据tick数据合并成分钟K线数据，然后计算分钟K线的20均线值，若当前tick价格上穿均线，则买开；反之，则卖开。每日交易次数小于2次，14：30分后不再建仓，尾盘阶段平掉所有仓位。

策略构建步骤¶

确定股票池和回测时间¶

通过证券代码列表输入回测的起止日期

确定买卖原则¶

计算分钟K线的20均线值，若当前tick价格上穿均线，则买开；反之，则卖开。

回测¶

通过 trade 模块中的初始化函数定义交易手续费和滑点；
通过 trade 模块中的主函数(handle函数)查看每日的买卖交易信号，按照买卖原则执行相应的买入/卖出/调仓操作。

策略详情¶

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下单手数\n context.set_universe(context.symbol ) #设置需要处理的合约\n context.ma_length = 20\n context.closetime_day = \"14:58\" # 日内策略白盘平仓时间，一般14:58\n context.closetime_night = \"22:58\"#日内策略夜盘平仓时间，一般22:58，注意有些商品夜盘收盘时间不一样\n \n","type":"Literal","bound_global_parameter":null},{"name":"before_trading_start","value":"# 交易引擎：每个单位时间开盘前调用一次。\ndef bigquant_run(context, data):\n context.tick_num_count = 0 # tick数量记录\n context.trade_count = 0 # 记录每日交易次数\n context.subscribe(context.symbol) #注册合约\n \n context.tick_num = 60 * 2 # 期货1分钟 60秒每妙2tick\n context.bar_num = context.ma_length # 均线长度\n context.tick_series = NumPyDeque(context.tick_num, dtype='object') # 最近120个tick组成的队列\n \n context.bar_series = NumPyDeque(context.bar_num, dtype='object') # 20个分钟 K线（包括OHLC）\n context.bar_open_series = NumPyDeque(context.bar_num, dtype='int') # 20个分钟 K线开盘价\n context.bar_high_series = NumPyDeque(context.bar_num, dtype='int') # 20个分钟 K线最高价\n context.bar_low_series = NumPyDeque(context.bar_num, dtype='int') # 20个分钟 K线最低价\n context.bar_close_series = NumPyDeque(context.bar_num, dtype='int') # 20个分钟 K线收盘价\n ","type":"Literal","bound_global_parameter":null},{"name":"handle_tick","value":"def calc_OCHL(ticks):\n tmp_open = 0.5 * (ticks[0].ask_price1 + ticks[0].bid_price1)\n tmp_close = 0.5 * (ticks[-1].ask_price1 + ticks[-1].bid_price1)\n tmp_high = tmp_open\n tmp_low = tmp_open\n tmp_volume = ticks[-1].volume - ticks[0].volume\n for tick in ticks[1:]:\n mid_price = 0.5 * (tick.ask_price1 + tick.bid_price1)\n if tmp_high < mid_price:\n tmp_high = mid_price\n if tmp_low > mid_price:\n tmp_low = mid_price\n return {'open' : tmp_open, 'close' : tmp_close, 'high' : tmp_high, 'low' : tmp_low, 'volume' : tmp_volume, 'time_int' : ticks[-1].time_int}\n\n# 交易引擎：tick数据处理函数，每个tick执行一次\ndef bigquant_run(context, data):\n from datetime import datetime,timedelta\n \"\"\"主函数\"\"\"\n context.tick_series.append(data)\n context.tick_num_count += 1 # 每遍历一个tick数据，计数+1 \n \n if context.tick_num_count % context.tick_num == 0: # 每过一分钟就加一根bar \n OCHL = calc_OCHL(context.tick_series) # 分钟K线\n context.bar_series.append(OCHL) # 分钟K线的队列\n \n context.bar_open_series.append(OCHL['open'])\n context.bar_low_series.append(OCHL['low'])\n context.bar_high_series.append(OCHL['high'])\n context.bar_close_series.append(OCHL['close']) \n \n # 不足20根k线时，直接返回，不用往下运行\n if len(context.bar_series) < context.bar_num:\n return \n elif len(context.bar_series) == context.bar_num:\n mean_close = context.bar_close_series.data().mean() # 分钟K线均值\n \n position_long = context.get_position(data.symbol, Direction.LONG) # 多头持仓\n position_short = context.get_position(data.symbol, Direction.SHORT) # 空头持仓\n \n price = data.last_price # 最新价\n cur_hm = data.datetime.strftime('%H:%M') # 当前时间\n \n # 部分品种夜盘收盘时间不一样，此时间表示指定的尾盘平仓时间往后偏移30分钟，这段时间内不能开新仓，只能平仓。给30分钟是为了足够的冗余\n closetime_nightshift = (datetime.strptime(context.closetime_night,'%H:%M') + timedelta(minutes = 30)).strftime('%H:%M')\n \n # 尾盘平仓\n if((cur_hm>=context.closetime_day and cur_hm<=\"15:00\") or (cur_hm>=context.closetime_night and cur_hm<=closetime_nightshift)):\n if (position_long.current_qty != 0):\n context.sell_close(data.symbol, position_long.avail_qty, price, order_type=OrderType.MARKET)\n msg = cur_hm + \" 尾盘平多 for \" + data.symbol + \" 最新价=\" + str(price) \n msg = \"{} 尾盘平多 for {} 最新价={}\".format(cur_hm,data.symbol,str(price))\n context.write_log(msg, stdout=0) #输出关键日志，stdout设置为0，不展示到页面，stdout设置为1，展示到页面\n if (position_short.current_qty != 0):\n context.buy_close(data.symbol, position_short.avail_qty, price, order_type=OrderType.MARKET)\n msg = \"{} 尾盘平空 for {} 最新价={}\".format(cur_hm,data.symbol,str(price))\n context.write_log(msg, stdout=0) #输出关键日志\n \n # 建仓逻辑\n if price > mean_close and position_long.current_qty == 0 and context.trade_count <=2 and cur_hm<=\"14:30\":\n context.buy_open(data.symbol, context.order_num, price, order_type=OrderType.MARKET)\n msg = \"{} 开多 for {} 最新价={}\".format(cur_hm,data.symbol,str(price))\n context.trade_count += 1 # 开仓次数判断需要\n context.write_log(msg, stdout=0) #输出关键日志\n elif price < mean_close and position_short.current_qty == 0 and context.trade_count <=2 and cur_hm<=\"14:30\":\n context.sell_open(data.symbol, context.order_num, price, order_type=OrderType.MARKET)\n msg = \"{} 开空 for {} 最新价={}\".format(cur_hm,data.symbol,str(price))\n context.trade_count += 1 # 开仓次数判断需要\n context.write_log(msg, stdout=0) #输","type":"Literal","bound_global_parameter":null},{"name":"handle_data","value":"def bigquant_run(context, data):\n pass","type":"Literal","bound_global_parameter":null},{"name":"handle_trade","value":"# 交易引擎：成交回报处理函数，每个成交发生时执行一次\ndef bigquant_run(context, data):\n msg = \"handle_trade data:{}\".format(data.log_str())\n context.write_log(msg, stdout=1) \n # 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In [10]:

# 本代码由可视化策略环境自动生成 2022年6月13日 10:54
# 本代码单元只能在可视化模式下编辑。您也可以拷贝代码，粘贴到新建的代码单元或者策略，然后修改。


# 交易引擎：初始化函数，只执行一次
def m2_initialize_bigquant_run(context):
    """初始化函数"""
    context.symbol = context.instruments[0]
    context.order_num = 1 # 下单手数
    context.set_universe(context.symbol ) #设置需要处理的合约
    context.ma_length = 20
    context.closetime_day = "14:58" # 日内策略白盘平仓时间，一般14:58
    context.closetime_night = "22:58"#日内策略夜盘平仓时间，一般22:58，注意有些商品夜盘收盘时间不一样
    

# 交易引擎：每个单位时间开盘前调用一次。
def m2_before_trading_start_bigquant_run(context, data):
    context.tick_num_count = 0 # tick数量记录
    context.trade_count = 0 # 记录每日交易次数
    context.subscribe(context.symbol) #注册合约
    
    context.tick_num = 60 * 2 # 期货1分钟 60秒 每妙2tick
    context.bar_num = context.ma_length # 均线长度
    context.tick_series =  NumPyDeque(context.tick_num, dtype='object') # 最近120个tick组成的队列
    
    context.bar_series =  NumPyDeque(context.bar_num, dtype='object')  # 20个分钟 K线 （包括OHLC）
    context.bar_open_series =  NumPyDeque(context.bar_num, dtype='int') # 20个分钟 K线 开盘价
    context.bar_high_series =  NumPyDeque(context.bar_num, dtype='int') # 20个分钟 K线 最高价
    context.bar_low_series =  NumPyDeque(context.bar_num, dtype='int') # 20个分钟 K线 最低价
    context.bar_close_series =  NumPyDeque(context.bar_num, dtype='int') # 20个分钟 K线 收盘价
    
def calc_OCHL(ticks):
    tmp_open = 0.5 * (ticks[0].ask_price1 + ticks[0].bid_price1)
    tmp_close = 0.5 * (ticks[-1].ask_price1 + ticks[-1].bid_price1)
    tmp_high = tmp_open
    tmp_low = tmp_open
    tmp_volume = ticks[-1].volume - ticks[0].volume
    for tick in ticks[1:]:
        mid_price = 0.5 * (tick.ask_price1 + tick.bid_price1)
        if tmp_high < mid_price:
            tmp_high = mid_price
        if tmp_low > mid_price:
            tmp_low = mid_price
    return {'open' : tmp_open, 'close' : tmp_close, 'high' : tmp_high, 'low' : tmp_low, 'volume' : tmp_volume, 'time_int' : ticks[-1].time_int}

# 交易引擎：tick数据处理函数，每个tick执行一次
def m2_handle_tick_bigquant_run(context, data):
    from datetime import datetime,timedelta
    """主函数"""
    context.tick_series.append(data)
    context.tick_num_count += 1 # 每遍历一个tick数据，计数+1 
  
    if context.tick_num_count % context.tick_num  == 0: # 每过一分钟 就加一根bar 
        OCHL = calc_OCHL(context.tick_series) # 分钟K线
        context.bar_series.append(OCHL) # 分钟K线的队列
        
        context.bar_open_series.append(OCHL['open'])
        context.bar_low_series.append(OCHL['low'])
        context.bar_high_series.append(OCHL['high'])
        context.bar_close_series.append(OCHL['close']) 
    
    # 不足20根k线时，直接返回，不用往下运行
    if len(context.bar_series) < context.bar_num:
        return 
    elif len(context.bar_series) == context.bar_num:
        mean_close =  context.bar_close_series.data().mean() # 分钟K线均值
        
    position_long = context.get_position(data.symbol, Direction.LONG) # 多头持仓
    position_short = context.get_position(data.symbol, Direction.SHORT) # 空头持仓
    
    price = data.last_price # 最新价
    cur_hm = data.datetime.strftime('%H:%M') # 当前时间
    
    # 部分品种夜盘收盘时间不一样，此时间表示指定的尾盘平仓时间往后偏移30分钟，这段时间内不能开新仓，只能平仓。给30分钟是为了足够的冗余
    closetime_nightshift = (datetime.strptime(context.closetime_night,'%H:%M') + timedelta(minutes = 30)).strftime('%H:%M')
    
    # 尾盘平仓
    if((cur_hm>=context.closetime_day and cur_hm<="15:00") or (cur_hm>=context.closetime_night and cur_hm<=closetime_nightshift)):
        if (position_long.current_qty != 0):
                context.sell_close(data.symbol, position_long.avail_qty, price, order_type=OrderType.MARKET)
                msg = cur_hm +  " 尾盘平多 for " + data.symbol + " 最新价=" + str(price) 
                msg = "{} 尾盘平多 for {}  最新价={}".format(cur_hm,data.symbol,str(price))
                context.write_log(msg, stdout=0) #输出关键日志，stdout设置为0，不展示到页面，stdout设置为1，展示到页面
        if (position_short.current_qty != 0):
                context.buy_close(data.symbol, position_short.avail_qty, price, order_type=OrderType.MARKET)
                msg = "{} 尾盘平空 for {}  最新价={}".format(cur_hm,data.symbol,str(price))
                context.write_log(msg, stdout=0) #输出关键日志
                
    # 建仓逻辑
    if price > mean_close and  position_long.current_qty  == 0 and  context.trade_count <=2 and cur_hm<="14:30":
        context.buy_open(data.symbol, context.order_num, price, order_type=OrderType.MARKET)
        msg = "{} 开多 for {}  最新价={}".format(cur_hm,data.symbol,str(price))
        context.trade_count += 1 # 开仓次数判断需要
        context.write_log(msg, stdout=0) #输出关键日志
    elif price < mean_close and  position_short.current_qty  == 0 and context.trade_count <=2 and cur_hm<="14:30":
        context.sell_open(data.symbol, context.order_num, price, order_type=OrderType.MARKET)
        msg = "{} 开空 for {}  最新价={}".format(cur_hm,data.symbol,str(price))
        context.trade_count += 1 # 开仓次数判断需要
        context.write_log(msg, stdout=0) #输
def m2_handle_data_bigquant_run(context, data):
    pass
# 交易引擎：成交回报处理函数，每个成交发生时执行一次
def m2_handle_trade_bigquant_run(context, data):
    msg = "handle_trade data:{}".format(data.log_str())
    context.write_log(msg, stdout=1) 
    # 分别获取最新的多头持仓和空头持仓
    position_long = context.get_position(data.symbol, Direction.LONG)
    position_short = context.get_position(data.symbol, Direction.SHORT)
    msg = "当前多头持仓:{} 当前空头持仓:{}".format(str(position_long),str(position_short))
    context.write_log(msg, stdout=1)

# 交易引擎：委托回报处理函数，每个委托变化时执行一次
def m2_handle_order_bigquant_run(context, data):
    pass

# 交易引擎：盘后处理函数，每日盘后执行一次
def m2_after_trading_bigquant_run(context, data):
    pass


m1 = M.instruments.v2(
    start_date='2021-08-01',
    end_date='2021-09-01',
    market='CN_FUTURE',
    instrument_list='RB2201.SHF',
    max_count=0
)

m2 = M.hftrade.v2(
    instruments=m1.data,
    start_date='',
    end_date='',
    initialize=m2_initialize_bigquant_run,
    before_trading_start=m2_before_trading_start_bigquant_run,
    handle_tick=m2_handle_tick_bigquant_run,
    handle_data=m2_handle_data_bigquant_run,
    handle_trade=m2_handle_trade_bigquant_run,
    handle_order=m2_handle_order_bigquant_run,
    after_trading=m2_after_trading_bigquant_run,
    capital_base=100000,
    frequency='tick',
    price_type='真实价格',
    product_type='期货',
    before_start_days='0',
    order_price_field_buy='open',
    order_price_field_sell='open',
    benchmark='000300.HIX',
    plot_charts=True,
    disable_cache=False,
    replay_bdb=False,
    show_debug_info=False,
    backtest_only=False
)

[2022-06-13 10:48:32.367722] INFO: moduleinvoker: instruments.v2 开始运行..

[2022-06-13 10:48:32.414692] INFO: moduleinvoker: instruments.v2 运行完成[0.046982s].

[2022-06-13 10:48:32.452801] INFO: moduleinvoker: hfbacktest.v1 开始运行..

[2022-06-13 10:48:32.458541] INFO: hfbacktest: biglearning V1.4.12

[2022-06-13 10:48:32.460250] INFO: hfbacktest: bigtrader v1.9.6 2022-06-08

[2022-06-13 10:48:32.540258] INFO: moduleinvoker: cached.v2 开始运行..

[2022-06-13 10:48:32.824365] INFO: moduleinvoker: cached.v2 运行完成[0.284273s].

[2022-06-13 10:48:32.954097] INFO: moduleinvoker: cached.v2 开始运行..

[2022-06-13 10:48:33.230612] INFO: moduleinvoker: cached.v2 运行完成[0.276524s].

[2022-06-13 10:54:04.249303] INFO: hfbacktest: backtest done, raw_perf_ds:DataSource(b549993eb23f4caf8906461783ec5c1fT)

[2022-06-13 10:54:05.142666] INFO: moduleinvoker: hfbacktest.v1 运行完成[332.689876s].

[2022-06-13 10:54:05.145100] INFO: moduleinvoker: hftrade.v2 运行完成[332.720163s].

2022-06-13 10:48:40.358359 strategy(bktfut,): handle_trade data:[bktfut,1,RB2201.SHF,'2','0',1,5436.0,1,20210802 09:20:00.500000,strategy] 
2022-06-13 10:48:40.358997 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:0.0,last_price:0.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5436.0,last_price:5436.0,margin:4348.8) 
2022-06-13 10:48:41.041484 strategy(bktfut,): handle_trade data:[bktfut,2,RB2201.SHF,'1','0',1,5406.0,2,20210802 09:39:16.000000,strategy] 
2022-06-13 10:48:41.041779 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5406.0,last_price:5406.0,margin:4324.8) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5436.0,last_price:5436.0,margin:4348.8) 
2022-06-13 10:48:47.433944 strategy(bktfut,): handle_trade data:[bktfut,3,RB2201.SHF,'2','2',1,5427.0,3,20210802 14:58:00.500000,strategy] 
2022-06-13 10:48:47.434251 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5406.0,last_price:5427.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:0,cost_price:5436.0,last_price:5436.0,margin:4348.8) 
2022-06-13 10:48:47.435621 strategy(bktfut,): handle_trade data:[bktfut,4,RB2201.SHF,'1','2',1,5428.0,4,20210802 14:58:00.500000,strategy] 
2022-06-13 10:48:47.436521 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5406.0,last_price:5427.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:5436.0,last_price:5428.0,margin:0.0) 
2022-06-13 10:48:53.804298 strategy(bktfut,): handle_trade data:[bktfut,5,RB2201.SHF,'1','0',1,5368.0,5,20210803 09:00:01.000000,strategy] 
2022-06-13 10:48:53.804612 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5368.0,last_price:5368.0,margin:4294.4) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:0.0,last_price:0.0,margin:0.0) 
2022-06-13 10:48:53.807597 strategy(bktfut,): handle_trade data:[bktfut,6,RB2201.SHF,'2','0',1,5365.0,6,20210803 09:00:02.000000,strategy] 
2022-06-13 10:48:53.808561 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5368.0,last_price:5368.0,margin:4294.4) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5365.0,last_price:5365.0,margin:4292.0) 
2022-06-13 10:49:01.235592 strategy(bktfut,): handle_trade data:[bktfut,7,RB2201.SHF,'2','2',1,5242.0,7,20210803 14:58:00.500000,strategy] 
2022-06-13 10:49:01.236515 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5368.0,last_price:5242.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:0,cost_price:5365.0,last_price:5365.0,margin:4292.0) 
2022-06-13 10:49:01.238151 strategy(bktfut,): handle_trade data:[bktfut,8,RB2201.SHF,'1','2',1,5243.0,8,20210803 14:58:00.500000,strategy] 
2022-06-13 10:49:01.238439 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5368.0,last_price:5242.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:5365.0,last_price:5243.0,margin:0.0) 
2022-06-13 10:49:08.025736 strategy(bktfut,): handle_trade data:[bktfut,9,RB2201.SHF,'1','0',1,5403.0,9,20210804 09:00:01.000000,strategy] 
2022-06-13 10:49:08.026340 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5403.0,last_price:5403.0,margin:4322.4) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:0.0,last_price:0.0,margin:0.0) 
2022-06-13 10:49:08.052638 strategy(bktfut,): handle_trade data:[bktfut,10,RB2201.SHF,'2','0',1,5396.0,10,20210804 09:01:01.500000,strategy] 
2022-06-13 10:49:08.053127 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5403.0,last_price:5403.0,margin:4322.4) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5396.0,last_price:5396.0,margin:4316.8) 
2022-06-13 10:49:16.089945 strategy(bktfut,): handle_trade data:[bktfut,11,RB2201.SHF,'2','2',1,5483.0,11,20210804 14:58:00.500000,strategy] 
2022-06-13 10:49:16.090235 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5403.0,last_price:5483.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:0,cost_price:5396.0,last_price:5396.0,margin:4316.8) 
2022-06-13 10:49:16.091398 strategy(bktfut,): handle_trade data:[bktfut,12,RB2201.SHF,'1','2',1,5484.0,12,20210804 14:58:00.500000,strategy] 
2022-06-13 10:49:16.091601 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5403.0,last_price:5483.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:5396.0,last_price:5484.0,margin:0.0) 
2022-06-13 10:49:22.634329 strategy(bktfut,): handle_trade data:[bktfut,13,RB2201.SHF,'2','0',1,5493.0,13,20210805 09:00:01.000000,strategy] 
2022-06-13 10:49:22.634596 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:0.0,last_price:0.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5493.0,last_price:5493.0,margin:4394.400000000001) 
2022-06-13 10:49:23.704972 strategy(bktfut,): handle_trade data:[bktfut,14,RB2201.SHF,'1','0',1,5458.0,14,20210805 09:26:20.500000,strategy] 
2022-06-13 10:49:23.705394 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5458.0,last_price:5458.0,margin:4366.4) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5493.0,last_price:5493.0,margin:4394.400000000001) 
2022-06-13 10:49:30.498896 strategy(bktfut,): handle_trade data:[bktfut,15,RB2201.SHF,'2','2',1,5403.0,15,20210805 14:58:00.500000,strategy] 
2022-06-13 10:49:30.499344 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5458.0,last_price:5403.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:0,cost_price:5493.0,last_price:5493.0,margin:4394.400000000001) 
2022-06-13 10:49:30.500921 strategy(bktfut,): handle_trade data:[bktfut,16,RB2201.SHF,'1','2',1,5404.0,16,20210805 14:58:00.500000,strategy] 
2022-06-13 10:49:30.501252 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5458.0,last_price:5403.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:5493.0,last_price:5404.0,margin:0.0) 
2022-06-13 10:49:37.146916 strategy(bktfut,): handle_trade data:[bktfut,17,RB2201.SHF,'2','0',1,5387.0,17,20210806 09:00:01.000000,strategy] 
2022-06-13 10:49:37.147141 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:0.0,last_price:0.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5387.0,last_price:5387.0,margin:4309.6) 
2022-06-13 10:49:37.157720 strategy(bktfut,): handle_trade data:[bktfut,18,RB2201.SHF,'1','0',1,5402.0,18,20210806 09:00:19.500000,strategy] 
2022-06-13 10:49:37.157910 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5402.0,last_price:5402.0,margin:4321.6) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5387.0,last_price:5387.0,margin:4309.6) 
2022-06-13 10:49:44.602033 strategy(bktfut,): handle_trade data:[bktfut,19,RB2201.SHF,'2','2',1,5407.0,19,20210806 14:58:00.500000,strategy] 
2022-06-13 10:49:44.602387 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5402.0,last_price:5407.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:0,cost_price:5387.0,last_price:5387.0,margin:4309.6) 
2022-06-13 10:49:44.603783 strategy(bktfut,): handle_trade data:[bktfut,20,RB2201.SHF,'1','2',1,5408.0,20,20210806 14:58:00.500000,strategy] 
2022-06-13 10:49:44.604080 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5402.0,last_price:5407.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:5387.0,last_price:5408.0,margin:0.0) 
2022-06-13 10:49:51.544294 strategy(bktfut,): handle_trade data:[bktfut,21,RB2201.SHF,'2','0',1,5345.0,21,20210809 09:00:01.000000,strategy] 
2022-06-13 10:49:51.545027 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:0.0,last_price:0.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5345.0,last_price:5345.0,margin:4276.0) 
2022-06-13 10:49:52.061800 strategy(bktfut,): handle_trade data:[bktfut,22,RB2201.SHF,'1','0',1,5318.0,22,20210809 09:14:52.000000,strategy] 
2022-06-13 10:49:52.062117 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5318.0,last_price:5318.0,margin:4254.4) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5345.0,last_price:5345.0,margin:4276.0) 
2022-06-13 10:49:59.841491 strategy(bktfut,): handle_trade data:[bktfut,23,RB2201.SHF,'2','2',1,5340.0,23,20210809 14:58:00.500000,strategy] 
2022-06-13 10:49:59.841768 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5318.0,last_price:5340.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:0,cost_price:5345.0,last_price:5345.0,margin:4276.0) 
2022-06-13 10:49:59.842927 strategy(bktfut,): handle_trade data:[bktfut,24,RB2201.SHF,'1','2',1,5341.0,24,20210809 14:58:00.500000,strategy] 
2022-06-13 10:49:59.844023 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5318.0,last_price:5340.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:5345.0,last_price:5341.0,margin:0.0) 
2022-06-13 10:50:06.800661 strategy(bktfut,): handle_trade data:[bktfut,25,RB2201.SHF,'1','0',1,5383.0,25,20210810 09:00:01.000000,strategy] 
2022-06-13 10:50:06.800944 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5383.0,last_price:5383.0,margin:4306.4) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:0.0,last_price:0.0,margin:0.0) 
2022-06-13 10:50:07.321058 strategy(bktfut,): handle_trade data:[bktfut,26,RB2201.SHF,'2','0',1,5403.0,26,20210810 09:14:12.000000,strategy] 
2022-06-13 10:50:07.321343 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5383.0,last_price:5383.0,margin:4306.4) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5403.0,last_price:5403.0,margin:4322.4) 
2022-06-13 10:50:15.630901 strategy(bktfut,): handle_trade data:[bktfut,27,RB2201.SHF,'2','2',1,5493.0,27,20210810 14:58:00.500000,strategy] 
2022-06-13 10:50:15.631177 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5383.0,last_price:5493.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:0,cost_price:5403.0,last_price:5403.0,margin:4322.4) 
2022-06-13 10:50:15.632394 strategy(bktfut,): handle_trade data:[bktfut,28,RB2201.SHF,'1','2',1,5495.0,28,20210810 14:58:00.500000,strategy] 
2022-06-13 10:50:15.632690 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5383.0,last_price:5493.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:5403.0,last_price:5495.0,margin:0.0) 
2022-06-13 10:50:22.454558 strategy(bktfut,): handle_trade data:[bktfut,29,RB2201.SHF,'1','0',1,5577.0,29,20210811 09:00:01.000000,strategy] 
2022-06-13 10:50:22.454813 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5577.0,last_price:5577.0,margin:4461.6) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:0.0,last_price:0.0,margin:0.0) 
2022-06-13 10:50:22.772292 strategy(bktfut,): handle_trade data:[bktfut,30,RB2201.SHF,'2','0',1,5575.0,30,20210811 09:09:41.000000,strategy] 
2022-06-13 10:50:22.772623 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5577.0,last_price:5577.0,margin:4461.6) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5575.0,last_price:5575.0,margin:4460.0) 
2022-06-13 10:50:29.994149 strategy(bktfut,): handle_trade data:[bktfut,31,RB2201.SHF,'2','2',1,5583.0,31,20210811 14:58:00.500000,strategy] 
2022-06-13 10:50:29.994438 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5577.0,last_price:5583.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:0,cost_price:5575.0,last_price:5575.0,margin:4460.0) 
2022-06-13 10:50:29.995776 strategy(bktfut,): handle_trade data:[bktfut,32,RB2201.SHF,'1','2',1,5584.0,32,20210811 14:58:00.500000,strategy] 
2022-06-13 10:50:29.995971 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5577.0,last_price:5583.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:5575.0,last_price:5584.0,margin:0.0) 
2022-06-13 10:50:36.227632 strategy(bktfut,): handle_trade data:[bktfut,33,RB2201.SHF,'2','0',1,5536.0,33,20210812 09:00:01.000000,strategy] 
2022-06-13 10:50:36.228497 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:0.0,last_price:0.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5536.0,last_price:5536.0,margin:4428.8) 
2022-06-13 10:50:36.447621 strategy(bktfut,): handle_trade data:[bktfut,34,RB2201.SHF,'1','0',1,5552.0,34,20210812 09:05:45.500000,strategy] 
2022-06-13 10:50:36.447885 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5552.0,last_price:5552.0,margin:4441.6) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5536.0,last_price:5536.0,margin:4428.8) 
2022-06-13 10:50:44.503858 strategy(bktfut,): handle_trade data:[bktfut,35,RB2201.SHF,'2','2',1,5455.0,35,20210812 14:58:00.500000,strategy] 
2022-06-13 10:50:44.504137 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5552.0,last_price:5455.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:0,cost_price:5536.0,last_price:5536.0,margin:4428.8) 
2022-06-13 10:50:44.505300 strategy(bktfut,): handle_trade data:[bktfut,36,RB2201.SHF,'1','2',1,5457.0,36,20210812 14:58:00.500000,strategy] 
2022-06-13 10:50:44.505535 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5552.0,last_price:5455.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:5536.0,last_price:5457.0,margin:0.0) 
2022-06-13 10:50:51.428272 strategy(bktfut,): handle_trade data:[bktfut,37,RB2201.SHF,'2','0',1,5400.0,37,20210813 09:00:01.000000,strategy] 
2022-06-13 10:50:51.428596 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:0.0,last_price:0.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5400.0,last_price:5400.0,margin:4320.0) 
2022-06-13 10:50:51.631991 strategy(bktfut,): handle_trade data:[bktfut,38,RB2201.SHF,'1','0',1,5416.0,38,20210813 09:04:40.500000,strategy] 
2022-06-13 10:50:51.632223 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5416.0,last_price:5416.0,margin:4332.8) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5400.0,last_price:5400.0,margin:4320.0) 
2022-06-13 10:50:59.154922 strategy(bktfut,): handle_trade data:[bktfut,39,RB2201.SHF,'2','2',1,5476.0,39,20210813 14:58:00.500000,strategy] 
2022-06-13 10:50:59.155147 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5416.0,last_price:5476.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:0,cost_price:5400.0,last_price:5400.0,margin:4320.0) 
2022-06-13 10:50:59.156004 strategy(bktfut,): handle_trade data:[bktfut,40,RB2201.SHF,'1','2',1,5477.0,40,20210813 14:58:00.500000,strategy] 
2022-06-13 10:50:59.156153 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5416.0,last_price:5476.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:5400.0,last_price:5477.0,margin:0.0) 
2022-06-13 10:51:05.432738 strategy(bktfut,): handle_trade data:[bktfut,41,RB2201.SHF,'2','0',1,5458.0,41,20210816 09:00:01.000000,strategy] 
2022-06-13 10:51:05.433527 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:0.0,last_price:0.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5458.0,last_price:5458.0,margin:4366.4) 
2022-06-13 10:51:05.655935 strategy(bktfut,): handle_trade data:[bktfut,42,RB2201.SHF,'1','0',1,5469.0,42,20210816 09:06:38.000000,strategy] 
2022-06-13 10:51:05.656150 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5469.0,last_price:5469.0,margin:4375.2) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5458.0,last_price:5458.0,margin:4366.4) 
2022-06-13 10:51:12.687495 strategy(bktfut,): handle_trade data:[bktfut,43,RB2201.SHF,'2','2',1,5331.0,43,20210816 14:58:00.500000,strategy] 
2022-06-13 10:51:12.688030 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5469.0,last_price:5331.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:0,cost_price:5458.0,last_price:5458.0,margin:4366.4) 
2022-06-13 10:51:12.689729 strategy(bktfut,): handle_trade data:[bktfut,44,RB2201.SHF,'1','2',1,5332.0,44,20210816 14:58:00.500000,strategy] 
2022-06-13 10:51:12.690094 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5469.0,last_price:5331.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:5458.0,last_price:5332.0,margin:0.0) 
2022-06-13 10:51:19.141771 strategy(bktfut,): handle_trade data:[bktfut,45,RB2201.SHF,'1','0',1,5327.0,45,20210817 09:00:01.000000,strategy] 
2022-06-13 10:51:19.142460 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5327.0,last_price:5327.0,margin:4261.6) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:0.0,last_price:0.0,margin:0.0) 
2022-06-13 10:51:19.791459 strategy(bktfut,): handle_trade data:[bktfut,46,RB2201.SHF,'2','0',1,5335.0,46,20210817 09:16:53.500000,strategy] 
2022-06-13 10:51:19.791795 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5327.0,last_price:5327.0,margin:4261.6) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5335.0,last_price:5335.0,margin:4268.0) 
2022-06-13 10:51:26.939805 strategy(bktfut,): handle_trade data:[bktfut,47,RB2201.SHF,'2','2',1,5342.0,47,20210817 14:58:00.500000,strategy] 
2022-06-13 10:51:26.940016 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5327.0,last_price:5342.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:0,cost_price:5335.0,last_price:5335.0,margin:4268.0) 
2022-06-13 10:51:26.940822 strategy(bktfut,): handle_trade data:[bktfut,48,RB2201.SHF,'1','2',1,5343.0,48,20210817 14:58:00.500000,strategy] 
2022-06-13 10:51:26.940957 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5327.0,last_price:5342.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:5335.0,last_price:5343.0,margin:0.0) 
2022-06-13 10:51:33.357288 strategy(bktfut,): handle_trade data:[bktfut,49,RB2201.SHF,'2','0',1,5283.0,49,20210818 09:00:01.000000,strategy] 
2022-06-13 10:51:33.357933 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:0.0,last_price:0.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5283.0,last_price:5283.0,margin:4226.4) 
2022-06-13 10:51:34.051344 strategy(bktfut,): handle_trade data:[bktfut,50,RB2201.SHF,'1','0',1,5269.0,50,20210818 09:19:12.000000,strategy] 
2022-06-13 10:51:34.051639 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5269.0,last_price:5269.0,margin:4215.2) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5283.0,last_price:5283.0,margin:4226.4) 
2022-06-13 10:51:41.474592 strategy(bktfut,): handle_trade data:[bktfut,51,RB2201.SHF,'2','2',1,5145.0,51,20210818 14:58:00.500000,strategy] 
2022-06-13 10:51:41.474895 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5269.0,last_price:5145.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:0,cost_price:5283.0,last_price:5283.0,margin:4226.4) 
2022-06-13 10:51:41.476251 strategy(bktfut,): handle_trade data:[bktfut,52,RB2201.SHF,'1','2',1,5146.0,52,20210818 14:58:00.500000,strategy] 
2022-06-13 10:51:41.476515 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5269.0,last_price:5145.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:5283.0,last_price:5146.0,margin:0.0) 
2022-06-13 10:51:47.755613 strategy(bktfut,): handle_trade data:[bktfut,53,RB2201.SHF,'1','0',1,4962.0,53,20210819 09:00:01.000000,strategy] 
2022-06-13 10:51:47.756149 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:4962.0,last_price:4962.0,margin:3969.6) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:0.0,last_price:0.0,margin:0.0) 
2022-06-13 10:51:48.211682 strategy(bktfut,): handle_trade data:[bktfut,54,RB2201.SHF,'2','0',1,4978.0,54,20210819 09:15:07.000000,strategy] 
2022-06-13 10:51:48.212506 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:4962.0,last_price:4962.0,margin:3969.6) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:4978.0,last_price:4978.0,margin:3982.4) 
2022-06-13 10:51:54.929202 strategy(bktfut,): handle_trade data:[bktfut,55,RB2201.SHF,'2','2',1,5015.0,55,20210819 14:58:00.500000,strategy] 
2022-06-13 10:51:54.929528 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:4962.0,last_price:5015.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:0,cost_price:4978.0,last_price:4978.0,margin:3982.4) 
2022-06-13 10:51:54.930520 strategy(bktfut,): handle_trade data:[bktfut,56,RB2201.SHF,'1','2',1,5017.0,56,20210819 14:58:00.500000,strategy] 
2022-06-13 10:51:54.930710 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:4962.0,last_price:5015.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:4978.0,last_price:5017.0,margin:0.0) 
2022-06-13 10:52:00.689729 strategy(bktfut,): handle_trade data:[bktfut,57,RB2201.SHF,'1','0',1,4988.0,57,20210820 09:00:01.000000,strategy] 
2022-06-13 10:52:00.690068 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:4988.0,last_price:4988.0,margin:3990.4) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:0.0,last_price:0.0,margin:0.0) 
2022-06-13 10:52:01.073391 strategy(bktfut,): handle_trade data:[bktfut,58,RB2201.SHF,'2','0',1,4992.0,58,20210820 09:12:14.500000,strategy] 
2022-06-13 10:52:01.073795 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:4988.0,last_price:4988.0,margin:3990.4) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:4992.0,last_price:4992.0,margin:3993.6) 
2022-06-13 10:52:07.882734 strategy(bktfut,): handle_trade data:[bktfut,59,RB2201.SHF,'2','2',1,5096.0,59,20210820 14:58:00.500000,strategy] 
2022-06-13 10:52:07.883067 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:4988.0,last_price:5096.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:0,cost_price:4992.0,last_price:4992.0,margin:3993.6) 
2022-06-13 10:52:07.884965 strategy(bktfut,): handle_trade data:[bktfut,60,RB2201.SHF,'1','2',1,5097.0,60,20210820 14:58:00.500000,strategy] 
2022-06-13 10:52:07.885256 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:4988.0,last_price:5096.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:4992.0,last_price:5097.0,margin:0.0) 
2022-06-13 10:52:14.127409 strategy(bktfut,): handle_trade data:[bktfut,61,RB2201.SHF,'2','0',1,5137.0,61,20210823 09:00:01.000000,strategy] 
2022-06-13 10:52:14.127680 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:0.0,last_price:0.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5137.0,last_price:5137.0,margin:4109.6) 
2022-06-13 10:52:15.057917 strategy(bktfut,): handle_trade data:[bktfut,62,RB2201.SHF,'1','0',1,5090.0,62,20210823 09:25:37.500000,strategy] 
2022-06-13 10:52:15.058258 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5090.0,last_price:5090.0,margin:4072.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5137.0,last_price:5137.0,margin:4109.6) 
2022-06-13 10:52:23.009261 strategy(bktfut,): handle_trade data:[bktfut,63,RB2201.SHF,'2','2',1,5110.0,63,20210823 14:58:00.500000,strategy] 
2022-06-13 10:52:23.009624 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5090.0,last_price:5110.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:0,cost_price:5137.0,last_price:5137.0,margin:4109.6) 
2022-06-13 10:52:23.011206 strategy(bktfut,): handle_trade data:[bktfut,64,RB2201.SHF,'1','2',1,5111.0,64,20210823 14:58:00.500000,strategy] 
2022-06-13 10:52:23.011503 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5090.0,last_price:5110.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:5137.0,last_price:5111.0,margin:0.0) 
2022-06-13 10:52:29.493226 strategy(bktfut,): handle_trade data:[bktfut,65,RB2201.SHF,'1','0',1,5187.0,65,20210824 09:00:01.000000,strategy] 
2022-06-13 10:52:29.493626 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5187.0,last_price:5187.0,margin:4149.6) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:0.0,last_price:0.0,margin:0.0) 
2022-06-13 10:52:29.816381 strategy(bktfut,): handle_trade data:[bktfut,66,RB2201.SHF,'2','0',1,5180.0,66,20210824 09:07:40.500000,strategy] 
2022-06-13 10:52:29.816778 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5187.0,last_price:5187.0,margin:4149.6) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5180.0,last_price:5180.0,margin:4144.0) 
2022-06-13 10:52:37.942728 strategy(bktfut,): handle_trade data:[bktfut,67,RB2201.SHF,'2','2',1,5228.0,67,20210824 14:58:00.500000,strategy] 
2022-06-13 10:52:37.943443 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5187.0,last_price:5228.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:0,cost_price:5180.0,last_price:5180.0,margin:4144.0) 
2022-06-13 10:52:37.944359 strategy(bktfut,): handle_trade data:[bktfut,68,RB2201.SHF,'1','2',1,5229.0,68,20210824 14:58:00.500000,strategy] 
2022-06-13 10:52:37.944555 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5187.0,last_price:5228.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:5180.0,last_price:5229.0,margin:0.0) 
2022-06-13 10:52:44.328747 strategy(bktfut,): handle_trade data:[bktfut,69,RB2201.SHF,'1','0',1,5277.0,69,20210825 09:00:01.000000,strategy] 
2022-06-13 10:52:44.329725 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5277.0,last_price:5277.0,margin:4221.6) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:0.0,last_price:0.0,margin:0.0) 
2022-06-13 10:52:44.332414 strategy(bktfut,): handle_trade data:[bktfut,70,RB2201.SHF,'2','0',1,5267.0,70,20210825 09:00:02.000000,strategy] 
2022-06-13 10:52:44.332723 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5277.0,last_price:5277.0,margin:4221.6) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5267.0,last_price:5267.0,margin:4213.6) 
2022-06-13 10:52:51.781471 strategy(bktfut,): handle_trade data:[bktfut,71,RB2201.SHF,'2','2',1,5236.0,71,20210825 14:58:00.500000,strategy] 
2022-06-13 10:52:51.781798 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5277.0,last_price:5236.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:0,cost_price:5267.0,last_price:5267.0,margin:4213.6) 
2022-06-13 10:52:51.783022 strategy(bktfut,): handle_trade data:[bktfut,72,RB2201.SHF,'1','2',1,5237.0,72,20210825 14:58:00.500000,strategy] 
2022-06-13 10:52:51.783241 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5277.0,last_price:5236.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:5267.0,last_price:5237.0,margin:0.0) 
2022-06-13 10:52:58.652826 strategy(bktfut,): handle_trade data:[bktfut,73,RB2201.SHF,'2','0',1,5257.0,73,20210826 09:00:01.000000,strategy] 
2022-06-13 10:52:58.653054 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:0.0,last_price:0.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5257.0,last_price:5257.0,margin:4205.6) 
2022-06-13 10:52:58.801470 strategy(bktfut,): handle_trade data:[bktfut,74,RB2201.SHF,'1','0',1,5265.0,74,20210826 09:04:33.500000,strategy] 
2022-06-13 10:52:58.801729 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5265.0,last_price:5265.0,margin:4212.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5257.0,last_price:5257.0,margin:4205.6) 
2022-06-13 10:53:06.347744 strategy(bktfut,): handle_trade data:[bktfut,75,RB2201.SHF,'2','2',1,5108.0,75,20210826 14:58:00.500000,strategy] 
2022-06-13 10:53:06.348033 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5265.0,last_price:5108.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:0,cost_price:5257.0,last_price:5257.0,margin:4205.6) 
2022-06-13 10:53:06.349155 strategy(bktfut,): handle_trade data:[bktfut,76,RB2201.SHF,'1','2',1,5109.0,76,20210826 14:58:00.500000,strategy] 
2022-06-13 10:53:06.349330 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5265.0,last_price:5108.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:5257.0,last_price:5109.0,margin:0.0) 
2022-06-13 10:53:12.934759 strategy(bktfut,): handle_trade data:[bktfut,77,RB2201.SHF,'1','0',1,5098.0,77,20210827 09:00:01.000000,strategy] 
2022-06-13 10:53:12.935035 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5098.0,last_price:5098.0,margin:4078.4) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:0.0,last_price:0.0,margin:0.0) 
2022-06-13 10:53:13.498458 strategy(bktfut,): handle_trade data:[bktfut,78,RB2201.SHF,'2','0',1,5109.0,78,20210827 09:14:00.000000,strategy] 
2022-06-13 10:53:13.498929 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5098.0,last_price:5098.0,margin:4078.4) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5109.0,last_price:5109.0,margin:4087.2000000000003) 
2022-06-13 10:53:20.188900 strategy(bktfut,): handle_trade data:[bktfut,79,RB2201.SHF,'2','2',1,5222.0,79,20210827 14:58:00.500000,strategy] 
2022-06-13 10:53:20.189232 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5098.0,last_price:5222.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:0,cost_price:5109.0,last_price:5109.0,margin:4087.2000000000003) 
2022-06-13 10:53:20.190812 strategy(bktfut,): handle_trade data:[bktfut,80,RB2201.SHF,'1','2',1,5223.0,80,20210827 14:58:00.500000,strategy] 
2022-06-13 10:53:20.191078 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5098.0,last_price:5222.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:5109.0,last_price:5223.0,margin:0.0) 
2022-06-13 10:53:26.488337 strategy(bktfut,): handle_trade data:[bktfut,81,RB2201.SHF,'1','0',1,5233.0,81,20210830 09:00:01.000000,strategy] 
2022-06-13 10:53:26.488696 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5233.0,last_price:5233.0,margin:4186.4) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:0.0,last_price:0.0,margin:0.0) 
2022-06-13 10:53:27.958456 strategy(bktfut,): handle_trade data:[bktfut,82,RB2201.SHF,'2','0',1,5335.0,82,20210830 09:42:08.000000,strategy] 
2022-06-13 10:53:27.958732 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5233.0,last_price:5233.0,margin:4186.4) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5335.0,last_price:5335.0,margin:4268.0) 
2022-06-13 10:53:33.630207 strategy(bktfut,): handle_trade data:[bktfut,83,RB2201.SHF,'2','2',1,5338.0,83,20210830 14:58:00.500000,strategy] 
2022-06-13 10:53:33.630500 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5233.0,last_price:5338.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:0,cost_price:5335.0,last_price:5335.0,margin:4268.0) 
2022-06-13 10:53:33.632594 strategy(bktfut,): handle_trade data:[bktfut,84,RB2201.SHF,'1','2',1,5340.0,84,20210830 14:58:00.500000,strategy] 
2022-06-13 10:53:33.632862 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5233.0,last_price:5338.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:5335.0,last_price:5340.0,margin:0.0) 
2022-06-13 10:53:40.128049 strategy(bktfut,): handle_trade data:[bktfut,85,RB2201.SHF,'1','0',1,5350.0,85,20210831 09:00:01.000000,strategy] 
2022-06-13 10:53:40.128322 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5350.0,last_price:5350.0,margin:4280.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:0.0,last_price:0.0,margin:0.0) 
2022-06-13 10:53:40.151577 strategy(bktfut,): handle_trade data:[bktfut,86,RB2201.SHF,'2','0',1,5343.0,86,20210831 09:00:40.500000,strategy] 
2022-06-13 10:53:40.151793 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5350.0,last_price:5350.0,margin:4280.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5343.0,last_price:5343.0,margin:4274.4) 
2022-06-13 10:53:47.974319 strategy(bktfut,): handle_trade data:[bktfut,87,RB2201.SHF,'2','2',1,5314.0,87,20210831 14:58:00.500000,strategy] 
2022-06-13 10:53:47.974779 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5350.0,last_price:5314.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:0,cost_price:5343.0,last_price:5343.0,margin:4274.4) 
2022-06-13 10:53:47.977218 strategy(bktfut,): handle_trade data:[bktfut,88,RB2201.SHF,'1','2',1,5315.0,88,20210831 14:58:00.500000,strategy] 
2022-06-13 10:53:47.977506 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5350.0,last_price:5314.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:5343.0,last_price:5315.0,margin:0.0) 
2022-06-13 10:53:54.883648 strategy(bktfut,): handle_trade data:[bktfut,89,RB2201.SHF,'1','0',1,5279.0,89,20210901 09:00:01.000000,strategy] 
2022-06-13 10:53:54.884031 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5279.0,last_price:5279.0,margin:4223.2) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:0.0,last_price:0.0,margin:0.0) 
2022-06-13 10:53:55.147658 strategy(bktfut,): handle_trade data:[bktfut,90,RB2201.SHF,'2','0',1,5275.0,90,20210901 09:07:33.000000,strategy] 
2022-06-13 10:53:55.147911 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:1,avail_qty:1,cost_price:5279.0,last_price:5279.0,margin:4223.2) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:1,cost_price:5275.0,last_price:5275.0,margin:4220.0) 
2022-06-13 10:54:02.796110 strategy(bktfut,): handle_trade data:[bktfut,91,RB2201.SHF,'2','2',1,5252.0,91,20210901 14:58:00.500000,strategy] 
2022-06-13 10:54:02.796497 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5279.0,last_price:5252.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:1,avail_qty:0,cost_price:5275.0,last_price:5275.0,margin:4220.0) 
2022-06-13 10:54:02.797848 strategy(bktfut,): handle_trade data:[bktfut,92,RB2201.SHF,'1','2',1,5254.0,92,20210901 14:58:00.500000,strategy] 
2022-06-13 10:54:02.798135 strategy(bktfut,): 当前多头持仓:Position(bktfut,RB2201.SHF,LONG,current_qty:0,avail_qty:0,cost_price:5279.0,last_price:5252.0,margin:0.0) 当前空头持仓:Position(bktfut,RB2201.SHF,SHORT,current_qty:0,avail_qty:0,cost_price:5275.0,last_price:5254.0,margin:0.0)

收益率1.31%
年化收益率15.34%
基准收益率-1.3%
阿尔法0.11
贝塔0.05
夏普比率2.7
胜率0.57
盈亏比1.13
收益波动率4.22%
最大回撤0.58%

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