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# 本代码由可视化策略环境自动生成 2021年1月14日 16:32
# 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。


# 回测引擎：初始化函数，只执行一次
def m3_initialize_bigquant_run(context):
   # 设置是否是结算模式
    context.set_need_settle(False)
    context.set_commission(PerOrder(buy_cost=0.0013, sell_cost=0.0023, min_cost=5))

# 回测引擎：每日数据处理函数，每天执行一次
def m3_handle_data_bigquant_run(context, data):
    instruments = context.instruments
    
    # 获取当前分钟的买卖信号
    today_date=data.current_dt.strftime('%Y-%m-%d %H:%M:%S')
    time = data.current_dt.strftime('%H:%M')
    if context.index < 6:  # 日内分钟计数器超过计算窗口后才开始交易
        context.index += 1
        return
    
    conditions = context.condition[context.condition.date==today_date] # 获取最新信号
    
    for instrument in instruments:
        instrument_symbol = context.symbol(instrument) # 交易标的
        curr_position = context.portfolio.positions[instrument_symbol].amount # 持仓数量
        
        try:
            buy_condition = conditions[conditions.instrument==instrument]['buy_condition'].values[0]
        except:
            buy_condition = 0
    
        try:
            daily_close_1 = conditions[conditions.instrument==instrument]['daily_close_1'].values[0]
            new_price = data.current(instrument_symbol, ['price'])
            sell_condition = 1 if new_price['price'] > daily_close_1*1.04 else 0
        except:
            sell_condition = 0   
            
        # 如果当前没有仓位且满足买入条件，执行开仓
        if curr_position == 0 and buy_condition>0 and time<"14:56":
            context.order_target(instrument_symbol, 100)
        elif curr_position >= 0 and (sell_condition>0 or time=='14:57'):
            context.order_target(instrument_symbol, 0)
# 回测引擎：准备数据，只执行一次
def m3_prepare_bigquant_run(context):
    df = context.options['data'].read_df()
    df['date']=df['date'].apply(lambda x:x.strftime('%Y-%m-%d %H:%M:%S'))
    context.condition=df


# 回测引擎：每个单位时间开始前调用一次，即每日开盘前调用一次。
def m3_before_trading_start_bigquant_run(context, data):
    # 当日分钟K线数量记录变量初始化
    context.index = 1


m2 = M.instruments.v2(
    start_date='2020-01-20 09:01:00',
    end_date='2020-02-20 15:15:00',
    market='CN_STOCK_A',
    instrument_list="""600010.SHA
000001.SZA""",
    max_count=0,
    m_cached=False
)

m7 = M.extract_minute_daily.v3(
    input_1=m2.data,
    features=["daily_close_1=close_1/adjust_factor_1", "adjust_factor=adjust_factor_0"],
    before_days=10
)

m5 = M.input_features.v1(
    features="""
# #号开始的表示注释
# 多个特征，每行一个，可以包含基础特征和衍生特征
buy_condition=where(close>=ts_max(close,5),1,0)
"""
)

m6 = M.derived_feature_extractor.v3(
    input_data=m7.data,
    features=m5.data,
    date_col='date',
    instrument_col='instrument',
    drop_na=False,
    remove_extra_columns=False,
    user_functions={}
)

m1 = M.dropnan.v2(
    input_data=m6.data
)

m3 = M.trade.v4(
    instruments=m2.data,
    options_data=m1.data,
    history_ds=m7.data,
    start_date='',
    end_date='',
    initialize=m3_initialize_bigquant_run,
    handle_data=m3_handle_data_bigquant_run,
    prepare=m3_prepare_bigquant_run,
    before_trading_start=m3_before_trading_start_bigquant_run,
    volume_limit=0,
    order_price_field_buy='open',
    order_price_field_sell='open',
    capital_base=500001,
    auto_cancel_non_tradable_orders=True,
    data_frequency='minute',
    price_type='真实价格',
    product_type='股票',
    plot_charts=True,
    backtest_only=False,
    benchmark='000300.HIX'
)

[2021-01-14 16:22:49.719510] INFO: moduleinvoker: instruments.v2 开始运行..

[2021-01-14 16:22:49.744352] INFO: moduleinvoker: instruments.v2 运行完成[0.02482s].

[2021-01-14 16:22:49.746234] INFO: moduleinvoker: extract_minute_daily.v3 开始运行..

[2021-01-14 16:22:50.445420] INFO: moduleinvoker: input_features.v1 开始运行..

[2021-01-14 16:22:50.479172] INFO: moduleinvoker: input_features.v1 运行完成[0.033769s].

[2021-01-14 16:22:50.480670] INFO: moduleinvoker: instruments.v2 开始运行..

[2021-01-14 16:22:50.508193] INFO: moduleinvoker: instruments.v2 运行完成[0.027511s].

[2021-01-14 16:22:50.516493] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2021-01-14 16:22:51.038154] INFO: 基础特征抽取: 年份 2020, 特征行数=48

[2021-01-14 16:22:51.090588] INFO: 基础特征抽取: 总行数: 48

[2021-01-14 16:22:51.093622] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[0.577147s].

[2021-01-14 16:22:51.094969] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2021-01-14 16:22:51.122530] INFO: derived_feature_extractor: 提取完成 daily_close_1=close_1/adjust_factor_1, 0.001s

[2021-01-14 16:22:51.124276] INFO: derived_feature_extractor: 提取完成 adjust_factor=adjust_factor_0, 0.000s

[2021-01-14 16:22:51.148395] INFO: derived_feature_extractor: /y_2020, 48

[2021-01-14 16:22:51.200444] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[0.105457s].

[2021-01-14 16:22:51.487283] INFO: moduleinvoker: extract_minute_daily.v3 运行完成[1.741028s].

[2021-01-14 16:22:51.489122] INFO: moduleinvoker: input_features.v1 开始运行..

[2021-01-14 16:22:51.494038] INFO: moduleinvoker: 命中缓存

[2021-01-14 16:22:51.494876] INFO: moduleinvoker: input_features.v1 运行完成[0.005754s].

[2021-01-14 16:22:51.496193] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2021-01-14 16:22:51.592193] INFO: derived_feature_extractor: 提取完成 buy_condition=where(close>=ts_max(close,5),1,0), 0.007s

[2021-01-14 16:22:51.624703] INFO: derived_feature_extractor: /data, 8640

[2021-01-14 16:22:51.679386] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[0.183168s].

[2021-01-14 16:22:51.681129] INFO: moduleinvoker: dropnan.v2 开始运行..

[2021-01-14 16:22:51.751751] INFO: dropnan: /data, 8640/8640

[2021-01-14 16:22:51.885808] INFO: dropnan: 行数: 8640/8640

[2021-01-14 16:22:51.889199] INFO: moduleinvoker: dropnan.v2 运行完成[0.208056s].

[2021-01-14 16:22:51.928457] INFO: moduleinvoker: backtest.v8 开始运行..

[2021-01-14 16:22:51.939906] INFO: backtest: biglearning backtest:V8.4.2

[2021-01-14 16:22:52.023082] INFO: backtest: product_type:stock by specified

[2021-01-14 16:22:52.152116] INFO: algo: TradingAlgorithm V1.7.0

[2021-01-14 16:22:52.313317] INFO: algo: trading transform...

[2021-01-14 16:23:13.190077] INFO: Performance: Simulated 18 trading days out of 18.

[2021-01-14 16:23:13.191177] INFO: Performance: first open: 2020-01-20 09:30:00+00:00

[2021-01-14 16:23:13.192112] INFO: Performance: last close: 2020-02-20 15:00:00+00:00

[2021-01-14 16:23:18.034419] INFO: moduleinvoker: backtest.v8 运行完成[26.105948s].

[2021-01-14 16:23:18.035998] INFO: moduleinvoker: trade.v4 运行完成[26.145307s].

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