克隆策略

    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交易引擎：初始化函数，只执行一次\ndef bigquant_run(context):\n df = DataSource(\"bar1d_index_CN_STOCK_A\").read(instruments=\"000300.HIX\",start_date=\"2020-01-01\",end_date=\"2020-02-01\")\n df[\"ma\"] = df.close.rolling(5).mean()\n df[\"signal\"] = df.apply(lambda x:1 if x.close>x.ma else 0,axis=1)\n df[\"signal\"] = df[\"signal\"].shift(1) #取昨日的收盘信号\n df=df[[\"date\",\"signal\"]]\n #信号数据\n context.signal_df = df\n #每支股票占比\n context.order_pct = 0.1\n #获取预测股票集\n context.to_buy = context.options['data'].read()\n #注册\n context.subscribe(context.instruments)\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 now = data.current_dt.strftime('%Y-%m-%d')\n context.today = data.current_dt.strftime('%Y-%m-%d')\n context.signal = context.signal_df[context.signal_df.date==now][\"signal\"].iloc[0]\n context.handle_flag = 0 #由于是分钟回测，每天只需要处理一次买卖\n context.sold_stock_list = []\n context.position_check = context.get_positions()\n print('日期{} 持仓 {} -----------'.format(now, context.position_check))\n","type":"Literal","bound_global_parameter":null},{"name":"handle_tick","value":"# 交易引擎：tick数据处理函数，每个tick执行一次\ndef bigquant_run(context, data):\n pass\n","type":"Literal","bound_global_parameter":null},{"name":"handle_data","value":"#卖出函数\ndef sell_stock(context,data,msg):\n #获取当前所有持仓\n stock_hold_now = context.get_account_positions()\n for instr in stock_hold_now:\n if instr not in context.sold_stock_list:\n #卖出可用仓位（可能有今仓）\n position = context.get_position(instr).avail_qty\n if(position>0):\n #最新价格\n price = data.current(instr, 'close')\n context.order(instr, -position, price, order_type=OrderType.MARKET)\n context.sold_stock_list.append(instr)\n print(\"{}卖出{} {}\".format(msg,instr,position))\n\n# 交易引擎：bar数据处理函数，每个单位执行一次\ndef bigquant_run(context, data):\n \n #signal为0开盘卖\n if context.signal == 0:\n msg = context.today+\" 开盘\"\n sell_stock(context,data,msg)\n \n current_stopwin_stock = []\n current_stoploss_stock = []\n if len(context.position_check) > 0:\n #------------------------START:止赢止损模块(含建仓期)---------------\n positions_cost={e:p.cost_price for e,p in context.get_positions().items()}\n avail_positions = {e: p.avail_qty for e, p in context.get_positions().items()}\n for instrument in positions_cost.keys():\n s = context.get_position(instrument).cost_price\n stock_cost=positions_cost[instrument]\n stock_market_price=data.current(context.symbol(instrument),'price')\n if stock_market_price/stock_cost-1>=0.2 and avail_positions[instrument] != 0:\n context.order_target(instrument, 0, order_type=OrderType.MARKET)\n print('止盈成功, 止盈标的{}'.format(instrument))\n current_stopwin_stock.append(instrument)\n elif stock_market_price/stock_cost-1 <= -0.05 and avail_positions[instrument] != 0:\n context.order_target(instrument, 0, order_type=OrderType.MARKET)\n print('止损成功, 止损标的{}'.format(instrument))\n current_stoploss_stock.append(instrument)\n if len(current_stopwin_stock)>0:\n# print(context.today,'止盈股票列表',current_stopwin_stock)\n context.sold_stock_list += current_stopwin_stock\n if len(current_stoploss_stock)>0:\n# print(context.today,'止损股票列表',current_stoploss_stock)\n context.sold_stock_list += current_stoploss_stock\n #--------------------------END: 止赢止损模块--------------------------\n \n #signal为1尾盘卖\n if context.signal == 1:\n cur_date = data.current_dt\n cur_hm = cur_date.strftime('%H:%M')\n if(cur_hm==\"14:55\"):\n msg = str(cur_date)+\" 尾盘\"\n sell_stock(context,data,msg)\n \n\n #每天只处理一次\n if context.handle_flag==1:\n return\n \n #买入预测集的前5只股票\n now_data = context.to_buy[context.to_buy['date']==context.today]\n today_to_buy = []\n if not now_data.empty:\n today_to_buy = now_data.instrument[:5].to_list()\n print(context.today,\"=======早盘计划买入股票 {}\".format(today_to_buy))\n \n # 获取账户资金\n total_portfolio = context.portfolio.portfolio_value\n\n for instr in today_to_buy:\n if instr not in context.sold_stock_list:\n #最新价格\n price = data.current(instr, 'close')\n\n #计算买入此股票的数量，不要超过总资金的某个比例\n context.order_value(instr, total_portfolio*context.order_pct, price, order_type=OrderType.MARKET)\n print(\"买入{}\".format(instr))\n \n context.handle_flag = 1\n\n","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 pass\n","type":"Literal","bound_global_parameter":null},{"name":"handle_order","value":"# 交易引擎：委托回报处理函数，每个委托变化时执行一次\ndef bigquant_run(context, data):\n pass\n","type":"Literal","bound_global_parameter":null},{"name":"after_trading","value":"# 交易引擎：盘后处理函数，每日盘后执行一次\ndef bigquant_run(context, data):\n 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    In [ ]:
    # 本代码由可视化策略环境自动生成 2021年12月3日 22:26
# 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 m13_initialize_bigquant_run(context):
    df = DataSource("bar1d_index_CN_STOCK_A").read(instruments="000300.HIX",start_date="2020-01-01",end_date="2020-02-01")
    df["ma"] = df.close.rolling(5).mean()
    df["signal"] = df.apply(lambda x:1 if x.close>x.ma else 0,axis=1)
    df["signal"] = df["signal"].shift(1) #取昨日的收盘信号
    df=df[["date","signal"]]
    #信号数据
    context.signal_df = df
    #每支股票占比
    context.order_pct = 0.1
    #获取预测股票集
    context.to_buy = context.options['data'].read()
    #注册
    context.subscribe(context.instruments)

# 交易引擎：每个单位时间开盘前调用一次。
def m13_before_trading_start_bigquant_run(context, data):
    now = data.current_dt.strftime('%Y-%m-%d')
    context.today = data.current_dt.strftime('%Y-%m-%d')
    context.signal = context.signal_df[context.signal_df.date==now]["signal"].iloc[0]
    context.handle_flag = 0 #由于是分钟回测，每天只需要处理一次买卖
    context.sold_stock_list = []
    context.position_check = context.get_positions()
    print('日期{} 持仓 {} -----------'.format(now, context.position_check))

# 交易引擎：tick数据处理函数，每个tick执行一次
def m13_handle_tick_bigquant_run(context, data):
    pass

#卖出函数
def sell_stock(context,data,msg):
    #获取当前所有持仓
    stock_hold_now = context.get_account_positions()
    for instr in stock_hold_now:
        if instr not in context.sold_stock_list:
            #卖出可用仓位（可能有今仓）
            position = context.get_position(instr).avail_qty
            if(position>0):
                #最新价格
                price = data.current(instr, 'close')
                context.order(instr, -position, price, order_type=OrderType.MARKET)
                context.sold_stock_list.append(instr)
                print("{}卖出{} {}".format(msg,instr,position))

# 交易引擎：bar数据处理函数，每个单位执行一次
def m13_handle_data_bigquant_run(context, data):
    
    #signal为0开盘卖
    if context.signal == 0:
        msg = context.today+" 开盘"
        sell_stock(context,data,msg)
        
    current_stopwin_stock = []
    current_stoploss_stock = []
    if len(context.position_check) > 0:
        #------------------------START:止赢止损模块(含建仓期)---------------
        positions_cost={e:p.cost_price for e,p in context.get_positions().items()}
        avail_positions = {e: p.avail_qty for e, p in context.get_positions().items()}
        for instrument in positions_cost.keys():
            s = context.get_position(instrument).cost_price
            stock_cost=positions_cost[instrument]
            stock_market_price=data.current(context.symbol(instrument),'price')
            if stock_market_price/stock_cost-1>=0.2 and avail_positions[instrument] != 0:
                context.order_target(instrument, 0, order_type=OrderType.MARKET)
                print('止盈成功, 止盈标的{}'.format(instrument))
                current_stopwin_stock.append(instrument)
            elif stock_market_price/stock_cost-1 <= -0.05 and avail_positions[instrument] != 0:
                context.order_target(instrument, 0, order_type=OrderType.MARKET)
                print('止损成功, 止损标的{}'.format(instrument))
                current_stoploss_stock.append(instrument)
        if len(current_stopwin_stock)>0:
#             print(context.today,'止盈股票列表',current_stopwin_stock)
            context.sold_stock_list += current_stopwin_stock
        if len(current_stoploss_stock)>0:
#             print(context.today,'止损股票列表',current_stoploss_stock)
            context.sold_stock_list += current_stoploss_stock
        #--------------------------END: 止赢止损模块--------------------------
    
    #signal为1尾盘卖
    if context.signal == 1:
        cur_date = data.current_dt
        cur_hm =  cur_date.strftime('%H:%M')
        if(cur_hm=="14:55"):
            msg = str(cur_date)+" 尾盘"
            sell_stock(context,data,msg)
        

    #每天只处理一次
    if context.handle_flag==1:
        return
    
    #买入预测集的前5只股票
    now_data = context.to_buy[context.to_buy['date']==context.today]
    today_to_buy = []
    if not now_data.empty:
        today_to_buy = now_data.instrument[:5].to_list()
    print(context.today,"=======早盘计划买入股票 {}".format(today_to_buy))
    
    # 获取账户资金
    total_portfolio = context.portfolio.portfolio_value

    for instr in today_to_buy:
        if instr not in context.sold_stock_list:
            #最新价格
            price = data.current(instr, 'close')

            #计算买入此股票的数量，不要超过总资金的某个比例
            context.order_value(instr, total_portfolio*context.order_pct, price, order_type=OrderType.MARKET)
            print("买入{}".format(instr))
            
    context.handle_flag = 1


# 交易引擎：成交回报处理函数，每个成交发生时执行一次
def m13_handle_trade_bigquant_run(context, data):
    pass

# 交易引擎：委托回报处理函数，每个委托变化时执行一次
def m13_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 m13_after_trading_bigquant_run(context, data):
    pass


m1 = M.instruments.v2(
    start_date='2020-06-01',
    end_date='2020-12-01',
    market='CN_STOCK_A',
    instrument_list='',
    max_count=0
)

m2 = M.advanced_auto_labeler.v2(
    instruments=m1.data,
    label_expr="""# #号开始的表示注释
# 0. 每行一个，顺序执行，从第二个开始，可以使用label字段
# 1. 可用数据字段见 https://bigquant.com/docs/develop/datasource/deprecated/history_data.html
#   添加benchmark_前缀，可使用对应的benchmark数据
# 2. 可用操作符和函数见 `表达式引擎 <https://bigquant.com/docs/develop/bigexpr/usage.html>`_

# 计算收益：5日收盘价(作为卖出价格)除以明日开盘价(作为买入价格)
shift(close, -5) / shift(open, -1)

# 极值处理：用1%和99%分位的值做clip
clip(label, all_quantile(label, 0.01), all_quantile(label, 0.99))

# 将分数映射到分类，这里使用20个分类
all_wbins(label, 20)

# 过滤掉一字涨停的情况 (设置label为NaN，在后续处理和训练中会忽略NaN的label)
where(shift(high, -1) == shift(low, -1), NaN, label)
""",
    start_date='',
    end_date='',
    benchmark='000300.SHA',
    drop_na_label=True,
    cast_label_int=True
)

m3 = 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
avg_turn_15/turn_0
mf_net_amount_xl_0
alpha4=close_0avg_turn_0+close_1avg_turn_1+close_2*avg_turn_2

"""
)

m15 = M.general_feature_extractor.v7(
    instruments=m1.data,
    features=m3.data,
    start_date='',
    end_date='',
    before_start_days=60
)

m16 = M.derived_feature_extractor.v3(
    input_data=m15.data,
    features=m3.data,
    date_col='date',
    instrument_col='instrument',
    drop_na=False,
    remove_extra_columns=False
)

m7 = M.join.v3(
    data1=m2.data,
    data2=m16.data,
    on='date,instrument',
    how='inner',
    sort=False
)

m9 = M.instruments.v2(
    start_date=T.live_run_param('trading_date', '2020-01-01'),
    end_date=T.live_run_param('trading_date', '2020-02-01'),
    market='CN_STOCK_A',
    instrument_list='',
    max_count=0
)

m17 = M.general_feature_extractor.v7(
    instruments=m9.data,
    features=m3.data,
    start_date='',
    end_date='',
    before_start_days=60
)

m18 = M.derived_feature_extractor.v3(
    input_data=m17.data,
    features=m3.data,
    date_col='date',
    instrument_col='instrument',
    drop_na=False,
    remove_extra_columns=False
)

m6 = M.chinaa_stock_filter.v1(
    input_data=m18.data,
    index_constituent_cond=['全部'],
    board_cond=['全部'],
    industry_cond=['全部'],
    st_cond=['正常'],
    delist_cond=['非退市'],
    output_left_data=False
)

m10 = M.dropnan.v2(
    input_data=m6.data
)

m11 = 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
arelative_ret=stockret-bmret
relative_ret_5=sum(relative_ret,5)
relative_ret_30=sum(relative_ret,30)"""
)

m12 = M.derived_feature_extractor.v3(
    input_data=m7.data,
    features=m11.data,
    date_col='date',
    instrument_col='instrument',
    drop_na=False,
    remove_extra_columns=False
)

m5 = M.dropnan.v2(
    input_data=m12.data
)

m4 = M.stock_ranker_train.v6(
    training_ds=m5.data,
    features=m3.data,
    learning_algorithm='排序',
    number_of_leaves=30,
    minimum_docs_per_leaf=1000,
    number_of_trees=20,
    learning_rate=0.1,
    max_bins=1023,
    feature_fraction=1,
    data_row_fraction=1,
    plot_charts=True,
    ndcg_discount_base=1,
    m_lazy_run=False
)

m8 = M.stock_ranker_predict.v5(
    model=m4.model,
    data=m10.data,
    m_lazy_run=False
)

m13 = M.hftrade.v2(
    instruments=m9.data,
    options_data=m8.predictions,
    start_date='',
    end_date='',
    initialize=m13_initialize_bigquant_run,
    before_trading_start=m13_before_trading_start_bigquant_run,
    handle_tick=m13_handle_tick_bigquant_run,
    handle_data=m13_handle_data_bigquant_run,
    handle_trade=m13_handle_trade_bigquant_run,
    handle_order=m13_handle_order_bigquant_run,
    after_trading=m13_after_trading_bigquant_run,
    capital_base=100000,
    frequency='minute',
    price_type='真实价格',
    product_type='股票',
    before_start_days='0',
    benchmark='000300.HIX',
    plot_charts=True,
    disable_cache=False,
    show_debug_info=False,
    backtest_only=False
)
    设置评估测试数据集，查看训练曲线
    [视频教程]StockRanker训练曲线
    bigcharts-data-start/{"__type":"tabs","__id":"bigchart-679a52df9b6c42f3b23278f0c2d59eae"}/bigcharts-data-end
    日期2020-01-02 持仓 {} -----------
2020-01-02 =======早盘计划买入股票 ['002595.SZA', '002457.SZA', '002627.SZA', '300011.SZA', '603227.SHA']
买入002595.SZA
买入002457.SZA
买入002627.SZA
买入300011.SZA
买入603227.SHA
日期2020-01-03 持仓 {'002595.SZA': StockPosition(bkt000,002595.SZA,long,current_qty:500,avail_qty:500,cost_price:18.91,last_price:19.08), '002457.SZA': StockPosition(bkt000,002457.SZA,long,current_qty:1200,avail_qty:1200,cost_price:8.16,last_price:8.2), '002627.SZA': StockPosition(bkt000,002627.SZA,long,current_qty:1000,avail_qty:1000,cost_price:9.95,last_price:9.7699995), '300011.SZA': StockPosition(bkt000,300011.SZA,long,current_qty:1600,avail_qty:1600,cost_price:5.97,last_price:6.0400004), '603227.SHA': StockPosition(bkt000,603227.SHA,long,current_qty:2100,avail_qty:2100,cost_price:4.67,last_price:4.65)} -----------
2020-01-03 开盘卖出002595.SZA 500
2020-01-03 开盘卖出002457.SZA 1200
2020-01-03 开盘卖出002627.SZA 1000
2020-01-03 开盘卖出300011.SZA 1600
2020-01-03 开盘卖出603227.SHA 2100
2020-01-03 =======早盘计划买入股票 ['002494.SZA', '300239.SZA', '000023.SZA', '600882.SHA', '600992.SHA']
买入002494.SZA
买入300239.SZA
买入000023.SZA
买入600882.SHA
买入600992.SHA
日期2020-01-06 持仓 {'002494.SZA': StockPosition(bkt000,002494.SZA,long,current_qty:1600,avail_qty:1600,cost_price:6.0,last_price:5.86), '300239.SZA': StockPosition(bkt000,300239.SZA,long,current_qty:1900,avail_qty:1900,cost_price:5.04,last_price:5.19), '000023.SZA': StockPosition(bkt000,000023.SZA,long,current_qty:700,avail_qty:700,cost_price:13.2,last_price:13.36), '600882.SHA': StockPosition(bkt000,600882.SHA,long,current_qty:600,avail_qty:600,cost_price:14.71,last_price:14.899999), '600992.SHA': StockPosition(bkt000,600992.SHA,long,current_qty:1400,avail_qty:1400,cost_price:6.96,last_price:7.0299997)} -----------
2020-01-06 开盘卖出002494.SZA 1600
2020-01-06 开盘卖出300239.SZA 1900
2020-01-06 开盘卖出000023.SZA 700
2020-01-06 开盘卖出600882.SHA 600
2020-01-06 开盘卖出600992.SHA 1400
2020-01-06 =======早盘计划买入股票 ['300690.SZA', '300337.SZA', '300403.SZA', '002030.SZA', '002771.SZA']
买入300690.SZA
买入300337.SZA
买入300403.SZA
买入002030.SZA
买入002771.SZA
日期2020-01-07 持仓 {'300690.SZA': StockPosition(bkt000,300690.SZA,long,current_qty:300,avail_qty:300,cost_price:25.26,last_price:25.26), '300337.SZA': StockPosition(bkt000,300337.SZA,long,current_qty:3000,avail_qty:3000,cost_price:3.3,last_price:3.38), '300403.SZA': StockPosition(bkt000,300403.SZA,long,current_qty:1900,avail_qty:1900,cost_price:5.24,last_price:5.3900003), '002030.SZA': StockPosition(bkt000,002030.SZA,long,current_qty:800,avail_qty:800,cost_price:11.29,last_price:11.32), '002771.SZA': StockPosition(bkt000,002771.SZA,long,current_qty:800,avail_qty:800,cost_price:11.64,last_price:11.92)} -----------
2020-01-07 开盘卖出300690.SZA 300
2020-01-07 开盘卖出300337.SZA 3000
2020-01-07 开盘卖出300403.SZA 1900
2020-01-07 开盘卖出002030.SZA 800
2020-01-07 开盘卖出002771.SZA 800
2020-01-07 =======早盘计划买入股票 ['601666.SHA', '002548.SZA', '300737.SZA', '600818.SHA', '002191.SZA']
买入601666.SHA
买入002548.SZA
买入300737.SZA
买入600818.SHA
买入002191.SZA
日期2020-01-08 持仓 {'601666.SHA': StockPosition(bkt000,601666.SHA,long,current_qty:2400,avail_qty:2400,cost_price:4.09,last_price:4.16), '002548.SZA': StockPosition(bkt000,002548.SZA,long,current_qty:1000,avail_qty:1000,cost_price:9.45,last_price:9.62), '300737.SZA': StockPosition(bkt000,300737.SZA,long,current_qty:800,avail_qty:800,cost_price:12.39,last_price:12.61), '600818.SHA': StockPosition(bkt000,600818.SHA,long,current_qty:700,avail_qty:700,cost_price:13.41,last_price:13.080001), '002191.SZA': StockPosition(bkt000,002191.SZA,long,current_qty:800,avail_qty:800,cost_price:11.88,last_price:12.02)} -----------