{"description":"实验创建于2021/12/6","graph":{"edges":[{"to_node_id":"-227:instruments","from_node_id":"-216:data"}],"nodes":[{"node_id":"-216","module_id":"BigQuantSpace.instruments.instruments-v2","parameters":[{"name":"start_date","value":"2020-12-01","type":"Literal","bound_global_parameter":null},{"name":"end_date","value":"2021-06-01","type":"Literal","bound_global_parameter":null},{"name":"market","value":"CN_FUTURE","type":"Literal","bound_global_parameter":null},{"name":"instrument_list","value":"RU2109.SHF","type":"Literal","bound_global_parameter":null},{"name":"max_count","value":0,"type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"rolling_conf","node_id":"-216"}],"output_ports":[{"name":"data","node_id":"-216"}],"cacheable":true,"seq_num":1,"comment":"","comment_collapsed":true},{"node_id":"-227","module_id":"BigQuantSpace.hftrade.hftrade-v2","parameters":[{"name":"start_date","value":"","type":"Literal","bound_global_parameter":null},{"name":"end_date","value":"","type":"Literal","bound_global_parameter":null},{"name":"initialize","value":"# 交易引擎：初始化函数，只执行一次\ndef bigquant_run(context):\n # 加载预测数据\n print(\"initialize\") \n context.ins = context.instruments[0]#从传入参数中获取需要交易的合约\n context.order_num = 1#下单手数\n context.set_universe(context.ins)#设置需要处理的合约\n context.last_grid = 0 # 储存前一个网格所处区间，用来和最新网格所处区间作比较\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","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.subscribe(context.ins) #注册合约\n\n # 记录上一次交易时网格范围的变化情况（例如从4区到5区，记为4,5）\n context.grid_change_last = [0,0]\n # 以前一日的收盘价为中枢价格\n context.center = data.history(context.ins,[\"close\"],1,\"1d\").iat[0,0]","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":"def bigquant_run(context, data):\n from datetime import datetime,timedelta\n cur_date = data.current_dt\n cur_hm = cur_date.strftime('%H:%M') #time \n \n # 分别获取多头持仓和空头持仓\n position_long = context.get_position(context.ins, Direction.LONG)\n position_short = context.get_position(context.ins, Direction.SHORT)\n # 获取当前价格\n price = data.current(context.ins, \"close\")\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 #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 rv = context.sell_close(context.ins, position_long.avail_qty, price, order_type=OrderType.MARKET)\n msg = \"{} 尾盘平多 for {} 最新价={} 下单函数返回={}\".format(str(data.current_dt),context.ins,str(price),str(rv))\n context.write_log(msg, stdout=1) #输出关键日志\n if(position_short.current_qty != 0):\n rv = context.buy_close(context.ins, position_short.avail_qty, price, order_type=OrderType.MARKET)\n msg = \"{} 尾盘平空 for {} 最新价={} 下单函数返回={}\".format(str(data.current_dt),context.ins,str(price),str(rv))\n context.write_log(msg, stdout=1) #输出关键日志\n #尾盘不开新仓，直接返回\n return\n \n # 设置网格和当前价格所处的网格区域\n band = np.array([0.91, 0.92, 0.93, 0.94, 0.95, 0.96, 0.97, 0.98, 0.99, 1, 1.01, 1.02, 1.03, 1.04, 1.05, 1.06, 1.07, 1.08, 1.09]) * context.center\n grid = pd.cut([price], band, labels=[1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18])[0]\n # 如果价格超出网格设置范围，则提示调节网格宽度和数量\n if np.isnan(grid):\n context.write_log(\"价格波动超过网格范围，可适当调节网格宽度和数量\", stdout=1) #输出关键日志\n # 如果新的价格所处网格区间和前一个价格所处的网格区间不同，说明触碰到了网格线，需要进行交易\n # 如果新网格大于前一天的网格，做空或平多\n if context.last_grid < grid:\n # 记录新旧格子范围（按照大小排序）\n grid_change_new = [context.last_grid,grid]\n # 几种例外：\n # 当last_grid = 0 时是初始阶段，不构成信号\n # 如果此时grid = 3，说明当前价格仅在开盘价之下的3区域中，没有突破网格线\n # 如果此时grid = 4，说明当前价格仅在开盘价之上的4区域中，没有突破网格线\n if context.last_grid == 0:\n context.last_grid = grid\n return\n if context.last_grid != 0:\n # 如果前一次开仓是4-5，这一次是5-4，算是没有突破，不成交\n if grid_change_new != context.grid_change_last:\n # 更新前一次的数据\n context.last_grid = grid\n context.grid_change_last = grid_change_new\n # 如果有多仓，平多\n if position_long.current_qty != 0:\n rv = context.sell_close(context.ins,context.order_num, price, order_type=OrderType.MARKET)\n msg = \"{} 平多 for {} 最新价={} 下单函数返回={}\".format(str(data.current_dt),context.ins,str(price),str(rv))\n context.write_log(msg, stdout=1) #输出关键日志\n # 否则，做空\n if not position_long.current_qty != 0:\n rv = context.sell_open(context.ins, context.order_num, price, order_type=OrderType.MARKET)\n msg = \"{} 开空 for {} 最新价={} 下单函数返回={}\".format(str(data.current_dt),context.ins,str(price),str(rv))\n context.write_log(msg, stdout=1) #输出关键日志\n \n # 如果新网格小于前一天的网格，做多或平空\n if context.last_grid > grid:\n # 记录新旧格子范围（按照大小排序）\n grid_change_new = [grid,context.last_grid]\n # 几种例外：\n # 当last_grid = 0 时是初始阶段，不构成信号\n # 如果此时grid = 3，说明当前价格仅在开盘价之下的3区域中，没有突破网格线\n # 如果此时grid = 4，说明当前价格仅在开盘价之上的4区域中，没有突破网格线\n if context.last_grid == 0:\n context.last_grid = grid\n return\n if context.last_grid != 0:\n # 如果前一次开仓是4-5，这一次是5-4，算是没有突破，不成交\n if grid_change_new != context.grid_change_last:\n # 更新前一次的数据\n context.last_grid = grid\n context.grid_change_last = grid_change_new\n # 如果有空仓，平空\n if position_short.current_qty != 0:\n rv = context.buy_close(context.ins, context.order_num, price, order_type=OrderType.MARKET)\n msg = \"{} 平空 for {} 最新价={} 下单函数返回={}\".format(str(data.current_dt),context.ins,str(price),str(rv))\n context.write_log(msg, stdout=1) #输出关键日志\n # 否则，做多\n if not position_short:\n rv = context.buy_open(context.ins, context.order_num, price, order_type=OrderType.MARKET)\n msg = \"{} 开多 for {} 最新价={} 下单函数返回={}\".format(str(data.current_dt),context.ins,str(price),str(rv))\n context.write_log(msg, stdout=1) #输出关键日志\n \n # 设计一个止损条件：当持仓量达到10手，全部平仓\n if position_long.current_qty == 10 or position_long.current_qty == 10:\n context.write_log('触发止损，全部平仓', stdout=1) #输出关键日志\n if(position_long.current_qty != 0):\n rv = context.sell_close(context.ins, position_long.avail_qty, price, order_type=OrderType.MARKET)\n msg = \"{} 止损平多 for {} 最新价={} 下单函数返回={}\".format(str(data.current_dt),context.ins,str(price),str(rv))\n context.write_log(msg, stdout=1) #输出关键日志\n if(position_short.current_qty != 0):\n rv = context.buy_close(context.ins, position_short.avail_qty, price, order_type=OrderType.MARKET)\n msg = \"{} 止损平空 for {} 最新价={} 下单函数返回={}\".format(str(data.current_dt),context.ins,str(price),str(rv))\n context.write_log(msg, stdout=1) #输出关键日志\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 msg = \"handle_trade data:{}\".format(data.log_str())\n context.write_log(msg, stdout=1) \n # 分别获取最新的多头持仓和空头持仓\n position_long = context.get_position(data.symbol, Direction.LONG)\n position_short = context.get_position(data.symbol, Direction.SHORT)\n msg = \"当前多头持仓:{} 当前空头持仓:{}\".format(str(position_long),str(position_short))\n context.write_log(msg, stdout=1)\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 pass\n","type":"Literal","bound_global_parameter":null},{"name":"capital_base","value":"50000","type":"Literal","bound_global_parameter":null},{"name":"frequency","value":"minute","type":"Literal","bound_global_parameter":null},{"name":"price_type","value":"真实价格","type":"Literal","bound_global_parameter":null},{"name":"product_type","value":"期货","type":"Literal","bound_global_parameter":null},{"name":"before_start_days","value":"0","type":"Literal","bound_global_parameter":null},{"name":"order_price_field_buy","value":"open","type":"Literal","bound_global_parameter":null},{"name":"order_price_field_sell","value":"close","type":"Literal","bound_global_parameter":null},{"name":"benchmark","value":"000300.HIX","type":"Literal","bound_global_parameter":null},{"name":"plot_charts","value":"True","type":"Literal","bound_global_parameter":null},{"name":"disable_cache","value":"False","type":"Literal","bound_global_parameter":null},{"name":"replay_bdb","value":"False","type":"Literal","bound_global_parameter":null},{"name":"show_debug_info","value":"False","type":"Literal","bound_global_parameter":null},{"name":"backtest_only","value":"False","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"instruments","node_id":"-227"},{"name":"options_data","node_id":"-227"},{"name":"history_ds","node_id":"-227"},{"name":"benchmark_ds","node_id":"-227"}],"output_ports":[{"name":"raw_perf","node_id":"-227"}],"cacheable":false,"seq_num":2,"comment":"","comment_collapsed":true}],"node_layout":"<node_postions><node_position Node='-216' Position='-78,22,200,200'/><node_position Node='-227' Position='-78,132,200,200'/></node_postions>"},"nodes_readonly":false,"studio_version":"v2"}

# 本代码由可视化策略环境自动生成 2022年6月5日 22:36
# 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):
    # 加载预测数据
    print("initialize")  
    context.ins = context.instruments[0]#从传入参数中获取需要交易的合约
    context.order_num = 1#下单手数
    context.set_universe(context.ins)#设置需要处理的合约
    context.last_grid = 0 # 储存前一个网格所处区间，用来和最新网格所处区间作比较
    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.subscribe(context.ins) #注册合约

    # 记录上一次交易时网格范围的变化情况（例如从4区到5区，记为4,5）
    context.grid_change_last = [0,0]
    # 以前一日的收盘价为中枢价格
    context.center = data.history(context.ins,["close"],1,"1d").iat[0,0]
# 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):
    pass

def m2_handle_data_bigquant_run(context, data):
    from datetime import datetime,timedelta
    cur_date =  data.current_dt
    cur_hm = cur_date.strftime('%H:%M') #time  
    
    # 分别获取多头持仓和空头持仓
    position_long = context.get_position(context.ins, Direction.LONG)
    position_short = context.get_position(context.ins, Direction.SHORT)
    # 获取当前价格
    price = data.current(context.ins, "close")
    
    #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):
            rv = context.sell_close(context.ins, position_long.avail_qty, price, order_type=OrderType.MARKET)
            msg = "{} 尾盘平多 for {}  最新价={} 下单函数返回={}".format(str(data.current_dt),context.ins,str(price),str(rv))
            context.write_log(msg, stdout=1) #输出关键日志
        if(position_short.current_qty != 0):
            rv = context.buy_close(context.ins, position_short.avail_qty, price, order_type=OrderType.MARKET)
            msg = "{} 尾盘平空 for {}  最新价={} 下单函数返回={}".format(str(data.current_dt),context.ins,str(price),str(rv))
            context.write_log(msg, stdout=1) #输出关键日志
        #尾盘不开新仓，直接返回
        return
        
    # 设置网格和当前价格所处的网格区域
    band = np.array([0.91, 0.92, 0.93, 0.94, 0.95, 0.96, 0.97, 0.98, 0.99, 1, 1.01, 1.02, 1.03, 1.04, 1.05, 1.06, 1.07, 1.08, 1.09]) * context.center
    grid = pd.cut([price], band, labels=[1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18])[0]
    # 如果价格超出网格设置范围，则提示调节网格宽度和数量
    if np.isnan(grid):
        context.write_log("价格波动超过网格范围，可适当调节网格宽度和数量", stdout=1) #输出关键日志
    # 如果新的价格所处网格区间和前一个价格所处的网格区间不同，说明触碰到了网格线，需要进行交易
    # 如果新网格大于前一天的网格，做空或平多
    if context.last_grid < grid:
        # 记录新旧格子范围（按照大小排序）
        grid_change_new = [context.last_grid,grid]
        # 几种例外：
        # 当last_grid = 0 时是初始阶段，不构成信号
        # 如果此时grid = 3，说明当前价格仅在开盘价之下的3区域中，没有突破网格线
        # 如果此时grid = 4，说明当前价格仅在开盘价之上的4区域中，没有突破网格线
        if context.last_grid == 0:
            context.last_grid = grid
            return
        if context.last_grid != 0:
            # 如果前一次开仓是4-5，这一次是5-4，算是没有突破，不成交
            if grid_change_new != context.grid_change_last:
                # 更新前一次的数据
                context.last_grid = grid
                context.grid_change_last = grid_change_new
                # 如果有多仓，平多
                if position_long.current_qty != 0:
                    rv = context.sell_close(context.ins,context.order_num, price, order_type=OrderType.MARKET)
                    msg = "{} 平多 for {}  最新价={} 下单函数返回={}".format(str(data.current_dt),context.ins,str(price),str(rv))
                    context.write_log(msg, stdout=1) #输出关键日志
                # 否则，做空
                if not position_long.current_qty != 0:
                    rv = context.sell_open(context.ins, context.order_num, price, order_type=OrderType.MARKET)
                    msg = "{} 开空 for {}  最新价={} 下单函数返回={}".format(str(data.current_dt),context.ins,str(price),str(rv))
                    context.write_log(msg, stdout=1) #输出关键日志
                    
    # 如果新网格小于前一天的网格，做多或平空
    if context.last_grid > grid:
        # 记录新旧格子范围（按照大小排序）
        grid_change_new = [grid,context.last_grid]
        # 几种例外：
        # 当last_grid = 0 时是初始阶段，不构成信号
        # 如果此时grid = 3，说明当前价格仅在开盘价之下的3区域中，没有突破网格线
        # 如果此时grid = 4，说明当前价格仅在开盘价之上的4区域中，没有突破网格线
        if context.last_grid == 0:
            context.last_grid = grid
            return
        if context.last_grid != 0:
            # 如果前一次开仓是4-5，这一次是5-4，算是没有突破，不成交
            if grid_change_new != context.grid_change_last:
                # 更新前一次的数据
                context.last_grid = grid
                context.grid_change_last = grid_change_new
                # 如果有空仓，平空
                if position_short.current_qty != 0:
                    rv = context.buy_close(context.ins, context.order_num, price, order_type=OrderType.MARKET)
                    msg = "{} 平空 for {}  最新价={} 下单函数返回={}".format(str(data.current_dt),context.ins,str(price),str(rv))
                    context.write_log(msg, stdout=1) #输出关键日志
                # 否则，做多
                if not position_short:
                    rv = context.buy_open(context.ins, context.order_num, price, order_type=OrderType.MARKET)
                    msg = "{} 开多 for {}  最新价={} 下单函数返回={}".format(str(data.current_dt),context.ins,str(price),str(rv))
                    context.write_log(msg, stdout=1) #输出关键日志
                        
    # 设计一个止损条件：当持仓量达到10手，全部平仓
    if position_long.current_qty == 10 or position_long.current_qty == 10:
        context.write_log('触发止损，全部平仓', stdout=1) #输出关键日志
        if(position_long.current_qty != 0):
            rv = context.sell_close(context.ins, position_long.avail_qty, price, order_type=OrderType.MARKET)
            msg = "{} 止损平多 for {}  最新价={} 下单函数返回={}".format(str(data.current_dt),context.ins,str(price),str(rv))
            context.write_log(msg, stdout=1) #输出关键日志
        if(position_short.current_qty != 0):
            rv = context.buy_close(context.ins, position_short.avail_qty, price, order_type=OrderType.MARKET)
            msg = "{} 止损平空 for {}  最新价={} 下单函数返回={}".format(str(data.current_dt),context.ins,str(price),str(rv))
            context.write_log(msg, stdout=1) #输出关键日志

# 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='2020-12-01',
    end_date='2021-06-01',
    market='CN_FUTURE',
    instrument_list='RU2109.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=50000,
    frequency='minute',
    price_type='真实价格',
    product_type='期货',
    before_start_days='0',
    order_price_field_buy='open',
    order_price_field_sell='close',
    benchmark='000300.HIX',
    plot_charts=True,
    disable_cache=False,
    replay_bdb=False,
    show_debug_info=False,
    backtest_only=False
)