# 导入相应包
from biglearning.api import M
import math 
from bigtrader.sdk import *
import pandas as pd
import warnings
warnings.filterwarnings('ignore')

def initialize(context):
    """策略初始化函数，只触发一次。可以在该函数中初始化一些变量，如读取配置和全局使用数据"""
    #输出关键日志
    msg = "initialize:" 
    context.write_log(msg, stdout=1)
    #从传入参数中获取需要交易的合约
    context.ins = context.instruments
    # 均线长度
    context.ma_length =  63

def before_trading(context, data):
    """盘前处理，策略盘前交易函数，每日盘前触发一次。可以在该函数中一些启动前的准备，如订阅行情等"""
    # 输出关键日志
    msg = "before_trading"
    context.write_log(msg, stdout=1)
    # 订阅要交易的合约的行情
    context.subscribe_bar(context.ins, '1m')

def handle_data(context, data):
    #获取当前时间
    cur_date =  data.current_dt
    for instr in context.ins:
        # 分别获取多头持仓和空头持仓，主要使用 current_qty 和 avail_qty 两个属性
        position_long = context.get_position(instr, Direction.LONG)
        position_short = context.get_position(instr, Direction.SHORT)

        # 最新价格
        price = data.current(instr, "close")
        #获取30根1m历史数据数据
        hist = context.history_data(instr, ["open","high","low","close"], context.ma_length+5, "1m")
        # 计算均值
        ma = pd.Series(hist['close']).rolling(context.ma_length).mean()  

        #价格向上穿越20均线
        if ma.iloc[-2] > price and price > ma.iloc[-1] :
            #有空单的先平掉
            if (position_short.avail_qty != 0):
                rv = context.buy_close(instr, position_short.avail_qty, price, order_type=OrderType.MARKET)
                msg = "{} 平空 for {}  最新价={} 下单函数返回={}".format(cur_date,instr,str(price),str(rv))
                context.write_log(msg, stdout=0)
            #没有多单则开多1手
            if (position_long.avail_qty == 0):
                rv = context.buy_open(instr, 1, price, order_type=OrderType.MARKET)
                msg = "{} 开多 for {}  最新价={} 下单函数返回={}".format(cur_date,instr,str(price),str(rv))
                context.write_log(msg, stdout=0) 
        #价格向下穿越20均线
        if ma.iloc[-2] < price and price < ma.iloc[-1]:
            #有多单的先平掉
            if (position_long.avail_qty != 0):
                rv = context.sell_close(instr, position_long.avail_qty, price, order_type=OrderType.MARKET)
                msg = "{} 平多 for {}  最新价={} 下单函数返回={}".format(cur_date,instr,str(price),str(rv))
                context.write_log(msg, stdout=0)
            #没有空单则开空1手    
            if (position_short.avail_qty == 0):
                rv = context.sell_open(instr, 1, price, order_type=OrderType.MARKET)
                msg = "{} 开空 for {}  最新价={} 下单函数返回={}".format(cur_date,instr,str(price),str(rv))
                context.write_log(msg, stdout=0)    
            
def handle_order(context, order):
    """委托回报通知函数，每个订单状态有变化时会触发"""
    #输出关键日志
    msg = "handle_order data:{}".format(order.log_str())
    context.write_log(msg, stdout=0) 
    
def handle_trade(context, trade):
    """成交回报通知函数，有成交时会触发"""
    #输出关键日志
    msg = "handle_trade data:{}".format(trade.log_str())
    context.write_log(msg, stdout=0) 

# 回测标的
instruments = ["SR2309.CZC","C2309.DCE"]

start_date = "2023-03-20"
end_date = "2023-05-01"
md = M.hftrade.v2(start_date=start_date, #回测开始时间
                end_date=end_date, #回测结束时间
                instruments=instruments, #合约列表
                capital_base=100000, #初始资金
                product_type=Product.FUTURE,
                frequency=Frequency.MINUTE,  #回测频率
                initialize=initialize,
                before_trading_start=before_trading,
                handle_data=handle_data,
                handle_order=handle_order,
                handle_trade=handle_trade,
                plot_charts=True, #画出回测结果分析图
                disable_cache=0, #启用缓存加速
                show_debug_info=1, #打印debug日志
                before_start_days=10   
                )