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# 本代码由可视化策略环境自动生成 2023年11月18日 15:06
# 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 m6_initialize_bigquant_run(context):
    # 加载预测数据
    context.df = context.options['data'].read_df()

# 交易引擎：每个单位时间开盘前调用一次。
def m6_before_trading_start_bigquant_run(context, data):
    # 盘前处理，订阅行情等
    pass

# 交易引擎：tick数据处理函数，每个tick执行一次
def m6_handle_tick_bigquant_run(context, tick):
    pass

# 交易引擎：bar数据处理函数，每个时间单位执行一次
def m6_handle_data_bigquant_run(context, data):
    dt = data.current_dt.strftime('%Y-%m-%d')
    df = context.df[context.df['date']==dt]
    instrument = context.instruments[0]
    mean50 = df['mean50'].values[0]
    mean5 = df['mean5'].values[0]
    
    # 持仓信息
    holding = list(context.get_account_positions().keys())
    
    # 若长线大于短线且有持仓
    if mean50 > mean5 and instrument in holding:
        context.order_target(instrument, 0)
    
    # 若短线大于长线且没有持仓
    if mean5 > mean50 and instrument not in holding:
        context.order_target_percent(instrument, 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 m6_handle_trade_bigquant_run(context, trade):
    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 m6_handle_order_bigquant_run(context, order):
    pass

# 交易引擎：盘后处理函数，每日盘后执行一次
def m6_after_trading_bigquant_run(context, data):
    pass


m1 = M.instruments.v2(
    start_date='2017-11-24',
    end_date='2021-11-24',
    market='CN_STOCK_A',
    instrument_list='600519.SHA',
    max_count=0
)

m3 = M.input_features.v1(
    features="""
# #号开始的表示注释，注释需单独一行
# 多个特征，每行一个，可以包含基础特征和衍生特征，特征须为本平台特征
mean5=mean(close_0,5)
mean50=mean(close_0,50)"""
)

m4 = M.general_feature_extractor.v7(
    instruments=m1.data,
    features=m3.data,
    start_date='',
    end_date='',
    before_start_days=90
)

m5 = M.derived_feature_extractor.v3(
    input_data=m4.data,
    features=m3.data,
    date_col='date',
    instrument_col='instrument',
    drop_na=False,
    remove_extra_columns=False,
    user_functions={}
)

m6 = M.hftrade.v2(
    instruments=m1.data,
    options_data=m5.data,
    start_date='',
    end_date='',
    initialize=m6_initialize_bigquant_run,
    before_trading_start=m6_before_trading_start_bigquant_run,
    handle_tick=m6_handle_tick_bigquant_run,
    handle_data=m6_handle_data_bigquant_run,
    handle_trade=m6_handle_trade_bigquant_run,
    handle_order=m6_handle_order_bigquant_run,
    after_trading=m6_after_trading_bigquant_run,
    capital_base=1000000,
    frequency='daily',
    price_type='真实价格',
    product_type='股票',
    before_start_days='0',
    volume_limit=1,
    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
)

[2023-11-18 13:19:23.476164] INFO: moduleinvoker: instruments.v2 开始运行..

[2023-11-18 13:19:23.498919] INFO: moduleinvoker: 命中缓存

[2023-11-18 13:19:23.502719] INFO: moduleinvoker: instruments.v2 运行完成[0.026562s].

[2023-11-18 13:19:23.537725] INFO: moduleinvoker: input_features.v1 开始运行..

[2023-11-18 13:19:23.548980] INFO: moduleinvoker: 命中缓存

[2023-11-18 13:19:23.552313] INFO: moduleinvoker: input_features.v1 运行完成[0.014592s].

[2023-11-18 13:19:23.593797] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..

[2023-11-18 13:19:23.603851] INFO: moduleinvoker: 命中缓存

[2023-11-18 13:19:23.608503] INFO: moduleinvoker: general_feature_extractor.v7 运行完成[0.014712s].

[2023-11-18 13:19:23.635511] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..

[2023-11-18 13:19:23.645579] INFO: moduleinvoker: 命中缓存

[2023-11-18 13:19:23.648875] INFO: moduleinvoker: derived_feature_extractor.v3 运行完成[0.013375s].

[2023-11-18 13:19:23.748633] INFO: moduleinvoker: hfbacktest.v1 开始运行..

[2023-11-18 13:19:25.881156] INFO: hfbacktest: biglearning V1.5.4

[2023-11-18 13:19:25.883987] INFO: hfbacktest: bigtrader v1.10.5 2023-11-12

[2023-11-18 13:19:26.030448] INFO: moduleinvoker: cached.v2 开始运行..

[2023-11-18 13:19:26.039222] INFO: moduleinvoker: 命中缓存

[2023-11-18 13:19:26.042628] INFO: moduleinvoker: cached.v2 运行完成[0.012202s].

[2023-11-18 13:19:26.243977] INFO: moduleinvoker: cached.v2 开始运行..

[2023-11-18 13:19:29.725527] INFO: moduleinvoker: cached.v2 运行完成[3.481533s].

[2023-11-18 13:19:46.059379] INFO: hfbacktest: backtest done, raw_perf_ds:DataSource(1ee5c5f9b0be4a1491651aa32dcd514fT)

[2023-11-18 13:19:51.372288] INFO: moduleinvoker: hfbacktest.v1 运行完成[27.623649s].

[2023-11-18 13:19:51.379704] INFO: moduleinvoker: hftrade.v2 运行完成[27.695828s].

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