涨停取消卖单
由yvan0617创建，最终由yvan0617 被浏览 291 用户
如果当天涨停了，尾盘不想卖出，可以取消前日产生的卖单。具体方法是在回测模块的盘前处理函数中加入当天涨停的判断，如果是涨停就取消订单
样例策略
https://bigquant.com/experimentshare/d7cc3ce49f8848e3b6e85d03a5b16e7b
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回测模块评论
- \[2022-07-24 22:23:36.953216\] ERROR: moduleinvoker: module name: backtest, module version: v8, trackeback: IndexError: index 0 is out of bounds for axis 0 with size 0
\[2022-07-24 22:23:36.961486\] ERROR: moduleinvoker: module name: trade, module version: v4, trackeback: IndexError: index 0 is out of bounds for axis 0 with size 0
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IndexError Traceback (most recent call last)
in 260 ) 261 \--> 262 m4 = M.trade.v4( 263 instruments=m9.data, 264 options_data=m8.predictions, in m4_handle_data_bigquant_run(context, data) 55 name_today = name_df\[name_df.date==today\] 56 for instrument in equities: \---> 57 name_instrument = name_today\[name_today.instrument==instrument\]\['name'\].values\[0\] 58 # 如果股票状态变为了st 则卖出 59 if 'ST' in name_instrument or '退' in name_instrument: IndexError: index 0 is out of bounds for axis 0 with size 0 \ 除了日期其他的地方都没动，运行之后出现如上错误，’记录持仓中st的股票’这段应该是输入的矩阵有问题，但是应该怎么改呢？ - 如果持仓为空，这个程序就会报错。建议加上判别equities是否为空的逻辑 # ``` # 1. 资金分配 # 平均持仓时间是hold_days，每日都将买入股票，每日预期使用 1/hold_days 的资金 # 实际操作中，会存在一定的买入误差，所以在前hold_days天，等量使用资金；之后，尽量使用剩余资金（这里设置最多用等量的1.5倍） is_staging = context.trading_day_index < context.options['hold_days'] # 是否在建仓期间（前 hold_days 天） cash_avg = context.portfolio.portfolio_value / context.options['hold_days'] cash_for_buy = min(context.portfolio.cash, (1 if is_staging else 1.5) * cash_avg) cash_for_sell = cash_avg - (context.portfolio.cash - cash_for_buy) positions = {e.symbol: p.amount * p.last_sale_price for e, p in context.portfolio.positions.items()} equities = {e.symbol: e for e, p in context.portfolio.positions.items()} if len(equities) == 0: print("equities are empty :",today) else: # 记录持仓中st的股票 st_stock_list = [] name_df = context.name_df name_today = name_df[name_df.date==today] for instrument in equities: name_instrument = name_today[name_today.instrument==instrument]['name'].values[0] # 如果股票状态变为了st 则卖出 if 'ST' in name_instrument or '退' in name_instrument: # 指定一个limit_price,此时会以开盘价成交，这是由于初始化函数中改写了下单价格 context.order_target(context.symbol(instrument), 0, limit_price=1.0) st_stock_list.append(instrument) cash_for_sell -= positions[instrument] if st_stock_list!=[]: print(today,'持仓出现st股/退市股',st_stock_list,'进行卖出处理') # 2. 生成卖出订单：hold_days天之后才开始卖出；对持仓的股票，按机器学习算法预测的排序末位淘汰 if not is_staging and cash_for_sell > 0: instruments = list(reversed(list(ranker_prediction.instrument[ranker_prediction.instrument.apply( lambda x: x in equities)]))) price_limit_status = context.price_limit_status status_today = price_limit_status[price_limit_status.date==today] for instrument in instruments: # 如果是st股票已经卖过了，就跳过 if instrument in st_stock_list: continue # 如果涨停就跳过股票 status_instrument = status_today[status_today.instrument==instrument]['price_limit_status'].values[0] if status_instrument>2: continue context.order_target(context.symbol(instrument),0) cash_for_sell -= positions[instrument] if cash_for_sell <= 0: break # 3. 生成买入订单：按机器学习算法预测的排序，买入前面的stock_count只股票 buy_cash_weights = context.stock_weights buy_instruments = list(ranker_prediction.instrument[:len(buy_cash_weights)]) max_cash_per_instrument = context.portfolio.portfolio_value * context.max_cash_per_instrument for i, instrument in enumerate(buy_instruments): cash = cash_for_buy * buy_cash_weights[i] if cash > max_cash_per_instrument - positions.get(instrument, 0): # 确保股票持仓量不会超过每次股票最大的占用资金量 cash = max_cash_per_instrument - positions.get(instrument, 0) if cash > 0: context.order_value(context.symbol(instrument), cash) ``` \
- 解决了，谢谢。