【接单】成交量异动做空
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from bigquant import bigtrader, dai
from bigtrader.constant import Direction, OrderType, SlippageType
from bigtrader.finance.commission import PerContract
import pandas as pd
# ================= 策略参数设置 =================
START = "2024-01-01"
END = "2024-12-31"
BASE_INSTS = ["rb8888.SHF"]
# 80亿成交额阈值
TURNOVER_THRESHOLD = 8e9
LIQ_N = 20
VOL_MULTIPLE = 5.0
POS_PCT = 0.10
STOP_LOSS_PCT = 0.01
SLIPPAGE_TICKS = 2
# ===============================================
def load_product_info_map():
prod = dai.query("""
SELECT
code, commiss