#!/usr/bin/env python
# coding:utf-8
from PoboAPI import *
import datetime
import time
import numpy as np
from copy import *
import pandas as pd
#设定持仓细节数据表
#g.df = {}
g.df = pd.DataFrame(columns = ['date','code','price','volume','stoploss','iv'])
print(type(g.df))
g.a = []
g.b = []
# 设定最大显示行数、列数为10000
pd.set_option('display.max_rows', 10000)
pd.set_option('display.max_columns', 10000)
pd.set_option('display.width', 10000)
#获取合约剩余交易日期
def stime(op):
info1 = GetContractInfo(op)#获取合约信息
kill = info1['行权到期日']
#print (str(type(kill)))
cutime = GetCurrentTime()#获取当前时间
#调整时间格式
if cutime.day < 10:
cutim = str(cutime.year) + str(cutime.month) + '0' +str(cutime.day)
elif cutime.month < 10:
cutim = str(cutime.year) + '0' + str(cutime.month) +str(cutime.day)
else:
cutim = str(cutime.year) + str(cutime.month) +str(cutime.day)
n = (kill - cutime.date()).days #这里的到期日计算进行了更新
return n
#开始时间，用于初始化一些参数
def OnStart(context) :
context.myacc = None
#登录交易账号
if context.accounts["回测期权"].Login() :
context.myacc = context.accounts["回测期权"]
#每天行情初始化的，获取当前的50etf对应的平值期权
def OnMarketQuotationInitialEx(context, exchange,daynight):
#过滤掉非上交所的信号
if exchange != 'SHSE':
return
#获取期权标的
g.biaodi = '510050.SHSE'
klinedata = GetHisData2(g.biaodi,BarType.Day,count=60)
#print(klinedata)
lclose = klinedata[-1].close
#20日均线入场价
MA = GetIndicatorAsDF("MA",g.biaodi,params={60},bar_type = BarType.Day)
#print(MA.head())
close_20= MA.iloc[-1,4]
#print(close_20)
#print(lclose)
#获取当月平价认购期权
g.atmoc = GetAtmOptionContract(g.biaodi,0,lclose,0) #看涨
#print(g.atmoc)
#订阅日K线用来驱动onbar事件
SubscribeBar(g.atmoc,BarType.Day)
ab = close_20-lclose
close_save = lambda ab:lclose-ab if ab>0 else lclose+ab #看跌
#获取当月平价认购期权
g.atmopc_save = GetAtmOptionContract(g.biaodi,0,lclose,0)
#订阅日K线用来驱动onbar事件
SubscribeBar(g.atmopc_save,BarType.Day)
if g.df.empty:
pass
else:
g.df.drop_duplicates(['date','code','volume'])
#g.df = g.df.dropna(axis = 0)
#g.df = g.df.drop(xx,inplace = True)
#清空账号中不存在的合约
#查
a = g.df[g.df.volume == 0].index.tolist()
#print('a',a)
#删
g.df = g.df.drop(a,inplace = True)
#print('g.df',g.df)
#在k线出现的时候，如果没持仓就卖开，如果有就平仓
def OnBar(context,code,bartype):
if g.df is not None:
g.df.reset_index(drop=True)
else:
g.df = pd.DataFrame(columns = ['date','code','price','volume','stoploss','iv'])
# if g.df.isnull:
# pass
# else:
#xx = g.df[g.df.volume == 0].index.tolist()
#c=g.a+g.b
#g.df=g.df.drop(c)
# if g.df is None:
# pass
# else:
# g.df.drop_duplicates(['date','code','volume'])
# #g.df = g.df.dropna(axis = 0)
# #g.df = g.df.drop(xx,inplace = True)
# #清空账号中不存在的合约
# #查
# a = g.df[g.df.volume == 0].index.tolist()
# #删
# g.df = g.df.drop(a,inplace = True)
# if g.df is None:
# pass
# else:
# g.df['index1']=range(g.df.shape[0])
# g.df.set_index('index1')
print(g.df)
cash = context.accounts["回测期权"].AccountBalance.AvailableCashBalance
#下单手数
klinedatac = GetHisData2(g.atmoc,BarType.Day)
MA = GetIndicatorAsDF("MA",g.biaodi,params={60},bar_type = BarType.Day)
MA5_1= MA.iloc[-1,4]
Ma20= MA.iloc[-1,1]
Margin = OptionMargin(context.accounts["回测期权"],g.atmoc)
if klinedatac[-1] != 0.0001:
cshare = int(cash*0.2 / Margin)
#print("虚call价格：", cshare,g.atmoc,klinedatac[-1].close)
#获取所有持仓
optionc = PBObj()
optionc.buysellflag = '1'
posiC = context.accounts["回测期权"].GetPositions(optionc)
HV = GetVolatilityByCode(g.biaodi, start_date = None, end_date = None, count = 20, weight_type = 0)
b = CreateCalcObj()
g.biaodi = '510050.SHSE'
klinedata = GetHisData2(g.biaodi,BarType.Day,count=60)
#print(klinedata)
lclose = klinedata[-1].close
GetQuote(g.atmoc).now
#获取持仓合约的最新价
dyn1 = GetQuote(opcode1)
dyn2 = GetQuote(opcode2)
#获取持仓合约的行权价格和到期日
info1 = GetContractInfo(opcode1)
pr1 = info1['行权价格']
ki1 = info1['行权到期日']
info2 = GetContractInfo(opcode2)
pr2 = info2['行权价格']
#计算合约截至目前剩余天数
sy = stime(opcode1)
IV = b.GetImpliedVolatility(0,1,lcolse,2.7,0.22,0.04,HV,klinedatac[-1])
if (len(posiC) < 1 ) and stime(g.atmoc)>0 and MA5_1<Ma20 :
print("卖开")
#下单卖开,2表示最新价
#QuickInsertOrder(context.myacc,g.atmoc,'sell','open',PriceType(PbPriceType.Any),cshare)
df = GetPositionsAsDF(context.accounts["回测期权"],buysellflag='buy')
#print(df)
if df.empty:
QuickInsertOrder(context.myacc,g.atmoc,'sell','open',PriceType(PbPriceType.Any),cshare)
#g.a = g.df[(g.df.date ==g.df.iloc[i,1])& (g.df.code == g.df.iloc[i,0])&(g.df.volume==g.df.iloc[i,6] )].index.tolist()
#删
#g.df.loc[g.a,'volume']=0
td = GetCurrentTime()
#c = TradeDetails[price]
p=GetQuote(g.atmoc).now
cp=2*p
#print("第一次开仓价格",c)
df_insert = pd.DataFrame({'date':[td],
'code':[g.atmoc],
'price':[p],
'volume':[cshare],
'stoploss':[cp]})
g.df = g.df.append(df_insert,ignore_index = True)
else:
#s1 = context.accounts["回测期权"].GetPositions(g.atmoc).volume
for i in range(len(df)):
QuickInsertOrder(context.myacc,g.atmopc_save,'buy','close',PriceType(PbPriceType.Any),df.iloc[i,3])
g.a = g.df[(g.df['code'] == g.atmopc_save)&(g.df['volume']==df.iloc[i,2] )].index.tolist()
#删
g.df.loc[g.a,'volume']=0
QuickInsertOrder(context.myacc,g.atmoc,'sell','open',PriceType(PbPriceType.Any),cshare)
option = PBObj()
option.offsetflag = '1'
TradeDetails = context.accounts["回测期权"].GetTradeDetails(option)
#成交合约总行数
n = range(len(GetTradeDetailsAsDF(context.accounts["回测期权"]).index))
option = PBObj()
option.buysellflag = '1'
option.contract = g.atmoc
td = GetCurrentTime()
#c = TradeDetails[price]
c=GetQuote(g.atmoc).now
cp=2*c
#print("第一次开仓价格",c)
df_insert = pd.DataFrame({'date':[td],
'code':[g.atmoc],
'price':[c],
'volume':[cshare],
'stoploss':[cp]})
g.df = g.df.append(df_insert,ignore_index = True)
klinedatac = GetHisData2(g.atmopc_save,BarType.Day,count=20)
MA = GetIndicatorAsDF("MA",g.biaodi,params={60},bar_type = BarType.Day)
MA5_1= MA.iloc[-1,4]
Ma20= MA.iloc[-1,1]
Margin = OptionMargin(context.accounts["回测期权"],g.atmopc_save)
if klinedatac != 0.0001:
cshare = int(cash*0.2 / Margin)
optionp = PBObj()
optionp.buysellflag = '1'
posiP = context.accounts["回测期权"].GetPositions(optionp)
if (len(posiP) == 0 ) and stime(g.atmopc_save)>0 and MA5_1>Ma20:
print("卖开")
#下单卖开,2表示最新价
#QuickInsertOrder(context.myacc,g.atmopc_save,'sell','open',PriceType(PbPriceType.Any),cshare)
#s2 = context.accounts["回测期权"].GetPositions(g.atmopc_save).volume
df = GetPositionsAsDF(context.accounts["回测期权"],buysellflag='buy')
print(df)
print(" ")
print(g.df)
if df.empty:
QuickInsertOrder(context.myacc,g.atmopc_save,'sell','close',PriceType(PbPriceType.Any),cshare)
td = GetCurrentTime()
#c = TradeDetails[price]
p=GetQuote(g.atmopc_save).now
cp=2*p
#print("第一次开仓价格",c)
df_insert = pd.DataFrame({'date':[td],
'code':[g.atmopc_save],
'price':[p],
'volume':[cshare],
'stoploss':[cp]})
#g.a = g.df[(g.df.date ==g.df.iloc[i,1])& (g.df.code == g.df.iloc[i,0])&(g.df.volume==g.df.iloc[i,6] )].index.tolist()
#删
#g.df.loc[g.a,'volume']=0
else:
#s1 = context.accounts["回测期权"].GetPositions(g.atmoc).volume
for i in range(len(df)):
QuickInsertOrder(context.myacc,g.atmopc_save,'buy','close',PriceType(PbPriceType.Any),df.iloc[i,3])
g.a = g.df[(g.df['code'] == g.atmopc_save)&(g.df['volume']==df.iloc[i,2] )].index.tolist()
#删
g.df.loc[g.a,'volume']=0
QuickInsertOrder(context.myacc,g.atmopc_save,'sell','open',PriceType(PbPriceType.Any),cshare)
option = PBObj()
option.offsetflag = '0'
TradeDetails = context.accounts["回测期权"].GetTradeDetails(option)
#成交合约总行数
n = range(len(GetTradeDetailsAsDF(context.accounts["回测期权"]).index))
option = PBObj()
option.buysellflag = '1'
option.contract = g.atmopc_save
td = GetCurrentTime()
#c = TradeDetails[price]
p=GetQuote(g.atmopc_save).now
cp=2*p
#print("第一次开仓价格",c)
df_insert = pd.DataFrame({'date':[td],
'code':[g.atmopc_save],
'price':[p],
'volume':[cshare],
'stoploss':[cp]})
g.df = g.df.append(df_insert,ignore_index = True)
# #第二次开仓
# if (len(posiC) > 0 ) and stime(g.atmoc) ==20 and MA5_1<Ma20:
# print("卖开")
# #下单卖开,2表示最新价
# QuickInsertOrder(context.myacc,g.atmoc,'sell','open',PriceType(PbPriceType.Any),cshare)
# option = PBObj()
# option.offsetflag = '0'
# TradeDetails = context.accounts["回测期权"].GetTradeDetails(option)
# #成交合约总行数
# n = range(len(GetTradeDetailsAsDF(context.accounts["回测期权"]).index))
# option = PBObj()
# option.buysellflag = '0'
# option.contract = g.atmoc
# td = GetCurrentTime()
# #c = TradeDetails[price]
# c=GetQuote(g.atmoc).now
# cp=2*c
# df_insert = pd.DataFrame({'date':[td],
# 'code':[g.atmoc],
# 'price':[c],
# 'volume':[cshare],
# 'stoploss':[cp]})
# g.df = g.df.append(df_insert,ignore_index = True)
# #第3次开仓
# if (len(posiC) > 0 ) and stime(g.atmoc) ==10 and MA5_1<Ma20:
# print("卖开")
# #下单卖开,2表示最新价
# QuickInsertOrder(context.myacc,g.atmoc,'sell','open',PriceType(PbPriceType.Any),cshare)
# option = PBObj()
# option.offsetflag = '0'
# TradeDetails = context.accounts["回测期权"].GetTradeDetails(option)
# #成交合约总行数
# n = range(len(GetTradeDetailsAsDF(context.accounts["回测期权"]).index))
# option = PBObj()
# option.buysellflag = '0'
# option.contract = g.atmoc
# td = GetCurrentTime()
# #c = TradeDetails[price]
# c=GetQuote(g.atmoc).now
# cp=2*c
# #print("第一次开仓价格",c)
# df_insert = pd.DataFrame({'date':[td],
# 'code':[g.atmoc],
# 'price':[c],
# 'volume':[cshare],
# 'stoploss':[cp]})
# g.df = g.df.append(df_insert,ignore_index = True)
#z止损研究
#下单卖开,2表示最新价
"""
if len(g.df.index) > 0:
for x in range(len(g.df.index)):
position = str(g.df.iloc[x,0])
if position != None and GetQuote(position)!=None:
l = GetQuote(position).now
#内在价格
BSPrice = GetOptionBSPriceByCode(g.atmoc, stime(position), pricetype = "lastclose", r = 0.03)
#时间价值
Tprice = l - BSPrice
if l != None :
#亏损大于时间价值，开始准备
if stime(position) != 0 and \
l - g.df.iloc[x,4] > 0:
# print("平仓")
# QuickInsertOrder(context.myacc,g.df.iloc[x,0],'sell','close',PriceType(PbPriceType.Any),g.df.iloc[x,6])
# print("代码",position)
# print("进场日期",g.df.iloc[x,1])
# print("手数",g.df.iloc[x,6])
# print("进厂价",g.df.iloc[x,4],"当期价格",l)
# print("当前日期",GetCurrentTime())
self.log('开始止损')
QuickInsertOrder(context.myacc,g.atmopc_save,'buy','open',PriceType(PbPriceType.Any),g.df.iloc[x,6])
#查
#g.a = g.df[(g.df.date ==g.df.iloc[x,1])& (g.df.code == g.df.iloc[x,0])&(g.df.volume==g.df.iloc[x,6] )].index.tolist()
#删
# g.df.loc[g.a,'volume']=0
elif stime(position) == 0 :
print("到期")
QuickInsertOrder(context.myacc,g.df.iloc[x,0],'sell','close',PriceType(PbPriceType.Any),g.df.iloc[x,6])
QuickInsertOrder(context.myacc,g.df.iloc[x,0],'buy','close',PriceType(PbPriceType.Any),g.df.iloc[x,6])
#查
g.b = g.df[(g.df.date ==g.df.iloc[x,1])& (g.df.code == g.df.iloc[x,0])&(g.df.volume==g.df.iloc[x,6] )].index.tolist()
#删
g.df.loc[g.b,'volume']=0
else:
pass
else:
pass
else:
pass
else:
pass
"""
50 Option Trend Sellers
Guess you like
Origin http://43.154.161.224:23101/article/api/json?id=324322891&siteId=291194637
Recommended
Ranking