#!/usr/bin/env python
# coding:utf-8
from PoboAPI import *
import datetime
import time
import numpy as np
import pandas as pd
#日线级别
#开始时间,用于初始化一些参数
def OnStart(context):
print("I\'m starting...")
#设定一个全局变量品种,本策略交易菜粕期权
g.code = GetMainContract('CZCE', 'RM',20)
#持仓成本价
g.costp = 0
g.costc = 0
#价格
g.c1 = 0
g.c2 = 0
#是否开仓
g.gc=0
g.gp=0
#登录交易账号,需在主页用户管理中设置账号,并把回测期权替换成您的账户名称
context.myacc = None
if "回测期货" in context.accounts :
print("登录交易账号[回测期货]")
if context.accounts["回测期货"].Login() :
context.myacc = context.accounts["回测期货"]
def OnMarketQuotationInitialEx(context, exchange,daynight):
#过滤掉非郑商所和非夜盘的信号
if exchange != 'CZCE' or daynight!='night':
return
#获取期权标的,豆粕主力合约
g.biaodi = GetMainContract('CZCE', 'RM',2
True quantification - the nth level of open interest, the main force of the seller to follow the strategy
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