#!/usr/bin/env python
# coding:utf-8
from PoboAPI import *
import datetime
import time
import numpy as np
from copy import *
#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["回测期货"].Login() :
context.myacc = context.accounts["回测期货"]
#每天行情初始化的,获取当前的豆粕期货主力合约作为标的,获取对应的平价期权
def OnMarketQuotationInitialEx(context, exchange,daynight):
#过滤掉非大商所的信号
if exchange != 'DCE' or daynight!='night':
return
#获取期权标的
g.biaodi = GetMainContract('DCE', 'm',20)
klinedata = GetHisData2(g.biaodi, BarType.Day)
lastclose = klinedata[-1].close
#获取评价期权
g.atmopc = GetAtmOptionContract(g.biaodi,None,lastclose,0)
#print g.atmopc
#订阅日K线用来驱动onbar事件
SubscribeBar(g.atmopc,BarType.Day)
#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):
posi = context.myacc.GetPositions
True Quantification——Basic Strategy of Commodity Options
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