# encoding: UTF-8
'''
实盘策略范例，接口用法见注释及范例代码
'''
import talib
from futuquant.examples.TinyQuant.TinyStrateBase import *
from futuquant import *
import datetime
import pandas as pd
class TinyStrateMACD(TinyStrateBase):
"""策略名称, setting.json中作为该策略配置的key"""
name = 'tiny_strate_macd'
"""策略需要用到行情数据的股票池"""
symbol_pools = ['HK.00700']
pwd_unlock= '201791'
def __init__(self):
super(TinyStrateMACD, self).__init__()
"""请在setting.json中配置参数"""
self.param1 = None
self.param2 = None
def on_init_strate(self):
"""策略加载完配置后的回调
1. 可修改symbol_pools 或策略内部其它变量的初始化
2. 此时还不能调用futu api的接口
"""
def on_start(self):
"""策略启动完成后的回调
1. 框架已经完成初始化， 可调用任意的futu api接口
2. 修改symbol_pools无效, 不会有动态的行情数据回调
"""
self.log("on_start param1=%s param2=%s" %(self.param1, self.param2))
pass
def on_quote_changed(self, tiny_quote):
"""报价、摆盘实时数据变化时，会触发该回调"""
pass
def on_bar_min1(self, tiny_bar):
"""每一分钟触发一次回调"""
symbol = self.symbol_pools[0]
now = datetime.datetime.now()
work_time = now.replace(hour=15, minute=55, second=0)
if now == work_time:
quote_ctx = OpenQuoteContext(host='172.24.31.139', port=11111)
data = tiny_bar
price = data.open
start_day = (now - datetime.timedelta(days=100)).strftime('%Y-%m-%d')
end_day = now.strftime('%Y-%m-%d')
history_result, history_kline_result = quote_ctx.get_history_kline(symbol, start=start_day, end=end_day)
result, kline_result = quote_ctx.get_history_kline(symbol, start=start_day, end=end_day, ktype='K_5M')
if history_result == 0 and result == 0 and history_kline_result.shape[0] >= 25 and kline_result.shape[0] > 0 :
close_price = kline_result[-1:]
close_price_array = history_kline_result['close']
close_price_array.append(close_price)
df = pd.DataFrame()
df['EMA12'] = talib.EMA(np.array(close_price_array), timeperiod=6)
df['EMA26'] = talib.EMA(np.array(close_price_array), timeperiod=12)
df['MACD'], df['MACDsignal'], df['MACDhist'] = talib.MACD(np.array(close_price_array), fastperiod=6, slowperiod=12, signalperiod=9)
signal = df['MACDsignal'][-1:].values[0]
if signal > 0:
self.do_trade(symbol, price, "buy")
elif signal <0:
self.do_trade(symbol, price, "sell")
quote_ctx = OpenQuoteContext(host='172.24.31.139', port=11111)
def on_bar_day(self, tiny_bar):
"""收盘时会触发一次日k回调"""
pass
def on_before_trading(self, date_time):
"""开盘时触发一次回调, 脚本挂机切换交易日时，港股会在09:30:00回调"""
# 取前26个交易日的收盘价
str_log = "on_before_trading - %s" % date_time.strftime('%Y-%m-%d %H:%M:%S')
self.log(str_log)
def on_after_trading(self, date_time):
"""收盘时触发一次回调, 脚本挂机时，港股会在16:00:00回调"""
str_log = "on_after_trading - %s" % date_time.strftime('%Y-%m-%d %H:%M:%S')
self.log(str_log)
def ema(self, np_array, n, array=False):
"""移动均线"""
if n < 2:
result = np_array
else:
result = talib.EMA(np_array, n)
if array:
return result
return result[-1]
def do_trade(self, symbol, price, trd_side):
# 获取账户信息
trd_ctx = OpenHKTradeContext(host='172.24.31.139', port=11111)
trd_ctx.unlock_trade(self.pwd_unlock)
result, accinfo = trd_ctx.accinfo_query()
if result != 0:
return
accinfo_cash = accinfo.cash.values[0]
accinfo_market_val = accinfo.market_val.values[0]
if trd_side == 'buy':
qty = int(accinfo_cash / price)
trd_ctx.place_order(price=price, qty=qty, code=symbol, trd_side=TrdSide.BUY)
elif trd_side == 'sell':
qty = int(accinfo_market_val / price)
trd_ctx.place_order(price=price, qty=qty, code=symbol, trd_side=TrdSide.SELL)
trd_ctx.close()
