Versi Python dari strategi lindung nilai intertemporal berjangka komoditas

Dipindahkan dari versi JavaScript dariKomoditas Futures Intertemporal Hedging-Ratus Baris Pelaksanaan Kode, strategi ini adalah strategi pengajaran sederhana, dimaksudkan untuk menunjukkan desain strategi komoditas berjangka dalam bahasa Python.

class Hedge:
    'Hedging control class'
    def __init__(self, q, e, initAccount, symbolA, symbolB, hedgeSpread, coverSpread):
        self.q = q 
        self.initAccount = initAccount
        self.status = 0
        self.symbolA = symbolA
        self.symbolB = symbolB
        self.e = e
        self.isBusy = False 
        self.hedgeSpread = hedgeSpread
        self.coverSpread = coverSpread
        self.opAmount = OpAmount 
        
    def poll(self):
        if (self.isBusy or not exchange.IO("status")) or not ext.IsTrading(self.symbolA):
            Sleep(1000)
            return 

        insDetailA = exchange.SetContractType(self.symbolA)
        if not insDetailA:
            return 

        tickerA = exchange.GetTicker()
        if not tickerA:
            return 

        insDetailB = exchange.SetContractType(self.symbolB)
        if not insDetailB:
            return 

        tickerB = exchange.GetTicker()
        if not tickerB:
            return 

        LogStatus(_D(), "A sell B buy", _N(tickerA["Buy"] - tickerB["Sell"]), "A buy B sell", _N(tickerA["Sell"] - tickerB["Buy"]))
        action = 0

        if self.status == 0:
            if (tickerA["Buy"] - tickerB["Sell"]) > self.hedgeSpread:
                Log("open position A sell B buy", tickerA["Buy"], tickerB["Sell"], "#FF0000")
                action = 1
            elif (tickerB["Buy"] - tickerA["Sell"]) > self.hedgeSpread:
                Log("open position B sell A buy", tickerB["Buy"], tickerA["Sell"], "#FF0000")
                action = 2
        elif self.status == 1 and (tickerA["Sell"] - tickerB["Buy"]) <= self.coverSpread:
            Log("close position A buy B sell", tickerA["Sell"], tickerB["Buy"], "#FF0000")
            action = 2
        elif self.status == 2 and (tickerB["Sell"] - tickerA["Buy"]) <= self.coverSpread:
            Log("close position B buy A sell", tickerB["Sell"] - tickerA["Buy"], "#FF0000")
            action = 1 

        if action == 0:
            return 
        
        self.isBusy = True
        tasks = []
        if action == 1:
            tasks.append([self.symbolA, "sell" if self.status == 0 else "closebuy"])
            tasks.append([self.symbolB, "buy" if self.status == 0 else "closesell"])
        elif action == 2:
            tasks.append([self.symbolA, "buy" if self.status == 0 else "closesell"])
            tasks.append([self.symbolB, "sell" if self.status == 0 else "closebuy"])

        def callBack(task, ret):
            def callBack(task, ret):
                self.isBusy = False
                if task["action"] == "sell":
                    self.status = 2
                elif task["action"] == "buy":
                    self.status = 1
                else:
                    self.status = 0
                    account = _C(exchange.GetAccount)
                    LogProfit(account["Balance"] - self.initAccount["Balance"], account)
            self.q.pushTask(self.e, tasks[1][0], tasks[1][1], self.opAmount, callBack)

        self.q.pushTask(self.e, tasks[0][0], tasks[0][1], self.opAmount, callBack)


def main():
    SetErrorFilter("ready|login|timeout")
    Log("Connecting to the trading server...")
    while not exchange.IO("status"):
        Sleep(1000)

    Log("Successfully connected to the trading server")
    initAccount = _C(exchange.GetAccount)
    Log(initAccount)
    n = 0 

    def callBack(task, ret):
        Log(task["desc"], "success" if ret else "fail")

    q = ext.NewTaskQueue(callBack)

    if CoverAll:
        Log("Start closing all remaining positions...")
        ext.NewPositionManager().CoverAll()
        Log("Operation complete")

    t = Hedge(q, exchange, initAccount, SA, SB, HedgeSpread, CoverSpread)
    while True:
        q.poll()
        t.poll()

Hanya mentransplantasikan kode, terasa sedikit terlalu sederhana, kita terus melakukan beberapa transformasi, menambahkan grafik untuk strategi perdagangan ini.

Tambahkan kode berikut sebelum posisi di manaLogStatusfungsi dipanggil untuk membuat perbedaan harga real-time ke dalam statistik K-line.self.preBarTimeadalah anggota yang ditambahkan olehHedgeUntuk menggambar, kita menggunakan Drawing Class library, langsung memanggil antarmuka gambar, Anda dapat dengan mudah menggambar grafik.

# Calculate the spread K line
        r = exchange.GetRecords()
        if not r:
            return 
        diff = tickerB["Last"] - tickerA["Last"]
        if r[-1]["Time"] != self.preBarTime:
            # Update
            self.records.append({"Time": r[-1]["Time"], "High": diff, "Low": diff, "Open": diff, "Close": diff, "Volume": 0})
            self.preBarTime = r[-1]["Time"]
        if diff > self.records[-1]["High"]:
            self.records[-1]["High"] = diff
        if diff < self.records[-1]["Low"]:
            self.records[-1]["Low"] = diff
        self.records[-1]["Close"] = diff
        ext.PlotRecords(self.records, "diff:B-A")
        ext.PlotHLine(self.hedgeSpread if diff > 0 else -self.hedgeSpread, "hedgeSpread")
        ext.PlotHLine(self.coverSpread if diff > 0 else -self.coverSpread, "coverSpread")

Efek pengujian balik:

Selanjutnya, kita akan menambahkan fungsi interaktif, sehingga strategi dapat memodifikasiHedgeSpreaddanCoverSpreadAnda juga membutuhkan tombol untuk menutup posisi dengan satu klik. kami menambahkan kontrol ini di halaman pengeditan strategi.

Kemudian dalam lingkaran utama strategi, setelahq.poll(), t.poll()Hubungi, tambahkan kode kontrol interaktif.

while True:
        q.poll()
        t.poll()
        # The following interactive control code
        cmd = GetCommand()
        if cmd:
            arr = cmd.split(":")
            if arr[0] == "AllCover":
                p.CoverAll()
            elif arr[0] == "SetHedgeSpread":
                t.SetHedgeSpread(float(arr[1]))
            elif arr[0] == "SetCoverSpread":
                t.SetCoverSpread(float(arr[1]))

Anda dapat menyalin seluruh strategi trading di sini:https://www.fmz.com/strategy/211504