持仓排名策略 Open Interests Ranking Following

#!/usr/bin/env python
# coding:utf-8
from PoboAPI import *
import datetime
import numpy as np

#用poboquant python实现，在poboquant上运行，如果有问题 可加群 726895887 咨询
#开始时间，用于初始化一些参数
def OnStart(context) :
    print "I\'m starting..."
    #登录交易账号，需在主页用户管理中设置账号，并把期货测试替换成您的账户名称
    context.myacc = None
    if context.accounts.has_key("回测期货") :
        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):
    if exchange != "CZCE":#'DCE':
        return
    #获取主力合约
    g.code = GetMainContract('CZCE', 'TA',20)
    #订阅K线数据，用于驱动OnBar事件
    SubscribeBar(g.code, BarType.Day) 
    
#实时行情事件，当有新行情出现时调用该事件Ex


def GetTradingDayLeft(code):
    import re 
    m=re.match(r'[a-zA-Z]+[0-9]+\.+[A-Z]',code)
    print "checking m----------------------------"
    print "m "+str(m)
    print "checking code "+str(code)
    if m:
      info=GetContractInfo(code) 
      T=info['最后交易日']
      exchange=GetExchangeByCode(code)
      t=GetCurrentTradingDate(exchange)
      return (T-t).days
    else:
      info=GetContractInfo(code) 
      T=info['行权到期日']
      exchange=GetExchangeByCode(code)
      t=GetCurrentTradingDate(exchange)
      return (T-t).days
def OnBar(context,code,bartype) :
    #过滤掉不需要的行情通知
    sig=0
    if code != g.code:
        return
    dyndata = GetQuote(g.code)
    currentday=GetCurrentTradingDate('DCE')
    rankdata = GetContractRanking(0,g.code,1,currentday,currentday,1)
    #print rankdata[0]
    #计算均线
    n = 0
    while n<len(rankdata):
      for oo in rankdata[n].keys():
       print str(oo) +':' + str(rankdata[n][oo])
       if rankdata[n]['会员']=="永安期货": #银河期货  中信期货  海通期货 whatever
        
            print "sig=1"
            sig=1
      n +=1
    

    
    if sig==1:
        
        QuickInsertOrder(context.myacc,g.code,'buy','open',dyndata.now,1)
        
    if sig==0:
        
        QuickInsertOrder(context.myacc,g.code,'sell','close',dyndata.now,1)
    option = PBObj()
    option.buysellflag = '0'
    pos = context.accounts["回测期货"].GetPositions(option)
    print "持仓检查 "+str(len(pos))
    
    if len(pos)>0:
        for i in pos:
             daysleft =GetTradingDayLeft(i.contract)
             if daysleft<10:
                
                print "平仓到期合约 "+str(i.contract)

                dyndatapos = GetQuote(i.contract)

                QuickInsertOrder(context.myacc,i.contract,'sell','close',dyndatapos.now,i.availvolume)
                
                UnsubscribeBar(i.contract, BarType.Day)
                   

                print '接近到期平仓----------------'    
        
#     if len(MA2)<2:
#         return
#     #ma1上穿ma2时买入螺纹主力1手
#     elif MA1[-1] >= MA2[-1] and MA1[-2]<MA2[-2]:
#         QuickInsertOrder(context.myacc,g.code,'buy','open',dyndata.now,1)
#     #ma1下穿ma2时卖出平仓
#     elif MA1[-1] <= MA2[-1] and MA1[-2]>MA2[-2]:
#         QuickInsertOrder(context.myacc,g.code,'sell','close',dyndata.now,1)