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铜期权波动率策略CopperOptVolaTrade
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铜期权波动率策略CopperOptVolaTrade
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#!/usr/bin/env python
# coding:utf-8
from PoboAPI import *
import datetime
import time
import numpy as np
# SetTradeLogLevel(53,255)
# SetTradeLogLevel(54,255)
# SetTradeLogLevel(55,255)
#日线级别
#开始时间，用于初始化一些参数
def OnStart(context) :
# Emucounter2
print "I\'m starting..."
#设定一个全局变量品种
#g.code = GetMainContract("shfe","cu",20)#取铜主力合约
#订阅实时数据，用于驱动OnQuote事件
# print"underlying "+str(g.code)
# SubscribeQuote(g.code)
#订阅K线数据，用于驱动OnBar事件
#SubscribeBar(g.code, BarType.Day)
#登录交易账号，需在主页用户管理中设置账号，并把证券测试替换成您的账户名称
g.targetpos=20 #目标开仓手数
g.oppos1,g.oppos2=0,0 #初始化持仓数量
g.openflag=0 #允许补仓开仓状态变量，为0不开仓，为1开仓
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 == 'SHFE':# and daynight == 'night':
print '上期所 开盘时重登交易账号'
context.myacc.Logout()
context.myacc.Login()
g.code=GetFutwithOPT(context,"cu","SHFE")#根据成交量获取带有期权的期货合约，用于订阅行情
print "in market ini "+str(g.code)
#SubscribeBar(g.code, BarType.Day)
SubscribeBar(g.code, BarType.Day)
def GetFutwithOPT(context,productcode,exchangecode):
#返回一个带有期权的期货合约
futlist=RankingContract(context,exchangecode,productcode,2) #RankingContract(context,exchangecode,productcode,RankingCriteria)
#[contract, oi,volume]
found=0
for i in futlist:
print"in func i[0] "+str(i[0])
option = PBObj()
option.EndDate = GetCurrentTime()
option.Count = 60
klinedata = GetHisData(i[0], BarType.Day, option)
if GetOptionContracts(i[0],None,2) and len(klinedata)==60:
print "target contract "+str(i[0])
return i[0]
def Getop(code):#获取期权合约，取正确的合约月份
dyndata = GetQuote(code)
now1 = dyndata.now
# now50 = round(now1,1) + 0.05 #虚值一档
# cutime = GetCurrentTime()
# if cutime.day >15 and cutime.month<12:
# tim = cutime.month + 1
# month_time = datetime.datetime(month=tim, year=cutime.year,day = 20)
# elif cutime.day >15 and cutime.month==12:
# tim = 1
# yea = cutime.year + 1
# month_time = datetime.datetime(month=tim, year=yea,day = 20)
# else:
# month_time = cutime
# atmopc = GetAtmOptionContract(code,month_time,now50,0)
# atmopp = GetAtmOptionContract(code,month_time,now50,1)
#获取某档位期权合约GetAtmOptionContractByPos ( object_stock_code, pricetype,position, option_type, excute_date = None )
atmopc=GetAtmOptionContractByPos( g.code, "now", -2, 0, None )
atmopp=GetAtmOptionContractByPos( g.code, "now", -2, 1, None )
print "for test "+str(atmopc)+" and "+str(atmopp)
return atmopc,atmopp
# def OnExchangeOpen(context, accountname, exchangecode, productcode):
# context.accounts["回测期货"].Logout()
# context.accounts["回测期货"].Login()
# #context.accounts["回测期权"].SetAutoRelogin(datetime.time(8, 50))
# print "账户重登录"
# # if context.accounts.has_key("回测期权") :
# # print "登录交易账号[回测期权]"
# # if context.accounts["回测期权"].Login() :
# # context.myacc = context.accounts["回测期权"]
# print "in function-------------"
# print "exchangecode "+str(exchangecode)
# if exchangecode=='SHFE':
# cuttime=GetCurrentTime()
# print "检验时间"
# if str(cuttime)[12:]=="9:00:00":
# print "上期所开盘"
def stime(op):
info1 = GetContractInfo(op)
kill = info1['行权到期日']
cutime = GetCurrentTime()
c = cutime.date()
n = (kill - c).days
print n
return n
#实时行情事件，当有新行情出现时调用该事件
#def OnQuote(context, code) :
def OnBar(context,code,bartype):
#过滤掉不需要的行情通知
if code != g.code :
return
print "in onbar "+str(g.code)
#获取最新行情
# cuttime=GetCurrentTime()
# print "检验时间"
# if str(cuttime)[12:]=="9:30:00":
# print "中金所开盘"
dyndata = GetQuote(g.code)
if dyndata :
#.now指最新价，详细属性见API文档i
now1 = dyndata.now
#打印最新价
#log.info("最新价: " + str(dyndata.now) + str(dyndata.time))
posi = context.myacc.GetPositions()
print len(posi)
print "to cal hv"
b = CreateCalcObj()
option = PBObj()
option.EndDate = GetCurrentTime()
option.Count = 60
#获取60天
klist = GetHisDataByField(g.code, BarType.Day, "close", option)
if len(klist)>0:
Kl = np.array(klist, dtype=np.double)
c=b.GetVolatility(Kl)
print "历史波动率"
print c
opc,opp = Getop(g.code)
print "for test "+str(opc)+" and "+str(opp)
if len(posi) == 0 and c<0.35:
g.openflag=1
opc,opp = Getop(g.code)
g.opcode1,g.opcode2=opc,opp #用全局变量进行ontradedeal持仓检查
print str(opc)
dync = GetQuote(opc)
dynp = GetQuote(opp)
if dync != None and dync.now>0 and dynp.now>0:
log.info("最新价2: " + str(dync.now))
log.info("最新价3: " + str(dynp.now))
context.myacc.InsertOrder(opc, BSType.SellOpen, dync.now, 20)
context.myacc.InsertOrder(opp, BSType.SellOpen, dynp.now, 20)
elif len(posi) >0:
print "有持仓 "+str(len(posi))
if len(posi)<2 :#出现单腿
opcode1 = posi[0].contract
dyn1 = GetQuote(opcode1)
if dyn1.now>0:
context.myacc.InsertOrder(opcode1, BSType.BuyClose, dyn1.now, posi[0].volume)
if len(posi)==2:
opcode1 = posi[0].contract
opcode2 = posi[1].contract
g.opcode1,g.opcode2=opcode1,opcode2 #用全局变量进行ontradedeal持仓检查
dyn1 = GetQuote(opcode1)
dyn2 = GetQuote(opcode2)
info1 = GetContractInfo(opcode1)
pr1 = info1['行权价格']
ki1 = info1['行权到期日']
info2 = GetContractInfo(opcode2)
pr2 = info2['行权价格']
sy = stime(opcode1)
print str(pr1) + '行权价格'
print str(pr2) + '行权价格2'
print sy
print "距离到期日-----"+str(sy)
if sy<5 and dyn1.now>0 and dyn2.now>0 : #到期平仓
print "合约接近到期平仓-----------------------------------"
g.openflag=0 #需要平仓时不可补仓
print str(opcode1)+"期权第一腿 高："+str(dyn1.high)+" 低价 "+str(dyn1.low)+" 成交量 "+str(dyn1.volume)
print str(opcode2)+"期权第二腿 高："+str(dyn2.high)+" 低价 "+str(dyn2.low)+" 成交量 "+str(dyn2.volume)
print "第一腿委托价格 "+str(dyn1.now)+" 第二腿委托价格 "+str(dyn2.now)
context.myacc.InsertOrder(opcode1, BSType.BuyClose, dyn1.now, posi[0].volume)
context.myacc.InsertOrder(opcode2, BSType.BuyClose, dyn2.now, posi[1].volume)
elif now1 >= pr1 or now1 <= (pr1-500*5) and dyn1.now>0 and dyn2.now>0:
print "合约止盈止损平仓-----------------------------------"
g.openflag=0 #需要平仓时不可补仓
context.myacc.InsertOrder(opcode1, BSType.BuyClose, dyn1.now, posi[0].volume)
context.myacc.InsertOrder(opcode2, BSType.BuyClose, dyn2.now, posi[1].volume)
print "g.openflag "+str(g.openflag)
if g.openflag==1 and (posi[0].volume<g.targetpos or posi[1].volume<g.targetpos): #未达到开仓目标量、两腿没配齐时进行补仓
print "需要补仓 -------- "+str(posi[0].volume)+" "+str(posi[1].volume)
if g.targetpos-posi[0].volume>0 and dyn1.now>0:
context.myacc.InsertOrder(opcode1, BSType.SellOpen, dyn1.now,g.targetpos-posi[0].volume)
if g.targetpos-posi[1].volume>0 and dyn2.now>0:
context.myacc.InsertOrder(opcode2, BSType.SellOpen, dyn2.now,g.targetpos-posi[1].volume)
bal=context.accounts["回测期货"].AccountBalance
print "账户权益检查-------------- "+str(bal.DynamicNetAssets)
print "账户风险度 ---------------"+str(bal.RiskDegree)
#委托回报事件，当有委托回报时调用
def OnOrderChange(context, AccountName, order) :
#打印委托信息，id是编号，volume是数量，详细见API文档
print "委托编号： " + order.id + " 账号名称： " + AccountName
print "Vol: " + str(order.volume) + " Price: " + str(order.price)
def RankingContract(context,exchangecode,productcode,RankingCriteria):#exchangecode like "SHFE",productcode like "rb",RankingCriteria:1 for ranked by open interests,2 for ranking by trading volume
contractlist=GetFuturesContracts(exchangecode,productcode) #获取主力合约排名
contractlist={}.fromkeys(contractlist).keys()
Rankedcontractlist=[]
n=0
if RankingCriteria==1: # to rank by open interests
n=1
if RankingCriteria==2: # to rank by volume
n=2
for i in contractlist:
#print str(i)
dyndatacontract=GetQuote(i)
volume=dyndatacontract.volume
openinterest=dyndatacontract.amount
datatime=dyndatacontract.time
#print "volume"+str(volume)
#print "openinterest"+str(openinterest)
#print "data time "+str(datatime)
Rankedcontractlist.append([i,openinterest,volume])
ResultList=sorted(Rankedcontractlist, key=lambda Rankedcontractlist:(Rankedcontractlist[n]),reverse=True)
return ResultList
def OnTradeDeal(context,AccountName,trade):
posi = context.myacc.GetPositions()
if len(posi)>0:
for i in posi:
if i.contract==g.opcode1 and i.volume>0:
g.oppos1=i.volume
if i.contract==g.opcode2 and i.volume>0:
g.oppos2=i.volume
if g.oppos1==g.targetpos and g.oppos2==g.targetpos:
g.openflag=0