MACD 指标交易范例 MACD example

# coding:utf-8
#!/usr/bin/env python

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，并把证券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 OnMarketQuotationInitial(context, marketid):
    if marketid != 'SHFE':
        return
    #获取主力合约
    g.code = GetMainContract('SHFE', 'rb',20)
    print g.code

    #订阅实时数据，用于驱动OnQuote事件
    SubscribeQuote(g.code)
    #订阅K线数据，用于驱动OnBar事件
    SubscribeBar(g.code, BarType.Day)
    
def OnOrderChange(context, AccountName, order) :
    Test = context.accounts["回测期货"].GetOrder(order.id)
    print str(Test.volume)
    
#实时行情事件，当有新行情出现时调用该事件
def OnBar(context,code,bartype) :

    #过滤掉不需要的行情通知
    if code != g.code:
        return
    dyndata = GetQuote(g.code)
    #创建均线
    MACDindi = CreateIndicator("MACD")
    #设定参数，也可以不设置，系统有自带的默认参数
    param = {"SHORT":12,"LONG":26,"M":9} #fast and slow and ma days
    MACDindi.SetParameter(param)
    #设定要计算KDJ的品种和K线周期
    MACDindi.Attach(g.code, BarType.Day)
    #开始计算
    MACDindi.Calc()
    #获取计算结果，返回对应结果的list
    diff = MACDindi.GetValue("DIF")
    dea = MACDindi.GetValue("DEA")
    posi = context.myacc.GetPositions()
    if len(diff)<2:
        return
    #ma1上穿ma2时买入螺纹主力1手
    elif diff[-1] >0 and dea [-1]>0 and  diff[-1]>dea [-1] and diff[-2]<=dea [-2] and len(posi)==0 :
        print "to buy....diff "+str(diff[-1])+" dea "+str(dea[-1]) 
        context.myacc.InsertOrder(g.code, BSType.BuyOpen, dyndata.now+5, 10) #提高委托价格，确保买入成交
        bal=context.accounts["回测期货"].AccountBalance.AssetsBalance
        print "账户金额 ："+str(bal)
        #orders = context.accounts["回测期货"].GetOrder(order.id)
        #print str(orders.volume)
        #OnOrderChange(context, "回测期货", order)
        print "发生交易："
        option = PBObj()
        option.buysellflag = '0'
        TradeDetails = context.accounts["回测期货"].GetTradeDetails(option)
        print TradeDetails
        for i in TradeDetails:
          print i
          #print i.bstype.OffsetFlag
        print '----------------'
        pos = context.accounts["回测期货"].GetPositions(option)
        print "期货持仓： ",pos
        for i in pos:
          print i.bstype.contract
        print '----------------'
        
    #ma1下穿ma2时卖出平仓
    elif diff[-1] <0 and dea [-1]<0 and diff[-1]<dea [-1] and diff[-2]>=dea [-2] and len(posi)>0 :
        print "to sell..diff "+str(diff[-1])+" dea "+str(dea[-1]) 
        context.myacc.InsertOrder(g.code, BSType.SellClose, dyndata.now-5, 10) #降低委托价格，确保卖出成交