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sma_cross_strategy_bt.py
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sma_cross_strategy_bt.py
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#!/usr/bin/env python
# -*- coding: utf-8; py-indent-offset:4 -*-
"""
Author: Charmve [email protected]
Date: 2023-03-13 21:54:27
LastEditors: Charmve [email protected]
LastEditTime: 2023-03-13 21:54:37
FilePath: /Qbot/pyfutures/cross_strategy_bt.py
Version: 1.0.1
Blogs: charmve.blog.csdn.net
GitHub: https://github.com/Charmve
Description: 采用了AlgoPlus这个第三方包对接ctp期货接口。
建议在国内期货实时交易时段运行ctpExampleLiveSimulation.py，
进行实盘模拟交易，其接收的是1分钟bar或k线实时数据。
Copyright (c) 2023 by Charmve, All Rights Reserved.
Licensed under the MIT License.
"""
# 免责声明：作者不保证本程序的正确性，不要据此进行实盘交易，一切后果自负
from datetime import datetime, time, timedelta
import backtrader as bt
import pytz
#################
from AlgoPlus.CTP.FutureAccount import (
MD_LOCATION,
SIMNOW_SERVER,
TD_LOCATION,
FutureAccount,
get_simnow_account,
)
from backtrader_ctp_api.ctpstore import CTPStore
# 说明在交易日上午8点45到下午3点，以及晚上8点45到凌晨2点45分，可进行实时行情模拟交易。 （）
# 中国期货交易时段 (日盘/夜盘)，只有在交易时段才能进行实时模拟仿真，其他时段只能进行非实时模拟仿真。双休日不能进行模拟仿真
DAY_START = time(8, 45) # 日盘8：45开始
DAY_END = time(15, 0) # 下午3点结束
NIGHT_START = time(20, 45) # 夜盘晚上8点45开始
NIGHT_END = time(2, 45) # 凌晨2点45结束
# 是否在交易时段
def is_trading_period():
""""""
current_time = datetime.now().time()
trading = False
if (
(current_time >= DAY_START and current_time <= DAY_END)
or (current_time >= NIGHT_START)
or (current_time <= NIGHT_END)
):
trading = True
return trading
class SmaCross(bt.Strategy):
lines = ("sma",)
params = dict(
smaperiod=5,
bbperiod5=26,
trade=False,
stake=10,
exectype=bt.Order.Market,
stopafter=0,
valid=None,
cancel=0,
donotcounter=False,
sell=False,
usebracket=False,
)
def __init__(self):
self.buy_order = None
self.live_data = False
self.move_average = bt.ind.MovingAverageSimple(
self.data, period=self.params.smaperiod
)
def prenext(self):
print("in prenext")
for d in self.datas:
print(
self.data0.datetime.datetime(0),
"o h l c ",
d.open[0],
d.high[0],
d.low[0],
d.close[0],
" vol ",
d.volume[0],
)
def next(self):
print("in next")
for d in self.datas:
print(
self.data0.datetime.datetime(0),
"o h l c ",
d.open[0],
d.high[0],
d.low[0],
d.close[0],
" vol ",
d.volume[0],
)
if self.position:
self.buy()
else:
self.sell()
def notify_order(self, order):
print("订单状态 %s" % order.getstatusname(), self.broker.getvalue())
def notify_data(self, data, status, *args, **kwargs):
dn = data._name
dt = datetime.now()
msg = f"Data Status: {data._getstatusname(status)}"
print(dt, dn, msg)
if data._getstatusname(status) == "LIVE":
self.live_data = True
else:
self.live_data = False
###########################################################
# 主程序开始
##################
if __name__ == "__main__":
ctp_setting = get_simnow_account(
investor_id="089131", # SimNow账户
password="350888", # SimNow账户密码
server_name="电信1"
if is_trading_period()
else "TEST", # 电信1 、电信2、移动、 TEST , 其中TEST在非交易时段用
)
cerebro = bt.Cerebro()
cerebro.addstrategy(SmaCross)
store = CTPStore(ctp_setting)
data = store.getdata(
dataname="ag2105",
timeframe=bt.TimeFrame.Minutes, # ag2105是白银期货
num_init_backfill=20
if is_trading_period()
else 0, # 初始回填bar数，使用TEST服务器进行模拟实盘时，要设为0
tz=pytz.timezone("Asia/Shanghai"),
)
cerebro.adddata(data)
cerebro.broker.setcash(10000.0) # 设置初始资金
cerebro.run()