量化交易日线单品种跨期套利代码下载（真格量化）

量化交易日线单品种跨期套利源代码下载（真格量化）

# coding:utf-8
#!/usr/bin/env python
from PoboAPI import *
import datetime
import statsmodels.formula.api as sm
from statsmodels.tsa import stattools
import numpy as np
import pandas as pd
from copy import *

#开始时间，用于初始化一些参数    
def OnStart(context) :
  print "I\'m starting..."
  #获取ag当前可交易合约，并按月份进行排序
  vac=sorted(GetFuturesContracts('SHFE','rb'))
  #获取当前主力合约
  MainContract=GetMainContract('SHFE', 'rb',20)
  #获取当前主力合约下一月合约
  for i in range(len(vac)):
    if vac[i]==MainContract:
      s=i+1
      break
  g.code=[MainContract,vac[s]]
  #订阅g.code[0]
  SubscribeQuote(g.code[0])
  #登录交易账号
  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"]

#实时行情事件，当有新行情出现时调用该事件            
def OnQuote(context,code) :
  #print "调用到OnQuote事件"
  vac=sorted(GetFuturesContracts('SHFE','rb'))
  #获取当前主力合约
  MainContract=GetMainContract('SHFE', 'rb',20)
  #获取当前主力合约下一月合约
  price_type=PriceType(PbPriceType.LimitFOK,limit_price_type=2)
  for i in range(len(vac)):
    if vac[i]==MainContract:
      s=i+1
      break
  if g.code[0]!=MainContract:
    #进行平仓
    for c in g.code:
      option = PBObj()
      option.contract = c
      pos = context.myacc.GetPositions(option)
      for p in pos:
        if p.bstype.BuySellFlag=="0":
          QuickInsertOrder(context.myacc,c,'sell','close',price_type,p.volume)
        if p.bstype.BuySellFlag=="1":
          QuickInsertOrder(context.myacc,c,'buy','close',price_type,p.volume)
    #取消订阅原主力合约
    UnsubscribeQuote(g.code[0])
    g.code_old=g.code
    g.code=[MainContract,vac[s]]
    print "当前主力合约由"+str(g.code_old[0])+"更换为"+str(g.code[1])
    print "平仓掉原主力合约"
    #订阅当前主力合约信息
    SubscribeQuote(g.code[0])
  print "当前套利组合为"+str(g.code)
  #获取当前日期
  current_date=GetCurrentTradingDate('SHFE')
  #获取两个品种的近60个交易日的收盘价构造收盘价序列
  close_01= GetHisDataByFieldAsDF(g.code[0],'close', BarType.Day, start_date=None, end_date=current_date, count=60,weight_type=0)
  close_02= GetHisDataByFieldAsDF(g.code[1],'close', BarType.Day, start_date=None, end_date=current_date, count=60,weight_type=0)
  #对价格序列取对数
  x=np.log(close_01)
  y=np.log(close_02)
  #做回归，取残差序列
  x=pd.Series(x)
  y=pd.Series(y)
  df = pd.concat([x,y],axis = 1)
  df.columns = ['x','y']
  model = sm.ols(formula = 'y~x',data = df).fit()
  resid=model.resid
  #对残差进行单位根检验，求p值
  p=stattools.adfuller(resid)[1]
  #设定残差序列的2倍标准差为开仓阈值
  open_ththreshold_positive =2*resid.std()
  #设定残差序列的0.01倍标准差为平仓阈值
  close_ththreshold_positive =0.05*resid.std()
  close_ththreshold_negative =-0.05*resid.std()
  resid=np.array(resid)
  #获取资产的当前涨停价，成交量，最新价
  dyndata1 = GetQuote(g.code[0])
  dyndata2 = GetQuote(g.code[1])
  riselimit1=dyndata1.riselimit
  riselimit2=dyndata2.riselimit
  value = 0.8
  context.myacc.SetRiskDegreeMaxThreshold(value)
  isOver=context.myacc.IsRiskDegreeOverMax()
  if isOver==False:
    #若通过协整检验
    if p<0.05:
      value = PBObj()
#       value.Rate = 0.12
#       context.myacc.SetMargin(g.code[0], value)
#       context.myacc.SetMargin(g.code[1], value)
      #下单
      if resid[-1]>= open_ththreshold_positive:
        v1=context.myacc.GetValidVolume(g.code[0],BSType.BuyOpen,riselimit1)
        v2=context.myacc.GetValidVolume(g.code[1],BSType.SellOpen,riselimit2)
        v=int(min(v1,v2))
        QuickInsertOrder(context.myacc,g.code[0],'buy','open',price_type,v/2)
        QuickInsertOrder(context.myacc,g.code[1],'sell','open',price_type,v/2)
        print "买入"+str(g.code[0])+","+"卖出"+str(g.code[1])
      #平仓
      if resid[-1]<close_ththreshold_positive:
        for c in g.code:
          option = PBObj()
          option.contract = c
          pos = context.myacc.GetPositions(option)
          dyndata=GetQuote(c)
          now=dyndata.now
          for p in pos:
            if p.bstype.BuySellFlag=="0":
              QuickInsertOrder(context.myacc,c,'sell','close',price_type,p.volume)
            print "卖平"+str(c)
            if p.bstype.BuySellFlag=="1":
              QuickInsertOrder(context.myacc,c,'buy','close',price_type,p.volume)
            print "买平"+str(c)