经典国债期货套利量化源代码学习

经典国债期货套利量化源代码学习，适用于博易真格量化平台，大家可以下载学习。

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

from PoboAPI import *
import datetime
import numpy as np
#债券期货价差策略,10年期国债与5年期国债价差 spread trade on 10y and 5y bond futures
def OnStart(context) :
    print "I\'m starting..."
    
    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"]    
    SubscribeQuote(["T1812.CFFEX","TF1812.CFFEX"]) 
    g.code1="T1812.CFFEX"
    g.code2="TF1812.CFFEX"

    
def OnOrderChange(context, AccountName, order) :
    Test = context.accounts["回测期货"].GetOrder(order.id)
    print str(Test.volume)
    

def OnQuote(context,code) :
    option=PBObj()
    #option.buysellflag='0'
    pos = context.accounts["回测期货"].GetPositions()
    #print "positions ",pos
    #print "len(pos) ",len(pos)
    

    leg1 = GetQuote(g.code1)
    leg2 = GetQuote(g.code2)
    
    leg1now=leg1.now
    leg2now=leg2.now
    spreadnow=leg1now-leg2now
    print "spread "+str(spreadnow) # 最新价差
    
    if spreadnow<=0.5 and len(pos)==0 : #10债和5债价差小于0.5就买10债卖5债
        print "to buy Spread....要开仓" 
        context.myacc.InsertOrder(g.code1, BSType.BuyOpen, leg1now, 10)
        context.myacc.InsertOrder(g.code2, BSType.SellOpen,  leg2now, 10)
        print "positions bought"
        bal=context.accounts["回测期货"].AccountBalance.AssetsBalance #返回成交后账户权益
        
        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)
        TradeDetails = context.accounts["回测期货"].GetTradeDetails()
        print TradeDetails
        #print "len(pos) in trade ",len(pos)
        pos = context.accounts["回测期货"].GetPositions()
        print "len(pos) str in trade "+str(len(pos))
    
    if spreadnow>1 and len(pos)>0: #有持仓且最新价差大于1就卖出止盈
        print "to sell Spread..." 
        context.myacc.InsertOrder(g.code1, BSType.SellClose, leg1now, 10)
        context.myacc.InsertOrder(g.code2, BSType.BuyClose, leg2now, 10)
        print "positions sold，已经获利平仓"
        bal=context.accounts["回测期货"].AccountBalance.AssetsBalance #返回成交后账户权益
        print "账户金额 ："+str(bal)
        pos = context.accounts["回测期货"].GetPositions()
        print "len(pos) str in trade "+str(len(pos))
    
    if spreadnow<=0.3 and len(pos)>0: #有持仓且最新价差小于0.3就卖出止损
        print "to sell Spread..." 
        context.myacc.InsertOrder(g.code1, BSType.SellClose, leg1now, 10)
        context.myacc.InsertOrder(g.code2, BSType.BuyClose, leg2now, 10)
        print "positions sold 已经止损"
        bal=context.accounts["回测期货"].AccountBalance.AssetsBalance #返回成交后账户权益
        print "账户金额 ："+str(bal)
        pos = context.accounts["回测期货"].GetPositions()
        print "len(pos) str in trade "+str(len(pos))