构建计算仓单“开平”字段的函数

Author: gamcing

i2005_quote_data_bt_202002080145.xlsx

@@ -0,0 +1,50 @@
+from tqsdk import TqApi, TqSim, TqBacktest, TqReplay
+from tqsdk.lib import TargetPosTask
+from tqsdk.tafunc import time_to_datetime
+from tqsdk.exceptions import BacktestFinished
+from datetime import datetime, date
+from contextlib import closing
+from opt import TqOption, OptionTrade
+
+#api = TqApi(TqSim())
+api = TqApi(TqSim(init_balance=300000), backtest=TqBacktest(
+    start_dt=datetime(2020, 1, 1, 9), end_dt=datetime(2020, 2, 7, 16)))
+#api = TqApi(backtest=TqReplay(date(2020,2,5)), web_gui=True)
+kq_m = api.get_quote("[email protected]")
+opt_api = TqOption(api, future_product_id="SR", option_product_id="SR_o")
+main_contract_id = kq_m.underlying_symbol
+future = api.get_quote(main_contract_id)
+future_id, opts = opt_api.get_future_opt_symbols(
+    strike_year=future.delivery_year, strike_month=future.delivery_month)
+trade = OptionTrade(api, opt_api, future_id, opts, save_data=True,
+                    long_call_threshold=-5, long_put_threshold=-5)
+# future_id, opts = opt_api.get_future_opt_symbols(opt_api.strike_dates[0])  # 选一个2020-3合约
+
+print("期货代码：" + future_id)
+
+# 期货行情订阅
+future_quote = api.get_quote(future_id)
+# 期权-期货套利任务准备
+for opt in opts.values():
+    trade.parity_quote_task(opt, future_quote)
+api.wait_update()
+# 主线程
+if api._backtest is None:
+    while True:
+        api.wait_update()
+        if trade.save_data and (datetime.now().minute == 0 or datetime.now().minute == 30) and datetime.now().second == 0:
+            print('ts:{}'.format(datetime.now()))
+            trade.quote_df.to_excel('quote_data_rt_{}.xlsx'.format(
+                datetime.now().strftime('%Y%m%d%H')))
+else:
+    with closing(api):
+        while True:
+            try:
+                api.wait_update()
+                if trade.save_data and datetime.now().second == 0:
+                    print('ts:{}'.format(time_to_datetime(
+                        api._backtest._current_dt)))
+            except BacktestFinished:
+                trade.quote_df.to_excel('quote_data_bt_{}.xlsx'.format(
+                    datetime.now().strftime('%Y%m%d%H%M')))
+                exit()

i2005修正_quote_data_bt_202002081950.xlsx

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+import asyncio
+import sys
+import PySimpleGUI as sg
+from tqsdk import TqApi, TqSim, TqAccount, TqBacktest
+from tqsdk.lib import TargetPosTask
+from tqsdk.tafunc import time_to_datetime
+from tqsdk.exceptions import BacktestFinished
+from datetime import datetime, date
+from contextlib import closing
+from opt import TqOption, OptionTrade
+
+
+window = sg.Window('请输入策略运行参数', layout = [[sg.Text('交易账户')],
+          [sg.Text('期货公司'), sg.Input("快期模拟", key="broker_id")],
+          [sg.Text('账号'), sg.Input("jincheng", key="user_id")],
+          [sg.Text('密码'), sg.Input("123456", key="password", password_char='*')],
+          [sg.Text('策略参数')],
+          [sg.Text('期货主连代码'), sg.Input("[email protected]", key="future_kq_id")],
+          [sg.Text('期货product_id'), sg.Input("SR", key="future_product_id")],
+          [sg.Text('期权product_id'), sg.Input("SR", key="option_product_id")],
+          [sg.Text('最大long call值'), sg.Input(-5, key="long_call_threshold")],
+          [sg.Text('最大long put值'), sg.Input(-5, key="long_put_threshold")],
+          [sg.Text('最小行权价'), sg.Input(5400, key="min_strike")],
+          [sg.Text('最大行权价'), sg.Input(5800, key="max_strike")],
+          [sg.OK()]])
+
+# 读取用户输入值
+event, input_values = window.Read()
+print(event, input_values)
+window.close()
+
+
+loop = asyncio.get_event_loop()
+api = TqApi(loop=loop, account=TqAccount(input_values["broker_id"], input_values["user_id"], input_values["password"]) if len(input_values["broker_id"])> 2 else TqSim())
+opt_api = TqOption(api, future_product_id=input_values["future_product_id"], option_product_id=input_values["option_product_id"])
+kq_m = api.get_quote(input_values["future_kq_id"])
+main_contract_id = kq_m.underlying_symbol
+future = api.get_quote(main_contract_id)
+future_id, opts = opt_api.get_future_opt_symbols(
+    strike_year=future.delivery_year, strike_month=future.delivery_month,
+    min_strike=float(input_values["min_strike"]), max_strike=float(input_values["max_strike"]))
+
+# 期货行情订阅
+future_quote = api.get_quote(future_id)
+#quote_layout = [[sg.Text("time=", size=(5,1)), sg.Text("%H:%m:%S", key="dt", size=(10,1))], [sg.Text("strike",size=(5,1)), sg.Text("call",size=(6,1)), sg.Text("put",size=(6,1))]]
+#quote_layout.extend([[sg.Text(opt["K"],size=(5,1)), sg.Text("nan", key="{}-call_premium".format(opt["K"]),size=(6,1)), sg.Text("nan", key="{}-put_premium".format(opt["K"]),size=(6,1))] for opt in opts.values()])
+#quote_window = sg.Window(future_id, quote_layout, size=(300,300))
+#async def new_quote_window():
+#    event, _ = quote_window.Read(timeout=0)
+#    if event is None or event == 'Exit':
+#        sys.exit(0)
+#api.create_task(new_quote_window())
+
+trade = OptionTrade(api, opt_api, future_id, opts, can_trade=True,
+                    long_call_threshold=float(input_values["long_call_threshold"]), 
+                    long_put_threshold=float(input_values["long_put_threshold"]))
+
+for opt in opts.values():
+    trade.parity_quote_task(opt, future_quote)
+
+# 主线程
+while True:
+    api.wait_update()