コモディティ・フューチャー間の時間間のヘッジ戦略の Python バージョン

JavaScript のバージョンから移植しました商品先物 期間間ヘッジ コードの実行の数百行この戦略は,Python言語で商品先物戦略の設計を示すためのシンプルな学習戦略です.主に戦略書きと参考デザインのアイデアを学ぶために使用されます.

class Hedge:
    'Hedging control class'
    def __init__(self, q, e, initAccount, symbolA, symbolB, hedgeSpread, coverSpread):
        self.q = q 
        self.initAccount = initAccount
        self.status = 0
        self.symbolA = symbolA
        self.symbolB = symbolB
        self.e = e
        self.isBusy = False 
        self.hedgeSpread = hedgeSpread
        self.coverSpread = coverSpread
        self.opAmount = OpAmount 
        
    def poll(self):
        if (self.isBusy or not exchange.IO("status")) or not ext.IsTrading(self.symbolA):
            Sleep(1000)
            return 

        insDetailA = exchange.SetContractType(self.symbolA)
        if not insDetailA:
            return 

        tickerA = exchange.GetTicker()
        if not tickerA:
            return 

        insDetailB = exchange.SetContractType(self.symbolB)
        if not insDetailB:
            return 

        tickerB = exchange.GetTicker()
        if not tickerB:
            return 

        LogStatus(_D(), "A sell B buy", _N(tickerA["Buy"] - tickerB["Sell"]), "A buy B sell", _N(tickerA["Sell"] - tickerB["Buy"]))
        action = 0

        if self.status == 0:
            if (tickerA["Buy"] - tickerB["Sell"]) > self.hedgeSpread:
                Log("open position A sell B buy", tickerA["Buy"], tickerB["Sell"], "#FF0000")
                action = 1
            elif (tickerB["Buy"] - tickerA["Sell"]) > self.hedgeSpread:
                Log("open position B sell A buy", tickerB["Buy"], tickerA["Sell"], "#FF0000")
                action = 2
        elif self.status == 1 and (tickerA["Sell"] - tickerB["Buy"]) <= self.coverSpread:
            Log("close position A buy B sell", tickerA["Sell"], tickerB["Buy"], "#FF0000")
            action = 2
        elif self.status == 2 and (tickerB["Sell"] - tickerA["Buy"]) <= self.coverSpread:
            Log("close position B buy A sell", tickerB["Sell"] - tickerA["Buy"], "#FF0000")
            action = 1 

        if action == 0:
            return 
        
        self.isBusy = True
        tasks = []
        if action == 1:
            tasks.append([self.symbolA, "sell" if self.status == 0 else "closebuy"])
            tasks.append([self.symbolB, "buy" if self.status == 0 else "closesell"])
        elif action == 2:
            tasks.append([self.symbolA, "buy" if self.status == 0 else "closesell"])
            tasks.append([self.symbolB, "sell" if self.status == 0 else "closebuy"])

        def callBack(task, ret):
            def callBack(task, ret):
                self.isBusy = False
                if task["action"] == "sell":
                    self.status = 2
                elif task["action"] == "buy":
                    self.status = 1
                else:
                    self.status = 0
                    account = _C(exchange.GetAccount)
                    LogProfit(account["Balance"] - self.initAccount["Balance"], account)
            self.q.pushTask(self.e, tasks[1][0], tasks[1][1], self.opAmount, callBack)

        self.q.pushTask(self.e, tasks[0][0], tasks[0][1], self.opAmount, callBack)


def main():
    SetErrorFilter("ready|login|timeout")
    Log("Connecting to the trading server...")
    while not exchange.IO("status"):
        Sleep(1000)

    Log("Successfully connected to the trading server")
    initAccount = _C(exchange.GetAccount)
    Log(initAccount)
    n = 0 

    def callBack(task, ret):
        Log(task["desc"], "success" if ret else "fail")

    q = ext.NewTaskQueue(callBack)

    if CoverAll:
        Log("Start closing all remaining positions...")
        ext.NewPositionManager().CoverAll()
        Log("Operation complete")

    t = Hedge(q, exchange, initAccount, SA, SB, HedgeSpread, CoverSpread)
    while True:
        q.poll()
        t.poll()

この取引戦略にチャートを追加します. 取引の戦略は,

次のコードを,LogStatusリアルタイムの価格差をK線統計に変換します.self.preBarTime追加されたメンバーです.Hedgeグラフを簡単に描くことができます. グラフは,グラフの位置を表示します.

# Calculate the spread K line
        r = exchange.GetRecords()
        if not r:
            return 
        diff = tickerB["Last"] - tickerA["Last"]
        if r[-1]["Time"] != self.preBarTime:
            # Update
            self.records.append({"Time": r[-1]["Time"], "High": diff, "Low": diff, "Open": diff, "Close": diff, "Volume": 0})
            self.preBarTime = r[-1]["Time"]
        if diff > self.records[-1]["High"]:
            self.records[-1]["High"] = diff
        if diff < self.records[-1]["Low"]:
            self.records[-1]["Low"] = diff
        self.records[-1]["Close"] = diff
        ext.PlotRecords(self.records, "diff:B-A")
        ext.PlotHLine(self.hedgeSpread if diff > 0 else -self.hedgeSpread, "hedgeSpread")
        ext.PlotHLine(self.coverSpread if diff > 0 else -self.coverSpread, "coverSpread")

バックテスト効果:

戦略は, インタラクティブな機能を追加します.HedgeSpreadそしてCoverSpread実行時のパラメータは,ヘッジ・スプレッドと閉鎖・スプレッドを制御します.また,一クリックでポジションを閉鎖するボタンが必要です.これらのコントロールを戦略編集ページに追加します.

戦略の主要なループでは,q.poll(), t.poll()呼び出し,インタラクティブな制御コードを追加します.

while True:
        q.poll()
        t.poll()
        # The following interactive control code
        cmd = GetCommand()
        if cmd:
            arr = cmd.split(":")
            if arr[0] == "AllCover":
                p.CoverAll()
            elif arr[0] == "SetHedgeSpread":
                t.SetHedgeSpread(float(arr[1]))
            elif arr[0] == "SetCoverSpread":
                t.SetCoverSpread(float(arr[1]))

取引戦略をここでコピーできます:https://www.fmz.com/strategy/211504