增加交易策略、交易指标、量化库代码等文件夹

5.课程代码/2.Option_spread_strategy/使用文档/19/19_demo.ipynb

@@ -0,0 +1,176 @@
+{
+ "cells": [
+  {
+   "cell_type": "code",
+   "execution_count": 5,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 加载功能模块\n",
+    "from datetime import datetime\n",
+    "\n",
+    "from vnpy.trader.constant import Interval\n",
+    "\n",
+    "from elite_optionstrategy import BacktestingEngine\n",
+    "\n",
+    "from buy_option_strategy import BuyOptionStrategy"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 6,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 创建回测引擎\n",
+    "engine = BacktestingEngine()\n",
+    "\n",
+    "engine.set_parameters(\n",
+    "    interval=Interval.MINUTE,\n",
+    "    start=datetime(2023, 1, 1),\n",
+    "    end=datetime(2023, 6, 30),\n",
+    "    rate=0,\n",
+    "    slippage=0.6 + (16 / 100),\n",
+    ")\n",
+    "\n",
+    "engine.add_strategy(BuyOptionStrategy, {})"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 8,
+   "metadata": {
+    "tags": []
+   },
+   "outputs": [
+    {
+     "name": "stderr",
+     "output_type": "stream",
+     "text": [
+      "  1%|          | 2/180 [00:00<00:16, 10.53it/s]"
+     ]
+    },
+    {
+     "name": "stdout",
+     "output_type": "stream",
+     "text": [
+      "2024-03-09 09:42:27.361177\t触发异常，回测终止\n",
+      "2024-03-09 09:42:27.362176\tTraceback (most recent call last):\n",
+      "  File \"C:\\veighna_elite_simulation\\lib\\site-packages\\elite_optionstrategy\\backtesting.py\", line 114, in run_backtesting\n",
+      "  File \"C:\\veighna_elite_simulation\\lib\\site-packages\\elite_optionstrategy\\backtesting.py\", line 397, in _run_intraday\n",
+      "  File \"C:\\veighna_elite_simulation\\lib\\site-packages\\elite_optionstrategy\\backtesting.py\", line 442, in _new_bars\n",
+      "  File \"D:\\Gitee_Code\\trading_strategy\\VNPY_Code\\Option_spread_strategy\\使用文档\\19\\buy_option_strategy.py\", line 66, in on_bars\n",
+      "    portfolio: PortfolioData = self.get_portfolio(self.option_portfolio)\n",
+      "  File \"C:\\veighna_elite_simulation\\lib\\site-packages\\elite_optionstrategy\\template.py\", line 247, in get_portfolio\n",
+      "KeyError: 'IO'\n",
+      "\n"
+     ]
+    },
+    {
+     "name": "stderr",
+     "output_type": "stream",
+     "text": [
+      "\n"
+     ]
+    }
+   ],
+   "source": [
+    "# 历史数据回放\n",
+    "engine.run_backtesting()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 4,
+   "metadata": {},
+   "outputs": [
+    {
+     "name": "stdout",
+     "output_type": "stream",
+     "text": [
+      "2024-03-09 09:28:32.115670\t开始计算逐日盯市盈亏\n",
+      "2024-03-09 09:28:32.115670\t逐日盯市盈亏计算完成\n"
+     ]
+    }
+   ],
+   "source": [
+    "# 计算每日盈亏\n",
+    "engine.calculate_result()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 统计绩效结果\n",
+    "result = engine.calculate_statistics()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 显示资金图表\n",
+    "engine.show_chart()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 打印逐笔成交\n",
+    "for trade in engine.all_trades.values():\n",
+    "    print(trade.datetime, trade.vt_symbol, trade.direction.value, trade.offset.value, trade.volume, \"@\", trade.price)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "for result in engine.daily_results.values():\n",
+    "    print(result.today_close_data[\"IO2201-C-4900.CFFEX\"])"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": []
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3 (ipykernel)",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.10.9"
+  },
+  "vscode": {
+   "interpreter": {
+    "hash": "1b43cb0bd93d5abbadd54afed8252f711d4681fe6223ad6b67ffaee289648f85"
+   }
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 4
+}

5.课程代码/2.Option_spread_strategy/使用文档/19/buy_option_strategy.py

@@ -0,0 +1,152 @@
+from vnpy.trader.constant import Interval
+from vnpy.trader.utility import ArrayManager, BarGenerator
+from vnpy.trader.object import TickData, BarData
+
+from elite_optionstrategy import (
+    StrategyTemplate,
+    Variable,
+    Parameter,
+    PortfolioData,
+)
+
+
+class BuyOptionStrategy(StrategyTemplate):
+    """基于均线信号买入期权的策略"""
+
+    author: str = "用Python的交易员"
+
+    option_portfolio: str = Parameter("IO")             # 期权产品代码
+    underlying_symbol: str = Parameter("IFJQ00.CFFEX")  # 标的合约代码
+    fast_window: int = Parameter(20)                    # 快速均线周期
+    slow_window: int = Parameter(120)                   # 慢速均线周期
+    fixed_size: int = Parameter(1)                      # 交易的手数
+    percent_add: float = Parameter(0.02)                # 委托超价比例
+
+    ma_signal: int = Variable(0)                        # 当前信号多空
+
+    def on_init(self):
+        """策略初始化"""
+        self.write_log("策略初始化")
+
+        self.subscribe_options(self.option_portfolio)
+        self.subscribe_data(self.underlying_symbol)
+
+        # 标的信号对象
+        self.factor = MaFactor(
+            self.underlying_symbol,
+            self.fast_window,
+            self.slow_window
+        )
+
+        # 加载标的历史数据初始化
+        bars = self.load_bars(self.underlying_symbol, 10, Interval.MINUTE)
+        for bar in bars:
+            self.factor.update_bar(bar)
+
+    def on_start(self):
+        """策略启动"""
+        self.write_log("策略启动")
+
+    def on_stop(self):
+        """策略停止"""
+        self.write_log("策略停止")
+
+    def on_tick(self, tick: TickData):
+        """Tick推送"""
+        pass
+
+    def on_bars(self, bars: dict[str, BarData]):
+        """K线推送"""
+        # 回测首先计算标的信号
+        underlying_bar: BarData = bars.pop(self.underlying_symbol, None)
+        if underlying_bar:
+            self.factor.update_bar(underlying_bar)
+
+        # 获取期权组合对象
+        portfolio: PortfolioData = self.get_portfolio(self.option_portfolio)
+
+        # 更新最新期权价格到组合
+        price_data: dict[str, float] = {}
+        for bar in bars.values():
+            price_data[bar.vt_symbol] = bar.close_price
+
+        portfolio.update_price(price_data)
+
+        # 获取当月期权链
+        front_chain = portfolio.get_chain_by_level(0)
+        if not front_chain:
+            self.write_log("无法获取当月期权链，请检查是否正确添加了期权合约")
+            return
+
+        # 计算平值期权
+        front_chain.calculate_atm()
+
+        # 获取当前均线多空信号
+        ma_signal: int = self.factor.get_signal()
+
+        # 如果均线多头排列，且尚未做多
+        if ma_signal > 0 and self.ma_signal <= 0:
+            # 清空之前的目标
+            self.clear_targets()
+
+            # 做多平值call
+            atm_call = front_chain.get_option_by_level(cp=1, level=0)
+            self.set_target(atm_call.vt_symbol, self.fixed_size)
+        # 如果均线空头排列，且尚未做空
+        elif ma_signal < 0 and self.ma_signal >= 0:
+            # 清空之前的目标
+            self.clear_targets()
+
+            # 做多平值put
+            atm_put = front_chain.get_option_by_level(cp=-1, level=0)
+            self.set_target(atm_put.vt_symbol, self.fixed_size)
+
+        # 缓存均线多空信号
+        self.ma_signal = ma_signal
+
+        # 执行具体的委托交易
+        self.execute_trading(price_data, self.percent_add)
+
+
+class MaFactor:
+    """标的物均线因子（基于均线输出多空信号）"""
+
+    def __init__(
+        self,
+        vt_symbol: str,
+        fast_window: int,
+        slow_window: int
+    ) -> None:
+        """构造函数"""
+        self.vt_symbol: str = vt_symbol
+        self.fast_window: int = fast_window
+        self.slow_window: int = slow_window
+
+        self.bg: BarGenerator = BarGenerator(self.update_bar)
+        self.am: ArrayManager = ArrayManager(slow_window + 10)
+
+        self.signal: int = 0
+
+    def update_tick(self, tick: TickData) -> None:
+        """Tick更新"""
+        self.bg.update_tick(tick)
+
+    def update_bar(self, bar: BarData) -> None:
+        """K线更新"""
+        self.am.update_bar(bar)
+
+        # 计算均线
+        self.fast_ma = self.am.sma(self.fast_window)
+        self.slow_ma = self.am.sma(self.slow_window)
+
+        # 判断信号
+        if self.fast_ma > self.slow_ma:
+            self.signal = 1
+        elif self.fast_ma < self.slow_ma:
+            self.signal = -1
+        else:
+            self.signal = 0
+
+    def get_signal(self) -> int:
+        """获取当前多空信号"""
+        return self.signal

5.课程代码/2.Option_spread_strategy/使用文档/19/download_data.ipynb

@@ -0,0 +1,139 @@
+{
+ "cells": [
+  {
+   "cell_type": "code",
+   "execution_count": 1,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 配置迅投研数据服务\n",
+    "from vnpy.trader.setting import SETTINGS\n",
+    "\n",
+    "SETTINGS[\"datafeed.name\"] = \"xt\"\n",
+    "SETTINGS[\"datafeed.username\"] = \"token\"\n",
+    "SETTINGS[\"datafeed.password\"] = \"4aff6f3b0dcfc990ec9476213ba784e17c34e757\""
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 2,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 加载功能模块\n",
+    "from datetime import datetime\n",
+    "\n",
+    "from vnpy.trader.datafeed import get_datafeed\n",
+    "from vnpy.trader.object import HistoryRequest, Exchange, Interval\n",
+    "\n",
+    "from vnpy_sqlite import Database as SqliteDatabase\n",
+    "from elite_database import Database as EliteDatabase"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 3,
+   "metadata": {},
+   "outputs": [
+    {
+     "data": {
+      "text/plain": [
+       "True"
+      ]
+     },
+     "execution_count": 3,
+     "metadata": {},
+     "output_type": "execute_result"
+    }
+   ],
+   "source": [
+    "# 初始化数据服务\n",
+    "datafeed = get_datafeed()\n",
+    "datafeed.init()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 4,
+   "metadata": {},
+   "outputs": [
+    {
+     "name": "stdout",
+     "output_type": "stream",
+     "text": [
+      "数据长度 174959\n"
+     ]
+    }
+   ],
+   "source": [
+    "# 查询期权历史数据\n",
+    "req = HistoryRequest(\n",
+    "    symbol=\"IFJQ00\",    # 加权指数 \n",
+    "    # symbol=\"IF00\",      # 主力连续（未平滑）\n",
+    "    exchange=Exchange.CFFEX,\n",
+    "    start=datetime(2015, 1, 1),\n",
+    "    end=datetime.now(),\n",
+    "    interval=Interval.MINUTE\n",
+    ")\n",
+    "\n",
+    "bars = datafeed.query_bar_history(req)\n",
+    "print(\"数据长度\", len(bars))"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": 5,
+   "metadata": {},
+   "outputs": [
+    {
+     "data": {
+      "text/plain": [
+       "True"
+      ]
+     },
+     "execution_count": 5,
+     "metadata": {},
+     "output_type": "execute_result"
+    }
+   ],
+   "source": [
+    "# 创建Elite数据库实例并写入数据\n",
+    "db2 = EliteDatabase()\n",
+    "db2.save_bar_data(bars)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": []
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3 (ipykernel)",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.10.9"
+  },
+  "vscode": {
+   "interpreter": {
+    "hash": "1b43cb0bd93d5abbadd54afed8252f711d4681fe6223ad6b67ffaee289648f85"
+   }
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 4
+}

5.课程代码/2.Option_spread_strategy/使用文档/19/update_data.py

@@ -0,0 +1,184 @@
+from multiprocessing import Process
+from datetime import datetime
+
+from vnpy.trader.database import BarOverview
+from vnpy.trader.datafeed import get_datafeed
+from vnpy.trader.object import ContractData, BarData, HistoryRequest
+from vnpy.trader.constant import Exchange, Product, OptionType, Interval
+from vnpy.trader.setting import SETTINGS
+
+from elite_database import EliteDatabase
+
+
+# 配置迅投研数据服务
+SETTINGS["datafeed.name"] = "xt"
+SETTINGS["datafeed.username"] = "token"
+SETTINGS["datafeed.password"] = "4aff6f3b0dcfc990ec9476213ba784e17c34e757"
+
+
+# 交易所映射关系
+EXCHANGE_XT2VT = {
+    "SH": Exchange.SSE,
+    "SZ": Exchange.SZSE,
+    "BJ": Exchange.BSE,
+    "SF": Exchange.SHFE,
+    "IF": Exchange.CFFEX,
+    "INE": Exchange.INE,
+    "DF": Exchange.DCE,
+    "ZF": Exchange.CZCE,
+    "GF": Exchange.GFEX
+}
+
+
+def update_history_data() -> None:
+    """更新历史合约信息"""
+    # 在子进程中加载xtquant
+    from xtquant.xtdata import download_history_data
+
+    # 初始化数据服务
+    datafeed = get_datafeed()
+    datafeed.init()
+
+    # 下载历史合约信息
+    download_history_data("", "historycontract")
+
+    print("xtquant历史合约信息下载完成")
+
+
+def update_contract_data(sector_name: str) -> None:
+    """更新合约数据"""
+    # 在子进程中加载xtquant
+    from xtquant.xtdata import (
+        get_stock_list_in_sector,
+        get_instrument_detail
+    )
+
+    # 初始化数据服务
+    datafeed = get_datafeed()
+    datafeed.init()
+
+    # 查询中金所历史合约代码
+    vt_symbols: list[str] = get_stock_list_in_sector(sector_name)
+
+    # 遍历列表查询合约信息
+    contracts: list[ContractData] = []
+
+    for xt_symbol in vt_symbols:
+        # 拆分XT代码
+        symbol, xt_exchange = xt_symbol.split(".")
+
+        # 筛选期权合约合约
+        if "-" in symbol:
+            data: dict = get_instrument_detail(xt_symbol, True)
+
+            type_str = data["InstrumentID"].split("-")[1]
+            if type_str == "C":
+                option_type = OptionType.CALL
+            elif type_str == "P":
+                option_type = OptionType.PUT
+
+            option_underlying: str = data["InstrumentID"].split("-")[0]
+                
+            contract: ContractData = ContractData(
+                symbol=data["InstrumentID"],
+                exchange=EXCHANGE_XT2VT[xt_exchange.replace("O", "")],
+                name=data["InstrumentName"],
+                product=Product.OPTION,
+                size=data["VolumeMultiple"],
+                pricetick=data["PriceTick"],
+                min_volume=data["MinLimitOrderVolume"],
+                option_strike=data["ExtendInfo"]["OptExercisePrice"],
+                option_listed=datetime.strptime(data["OpenDate"], "%Y%m%d"),
+                option_expiry=datetime.strptime(data["ExpireDate"], "%Y%m%d"),
+                option_underlying=option_underlying,
+                option_portfolio=data["ProductID"],
+                option_index=str(data["ExtendInfo"]["OptExercisePrice"]),
+                option_type=option_type,
+                gateway_name="XT"
+            )
+            contracts.append(contract)
+
+    # 保存合约信息到数据库
+    database: EliteDatabase = EliteDatabase()
+    database.save_contract_data(contracts)
+
+    print("合约信息更新成功", len(contracts))
+
+
+def update_bar_data() -> None:
+    """更新K线数据"""
+    # 初始化数据服务
+    datafeed = get_datafeed()
+    datafeed.init()
+
+    # 获取当前时间戳
+    now: datetime = datetime.now()
+
+    # 获取合约信息
+    database: EliteDatabase = EliteDatabase()
+    contracts: list[ContractData] = database.load_contract_data()
+
+    # 获取数据汇总
+    data: list[BarOverview] = database.get_bar_overview()
+
+    overviews: dict[str, BarOverview] = {}
+    for o in data:
+        # 只保留分钟线数据
+        if o.interval != Interval.MINUTE:
+            continue
+
+        vt_symbol: str = f"{o.symbol}.{o.exchange.value}"
+        overviews[vt_symbol] = o
+
+    # 遍历所有合约信息
+    for contract in contracts:
+        # 如果没有到期时间，则跳过
+        if not contract.option_expiry:
+            continue
+
+        # 查询数据汇总
+        overview: BarOverview = overviews.get(contract.vt_symbol, None)
+
+        # 如果已经到期，则跳过
+        if overview and contract.option_expiry < now:
+            continue
+
+        # 初始化查询开始的时间
+        start: datetime = datetime(2018, 1, 1)
+
+        # 实现增量查询
+        if overview:
+            start = overview.end
+
+        # 执行数据查询和更新入库
+        req: HistoryRequest = HistoryRequest(
+            symbol=contract.symbol,
+            exchange=contract.exchange,
+            start=start,
+            end=datetime.now(),
+            interval=Interval.MINUTE
+        )
+
+        bars: list[BarData] = datafeed.query_bar_history(req)
+
+        if bars:
+            database.save_bar_data(bars)
+
+            start_dt: datetime = bars[0].datetime
+            end_dt: datetime = bars[-1].datetime
+            msg: str = f"{contract.vt_symbol}数据更新成功，{start_dt} - {end_dt}"
+            print(msg)
+
+
+if __name__ == "__main__":
+    # 使用子进程更新历史合约信息
+    process: Process = Process(target=update_history_data)
+    process.start()
+    process.join()      # 等待子进程执行完成
+
+    # 更新合约信息
+    update_contract_data("中金所")
+    update_contract_data("过期中金所")
+
+    # 更新历史数据
+    # update_bar_data()