#!/usr/bin/env python
# -*- coding: utf-8 -*-
__author__ = 'limin'
"""
网格交易策略 (难度：中级)
参考: https://www.shinnytech.com/blog/grid-trading/
注: 该示例策略仅用于功能示范, 实盘时请根据自己的策略/经验进行修改
"""
from functools import reduce
from tqsdk import TqApi, TargetPosTask
SYMBOL = "DCE.jd2001" # 合约代码
START_PRICE = 4247 # 起始价位
GRID_AMOUNT = 10 # 网格在多头、空头方向的格子(档位)数量
api = TqApi()
grid_region_long = [0.005] * GRID_AMOUNT # 多头每格价格跌幅(网格密度)
grid_region_short = [0.005] * GRID_AMOUNT # 空头每格价格涨幅(网格密度)
grid_volume_long = [i for i in range(GRID_AMOUNT + 1)] # 多头每格持仓手数
grid_volume_short = [i for i in range(GRID_AMOUNT + 1)] # 空头每格持仓手数
grid_prices_long = [reduce(lambda p, r: p * (1 - r), grid_region_long[:i], START_PRICE) for i in
range(GRID_AMOUNT + 1)] # 多头每格的触发价位列表
grid_prices_short = [reduce(lambda p, r: p * (1 + r), grid_region_short[:i], START_PRICE) for i in
range(GRID_AMOUNT + 1)] # 空头每格的触发价位列表
print("策略开始运行, 起始价位: %f, 多头每格持仓手数:%s, 多头每格的价位:%s, 空头每格的价位:%s" % (
START_PRICE, grid_volume_long, grid_prices_long, grid_prices_short))
quote = api.get_quote(SYMBOL) # 行情数据
target_pos = TargetPosTask(api, SYMBOL)
position = api.get_position(SYMBOL) # 持仓信息
def wait_price(layer):
"""等待行情最新价变动到其他档位,则进入下一档位或回退到上一档位; 如果从下一档位回退到当前档位,则设置为当前对应的持仓手数;
layer : 当前所在第几个档位层次; layer>0 表示多头方向, layer<0 表示空头方向
"""
if layer > 0 or quote.last_price <= grid_prices_long[1]: # 是多头方向
while True:
api.wait_update()
# 如果当前档位小于最大档位,并且最新价小于等于下一个档位的价格: 则设置为下一档位对应的手数后进入下一档位层次
if layer < GRID_AMOUNT and quote.last_price <= grid_prices_long[layer + 1]:
target_pos.set_target_volume(grid_volume_long[layer + 1])
print("最新价: %f, 进入: 多头第 %d 档" % (quote.last_price, layer + 1))
wait_price(layer + 1)
# 从下一档位回退到当前档位后, 设置回当前对应的持仓手数
target_pos.set_target_volume(grid_volume_long[layer + 1])
# 如果最新价大于当前档位的价格: 则回退到上一档位
if quote.last_price > grid_prices_long[layer]:
print("最新价: %f, 回退到: 多头第 %d 档" % (quote.last_price, layer))
return
elif layer < 0 or quote.last_price >= grid_prices_short[1]: # 是空头方向
layer = -layer # 转为正数便于计算
while True:
api.wait_update()
# 如果当前档位小于最大档位层次,并且最新价大于等于下一个档位的价格: 则设置为下一档位对应的持仓手数后进入下一档位层次
if layer < GRID_AMOUNT and quote.last_price >= grid_prices_short[layer + 1]:
target_pos.set_target_volume(-grid_volume_short[layer + 1])
print("最新价: %f, 进入: 空头第 %d 档" % (quote.last_price, layer + 1))
wait_price(-(layer + 1))
# 从下一档位回退到当前档位后, 设置回当前对应的持仓手数
target_pos.set_target_volume(-grid_volume_short[layer + 1])
# 如果最新价小于当前档位的价格: 则回退到上一档位
if quote.last_price < grid_prices_short[layer]:
print("最新价: %f, 回退到: 空头第 %d 档" % (quote.last_price, layer))
return
while True:
api.wait_update()
wait_price(0) # 从第0层开始进入网格
target_pos.set_target_volume(0)