聚宽小市值策略代码转Ptrade实盘代码

#导入函数库

from jqdata import *

from jqfactor import *

import numpy as np

import pandas as pd

from datetime import time, datetime, timedelta



#初始化函数 

def initialize(context):

    # 策略参数配置

    g.signal = ''

    # 开启防未来函数

    set_option('avoid_future_data', True)

    # 设定基准

    set_benchmark('000300.XSHG')

    # 交易设置

    set_option('use_real_price', True)

    set_slippage(FixedSlippage(3/10000))

    set_order_cost(OrderCost(open_tax=0, close_tax=0.001, open_commission=2.5/10000, close_commission=2.5/10000, close_today_commission=0, min_commission=5), type='stock')

    # 日志设置

    log.set_level('order', 'error')

    log.set_level('system', 'error')

    log.set_level('strategy', 'debug')

    

    # 策略控制参数

    g.no_trading_today_signal = False  # 是否为可交易日

    g.pass_april = True  # 是否四月空仓

    g.run_stoploss = True  # 是否进行止损

    g.HV_control = False  # 是否进行放量控制

    g.HV_duration = 120  # 放量判断周期

    g.HV_ratio = 0.9  # 放量判断比例

    g.no_trading_hold_signal = False  # 是否持有非交易期股票

    

    # 持仓管理参数

    g.hold_list = []  # 当前持仓的全部股票    

    g.yesterday_HL_list = []  # 记录持仓中昨日涨停的股票

    g.target_list = []  # 目标买入列表

    g.not_buy_again = []  # 不再买入的股票列表

    

    # 交易参数

    g.stock_num = 3  # 持仓数量

    g.up_price = 100  # 最高买入价格

    g.reason_to_sell = ''  # 卖出原因

    g.stoploss_strategy = 3  # 止损策略：1为止损线止损，2为市场趋势止损，3为联合策略

    g.stoploss_limit = 0.91  # 个股止损线

    g.stoploss_market = 0.95  # 市场趋势止损参数

    g.no_trading_buy = ['600036.XSHG', '518880.XSHG', '600900.XSHG']  # 空仓月份持有 

    

    # 设置交易运行时间

    run_daily(prepare_stock_list, '9:05')

    run_weekly(weekly_adjustment, 2, '10:30')

    run_daily(sell_stocks, time='10:00')  # 止损函数

    run_daily(trade_afternoon, time='14:25')  # 检查持仓中的涨停股是否需要卖出

    run_daily(trade_afternoon, time='14:55')  # 检查持仓中的涨停股是否需要卖出

    run_daily(close_account, '14:50')

def before_trading_start(context, data):

    log.info('================= 盘前运行开始：{} '.format(str(context.blotter.current_dt)))

    g.__portfolio = PositionManager()

    g.order_set = set()

    # g.__lock = threading.Lock()





def remove_st_stock(all_stock_list):

    st_dict = get_stock_status(all_stock_list, query_type='ST', query_date=None)

    st_list = []

    for k, v in st_dict.items():

        if v:

            st_list.append(k)

    return st_list





def remove_halt_stock(all_stock_list):

    halt_dict = get_stock_status(all_stock_list, query_type='HALT', query_date=None)

    halt_list = []

    for k, v in halt_dict.items():

        if v:

            halt_list.append(k)

    return halt_list





def all_codes_in_market():

    all_stock_set = set(get_Ashares(date=None))

    for ignore_code in IGNORE_MARKET:

        market = MARKET_DICT.get(ignore_code)

        if market == '科创板':

            all_stock_set = all_stock_set - set(filter(lambda x: x.startswith('68'), all_stock_set))

        if market == '创业板':

            all_stock_set = all_stock_set - set(filter(lambda x: x.startswith('3'), all_stock_set))



    return all_stock_set