from jqdatasdk import *
from datetime import datetime as dt
import pandas as pd
import pymysql
from sqlalchemy import create_engine
import time
from xtquant.xttrader import XtQuantTrader, XtQuantTraderCallback
from xtquant.xttype import StockAccount
from xtquant import xtconstant
from xtquant import xtdata
auth('18616891214', 'Ea?*7f68nD.dafcW34d!')
# auth('18521506014', 'Abc123!@#')
#启动交易系统
path = 'c:\\qmt\\userdata_mini'
# session_id为会话编号，策略使用方对于不同的Python策略需要使用不同的会话编号
session_id = 20221123
# connect_result = xt_trader.connect()
# if connect_result == 0:
# print('QMTmini 已连接')
# else:
# print('连接失败')
# account = StockAccount('920000207040', 'SECURITY') # xt_trader为XtQuant API实例对象
# positions = xt_trader.query_stock_positions(account)
fre = '1d'
engine_hlfx_pool = create_engine('mysql+pymysql://root:r6kEwqWU9!v3@localhost:3307/hlfx_pool?charset=utf8')
# engine_stock = create_engine('mysql+pymysql://root:r6kEwqWU9!v3@localhost:3307/stocks?charset=utf8')
db_pool = pymysql.connect(host='localhost',
user='root',
port=3307,
password='r6kEwqWU9!v3',
database='hlfx_pool')
cursor_pool = db_pool.cursor()
fut = locals()
print(dt.now(), '开始寻找MA5趋势！')
def real_price(datas):
return datas
def XtTrader(new_keep_stock):
# 获取账号信息
# account = StockAccount('888824600221', 'CREDIT') #xt_trader为XtQuant API实例对象
account = StockAccount('920000207040', 'SECURITY') # xt_trader为XtQuant API实例对象
# print('acc:', account.account_type, account.account_id)
# print("query asset:")
asset = xt_trader.query_stock_asset(account)
xtdata.subscribe_whole_quote(new_keep_stock, callback=real_price)
positions = xt_trader.query_stock_positions(account)
if asset:
print("asset:")
print(asset.account_type, asset.account_id, asset.cash, asset.frozen_cash, asset.market_value,
asset.total_asset)
# 开始交易
for i in new_keep_stock:
print(i)
# price = get_bars(i.replace('SH', 'XSHG').replace('SZ', 'XSHE'), count=1, unit=fre, fields=['close'],
# include_now=True).iloc[-1].at['close']
datas = real_price()
price = datas[i]['lastPrice']
print('price:', price)
exit()
print(asset.cash / price)
if asset.cash > 2000:
volume = int((asset.cash / 2 / price) // 100 * 100)
print('volume：', volume)
order_id = xt_trader.order_stock(account, i, xtconstant.STOCK_BUY, volume, xtconstant.LATEST_PRICE, price, 'strategy1', 'order_test')
print(order_id)
# for i in positions:
# price = get_bars(i.replace('SH', 'XSHG').replace('SZ', 'XSHE'), count=1, unit=fre, fields=['close'],
# include_now=True).iloc[-1].at['close']
# if Sell_Trader(i):
# print('yao maihu de gupiao !!!!!!!!!!!', i.stock_code)
# order_id = xt_trader.order_stock(account, i, xtconstant.STOCK_SELL,
# 1000, xtconstant.FIX_PRICE, 10.90, 'strategy1', 'order_test')
# print(positions[1].stock_code, positions[1].volume)
print('今日成交：')
for trades in xt_trader.query_stock_trades(account):
print(trades.stock_code, trades.traded_volume, trades.traded_price)
positions = xt_trader.query_stock_positions(account)
print("positions:", len(positions))
if len(positions) != 0:
print("last position:")
print("{0} {1} {2}".format(positions[-1].account_id, positions[-1].stock_code, positions[-1].volume))
print(positions)
xt_trader.stop()
def Sell_Trader(stock, account, positions, volume):
price = get_bars(stock, count=1, unit=fre, fields=['close'],
include_now=True).iloc[-1].at['close']
print(type(stock.replace('XSHG', 'SH').replace('XSHE', 'SZ')),stock.replace('XSHG', 'SH').replace('XSHE', 'SZ') )
order_id = xt_trader.order_stock(account, stock.replace('XSHG', 'SH').replace('XSHE', 'SZ'), xtconstant.STOCK_SELL,
volume, xtconstant.LATEST_PRICE, 0, 'strategy1', 'order_test')
print(order_id, i)
while True:
# print('进入循环')
stocks = xtdata.get_stock_list_in_sector('沪深A股')
now_date = dt.now()
date_morning_begin = now_date.replace(hour=9, minute=25, second=0)
date_morning_end = now_date.replace(hour=11, minute=31, second=0)
date_afternooe_begin = now_date.replace(hour=13, minute=0, second=0)
date_afternooe_end = now_date.replace(hour=15, minute=0, second=0)
if True:
# if date_morning_begin < now_date < date_morning_end or date_afternooe_begin < now_date < date_afternooe_end:
# time.sleep(1800)
# 后续的所有示例将使用该实例对象
xt_trader = XtQuantTrader(path, session_id)
xt_trader.start()
connect_result = xt_trader.connect()
xtdata.subscribe_whole_quote(stocks, callback=real_price)
try:
if connect_result == 0:
print('QMTmini 已连接')
else:
print('连接失败')
account = StockAccount('920000207040', 'SECURITY') # xt_trader为XtQuant API实例对象
positions = xt_trader.query_stock_positions(account)
print(positions)
except BaseException:
continue
for i in positions:
# print(i.stock_code, i.volume)
volume = i.volume
stock = i.stock_code.replace('SH', 'XSHG').replace('SZ', 'XSHE')
df_stock = get_bars(stock, count=60, unit=fre,
fields=['date', 'open', 'close', 'high', 'low', 'volume'],
include_now=True, df=True)
# price = df_stock.iloc[-1].at['close']
datas = real_price()
price = datas[i.stock_code]['lastPrice']
MA5_1 = df_stock['close'][-7:-2].mean()
MA5 = df_stock['close'][-6:-1].mean()
MA10 = df_stock['close'][-11:-1].mean()
MA20 = df_stock['close'][-21:-1].mean()
if price < MA5 or MA5 < MA5_1 or price > MA5 * 1.12:
print(MA5, MA5_1)
Sell_Trader(stock, account, positions, volume)
for fre in ['1d']:
print('开始：', fre)
results = []
try:
stock_pool = pd.read_sql_query(
'select value from `%s`' % fre, engine_hlfx_pool)
stock_pool = stock_pool.iloc[-1, 0].split(",")
print(stock_pool)
except BaseException:
continue
for stock in stock_pool:
# print(stock)
try:
df_stock = get_bars(stock, count=60, unit=fre, fields=['date', 'open', 'close', 'high', 'low','volume'],
include_now=True, df=True)
# print('time=', df_stock.iloc[-1].at['date'])
# price = df_stock.iloc[-1].at['close']
datas = real_price()
price = datas[i]['lastPrice']
price_open = df_stock.iloc[-1].at['open']
MA5_1 = df_stock['close'][-7:-2].mean()
MA5 = df_stock['close'][-6:-1].mean()
MA10 = df_stock['close'][-11:-1].mean()
MA20 = df_stock['close'][-21:-1].mean()
# print(price,price_open, 'ma5_1:',MA5_1, 'ma5:', MA5,MA10)
if (price > price_open) & (price > MA5) & (MA5 > MA5_1) & (price < MA5 * 1.03) & (MA20 < MA10) \
& (df_stock.iloc[-1].at['volume'] > df_stock.iloc[-2].at['volume']):
print(stock)
results.append(stock)
elif price < MA5 or MA5<MA5_1 or price > MA5*1.09:
stock_pool.remove(stock)
print(stock, '已失败！')
except BaseException:
continue
results = list(set(results))
print(results)
now_time = dt.now().strftime('%Y-%m-%d %H:%M:%S')
# results_list =','.join(results)
# print(fre, '\n', results_list)
if len(results) == 0:
continue
else:
num_industry = get_industry(results)
print(num_industry)
industry_list = []
for key in num_industry.values():
for key2 in key.values():
industry_list.append(key2['industry_name'])
industry_list = pd.value_counts(industry_list)
# 最热集中的n个板块
max_industry_list = list(industry_list[0:3].index)
results_industry = []
for key, value in num_industry.items():
for key2 in value.values():
if key2['industry_name'] in max_industry_list:
results_industry.append(key)
print('suoyou:', set(results_industry))
results_industry = ','.join(set(results_industry))
print(fre, '\n', results_industry)
sql = "INSERT INTO MA5_%s (date,value) VALUES('%s','%s')" % (fre, dt.now().strftime('%Y-%m-%d %H:%M:%S'),
results_industry)
cursor_pool.execute(sql)
db_pool.commit()
print(len(results_industry), results_industry)
print(dt.now(), '数据库数据已赋值！')
# 取值交易
engine_hlfx_pool = create_engine('mysql+pymysql://root:r6kEwqWU9!v3@localhost:3307/hlfx_pool?charset=utf8')
# stocks = xtdata.get_stock_list_in_sector('沪深A股')
keep_stocks = pd.read_sql_query(
'select value from `MA5_%s`' % fre, engine_hlfx_pool)
keep_stocks = keep_stocks.iloc[-1, 0].split(",")
new_keep_stock = [stock.replace('XSHG', 'SH').replace('XSHE', 'SZ') for stock in keep_stocks]
print(new_keep_stock)
price = get_bars(keep_stocks, count=1, unit=fre, fields=['close'])
XtTrader(new_keep_stock)
xt_trader.run_forever()
time.sleep(1800)
elif now_date > date_afternooe_end:
pass
# print("MA5_收盘了", now_date)
# break