qmt交易框架2.0版本----支持实时高频交易

news2024/10/5 9:36:24

经过了2个星期的开发，终于迎来了qm交易框架2.0，超过了3000行源代码，使用类开发，使用方便。

我们看看利用框架写一个简单的实时高频交易策略，很简单

源代码

from qmt_trader.qmt_trader import qmt_traderfrom qmt_trader.qmt_data import qmt_datafrom qmt_trader.trader_tool import tdx_indicatorimport schedulefrom datetime import datetimeimport timeimport pandas as pdclass my_trader:    def __init__(self,path= r'D:/国金QMT交易端模拟/userdata_mini',                  session_id = 123456,account='55011917',account_type='STOCK',                  is_slippage=True,slippage=0.01,test=True):        '''        实时分钟T0策略利用实盘交易框架2.0        均线金叉买入死差卖出        '''        self.path=path        self.session_id=session_id        self.account=account        self.account_type=account_type        self.is_slippage=is_slippage        self.slippage=slippage        self.test=test        #买入的目标金额        self.buy_max_value=10000        #卖出的目标金额        self.sell_max_value=0        #股票列表        self.code_list=['159937','159980','159985','159981']        #5分，特别提醒这个参数和获取数据的速度有关系默认是3秒一次数据，        # 如果是3秒5分钟就等于3*20*5,short_line=100,这个我后面检验一下        self.short_line=5        #10分钟        self.long_line=10        self.trader=qmt_trader(path=self.path,account=self.account,account_type=self.account_type,                            is_slippage=self.is_slippage,slippage=self.slippage)        self.data=qmt_data()        #调整股票代码        self.stock_list=[]        for stock in self.code_list:            self.stock_list.append(self.trader.adjust_stock(stock=stock))        #订阅一分钟的数据，需要更快的话可以订阅tick数据        for stock in self.stock_list:            self.data.subscribe_quote(stock_code=stock,period='1m',start_time='20240101',                                      end_time='20500101',count=-1)    def connact(self):        '''        链接qmt        '''        try:            self.trader.connect()            print(self.trader.balance())            print(self.trader.position())            return True        except Exception as e:            print("运行错误:",e)            print('{}连接失败'.format('qmt'))            return False    def trader_func(self):        '''        交易函数        '''        #检查是否是交易时间        if self.trader.check_is_trader_date_1(trader_time=8,start_date=9,end_date=14,start_mi=0,jhjj='否'):            #读取订阅数据            df=self.data.get_market_data_ex(stock_list=self.stock_list,period='1m',                                            start_time='20240101',end_time='20500101',count=-1)            #解析数据            for stock in self.stock_list:                data=pd.DataFrame()                hist=df[stock]                data['date']=hist.index                data['close']=hist['close'].tolist()                data['short_line']=data['close'].rolling(self.short_line).mean()                data['long_line']=data['close'].rolling(self.long_line).mean()                #测试函数                data['test']=data['short_line']>data['long_line']                #金叉                if self.test:                    #测试交易                    gold_fork=data['test'].tolist()[-1]                else:                    gold_fork=tdx_indicator.CROSS_UP(S1=data['short_line'],S2=data['long_line'])[-1]                                #死叉                if self.test:                    dead_fork=data['test'].tolist()[-1]                else:                    dead_fork=tdx_indicator.CROSS_DOWN(S1=data['short_line'],S2=data['long_line'])[-1]                                #买入                if gold_fork==True:                    #买入                    stock=self.trader.adjust_stock(stock=stock)                    price=self.data.get_full_tick(code_list=[stock])[stock]['lastPrice']                    stock=stock[:6]                    trader_type,trader_amount,price=self.trader.order_target_value(stock=stock,price=price,value=self.buy_max_value)                    if trader_type=='buy' and trader_amount>=10:                        self.trader.buy(security=stock,amount=trader_amount,price=price)                        print('{} 死叉 买入 股票{} 数量{} 价格{}'.format(datetime.now(),stock,trader_amount,price))                    elif trader_type=='sell' and trader_amount>=10:                        self.trader.sell(security=stock,amount=trader_amount,price=price)                        print('持有买多了平部分{} 卖出 股票{} 数量{} 价格{}'.format(datetime.now(),stock,trader_amount,price))                    else:                        print('{} 触发金叉{}执行买入不了'.format(datetime.now(),stock))                else:                    print('{} 没有触发金叉{}'.format(datetime.now(),stock))                if dead_fork==True:                    #卖出                    stock=self.trader.adjust_stock(stock=stock)                    price=self.data.get_full_tick(code_list=[stock])[stock]['lastPrice']                    stock=stock[:6]                    trader_type,trader_amount,price=self.trader.order_target_value(stock=stock,price=price,value=self.sell_max_value)                    if trader_type=='sell' and trader_amount>=10:                        self.trader.sell(security=stock,amount=trader_amount,price=price)                        print('{} 死叉 卖出 股票{} 数量{} 价格{}'.format(datetime.now(),stock,trader_amount,price))                    else:                        print('{} 触发死叉{}执行卖出不了'.format(datetime.now(),stock))                else:                    print('{} 没有触发死叉{}'.format(datetime.now(),stock))        else:            print('{}目前不少交易时间'.format(datetime.now()))if __name__=='__main__':    trader=my_trader(path= r'D:/国金QMT交易端模拟/userdata_mini',                  session_id = 123456,account='55011917',account_type='STOCK',                  is_slippage=True,slippage=0.01,test=True)    trader.connact()    #3秒    schedule.every(0.05).minutes.do(trader.trader_func)    while True:        schedule.run_pending()        time.sleep(1)