本策略通过不断对CZCE.CF801进行:
买(卖)一价现价单开多(空)仓和卖(买)一价平多(空)仓来做市，并以此赚取差价
回测数据为:CZCE.CF801的tick数据
回测时间为:2017-09-29 11:25:00到2017-09-29 11:30:00
需要特别注意的是:本平台对于回测对限价单固定完全成交,本例子 仅供参考.
1.backtest_commission_ratio回测佣金比例
2.backtest_slippage_ratio回测滑点比例
3.backtest_transaction_ratio回测成交比例
以及优化策略逻辑来达到更贴近实际的回测效果
- # coding=utf-8
- from __future__ import print_function, absolute_import, unicode_literals
- from gm.api import *
- def init(context):
- # 订阅CZCE.CF801的tick数据
- context.symbol = 'CZCE.CF801'
- subscribe(symbols=context.symbol, frequency='tick')
- def on_tick(context, tick):
- quotes = tick['quotes'][0]
- # 获取持有的多仓
- positio_long = context.account().position(symbol=context.symbol, side=PositionSide_Long)
- # 获取持有的空仓
- position_short = context.account().position(symbol=context.symbol, side=PositionSide_Short)
- print(quotes['bid_p'])
- print(quotes['ask_p'])
- # 没有仓位则双向开限价单
- # 若有仓位则限价单平仓
- if not positio_long:
- # 获取买一价
- price = quotes['bid_p']
- print('买一价为: ', price)
- order_target_volume(symbol=context.symbol, volume=1, price=price, order_type=OrderType_Limit,
- position_side=PositionSide_Long)
- print('CZCE.CF801开限价单多仓1手')
- else:
- # 获取卖一价
- price = quotes['ask_p']
- print('卖一价为: ', price)
- order_target_volume(symbol=context.symbol, volume=0, price=price, order_type=OrderType_Limit,
- position_side=PositionSide_Long)
- print('CZCE.CF801平限价单多仓1手')
- if not position_short:
- # 获取卖一价
- price = quotes['ask_p']
- print('卖一价为: ', price)
- order_target_volume(symbol=context.symbol, volume=1, price=price, order_type=OrderType_Limit,
- position_side=PositionSide_Short)
- print('CZCE.CF801卖一价开限价单空仓')
- else:
- # 获取买一价
- price = quotes['bid_p']
- print('买一价为: ', price)
- order_target_volume(symbol=context.symbol, volume=0, price=price, order_type=OrderType_Limit,
- position_side=PositionSide_Short)
- print('CZCE.CF801买一价平限价单空仓')
- if __name__ == '__main__':
- '''
- strategy_id策略ID,由系统生成
- filename文件名,请与本文件名保持一致
- mode实时模式:MODE_LIVE回测模式:MODE_BACKTEST
- token绑定计算机的ID,可在系统设置-密钥管理中生成
- backtest_start_time回测开始时间
- backtest_end_time回测结束时间
- backtest_adjust股票复权方式不复权:ADJUST_NONE前复权:ADJUST_PREV后复权:ADJUST_POST
- backtest_initial_cash回测初始资金
- backtest_commission_ratio回测佣金比例
- backtest_slippage_ratio回测滑点比例
- backtest_transaction_ratio回测成交比例
- '''
- run(strategy_id='strategy_id',
- filename='main.py',
- mode=MODE_BACKTEST,
- token='token_id',
- backtest_start_time='2017-09-29 11:25:00',
- backtest_end_time='2017-09-29 11:30:00',
- backtest_adjust=ADJUST_PREV,
- backtest_initial_cash=500000,
- backtest_commission_ratio=0.00006,
- backtest_slippage_ratio=0.0001,
- backtest_transaction_ratio=0.5)
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