小白量化《穿云箭集群量化》（9）用指标公式实现miniQMT全自动交易

小白量化《穿云箭集群量化》（9）用指标公式实现miniQMT全自动交易
在穿云箭量化平台中，支持3中公式源码运行模式，还支持在Python策略中使用仿指标公式源码运行，编写策略。
我们先看如何使用指标公式源码。

#编程_直接使用通达信自编指标公式显示K线指标
import os,sys
sys.path.append(os.path.abspath('.'))
sys.path.append(os.path.abspath('..'))
import pandas as pd
import numpy  as np
import matplotlib.pyplot as plt
import HP_tdx as htdx#小白通达信行情库 
from HP_formula import *   #小白股票指标公式函数库
import HP_tdxgs as hgs  #小白通达信公式库plt.rcParams['font.sans-serif']=['SimHei'] #用来正常显示中文标签
plt.rcParams['axes.unicode_minus']=False #用来正常显示负号tdxapi=htdx.TdxInit(ip='180.153.18.171')
code='600019'
df=hgs.get_security_bars(nCategory=4,nMarket = -1,code=code)
print(df)
#df.to_csv( "股票数据源.csv" , encoding= 'gbk')
#df2=pd.read_csv("股票数据源.csv"  , encoding= 'gbk')
#KDJ指标
gs='''
N:=9;
M1:=3;
M2:=3;
RSV:=(CLOSE-LLV(LOW,N))/(HHV(HIGH,N)-LLV(LOW,N))*100;
K:SMA(RSV,M1,1), CIRCLEDOT,COLORFF0000,LINETHICK2;
D:SMA(K,M2,1), LINETHICK3 , COLOR00FF00 ;
J:3*K-2*D, LINETHICK2, COLOR0000FF;
'''#MACD指标
gs2='''
SHORT:=12;
LONG:=26;
MID:=9;
DIF:EMA(CLOSE,SHORT)-EMA(CLOSE,LONG);
DEA:EMA(DIF,MID);
MACD2:(DIF-DEA)*2,COLORSTICK;
'''#LHXJ 猎狐先觉
gs3='''
VAR1=(CLOSE*2+HIGH+LOW)/4;
VAR2=EMA(VAR1,13)-EMA(VAR1,34);
VAR3=EMA(VAR2,5);
ZLQP:(-2)*(VAR2-VAR3)*3.8;
ZLKP:2*(VAR2-VAR3)*3.8;
'''#绘制图形
plt.figure(1,figsize=(10,6), dpi=100)
#绘制主图指标
ax1=plt.subplot(311)
#绘制副图指标
ax2=plt.subplot(312)
#绘制副图指标
ax3=plt.subplot(313)tgs1=hgs.Tdxgs()
tgs1.loaddf(df)
mydf=tgs1.rungs(gs)
print('KDJ指标：\n',gs)
print('公式变量：',tgs1.bl)
print('输出变量：',tgs1.bl2)
tgs1.brawline(ax1)
print(mydf)
#mydf.to_csv( "股票数据KDJ返回结果.csv" , encoding= 'gbk')
#mydf2=pd.read_csv("股票数据KDJ返回结果.csv" , encoding= 'gbk')#print(gs2)
tgs2=hgs.Tdxgs()
tgs2.loaddf(df)
mydf2=tgs2.rungs(gs2)
tgs2.brawline(ax2)#print(gs2)
tgs3=hgs.Tdxgs()
tgs3.loaddf(df)
mydf3=tgs3.rungs(gs3)
tgs3.brawline(ax3)
plt.show()

程序运行结果，
我们可以在穿云箭量化平台上使用指标公式源码一键生成easytrader策略和miniQMT自动交易策略。
我们可以直接使用有买卖信号的专家系统公式，也可以自定义BUY和SELL信号，也支持B和S交易信号。

上图是通达信KD专家系统公式，我们点按钮显示图形，能够正常显示买卖信号。
我们直接点【生成miniQMT交易】按钮，生成miniQMT全自动交易策略源代码，源代码如下，用户只要修改程序路径和用户，就可以直接在穿云箭量化软件高级版面中进行实盘。
也可以将策略中的自编指标，更换为其他自编公式源码。

策略名='高级_miniQMT公式策略'
import pandas as pd
import time,os
import HP_tdx as htdx   #小白量化行情模块
import HP_global as hg   #建立高级全局数据域hg
from HP_formula import *  #小白量化公式模块
from HP_factor import *  #小白量化因子公式及Alpha公式模块
import HP_factor as hf #小白量化因子公式及Alpha公式模块
import HP_formula as gs  #小白量化公式模块
import HP_quant as hpq   #穿云箭量化模块
from HP_quant import *  #穿云箭量化模块
import HP_tdx as htdx  #通达信行情模块
import HP_tdxgs as tgs  #公式运行模块
import  random, time, logging, datetime, json, akshare
from xtquant import xtdata, xttrader, xtconstant
from xtquant.xttrader import XtQuantTrader, XtQuantTraderCallback
from xtquant.xttype import StockAccount
import HP_xbdata as hpx
import HP_mqmt as hqmttrader = hqmt.Trader()##########修改帐户信息########################
qmt_path='D:\\华宝证券QMT实盘交易端'
account_id = ""
#############################################
session_id = random.randint(20000, 60000)
qmt_dir = qmt_path + '\\userdata_mini'
account_type = "STOCK" # 账号类型，可选STOCK、CREDIT
xtdata.data_dir = qmt_path + '\\datadir'
connect_result = trader.set_trader(qmt_dir, session_id)
trader.set_account(account_id, account_type=account_type)
print("交易连接成功！") if connect_result == 0 else print("交易连接失败！")mygs=tgs.Tdxgs()
def initialize(context):#context.istest=True    context.zh='xiaoba'      #账户context.zhlx='回测'   #账户类型,2个汉字context.firstcash=1000000.00  #初始现金context.cash=context.firstcashcontext.portfolio.available_cash=context.firstcash# 设置我们要操作的股票池#g.stocks=hpq.get_universe()#g.stocks=['000001.SZ','000776.SZ','600030.SH']#codes=htdx.getzxgfile('G2022X500.blk')codes=hpq.get_universe()g.cwsj={}  #财务数据    codes2=[]for m,c in codes:if m==0:cc=c+'.SZ'elif m==1:cc=c+'.SH'codes2.append(cc)cw=xtdata.get_instrument_detail(cc)g.cwsj[cc]=cw#print(m,cc,cw)g.stocks=codes2hpq.set_universe(g.stocks)hpq.log.info('----策略环境信息-----')print('量化模块版本: ',hpq.ver)print('量化模块最后修改日期: ',hpq.mdate)print('svrip: ',hpq.svrip)print('svrport: ',hpq.svrport)print('\n----开始运行策略-----\n')print('策略名:'+策略名)qhcsj2=time.strftime('%Y%m%d %H:%M:%S',time.localtime(time.time()))print('开始运行时间:'+qhcsj2)# 设定基准set_benchmark('000001.SH')# 开启动态复权模式(真实价格)set_option('use_real_price', True)set_times(6)  #设置多少圈读一次持仓hg.hqsl=0 #行情数量hg.seemsg=Falseasset = trader.xt_trader.query_stock_asset(trader.account)context.portfolio.total_value=asset.total_asset   #总资产context.portfolio.available_cash=asset.cash       #'可用金额'context.portfolio.positions_value=asset.market_value    #'股票市值'context.portfolio.locked_cash=asset.frozen_cash  #冻结金额holding=hqmt.query_holding(trader)g.zstime=datetime.datetime.now()g.codezs=[]g.holds=[]  #持仓证券代码print(asset.total_asset,asset.cash)for i in range(len(holding)):股票代码=holding[i][0]['股票代码']g.holds.append(股票代码)if 股票代码 not in context.portfolio.positions:context.portfolio.positions[股票代码]=hpq.Position(股票代码)context.portfolio.positions[股票代码].total_amount=holding[i][0]['持仓']context.portfolio.positions[股票代码].closeable_amount=holding[i][0]['可用持仓']context.portfolio.positions[股票代码].acc_avg_cost=holding[i][0]['成本']context.portfolio.positions[股票代码].value=holding[i][0]['持仓市值']context.ccs=g.holdshpq.context=contextg.MAX=50g.hd=0.003 #滑点g.zsfd=-0.03  #止损幅度g.amount=100 #买入数量g.xdzj=10000.00 #买入金额，下单资金g.cs=0  #策略运行次数#中文Python学习交流群 934165481g.gs='''{自编指标公式，最好用专家系统公式}N:=9;
M1:=3;
RSV:=(CLOSE-LLV(LOW,N))/(HHV(HIGH,N)-LLV(LOW,N))*100;
K:=SMA(RSV,M1,1);
D:=SMA(K,M1,1);
J:=3*K-2*D;
ENTERLONG:CROSS(J,D);
EXITLONG:CROSS(D,J);'''# 每个单位时间(如果按天回测,则每天调用一次,如果按分钟,则每分钟调用一次)调用一次
def market_open(context):starttime = datetime.datetime.now()g.cs=g.cs+1#开始撤单if g.cs%2==1:wtc=hqmt.query_order(trader,'') #获取委托池for i in range(len(wtc)):wt=wtc[i]if wt['委托状态']=='已报' or wt['委托状态']=='部分成交':订单编号=wt['订单编号']hqmt.trade_cancel_order(trader,订单编号)##获取账户资金asset = trader.xt_trader.query_stock_asset(trader.account)context.portfolio.total_value=asset.total_asset   #总资产context.portfolio.available_cash=asset.cash       #'可用金额'context.portfolio.positions_value=asset.market_value    #'股票市值'context.portfolio.locked_cash=asset.frozen_cash  #冻结金额##获取持仓holding=hqmt.query_holding(trader)print(len(holding))g.holds=[]  #持仓证券代码for i in range(len(holding)):security=股票代码=holding[i][0]['股票代码']g.holds.append(股票代码)tick=hqmt.get_tick_data(股票代码)price=tick['lastPrice']if 股票代码 not in context.portfolio.positions:context.portfolio.positions[股票代码]=hpq.Position(股票代码)context.portfolio.positions[股票代码].total_amount=holding[i][0]['持仓']context.portfolio.positions[股票代码].closeable_amount=holding[i][0]['可用持仓']context.portfolio.positions[股票代码].acc_avg_cost=holding[i][0]['成本']context.portfolio.positions[股票代码].value=holding[i][0]['持仓市值']context.portfolio.positions[股票代码].price=pricecontext.portfolio.positions[股票代码].issell=Falsecontext.portfolio.positions[股票代码].isbuy=Falseelse:context.portfolio.positions[股票代码].total_amount=holding[i][0]['持仓']context.portfolio.positions[股票代码].closeable_amount=holding[i][0]['可用持仓']context.portfolio.positions[股票代码].acc_avg_cost=holding[i][0]['成本']context.portfolio.positions[股票代码].value=holding[i][0]['持仓市值']            context.portfolio.positions[股票代码].price=pricecontext.portfolio.positions[股票代码].issell=Falsecontext.portfolio.positions[股票代码].isbuy=Falseamos=holding[i][0]['可用持仓']acc_avg_cost=context.portfolio.positions[股票代码].acc_avg_cost#df=hqmt.get_day_line(security)df=hqmt.get_day_line(security)price = df.close.iloc[-1]if security not in g.cwsj: cw=xtdata.get_instrument_detail(security)g.cwsj[security]=cwif amos>0:##响尾蛇导弹，自动止损和回撤止盈sell=hf.autosell(security,price=price,cost=acc_avg_cost,withdraw=0.3,stoploss=g.zsfd,minp=0.02,t=99999)if sell==2:  #止损p5=round(price*(1-g.hd),2)x=order_target(security,0,p=p5)hpq.log.info(context.current_dt+   " 止损卖出: %s ,数量:%d,卖出价格:%.2f,成交资金：%0.2f"%(security,amos,p5,amos*p5))print(security,p5,amos,price)time.sleep(0.1)order_id = trader.xt_trader.order_stock(trader.account,security, xtconstant.STOCK_SELL,amos, xtconstant.FIX_PRICE, p5, '策略TTMJ', '止损')  context.portfolio.positions[security].sellprice=p5context.portfolio.positions[security].issellprice=Truecontext.portfolio.positions[security].total_amount=0context.portfolio.positions[security].closeable_amount=0elif sell==1: #止盈p5=round(price*(1-g.hd),2)x=order_target(security,0,p=p5)hpq.log.info(context.current_dt+   " 止盈卖出: %s ,数量:%d,卖出价格:%.2f,成交资金：%0.2f"%(security,amos,p5,amos*p5))print(security,p5,amos,price)time.sleep(0.1)order_id = trader.xt_trader.order_stock(trader.account,security, xtconstant.STOCK_SELL,amos, xtconstant.FIX_PRICE, p5, '策略TTMJ', '止盈')  context.portfolio.positions[security].sellprice=p5context.portfolio.positions[security].issellprice=Truecontext.portfolio.positions[security].total_amount=0context.portfolio.positions[security].closeable_amount=0df=hqmt.get_day_line(security)if len(df)<1:continueprice = df.close.iloc[-1]close=pricehigh= df.high.iloc[-1]low= df.low.iloc[-1]#value = context.portfolio.positions[security].valueacc_avg_cost  = context.portfolio.positions[security].acc_avg_cost #买入成本价 amos=context.portfolio.positions[security].closeable_amount  #可卖数量amos2=context.portfolio.positions[security].total_amount   #总数量CAPTIAL=df['capital']=g.cwsj[security]['FloatVolume']        mydf=gs.initmydf(df)  ##初始化mydf表C=CLOSE=gs.CLOSEL=LOW=gs.LOWH=HIGH=gs.HIGHO=OPEN=gs.OPENV=VOL=mydf['volume']AMO=AMOUNT=mydf['amount']CAPTIAL=mydf['capital']=g.cwsj[security]['FloatVolume']HSL=V/CAPTIAL  ##换手率pre_close=CLOSE.iloc[-1]   #前收盘ZX=AMO/(V+0.00001)/100   BL=(C-ZX)/(ZX+0.00001)mydf=gs.initmydf(df)  ##初始化mydf表mygs.loaddf(mydf)  #加载行情数据mydf=mygs.execgs(g.gs)  #运行指标公式if 'ENTERLONG' in mydf.columns:BUY=mydf['ENTERLONG']  #买点elif 'BUY' in mydf.columns:BUY=mydf['BUY']  #买点elif 'B' in mydf.columns:BUY=mydf['B']  #买点if 'EXITLONG' in mydf.columns:SELL=mydf['EXITLONG']  #卖点elif 'SELL' in mydf.columns:SELL=mydf['SELL']  #卖点elif 'S' in mydf.columns:SELL=mydf['S']  #卖点        cash=context.portfolio.available_cash   #资金余额if BUY>0 and amos2==0 and context.portfolio.positions[security].isbuy==False and context.onlysell==False :   #保留资金price2=round(price*(1+g.hd),2)amount=g.xdzj/price2  g.amount=int(amount/100)*100x=order_target(security,g.amount,p=price2)context.portfolio.positions[security].isbuy=Trueorder_id = trader.xt_trader.order_stock(trader.account,security, xtconstant.STOCK_BUY, g.amount, xtconstant.FIX_PRICE, price2, 'strategy_name', 'remark')            context.portfolio.positions[security].total_amount=g.amountif x !=None:hpq.log.info(context.current_dt+" 买入: %s ,数量:%d,买入价格:%.2f,成交资金：%0.2f"%(security,x.amount,price,x.amount*price))amos=context.portfolio.positions[security].closeable_amount  #可卖数量if SELL>0 and amos>0 and context.onlybuy==False:price2=round(price*(1-g.hd),2)x=order_target(security,0,p=price2)context.portfolio.positions[security].issell=Trueorder_id = trader.xt_trader.order_stock(trader.account,security, xtconstant.STOCK_SELL, amos, xtconstant.FIX_PRICE, price2, 'strategy_name', 'remark')  hpq.log.info(context.current_dt+  " 卖出: %s ,数量:%d,卖出价格:%.2f,成交资金：%0.2f"%(security,amos,price2,amos*price2))context.portfolio.positions[security].total_amount=0endtime = datetime.datetime.now()costtime=(endtime - starttime).secondst1=costtime-int(costtime/60)*60t2=int(costtime/60)-int(int(costtime/60)/60)*60t3=int(int(costtime/60)/60)print('花费时间：%d:%d:%d'%(t3,t2,t1))

上面给了出了使用指标公式实现miniQMT全自动交易，如果没有miniQMT，也可以生成easytrader自动交易策略。
后面我们将介绍更多的量化交易技术。

超越自己是我的每一步！我的进步就是你的进步！