# !/usr/bin/env python

# -*- coding: utf-8 -*-

from Alpha import Alpha

'''

请在Strategy中修改个人账号密码和策略ID

'''

class Strategy(Alpha):

def __init__(self, *args, **kwargs):

super(Strategy, self).__init__(*args, **kwargs)

self.md.subscribe('SHSE.000300.bar.60')  # 订阅一个symbol，在交易时间触发下单

def initialize(self):

# region 获取沪深300中当天可交易的股票

instruments1 = self.get_instruments('SHSE', 1, 1)

instruments2 = self.get_instruments('SZSE', 1, 1)

symbol_list1 = set(instrument.symbol for instrument in instruments2 + instruments1)  # 获取当日可交易的股票，剔除B股

constituents = self.get_constituents('SHSE.000300')

symbol_list2 = set(constituent.symbol for constituent in constituents)  # 获取沪深300成分股(剔除ST、*ST股票，以及上市时间不足3个月等股票后剩余的股票)

symbol_list = symbol_list1 & symbol_list2

symbol_list = ','.join(symbol for symbol in symbol_list)

# endregion

# region 选出市值最小的5只

market_index = self.get_last_market_index(symbol_list)

data = [mi for mi in market_index]

data = sorted(data, key=lambda mi: mi.market_value)[:5]  # 市值最小的5只

# endregion

# region 为了计算仓位，获取昨日dailybar，存入buy_dict

buy_list = ','.join(d.symbol for d in data)

dailybars = self.get_last_dailybars(buy_list)

self.buy_dict = {dailybar.sec_id: dailybar for dailybar in dailybars}

# endregion

def handle_data(self):

# region 没有持仓时直接open_long

print(self.buy_dict.keys())

positions = self.get_positions()

if len(positions) == 0:

cash = self.get_cash()

for b in self.buy_dict.values():

vol = int(cash.available * 0.95 / len(self.buy_dict) / b.close / 100) * 100

self.open_long(b.exchange, b.sec_id, 0, vol)

return

# endregion

# region 有持仓时结合持仓获取buy_dict，sell_dict

for p in positions:

if p.sec_id in self.buy_dict:

self.buy_dict.pop(p.sec_id)

else:

self.sell_dict[p.sec_id] = p

# endregion

for p in self.sell_dict.values():  # 先卖出,卖盘成交时再买入，若资金足够也可以直接买入

self.close_long(p.exchange, p.sec_id, 0, p.volume)

def on_order_status(self, order):

pass

if __name__ == '__main__':

my_strategy = Strategy(

username='username',  # 请修改账号

password='password',  # 请修改密码

strategy_id='strategy_id',  # 请修改策略ID

mode=2,

td_addr='localhost:8001')

ret = my_strategy.run()

print('exit code: ', ret)