研究环境投研功能使用教程¶
因子检测¶
可通过自定义代码实现因子检测，代码调整方法可参考web版SuperMind的因子检测模块
In [2]:
# coding: utf-8
# ==========================================因子检测==============================================================
import alphalens
import pandas as pd
import numpy as np
import time
import statsmodels.api as sm
import scipy as sp
class FactorAnalyse(object):
#==========================================因子检测参数设置==============================================================
start_date = '2021-05-22' #回测开始时间
end_date = '2021-06-21' #回测结束时间
benchindex = '000300.SH' #基准指数设置
stockpool = '000905.SH' #股票池设置
quantiles=3 #因子分组数量
periods=1 #调仓周期
frequency='daily' #调仓频率'daily','weekly','monthly'一周按5个交易日计算，一月按21个交易日计算
#==========================================添加因子==============================================================
#添加因子名称，保持list形式，系统因子对应字段参照 http://quant.10jqka.com.cn/platform/html/help-api.html?t=data#222/436
factor_input=['weighted_roe']
#==========================================因子合成参数设置==============================================================
# 因子合成参数
#direct表示因子方向，weight表示因子权重
#因子方向：一共有两种1和-1。1表示正序，从小到大排列，因子值越大的股票会分组至前几组；-1表示倒序，效果反之
factor_set={"weighted_roe":{"direct":1,"weight":1}}
#==========================================因子数据处理参数设置==============================================================
#对应的因子数据处理选项
#缺失值处理 fillna：0—不处理，1—均值法，2—回归填充法
#极值处理 winsorize：0—不处理，1—中位数法，2—三倍标准差，3—四分位
#正交化处理 neutralize：0—不处理，1—申万一级正交化，2—市值正交化，3—申万行业市值正交化
#标准化处理 standardize：0—不处理，1—标准化法，2—rank值标准化，3—极差正规化
factor_dp={"weighted_roe":{"fillna":0,"winsorize":0,"neutralize":0,"standardize":0}}
#==========================================合成因子数据处理参数设置==============================================================
#合成因子数据处理选项
dataprcess={"fillna":0,"winsorize":0,"neutralize":0,"standardize":0}
#==========================================用户自定义因子算法========================================================
#用户可在此函数下编译因子计算方式，返回的结果需为DataFrame，列名（columns）为时间，行名（index）为股票代码
def factor_gen(self, start_date, end_date,stocks=None):
stocks=stocks or self.get_stocks() #此行代码用于更新因子时获取股票代码，请勿更改
factor_df = get_sfactor_data(start_date, end_date, stocks, ['trix']) #样例数据,可获取行情数据及财务数据构建新的因子
return factor_df['trix']
#==========================================因子检测前进行数据准备及数据处理========================================================
def calc(self):
log.info("回测区间： %s / %s" % (self.start_date, self.end_date))
log.info("开始时间： %s " % time.strftime("%H:%M:%S"))
if self.frequency=='daily':
period=self.periods
elif self.frequency=='weekly':
period=self.periods*5
elif self.frequency=='monthly':
period=self.periods*21
# 获取股票池
self.get_stocks()
# 价格数据price_df
log.info("正在获取行情数据......： %s " % time.strftime("%H:%M:%S"))
price_df = get_price(self.stocks, self.start_date, self.end_date, str(period) + 'd', ['close'], bar_count=0, skip_paused=False, fq='pre', is_panel=1)['close']
days = get_trade_days(self.start_date, self.end_date)
day_index=pd.Index((days[min(i+period-1, len(days)-1)] for i in range(0, len(days), period)))
price_df=price_df.loc[day_index,:]
log.info("行情数据提取完成： %s " % time.strftime("%H:%M:%S"))
#==========================================获取行业分类==============================================================
# 获取行业分类哑变量,行业分类数据groupby
log.info("正在获取行业分类数据......： %s " % time.strftime("%H:%M:%S"))
industry_data, ind_dict = get_sfactor_industry(self.start_date, self.end_date, self.stocks, industry='s_industryid1')
log.info("行业分类数据提取完毕： %s " % time.strftime("%H:%M:%S"))
# ==========================================根据参数选择生成因子==========================================================
# 获取因子数据
log.info("正在获取因子数据......： %s " % time.strftime("%H:%M:%S"))
factor_df = get_sfactor_data(self.start_date, self.end_date, self.stocks, self.factor_input)
log.info("获取因子数据完毕： %s 因子名称： %s" % (time.strftime("%H:%M:%S"), self.factor_input))
#==========================================因子合成=========================================================
factors = factor_df[self.factor_input[0]].copy()
factors.iloc[:, :] = 0
for ia in self.factor_input:
factors = factors + self.factor_set[ia]['direct'] * self.factor_set[ia]['weight'] * factor_df[ia]
log.info("因子数据合成完成： %s " % time.strftime("%H:%M:%S"))
#==========================================根据用户自定义因子算法生成因子=========================================================
# factors = self.factor_gen(self.start_date, self.end_date,self.stocks)
# log.info("自定义因子数据计算完成： %s " % time.strftime("%H:%M:%S"))
#==========================================使用alphalens进行因子数据预处理=========================================================
log.info("正在使用alphalens进行数据处理......： %s " % time.strftime("%H:%M:%S"))
factor_data=get_clean_factor_data(factors, price_df, self.quantiles, ind_dict,[self.periods])
factor_data.rename(columns={'1D':str(period) + 'D'},inplace=True)
log.info("因子数据处理完成： %s " % time.strftime("%H:%M:%S"))
return factor_data
#==========================================获取股票池中股票代码========================================================
def get_stocks(self):
if self.stockpool=='stock':
self.stocks=list(get_all_securities('stock',self.start_date).index)
else:
self.stocks = get_index_stocks(self.stockpool, self.start_date)
#==========================================使用alphalens进行因子检测=========================================================
try:
__IPYTHON__
alphalens.tears.create_full_tear_sheet(FactorAnalyse().calc(),
long_short=True,
group_neutral=True,
by_group=True)
log.info("因子检测完成： %s " % time.strftime("%H:%M:%S"))
except NameError:
pass
2021-08-18 18:18:00.132835 - INFO - 回测区间： 2021-05-22 / 2021-06-21 2021-08-18 18:18:00.134178 - INFO - 开始时间： 18:18:00 2021-08-18 18:18:00.137862 - INFO - 正在获取行情数据......： 18:18:00 2021-08-18 18:18:00.469489 - INFO - 行情数据提取完成： 18:18:00 2021-08-18 18:18:00.470737 - INFO - 正在获取行业分类数据......： 18:18:00 2021-08-18 18:18:00.671131 - INFO - 行业分类数据提取完毕： 18:18:00 2021-08-18 18:18:00.672213 - INFO - 正在获取因子数据......： 18:18:00 2021-08-18 18:18:00.853634 - INFO - 获取因子数据完毕： 18:18:00 因子名称： ['weighted_roe'] 2021-08-18 18:18:00.856105 - INFO - 因子数据合成完成： 18:18:00 2021-08-18 18:18:00.856815 - INFO - 正在使用alphalens进行数据处理......： 18:18:00 2021-08-18 18:18:01.116046 - INFO - 因子数据处理完成： 18:18:01
Dropped 5.0% entries from factor data: 5.0% in forward returns computation and 0.0% in binning phase (set max_loss=0 to see potentially suppressed Exceptions). max_loss is 100.0%, not exceeded: OK! Quantiles Statistics
| min | max | mean | std | count | count % | |
|---|---|---|---|---|---|---|
| factor_quantile | ||||||
| 1 | 3.17 | 40.29 | 5.580054 | 3.722445 | 3173 | 33.4 |
| 2 | 1.45 | 3.16 | 2.264037 | 0.501152 | 3173 | 33.4 |
| 3 | -10.81 | 1.44 | 0.156836 | 1.691417 | 3154 | 33.2 |
Returns Analysis
| 1D | |
|---|---|
| Ann. alpha | 0.138 |
| beta | 0.267 |
| Mean Period Wise Return Top Quantile (bps) | -1.420 |
| Mean Period Wise Return Bottom Quantile (bps) | 9.540 |
| Mean Period Wise Spread (bps) | -10.960 |
<matplotlib.figure.Figure at 0x7f22fc3690f0>
Information Analysis
| 1D | |
|---|---|
| IC Mean | 0.022 |
| IC Std. | 0.090 |
| Risk-Adjusted IC | 0.246 |
| t-stat(IC) | 1.073 |
| p-value(IC) | 0.297 |
| IC Skew | -0.229 |
| IC Kurtosis | -0.696 |
Turnover Analysis
| 1D | |
|---|---|
| Quantile 1 Mean Turnover | 0.0 |
| Quantile 2 Mean Turnover | 0.0 |
| Quantile 3 Mean Turnover | 0.0 |
| 1D | |
|---|---|
| Mean Factor Rank Autocorrelation | 1.0 |
2021-08-18 18:18:12.367212 - INFO - 因子检测完成： 18:18:12
策略回测¶
research_strategy(source_code, start_date=None, end_date=None, capital_base=100000, frequency='DAILY', stock_market='STOCK', benchmark=None)
参数解释：
- source_code：策略代码，可从策略研究模块中直接复制，代码置于"""..."""中
- start_date：回测开始时间，如'20210601'
- end_date：回测结束时间，如'20210601'
- capital_base: float，初始资金量
- frequency: 回测频率，'DAILY'或'MINUTE'
- stock_market: 策略类型，默认'STOCK'
- benchmark: 基准指数
策略模版参考策略研究模块
In [11]:
source_code="""
# 股票策略模版
def init(context):
pass
## 开盘时运行函数
def handle_bar(context, bar_dict):
order('000001.SZ', 100)
"""
research_strategy(source_code, start_date='20210601', end_date='20210815', capital_base=float(10000000), frequency='DAILY', stock_market='STOCK', benchmark=None)
Out[11]:
{'analyser': {'benchmark_portfolio': close unit_net_value
2021-05-31 5331.5696 1.000000
2021-06-01 5341.6798 1.001896
2021-06-02 5289.9736 0.992198
2021-06-03 5255.2855 0.985692
2021-06-04 5282.2772 0.990755
2021-06-07 5277.6271 0.989882
2021-06-08 5232.1165 0.981346
2021-06-09 5236.4493 0.982159
2021-06-10 5271.4661 0.988727
2021-06-11 5224.7030 0.979956
2021-06-15 5166.5597 0.969050
2021-06-16 5080.4909 0.952907
2021-06-17 5101.8924 0.956921
2021-06-18 5102.4657 0.957029
2021-06-21 5090.3854 0.954763
2021-06-22 5122.1583 0.960722
2021-06-23 5147.3938 0.965456
2021-06-24 5155.9738 0.967065
2021-06-25 5239.9684 0.982819
2021-06-28 5251.7604 0.985031
2021-06-29 5190.5445 0.973549
2021-06-30 5224.0410 0.979832
2021-07-01 5229.6642 0.980886
2021-07-02 5081.1172 0.953025
2021-07-05 5085.7924 0.953902
2021-07-06 5083.1043 0.953397
2021-07-07 5140.4899 0.964161
2021-07-08 5088.2566 0.954364
2021-07-09 5069.4361 0.950834
2021-07-12 5132.7088 0.962701
2021-07-13 5142.0991 0.964463
2021-07-14 5083.0849 0.953394
2021-07-15 5151.4626 0.966219
2021-07-16 5094.7727 0.955586
2021-07-19 5113.4945 0.959097
2021-07-20 5108.9941 0.958253
2021-07-21 5144.0428 0.964827
2021-07-22 5151.7517 0.966273
2021-07-23 5089.2282 0.954546
2021-07-26 4925.2990 0.923799
2021-07-27 4751.3130 0.891166
2021-07-28 4760.4826 0.892886
2021-07-29 4850.2746 0.909727
2021-07-30 4811.1695 0.902393
2021-08-02 4933.7360 0.925382
2021-08-03 4934.4583 0.925517
2021-08-04 4978.8479 0.933843
2021-08-05 4948.6703 0.928183
2021-08-06 4921.5647 0.923099
2021-08-09 4985.5627 0.935102
2021-08-10 5043.1480 0.945903
2021-08-11 5015.3406 0.940687
2021-08-12 4973.3509 0.932812
2021-08-13 4945.9829 0.927679,
'portfolio': cash market_value static_unit_net_value total_value \
date
2021-05-31 1.000000e+07 0.0 1.0000 1.000000e+07
2021-06-01 9.997573e+06 2392.0 1.0000 9.999965e+06
2021-06-02 9.995176e+06 4778.0 1.0000 9.999954e+06
2021-06-03 9.992797e+06 7131.0 1.0000 9.999928e+06
2021-06-04 9.990390e+06 9816.0 1.0000 1.000021e+07
2021-06-07 9.987935e+06 12150.0 1.0000 1.000008e+07
2021-06-08 9.985513e+06 14718.0 1.0000 1.000023e+07
2021-06-09 9.983062e+06 17255.0 1.0000 1.000032e+07
2021-06-10 9.980589e+06 19360.0 1.0000 9.999949e+06
2021-06-11 9.978150e+06 21033.0 1.0000 9.999183e+06
2021-06-15 9.975808e+06 23220.0 0.9999 9.999028e+06
2021-06-16 9.973479e+06 25586.0 0.9999 9.999065e+06
2021-06-17 9.971169e+06 27720.0 0.9999 9.998889e+06
2021-06-18 9.968849e+06 29445.0 0.9999 9.998294e+06
2021-06-21 9.966582e+06 31024.0 0.9998 9.997606e+06
2021-06-22 9.964336e+06 34455.0 0.9998 9.998791e+06
2021-06-23 9.962044e+06 37024.0 0.9999 9.999068e+06
2021-06-24 9.959734e+06 39236.0 0.9999 9.998970e+06
2021-06-25 9.957419e+06 42048.0 0.9999 9.999467e+06
2021-06-28 9.955075e+06 43282.0 0.9999 9.998357e+06
2021-06-29 9.952810e+06 44680.0 0.9998 9.997490e+06
2021-06-30 9.950567e+06 47502.0 0.9997 9.998069e+06
2021-07-01 9.948278e+06 51040.0 0.9998 9.999318e+06
2021-07-02 9.945999e+06 50163.0 0.9999 9.996162e+06
2021-07-05 9.943823e+06 52944.0 0.9996 9.996767e+06
2021-07-06 9.941608e+06 56950.0 0.9997 9.998558e+06
2021-07-07 9.939333e+06 58630.0 0.9999 9.997963e+06
2021-07-08 9.937047e+06 58077.0 0.9998 9.995124e+06
2021-07-09 9.934910e+06 59556.0 0.9995 9.994466e+06
2021-07-12 9.932753e+06 61364.0 0.9994 9.994117e+06
2021-07-13 9.930631e+06 63360.0 0.9994 9.993991e+06
2021-07-14 9.928524e+06 64356.0 0.9994 9.992880e+06
2021-07-15 9.926445e+06 69184.0 0.9993 9.995629e+06
2021-07-16 9.924297e+06 70422.0 0.9996 9.994719e+06
2021-07-19 9.922153e+06 72114.0 0.9995 9.994267e+06
2021-07-20 9.920036e+06 72100.0 0.9994 9.992136e+06
2021-07-21 9.917971e+06 73620.0 0.9992 9.991591e+06
2021-07-22 9.915919e+06 75406.0 0.9992 9.991325e+06
2021-07-23 9.913874e+06 76380.0 0.9991 9.990254e+06
2021-07-26 9.911871e+06 73320.0 0.9990 9.985191e+06
2021-07-27 9.909977e+06 71040.0 0.9985 9.981017e+06
2021-07-28 9.908185e+06 72775.0 0.9981 9.980960e+06
2021-07-29 9.906388e+06 75432.0 0.9981 9.981820e+06
2021-07-30 9.904589e+06 76067.0 0.9982 9.980656e+06
2021-08-02 9.902818e+06 79244.0 0.9981 9.982062e+06
2021-08-03 9.901012e+06 80505.0 0.9982 9.981517e+06
2021-08-04 9.899202e+06 81926.0 0.9982 9.981128e+06
2021-08-05 9.897425e+06 83096.0 0.9981 9.980521e+06
2021-08-06 9.895663e+06 85728.0 0.9981 9.981391e+06
2021-08-09 9.893865e+06 93394.0 0.9981 9.987259e+06
2021-08-10 9.891949e+06 98650.0 0.9987 9.990599e+06
2021-08-11 9.889943e+06 101031.0 0.9991 9.990974e+06
2021-08-12 9.887957e+06 103428.0 0.9991 9.991385e+06
2021-08-13 9.885972e+06 105417.0 0.9991 9.991389e+06
unit_net_value units
date
2021-05-31 1.000000 10000000.0
2021-06-01 0.999996 10000000.0
2021-06-02 0.999995 10000000.0
2021-06-03 0.999993 10000000.0
2021-06-04 1.000021 10000000.0
2021-06-07 1.000008 10000000.0
2021-06-08 1.000023 10000000.0
2021-06-09 1.000032 10000000.0
2021-06-10 0.999995 10000000.0
2021-06-11 0.999918 10000000.0
2021-06-15 0.999903 10000000.0
2021-06-16 0.999906 10000000.0
2021-06-17 0.999889 10000000.0
2021-06-18 0.999829 10000000.0
2021-06-21 0.999761 10000000.0
2021-06-22 0.999879 10000000.0
2021-06-23 0.999907 10000000.0
2021-06-24 0.999897 10000000.0
2021-06-25 0.999947 10000000.0
2021-06-28 0.999836 10000000.0
2021-06-29 0.999749 10000000.0
2021-06-30 0.999807 10000000.0
2021-07-01 0.999932 10000000.0
2021-07-02 0.999616 10000000.0
2021-07-05 0.999677 10000000.0
2021-07-06 0.999856 10000000.0
2021-07-07 0.999796 10000000.0
2021-07-08 0.999512 10000000.0
2021-07-09 0.999447 10000000.0
2021-07-12 0.999412 10000000.0
2021-07-13 0.999399 10000000.0
2021-07-14 0.999288 10000000.0
2021-07-15 0.999563 10000000.0
2021-07-16 0.999472 10000000.0
2021-07-19 0.999427 10000000.0
2021-07-20 0.999214 10000000.0
2021-07-21 0.999159 10000000.0
2021-07-22 0.999133 10000000.0
2021-07-23 0.999025 10000000.0
2021-07-26 0.998519 10000000.0
2021-07-27 0.998102 10000000.0
2021-07-28 0.998096 10000000.0
2021-07-29 0.998182 10000000.0
2021-07-30 0.998066 10000000.0
2021-08-02 0.998206 10000000.0
2021-08-03 0.998152 10000000.0
2021-08-04 0.998113 10000000.0
2021-08-05 0.998052 10000000.0
2021-08-06 0.998139 10000000.0
2021-08-09 0.998726 10000000.0
2021-08-10 0.999060 10000000.0
2021-08-11 0.999097 10000000.0
2021-08-12 0.999139 10000000.0
2021-08-13 0.999139 10000000.0 ,
'stock_account': cash dividend_receivable market_value total_value \
date
2021-05-31 1.000000e+07 0 0.0 1.000000e+07
2021-06-01 9.997573e+06 0 2392.0 9.999965e+06
2021-06-02 9.995176e+06 0 4778.0 9.999954e+06
2021-06-03 9.992797e+06 0 7131.0 9.999928e+06
2021-06-04 9.990390e+06 0 9816.0 1.000021e+07
2021-06-07 9.987935e+06 0 12150.0 1.000008e+07
2021-06-08 9.985513e+06 0 14718.0 1.000023e+07
2021-06-09 9.983062e+06 0 17255.0 1.000032e+07
2021-06-10 9.980589e+06 0 19360.0 9.999949e+06
2021-06-11 9.978150e+06 0 21033.0 9.999183e+06
2021-06-15 9.975808e+06 0 23220.0 9.999028e+06
2021-06-16 9.973479e+06 0 25586.0 9.999065e+06
2021-06-17 9.971169e+06 0 27720.0 9.998889e+06
2021-06-18 9.968849e+06 0 29445.0 9.998294e+06
2021-06-21 9.966582e+06 0 31024.0 9.997606e+06
2021-06-22 9.964336e+06 0 34455.0 9.998791e+06
2021-06-23 9.962044e+06 0 37024.0 9.999068e+06
2021-06-24 9.959734e+06 0 39236.0 9.998970e+06
2021-06-25 9.957419e+06 0 42048.0 9.999467e+06
2021-06-28 9.955075e+06 0 43282.0 9.998357e+06
2021-06-29 9.952810e+06 0 44680.0 9.997490e+06
2021-06-30 9.950567e+06 0 47502.0 9.998069e+06
2021-07-01 9.948278e+06 0 51040.0 9.999318e+06
2021-07-02 9.945999e+06 0 50163.0 9.996162e+06
2021-07-05 9.943823e+06 0 52944.0 9.996767e+06
2021-07-06 9.941608e+06 0 56950.0 9.998558e+06
2021-07-07 9.939333e+06 0 58630.0 9.997963e+06
2021-07-08 9.937047e+06 0 58077.0 9.995124e+06
2021-07-09 9.934910e+06 0 59556.0 9.994466e+06
2021-07-12 9.932753e+06 0 61364.0 9.994117e+06
2021-07-13 9.930631e+06 0 63360.0 9.993991e+06
2021-07-14 9.928524e+06 0 64356.0 9.992880e+06
2021-07-15 9.926445e+06 0 69184.0 9.995629e+06
2021-07-16 9.924297e+06 0 70422.0 9.994719e+06
2021-07-19 9.922153e+06 0 72114.0 9.994267e+06
2021-07-20 9.920036e+06 0 72100.0 9.992136e+06
2021-07-21 9.917971e+06 0 73620.0 9.991591e+06
2021-07-22 9.915919e+06 0 75406.0 9.991325e+06
2021-07-23 9.913874e+06 0 76380.0 9.990254e+06
2021-07-26 9.911871e+06 0 73320.0 9.985191e+06
2021-07-27 9.909977e+06 0 71040.0 9.981017e+06
2021-07-28 9.908185e+06 0 72775.0 9.980960e+06
2021-07-29 9.906388e+06 0 75432.0 9.981820e+06
2021-07-30 9.904589e+06 0 76067.0 9.980656e+06
2021-08-02 9.902818e+06 0 79244.0 9.982062e+06
2021-08-03 9.901012e+06 0 80505.0 9.981517e+06
2021-08-04 9.899202e+06 0 81926.0 9.981128e+06
2021-08-05 9.897425e+06 0 83096.0 9.980521e+06
2021-08-06 9.895663e+06 0 85728.0 9.981391e+06
2021-08-09 9.893865e+06 0 93394.0 9.987259e+06
2021-08-10 9.891949e+06 0 98650.0 9.990599e+06
2021-08-11 9.889943e+06 0 101031.0 9.990974e+06
2021-08-12 9.887957e+06 0 103428.0 9.991385e+06
2021-08-13 9.885972e+06 0 105417.0 9.991389e+06
transaction_cost
date
2021-05-31 0
2021-06-01 0
2021-06-02 0
2021-06-03 0
2021-06-04 0
2021-06-07 0
2021-06-08 0
2021-06-09 0
2021-06-10 0
2021-06-11 0
2021-06-15 0
2021-06-16 0
2021-06-17 0
2021-06-18 0
2021-06-21 0
2021-06-22 0
2021-06-23 0
2021-06-24 0
2021-06-25 0
2021-06-28 0
2021-06-29 0
2021-06-30 0
2021-07-01 0
2021-07-02 0
2021-07-05 0
2021-07-06 0
2021-07-07 0
2021-07-08 0
2021-07-09 0
2021-07-12 0
2021-07-13 0
2021-07-14 0
2021-07-15 0
2021-07-16 0
2021-07-19 0
2021-07-20 0
2021-07-21 0
2021-07-22 0
2021-07-23 0
2021-07-26 0
2021-07-27 0
2021-07-28 0
2021-07-29 0
2021-07-30 0
2021-08-02 0
2021-08-03 0
2021-08-04 0
2021-08-05 0
2021-08-06 0
2021-08-09 0
2021-08-10 0
2021-08-11 0
2021-08-12 0
2021-08-13 0 ,
'stock_positions': avg_price last_price market_value order_book_id quantity \
date
2021-06-01 24.2742 23.92 2392.0 000001.SZ 100
2021-06-02 24.1190 23.89 4778.0 000001.SZ 200
2021-06-03 24.0106 23.77 7131.0 000001.SZ 300
2021-06-04 24.0240 24.54 9816.0 000001.SZ 400
2021-06-07 24.1301 24.30 12150.0 000001.SZ 500
2021-06-08 24.1457 24.53 14718.0 000001.SZ 600
2021-06-09 24.1970 24.65 17255.0 000001.SZ 700
2021-06-10 24.2642 24.20 19360.0 000001.SZ 800
2021-06-11 24.2775 23.37 21033.0 000001.SZ 900
2021-06-15 24.1921 23.22 23220.0 000001.SZ 1000
2021-06-16 24.1104 23.26 25586.0 000001.SZ 1100
2021-06-17 24.0256 23.10 27720.0 000001.SZ 1200
2021-06-18 23.9623 22.65 29445.0 000001.SZ 1300
2021-06-21 23.8702 22.16 31024.0 000001.SZ 1400
2021-06-22 23.7757 22.97 34455.0 000001.SZ 1500
2021-06-23 23.7224 23.14 37024.0 000001.SZ 1600
2021-06-24 23.6860 23.08 39236.0 000001.SZ 1700
2021-06-25 23.6564 23.36 42048.0 000001.SZ 1800
2021-06-28 23.6446 22.78 43282.0 000001.SZ 1900
2021-06-29 23.5950 22.34 44680.0 000001.SZ 2000
2021-06-30 23.5397 22.62 47502.0 000001.SZ 2100
2021-07-01 23.5098 23.20 51040.0 000001.SZ 2200
2021-07-02 23.4786 21.81 50163.0 000001.SZ 2300
2021-07-05 23.4071 22.06 52944.0 000001.SZ 2400
2021-07-06 23.3569 22.78 56950.0 000001.SZ 2500
2021-07-07 23.3336 22.55 58630.0 000001.SZ 2600
2021-07-08 23.3158 21.51 58077.0 000001.SZ 2700
2021-07-09 23.2464 21.27 59556.0 000001.SZ 2800
2021-07-12 23.1886 21.16 61364.0 000001.SZ 2900
2021-07-13 23.1230 21.12 63360.0 000001.SZ 3000
2021-07-14 23.0569 20.76 64356.0 000001.SZ 3100
2021-07-15 22.9860 21.62 69184.0 000001.SZ 3200
2021-07-16 22.9404 21.34 70422.0 000001.SZ 3300
2021-07-19 22.8961 21.21 72114.0 000001.SZ 3400
2021-07-20 22.8468 20.60 72100.0 000001.SZ 3500
2021-07-21 22.7858 20.45 73620.0 000001.SZ 3600
2021-07-22 22.7245 20.38 75406.0 000001.SZ 3700
2021-07-23 22.6647 20.10 76380.0 000001.SZ 3800
2021-07-26 22.5971 18.80 73320.0 000001.SZ 3900
2021-07-27 22.5057 17.76 71040.0 000001.SZ 4000
2021-07-28 22.3938 17.75 72775.0 000001.SZ 4100
2021-07-29 22.2886 17.96 75432.0 000001.SZ 4200
2021-07-30 22.1886 17.69 76067.0 000001.SZ 4300
2021-08-02 22.0868 18.01 79244.0 000001.SZ 4400
2021-08-03 21.9973 17.89 80505.0 000001.SZ 4500
2021-08-04 21.9127 17.81 81926.0 000001.SZ 4600
2021-08-05 21.8245 17.68 83096.0 000001.SZ 4700
2021-08-06 21.7369 17.86 85728.0 000001.SZ 4800
2021-08-09 21.6602 19.06 93394.0 000001.SZ 4900
2021-08-10 21.6101 19.73 98650.0 000001.SZ 5000
2021-08-11 21.5797 19.81 101031.0 000001.SZ 5100
2021-08-12 21.5467 19.89 103428.0 000001.SZ 5200
2021-08-13 21.5147 19.89 105417.0 000001.SZ 5300
symbol
date
2021-06-01 000001.SZ
2021-06-02 000001.SZ
2021-06-03 000001.SZ
2021-06-04 000001.SZ
2021-06-07 000001.SZ
2021-06-08 000001.SZ
2021-06-09 000001.SZ
2021-06-10 000001.SZ
2021-06-11 000001.SZ
2021-06-15 000001.SZ
2021-06-16 000001.SZ
2021-06-17 000001.SZ
2021-06-18 000001.SZ
2021-06-21 000001.SZ
2021-06-22 000001.SZ
2021-06-23 000001.SZ
2021-06-24 000001.SZ
2021-06-25 000001.SZ
2021-06-28 000001.SZ
2021-06-29 000001.SZ
2021-06-30 000001.SZ
2021-07-01 000001.SZ
2021-07-02 000001.SZ
2021-07-05 000001.SZ
2021-07-06 000001.SZ
2021-07-07 000001.SZ
2021-07-08 000001.SZ
2021-07-09 000001.SZ
2021-07-12 000001.SZ
2021-07-13 000001.SZ
2021-07-14 000001.SZ
2021-07-15 000001.SZ
2021-07-16 000001.SZ
2021-07-19 000001.SZ
2021-07-20 000001.SZ
2021-07-21 000001.SZ
2021-07-22 000001.SZ
2021-07-23 000001.SZ
2021-07-26 000001.SZ
2021-07-27 000001.SZ
2021-07-28 000001.SZ
2021-07-29 000001.SZ
2021-07-30 000001.SZ
2021-08-02 000001.SZ
2021-08-03 000001.SZ
2021-08-04 000001.SZ
2021-08-05 000001.SZ
2021-08-06 000001.SZ
2021-08-09 000001.SZ
2021-08-10 000001.SZ
2021-08-11 000001.SZ
2021-08-12 000001.SZ
2021-08-13 000001.SZ ,
'summary': {'STOCK': 10000000.0,
'alpha': -0.0241,
'annualized_returns': -0.0041,
'benchmark': None,
'benchmark_annualized_returns': -0.2982,
'benchmark_total_returns': -0.0723,
'beta': 0.0097,
'cash': 9885972.351,
'downside_risk': 0.1054,
'end_date': '2021-08-13',
'information_ratio': 1.8507,
'max_drawdown': 0.002,
'run_type': 'BACKTEST',
'sharpe': -10.5081,
'sortino': -0.2579,
'start_date': '2021-06-01',
'strategy_file': 'strategy.py',
'strategy_name': 'strategy',
'total_returns': -0.0009,
'total_value': 9991389.351,
'tracking_error': 0.18,
'unit_net_value': 0.9991,
'units': 10000000.0,
'volatility': 0.0026},
'trades': commission exec_id last_price \
datetime
2021-06-01 09:31:00 5 8da250f5133b4f679b283bb8b1e29224 24.2242
2021-06-02 09:31:00 5 fe77e33f685b4f06aa670a451a5a1a2e 23.9139
2021-06-03 09:31:00 5 2a7e645dbc054ce5a876fd7a24d0faad 23.7437
2021-06-04 09:31:00 5 4c9fdf63061d460d8fa5848e35412d96 24.0140
2021-06-07 09:31:00 5 a014395ae08840cb839a9bdf92545c44 24.5045
2021-06-08 09:31:00 5 78469c298b1c4fdb9c9e2a064999b374 24.1741
2021-06-09 09:31:00 5 b327f8148d6144afb1faeb75532a20fa 24.4544
2021-06-10 09:31:00 5 784f71519b1647b0bdf80778c117e556 24.6847
2021-06-11 09:31:00 5 db299b4fdd8a451aa038697793cda9f1 24.3343
2021-06-15 09:31:00 5 27c59f91446f4287bbc0252c7d46dd7b 23.3734
2021-06-16 09:31:00 5 9a233df24bd04f1da9c443933c89cb13 23.2432
2021-06-17 09:31:00 5 96315d18471f46bd9b39a8466a43a20d 23.0430
2021-06-18 09:31:00 5 7df594e634a94fa490c75086845d322c 23.1531
2021-06-21 09:31:00 5 def74f7a4f74415fb822d106ae11ec60 22.6226
2021-06-22 09:31:00 5 ce87665f973b4eeb8b23d1f06aa7a578 22.4024
2021-06-23 09:31:00 5 4a7c7c309d484d1eaa0e53cbe78346ea 22.8728
2021-06-24 09:31:00 5 77f63a37ed96422abf4dd79e582aa8a9 23.0530
2021-06-25 09:31:00 5 9d0567b711844db09ab096d7d0273e0e 23.1031
2021-06-28 09:31:00 5 32ac94181c624529a60ffca91e2f9c28 23.3834
2021-06-29 09:31:00 5 c9c54cb2853645a1bf6071c1e569bb82 22.6026
2021-06-30 09:31:00 5 2781636235fb4072b01316a32c24a0c7 22.3824
2021-07-01 09:31:00 5 ae97f8f61d564e6a94222c82a0bace61 22.8328
2021-07-02 09:31:00 5 7a2f895b19524b8285c01c925dc40324 22.7427
2021-07-05 09:31:00 5 c6efc22a13984236bf4535a49aec2ef1 21.7117
2021-07-06 09:31:00 5 84e11d6c330244818cb4629216d9c4b2 22.1021
2021-07-07 09:31:00 5 a66e2bc0c77b42128e7ebaf798430675 22.7027
2021-07-08 09:31:00 5 c115ed2d1ace41acaeac7c1fcb4b449f 22.8028
2021-07-09 09:31:00 5 fbd6f8d689e3458296c0d0c07c5dcf10 21.3213
2021-07-12 09:31:00 5 e085a0b3cb8842d4955dcbb3bc2238dc 21.5215
2021-07-13 09:31:00 5 9688afff50f8409ebba813bc61cd9927 21.1711
2021-07-14 09:31:00 5 c573e88b971a42d38e95ed364b97571c 21.0210
2021-07-15 09:31:00 5 636b8cddeea943a88b5e1c38c35da72d 20.7407
2021-07-16 09:31:00 5 fea24428f4b349a5949f0b5254b9392f 21.4314
2021-07-19 09:31:00 5 541f7b0f12604cbfb6b11b597a0a089f 21.3814
2021-07-20 09:31:00 5 ce788c72ca6b42c28aa401eb492d7ab5 21.1211
2021-07-21 09:31:00 5 222843d891f64f1cacd1e08a3659759b 20.6006
2021-07-22 09:31:00 5 14d8fbb4b6b5488f86292614eb096e17 20.4704
2021-07-23 09:31:00 5 9b3bab566a0b43a3a87ce9af6ed1c346 20.4004
2021-07-26 09:31:00 5 ad4436fc7e8249e1af504c58f4c348fb 19.9800
2021-07-27 09:31:00 5 b75bda81f8c14974a8bf7b74742d3af5 18.8889
2021-07-28 09:31:00 5 2c33a031fafb4aae85d373e5b79323e1 17.8678
2021-07-29 09:31:00 5 de7725e3a46f4af7aadd86dd459586ee 17.9279
2021-07-30 09:31:00 5 c56035776bb74b208e2706a0e273cef6 17.9379
2021-08-02 09:31:00 5 58a36f8c728e4aab9b8865a264501f3f 17.6576
2021-08-03 09:31:00 5 3bdea274f3b641c6bcef37540b0b8bf0 18.0080
2021-08-04 09:31:00 5 37d5184daaea4939b83dbb0061e663b3 18.0580
2021-08-05 09:31:00 5 636d298b9d214ed8aa2ed7c87487ba22 17.7177
2021-08-06 09:31:00 5 8a5e3a6dc9a14d4ba9ea1a542c183cef 17.5676
2021-08-09 09:31:00 5 cf0da4489c3f4e49b284c81f0c16c2ca 17.9279
2021-08-10 09:31:00 5 18a9d2ccda24474ba09aab63b63a0806 19.1091
2021-08-11 09:31:00 5 ccde6e78a6e642c9b58018b7cc4e68cf 20.0100
2021-08-12 09:31:00 5 c53dc481ec414c40895565ca2e40d1ab 19.8098
2021-08-13 09:31:00 5 f45c5e22e0244acba7943840490b3d34 19.7998
last_quantity order_book_id \
datetime
2021-06-01 09:31:00 100 000001.SZ
2021-06-02 09:31:00 100 000001.SZ
2021-06-03 09:31:00 100 000001.SZ
2021-06-04 09:31:00 100 000001.SZ
2021-06-07 09:31:00 100 000001.SZ
2021-06-08 09:31:00 100 000001.SZ
2021-06-09 09:31:00 100 000001.SZ
2021-06-10 09:31:00 100 000001.SZ
2021-06-11 09:31:00 100 000001.SZ
2021-06-15 09:31:00 100 000001.SZ
2021-06-16 09:31:00 100 000001.SZ
2021-06-17 09:31:00 100 000001.SZ
2021-06-18 09:31:00 100 000001.SZ
2021-06-21 09:31:00 100 000001.SZ
2021-06-22 09:31:00 100 000001.SZ
2021-06-23 09:31:00 100 000001.SZ
2021-06-24 09:31:00 100 000001.SZ
2021-06-25 09:31:00 100 000001.SZ
2021-06-28 09:31:00 100 000001.SZ
2021-06-29 09:31:00 100 000001.SZ
2021-06-30 09:31:00 100 000001.SZ
2021-07-01 09:31:00 100 000001.SZ
2021-07-02 09:31:00 100 000001.SZ
2021-07-05 09:31:00 100 000001.SZ
2021-07-06 09:31:00 100 000001.SZ
2021-07-07 09:31:00 100 000001.SZ
2021-07-08 09:31:00 100 000001.SZ
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2021-07-12 09:31:00 100 000001.SZ
2021-07-13 09:31:00 100 000001.SZ
2021-07-14 09:31:00 100 000001.SZ
2021-07-15 09:31:00 100 000001.SZ
2021-07-16 09:31:00 100 000001.SZ
2021-07-19 09:31:00 100 000001.SZ
2021-07-20 09:31:00 100 000001.SZ
2021-07-21 09:31:00 100 000001.SZ
2021-07-22 09:31:00 100 000001.SZ
2021-07-23 09:31:00 100 000001.SZ
2021-07-26 09:31:00 100 000001.SZ
2021-07-27 09:31:00 100 000001.SZ
2021-07-28 09:31:00 100 000001.SZ
2021-07-29 09:31:00 100 000001.SZ
2021-07-30 09:31:00 100 000001.SZ
2021-08-02 09:31:00 100 000001.SZ
2021-08-03 09:31:00 100 000001.SZ
2021-08-04 09:31:00 100 000001.SZ
2021-08-05 09:31:00 100 000001.SZ
2021-08-06 09:31:00 100 000001.SZ
2021-08-09 09:31:00 100 000001.SZ
2021-08-10 09:31:00 100 000001.SZ
2021-08-11 09:31:00 100 000001.SZ
2021-08-12 09:31:00 100 000001.SZ
2021-08-13 09:31:00 100 000001.SZ
order_id position_effect side \
datetime
2021-06-01 09:31:00 a223d918f39445d187fada906c528c03 None BUY
2021-06-02 09:31:00 c7c7958908614b1c9bf33e1349b7e46f None BUY
2021-06-03 09:31:00 96075b92de26480dbb92168df5c57bc1 None BUY
2021-06-04 09:31:00 33fc3ee6d97547939f336bbd522073e2 None BUY
2021-06-07 09:31:00 78a2dd3c4cfb4281965f9d2072b250ba None BUY
2021-06-08 09:31:00 df1b392c8d1346818e05ba0c377d3d94 None BUY
2021-06-09 09:31:00 a608633f22194866927bb27a34f1a212 None BUY
2021-06-10 09:31:00 3ff855126fa240fbacbb0859f320eeb0 None BUY
2021-06-11 09:31:00 7b780e966656423296233d92bc299372 None BUY
2021-06-15 09:31:00 00e914e4312d4285b84397f21ad2b9bd None BUY
2021-06-16 09:31:00 8a03f710135147b2ad1d735d74d53af7 None BUY
2021-06-17 09:31:00 227e2f9a0ca44c9da25a45603f7a32b2 None BUY
2021-06-18 09:31:00 c42e1cdd5b8a4ca691384cf72c7a6b87 None BUY
2021-06-21 09:31:00 7260b215f1ce486d9050459dfa2a63a4 None BUY
2021-06-22 09:31:00 e7802b88641c46a6a6e8fcb909bc22f9 None BUY
2021-06-23 09:31:00 7be46caff1944983973bf86addcddb06 None BUY
2021-06-24 09:31:00 4d1bc6c60f5e4ca2a57b6902672f9561 None BUY
2021-06-25 09:31:00 263632b511304020b9b6694cf66abb4a None BUY
2021-06-28 09:31:00 12a08478ef9a4c8191273981c06c220c None BUY
2021-06-29 09:31:00 e730e35b62884a19bb3f2ea5209060d7 None BUY
2021-06-30 09:31:00 9585634b965a43e9b41d4a1af2a5805b None BUY
2021-07-01 09:31:00 4ad88f80a5da4734b05d0fefb7250bb7 None BUY
2021-07-02 09:31:00 c1f1ce6c43894fed8f05bd62bc7f2574 None BUY
2021-07-05 09:31:00 fdfdc75ec33b475087a6bc7e1667dd69 None BUY
2021-07-06 09:31:00 d0b97d7c8b394e1e8fcc6c13465a0141 None BUY
2021-07-07 09:31:00 af8874735d054b85b307e22b963f6a63 None BUY
2021-07-08 09:31:00 e7331431c91a4d5094b5f931af20f04b None BUY
2021-07-09 09:31:00 0114fb152c684d17b23eebfdae654a7d None BUY
2021-07-12 09:31:00 55a3a58bc330449fb41c30dc819a2f16 None BUY
2021-07-13 09:31:00 faa3ddf7808f4e92813237917dcdbdda None BUY
2021-07-14 09:31:00 72d1dff463284dce82c37f78b7bb22a4 None BUY
2021-07-15 09:31:00 8c73357f56b04e7988f580da51467ecb None BUY
2021-07-16 09:31:00 1cb4d4a25c8f419fad6896559cbc02aa None BUY
2021-07-19 09:31:00 868fa48192f24d708bb47608d46ca358 None BUY
2021-07-20 09:31:00 b41f7e1a91db424bb79fe90e9f2d67bd None BUY
2021-07-21 09:31:00 8ac4bd86c18e432aae4480dab8c2d4b7 None BUY
2021-07-22 09:31:00 a46c2fd5733240d68e44f5813620fedb None BUY
2021-07-23 09:31:00 72321116234e43718afa417526ee1922 None BUY
2021-07-26 09:31:00 4f2ea767d3314c1fb59301a68cc8abca None BUY
2021-07-27 09:31:00 87fd0723f279477883738eb256a2c95c None BUY
2021-07-28 09:31:00 387961e9f6224819ab6a3a812a842a2d None BUY
2021-07-29 09:31:00 c4b1fc7bf3a34fa7805bd9c826f0ea97 None BUY
2021-07-30 09:31:00 1922b9c3147649d7927c2ee2068daf40 None BUY
2021-08-02 09:31:00 639b99c974024e83ad8a664006eefb3f None BUY
2021-08-03 09:31:00 c48eb6e6ae9248d2959abf7829cbb55d None BUY
2021-08-04 09:31:00 ab692e48c1774467be1ce4029834c38e None BUY
2021-08-05 09:31:00 81c98a4358164546a973def3b4744963 None BUY
2021-08-06 09:31:00 3d3db779cd22477ea730e007ec75a0bc None BUY
2021-08-09 09:31:00 c8e8862e83e9472fb3e3bb204a5a0fd0 None BUY
2021-08-10 09:31:00 870ba7e345c9431bb27e24e5ad6509aa None BUY
2021-08-11 09:31:00 c88c57f001874e16abd145f9413e276d None BUY
2021-08-12 09:31:00 5ff83786c2be470393cf04b743275a54 None BUY
2021-08-13 09:31:00 accc371761214aaa837175dc78599b16 None BUY
symbol tax trading_datetime transaction_cost
datetime
2021-06-01 09:31:00 000001.SZ 0 2021-06-01 09:31:00 5
2021-06-02 09:31:00 000001.SZ 0 2021-06-02 09:31:00 5
2021-06-03 09:31:00 000001.SZ 0 2021-06-03 09:31:00 5
2021-06-04 09:31:00 000001.SZ 0 2021-06-04 09:31:00 5
2021-06-07 09:31:00 000001.SZ 0 2021-06-07 09:31:00 5
2021-06-08 09:31:00 000001.SZ 0 2021-06-08 09:31:00 5
2021-06-09 09:31:00 000001.SZ 0 2021-06-09 09:31:00 5
2021-06-10 09:31:00 000001.SZ 0 2021-06-10 09:31:00 5
2021-06-11 09:31:00 000001.SZ 0 2021-06-11 09:31:00 5
2021-06-15 09:31:00 000001.SZ 0 2021-06-15 09:31:00 5
2021-06-16 09:31:00 000001.SZ 0 2021-06-16 09:31:00 5
2021-06-17 09:31:00 000001.SZ 0 2021-06-17 09:31:00 5
2021-06-18 09:31:00 000001.SZ 0 2021-06-18 09:31:00 5
2021-06-21 09:31:00 000001.SZ 0 2021-06-21 09:31:00 5
2021-06-22 09:31:00 000001.SZ 0 2021-06-22 09:31:00 5
2021-06-23 09:31:00 000001.SZ 0 2021-06-23 09:31:00 5
2021-06-24 09:31:00 000001.SZ 0 2021-06-24 09:31:00 5
2021-06-25 09:31:00 000001.SZ 0 2021-06-25 09:31:00 5
2021-06-28 09:31:00 000001.SZ 0 2021-06-28 09:31:00 5
2021-06-29 09:31:00 000001.SZ 0 2021-06-29 09:31:00 5
2021-06-30 09:31:00 000001.SZ 0 2021-06-30 09:31:00 5
2021-07-01 09:31:00 000001.SZ 0 2021-07-01 09:31:00 5
2021-07-02 09:31:00 000001.SZ 0 2021-07-02 09:31:00 5
2021-07-05 09:31:00 000001.SZ 0 2021-07-05 09:31:00 5
2021-07-06 09:31:00 000001.SZ 0 2021-07-06 09:31:00 5
2021-07-07 09:31:00 000001.SZ 0 2021-07-07 09:31:00 5
2021-07-08 09:31:00 000001.SZ 0 2021-07-08 09:31:00 5
2021-07-09 09:31:00 000001.SZ 0 2021-07-09 09:31:00 5
2021-07-12 09:31:00 000001.SZ 0 2021-07-12 09:31:00 5
2021-07-13 09:31:00 000001.SZ 0 2021-07-13 09:31:00 5
2021-07-14 09:31:00 000001.SZ 0 2021-07-14 09:31:00 5
2021-07-15 09:31:00 000001.SZ 0 2021-07-15 09:31:00 5
2021-07-16 09:31:00 000001.SZ 0 2021-07-16 09:31:00 5
2021-07-19 09:31:00 000001.SZ 0 2021-07-19 09:31:00 5
2021-07-20 09:31:00 000001.SZ 0 2021-07-20 09:31:00 5
2021-07-21 09:31:00 000001.SZ 0 2021-07-21 09:31:00 5
2021-07-22 09:31:00 000001.SZ 0 2021-07-22 09:31:00 5
2021-07-23 09:31:00 000001.SZ 0 2021-07-23 09:31:00 5
2021-07-26 09:31:00 000001.SZ 0 2021-07-26 09:31:00 5
2021-07-27 09:31:00 000001.SZ 0 2021-07-27 09:31:00 5
2021-07-28 09:31:00 000001.SZ 0 2021-07-28 09:31:00 5
2021-07-29 09:31:00 000001.SZ 0 2021-07-29 09:31:00 5
2021-07-30 09:31:00 000001.SZ 0 2021-07-30 09:31:00 5
2021-08-02 09:31:00 000001.SZ 0 2021-08-02 09:31:00 5
2021-08-03 09:31:00 000001.SZ 0 2021-08-03 09:31:00 5
2021-08-04 09:31:00 000001.SZ 0 2021-08-04 09:31:00 5
2021-08-05 09:31:00 000001.SZ 0 2021-08-05 09:31:00 5
2021-08-06 09:31:00 000001.SZ 0 2021-08-06 09:31:00 5
2021-08-09 09:31:00 000001.SZ 0 2021-08-09 09:31:00 5
2021-08-10 09:31:00 000001.SZ 0 2021-08-10 09:31:00 5
2021-08-11 09:31:00 000001.SZ 0 2021-08-11 09:31:00 5
2021-08-12 09:31:00 000001.SZ 0 2021-08-12 09:31:00 5
2021-08-13 09:31:00 000001.SZ 0 2021-08-13 09:31:00 5 }}
策略实盘¶
research_trade(name, source_code, capital_base=100000, frequency='DAILY', stock_market='STOCK', benchmark=None, trade_api=None, signal_mode=True, dry_run=False)
参数解释：
- name：策略名称。
- source_code：策略代码，可从策略研究模块中直接复制，代码置于"""..."""中
- capital_base： float，初始资金量
- frequency: 运算频率，'DAILY'或'MINUTE'
- stock_market: 策略类型，默认'STOCK'
- benchmark: 基准指数
- trade_api: TradeAPI对象，绑定需要实盘交易的账号，也支持多账户交易，如传入[TradeAPI1,TradeAPI2,...]
- signal_mode: 为预留参数，默认为True
- dry_run: 试运行，立即返回，默认为False
1.使用方法如上，trade_api可支持传入rechase_api
2.持久化存储在研究平台persist目录，以策略名称为存储
3.策略请在9:00前开启运行，中间中断则会跳过运行时间
4.初始化TradeAPI时需要指定下单策略order_policy，MarketPolicy为市价下单；LimitPolicy为限价下单。如未指定，由于策略下单时使用均价，可能存在多位小数，最终实盘账户下单的时候可能产生废单。多账户可分别指定下单策略。
In [5]:
from tick_trade_api import TradeAPI
trade_api=TradeAPI('69271711',order_policy=MarketPolicy)#初始化TradeAPI时需要指定下单策略，MarketPolicy为市价下单；LimitPolicy为限价下单
source_code="""
# 股票策略模版
def init(context):
pass
## 开盘时运行函数
def handle_bar(context, bar_dict):
order('000001.SZ', 100)
"""
rtrade = research_trade('研究环境策略', source_code, frequency='MINUTE', trade_api=trade_api)
2021-08-20 10:18:00.000000 - INFO - 开始research_trade运行...
2021-08-20 10:21:46,460 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:21:46.460445, 委托编号 941217', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:21:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.17916)执行成功,订单编号: 941217
2021-08-20 10:22:14,047 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:22:14.047472, 委托编号 941218', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:22:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.18917)执行成功,订单编号: 941218
2021-08-20 10:23:13,588 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:23:13.587938, 委托编号 941219', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:23:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.20919)执行成功,订单编号: 941219
2021-08-20 10:24:13,133 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:24:13.133862, 委托编号 941220', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:24:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.16915)执行成功,订单编号: 941220
2021-08-20 10:25:13,246 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:25:13.246015, 委托编号 941221', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:25:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.12911)执行成功,订单编号: 941221
2021-08-20 10:26:14,135 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:26:14.135149, 委托编号 941249', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:26:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.10909)执行成功,订单编号: 941249
2021-08-20 10:27:14,702 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:27:14.702468, 委托编号 941250', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:27:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.139120000000002)执行成功,订单编号: 941250
2021-08-20 10:28:13,092 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:28:13.092839, 委托编号 941254', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:28:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.17916)执行成功,订单编号: 941254
2021-08-20 10:29:13,414 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:29:13.414102, 委托编号 941255', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:29:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.12911)执行成功,订单编号: 941255
2021-08-20 10:30:12,090 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:30:12.090337, 委托编号 941259', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:30:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.16915)执行成功,订单编号: 941259
2021-08-20 10:33:41,337 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:33:41.337793, 委托编号 941293', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:31:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.20919)执行成功,订单编号: 941293
2021-08-20 10:33:52,352 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:33:52.352046, 委托编号 941295', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:32:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.139120000000002)执行成功,订单编号: 941295
2021-08-20 10:34:05,890 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:34:05.890330, 委托编号 941296', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:33:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.12911)执行成功,订单编号: 941296
2021-08-20 10:34:17,066 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:34:17.066741, 委托编号 941297', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:34:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.08907)执行成功,订单编号: 941297
2021-08-20 10:35:12,735 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:35:12.734936, 委托编号 941305', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:35:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.05904)执行成功,订单编号: 941305
2021-08-20 10:36:15,527 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:36:15.527388, 委托编号 941330', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:36:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.099079999999997)执行成功,订单编号: 941330
2021-08-20 10:37:22,544 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:37:22.544167, 委托编号 941332', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:37:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.07906)执行成功,订单编号: 941332
2021-08-20 10:38:12,468 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:38:12.468092, 委托编号 941336', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:38:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.05904)执行成功,订单编号: 941336
2021-08-20 10:39:11,287 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:39:11.287851, 委托编号 941363', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:39:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:18.99898)执行成功,订单编号: 941363
2021-08-20 10:40:11,401 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:40:11.401051, 委托编号 941370', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:40:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:18.918899999999997)执行成功,订单编号: 941370
2021-08-20 10:41:39,575 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:41:39.575553, 委托编号 941377', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:41:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:18.85884)执行成功,订单编号: 941377
2021-08-20 10:42:51,035 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:42:51.035701, 委托编号 941381', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:42:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:18.90889)执行成功,订单编号: 941381
2021-08-20 10:43:21,724 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:43:21.723981, 委托编号 941385', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:43:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:18.838820000000002)执行成功,订单编号: 941385
2021-08-20 10:44:29,898 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:44:29.898861, 委托编号 941389', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:44:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:18.8188)执行成功,订单编号: 941389
2021-08-20 10:45:34,720 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:45:34.720436, 委托编号 941390', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:45:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:18.8188)执行成功,订单编号: 941390
2021-08-20 10:46:00.000000 - WARN - 订单失败: 合约[000001.SZ]市场数据缺失。
2021-08-20 10:47:20,425 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:47:20.424985, 委托编号 941391', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:47:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:18.78877)执行成功,订单编号: 941391
2021-08-20 10:48:00.000000 - WARN - 订单失败: 合约[000001.SZ]市场数据缺失。
2021-08-20 10:49:32,715 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:49:32.715315, 委托编号 941393', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:49:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:18.79878)执行成功,订单编号: 941393
2021-08-20 10:50:00.000000 - WARN - 订单失败: 合约[000001.SZ]市场数据缺失。
2021-08-20 10:51:37,603 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:51:37.603287, 委托编号 941395', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:51:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:18.76875)执行成功,订单编号: 941395
2021-08-20 10:52:13,629 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:52:13.629779, 委托编号 941419', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:52:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:18.868850000000002)执行成功,订单编号: 941419
2021-08-20 10:53:11,086 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:53:11.085941, 委托编号 941456', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:53:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:18.958940000000002)执行成功,订单编号: 941456
2021-08-20 10:54:12,545 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:54:12.545450, 委托编号 941458', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:54:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:18.96895)执行成功,订单编号: 941458
2021-08-20 10:55:12,278 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:55:12.278239, 委托编号 941461', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:55:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:18.97896)执行成功,订单编号: 941461
2021-08-20 10:56:11,613 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:56:11.612982, 委托编号 941463', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:56:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.019)执行成功,订单编号: 941463
2021-08-20 10:57:11,180 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:57:11.180260, 委托编号 941464', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:57:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.029010000000003)执行成功,订单编号: 941464
2021-08-20 10:58:11,088 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:58:11.088305, 委托编号 941465', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:58:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:18.98897)执行成功,订单编号: 941465
2021-08-20 10:59:11,118 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 10:59:11.118307, 委托编号 941467', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 10:59:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:18.98897)执行成功,订单编号: 941467
2021-08-20 11:00:12,065 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:00:12.065397, 委托编号 941469', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:00:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:18.94893)执行成功,订单编号: 941469
2021-08-20 11:04:38,232 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:04:38.232291, 委托编号 941470', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:01:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:18.938920000000003)执行成功,订单编号: 941470
2021-08-20 11:04:52,309 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:04:52.309097, 委托编号 941471', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:02:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:18.928910000000002)执行成功,订单编号: 941471
2021-08-20 11:05:19,638 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:05:19.638746, 委托编号 941515', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:03:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:18.98897)执行成功,订单编号: 941515
2021-08-20 11:05:32,687 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:05:32.687253, 委托编号 941540', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:04:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.008989999999997)执行成功,订单编号: 941540
2021-08-20 11:05:43,422 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:05:43.422054, 委托编号 941541', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:05:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.049030000000002)执行成功,订单编号: 941541
2021-08-20 11:06:20,778 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:06:20.778401, 委托编号 941542', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:06:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.03902)执行成功,订单编号: 941542
2021-08-20 11:07:15,313 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:07:15.313056, 委托编号 941545', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:07:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.06905)执行成功,订单编号: 941545
2021-08-20 11:08:16,875 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:08:16.875124, 委托编号 941546', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:08:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.08907)执行成功,订单编号: 941546
2021-08-20 11:09:16,152 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:09:16.152125, 委托编号 941547', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:09:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.14913)执行成功,订单编号: 941547
2021-08-20 11:10:12,197 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:10:12.197765, 委托编号 941548', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:10:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.18917)执行成功,订单编号: 941548
2021-08-20 11:11:14,835 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:11:14.835037, 委托编号 941549', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:11:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.17916)执行成功,订单编号: 941549
2021-08-20 11:12:13,820 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:12:13.820084, 委托编号 941573', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:12:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.18917)执行成功,订单编号: 941573
2021-08-20 11:13:16,594 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:13:16.594729, 委托编号 941574', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:13:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.20919)执行成功,订单编号: 941574
2021-08-20 11:14:17,359 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:14:17.358992, 委托编号 941575', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:14:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.20919)执行成功,订单编号: 941575
2021-08-20 11:15:15,649 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:15:15.649659, 委托编号 941576', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:15:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.2192)执行成功,订单编号: 941576
2021-08-20 11:16:15,309 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:16:15.309885, 委托编号 941579', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:16:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.229210000000002)执行成功,订单编号: 941579
2021-08-20 11:17:14,599 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:17:14.599069, 委托编号 941580', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:17:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.17916)执行成功,订单编号: 941580
2021-08-20 11:18:13,369 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:18:13.369494, 委托编号 941588', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:18:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.14913)执行成功,订单编号: 941588
2021-08-20 11:19:13,253 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:19:13.253886, 委托编号 941612', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:19:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.099079999999997)执行成功,订单编号: 941612
2021-08-20 11:20:12,133 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:20:12.133176, 委托编号 941643', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:20:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.08907)执行成功,订单编号: 941643
2021-08-20 11:21:12,220 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:21:12.220877, 委托编号 941651', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:21:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.10909)执行成功,订单编号: 941651
2021-08-20 11:22:11,845 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:22:11.845043, 委托编号 941676', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:22:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.05904)执行成功,订单编号: 941676
2021-08-20 11:23:13,203 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:23:13.203704, 委托编号 941677', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:23:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.07906)执行成功,订单编号: 941677
2021-08-20 11:24:12,691 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:24:12.691874, 委托编号 941678', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:24:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.08907)执行成功,订单编号: 941678
2021-08-20 11:25:13,492 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:25:13.492779, 委托编号 941683', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:25:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.16915)执行成功,订单编号: 941683
2021-08-20 11:26:22,850 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:26:22.850733, 委托编号 941695', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:26:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.19918)执行成功,订单编号: 941695
2021-08-20 11:27:13,146 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:27:13.146000, 委托编号 941696', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:27:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.2192)执行成功,订单编号: 941696
2021-08-20 11:28:12,659 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:28:12.659118, 委托编号 941699', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:28:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.139120000000002)执行成功,订单编号: 941699
2021-08-20 11:29:13,854 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:29:13.854368, 委托编号 941700', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:29:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.2192)执行成功,订单编号: 941700
2021-08-20 11:30:13,800 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 11:30:13.800086, 委托编号 941701', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 11:30:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.19918)执行成功,订单编号: 941701
2021-08-20 13:01:32,581 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 13:01:32.581866, 委托编号 941759', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 13:01:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.27926)执行成功,订单编号: 941759
2021-08-20 13:02:45,534 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 13:02:45.533974, 委托编号 941762', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 13:02:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.28927)执行成功,订单编号: 941762
2021-08-20 13:04:23,765 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 13:04:23.765022, 委托编号 941763', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 13:03:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.26925)执行成功,订单编号: 941763
2021-08-20 13:04:00.000000 - WARN - 订单失败: 合约[000001.SZ]市场数据缺失。
2021-08-20 13:05:00.000000 - WARN - 订单失败: 合约[000001.SZ]市场数据缺失。
2021-08-20 13:06:51,903 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 13:06:51.903534, 委托编号 941764', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 13:06:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.29928)执行成功,订单编号: 941764
2021-08-20 13:07:33,861 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 13:07:33.861389, 委托编号 941765', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 13:07:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.319300000000002)执行成功,订单编号: 941765
2021-08-20 13:08:19,796 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 13:08:19.796314, 委托编号 941769', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 13:08:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.35934)执行成功,订单编号: 941769
2021-08-20 13:09:20,145 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 13:09:20.145657, 委托编号 941770', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 13:09:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.319300000000002)执行成功,订单编号: 941770
2021-08-20 13:10:21,604 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 13:10:21.604085, 委托编号 941772', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 13:10:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.30929)执行成功,订单编号: 941772
2021-08-20 13:11:43,732 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 13:11:43.732739, 委托编号 941795', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 13:11:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.36935)执行成功,订单编号: 941795
2021-08-20 13:12:35,735 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 13:12:35.734953, 委托编号 941808', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 13:12:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.39938)执行成功,订单编号: 941808
2021-08-20 13:13:52,303 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 13:13:52.303666, 委托编号 941809', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 13:13:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.37936)执行成功,订单编号: 941809
2021-08-20 13:14:00.000000 - WARN - 订单失败: 合约[000001.SZ]市场数据缺失。
2021-08-20 13:15:00.000000 - WARN - 订单失败: 合约[000001.SZ]市场数据缺失。
2021-08-20 13:17:11,254 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 13:17:11.254940, 委托编号 941820', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 13:16:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.38937)执行成功,订单编号: 941820
2021-08-20 13:17:50,085 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 13:17:50.085172, 委托编号 941821', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 13:17:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.35934)执行成功,订单编号: 941821
2021-08-20 13:19:03,327 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 13:19:03.327326, 委托编号 941822', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
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2021-08-20 14:27:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.67966)执行成功,订单编号: 942277
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2021-08-20 14:37:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.499480000000002)执行成功,订单编号: 942300
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2021-08-20 14:40:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.50949)执行成功,订单编号: 942305
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2021-08-20 14:43:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.42941)执行成功,订单编号: 942310
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2021-08-20 14:44:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.439420000000002)执行成功,订单编号: 942354
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2021-08-20 14:45:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.46945)执行成功,订单编号: 942355
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2021-08-20 14:46:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.42941)执行成功,订单编号: 942356
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2021-08-20 14:47:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.44943)执行成功,订单编号: 942358
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2021-08-20 14:48:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.44943)执行成功,订单编号: 942360
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2021-08-20 14:49:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.42941)执行成功,订单编号: 942366
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2021-08-20 14:50:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.439420000000002)执行成功,订单编号: 942368
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2021-08-20 14:51:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.45944)执行成功,订单编号: 942396
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2021-08-20 14:52:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.45944)执行成功,订单编号: 942401
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2021-08-20 14:53:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.46945)执行成功,订单编号: 942403
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2021-08-20 14:54:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.45944)执行成功,订单编号: 942408
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2021-08-20 14:55:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.439420000000002)执行成功,订单编号: 942417
2021-08-20 14:56:14,503 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 14:56:14.503644, 委托编号 942436', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 14:56:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.4194)执行成功,订单编号: 942436
2021-08-20 14:57:14,327 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 14:57:14.327604, 委托编号 942485', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 14:57:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.4194)执行成功,订单编号: 942485
2021-08-20 14:58:17,023 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 14:58:17.023665, 委托编号 942586', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 14:58:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.4194)执行成功,订单编号: 942586
2021-08-20 14:59:00.000000 - WARN - Order Cancelled: market order 000001.SZ volume 100 due to volume limit
2021-08-20 15:00:14,771 - INFO - {'process': 'main', 'detail': 'Symbol 000001.SZ 已委托, 委托时间 2021-08-20 15:00:14.771665, 委托编号 942611', 'log_id': '59f22b61-bc38-47bd-bd0b-118104c544a8'}
2021-08-20 15:00:00.000000 - INFO - realtime_trade订单(000001.SZ 数量:100 价格:19.4194)执行成功,订单编号: 942611
2021-08-20 15:30:00.000000 - INFO - 结束research_trade运行...
同步资金账号数据¶
支持使用sync_trade_api()同步资金账号数据
In [1]:
from tick_trade_api import TradeAPI
trade_api=TradeAPI('69271711')
source_code="""
# 股票策略模版
def init(context):
pass
## 开盘时运行函数
def handle_bar(context, bar_dict):
sync_trade_api()
order('000001.SZ', 100)
"""
rtrade = research_trade('研究环境策略', source_code, frequency='MINUTE', trade_api=trade_api)
2021-08-23 16:19:39.255842 - INFO - 开始research_trade运行... 2021-08-23 16:19:39.260845 - INFO - 结束research_trade运行...
查询策略持仓¶
In [12]:
rtrade.persist.positions
Out[12]:
[{'asset_code': '000001.SZ',
'avg_price': 19.447277083333336,
'close_price': 19.7,
'markup': 0.001525165226232719,
'pos_amount': 28800,
'pos_type': 'STOCK',
'pos_value': 567360.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 7278.419999999892,
'symbol_ty': 'CUSTOM'},
{'asset_code': '000422.SZ',
'avg_price': 9.383,
'close_price': 12.34,
'markup': 0.003252032520325134,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 1234.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 295.70000000000005,
'symbol_ty': 'CUSTOM'},
{'asset_code': '000506.SZ',
'avg_price': 3.771,
'close_price': 3.29,
'markup': 0.0,
'pos_amount': 200,
'pos_type': 'STOCK',
'pos_value': 658.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -96.19999999999997,
'symbol_ty': 'CUSTOM'},
{'asset_code': '000551.SZ',
'avg_price': 9.641,
'close_price': 11.27,
'markup': 0.00805008944543827,
'pos_amount': 1300,
'pos_type': 'STOCK',
'pos_value': 14651.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 2117.6999999999994,
'symbol_ty': 'CUSTOM'},
{'asset_code': '000559.SZ',
'avg_price': 5.632,
'close_price': 5.48,
'markup': -0.0018214936247722745,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 548.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -15.199999999999925,
'symbol_ty': 'CUSTOM'},
{'asset_code': '000561.SZ',
'avg_price': 7.682,
'close_price': 7.66,
'markup': -0.0013037809647978862,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 766.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -2.200000000000024,
'symbol_ty': 'CUSTOM'},
{'asset_code': '000657.SZ',
'avg_price': 12.964,
'close_price': 12.61,
'markup': 0.0,
'pos_amount': 200,
'pos_type': 'STOCK',
'pos_value': 2522.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -70.8000000000002,
'symbol_ty': 'CUSTOM'},
{'asset_code': '000723.SZ',
'avg_price': 8.953,
'close_price': 14.0,
'markup': 0.012292118582791028,
'pos_amount': 200,
'pos_type': 'STOCK',
'pos_value': 2800.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 1009.4000000000001,
'symbol_ty': 'CUSTOM'},
{'asset_code': '000762.SZ',
'avg_price': 37.265,
'close_price': 51.58,
'markup': -0.004247104247104226,
'pos_amount': 800,
'pos_type': 'STOCK',
'pos_value': 41264.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 11451.999999999998,
'symbol_ty': 'CUSTOM'},
{'asset_code': '000908.SZ',
'avg_price': 5.212,
'close_price': 4.38,
'markup': -0.002277904328018175,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 438.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -83.19999999999999,
'symbol_ty': 'CUSTOM'},
{'asset_code': '000935.SZ',
'avg_price': 19.156,
'close_price': 17.38,
'markup': 0.0046242774566473,
'pos_amount': 200,
'pos_type': 'STOCK',
'pos_value': 3476.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -355.19999999999993,
'symbol_ty': 'CUSTOM'},
{'asset_code': '000938.SZ',
'avg_price': 28.359,
'close_price': 25.35,
'markup': 0.0007895775759969652,
'pos_amount': 400,
'pos_type': 'STOCK',
'pos_value': 10140.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -1203.6000000000001,
'symbol_ty': 'CUSTOM'},
{'asset_code': '000962.SZ',
'avg_price': 11.123,
'close_price': 15.57,
'markup': -0.0019230769230768822,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 1557.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 444.7000000000001,
'symbol_ty': 'CUSTOM'},
{'asset_code': '000993.SZ',
'avg_price': 10.093,
'close_price': 9.28,
'markup': -0.0010764262648008383,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 927.9999999999999,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -81.30000000000007,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002010.SZ',
'avg_price': 8.518,
'close_price': 7.62,
'markup': 0.0013140604467805237,
'pos_amount': 600,
'pos_type': 'STOCK',
'pos_value': 4572.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -538.8000000000003,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002045.SZ',
'avg_price': 13.064,
'close_price': 12.71,
'markup': 0.0031570639305446664,
'pos_amount': 200,
'pos_type': 'STOCK',
'pos_value': 2542.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -70.79999999999984,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002080.SZ',
'avg_price': 27.685,
'close_price': 27.52,
'markup': -0.006856730422230287,
'pos_amount': 300,
'pos_type': 'STOCK',
'pos_value': 8256.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -49.499999999999744,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002101.SZ',
'avg_price': 8.698,
'close_price': 8.28,
'markup': 0.0012091898428052948,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 827.9999999999999,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -41.800000000000104,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002119.SZ',
'avg_price': 17.725,
'close_price': 16.7,
'markup': -0.008902077151335437,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 1670.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -102.50000000000021,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002192.SZ',
'avg_price': 85.226,
'close_price': 133.66,
'markup': 0.004962406015037568,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 13366.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 4843.4,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002240.SZ',
'avg_price': 33.473,
'close_price': 39.0,
'markup': 0.00025647601949212645,
'pos_amount': 300,
'pos_type': 'STOCK',
'pos_value': 11700.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 1658.1000000000004,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002284.SZ',
'avg_price': 8.673,
'close_price': 7.89,
'markup': 0.0,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 789.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -78.30000000000004,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002326.SZ',
'avg_price': 15.369,
'close_price': 35.37,
'markup': -0.0028192839018889603,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 3536.9999999999995,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 2000.0999999999997,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002357.SZ',
'avg_price': 5.482,
'close_price': 5.26,
'markup': 0.0,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 526.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -22.200000000000042,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002383.SZ',
'avg_price': 8.403,
'close_price': 6.66,
'markup': 0.003012048192771154,
'pos_amount': 5200,
'pos_type': 'STOCK',
'pos_value': 34632.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -9063.600000000002,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002407.SZ',
'avg_price': 50.135,
'close_price': 46.4,
'markup': -0.0004308487720810669,
'pos_amount': 200,
'pos_type': 'STOCK',
'pos_value': 9280.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -746.9999999999999,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002411.SZ',
'avg_price': 7.72,
'close_price': 8.14,
'markup': -0.0012269938650306487,
'pos_amount': 400,
'pos_type': 'STOCK',
'pos_value': 3256.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 168.00000000000034,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002433.SZ',
'avg_price': 5.472,
'close_price': 4.63,
'markup': 0.002164502164502118,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 463.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -84.20000000000005,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002442.SZ',
'avg_price': 7.782,
'close_price': 7.87,
'markup': 0.0,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 787.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 8.800000000000008,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002454.SZ',
'avg_price': 6.522,
'close_price': 7.35,
'markup': 0.0,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 735.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 82.79999999999994,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002455.SZ',
'avg_price': 8.353,
'close_price': 22.5,
'markup': -0.016608391608391566,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 2250.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 1414.7,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002460.SZ',
'avg_price': 149.358,
'close_price': 160.5,
'markup': -0.0037243947858472647,
'pos_amount': 300,
'pos_type': 'STOCK',
'pos_value': 48150.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 3342.5999999999985,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002472.SZ',
'avg_price': 18.902,
'close_price': 20.17,
'markup': 0.0014895729890765212,
'pos_amount': 300,
'pos_type': 'STOCK',
'pos_value': 6051.000000000001,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 380.4000000000002,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002518.SZ',
'avg_price': 21.827,
'close_price': 34.91,
'markup': 0.0,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 3490.9999999999995,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 1308.2999999999995,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002533.SZ',
'avg_price': 7.316,
'close_price': 9.3,
'markup': 0.004319654427645888,
'pos_amount': 300,
'pos_type': 'STOCK',
'pos_value': 2790.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 595.2000000000003,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002539.SZ',
'avg_price': 11.443,
'close_price': 9.81,
'markup': 0.0010204081632652843,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 981.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -163.2999999999999,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002564.SZ',
'avg_price': 5.152,
'close_price': 4.8,
'markup': 0.0,
'pos_amount': 200,
'pos_type': 'STOCK',
'pos_value': 960.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -70.40000000000006,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002580.SZ',
'avg_price': 10.293,
'close_price': 10.01,
'markup': -0.0009980039920159467,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 1001.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -28.299999999999947,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002598.SZ',
'avg_price': 9.683,
'close_price': 10.36,
'markup': -0.004803073967339165,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 1036.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 67.69999999999996,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002617.SZ',
'avg_price': 15.115,
'close_price': 12.07,
'markup': 0.001659751037344363,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 1207.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -304.5,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002625.SZ',
'avg_price': 19.836,
'close_price': 22.98,
'markup': 0.0017436791630339645,
'pos_amount': 200,
'pos_type': 'STOCK',
'pos_value': 4596.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 628.8000000000004,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002647.SZ',
'avg_price': 9.183,
'close_price': 8.04,
'markup': -0.0012422360248449146,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 803.9999999999999,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -114.30000000000007,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002662.SZ',
'avg_price': 3.851,
'close_price': 3.92,
'markup': 0.0,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 392.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 6.899999999999995,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002664.SZ',
'avg_price': 16.085,
'close_price': 17.8,
'markup': 0.011363636363636322,
'pos_amount': 200,
'pos_type': 'STOCK',
'pos_value': 3560.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 343.0,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002738.SZ',
'avg_price': 60.066,
'close_price': 49.22,
'markup': -0.002027575020275779,
'pos_amount': 500,
'pos_type': 'STOCK',
'pos_value': 24610.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -5423.000000000002,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002756.SZ',
'avg_price': 72.458,
'close_price': 80.63,
'markup': -0.0007435865658694048,
'pos_amount': 300,
'pos_type': 'STOCK',
'pos_value': 24189.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 2451.599999999999,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002760.SZ',
'avg_price': 36.816,
'close_price': 23.11,
'markup': 0.003038194444444457,
'pos_amount': 200,
'pos_type': 'STOCK',
'pos_value': 4622.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -2741.2000000000007,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002781.SZ',
'avg_price': 7.872,
'close_price': 7.08,
'markup': -0.0014104372355429884,
'pos_amount': 100,
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'pos_value': 708.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -79.19999999999999,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002850.SZ',
'avg_price': 102.866,
'close_price': 113.1,
'markup': -0.0073723012111638,
'pos_amount': 1900,
'pos_type': 'STOCK',
'pos_value': 214890.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 19444.59999999999,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002865.SZ',
'avg_price': 24.978,
'close_price': 26.36,
'markup': -0.004907512268780635,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 2636.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 138.1999999999998,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002885.SZ',
'avg_price': 16.485,
'close_price': 14.18,
'markup': 0.004249291784702585,
'pos_amount': 1800,
'pos_type': 'STOCK',
'pos_value': 25524.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -4148.999999999999,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002922.SZ',
'avg_price': 11.283,
'close_price': 12.1,
'markup': 0.0016556291390728123,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 1210.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 81.70000000000002,
'symbol_ty': 'CUSTOM'},
{'asset_code': '002933.SZ',
'avg_price': 35.411,
'close_price': 29.21,
'markup': 0.002058319039451193,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 2921.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -620.1,
'symbol_ty': 'CUSTOM'},
{'asset_code': '003011.SZ',
'avg_price': 34.924,
'close_price': 28.73,
'markup': 0.00034818941504183716,
'pos_amount': 8300,
'pos_type': 'STOCK',
'pos_value': 238459.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -51410.19999999999,
'symbol_ty': 'CUSTOM'},
{'asset_code': '300033.SZ',
'avg_price': 125.016,
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{'asset_code': '603217.SH',
'avg_price': 31.04,
'close_price': 37.63,
'markup': 0.0007978723404255621,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 3763.0000000000005,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 659.0000000000003,
'symbol_ty': 'CUSTOM'},
{'asset_code': '603324.SH',
'avg_price': 56.844,
'close_price': 75.64,
'markup': 0.008936908096571985,
'pos_amount': 200,
'pos_type': 'STOCK',
'pos_value': 15128.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 3759.2,
'symbol_ty': 'CUSTOM'},
{'asset_code': '603379.SH',
'avg_price': 25.033,
'close_price': 24.26,
'markup': 0.0,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 2426.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -77.29999999999997,
'symbol_ty': 'CUSTOM'},
{'asset_code': '603396.SH',
'avg_price': 80.555,
'close_price': 130.03,
'markup': -0.00015378700499815633,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 13003.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 4947.499999999999,
'symbol_ty': 'CUSTOM'},
{'asset_code': '603518.SH',
'avg_price': 15.883,
'close_price': 14.17,
'markup': -0.008397480755773214,
'pos_amount': 51600,
'pos_type': 'STOCK',
'pos_value': 731172.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -88390.79999999996,
'symbol_ty': 'CUSTOM'},
{'asset_code': '603669.SH',
'avg_price': 10.504,
'close_price': 9.65,
'markup': 0.0010373443983402268,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 965.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -85.39999999999992,
'symbol_ty': 'CUSTOM'},
{'asset_code': '603838.SH',
'avg_price': 7.83,
'close_price': 6.83,
'markup': -0.0014619883040935362,
'pos_amount': 200,
'pos_type': 'STOCK',
'pos_value': 1366.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -200.0,
'symbol_ty': 'CUSTOM'},
{'asset_code': '603876.SH',
'avg_price': 26.572,
'close_price': 36.59,
'markup': -0.008132285172133292,
'pos_amount': 400,
'pos_type': 'STOCK',
'pos_value': 14636.000000000002,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 4007.2000000000016,
'symbol_ty': 'CUSTOM'},
{'asset_code': '603915.SH',
'avg_price': 41.995,
'close_price': 43.93,
'markup': 0.002968036529680424,
'pos_amount': 300,
'pos_type': 'STOCK',
'pos_value': 13179.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 580.5000000000007,
'symbol_ty': 'CUSTOM'},
{'asset_code': '603938.SH',
'avg_price': 46.951,
'close_price': 67.12,
'markup': -0.0029708853238263316,
'pos_amount': 200,
'pos_type': 'STOCK',
'pos_value': 13424.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 4033.8000000000006,
'symbol_ty': 'CUSTOM'},
{'asset_code': '603959.SH',
'avg_price': 11.535,
'close_price': 16.27,
'markup': -0.004283965728274192,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 1627.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 473.49999999999994,
'symbol_ty': 'CUSTOM'},
{'asset_code': '603960.SH',
'avg_price': 33.774,
'close_price': 29.9,
'markup': -0.0016694490818030287,
'pos_amount': 100,
'pos_type': 'STOCK',
'pos_value': 2990.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -387.4000000000002,
'symbol_ty': 'CUSTOM'},
{'asset_code': '605111.SH',
'avg_price': 138.496,
'close_price': 145.3,
'markup': 0.002068965517241458,
'pos_amount': 600,
'pos_type': 'STOCK',
'pos_value': 87180.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': 4082.4000000000015,
'symbol_ty': 'CUSTOM'},
{'asset_code': '605358.SH',
'avg_price': 154.295,
'close_price': 133.46,
'markup': -0.004029850746268597,
'pos_amount': 200,
'pos_type': 'STOCK',
'pos_value': 26692.0,
'position_date': '2021-08-18T20:04:59',
'profit_and_loss': -4166.999999999996,
'symbol_ty': 'CUSTOM'}]
查询资金信息¶
In [6]:
rtrade.persist.total_asset_value
Out[6]:
5344587.33
策略收益统计¶
In [14]:
profit = rtrade.calcu_symbol_profit(with_init_position=False)
with_init_position参数表示是否将初始持仓作为第一笔交易计入统计，默认为True
查看单只股票的交易记录
In [13]:
profit.df('000001.SZ')
Out[13]:
| 时间 | 操作 | 数量 | 价格 | 手续费 | 税费 | 盈亏 | 总盈亏 | |
|---|---|---|---|---|---|---|---|---|
| 0 | 2021-07-19 13:57:00 | BUY | 100 | 21.09107 | 5 | None | 0 | 0 |
| 1 | 2021-07-19 13:58:00 | BUY | 100 | 21.11109 | 5 | None | 0 | 0 |
| 2 | 2021-07-19 13:59:00 | BUY | 100 | 21.09107 | 5 | None | 0 | 0 |
| 3 | 2021-07-19 14:00:00 | BUY | 100 | 21.09107 | 5 | None | 0 | 0 |
| 4 | 2021-07-19 14:01:00 | BUY | 100 | 21.12110 | 5 | None | 0 | 0 |
| 5 | 2021-07-19 14:02:00 | BUY | 100 | 21.12110 | 5 | None | 0 | 0 |
| 6 | 2021-07-19 14:03:00 | BUY | 100 | 21.11109 | 5 | None | 0 | 0 |
| 7 | 2021-07-19 14:04:00 | BUY | 100 | 21.11109 | 5 | None | 0 | 0 |
| 8 | 2021-07-19 14:05:00 | BUY | 100 | 21.11109 | 5 | None | 0 | 0 |
| 9 | 2021-07-19 14:06:00 | BUY | 100 | 21.12110 | 5 | None | 0 | 0 |
| 10 | 2021-07-19 14:07:00 | BUY | 100 | 21.15113 | 5 | None | 0 | 0 |
| 11 | 2021-07-19 14:08:00 | BUY | 100 | 21.18116 | 5 | None | 0 | 0 |
| 12 | 2021-07-19 14:09:00 | BUY | 100 | 21.21119 | 5 | None | 0 | 0 |
| 13 | 2021-07-19 14:10:00 | BUY | 100 | 21.21119 | 5 | None | 0 | 0 |
| 14 | 2021-07-19 14:11:00 | BUY | 100 | 21.22120 | 5 | None | 0 | 0 |
| 15 | 2021-07-19 14:12:00 | BUY | 100 | 21.25123 | 5 | None | 0 | 0 |
| 16 | 2021-07-19 14:13:00 | BUY | 100 | 21.24122 | 5 | None | 0 | 0 |
| 17 | 2021-07-19 14:14:00 | BUY | 100 | 21.26124 | 5 | None | 0 | 0 |
| 18 | 2021-07-19 14:15:00 | BUY | 100 | 21.24122 | 5 | None | 0 | 0 |
| 19 | 2021-07-19 14:16:00 | BUY | 100 | 21.26124 | 5 | None | 0 | 0 |
| 20 | 2021-07-19 14:17:00 | BUY | 100 | 21.26124 | 5 | None | 0 | 0 |
| 21 | 2021-07-19 14:18:00 | BUY | 100 | 21.25123 | 5 | None | 0 | 0 |
| 22 | 2021-07-19 14:19:00 | BUY | 100 | 21.25123 | 5 | None | 0 | 0 |
| 23 | 2021-07-19 14:20:00 | BUY | 100 | 21.26124 | 5 | None | 0 | 0 |
| 24 | 2021-07-19 14:21:00 | BUY | 100 | 21.27125 | 5 | None | 0 | 0 |
| 25 | 2021-07-19 14:22:00 | BUY | 100 | 21.26124 | 5 | None | 0 | 0 |
| 26 | 2021-07-19 14:23:00 | BUY | 100 | 21.24122 | 5 | None | 0 | 0 |
| 27 | 2021-07-19 14:24:00 | BUY | 100 | 21.24122 | 5 | None | 0 | 0 |
| 28 | 2021-07-19 14:25:00 | BUY | 100 | 21.24122 | 5 | None | 0 | 0 |
| 29 | 2021-07-19 14:26:00 | BUY | 100 | 21.25123 | 5 | None | 0 | 0 |
| ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 452 | 2021-08-20 14:30:00 | BUY | 100 | 19.62961 | 5 | None | 0 | 0 |
| 453 | 2021-08-20 14:31:00 | BUY | 100 | 19.58957 | 5 | None | 0 | 0 |
| 454 | 2021-08-20 14:32:00 | BUY | 100 | 19.49948 | 5 | None | 0 | 0 |
| 455 | 2021-08-20 14:33:00 | BUY | 100 | 19.47946 | 5 | None | 0 | 0 |
| 456 | 2021-08-20 14:34:00 | BUY | 100 | 19.50949 | 5 | None | 0 | 0 |
| 457 | 2021-08-20 14:35:00 | BUY | 100 | 19.51950 | 5 | None | 0 | 0 |
| 458 | 2021-08-20 14:36:00 | BUY | 100 | 19.47946 | 5 | None | 0 | 0 |
| 459 | 2021-08-20 14:37:00 | BUY | 100 | 19.49948 | 5 | None | 0 | 0 |
| 460 | 2021-08-20 14:38:00 | BUY | 100 | 19.50949 | 5 | None | 0 | 0 |
| 461 | 2021-08-20 14:39:00 | BUY | 100 | 19.53952 | 5 | None | 0 | 0 |
| 462 | 2021-08-20 14:40:00 | BUY | 100 | 19.50949 | 5 | None | 0 | 0 |
| 463 | 2021-08-20 14:41:00 | BUY | 100 | 19.48947 | 5 | None | 0 | 0 |
| 464 | 2021-08-20 14:42:00 | BUY | 100 | 19.40939 | 5 | None | 0 | 0 |
| 465 | 2021-08-20 14:43:00 | BUY | 100 | 19.42941 | 5 | None | 0 | 0 |
| 466 | 2021-08-20 14:44:00 | BUY | 100 | 19.43942 | 5 | None | 0 | 0 |
| 467 | 2021-08-20 14:45:00 | BUY | 100 | 19.46945 | 5 | None | 0 | 0 |
| 468 | 2021-08-20 14:46:00 | BUY | 100 | 19.42941 | 5 | None | 0 | 0 |
| 469 | 2021-08-20 14:47:00 | BUY | 100 | 19.44943 | 5 | None | 0 | 0 |
| 470 | 2021-08-20 14:48:00 | BUY | 100 | 19.44943 | 5 | None | 0 | 0 |
| 471 | 2021-08-20 14:49:00 | BUY | 100 | 19.42941 | 5 | None | 0 | 0 |
| 472 | 2021-08-20 14:50:00 | BUY | 100 | 19.43942 | 5 | None | 0 | 0 |
| 473 | 2021-08-20 14:51:00 | BUY | 100 | 19.45944 | 5 | None | 0 | 0 |
| 474 | 2021-08-20 14:52:00 | BUY | 100 | 19.45944 | 5 | None | 0 | 0 |
| 475 | 2021-08-20 14:53:00 | BUY | 100 | 19.46945 | 5 | None | 0 | 0 |
| 476 | 2021-08-20 14:54:00 | BUY | 100 | 19.45944 | 5 | None | 0 | 0 |
| 477 | 2021-08-20 14:55:00 | BUY | 100 | 19.43942 | 5 | None | 0 | 0 |
| 478 | 2021-08-20 14:56:00 | BUY | 100 | 19.41940 | 5 | None | 0 | 0 |
| 479 | 2021-08-20 14:57:00 | BUY | 100 | 19.41940 | 5 | None | 0 | 0 |
| 480 | 2021-08-20 14:58:00 | BUY | 100 | 19.41940 | 5 | None | 0 | 0 |
| 481 | 2021-08-20 15:00:00 | BUY | 100 | 19.41940 | 5 | None | 0 | 0 |
482 rows × 8 columns
查看策略的盈亏曲线
In [15]:
profit.plot()
