kyroller 0.9.0

快雨量化框架

# 快雨量化

#### 策略样例

```python
# -*- coding:UTF-8 -*-

from kyd import Engine
from kyd import Strategy
from kyd import Account, Position
from kyd import Order
from kyd import Tick, Bar, MarketEvent, MarketStatus
from functools import reduce
from kyd import OrderSide, OrderType
import time
from datetime import datetime
import random


class example_strategy(Strategy):

def __init__(self, **kwargs):
Strategy.__init__(self, **kwargs)

def init(self, subs, start_time=None, end_time=None):
'''
初始化策略
'''
self.state.bar1m = []
self.state.last_10 = {}

def on_market_event(self, e: MarketEvent):
print('大盘事件', e)

def on_bar(self, bar: Bar):
self.state.bar1m.append(bar)
print(bar.preclose_backadj)
pass
# print(bar)

def on_tick(self, tick: Tick):
'''
新的 Tick 到达时的触发,下面是 一个简单策略
'''
# 测试策略，只操作普路通，随机买入，随机卖出，每次最多操作20%的总净值
if tick.symbol == 'sz002769':
if random.randint(0, 1) == 0:
# 随机买入
if self.account.balance / tick.price < 100:
print('%s 余额不足买一手，跳过此次随机买入' % tick.time)
return
# /100 * 100 为了凑手数
volume = int(min(self.account.balance / tick.price,
self.account.all * 0.2 / tick.price) / 100) * 100

print('%s 随机买入 %d 股 ,价格：%.2f' %
(tick.time, volume, tick.price))
order = self.mk_order(
symbol=tick.symbol,
order_side=OrderSide.BID,
price=tick.price + 0.1, # 加一毛钱防止不能成交
order_type=OrderType.LIMIT,
volume=volume)
if order:
self.print('随机买入委托单被创建，订单号：' + order.cid)
else:
print('随机买入订单被拒绝，原因：%s' % self.get_last_error())
return
else:
# 随机卖出
all_volume = self.account.get_free_volume_of_symbol(
'sz002769')
if all_volume < 100:
print('%s 持仓不足1手，跳过此次随机卖出' % tick.time)
return
volume = int(
min(all_volume, self.account.all * 0.2 / tick.price) / 100) * 100
print('%s 随机卖出 %d 股 ' % (tick.time, volume))

order = self.mk_order(
symbol=tick.symbol,
order_side=OrderSide.ASK,
price=tick.price,
order_type=OrderType.LIMIT,
volume=volume)
if order:
self.print('随机卖出委托单被创建，订单号：' + order.cid)
else:
print('随机卖出订单被拒绝，原因：%s' % self.get_last_error())

def on_order_confirmed(self, order, src_status):
self.print('订单：%s 被确认 现持仓 %s' % (order.cid, self.account))

def on_order_traded(self, order, src_status):
self.print('订单：%s 被交易, 现持仓 %s' % (order.cid, self.account))


if __name__ == '__main__':
import sys
import os
import signal

def quit(signum, frame):
print('got ctrl+c')
os.kill(os.getpid(), signal.SIGINT)
sys.exit()
signal.signal(signal.SIGINT, quit)
signal.signal(signal.SIGTERM, quit)

st1 = example_strategy()

engine = Engine(server='127.0.0.1:3000',
strategy=st1,
token='x8874545454545')
o = Order()
o.side = OrderSide.ASK
# 初始化余额 100w
account = Account(1000000)
print('初始资产：', account)

# 画出资产变动图表
engine.plot_assets()

# engine.run_realtime(
# subs='tick_1s.sz000002',account=account)
# 支持
# bar_1m.all 全市场
# bar_1m.sz000001 单只
# bar_1m.sz000001,bar_30s.sz000001 组合
# 表达式 tick_1s.sz000001 tick_30s.sz000001 等

engine.run_rollback(subs='tick_3s.all', account=account,
start="2016-07-28", end="2016-07-28")
print('end')
engine.wait()

```

#### 运行
```bash
python example.py

# 未实现
kyd run -f example_strategy.py --rollback --date 2017-06-20 --sub sz000002.tick

```