豆粕期权soymeal covered-call例子

# coding:utf-8
#!/usr/bin/env python

from PoboAPI import *
import datetime
import numpy as np
#简单的例子，并不挣钱，细节读者自己添加 an example of soybean meal covered-call strategy,could get some problem of price data gap as 
#soybean meal options got quite thin trading volume 读者可以自己写一些算法避免期权历史价格稀疏的问题
#在用户设置里查一下自己的初始测试账户名称，是不是“回测期货”，不是的话改成你自己的测试期货账户名称即可
#分钟或日线级别策略 back test on minute level
#读者可以自己补充换月的功能，否则只在豆粕1805期权的存续周期内回测
#开始时间，用于初始化一些参数
def OnStart(context) :
    print "I\'m starting..."
    #登录交易账号，需在主页用户管理中设置账号，并把证券测试替换成您的账户名称
    context.myacc = None
    if context.accounts.has_key("回测期货") :
        print "登录交易账号[回测期货]"
        if context.accounts["回测期货"].Login() :
            context.myacc = context.accounts["回测期货"]    
    SubscribeQuote(["m1805.DCE","m1805-C-3000.DCE"])
    g.code1="m1805.DCE"
    g.code2="m1805-C-3000.DCE"

    
def OnOrderChange(context, AccountName, order) :
    Test = context.accounts["回测期货"].GetOrder(order.id)
    print str(Test.volume)
    
#实时行情事件，当有新行情出现时调用该事件
def OnQuote(context,code) :
    option=PBObj()
    #option.buysellflag='0'
    pos = context.accounts["回测期货"].GetPositions()
    #print "positions ",pos
    #print "len(pos) ",len(pos)
    

    #dyndatam1901 = GetQuote(g.code1)
    #dyndatam1901c3000 = GetQuote(g.code2)
    
    leg1=GetQuote(g.code1).clear
    print "leg1 price "+str(leg1)
    leg2=GetQuote(g.code2).clear
    print "leg2 price "+str(leg2)
    timerecorder=GetQuote(g.code1).time
    
    if leg2==0:
      print "option price error"
    premiumratio=float(leg2/leg1)
    print "premium ratio "+str(premiumratio)+" "+str(leg2)+" "+str(leg1)
    
    
    print "at time ",timerecorder

    if premiumratio<=0.001 and len(pos)==0 : # if soybean meal options too cheap,then buy opt short fut
        print "to buy Spread...." 
        context.myacc.InsertOrder(g.code2, BSType.BuyOpen, leg2, 1)
        context.myacc.InsertOrder(g.code1, BSType.SellOpen, leg1, 1)
        print "positions bought ",timerecorder
        bal=context.accounts["回测期货"].AccountBalance.AssetsBalance #返回成交后账户权益
        #api参考https://quant.pobo.net.cn/quant/doc?name=api#%E6%8C%81%E4%BB%93%E5%AF%B9%E8%B1%A1position%E7%94%A8%E6%B3%95
        print "账户金额 ："+str(bal)
        #orders = context.accounts["回测期货"].GetOrder(order.id)
        #print str(orders.volume)
        #OnOrderChange(context, "回测期货", order)
        TradeDetails = context.accounts["回测期货"].GetTradeDetails()
        print TradeDetails
        #print "len(pos) in trade ",len(pos)
        pos = context.accounts["回测期货"].GetPositions()
        print "len(pos) str in trade "+str(len(pos))
    #
    if premiumratio>0.01 and len(pos)>0:
        print "to sell Spread..." 
        context.myacc.InsertOrder(g.code1, BSType.BuyClose, leg1, 1)
        context.myacc.InsertOrder(g.code2, BSType.SellClose, leg2, 1)
        print "positions sold ",timerecorder
        bal=context.accounts["回测期货"].AccountBalance.AssetsBalance #返回成交后账户权益
        print "账户金额 ："+str(bal)
        pos = context.accounts["回测期货"].GetPositions()
        print "len(pos) str in trade "+str(len(pos))