策略研究｜SMC聪明钱策略——通过QMT实现T+0 ETF量化策略

#encoding:gbk# 导入工具包（含第三方包）import pandas as pdimport numpy as npimport talibimport picklefrom collections import deque, namedtuplefrom enum import Enum, uniqueimport threadingimport timefrom datetime import timedelta, datetimeimport os
# 交易全局变量设置class a:passA = a()# 设置账户信息A.acct = ""A.acct_type = "STOCK"  # 账户类型# 设置交易相关信息A.max_position_ratio = {}  # 最终字典A.position_ratio = {}  # 最大ETF仓位A.waiting_dict = {}  # 委托订单字典A.order_time_dict = {}  # 下单时间字典A.all_order_ref_dict = {}  # 所有订单引用字典A.withdraw_secs = 30  # 撤单时间# 设置交易时间信息A.start_time = '093000'  # 开始时间A.end_time = '145500'  # 结束时间# 设置结束标志和计数A.end_flag = 0A.strategy_flag = 'T015MHSETF'A.D_NUM = 1A.K_NUM = 1# 常量定义A.FACTOR_LWR_ratio = 0.3A.FACTOR_BIASF_ratio = 0.3A.FACTOR_ADMA_ratio = 0.3A.FACTOR_WVOL_ratio = 0.1A.DEFAULT_FACTOR = 1.0 .....部分代码....def handlebar(C):  if '091500'<= now_timestr <= '093000':#指定的范围內不撤单    pass  else:    for order in order_list:      # 非本策略 本次运行记录的委托 不撤      if order.m_strRemark not in A.all_order_ref_dict:        continue      # 委托后 时间不到撤单等待时间的 不撤      if time.time() - A.all_order_ref_dict[order.m_strRemark] < A.withdraw_secs:        continue      # 对所有可撤状态的委托 撤单      if order.m_nOrderStatus in [48,49,50,51,52,55,86,255]:        print(f"超时撤单 停止等待 {order.m_strRemark}")        cancel(order.m_strOrderSysID,A.acct,'stock',C)   print(f"获取每一只票的当前持仓比例：{position_dict}")  # 获取股票列表并进行处理  if C.spare_list:    for stock in C.spare_list:      #有未查到的委托的品种 跳过下单 防止超单      if stock in A.waiting_dict:        print(f"{stock} 未查到或存在未撤回委托 {A.waiting_dict[stock]} 暂停后续报单")        continue      # 威廉指标      lwl = call_vba('LW_R.LWR1', stock,'15m', C)      lwl = round(lwl, 3)      lw2 = call_vba('LW_R.LWR2', stock,'15m', C)      lw2 = round(lw2, 3)      LWR_S = call_vba('LW_R.LWR_S', stock, '15m', C)      LWR_B = call_vba('LW_R.LWR_B', stock,'15m', C)      # 乖离率      BIASF = call_vba('BIAS.BIAST', stock, '15m', C)        print(f"BIASF:{BIASF}")      # ADM 动态买卖气指标      ADMA = call_vba('ADTM.ADMA', stock, '15m', C)       W_VOL = call_vba('VOL.W_VOL', stock, '15m', C)      # 止盈止损和卖出条件      if position_dict[stock] > 0:        # 盈亏比        profit = round(position_dict_dPositionProfit[stock] ,4)        canUseVol = position_dict_canUseVolume[stock]        print(f"代码：{stock}, 持有比例: {position_dict[stock]}，盈亏比: {profit}")        if LWR_S == 1:           if position_dict[stock] > 0:            msg = f"{now.strftime('%Y%m%d%H%M%S')}_{stock}_sell_all"             passorder(24,1101,A.acct,stock,14,-1,canUseVol,'破势出场',2,msg,C)             A.waiting_dict[stock] = msg             A.all_order_ref_dict[msg] = time.time()             save_local_var()      else:        # 判断是否满足买入条件        if LWR_B == 1  :          # 计算仓位因子          factor_ratio = calculate_position_factor(lwl, lw2, BIASF, ADMA, W_VOL)          # 使用仓位比例因子计算下单比例          order_ratio = A.position_ratio[stock] * factor_ratio          residue_value = round(1- sum(position_dict.values()), 2)           if order_ratio >= residue_value:            order_ratio = residue_value          msg = f"{now.strftime('%Y%m%d%H%M%S')}_{stock}_hold_{round(order_ratio,2)}%"          print(msg, end="\n")           if order_ratio > 0:            passorder(23, 1113, A.acct, stock, 14,  -1 , order_ratio, "顺势入场",2, msg, C)            A.waiting_dict[stock] = msg            A.all_order_ref_dict[msg] = time.time()            save_local_var()