策略研究-跨品种套利-历史价差数据研究

测试环境

掘金3终端
python3.8.5 64-bit

# coding=utf-8
from __future__ import print_function, absolute_import
from gm.api import *
import matplotlib.pyplot as plt
import datetime
import time


# 设置token， 查看已有token ID,在用户-秘钥管理里获取
set_token('token')


'''
# 画图表需要安装matplotlib库： python -m pip install matplotlib
# 图表Demo
x_data = ['2011','2012','2013','2014','2015','2016','2017']
y_data = [58000,60200,63000,71000,84000,90500,107000]

plt.plot(x_data,y_data)
plt.show()
'''

#i = datetime.datetime.now()
#print ("当前的日期和时间是 %s" % i)
today = time.strftime("%Y-%m-%d") + ' 16:00:00'
print (today)

#连续合约代码查阅： https://www.myquant.cn/docs/data/data_continue
symbolA = 'CFFEX.IF'
symbolB = 'CFFEX.IC'


# 查询历史行情
data = history(symbol=symbolA+','+symbolB, frequency='1d', start_time='2000-01-01 09:00:00', end_time=today, fields='symbol,bob,close', df=False)

print(len(data))

data1 = {}
data2 = {}

for row in data:
    rowMap = {str(row['bob']): row}
    if row['symbol'] == symbolA:
        data1.update(rowMap)
    elif row['symbol'] == symbolB:
        data2.update(rowMap)

#print(data1)
#print(data2)

date = []
diff = []
isInit = False
dataTotal = 0
dataMin = 0
dataMax = 0

for key, row in data1.items():
    if data2.get(key, False) != False:
        date.append((key.split(' ',1)[0]))
        row2 = data2[key]
        diffVal = float(row['close']) - float(row2['close'])
        diff.append(diffVal)

        dataTotal += diffVal
        if isInit == False:
                isInit = True
                dataMin = diffVal
                dataMax = diffVal
        else:
                dataMin = min(dataMin, diffVal)
                dataMax = max(dataMax, diffVal)

print(date)
print(diff)
print("---------------掘金量化-跨品种套利：" + symbolA + "&" + symbolB + "----------------")
print("日期：" + date[0] + "~" + date[-1])
print("min = %s, max = %s, avg = %s, last-date = %s, last-value = %s" %(dataMin, dataMax, (dataTotal/len(diff)), date[-1], diff[-1]))

plt.plot(date,diff)
plt.show()

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