Mini-Exchange 0.0.8

依赖关系

• Python3.5
• 熊猫0.23.0
• Spyder 3.2.8
• 绘图仪2.7.0

安装

pip install mini_exchange

用法

# price: dataframe dt*ticker
# signal01: dataframe dt*ticker
# signal02: dataframe dt*ticker
dates=price.loc[start:end].index
tickers=price.columns

from mini_exchange import Mini_Exchange,Account,Log
MM=Mini_Exchange(price)# create user01
acc01=Account(start_amount=1000)log01=Log()
MM.register(user_name='user01',account=acc01,log=log01)# create user02
acc02=Account(start_amount=1000)log02=Log()
MM.register(user_name='user02',account=acc02,log=log02)# trade
for dt in dates:
    print('\rrun %d'%dt,end='\r')
    MM.hold(dt)for ticker in tickers:
        #user01
if signal01.loc[dt,ticker]==1:
            #open long
            MM.long(ticker,amount=10,dt=dt,user='user01')elif signal01.loc[dt,ticker]==-1:
            #open short
            MM.short(ticker,amount=10,dt=dt,user='user01')elif signal01.loc[dt,ticker].isin((-2,2)):
            #close
            MM.close(dt,ticker, by='ticker',user='user01')#user02
if signal02.loc[dt,ticker]==1:
            #open long
            MM.long(ticker,amount=10,dt=dt,user='user02')elif signal02.loc[dt,ticker]==-1:
            #open short
            MM.short(ticker,amount=10,dt=dt,user='user02')elif signal01.loc[dt,ticker].isin((-2,2)):
            #close
            MM.close(dt,ticker, by='ticker',user='user01')
    MM.settle(dt)# summary
# user01
print(acc01.annual_return(),acc01.sharpe_ratio(rf=0.03))
print(pos01.win_rate())
acc01.plot_history(by_pct=True)
pos01.plot_history_position()history_position=pos01.pos
history_value=acc01.history_value