golden_cross.py 文件源码

def handle_bar(context, bar_dict):
    # ?????????????

    # bar_dict[order_book_id] ?????????bar??
    # context.portfolio ???????????????

    # ??order_shares(id_or_ins, amount)??????

    # TODO: ??????????

    # ?????????????????????
    prices = history_bars(context.s1, context.LONGPERIOD+1, '1d', 'close')

    # ??talib????????????array?????
    short_avg = talib.SMA(prices, context.SHORTPERIOD)
    long_avg = talib.SMA(prices, context.LONGPERIOD)

    plot("short avg", short_avg[-1])
    plot("long avg", long_avg[-1])

    # ????portfolio??????
    cur_position = context.portfolio.positions[context.s1].quantity
    # ????portfolio????????????
    shares = context.portfolio.cash / bar_dict[context.s1].close

    # ??????????????????????bar?????????????????bar?????????????
    if short_avg[-1] - long_avg[-1] < 0 and short_avg[-2] - long_avg[-2] > 0 and cur_position > 0:
        # ????
        order_target_value(context.s1, 0)

    # ????????????????????
    if short_avg[-1] - long_avg[-1] > 0 and short_avg[-2] - long_avg[-2] < 0:
        # ????
        order_shares(context.s1, shares)