基于Event-driven的量化交易解决方案.zip

# AmazingQuant<br> [](https://github.com/zhanggao2013/AmazingQuant/watchers) [](https://github.com/zhanggao2013/AmazingQuant/stargazers) [](https://github.com/zhanggao2013/AmazingQuant/fork) # 1.简介 AmazingQuant是一款基于event-driven的量化回测交易开源框架，下图是总体框架架构。  * data_center * to_mongoDB 存放行情、财务等各种数据到MongoDB的存储模块 * get_data 策略中从数据库中取数据的接口模块 * trade_center * mossion_engine 包含下单任务（event_order）和风控（event_risk_management）两部分的engine，分别完成下单前的检查和风控 * broker_engine 分为回测时的simulate的broker（主要是event_deal）撮合成交和连接实盘交易CTP、xSpeed等接口两部分 * strategy_center * bar_engine 在回测或者交易模式下，用`逐K线`的方式执行每一根bar的交易逻辑，可在日线、分钟线、分笔下运行 * analysis_center * analysis_engine 对回测形成的交易记录进行分析和可视化，净值、年化收益、alpha、beta、回撤等指标，brison、Fama等经典模型的实现 # 2.安装配置 * MongoDB 3.4 <br> 建议使用shard，[配置启动项示例](https://github.com/zhanggao2013/AmazingQuant/blob/master/documents/MongoDB_config.md) * pymongo <br> python调用MongoDB * talib <br> 技术指标计算库 * anaconda <br> python 3.5 的版本，如果大于3.5的版本，ctp的接口暂时不能用，因为编译问题，后续可以解决 * Linux Ubuntu <br> 开发环境是ubuntu，当然也可以在windows下用，但是数据库的配置和ctp等交易接口需要重新做 * 安装AmazingQuant<br> pip install AmazingQuant 直接安装 # 3.策略编写 ```python # -*- coding: utf-8 -*- __author__ = "gao" import numpy as np import talib # import strategy基类 from AmazingQuant.strategy_center.strategy import * # import 交易模块 from AmazingQuant.trade_center.trade import Trade # 继承strategy基类 class MaStrategy(StrategyBase): def initialize(self): # 设置运行模式，回测或者交易 self.run_mode = RunMode.BACKTESTING.value # 设置回测资金账号 self.account = ["test0", "test1"] # 设置回测资金账号资金量 self.capital = {"test0": 2000000, "test1": 1000} # 设置回测基准 self.benchmark = "000300.SH" # 设置复权方式 self.rights_adjustment = RightsAdjustment.NONE.value # 设置回测起止时间 self.start = "2015-01-11" self.end = "2016-01-16" # 设置运行周期 self.period = "daily" # 设置股票池 self.universe = ['000001.SZ', '000002.SZ', '000008.SZ', '000060.SZ', '000063.SZ', '000069.SZ', '000100.SZ', '000157.SZ', '000166.SZ', '000333.SZ', '000338.SZ', '000402.SZ', '000413.SZ', '000415.SZ', '000423.SZ', '000425.SZ', '000503.SZ', '000538.SZ', '000540.SZ', '000559.SZ', '000568.SZ', '000623.SZ', '000625.SZ', '000627.SZ', '000630.SZ', '000651.SZ', '000671.SZ', '000686.SZ', '000709.SZ', '000723.SZ', '000725.SZ', '000728.SZ', '000738.SZ', '000750.SZ', '000768.SZ', '000776.SZ', '000783.SZ', '000792.SZ', '000826.SZ', '000839.SZ', '000858.SZ', '000876.SZ', '000895.SZ', '000898.SZ', '000938.SZ', '000959.SZ', '000961.SZ', '000963.SZ', '000983.SZ', '001979.SZ', '002007.SZ', '002008.SZ', '002024.SZ', '002027.SZ', '002044.SZ', '002065.SZ', '002074.SZ', '002081.SZ', '002142.SZ', '002146.SZ', '002153.SZ', '002174.SZ', '002202.SZ', '002230.SZ', '002236.SZ', '002241.SZ', '002252.SZ', '002292.SZ', '002294.SZ', '002304.SZ', '002310.SZ', '002352.SZ', '002385.SZ', '002411.SZ', '002415.SZ', '002424.SZ', '002426.SZ', '002450.SZ', '002456.SZ', '002460.SZ', '002465.SZ', '002466.SZ', '002468.SZ', '002470.SZ', '002475.SZ', '002500.SZ', '002508.SZ', '002555.SZ', '002558.SZ', '002572.SZ', '002594.SZ', '002601.SZ', '002602.SZ', '002608.SZ', '002624.SZ', '002673.SZ', '002714.SZ', '002736.SZ', '002739.SZ', '002797.SZ', '002831.SZ', '002839.SZ', '002841.SZ', '300003.SZ', '300015.SZ', '300017.SZ', '300024.SZ', '300027.SZ', '300033.SZ', '300059.SZ', '300070.SZ', '300072.SZ', '300122.SZ', '300124.SZ', '300136.SZ', '300144.SZ', '300251.SZ', '300315.SZ', '600000.SH', '600008.SH', '600009.SH', '600010.SH', '600011.SH', '600015.SH', '600016.SH', '600018.SH', '600019.SH', '600021.SH', '600023.SH', '600028.SH', '600029.SH', '600030.SH', '600031.SH', '600036.SH', '600038.SH', '600048.SH', '600050.SH', '600061.SH', '600066.SH', '600068.SH', '600074.SH', '600085.SH', '600089.SH', '600100.SH', '600104.SH', '600109.SH', '600111.SH', '600115.SH', '600118.SH', '600153.SH', '600157.SH', '600170.SH', '600177.SH', '600188.SH', '600196.SH', '600208.SH', '600219.SH', '600221.SH', '600233.SH', '600271.SH', '600276.SH', '600297.SH', '600309.SH', '600332.SH', '600340.SH', '600352.SH', '600362.SH', '600369.SH', '600372.SH', '600373.SH', '600376.SH', '600383.SH', '600390.SH', '600406.SH', '600415.SH', '600436.SH', '600482.SH', '600485.SH', '600489.SH', '600498.SH', '600518.SH', '600519.SH', '600522.SH', '600535.SH', '600547.SH', '600549.SH', '600570.SH', '600583.SH', '600585.SH', '600588.SH', '600606.SH', '600637.SH', '600649.SH', '600660.SH', '600663.SH', '600674.SH', '600682.SH', '600685.SH', '600688.SH', '600690.SH', '600703.SH', '600704.SH', '600705.SH', '600739.SH', '600741.SH', '600795.SH', '600804.SH', '600816.SH', '600820.SH', '600827.SH', '600837.SH', '600871.SH', '600886.SH', '600887.SH', '600893.SH', '600895.SH', '600900.SH', '600909.SH', '600919.SH', '600926.SH', '600958.SH', '600959.SH', '600977.SH', '600999.SH', '601006.SH', '601009.SH', '601012.SH', '601018.SH', '601021.SH', '601088.SH', '601099.SH', '601111.SH', '601117.SH', '601118.SH', '601155.SH', '601163.SH', '601166.SH', '601169.SH', '601186.SH', '601198.SH', '601211.SH', '601212.SH', '601216.SH', '601225.SH', '601228.SH', '601229.SH', '601288.SH', '601318.SH', '601328.SH', '601333.SH', '601336.SH', '601375.SH', '601377.SH', '601390.SH', '601398.SH', '601555.SH', '601600.SH', '601601.SH', '601607.SH', '601608.SH', '601611.SH', '601618.SH', '601628.SH', '601633.SH', '601668.SH', '601669.SH', '601688.SH', '601718.SH', '601727.SH', '601766.SH', '601788.SH', '601800.SH', '601818.SH', '601857.SH', '601866.SH', '601872.SH', '601877.SH', '601878.SH', '601881.SH', '601888.SH', '601898.SH', '601899.SH', '601901.SH', '601919.SH', '601933.SH', '601939.SH', '601958.SH', '601966.SH', '601985.SH', '601988.SH', '601989.SH', '601991.SH'