# 克隆自聚宽文章：https://www.joinquant.com/post/34141
# 标题：10倍-二板排板战法优化-无未来函数
# 作者：游资小码哥

# 克隆自聚宽文章：https://www.joinquant.com/post/34053
# 标题：对 二板排板战法 的部分优化
# 作者：xloong

# 二板排板战法研究-游资小码哥
# https://www.joinquant.com/view/community/detail/25e48a8c5048bc2d02f785aeb913afd4?type=1
# 导入函数库
# enable_profile()
from jqdata import *
help_stock = []
# 初始化函数，设定基准等等
def initialize(context):
   # 设定沪深300作为基准
    set_benchmark('000300.XSHG')
    # 开启动态复权模式(真实价格)
    set_option('use_real_price', True)
    # 输出内容到日志 log.info()
    log.info('初始函数开始运行且全局只运行一次')
    # 过滤掉order系列API产生的比error级别低的log
    # log.set_level('order', 'error')
    # g 内置全局变量
    g.my_security = '510300.XSHG'
    set_universe([g.my_security])
    
    ### 股票相关设定 ###
    # 股票类每笔交易时的手续费是：买入时佣金万分之三，卖出时佣金万分之三加千分之一印花税, 每笔交易佣金最低扣5块钱
    set_order_cost(OrderCost(close_tax=0.001, open_commission=0.0003, close_commission=0.0003, min_commission=5), type='stock')
    
    ## 运行函数（reference_security为运行时间的参考标的；传入的标的只做种类区分，因此传入'000300.XSHG'或'510300.XSHG'是一样的）
      # 开盘前运行
    run_daily(before_market_open, time='before_open', reference_security='000300.XSHG')
      # 开盘时运行
    run_daily(market_run, time='every_bar', reference_security='000300.XSHG')
    #run_daily(market_run_sell, time='every_bar', reference_security='000300.XSHG')
    
      # 收盘后运行before_open
    #run_daily(before_market_open, time='after_close', reference_security='000300.XSHG')
    buy_bool = False
# 开盘时运行函数
def market_run(context):
    log.info('【market_run】')
    time_buy = context.current_dt.strftime('%H:%M:%S')
    aday = datetime.datetime.strptime('10:30:00', '%H:%M:%S').strftime('%H:%M:%S')
    now = context.current_dt
    zeroToday = now - datetime.timedelta(hours=now.hour, minutes=now.minute, seconds=now.second,microseconds=now.microsecond)
    lastToday = zeroToday + datetime.timedelta(hours=9, minutes=31, seconds=00)
    # log.info(now) # 当前对应分钟
    # log.info(zeroToday) # 2020-01-08 00:00:00 始终00
    # log.info(lastToday) # 2020-01-08 09:31:00 始终9:31
    if len(help_stock) > 0 and time_buy>='09:33:00':
        cash = context.portfolio.available_cash
        #print(cash)
        # pre_date =  (context.current_dt + timedelta(days = -1)).strftime("%Y-%m-%d")
        # log.info(pre_date)
        gc_data = get_current_data()

        # df_panel_all = get_price(help_stock, start_date=lastToday, end_date=context.current_dt, frequency='minute', fields=['high','low','close','high_limit','money'])
        for stock in help_stock:
            # log.info(df_panel_all['close'][stock].values)

            #log.info("当前时间 %s" % (context.current_dt))
            #log.info("股票 %s 的最新价: %f" % (stock, gc_data[stock].last_price))
            if(cash > 5000):
                gc_stock = gc_data[stock]
                current_price = gc_stock.last_price
                day_open_price = gc_stock.day_open
                day_high_limit = gc_stock.high_limit 
                # df_panel = get_price(stock, count = 1,end_date=pre_date, frequency='daily', fields=['open', 'high', 'close','low', 'high_limit','money','pre_close'])
                # log.info(df_panel)
                # pre_high = df_panel['high'].values
                # pre_close = df_panel['close'].values
                pre_high = g.yest_df_panel['high'][stock].values
                pre_close = g.yest_df_panel['close'][stock].values
                # 当天分钟级 最高最低
                df_panel_all = get_price(
                    stock, 
                    start_date=lastToday, 
                    end_date=context.current_dt, 
                    frequency='minute', 
                    fields=['high','low','close','high_limit','money']
                )
                df_min_low_all = df_panel_all.loc[:,"close"].min()
                df_max_high_all = df_panel_all.loc[:,"close"].max()
                count_max = (df_panel_all.loc[:,'close'] == df_panel_all.loc[:,'high_limit']).sum()
                # df_min_low_all = min(df_panel_all['close'][stock].values)
                # df_max_high_all = max(df_panel_all['close'][stock].values)
                # count_max = (df_panel_all['close'][stock].values == df_panel_all['high_limit'][stock].values).sum()
        
                if cash > 5000 and count_max > 3:
                    if  current_price > pre_close * 1.07 and current_price <  day_high_limit and day_open_price <  day_high_limit * 0.98:
                        #open_cash = cash / len(help_stock)
                        print(stock+" 1.买入金额 "+str(cash))
                        order_value(stock, cash)
                        help_stock.remove(stock)
    
            time_sell = context.current_dt.strftime('%H:%M:%S')
            cday = datetime.datetime.strptime('14:40:00', '%H:%M:%S').strftime('%H:%M:%S')
            dday = datetime.datetime.strptime('10:30:00', '%H:%M:%S').strftime('%H:%M:%S')
            now = context.current_dt
            zeroToday = now - datetime.timedelta(hours=now.hour, minutes=now.minute, seconds=now.second,microseconds=now.microsecond)
            lastToday = zeroToday + datetime.timedelta(hours=9, minutes=30, seconds=00)
            if time_sell > cday and len(context.portfolio.positions):
                stock_owner = context.portfolio.positions
                # if len(stock_owner) > 0:
                for stock_two in stock_owner:
                    # current_price_list = get_ticks(stock_two,start_dt=None, end_dt=context.current_dt, count=1, fields=['time', 'current', 'high', 'low', 'volume', 'money'])
                    # current_price = current_price_list['current'][0]
                    # current_price = context.portfolio.positions[stock_two].price
                    current_price = gc_data[stock_two].last_price
                    day_open_price = gc_data[stock_two].day_open
                    day_high_limit = gc_data[stock_two].high_limit 
                    day_low_limit = gc_data[stock_two].low_limit 
        
                    #查询当天的最高价
                    df_panel_allday = get_price(
                        stock_two, 
                        start_date=lastToday, 
                        end_date=context.current_dt, 
                        frequency='minute', 
                        fields=['high','low','close','high_limit','money']
                    )
                    # low_allday = df_panel_allday.loc[:,"low"].min()
                    high_allday = df_panel_allday.loc[:,"high"].max()
                    # ##获取前一天的收盘价
                    # # pre_date =  (context.current_dt + timedelta(days = -1)).strftime("%Y-%m-%d")
                    # # df_panel = get_price(stock_two, count = 1,end_date=pre_date, frequency='daily', fields=['open', 'close','high_limit','money','low',])
                    # # pre_low_price =df_panel['low'].values
                    # # pre_close_price =df_panel['close'].values
                    # pre_low_price =g.yest_df_panel['low'][stock].values
                    # pre_close_price =g.yest_df_panel['close'][stock].values
                    
                    # 耗时
                    # num_limit_stock = count_limit_num_all(stock_two,context)
                    #平均持仓成本
                    cost = context.portfolio.positions[stock_two].avg_cost
                    # print("----------------------------------")
                    # print("current_price="+str(current_price))
                    # print("day_open_price="+str(day_open_price))
                    # print("pre_close_price="+str(pre_close_price))
                    # print("df_max_high="+str(df_max_high))
                    # print("=====================================")
                    if current_price <  high_allday * 0.97 and current_price > day_low_limit:
                        # print("1.卖出股票：小于最高价0.97倍"+str(num_limit_stock))
                        print("1.卖出股票：小于最高价0.97倍")
                        order_target(stock_two, 0)
                    elif current_price <  cost * 0.93 and current_price <  day_open_price and current_price >day_low_limit:
                        # print("卖出股票：比开盘价低7个点"+str(num_limit_stock))
                        print("卖出股票：比开盘价低7个点")
                        order_target(stock_two, 0)
            elif time_sell > dday and len(context.portfolio.positions):
                stock_owner = context.portfolio.positions
                # if len(stock_owner) > 0:
                for stock_two in stock_owner:
                    # 耗时
                    # current_price_list = get_ticks(stock_two,start_dt=None, end_dt=context.current_dt, count=1, fields=['time', 'current', 'high', 'low', 'volume', 'money'])
                    # current_price = current_price_list['current'][0]

                    current_price = gc_data[stock_two].last_price
                    day_open_price = gc_data[stock_two].day_open
                    day_high_limit = gc_data[stock_two].high_limit 
                    day_low_limit = gc_data[stock_two].low_limit 
        
                    # #查询当天的最高价
                    # df_panel_allday = get_price(stock_two, start_date=lastToday, end_date=context.current_dt, frequency='minute', fields=['high','low','close','high_limit','money'])
                    # low_allday = df_panel_allday.loc[:,"low"].min()
                    # high_allday = df_panel_allday.loc[:,"high"].max()
                    ##获取前一天的收盘价
                    pre_date =  (context.current_dt + timedelta(days = -1)).strftime("%Y-%m-%d")
                    df_panel = get_price(stock_two, count = 1,end_date=pre_date, frequency='daily', fields=['open', 'close','high_limit','money','low',])
                    pre_low_price =df_panel['low'].values
                    pre_close_price =df_panel['close'].values
                    # 耗时
                    # num_limit_stock = count_limit_num_all(stock_two,context)
                    #平均持仓成本
                    cost = context.portfolio.positions[stock_two].avg_cost
                    # print("----------------------------------")
                    # print("current_price="+str(current_price))
                    # print("day_open_price="+str(day_open_price))
                    # print("pre_close_price="+str(pre_close_price))
                    # print("df_max_high="+str(df_max_high))
                    # print("=====================================")
                    if current_price <  pre_close_price * 1.03 and current_price > day_low_limit:
                        # print("1.卖出股票：小于最高价0.97倍"+str(num_limit_stock))
                        print("1.卖出股票：小于最高价0.97倍")
                        order_target(stock_two, 0)
            
            time_sell = context.current_dt.strftime('%H:%M:%S')
            cday = datetime.datetime.strptime('14:45:00', '%H:%M:%S').strftime('%H:%M:%S')
            if time_sell > cday and len(help_stock) > 0:
                instead_stock = help_stock
                for stock_remove in instead_stock:
                    help_stock.remove(stock_remove)
# 开盘前运行函数 选择二板放量股 并且横盘震荡
def before_market_open(context):
    date_now = (context.current_dt+ timedelta(days = -1)).strftime("%Y-%m-%d")#'2021-01-15'#datetime.datetime.now()
    yesterday = (context.current_dt + timedelta(days = -30)).strftime("%Y-%m-%d")
    trade_date = get_trade_days(start_date=yesterday, end_date=date_now, count=None)
    # log.info(context.current_dt)
    # log.info(date_now)
    # log.info(yesterday)
    # log.info(trade_date)
    
    
    ##查询所有股票的当天的涨停板
    stocks = list(get_all_securities(['stock']).index)
    end_date=trade_date[trade_date.size-1]
    # log.info(trade_date.size) # 21 
    log.info(trade_date[trade_date.size-1])
    stock_list = stocks
    ##去除st的连板股票
    stock_list = filter_st(stock_list)
    ##查询所有股票的当天的涨停板
    # 耗时
    stock_list = pick_high_limit(stock_list, end_date)
    
    pre_date=trade_date[trade_date.size-2]
    tmpList = filter_one_limit(stock_list, pre_date)
    ##筛选上市时间大于1080天的股票
    #tmpList = filter_stock_by_days(context,continuous_price_limit_two,1080)
    
    ##查看股票前期是否平整，并且股票第一个板要高过一年的最高收盘价
    for stock_flat in tmpList:
        # 次耗时
        bool_result = filter_flat_stock(stock_flat,end_date,pre_date)
        if bool_result == True :
            help_stock.append(stock_flat)
    
    print("----------------最后被选出的股票-----------")
    print(help_stock)
    g.yest_df_panel = get_price(help_stock, count = 1,end_date=end_date, frequency='daily', fields=['open', 'high', 'close','low', 'high_limit','money','pre_close'])
    # log.info('g.yest_df_panel')
    # log.info(g.yest_df_panel['high'])

# 选出打板的股票
def pick_high_limit(stocks,end_date):
    log.info('【pick_high_limit】')
    # 耗时
    df_panel = get_price(stocks, count = 1,end_date=end_date, frequency='daily', fields=['open', 'close','high_limit','money','pre_close'])
    df_close = df_panel['close']
    # log.info(df_close)
    df_open = df_panel['open']
    df_high_limit = df_panel['high_limit']
    df_money = df_panel['money']
    df_pre_close = df_panel['pre_close']
    high_limit_stock = []
    for stock in (stocks):
        _high = (df_high_limit[stock].values)
        _close = (df_close[stock].values)
        _open = (df_open[stock].values)
        _pre_close = (df_pre_close[stock].values)
        if(stock[0:3] == '300'):
            continue
        if(
            # 涨停
            _high == _close 
            # 大于昨日收盘价5%
            and _high > _pre_close*1.05 
            # 大于今日开盘价5% 非一字
            and _close > _open*1.05
        ):
            high_limit_stock.append(stock)
    return high_limit_stock
#去除st的股票
def filter_st(codelist):
    current_data = get_current_data()
    codelist = [code for code in codelist if not current_data[code].is_st]
    return codelist
#选出只有一板的股票
def filter_one_limit(stocks,end_date):
    print(end_date)
    # 耗时
    df_panel = get_price(stocks, count = 1,end_date=end_date, frequency='daily', fields=['open', 'close','high_limit','money'])
    df_close = df_panel['close']
    df_high_limit = df_panel['high_limit']
    df_money = df_panel['money']
    high_limit_stock = []
    for stock in (stocks):
        _high = (df_high_limit[stock].values)
        _close = (df_close[stock].values)
        _money = (df_money[stock].values)
        _high_imit = df_high_limit[stock].values
        ##剔除创业板的股票
        if(stock[0:3] == '300'):
            continue
        if _high_imit !=  _close :
            high_limit_stock.append(stock)
    return high_limit_stock
# 查看股票前期是否平整 且两板的最高点是否超过其他的最高点
def filter_flat_stock(stock,end_date,pre_date):
    #查询昨天的涨停价格
    df_panel = get_price(stock, count = 1,end_date=end_date, frequency='daily', fields=['open', 'close','high_limit','money'])
    df_close = df_panel['close'].values
    df_open = df_panel['open'].values
    df_high_limit = df_panel['high_limit'].values
    df_money = df_panel['money'].values
    
    # #20天的波动率
    # df_panel_10 = get_price(stock, count = 10,end_date=pre_date, frequency='daily', fields=['open', 'close','high_limit','money','high','low'])
    # sum_plus_num_two = (df_panel_10.loc[:,'high'] == df_panel_10.loc[:,'high_limit']).sum()
    # df_max_high = df_panel_10["high"].max()
    # df_min_low = df_panel_10["low"].min()
    # abs_sum_10 = (df_panel_10.loc[:,'close'] - df_panel_10.loc[:,'open']).abs() / ((df_panel_10.loc[:,'open']+df_panel_10.loc[:,'close']) / 2)
    # abs_sum_num_1030 = (abs_sum_10 <  0.03).sum()
    # abs_sum_num_1015 = (abs_sum_10 <  0.015).sum()
    # abs_sum_num_1055 = (abs_sum_10 <  0.055).sum()
    
    df_panel_20 = get_price(stock, count = 20,end_date=pre_date, frequency='daily', fields=['open', 'close','high_limit','money','high','low'])
    sum_shipan_num = ((df_panel_20.loc[:,'high_limit'] == df_panel_20.loc[:,'high']) * (df_panel_20.loc[:,'close'] <= df_panel_20.loc[:,'high_limit'] * 0.97)).sum()
    df_max_high_20 = df_panel_20["high"].max()
    sum_plus_num_20 = (df_panel_20.loc[:,'high'] == df_panel_20.loc[:,'high_limit']).sum()
    abs_sum_20 = (df_panel_20.loc[:,'close'] - df_panel_20.loc[:,'open']).abs() / ((df_panel_20.loc[:,'open']+df_panel_20.loc[:,'close']) / 2)
    abs_sum_num_2030 = (abs_sum_20 <  0.03).sum()
    abs_sum_num_2015 = (abs_sum_20 <  0.015).sum()
    abs_sum_num_2055 = (abs_sum_20 <  0.055).sum()
    
    # df_panel_30 = get_price(stock, count = 30,end_date=pre_date, frequency='daily', fields=['open', 'close','high_limit','money','high','low'])
    # df_max_high_30 = df_panel_30["high"].max()
    # df_min_low_30 = df_panel_30["low"].min()
    # rate_30 = (df_max_high_30 - df_min_low_30) / df_min_low_30
    
    
    # rate_10 = (df_max_high - df_min_low) / df_min_low
    
    #print(stock+"收盘价的方差为："+str(std_allday))
    #12天的波动率
    df_panel_60 = get_price(stock, count = 60,end_date=pre_date, frequency='daily', fields=['open', 'close','high_limit','money','high','low'])
    high_allday_60 = df_panel_60.loc[:,"high"].max()
    low_allday_60 = df_panel_60.loc[:,"low"].min()
    close_allday_60 = df_panel_60.loc[:,"close"].max()
    percent_rate_60 = low_allday_60 / high_allday_60
    sum_close_num_60 = (df_panel_60.loc[:,'close'] <= df_panel_60.loc[:,'open']).sum()
    abs_sum_60 = (df_panel_60.loc[:,'close'] - df_panel_60.loc[:,'open']).abs() / df_panel_60.loc[:,'open']
    abs_sum_num_6015 = (abs_sum_60 <  0.015).sum()
    abs_sum_num_6030 = (abs_sum_60 <  0.03).sum()
    abs_sum_num_6055 = (abs_sum_60 <  0.055).sum()
    sum_plus_num_60 = (df_panel_60.loc[:,'high'] > df_panel_60.loc[:,'high_limit'] * 0.99).sum()
    
    # df_panel_100 = get_price(stock, count = 100,end_date=pre_date, frequency='daily', fields=['open', 'close','high_limit','money','high','low'])
    # df_max_close_100 = df_panel_100["close"].max()
    
    # #150天的波动率
    # df_panel_150 = get_price(stock, count = 150,end_date=pre_date, frequency='daily', fields=['open', 'close','high_limit','money','high','low','pre_close'])
    # sum_plus_num_150 = (df_panel_150.loc[:,'close'] > df_panel_150.loc[:,'pre_close'] * 1.09).sum()
    # df_max_close_150 = df_panel_150["close"].max()
    # df_max_open_150 = df_panel_150["open"].max()
    # df_min_low_150 = df_panel_150["low"].min()
    # abs_sum_150 = (df_panel_150.loc[:,'close'] - df_panel_150.loc[:,'open']).abs() / ((df_panel_150.loc[:,'open']+df_panel_150.loc[:,'close']) / 2)
    # abs_sum_num_1503 = (abs_sum_150 <  0.03).sum()
    # abs_sum_num_1515 = (abs_sum_150 <  0.015).sum()
    # abs_sum_num_15555 = (abs_sum_150 <  0.055).sum()
    
    # rate_150 = (df_max_close_150 - df_min_low_150) / df_min_low_150
    
    
    # # df_panel_30 = get_price(stock, count = 30,end_date=pre_date, frequency='daily', fields=['open', 'close','high_limit','money','high','low'])
    # # close_allday_30 = df_panel_30.loc[:,"close"].max()
    # # sum_close_num_two = (df_panel_two.loc[:,'close'] <= df_panel_two.loc[:,'open']).sum()
    # if stock == '603518.XSHG':
    #     print(df_close)
    #     print(close_allday_60)
    #     print("-------20days--------")
    #     print(abs_sum_num_2030)
    #     print(abs_sum_num_2015)
    #     print(abs_sum_num_2055)
    #     print("-------60days--------")
    #     print(abs_sum_num_6015)
    #     print(abs_sum_num_6030)
    #     print(abs_sum_num_6055)
    #     print("------------150days--------------")
    #     print(abs_sum_num_1503) 
    #     print(abs_sum_num_1515) 
    #     print(abs_sum_num_15555) 
    if (
        df_close * 1.1 > close_allday_60 
        and abs_sum_num_2030 > 15 
        and abs_sum_num_2015 > 7 
        and abs_sum_num_2055 >= 18
    ):
        if (abs_sum_num_6015 >=28 
            and abs_sum_num_6030 > 45 
            and abs_sum_num_6055 > 50
        ):
            return True


#过滤上市时间不满1080天的股票
def filter_stock_by_days(context, stock_list, days):
    tmpList = []
    for stock in stock_list :
        #days_public=(context.current_dt.date() - get_security_info(stock).start_date).days days_public > days and 
        market_cap = get_circulating_market_cap(stock)
        market_cap_num = market_cap['circulating_market_cap'].values
        if market_cap_num >10 and market_cap_num <  150:
            tmpList.append(stock)
    return tmpList
# 查看他总的涨停数
def count_limit_num_all(stock,context):
    date_now = (context.current_dt+ timedelta(days = -1)).strftime("%Y-%m-%d")#'2021-01-15'#datetime.datetime.now()
    yesterday = (context.current_dt + timedelta(days = -30)).strftime("%Y-%m-%d")
    trade_date = get_trade_days(start_date=yesterday, end_date=date_now, count=None)
    limit_num = 0
    for datenum in trade_date:
        # 耗时
        df_panel = get_price(stock, count = 1,end_date=datenum, frequency='daily', fields=['open', 'close','high_limit','money'])
        df_close = df_panel['close'].values
        df_high_limit = df_panel['high_limit'].values
        if df_close == df_high_limit:
            limit_num = limit_num + 1
    return limit_num
# 获取个股流通市 值数据
def getcirculating_market_cap(stock_list):
    query_list = [stock_list]
    q = query(valuation.code,valuation.circulating_market_cap).filter(valuation.code.in_(query_list))
    market_cap = get_fundamentals(q)
    market_cap.set_index('code', inplace=True)
    return market_cap

def count_limit_num(stock,context):
    date_now = (context.current_dt+ timedelta(days = -1)).strftime("%Y-%m-%d")#'2021-01-15'#datetime.datetime.now()
    yesterday = (context.current_dt + timedelta(days = -20)).strftime("%Y-%m-%d")
    trade_date = get_trade_days(start_date=yesterday, end_date=date_now, count=None)
    limit_num = 0
    for datenum in trade_date:
        df_panel = get_price(stock, count = 1,end_date=datenum, frequency='daily', fields=['open', 'close','high_limit','money'])
        df_close = df_panel['close'].values
        df_high_limit = df_panel['high_limit'].values
        if df_close == df_high_limit:
            limit_num = limit_num + 1
    
    #print("涨停板天数："+str(limit_num))
    return limit_num
# 收盘后运行函数
def after_market_close(context):
    log.info(str('除当天的股票数据-----函数运行时间(after_market_close):'+str(context.current_dt.time())))
    
    #消除当天的股票数据
    help_stock = []
    #print(help_stock)


