Algorithmictradingstrategy

“算法交易策略” 使用Python编写算法交易策略的程序，其中包括策略的输入参数、数据获取、信号生成、下单执行等模块。

具体代码示例：

# 导入所需模块
import pandas as pd
import numpy as np
import talib
from datetime import datetime
from pytz import timezone
from binance.client import Client

# 输入参数
symbol = 'BTCUSDT'
interval = '1h'
period = 50

# 获取历史价格数据
client = Client()
candles = client.get_klines(symbol=symbol, interval=interval)
prices = pd.DataFrame(candles, columns=['timestamp', 'open', 'high', 'low', 'close', 'volume', 'close_time', 'quote_asset_volume', 'number_of_trades', 'taker_buy_base_asset_volume', 'taker_buy_quote_asset_volume', 'ignore'])
prices['timestamp'] = pd.to_datetime(prices['timestamp'], unit='ms').dt.tz_localize('UTC').dt.tz_convert('Asia/Shanghai')
prices = prices[['timestamp', 'open', 'high', 'low', 'close','volume']].set_index('timestamp')
prices = prices.astype('float')

# 策略：使用EMA指标进行交易
prices['EMA'] = talib.EMA(prices['close'], timeperiod=period)
prices['signal'] = np.where(prices['close'] > prices['EMA'], 1, -1)
prices['signal'] = prices['signal'].shift()  # 将信号向前移动一根K线，避免未来偏差

# 下单执行模块
usdt_balance = float(client.get_asset_balance(asset='USDT')['free'])
position = 0
for i in range(1, len(prices)):
    if prices['signal'][i] == 1 and position == 0:
        order = client.create_order(
            symbol=symbol,
            side=Client.SIDE_BUY,
            type=Client.ORDER_TYPE_MARKET,
            quoteOrderQty=usdt_balance
        )
        position = 1
    elif prices['signal'][i] == -1 and position == 1:
        order = client.create_order(
            symbol=symbol,
            side=Client.SIDE_SELL,
            type=Client.ORDER_TYPE_MARKET,
            quantity=position
        )
        position = 0