掘金量化（MyQuant / GoldMiner）

掘金量化 是专业量化交易平台，提供事件驱动策略开发、回测、模拟交易和实盘交易。支持A股、期货、期权、ETF、可转债和融资融券，通过统一的Python SDK（gm.api）操作。

需要在 https://www.myquant.cn 注册获取Token进行认证。实盘交易需要通过掘金终端连接券商账户。

安装

pip install gm

也可从官网下载：https://www.myquant.cn/docs/downloads/698

架构概述

你的Python脚本（strategy.py）
    ↓ gm SDK（from gm.api import *）
    ├── 回测模式  → 掘金回测引擎（云端/本地）
    ├── 模拟交易   → 掘金模拟交易服务器
    └── 实盘交易    → 掘金终端 → 券商网关

策略程序结构

所有策略遵循事件驱动架构，包含生命周期函数：

from gm.api import *

def init(context):
    """Initialization function — called once when the strategy starts, used to set up subscriptions and parameters"""
    # Subscribe to 30-second bars for two stocks, keeping the most recent 5 historical bars
    subscribe(symbols='SHSE.600000,SZSE.000001', frequency='30s', count=5)
    context.my_param = 0.8  # Custom context attribute

def on_bar(context, bars):
    """Bar event — triggered at each bar close, write main trading logic here"""
    bar = bars[0]
    if bar['close'] > bar['open']:
        # Close price above open price, place a limit buy order for 1000 shares
        order_volume(symbol=bar['symbol'], volume=1000,
                     side=OrderSide_Buy, order_type=OrderType_Limit,
                     position_effect=PositionEffect_Open, price=bar['close'])

def on_tick(context, tick):
    """Tick event — triggered on each tick push (real-time mode)"""
    print(tick['symbol'], tick['price'])

def on_order_status(context, order):
    """Order status event — triggered when order status changes"""
    print(f"Order {order['cl_ord_id']}: status={order['status']}")

def on_execution_report(context, execrpt):
    """Execution report event — triggered on trade execution"""
    print(f"Executed: {execrpt['symbol']} {execrpt['filled_volume']}@{execrpt['filled_vwap']}")

if __name__ == '__main__':
    run(strategy_id='your_strategy_id',
        filename='main.py',
        mode=MODE_BACKTEST,                          # Run mode: backtest
        token='your_token',
        backtest_start_time='2024-01-01 09:30:00',   # Backtest start time
        backtest_end_time='2024-06-30 15:00:00',     # Backtest end time
        backtest_initial_cash=1000000,                # Initial capital 1,000,000
        backtest_commission_ratio=0.0003,             # Commission rate 0.03%
        backtest_slippage_ratio=0.001,                # Slippage 0.1%
        backtest_adjust=ADJUST_PREV)                  # 前复权

基本函数

init — 策略初始化

def init(context):
    # Subscribe to daily bars, keeping the most recent 20
    subscribe(symbols='SHSE.600000', frequency='1d', count=20)
    context.ratio = 0.8  # Custom parameter

• 策略启动时调用一次
• 用于设置订阅、定义参数和初始化状态
• 回测模式下init中不允许下单（模拟/实盘模式允许）

schedule — 定时任务