【代码报错】配对交易报错求帮助
由bqtbe3e7创建，最终由small_q 被浏览 6 用户
import os
from bigmodule import M
import numpy as np
from bigtrader import PerOrder
import pandas as pd
from bigtrader import Direction
from bigtrader import OrderType
from datetime import datetime,timedelta
'''中国平安：A 股代码 601318.SS，H 股代码02318.HK。
中石化：A 股代码 600028.SS，H 股代码00386.HK。
中海油：A 股代码 600938.SS，H 股代码00883.HK。
中国人寿：A 股代码 601628.SS，H 股代码02628.HK。
中国铁建：A 股代码 601186.SS，H 股代码01186.HK。
招商银行：A 股代码 600036.SS，H 股代码03968.HK。
交通银行：A 股代码 601328.SS，H 股代码03328.HK。
中国电信：A 股代码 601728.SS，H 股代码00728.HK。
中国联通：A 股代码 600050.SS，H 股代码00762.HK。
中国神华：A 股代码 601088.SS，H 股代码01088.HK。
中国太保：A 股代码 601601.SS，H 股代码02601.HK。
中信证券：A 股代码 600030.SS，H 股代码06030.HK。
国泰君安：A 股代码 601211.SS，H 股代码02611.HK。
光大证券：A 股代码 601788.SS，H 股代码06178.HK。
中广核电力：A 股代码 601985.SS，H 股代码01816.HK。'''
def initialize(context):
# 系统已经设置了默认的交易手续费和滑点，要修改手续费可使用如下函数
context.set_commission(PerOrder(buy_cost=0.0003, sell_cost=0.0013, min_cost=5))
context.instrument1 = '601318.SH'
context.instrument2 = '02318.HK'
# 定义变量：持仓数量
context.hold_count = 4
context.order_num=1000
# 定义变量：等权重持有
context.weight = 1.0 / context.hold_count
def handle_data(context, data):
instrument1 = context.instrument1
instrument2 = context.instrument2
# 获取过去的历史价格
try:
df = data.history(instrument1, "close", 240, "1m")
df1 = data.history(instrument2, "close", 240, "1m")
# 检查数据是否为空
if df.empty or df1.empty:
return
dfx = np.array(df)[0:-2]
df1x = np.array(df1)[0:-2]
delta = dfx - df1x
meandelta = np.mean(delta)
sigmadelta = np.std(delta)
n = len(df)
sk = (len(df) * (np.sum(delta - meandelta) ** 3)) / ((len(df) - 1) * (len(df) - 2) * sigmadelta ** 3)
kurt = (n * (n + 1) / ((n - 1) * (n - 2) * (n - 3))) * np.sum((delta - meandelta) ** 4) / (sigmadelta ** 4)
upperbound = meandelta + (sigmadelta * 4 / kurt) - sk
lowerbound = meandelta - (sigmadelta * 4 / kurt) - sk
p1 = data.current(instrument1, "close")
p2 = data.current(instrument2, "close")
currentdata = p1 - p2
if currentdata >= upperbound and (currentdata / upperbound) <= 1.05:
rv1 = context.sell_open(instrument1, context.order_num, p1, order_type=OrderType.MARKET)
rv2 = context.buy_open(instrument2, context.order_num, p2, order_type=OrderType.MARKET)
elif currentdata < meandelta:
if context.get_account_position(instrument1, direction=Direction.SHORT).avail_qty > 0:
rv1 = context.buy_close(instrument1, context.order_num, p1, order_type=OrderType.MARKET)
if context.get_account_position(instrument2, direction=Direction.LONG).avail_qty > 0:
rv2 = context.sell_close(instrument2, context.order_num, p2, order_type=OrderType.MARKET)
elif currentdata <= lowerbound and (lowerbound / currentdata) <= 1.05:
rv1 = context.buy_open(instrument1, context.order_num, p1, order_type=OrderType.MARKET)
rv2 = context.sell_open(instrument2, context.order_num, p2, order_type=OrderType.MARKET)
elif currentdata > meandelta:
if context.get_account_position(instrument1, direction=Direction.LONG).avail_qty > 0:
rv1 = context.sell_close(instrument1, context.order_num, p1, order_type=OrderType.MARKET)
if context.get_account_position(instrument2, direction=Direction.SHORT).avail_qty > 0:
rv2 = context.buy_close(instrument2, context.order_num, p2, order_type=OrderType.MARKET)
except Exception as e:
print(f"Error in handle_data: {e}")
m5 = M.bigtrader.v35(
start_date="2025-01-01",
end_date="2025-04-14",
initialize=initialize,
handle_data=handle_data,
capital_base=1000000,
frequency="""minute""",
benchmark="""沪深300指数"""
)
报错信息如下：
[2025-04-15 10:32:01] INFO: bigtrader.v35 开始运行 ..[2025-04-15 10:32:01] INFO: pybacktest run ~ , , equity, instruments=0
您可以去社区论坛问答交流板块反馈咨询 去发帖>>
---------------------------------------------------------------------------
InvalidInputException Traceback (most recent call last)
Cell In[6], line 81
78 except Exception as e:
79 print(f"Error in handle_data: {e}")
---> 81 m5 = M.bigtrader.v35(
82 start_date="2025-01-01",
83 end_date="2025-04-14",
84 initialize=initialize,
85 handle_data=handle_data,
86 capital_base=1000000,
87 frequency="""minute""",
88 benchmark="""沪深300指数"""
89 )
File /opt/pyenv/versions/3.11.8/lib/python3.11/site-packages/bigmodule/modules.py:28, in __call__(self, **kwargs)
File /opt/pyenv/versions/3.11.8/lib/python3.11/site-packages/bigmodule/moduleinvoker.py:203, in module_invoke(name, version, kwargs)
File /opt/pyenv/versions/3.11.8/lib/python3.11/site-packages/bigmodule/moduleinvoker.py:169, in _module_invoke(name, version, kwargs)
File /opt/pyenv/versions/3.11.8/lib/python3.11/site-packages/bigmodule/moduleinvoker.py:41, in _module_run(module, kwargs)
File dist/build/bigtrader/v35/__init__.py:400, in v35.run()
File dist/build/bigtrader/v35/__init__.py:194, in v35._run()
File dist/build/bigtrader/v35/__init__.py:175, in v35._run_backtest()
File dist/build/bigtrader/v35/core/pybacktest/__init__.py:172, in v35.core.pybacktest.BigQuantModule.__init__()
File /opt/pyenv/versions/3.11.8/lib/python3.11/site-packages/vectortrader/rebalanceperiod.py:48, in build(self, start_date, end_date, extra_days)
File /var/app/enabled/dai/_telemetry.py:128, in wrapper(*args, **kwargs)
File /var/app/enabled/dai/_functions.py:152, in df(self)
InvalidInputException: Invalid Input Error: Attempting to execute an unsuccessful or closed pending query result
Error: Invalid Input Error: Failed to cast value: Could not convert string '' to INVALID
\