القائمة
TqSdk — open-source Python SDK for futures/options trading by Shinny Tech, providing real-time quotes, backtesting, and live trading.
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| name | tqsdk |
| description | TqSdk — open-source Python SDK for futures/options trading by Shinny Tech, providing real-time quotes, backtesting, and live trading. |
| homepage | https://github.com/shinnytech/tqsdk-python |
TqSdk is an open-source Python SDK by Shinny Tech for futures and options quantitative trading. It provides real-time market data, historical data, backtesting, and live trading through a unified async API.
Docs: https://doc.shinnytech.com/tqsdk/latest/ Free tier available (delayed quotes). Pro version for real-time data.
pip install tqsdk
from tqsdk import TqApi, TqAuth, TqBacktest
from datetime import date
# Live mode (free account with delayed quotes)
api = TqApi(auth=TqAuth("your_username", "your_password"))
# Get real-time quote
quote = api.get_quote("SHFE.cu2401") # Shanghai copper futures
print(f"Last price: {quote.last_price}, Volume: {quote.volume}")
# Get K-line data
klines = api.get_kline_serial(, duration_seconds=)
(klines.tail())
api.close()
EXCHANGE.CONTRACT
| Exchange | Code | Example |
|---|---|---|
| Shanghai Futures (SHFE) | SHFE | SHFE.cu2401 (Copper) |
| Dalian Commodity (DCE) | DCE | DCE.m2405 (Soybean meal) |
| Zhengzhou Commodity (CZCE) | CZCE | CZCE.CF405 (Cotton) |
| CFFEX (Financial) | CFFEX | CFFEX.IF2401 (CSI 300 futures) |
| Shanghai Energy (INE) | INE | INE.sc2407 (Crude oil) |
| Guangzhou Futures (GFEX) | GFEX | GFEX.si2407 (Industrial silicon) |
| SSE Options | SSE | SSE.10004816 (50ETF option) |
| SZSE Options | SZSE | SZSE.90000001 (300ETF option) |
from tqsdk import TqApi, TqAuth
api = TqApi(auth=TqAuth("user", "pass"))
quote = api.get_quote("CFFEX.IF2401")
# Key fields:
# quote.last_price — Last traded price
# quote.bid_price1 — Best bid price
# quote.ask_price1 — Best ask price
# quote.bid_volume1 — Best bid volume
# quote.ask_volume1 — Best ask volume
# quote.highest — Day high
# quote.lowest — Day low
# quote.open — Open price
# quote.close — Previous close
# quote.volume — Total volume
# quote.amount — Total turnover
# quote.open_interest — Open interest
# quote.upper_limit — Upper price limit
# quote.lower_limit — Lower price limit
# quote.pre_settlement — Previous settlement price
# quote.settlement — Today's settlement price
# Wait for quote update
while True:
api.wait_update()
if api.is_changing(quote, "last_price"):
print(f"Price update: {quote.last_price}")
# Get K-line series (returns pandas DataFrame)
klines = api.get_kline_serial(
"SHFE.cu2401",
duration_seconds=60, # Bar duration: 60=1min, 300=5min, 3600=1hour, 86400=daily
data_length=200 # Number of bars to fetch
)
# Columns: datetime, open, high, low, close, volume, open_oi, close_oi
# Multiple durations
klines_1m = api.get_kline_serial("SHFE.cu2401", 60)
klines_5m = api.get_kline_serial("SHFE.cu2401", 300)
klines_1d = api.get_kline_serial("SHFE.cu2401", 86400)
ticks = api.get_tick_serial("SHFE.cu2401", data_length=500)
# Columns: datetime, last_price, highest, lowest, bid_price1, ask_price1,
# bid_volume1, ask_volume1, volume, amount, open_interest
from tqsdk import TqApi, TqAuth
api = TqApi(auth=TqAuth("user", "pass"))
# Limit order — buy open 2 lots
order = api.insert_order(
symbol="SHFE.cu2401",
direction="BUY", # "BUY" or "SELL"
offset="OPEN", # "OPEN", "CLOSE", "CLOSETODAY"
volume=2, # Number of lots
limit_price=68000.0 # Limit price (None for market order)
)
# Market order (FAK — Fill and Kill)
order = api.insert_order(
symbol="SHFE.cu2401",
direction="BUY",
offset="OPEN",
volume=2
)
# Cancel order
api.cancel_order(order)
# Check order status
while True:
api.wait_update()
if order.status == "FINISHED":
print(f"Order finished: filled={order.volume_orign - order.volume_left}")
break
# Get account info
account = api.get_account()
# account.balance — Account balance
# account.available — Available funds
# account.margin — Used margin
# account.float_profit — Floating PnL
# account.position_profit — Position PnL
# account.commission — Today's commission
# Get position
position = api.get_position("SHFE.cu2401")
# position.pos_long — Long position volume
# position.pos_short — Short position volume
# position.pos_long_today — Today's long position
# position.float_profit_long — Long floating PnL
# position.float_profit_short — Short floating PnL
# position.open_price_long — Long average open price
# position.open_price_short — Short average open price
from tqsdk import TqApi, TqAuth, TqBacktest, TqSim
from datetime import date
# Create backtest API
api = TqApi(
backtest=TqBacktest(
start_dt=date(2024, 1, 1),
end_dt=date(2024, 6, 30)
),
account=TqSim(init_balance=1000000), # Simulated account with 1M initial
auth=TqAuth("user", "pass")
)
# Strategy logic (same code works for live and backtest)
klines = api.get_kline_serial("CFFEX.IF2401", 60 * 60) # 1-hour bars
position = api.get_position("CFFEX.IF2401")
while True:
api.wait_update()
if api.is_changing(klines.iloc[-1], "close"):
ma5 = klines["close"].iloc[-5:].mean()
ma20 = klines["close"].iloc[-20:].mean()
if ma5 > ma20 and position.pos_long == 0:
api.insert_order("CFFEX.IF2401", "BUY", "OPEN", 1, klines.iloc[-1]["close"])
elif ma5 < ma20 and position.pos_long > 0:
api.insert_order("CFFEX.IF2401", "SELL", "CLOSE", 1, klines.iloc[-1]["close"])
api.close()
from tqsdk import TqApi, TqAuth
api = TqApi(auth=TqAuth("user", "pass"))
quote_near = api.get_quote("SHFE.rb2401") # Near-month rebar
quote_far = api.get_quote("SHFE.rb2405") # Far-month rebar
pos_near = api.get_position("SHFE.rb2401")
pos_far = api.get_position("SHFE.rb2405")
SPREAD_OPEN = 100 # Open spread threshold
SPREAD_CLOSE = 20 # Close spread threshold
while True:
api.wait_update()
spread = quote_near.last_price - quote_far.last_price
if spread > SPREAD_OPEN and pos_near.pos_short == 0:
# Spread too wide: sell near, buy far
api.insert_order("SHFE.rb2401", "SELL", "OPEN", 1, quote_near.bid_price1)
api.insert_order("SHFE.rb2405", "BUY", "OPEN", 1, quote_far.ask_price1)
print(f"Open spread trade: spread={spread:.0f}")
elif spread < SPREAD_CLOSE and pos_near.pos_short > 0:
# Spread converged: close both legs
api.insert_order("SHFE.rb2401", "BUY", "CLOSE", 1, quote_near.ask_price1)
api.insert_order("SHFE.rb2405", "SELL", "CLOSE", 1, quote_far.bid_price1)
print(f"Close spread trade: spread={spread:.0f}")
from tqsdk import TqApi, TqAuth
import numpy as np
api = TqApi(auth=TqAuth("user", "pass"))
symbol = "CFFEX.IF2401"
klines = api.get_kline_serial(symbol, 86400, data_length=50) # Daily bars
position = api.get_position(symbol)
ATR_PERIOD = 14
ATR_MULTIPLIER = 2.0
entry_price = 0.0
while True:
api.wait_update()
if not api.is_changing(klines.iloc[-1], "close"):
continue
# Calculate ATR
highs = klines["high"].iloc[-ATR_PERIOD-1:]
lows = klines["low"].iloc[-ATR_PERIOD-1:]
closes = klines["close"].iloc[-ATR_PERIOD-1:]
tr = np.maximum(highs.values[1:] - lows.values[1:],
np.abs(highs.values[1:] - closes.values[:-1]),
np.abs(lows.values[1:] - closes.values[:-1]))
atr = np.mean(tr[-ATR_PERIOD:])
current_price = klines.iloc[-1]["close"]
ma20 = klines["close"].iloc[-20:].mean()
if position.pos_long == 0:
# Entry: price above 20-day MA
if current_price > ma20:
api.insert_order(symbol, "BUY", "OPEN", 1, current_price)
entry_price = current_price
print(f"Entry: price={current_price:.2f}, ATR={atr:.2f}")
else:
# ATR trailing stop
stop_price = entry_price - ATR_MULTIPLIER * atr
if current_price < stop_price:
api.insert_order(symbol, "SELL", "CLOSE", position.pos_long, current_price)
print(f"Stop loss: price={current_price:.2f}, stop={stop_price:.2f}")
api.close()
api.wait_update() is the core event loop — all data updates are received through it.api.is_changing() to check if specific data has been updated.由 大佬量化 (Boss Quant) 维护 — 量化交易教学与策略研发团队。
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