tqsdk
v1.0.1天勤量化TqSdk - 开源Python期货/期权交易SDK，提供实时行情、回测和实盘交易功能。
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Authored by coderwpf
Installation
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TqSdk（天勤量化SDK）
TqSdk 是信易科技开发的开源Python期货/期权量化交易SDK。通过统一的异步API提供实时行情、历史数据、回测和实盘交易功能。
文档：https://doc.shinnytech.com/tqsdk/latest/ 免费版提供延时行情（15分钟延迟），专业版支持实时数据。
安装
pip install tqsdk
快速入门
from tqsdk import TqApi, TqAuth, TqBacktest
from datetime import date
# 实盘模式（免费账户提供延时行情）
api = TqApi(auth=TqAuth("your_username", "your_password"))
# 获取实时行情
quote = api.get_quote("SHFE.cu2401") # Shanghai copper futures
print(f"最新价: {quote.last_price}, 成交量: {quote.volume}")
# 获取K线数据
klines = api.get_kline_serial("SHFE.cu2401", duration_seconds=60) # 1-min bars
print(klines.tail())
# 关闭API
api.close()
代码格式
EXCHANGE.CONTRACT
| 交易所 | 代码 | 示例 |
|---|---|---|
| 上海期货交易所 | SHFE |
SHFE.cu2401（铜） |
| 大连商品交易所 | DCE |
DCE.m2405（豆粕） |
| 郑州商品交易所 | CZCE |
CZCE.CF405（棉花） |
| 中国金融期货交易所 | CFFEX |
CFFEX.IF2401（沪深300期货） |
| 上海国际能源交易中心 | INE |
INE.sc2407（原油） |
| 广州期货交易所 | GFEX |
GFEX.si2407（工业硅） |
| 上交所期权 | SSE |
SSE.10004816（50ETF期权） |
| 深交所期权 | SZSE |
SZSE.90000001（300ETF期权） |
行情数据
实时行情
from tqsdk import TqApi, TqAuth
api = TqApi(auth=TqAuth("user", "pass"))
quote = api.get_quote("CFFEX.IF2401")
# 关键字段：
# quote.last_price — 最新价
# quote.bid_price1 — 买一价
# quote.ask_price1 — 卖一价
# quote.bid_volume1 — 买一量
# quote.ask_volume1 — 卖一量
# quote.highest — 日最高价
# quote.lowest — 日最低价
# quote.open — 开盘价
# quote.close — 昨收价
# quote.volume — 总成交量
# quote.amount — 总成交额
# quote.open_interest — 持仓量
# quote.upper_limit — 涨停价
# quote.lower_limit — 跌停价
# quote.pre_settlement — 昨结算价
# quote.settlement — 今结算价
# 等待行情更新
while True:
api.wait_update()
if api.is_changing(quote, "last_price"):
print(f"Price update: {quote.last_price}")
K线数据
# 获取K线序列（返回pandas DataFrame）
klines = api.get_kline_serial(
"SHFE.cu2401",
duration_seconds=60, # K线周期：60=1分钟, 300=5分钟, 3600=1小时, 86400=日线
data_length=200 # 获取K线数量
)
# 列：datetime, open, high, low, close, volume, open_oi, close_oi
# 多周期
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)
Tick数据
ticks = api.get_tick_serial("SHFE.cu2401", data_length=500)
# 列：datetime, last_price, highest, lowest, bid_price1, ask_price1,
# bid_volume1, ask_volume1, volume, amount, open_interest
交易
下单
from tqsdk import TqApi, TqAuth
api = TqApi(auth=TqAuth("user", "pass"))
# 限价单 — 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)
)
# 市价单（FAK — 即成剩撤）
order = api.insert_order(
symbol="SHFE.cu2401",
direction="BUY",
offset="OPEN",
volume=2
)
# 撤单
api.cancel_order(order)
# 检查委托状态
while True:
api.wait_update()
if order.status == "FINISHED":
print(f"Order finished: filled={order.volume_orign - order.volume_left}")
break
持仓与账户
# 获取账户信息
account = api.get_account()
# account.balance — 账户余额
# account.available — 可用资金
# account.margin — 已用保证金
# account.float_profit — 浮动盈亏
# account.position_profit — 持仓盈亏
# account.commission — 今日手续费
# 获取持仓
position = api.get_position("SHFE.cu2401")
# position.pos_long — 多头持仓量
# position.pos_short — 空头持仓量
# position.pos_long_today — 今多仓
# position.float_profit_long — 多头浮动盈亏
# position.float_profit_short — 空头浮动盈亏
# position.open_price_long — 多头平均开仓价
# position.open_price_short — 空头平均开仓价
回测
from tqsdk import TqApi, TqAuth, TqBacktest, TqSim
from datetime import date
# 创建回测API
api = TqApi(
backtest=TqBacktest(
start_dt=date(2024, 1, 1),
end_dt=date(2024, 6, 30)
),
account=TqSim(init_balance=1000000), # 模拟账户，初始资金100万
auth=TqAuth("user", "pass")
)
# 策略逻辑（同一套代码适用于实盘和回测）
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()
进阶示例
双合约价差交易
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 # 开仓价差阈值
SPREAD_CLOSE = 20 # 平仓价差阈值
while True:
api.wait_update()
spread = quote_near.last_price - quote_far.last_price
if spread > SPREAD_OPEN and pos_near.pos_short == 0:
# 价差过大：卖近月，买远月
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:
# 价差收敛：双腿平仓
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}")
基于ATR的止损策略
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) # 日线
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
# 计算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:
# 入场：价格在20日均线之上
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跟踪止损
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()
使用技巧
- 免费版提供延时行情（15分钟延迟），专业版支持实时数据。
- 同一套代码适用于回测和实盘，只需修改API初始化。
api.wait_update()是核心事件循环，所有数据更新通过它接收。- 使用
api.is_changing()检查特定数据是否已更新。 - 支持国内所有主要交易所的期货和期权。
- 文档：https://doc.shinnytech.com/tqsdk/latest/
目标持仓助手（TargetPosTask）
TqSdk提供便捷的目标持仓管理工具，自动完成开平仓操作：
from tqsdk import TqApi, TqAuth, TargetPosTask
api = TqApi(auth=TqAuth("user", "pass"))
symbol = "SHFE.cu2401"
target = TargetPosTask(api, symbol)
klines = api.get_kline_serial(symbol, 86400, data_length=30)
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:
target.set_target_volume(3) # 自动调整到多头3手
elif ma5 < ma20:
target.set_target_volume(-3) # 自动调整到空头3手
else:
target.set_target_volume(0) # 自动平仓
api.close()
期权交易
from tqsdk import TqApi, TqAuth
api = TqApi(auth=TqAuth("user", "pass"))
# 获取期权合约列表
options = api.query_options("SSE.510050") # 50ETF期权
print(f"共 {len(options)} 个期权合约")
# 获取特定期权行情
quote = api.get_quote("SSE.10004816")
print(f"最新价: {quote.last_price}")
print(f"隐含波动率: {quote.implied_volatility}")
print(f"Delta: {quote.delta}, Gamma: {quote.gamma}")
print(f"Theta: {quote.theta}, Vega: {quote.vega}")
api.close()
常见错误处理
| 错误 | 原因 | 解决方法 |
|---|---|---|
Authentication failed |
账户密码错误 | 检查TqAuth的用户名密码 |
Insufficient margin |
保证金不足 | 检查 account.available |
Symbol not found |
合约代码错误或已过期 | 检查代码格式和合约月份 |
Connection lost |
网络断开 | TqSdk会自动重连 |
Backtest data not available |
历史数据不可用 | 检查回测日期范围 |
支持的K线周期
| 周期 | duration_seconds | 说明 |
|---|---|---|
| 3秒 | 3 |
超短线 |
| 5秒 | 5 |
超短线 |
| 10秒 | 10 |
短线 |
| 15秒 | 15 |
短线 |
| 30秒 | 30 |
短线 |
| 1分钟 | 60 |
最常用短线周期 |
| 5分钟 | 300 |
常用日内周期 |
| 15分钟 | 900 |
日内波段 |
| 30分钟 | 1800 |
日内波段 |
| 1小时 | 3600 |
中线周期 |
| 2小时 | 7200 |
中线周期 |
| 4小时 | 14400 |
中线周期 |
| 日线 | 86400 |
趋势跟踪 |
进阶示例：海龟交易策略
from tqsdk import TqApi, TqAuth, TargetPosTask
import numpy as np
api = TqApi(auth=TqAuth("user", "pass"))
symbol = "CFFEX.IF2401"
klines = api.get_kline_serial(symbol, 86400, data_length=60)
target = TargetPosTask(api, symbol)
ENTRY_PERIOD = 20 # 唐奇安通道入场周期
EXIT_PERIOD = 10 # 唐奇安通道出场周期
ATR_PERIOD = 20 # ATR周期
RISK_RATIO = 0.01 # 单笔风险比例
while True:
api.wait_update()
if not api.is_changing(klines.iloc[-1], "close"):
continue
highs = klines["high"].values
lows = klines["low"].values
closes = klines["close"].values
if len(closes) < ENTRY_PERIOD + 1:
continue
# 唐奇安通道
entry_high = np.max(highs[-ENTRY_PERIOD-1:-1])
entry_low = np.min(lows[-ENTRY_PERIOD-1:-1])
exit_high = np.max(highs[-EXIT_PERIOD-1:-1])
exit_low = np.min(lows[-EXIT_PERIOD-1:-1])
# 计算ATR
tr = np.maximum(highs[1:] - lows[1:],
np.abs(highs[1:] - closes[:-1]),
np.abs(lows[1:] - closes[:-1]))
atr = np.mean(tr[-ATR_PERIOD:])
current = closes[-1]
account = api.get_account()
position = api.get_position(symbol)
unit_size = max(1, int(account.balance * RISK_RATIO / atr))
if position.pos_long == 0 and position.pos_short == 0:
if current > entry_high:
target.set_target_volume(unit_size) # 突码20日高点做多
elif current < entry_low:
target.set_target_volume(-unit_size) # 突码20日低点做空
elif position.pos_long > 0:
if current < exit_low:
target.set_target_volume(0) # 跌码10日低点平多
elif position.pos_short > 0:
if current > exit_high:
target.set_target_volume(0) # 突码10日高点平空
api.close()
进阶示例：多品种强弱对冲
from tqsdk import TqApi, TqAuth, TargetPosTask
api = TqApi(auth=TqAuth("user", "pass"))
# 黑色系品种：螺纹钢 vs 铁矿石
symbol_a = "SHFE.rb2405"
symbol_b = "DCE.i2405"
klines_a = api.get_kline_serial(symbol_a, 86400, data_length=30)
klines_b = api.get_kline_serial(symbol_b, 86400, data_length=30)
target_a = TargetPosTask(api, symbol_a)
target_b = TargetPosTask(api, symbol_b)
LOOKBACK = 20
while True:
api.wait_update()
if len(klines_a) < LOOKBACK or len(klines_b) < LOOKBACK:
continue
ret_a = (klines_a.iloc[-1]["close"] / klines_a.iloc[-LOOKBACK]["close"]) - 1
ret_b = (klines_b.iloc[-1]["close"] / klines_b.iloc[-LOOKBACK]["close"]) - 1
if ret_a > ret_b + 0.02: # 强弱差大于2%
target_a.set_target_volume(1) # 做多强势品种
target_b.set_target_volume(-1) # 做空弱势品种
elif ret_a < ret_b - 0.02: # 强弱反转
target_a.set_target_volume(0)
target_b.set_target_volume(0)
api.close()
社区与支持
由 大佬量化 (BossQuant) 维护 — 量化交易教学与策略研发团队。
微信客服: bossquant1 · Bilibili · 搜索 大佬量化 — 微信公众号 / Bilibili / 抖音