# 2.2 期现套利 • 通过股指期货的期现差与 ETF 对冲套利 > 来源：https://uqer.io/community/share/55aa5aa8f9f06c56de1b53bb 通过股指期货（IF1507）的期现差会围绕沪深300指数上下波动的原理，当期现差扩大到一定程度后，使用股指期货和ETF向对冲，以套取期现差的稳定利润。 只通过IF1507验证了一个基本可能性。还有很多细节需要完善。 还有，不知道如何通过order方法卖空股指期货和etf，了解的大神可以帮我解决一下~~ ```py import pandas as pd start = datetime(2015, 6, 1) # 回测起始时间 end = datetime(2015, 7, 17) # 回测结束时间 benchmark = 'HS300' # 策略参考标准 universe = ['510300.XSHG','IF1507.CCFX'] # 股票池 capital_base = 1000000 # 起始资金 maxQxc = 0.0 #最大期现差 isOrder = False #是否已经买入对冲 direction = False # 买入方向 buyPosition = 0 # 买入点位 total = 0 def initialize(account): # 初始化虚拟账户状态 pass def handle_data(account): # 每个交易日的买入卖出指令 # log.debug(account.current_date) # lowToNow = DataAPI.MktEqudAdjGet(secID = '510300', field = ['closePrice'],beginDate = lowDate, endDate = nowDate) global maxQxc,isOrder,direction,buyPosition,total # 获取股指期货的行情数据 if1507 = DataAPI.MktFutdGet(ticker="IF1507", beginDate=account.current_date.strftime("%Y%m%d"),endDate=account.current_date.strftime("%Y%m%d")) # 获取etf基金的行情数据 etf300 = DataAPI.MktFunddGet(ticker = '510300', beginDate=account.current_date.strftime("%Y%m%d"),endDate=account.current_date.strftime("%Y%m%d")) # 获取沪深300的行情数据 hs300 = DataAPI.MktIdxdGet(ticker="000300", beginDate=account.current_date.strftime("%Y%m%d"),endDate=account.current_date.strftime("%Y%m%d")) # 计算期现差 qxc = if1507['closePrice'].iloc[0] - hs300['closeIndex'].iloc[0] # log.debug((hs300['indexID']) + "/" + (if1507['secID']) + "/" + (etf300['secID'])) # log.debug(str(qxc) + "/" + str(hs300['closeIndex'].iloc[0]) + "/" + str(if1507['closePrice'].iloc[0]) + "/" + str(etf300['closePrice'].iloc[0])) # 保存期现差最大值，为后面判断买点时用 if(abs(qxc) > abs(maxQxc)): maxQxc = qxc # 判断期现差绝对值大于100，并开始从高点回落，同时账户是空仓，就买入 if(abs(maxQxc) > 100 and abs(qxc) < abs(maxQxc) and not isOrder ): direction = qxc > 0 buyPosition = qxc isOrder = True # if direction: # 正期现差时 # order(account.universe[1],-1) # 卖空一手期指 # order(account.universe[0],3000) # 买入30万基金 # else: # 负期现差时 # order(account.universe[1],1) # 卖空一手期指 # order(account.universe[0],-3000) # 买入30万基金 log.debug("买入点位 = "+ str(if1507['closePrice'].iloc[0]) + "，期现差 = " + str(qxc)) # 判断已经持仓，并期现差已经反转，就卖出 if(isOrder): if(direction): if(qxc < 0): earnings = buyPosition - qxc isOrder = False maxQxc = 0 # order(account.universe[1],1) # 卖空一手期指 # order(account.universe[0],-3000) # 买入30万基金 account.cash = account.cash + abs(earnings)* 300 log.debug("卖出盈利 = " + str(abs(earnings)* 300)) else: if(qxc > 0): earnings = buyPosition - qxc isOrder = False maxQxc = 0 # order(account.universe[1],-1) # 卖空一手期指 # order(account.universe[0],3000) # 买入30万基金 account.cash = account.cash + abs(earnings)* 300 log.debug("卖出盈利 = " + str(abs(earnings) * 300 ) + "，卖出时期现差 = " + str(qxc)) # for stock in account.universe: # log.debug(stock) # log.debug(account.cash) return ```  ``` 2015-06-01 [DEBUG] 1000000.0 2015-06-02 [DEBUG] 买入点位 = 5269.6，期现差 = 107.73 2015-06-02 [DEBUG] 1000000.0 2015-06-03 [DEBUG] 1000000.0 2015-06-04 [DEBUG] 1000000.0 2015-06-05 [DEBUG] 1000000.0 2015-06-08 [DEBUG] 卖出盈利 = 38004.0 2015-06-08 [DEBUG] 1038004.0 2015-06-09 [DEBUG] 1000000.0 2015-06-10 [DEBUG] 1000000.0 2015-06-11 [DEBUG] 1000000.0 2015-06-12 [DEBUG] 1000000.0 2015-06-15 [DEBUG] 1000000.0 2015-06-16 [DEBUG] 1000000.0 2015-06-17 [DEBUG] 1000000.0 2015-06-18 [DEBUG] 1000000.0 2015-06-19 [DEBUG] 1000000.0 2015-06-23 [DEBUG] 1000000.0 2015-06-24 [DEBUG] 1000000.0 2015-06-25 [DEBUG] 1000000.0 2015-06-26 [DEBUG] 1000000.0 2015-06-29 [DEBUG] 1000000.0 2015-06-30 [DEBUG] 买入点位 = 4381.4，期现差 = -91.598 2015-06-30 [DEBUG] 1000000.0 2015-07-01 [DEBUG] 1000000.0 2015-07-02 [DEBUG] 卖出盈利 = 34080.6，卖出时期现差 = 22.004 2015-07-02 [DEBUG] 1034080.6 2015-07-03 [DEBUG] 1000000.0 2015-07-06 [DEBUG] 1000000.0 2015-07-07 [DEBUG] 1000000.0 2015-07-08 [DEBUG] 买入点位 = 3463.4，期现差 = -199.638 2015-07-08 [DEBUG] 1000000.0 2015-07-09 [DEBUG] 1000000.0 2015-07-10 [DEBUG] 卖出盈利 = 77904.6，卖出时期现差 = 60.044 2015-07-10 [DEBUG] 1077904.6 2015-07-13 [DEBUG] 1000000.0 2015-07-14 [DEBUG] 买入点位 = 4001.6，期现差 = -110.549 2015-07-14 [DEBUG] 1000000.0 2015-07-15 [DEBUG] 1000000.0 2015-07-16 [DEBUG] 卖出盈利 = 36357.9，卖出时期现差 = 10.644 2015-07-16 [DEBUG] 1036357.9 2015-07-17 [DEBUG] 1000000.0 ```