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【期货量化策略】期货量化交易策略套利策略（Python量化）

news 2026/5/12 5:08:34

一、前言

套利策略通过捕捉价差获取无风险或低风险收益，是量化交易中的重要策略类型。本文将介绍各种套利策略的实现方法。

套利策略基本原理
期现套利
跨期套利
跨品种套利
统计套利

二、为什么选择天勤量化（TqSdk）

功能	说明
多品种数据	支持同时获取多个品种数据
实时行情	支持实时行情数据
快速执行	支持快速下单
数据同步	支持多品种数据同步

安装方法：

pipinstalltqsdk pandas numpy

三、套利基础

3.1 套利类型

类型	说明	风险
期现套利	期货与现货价差	低
跨期套利	不同月份合约价差	中
跨品种套利	相关品种价差	中
统计套利	统计价差	中高

3.2 套利条件

条件	说明
价差存在	存在可套利价差
价差稳定	价差相对稳定
成本覆盖	价差覆盖交易成本
流动性	有足够流动性

四、期现套利

4.1 期现价差计算

#!/usr/bin/env python# -*- coding: utf-8 -*-""" 功能：期现套利 说明：本代码仅供学习参考 """fromtqsdkimportTqApi,TqAuthimportpandasaspdimportnumpyasnpdefcalculate_basis(api,futures_symbol,spot_price):""" 计算基差 参数: futures_symbol: 期货合约代码 spot_price: 现货价格 """quote=api.get_quote(futures_symbol)api.wait_update()futures_price=quote.last_price basis=futures_price-spot_price basis_ratio=basis/spot_pricereturn{'futures_price':futures_price,'spot_price':spot_price,'basis':basis,'basis_ratio':basis_ratio}# 使用示例api=TqApi(auth=TqAuth("快期账户","快期密码"))basis_info=calculate_basis(api,"SHFE.rb2510",4000)print(f"基差:{basis_info['basis']:.2f}")print(f"基差率:{basis_info['basis_ratio']:.4%}")api.close()

4.2 期现套利策略

deffutures_spot_arbitrage(api,futures_symbol,spot_price,threshold=0.01):""" 期现套利策略 参数: threshold: 套利阈值 """basis_info=calculate_basis(api,futures_symbol,spot_price)basis_ratio=basis_info['basis_ratio']# 基差过大，做空期货，做多现货ifbasis_ratio>threshold:# 卖出期货api.insert_order(futures_symbol,"SELL","OPEN",1)# 买入现货（实际应用中需要现货市场接口）print("套利机会：基差过大，做空期货")return1# 基差过小（负基差），做多期货，做空现货elifbasis_ratio<-threshold:# 买入期货api.insert_order(futures_symbol,"BUY","OPEN",1)# 卖出现货print("套利机会：负基差，做多期货")return-1return0

五、跨期套利

5.1 跨期价差计算

defcalculate_calendar_spread(api,near_symbol,far_symbol):"""计算跨期价差"""near_quote=api.get_quote(near_symbol)far_quote=api.get_quote(far_symbol)api.wait_update()near_price=near_quote.last_price far_price=far_quote.last_price spread=far_price-near_price spread_ratio=spread/near_pricereturn{'near_price':near_price,'far_price':far_price,'spread':spread,'spread_ratio':spread_ratio}

5.2 跨期套利策略

defcalendar_spread_arbitrage(api,near_symbol,far_symbol,threshold=0.005):"""跨期套利策略"""spread_info=calculate_calendar_spread(api,near_symbol,far_symbol)spread_ratio=spread_info['spread_ratio']# 价差过大，做空远月，做多近月ifspread_ratio>threshold:api.insert_order(far_symbol,"SELL","OPEN",1)api.insert_order(near_symbol,"BUY","OPEN",1)print("跨期套利：价差过大")return1# 价差过小，做多远月，做空近月elifspread_ratio<-threshold:api.insert_order(far_symbol,"BUY","OPEN",1)api.insert_order(near_symbol,"SELL","OPEN",1)print("跨期套利：价差过小")return-1return0

六、跨品种套利

6.1 相关性分析

defcalculate_correlation(klines1,klines2,window=60):"""计算相关性"""returns1=klines1['close'].pct_change()returns2=klines2['close'].pct_change()correlation=returns1.rolling(window).corr(returns2)returncorrelation

6.2 跨品种套利

defcross_commodity_arbitrage(api,symbol1,symbol2,klines1,klines2,threshold=0.02):"""跨品种套利"""# 计算价差price1=klines1['close'].iloc[-1]price2=klines2['close'].iloc[-1]# 计算历史价差spread_history=(klines1['close']/klines2['close']).rolling(20).mean()current_spread=price1/price2 spread_deviation=(current_spread-spread_history.iloc[-1])/spread_history.iloc[-1]# 价差偏离过大ifabs(spread_deviation)>threshold:ifspread_deviation>0:# 做空品种1，做多品种2api.insert_order(symbol1,"SELL","OPEN",1)api.insert_order(symbol2,"BUY","OPEN",1)else:# 做多品种1，做空品种2api.insert_order(symbol1,"BUY","OPEN",1)api.insert_order(symbol2,"SELL","OPEN",1)return1return0

七、统计套利

7.1 协整检验

fromstatsmodels.tsa.stattoolsimportcointdeftest_cointegration(klines1,klines2):"""协整检验"""price1=klines1['close']price2=klines2['close']score,pvalue,_=coint(price1,price2)return{'cointegrated':pvalue<0.05,'pvalue':pvalue,'score':score}

7.2 配对交易

defpairs_trading(api,symbol1,symbol2,klines1,klines2,threshold=2):"""配对交易"""# 协整检验coint_result=test_cointegration(klines1,klines2)ifnotcoint_result['cointegrated']:return0# 计算价差spread=klines1['close']-klines2['close']spread_mean=spread.rolling(20).mean()spread_std=spread.rolling(20).std()current_spread=spread.iloc[-1]z_score=(current_spread-spread_mean.iloc[-1])/spread_std.iloc[-1]# Z-score过大，做空价差ifz_score>threshold:api.insert_order(symbol1,"SELL","OPEN",1)api.insert_order(symbol2,"BUY","OPEN",1)return1# Z-score过小，做多价差elifz_score<-threshold:api.insert_order(symbol1,"BUY","OPEN",1)api.insert_order(symbol2,"SELL","OPEN",1)return-1return0