移除ST小市值

from datetime import *

def initialize(context):
    g.choicenum = 7 #預選小市值股票數
    g.days = 0 # 計時器
    g.period = 13 #調倉頻率
    g.openorder=[] #未能成功清倉的股票名

def before_trading_start(context):
    # 今天是否運行
    g.run_today = g.days % g.period == 0
    if g.run_today:
        # 設置滬深兩市全部股票爲股票池
        scu0 = get_index_stocks('000001.XSHG')
        scu3 = get_index_stocks('399001.XSHE')
        scu = scu0+scu3
        #移除ST
        edf = get_extras('is_st', scu, start_date = context.current_dt, end_date=context.current_dt)
        glist = []
        for sname in edf:
            if not edf.ix[0,sname]:
                glist.append(sname)
        set_universe(glist)

#每一個交易日結束運行
def after_trading_end(context):
    #獲得當前未完成訂單
    orders = get_open_orders()
    #循環，撤銷訂單
    for _order in orders.values():
        cancel_order(_order)
        #cancel_order(_order.order_id)
    pass

def handle_data(context, data):
    # 調倉日交易
    if g.run_today:
        # 天天只運行一次
        g.run_today = False

        # 前個收盤日時的市值
        ldate = context.current_dt+timedelta(days=-1)
        lastdate = ldate.strftime("%Y-%m-%d")

        # 選出低市值的股票，buylist
        df = get_fundamentals(query(
                valuation.code,valuation.market_cap
            ).filter(
                valuation.code.in_(context.universe)
            ).order_by(
                valuation.market_cap.asc()
            ).limit(g.choicenum*2), date=lastdate
            ).dropna()
        buylist = list(df.code)

        # 目前持倉中不在buylist中的股票，清倉
        for stock in context.portfolio.positions:
            if stock not in buylist[:g.choicenum]:
                #停牌或跌停沒法出售
                order_target(stock,0)

        # 等權重買入buylist中的股票, 現金和股票市值總得計算
        position_per_stk = context.portfolio.portfolio_value/g.choicenum
        count= 0
        for stock in buylist:
            if not (data[stock].isnan() or data[stock].paused):
                count += 1
                df = get_price(stock, start_date=context.current_dt.strftime("%Y-%m-%d 09:30:00"), end_date=context.current_dt.strftime("%Y-%m-%d 09:30:00"), frequency="1m", fields=['price'])
                price = df.ix[0,'price']
                if stock in context.portfolio.positions:
                    pos = context.portfolio.positions[stock]
                    stk = pos.amount*pos.price
                    if stk<position_per_stk:
                        buycash = min(context.portfolio.cash, position_per_stk-stk)
                        buynum = int(buycash/price/100)*100
                        if buynum>0:
                            order(stock, buynum)
                    else:
                        #超過平均市值忽略
                        print "ignore %s"%stock
                        pass
                else:
                    #新入列
                    buycash = min(context.portfolio.cash, position_per_stk)
                    amount = int(buycash/price/100)*100
                    if amount>0:
                        order(stock, amount)
            else:
                print stock,data[stock].isnan(),data[stock].paused
            
            if count >= g.choicenum:
                break

    # 天數加一
    g.days += 1