哈咯！想用python设计一个简单的基于做市商的股票高频交易策略，之前的主要class都已经写好了，现在在主程序里面实现策略，但是始终想不出一个合理的代码结构来实现，有没有哪位大神敢尝试啊哈哈：

先给出模仿的论文策略图：

下面是我自己能写出的主程序部分：（如果需要我写的class可以在下面评论）

#Firstly, I load the first day's data from table BHP_data, #then create two lists for storing the mid price and time, #and then use for loop to read each events imformation, and store the mid price and time data into list. #afterwards, plot the first day data and time in a figure.

import mysql.connector import pyodbc

connection = mysql.connector.connect(user= 'root', password = '51jingtI', host = '127.0.0.1', database = 'HF2') cursor = connection.cursor() cursor.execute("select * from BHP_data where date='2007-07-02'") events_data = cursor.fetchall()

#create two lists for storing the mid price and time, money = 100 mid_price_list = [] best_ask_price_list = [] best_bid_price_list = []

time_list = [] book = OrderBook() book_list_bid = [] book_list_ask = [] profit_list = []

for data in events_data: S_price = float(book.best_ask_price())+0.001 S_PM_price = float(book.best_ask_price())-0.01 B_PM_price = float(book.best_bid_price())+0.01 B_price = float(book.best_bid_price())-0.001

lo = LimitOrder(data[0],data[1],data[2],data[3],data[4],data[5],data[6],data[7],data[8],data[9],data[10],data[11],data[12])
lo_b = LimitOrder(data[0],data[1],data[2],'ENTER',B_price,1,'000','','B',0,0,0,data[12])
lo_s = LimitOrder(data[0],data[1],data[2],'ENTER',S_price,1,'','000','A',0,0,0,data[12])
book.add(lo)
if book.mid_price():
    mid_price_list.append(float(book.mid_price()))
if len(mid_price_list) > 10:
    
    if ((float(mid_price_list[len(mid_price_list)-1]) - float(mid_price_list[len(mid_price_list)-2]))>0 
        and 
        (float(mid_price_list[len(mid_price_list)-1] - mid_price_list[len(mid_price_list)-2])- 
        float(mid_price_list[len(mid_price_list)-2] - mid_price_list[len(mid_price_list)-1]))> 0
        and 
        len(book_list_bid) == 0):
        
        book.add(lo_b)
        book_list_bid.append(lo_b.get_id())
        
        
    elif((float(mid_price_list[len(mid_price_list)-1]) - float(mid_price_list[len(mid_price_list)-2])) < 0 
        and 
        (float(mid_price_list[len(mid_price_list)-1] - mid_price_list[len(mid_price_list)-2])- 
        float(mid_price_list[len(mid_price_list)-2] - mid_price_list[len(mid_price_list)-1])) < 0
        and
        len(book_list_ask) == 0):
            
        book.add(lo_b)
        book_list_ask.append(lo_b.get_id())
if len(mid_price_list) > 50:     
    if not (lo_b.get_id() in book.event_dict):
        lo_b_pm = LimitOrder(data[0],data[1],data[2],'ENTER',B_PM_price,1,'','test_ask_new',data[8],1,1,1,1)
        book.add(lo_b_pm)
  
    if not (lo_s.get_id() in book.event_dict):
        lo_s_pm = LimitOrder(data[0],data[1],data[2],'ENTER',S_PM_price,1,'test_bid_new','',data[8],1,1,1,1)
        book.add(lo_s_pm)

#instrument, date, time, record_type, price, volume,bid_id, ask_id, direction, sameoffset, oppoffset, midoffset, timestamp):

plt.figure(figsize=(20,8)) plt.xlabel('volume') plt.ylabel('Mid price') plt.title('Mid price of BHP')
plt.plot(mid_price_list) plt.show()