MT5 Python 整合：用 MetaTrader5 套件進行量化交易

安裝與連線設定

# 安裝套件（終端機執行）
# pip install MetaTrader5 pandas numpy

import MetaTrader5 as mt5
import pandas as pd
import numpy as np
from datetime import datetime

# 初始化 MT5（需先開啟 MT5 終端機）
if not mt5.initialize():
    print("MT5 初始化失敗！")
    quit()

# 顯示版本資訊
print(mt5.version())

# 帳戶資訊
info = mt5.account_info()
print(f"帳戶: {info.login}")
print(f"餘額: ${info.balance:.2f}")
print(f"淨值: ${info.equity:.2f}")
print(f"伺服器: {info.server}")

取得歷史 K 線數據

def get_ohlcv(symbol, timeframe, count=1000):
    """取得 OHLCV K 線數據，回傳 DataFrame"""
    rates = mt5.copy_rates_from_pos(symbol, timeframe, 0, count)
    if rates is None:
        print(f"取得數據失敗：{mt5.last_error()}")
        return pd.DataFrame()
    df = pd.DataFrame(rates)
    df['time'] = pd.to_datetime(df['time'], unit='s')
    df.set_index('time', inplace=True)
    return df['open high low close tick_volume'.split()]

# 取得 EURUSD H1 最近 500 根 K 線
df = get_ohlcv("EURUSD", mt5.TIMEFRAME_H1, 500)
print(df.tail())

# 計算技術指標
df['ma20'] = df['close'].rolling(20).mean()
df['ma50'] = df['close'].rolling(50).mean()

def calc_rsi(series, period=14):
    delta = series.diff()
    gain  = delta.clip(lower=0).ewm(com=period-1, min_periods=period).mean()
    loss  = (-delta.clip(upper=0)).ewm(com=period-1, min_periods=period).mean()
    return 100 - (100 / (1 + gain/loss))

df['rsi'] = calc_rsi(df['close'])
print(df[['close','ma20','rsi']].tail())

下單與平倉

def market_buy(symbol, lots, sl_pips=50, tp_pips=100):
    """市價買入"""
    info  = mt5.symbol_info(symbol)
    point = info.point
    ask   = info.ask
    request = {
        "action":       mt5.TRADE_ACTION_DEAL,
        "symbol":       symbol,
        "volume":       lots,
        "type":         mt5.ORDER_TYPE_BUY,
        "price":        ask,
        "sl":           round(ask - sl_pips * point, info.digits),
        "tp":           round(ask + tp_pips * point, info.digits),
        "deviation":    10,
        "magic":        88888,
        "comment":      "Python EA",
        "type_time":    mt5.ORDER_TIME_GTC,
        "type_filling": mt5.ORDER_FILLING_IOC,
    }
    result = mt5.order_send(request)
    if result.retcode == mt5.TRADE_RETCODE_DONE:
        print(f"買入成功！票號={result.order} 價格={result.price}")
    else:
        print(f"下單失敗！retcode={result.retcode} {result.comment}")
    return result

def close_position(ticket):
    """平倉"""
    positions = mt5.positions_get(ticket=ticket)
    if not positions:
        return False
    pos   = positions[0]
    ptype = mt5.ORDER_TYPE_SELL if pos.type == 0 else mt5.ORDER_TYPE_BUY
    price = mt5.symbol_info_tick(pos.symbol).bid if pos.type == 0 else mt5.symbol_info_tick(pos.symbol).ask
    req = {
        "action":   mt5.TRADE_ACTION_DEAL,
        "symbol":   pos.symbol,
        "volume":   pos.volume,
        "type":     ptype,
        "position": ticket,
        "price":    price,
        "deviation":10,
        "magic":    88888,
    }
    result = mt5.order_send(req)
    return result.retcode == mt5.TRADE_RETCODE_DONE

完整 MA 交叉策略主迴圈

import time

def run_ma_cross(symbol="EURUSD", fast=10, slow=30, lots=0.01):
    print(f"策略啟動：{symbol}")
    while True:
        df = get_ohlcv(symbol, mt5.TIMEFRAME_H1, slow+5)
        if df.empty:
            time.sleep(60)
            continue

        df['fast'] = df['close'].rolling(fast).mean()
        df['slow'] = df['close'].rolling(slow).mean()

        # 使用已確認的前兩根 K 線
        f1,f2 = df['fast'].iloc[-2], df['fast'].iloc[-3]
        s1,s2 = df['slow'].iloc[-2], df['slow'].iloc[-3]

        golden = f2 <= s2 and f1 > s1
        death  = f2 >= s2 and f1 < s1

        positions = mt5.positions_get(symbol=symbol)
        has_pos   = positions is not None and len(positions) > 0

        if golden and not has_pos:
            print(f"金叉！做多 {symbol}")
            market_buy(symbol, lots)
        elif death and has_pos:
            print(f"死叉！平倉 {symbol}")
            for pos in positions:
                close_position(pos.ticket)

        time.sleep(60)

try:
    run_ma_cross()
except KeyboardInterrupt:
    print("策略停止")
finally:
    mt5.shutdown()
    print("MT5 連線已關閉")

Python vs MQL5 比較

安裝注意事項

• 需使用 64 位元 Python 3.x，32 位元版本無法連接 MT5
• MT5 終端機必須先開啟，且同一台電腦上才能連線
• 在 Wine/Linux 環境需額外設定，建議在 Windows 上使用

本文由 James Lee 撰寫。內容僅供教育目的，不構成投資建議。