在这里，我们以600570恒生电子、600333长春燃气为例：

import time
def initialize(context):
# 初始化此策略
# 设置我们要操作的股票池, 这里我们只操作一支股票
g.security = '600570.SS'
set_universe(g.security)
#每天9:15 分运行集合竞价处理函数
run_daily(context, aggregate_auction_func, time='9:15')
g.snap_p_info = {}
g.stock_list = ['600570.SS', '600333.SS']
def before_trading_start(context, data):
for stock in g.stock_list:
g.snap_p_info[stock] = []
def aggregate_auction_func(context):
while True:
if int(datetime.datetime.now().strftime("%M")) <= 20:
for stock in g.stock_list:
#最新价
snapshot = get_snapshot(stock)
price = snapshot[stock]['last_px']
g.snap_p_info[stock].append(price)
log.info(g.snap_p_info)
time.sleep(3)
else:
log.info(g.snap_p_info)
break
def handle_data(context, data):
pass