def Order_At_Boll():
upper, middle, lower = stock.TDX_BOLL(df_five_hisdat['c'])
highs, lows, closes = df_five_hisdat['h'], df_five_hisdat[
'l'], df_five_hisdat['c']
adx = stock.TDX_ADX(highs, lows, closes)
self._log('boll : %.2f,%.2f,%.2f' %
(upper[-1], middle[-1], lower[-1]))
boll_w = abs(upper[-1] - lower[-1]) / middle[-1] * 100
boll_poss = [
upper[-1],
(upper[-1] - middle[-1]) / 2 + middle[-1],
middle[-1],
(middle[-1] - lower[-1]) / 2 + lower[-1],
lower[-1],
]
self._log('boll_poss: %.2f, %.2f boll_w=%.2f adx=%.2f' %
(boll_poss[0], boll_poss[1], boll_w, adx[-1]))
user_datas = mydatas[mydatas['symbol'] == code]
if price > boll_poss[1] * 1.001:
num = int(user_datas['trade1'])
if self.order(1, code, price, num):
self._log(
agl.utf8_to_ascii('一档卖出%s, %.2f, %d' %
(code, price, num)))
if price > boll_poss[0] * 0.998:
num = int(user_datas['trade2'])
if self.order(1, code, price, num):
self._log(
agl.utf8_to_ascii('二档卖出%s, %.2f, %d' %
(code, price, num)))
if price < boll_poss[-2] * 0.999:
num = int(user_datas['trade1'])
if self.order(0, code, price, num):
self._log(
agl.utf8_to_ascii('一档买入%s, %.2f, %d' %
(code, price, num)))
if price < boll_poss[-1] * 1.001:
num = int(user_datas['trade2'])
if self.order(0, code, price, num):
self._log(
agl.utf8_to_ascii('二档买入%s, %.2f, %d' %
(code, price, num)))
#信号发生时语音播报, 并通知界面回显
if not self.is_backtesting and (price > boll_poss[1]
or price < boll_poss[-2]):
codename = stock.GetCodeName(code)
s = '%s, %.2f' % (codename, price)
self.data.show(codename) #通知界面显示
self.data.speak2(s) #语音播报
def Run(self):
for strategy in self.policys:
try:
strategy.Run()
except Exception as e:
s = str(e)
s += traceback.format_exc()
strategy._log(agl.utf8_to_ascii(s))
def Order_At_Boll():
upper, middle, lower = stock.TDX_BOLL(df_five_hisdat['c'])
highs, lows, closes = df_five_hisdat['h'], df_five_hisdat['l'], df_five_hisdat['c']
adx = stock.TDX_ADX(highs, lows, closes)
self._log('boll : %.2f,%.2f,%.2f'%(upper[-1], middle[-1],lower[-1]))
boll_w = abs(upper[-1]-lower[-1])/middle[-1]*100
boll_poss = [
upper[-1],
(upper[-1] - middle[-1])/2+middle[-1],
middle[-1],
(middle[-1] - lower[-1])/2+lower[-1],
lower[-1],
]
self._log('boll_poss: %.2f, %.2f boll_w=%.2f adx=%.2f'%(boll_poss[0], boll_poss[1], boll_w, adx[-1]))
user_datas = mydatas[mydatas['symbol']==code]
if price > boll_poss[1]*1.001:
num = int(user_datas['trade1'])
if self.order(1, code, price, num):
self._log(agl.utf8_to_ascii('一档卖出%s, %.2f, %d'%(code, price, num)))
if price > boll_poss[0]*0.998:
num = int(user_datas['trade2'])
if self.order(1, code, price, num):
self._log(agl.utf8_to_ascii('二档卖出%s, %.2f, %d'%(code, price, num)))
if price < boll_poss[-2]*0.999:
num = int(user_datas['trade1'])
if self.order(0, code, price, num):
self._log(agl.utf8_to_ascii('一档买入%s, %.2f, %d'%(code, price, num)))
if price < boll_poss[-1]*1.001:
num = int(user_datas['trade2'])
if self.order(0, code, price, num):
self._log(agl.utf8_to_ascii('二档买入%s, %.2f, %d'%(code, price, num)))
def saveCloseInfo(self):
"""保存收盘信息, 包括资金表和成交表"""
df = self.ZhiJing()
df.index = [agl.getCurTime()]
df.index.name = 't'
#myredis.set_obj('temp',df)
db = mysql.Tc()
df.columns = db.getZhiJinCols()
db.save(df, tbl_name=mysql.Tc.enum.zhijin)
df = self.ChengJiao()
df = df[df[df.columns[-1]]==agl.utf8_to_ascii('普通成交')]
df.index = df['成交日期'].map(lambda x: x[:4]+'-'+x[4:6]+'-'+x[-2:]) + ' ' + df['成交时间']
df = df.loc[:,['证券代码','买0卖1','成交数量','成交价格','成交金额','成交编号']]
df.columns = db.getChenJiaoCols()
df.index.name='t'
db.save(df, tbl_name=mysql.Tc.enum.chenjiao)
def Order(self, bSell, code, price, num):
"""return: str 成功则返回委托id号， 失败返回空"""
#self.delegate.log('-=-----------order')
#s = ComboArg("bSell, code, price, num")
s = "Order|"+str(bSell)+"|"+str(code)+"|"+str(price)+"|"+str(num)+"|"
sReturn = self.delegate.handleRotuer(s)
#'132493|A5001586|'
sId = ''
if sReturn is not None and agl.ascii_to_utf8(sReturn) != "超时":
sId = sReturn.split('|')[0]
sSell = '卖出'
if not bSell:
sSell = '买入'
sMsg = '委托下单 %s %s %s %s , 委托单号%s'%(sSell, str(code), agl.FloatToStr(float(price)), str(num), str(sId))
sMsg = agl.utf8_to_ascii(sMsg)
self.delegate.log(sMsg)
return sId
def Run(self):
"""
"""
#self._log('Strategy_Boll_Pre')
#以下为交易测试
code = self.data.get_code() #当前策略处理的股票
self.code = code
if not self.is_backtesting and not self.AllowCode(code):
return
self._log(self.getCurTime())
df_hisdat = self.data.get_hisdat(code) #日k线
df_five_hisdat = self.data.get_hisdat(code, dtype='5min') #5分钟k线
account = self._getAccount() #获取交易账户
price = float(df_five_hisdat.tail(1)['c']) #当前股价
closes = df_hisdat['c']
yestoday_close = closes[-2] #昨日收盘价
account_mgr = ac.AccountMgr(account, price, code)
trade_num = ac.ShouShu(account_mgr.init_money() *
self.trade_num_use_money_percent / price)
# 信号计算
four = stock.FOUR(df_hisdat['c'])[-1]
upper, middle, lower = stock.TDX_BOLL(df_five_hisdat['c'])
highs, lows, closes = df_five_hisdat['h'], df_five_hisdat[
'l'], df_five_hisdat['c']
adx = stock.TDX_ADX(highs, lows, closes)
adx = adx[-1]
self._log('boll : %.2f,%.2f,%.2f' % (upper[-1], middle[-1], lower[-1]))
boll_w = abs(upper[-1] - lower[-1]) / middle[-1] * 100
boll_poss = [
upper[-1],
(upper[-1] - middle[-1]) / 2 + middle[-1],
middle[-1],
(middle[-1] - lower[-1]) / 2 + lower[-1],
lower[-1],
]
self._log('boll_poss: %.2f, %.2f boll_w=%.2f adx=%.2f' %
(boll_poss[0], boll_poss[1], boll_w, adx))
pre_price = account_mgr.last_chengjiao_price(is_sell=-1) #上一个成交的价位
pre_buy_price = account_mgr.last_chengjiao_price(is_sell=0)
if np.isnan(pre_buy_price):
pre_buy_price = pre_price
pre_sell_num = account_mgr.last_chengjiao_num() #上次的成交数量
pre_pre_price = account_mgr.last_chengjiao_price(index=-2)
sell_count = account_mgr.queryTradeCount(1)
buy_count = account_mgr.queryTradeCount(0)
chen_ben = account_mgr.get_BuyAvgPrice() #买入成本
yin_kui = account_mgr.yin_kui() #盈亏成本
canwei = account_mgr.getCurCanWei()
#信号判断
num = 0
if so.assemble(
price > boll_poss[1] * 1.001,
price > pre_price * (1 + self.trade_ratio),
#price > boll_poss[2],
#price > self.max_buy_price*(1+self.trade_ratio),
#boll_w < 2.5,
#adx > 45,
#sell_count < 2,
#pr.horizontal(df_five_hisdat),
#0,
):
num = trade_num
#account.Order(1, code, price, num)
if so.assemble(
price > boll_poss[0],
price > pre_price * (1 + self.trade_ratio),
#price > self.max_buy_price*(1+self.trade_ratio),
#boll_w > 3,
#adx>60,
four > self.trade_four[1],
#sell_count < 2,
#self.trade_status == self.enum.nothing,
#0,
):
if pre_sell_num > 0:
num = (pre_sell_num * self.trade_num_ratio)
else:
num = ac.ShouShu(account_mgr.getCurCanWei() * 0.5)
#self.trade_status = self.enum.boll_up
if num > 0 and self.order(1, code, price, num):
self._log(
agl.utf8_to_ascii('二档卖出%s, %.2f, %d' % (code, price, num)))
if so.assemble(
price < boll_poss[-2] * 0.999,
price < pre_price * (1 - self.trade_ratio),
#price < boll_poss[2],
#price < self.min_sell_price*(1-0.03),
#boll_w > 2.5,
#adx>45,
#buy_count < 2,
#pr.horizontal(df_five_hisdat),
#0,
):
num = trade_num
#account.Order(0, code, price, num)
if so.assemble(
price < boll_poss[-1],
price < pre_buy_price * (1 - self.trade_ratio),
#price < self.min_sell_price*(1-0.03),
#boll_w > 3,
#buy_count < 2,
#self.trade_status == self.enum.nothing,
#adx>60,
four < self.trade_four[0],
#0,
):
#加仓买入
num = account_mgr.getCurCanWei() * self.trade_num_ratio
#self.trade_status = self.enum.boll_down
if num > 0 and self.order(0, code, price, num):
self._log(
agl.utf8_to_ascii('二档买入%s, %.2f, %d' % (code, price, num)))
#建首仓
if so.assemble(
four < self.trade_four[0],
canwei == 0,
):
num = ac.ShouShu(account_mgr.total_money() * self.lowerhold /
price)
bSell = 0
self.order(bSell, code, price, num)
#tick report
if self.is_backtesting and self.is_tick_report:
self._getAccount().TickReport(df_five_hisdat, 'win')
return
