class MaSignal(CtaSignal):
"""双均线信号"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(MaSignal, self).__init__()
self.fastWindow = 5
self.slowWindow = 20
self.bg = BarGenerator(self.onBar, 5, self.onFiveBar)
self.am = ArrayManager()
#----------------------------------------------------------------------
def onTick(self, tick):
"""Tick更新"""
self.bg.updateTick(tick)
#----------------------------------------------------------------------
def onBar(self, bar):
"""K线更新"""
self.bg.updateBar(bar)
#----------------------------------------------------------------------
def onFiveBar(self, bar):
"""5分钟K线更新"""
self.am.updateBar(bar)
if not self.am.inited:
self.setSignalPos(0)
fastMa = self.am.sma(self.fastWindow)
slowMa = self.am.sma(self.slowWindow)
if fastMa > slowMa:
self.setSignalPos(1)
elif fastMa < slowMa:
self.setSignalPos(-1)
else:
self.setSignalPos(0)
class MultiTimeframeStrategy(CtaTemplate):
"""跨时间周期交易策略"""
className = 'MultiTimeframeStrategy'
author = u'用Python的交易员'
# 策略参数
rsiSignal = 20 # RSI信号阈值
rsiWindow = 14 # RSI窗口
fastWindow = 5 # 快速均线窗口
slowWindow = 20 # 慢速均线窗口
initDays = 10 # 初始化数据所用的天数
fixedSize = 1 # 每次交易的数量
# 策略变量
rsiValue = 0 # RSI指标的数值
rsiLong = 0 # RSI买开阈值
rsiShort = 0 # RSI卖开阈值
fastMa = 0 # 5分钟快速均线
slowMa = 0 # 5分钟慢速均线
maTrend = 0 # 均线趋势，多头1，空头-1
# 参数列表，保存了参数的名称
paramList = [
'name', 'className', 'author', 'vtSymbol', 'rsiSignal', 'rsiWindow',
'fastWindow', 'slowWindow'
]
# 变量列表，保存了变量的名称
varList = [
'inited', 'trading', 'pos', 'rsiValue', 'rsiLong', 'rsiShort',
'fastMa', 'slowMa', 'maTrend'
]
# 同步列表，保存了需要保存到数据库的变量名称
syncList = ['pos']
#----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(MultiTimeframeStrategy, self).__init__(ctaEngine, setting)
self.rsiLong = 50 + self.rsiSignal
self.rsiShort = 50 - self.rsiSignal
# 创建K线合成器对象
self.bg5 = BarGenerator(self.onBar, 5, self.on5MinBar)
self.am5 = ArrayManager()
self.bg15 = BarGenerator(self.onBar, 15, self.on15MinBar)
self.am15 = ArrayManager()
#----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略初始化' % self.name)
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.loadBar(self.initDays)
for bar in initData:
self.onBar(bar)
self.putEvent()
#----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略启动' % self.name)
self.putEvent()
#----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略停止' % self.name)
self.putEvent()
#----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
# 只需要要在一个BarGenerator中合成1分钟K线
self.bg5.updateTick(tick)
#----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
# 基于15分钟判断趋势过滤，因此先更新
self.bg15.updateBar(bar)
# 基于5分钟判断
self.bg5.updateBar(bar)
#----------------------------------------------------------------------
def on5MinBar(self, bar):
"""5分钟K线"""
self.cancelAll()
# 保存K线数据
self.am5.updateBar(bar)
if not self.am5.inited:
return
# 如果15分钟数据尚未初始化完毕，则直接返回
if not self.maTrend:
return
# 计算指标数值
self.rsiValue = self.am5.rsi(self.rsiWindow)
# 判断是否要进行交易
# 当前无仓位
if self.pos == 0:
if self.maTrend > 0 and self.rsiValue >= self.rsiLong:
self.buy(bar.close + 5, self.fixedSize)
elif self.maTrend < 0 and self.rsiValue <= self.rsiShort:
self.short(bar.close - 5, self.fixedSize)
# 持有多头仓位
elif self.pos > 0:
if self.maTrend < 0 or self.rsiValue < 50:
self.sell(bar.close - 5, abs(self.pos))
# 持有空头仓位
elif self.pos < 0:
if self.maTrend > 0 or self.rsiValue > 50:
self.cover(bar.close + 5, abs(self.pos))
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
def on15MinBar(self, bar):
"""15分钟K线推送"""
self.am15.updateBar(bar)
if not self.am15.inited:
return
# 计算均线并判断趋势
self.fastMa = self.am15.sma(self.fastWindow)
self.slowMa = self.am15.sma(self.slowWindow)
if self.fastMa > self.slowMa:
self.maTrend = 1
else:
self.maTrend = -1
#----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
pass
#----------------------------------------------------------------------
def onTrade(self, trade):
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass
class BollingerBotStrategy01(CtaTemplate):
"""基于布林通道的交易策略"""
className = 'BollingerBotStrategy01'
author = 'Y.Raul'
# 策略参数
bollWindow = 28 # 通道窗口数
entryDevUp = 4 # 开仓偏差
entryDevDown = 3.2
# exitDev = 1.2 # 平仓偏差
# trailingPrcnt = 0.4
# 移动止损百分比
maWindow = 10 # 过滤用均线窗口
initDays = 10 # 初始化数据所用的天数
fixedSize = 1 # 每次交易的数量
# 策略变量
bollMid = 0 # 布林带中轨
bollStd = 0 # 布林带宽度
entryUp = 0 # 开仓上轨
# exitUp = 0 # 平仓上轨
entryDown = 0 #开仓下轨
# exitDown = 0 #平仓下轨
dispacedLen = 0 #均线平移长度
maFilter = 0 # 均线过滤
maFilter1 = 0 # 上一期均线
# 分级出场设置
trailingStart1 = 20
trailingStart2 = 30
exitOnTrailingStop1 = 5 # Trailing Stop 距离
exitOnTrailingStop2 = 10 # Trailing Stop 距离
exitOnLossStop = 20 # Loss Stop 距离
# 价格相关变量
intraTradeHigh = 0 # 持仓期内的最高点
intraTradeLow = 0 # 持仓期内的最低点
avgEntryPrice = 0
minDiff = 1
trailingExit = 0 #
stopExit = 0 # 空头止损
# longEntry = 0 # 多头开仓
# shortEntry = 0
# 信号相关变量
buySig = False
shortSig = False
sellSig = False
coverSig = False
# entrusted = False #是否已有委托
orderList = [] # 保存委托代码的列表
# 参数列表，保存了参数的名称
paramList = [
'name', 'className', 'author', 'vtSymbol', 'bollWindow', 'entryDevUp',
'entryDevDown', 'trailingStart1', 'trailingStart2',
'exitOnTrailingStop1', 'exitOnTrailingStop2', 'maWindow', 'initDays',
'fixedSize'
]
# 变量列表，保存了变量的名称
varList = [
'inited', 'trading', 'pos', 'buySig', 'shortSig', 'sellSig',
'coverSig', 'entryUp', 'entryDown', 'trailingExit', 'stopExit',
'intraTradeHigh', 'intraTradeLow', 'avgEntryPrice'
]
# 同步列表
syncList = ['pos', 'intraTradeHigh', 'intraTradeLow']
#----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(BollingerBotStrategy01, self).__init__(ctaEngine, setting)
self.bm = BarGenerator(self.onBar, 5, self.onFiveBar)
self.am = ArrayManager(30)
self.orderList = []
self.entryPriceList = []
#----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog('%s策略初始化' % self.name)
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.loadBar(self.initDays)
for bar in initData:
self.onBar(bar)
self.putEvent()
#----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog('%s策略启动' % self.name)
self.putEvent()
#----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog('%s策略停止' % self.name)
self.putEvent()
#----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
self.bm.updateTick(tick)
#----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
# 观察周期1 Min,根据信号进行交易
# 回测数据传送的bar.datetime，为bar的开始时间
self.bm.updateBar(bar)
# if not self.trading:
# return
self.date = bar.date
self.time = bar.time
# 检查交易信号
if self.buySig:
res = self.buy(bar.close, self.fixedSize, True)
self.orderList.extend([x.split('.')[1] for x in res])
# self.orderList.extend(res.split('.')[1])
# self.entryPriceList.append(self.longEntry)
# self.avgEntryPrice = sum(self.entryPriceList) / len(self.entryPriceList)
# self.LossStopPrice = round(self.avgEntryPrice * (100.0 + self.exitOnLossStop) / 100)
# self.intraTradeHigh = max(bar.high, self.avgEntryPrice)
# self.intraTradeLow = min(bar.low, self.avgEntryPrice)
# log = "-----" * 10 + "\n@onBar\n" + \
# "bar.datetime: {0}; pos: {1} \n".format(bar.datetime, self.pos) + \
# "buySig: {0}; shortSig: {1}\n".format(self.buySig, self.shortSig) + \
# "sellSig: {0}; coverSig: {1}\n".format(self.sellSig, self.coverSig) + \
# "intraTradeHigh: {0}\n".format(self.intraTradeHigh) + \
# "intraTradeLow: {0}\n".format(self.intraTradeLow)
# self.writeCtaLog(log)
# 记录log
# log = "\n Trading: {0}\n".format(self.trading) + \
# "{0} Buy : longEntry: {1};\n".format(bar.datetime, bar.close) + \
# " entryUp:{0}; maFilter:{1}; maFilter1:{2}; \n".format(self.entryUp, self.maFilter, self.maFilter1)
# self.writeCtaLog(log)
self.buySig = False
self.saveSyncData()
# return
if self.shortSig:
self.res = self.short(bar.close, self.fixedSize, True)
self.orderList.extend([x.split('.')[1] for x in self.res])
# self.orderList.extend(res.split('.')[1])
# self.LossStopPrice = round(self.shortEntry * (100.0 + self.exitOnLossStop) / 100)
# self.entryPriceList.append(self.shortEntry)
# self.avgEntryPrice = sum(self.entryPriceList) / len(self.entryPriceList)
# self.LossStopPrice = round(self.avgEntryPrice * (100.0 + self.exitOnLossStop) / 100)
#
# self.intraTradeHigh = max(bar.high, self.avgEntryPrice)
# self.intraTradeLow = min(bar.low, self.avgEntryPrice)
# log = "-----" * 10 + "\n@onBar\n" + \
# "bar.datetime: {0}; pos: {1} \n".format(bar.datetime, self.pos) + \
# "buySig: {0}; shortSig: {1}\n".format(self.buySig, self.shortSig) + \
# "sellSig: {0}; coverSig: {1}\n".format(self.sellSig, self.coverSig) + \
# "intraTradeHigh: {0}\n".format(self.intraTradeHigh) + \
# "intraTradeLow: {0}\n".format(self.intraTradeLow)
# self.writeCtaLog(log)
# # 记录log
# log = "\n Trading: {0}\n".format(self.trading) + \
# "{0} Short : shortEntry: {1};\n".format(bar.datetime, bar.close) + \
# " entryDown:{0}; maFilter:{1}; maFilter1:{2}; \n".format(self.entryDown, self.maFilter, self.maFilter1)
# self.writeCtaLog(log)
self.shortSig = False
self.saveSyncData()
# return
if self.sellSig:
if bar.close > self.stopExit:
price = self.trailingExit
else:
price = bar.close
res = self.sell(price, abs(self.pos), True)
# self.orderList.extend(res)
# log = "-----" * 10 + "\n@onBar\n" + \
# "bar.datetime: {0}; pos: {1} \n".format(bar.datetime, self.pos) + \
# "buySig: {0}; shortSig: {1}\n".format(self.buySig, self.shortSig) + \
# "sellSig: {0}; coverSig: {1}\n".format(self.sellSig, self.coverSig) + \
# "intraTradeHigh: {0}\n".format(self.intraTradeHigh) + \
# "intraTradeLow: {0}\n".format(self.intraTradeLow)
# self.writeCtaLog(log)
# # 记录log
# log = "\n Trading: {0}\n".format(self.trading) + \
# "{0} Sell : {1};\n".format(bar.datetime, bar.close) + \
# " price:{0}; stopExit: {1}\n".format(price,self.stopExit)
# self.writeCtaLog(log)
# self.entryPriceList = []
# self.avgEntryPrice = 0
# self.stopExit = 0
self.sellSig = False
self.saveSyncData()
# return
if self.coverSig:
if bar.close < self.stopExit:
price = self.trailingExit
else:
price = bar.close
res = self.cover(price, abs(self.pos), True)
# self.orderList.extend(res)
# log = "-----" * 10 + "\n@onBar\n" + \
# "bar.datetime: {0}; pos: {1} \n".format(bar.datetime, self.pos) + \
# "buySig: {0}; shortSig: {1}\n".format(self.buySig, self.shortSig) + \
# "sellSig: {0}; coverSig: {1}\n".format(self.sellSig, self.coverSig) + \
# "intraTradeHigh: {0}\n".format(self.intraTradeHigh) + \
# "intraTradeLow: {0}\n".format(self.intraTradeLow)
# self.writeCtaLog(log)
# # 记录log
# log = "\n Trading: {0}\n".format(self.trading) + \
# "{0} Cover : {1};\n".format(bar.datetime, bar.close) + \
# " price:{0}; stopExit: {1}\n".format(price,self.stopExit)
# self.writeCtaLog(log)
# self.entryPriceList = []
# self.avgEntryPrice = 0
# self.stopExit = 0
self.coverSig = False
self.saveSyncData()
# return
self.putEvent()
#----------------------------------------------------------------------
def onFiveBar(self, bar):
"""收到5分钟K线"""
# 策略周期5Min,生成交易信号
# 保存K线数据
self.am.updateBar(bar)
if not self.am.inited:
return
# 撤销之前发出的尚未成交的委托（包括限价单和停止单）
self.cancelAll()
# 计算指标数值
self.bollMid = self.am.sma(self.bollWindow,
True)[-1 * (self.dispacedLen + 1)]
self.bollStd = self.am.std(self.bollWindow)
self.entryUp = round(self.bollMid + self.bollStd * self.entryDevUp)
self.entryDown = round(self.bollMid - self.bollStd * self.entryDevDown)
maArray = self.am.sma(self.maWindow, True)
self.maFilter = round(maArray[-1])
self.maFilter1 = round(maArray[-2])
# 判断是否要进行交易
# 当前无仓位
if self.pos == 0:
self.intraTradeHigh = bar.high
self.intraTradeLow = bar.low
self.entryPriceList = []
self.orderList = []
self.avgEntryPrice = 0
if bar.close > self.maFilter and self.maFilter > self.maFilter1:
# 均线多头过滤
if bar.close >= self.entryUp:
# 上轨突破
self.buySig = True
if bar.close < self.maFilter and self.maFilter < self.maFilter1:
# 均线空头过滤
if bar.close <= self.entryDown:
# 下轨突破
self.shortSig = True
# log = "-----" * 10 + "\n@onFiveBar\n" + \
# "bar.datetime: {0}; pos: {1} ; close: {2}\n".format(bar.datetime, self.pos,bar.close) + \
# "buySig: {0}; shortSig: {1}\n".format(self.buySig, self.shortSig) + \
# "intraTradeHigh: {0}\n".format(self.intraTradeHigh) + \
# "intraTradeLow: {0}\n".format(self.intraTradeLow)
# self.writeCtaLog(log)
# 当前有仓位
else:
self.intraTradeHigh = max(self.intraTradeHigh, bar.high)
self.intraTradeLow = min(self.intraTradeLow, bar.low)
if self.pos > 0:
# self.stopExit = self.avgEntryPrice - self.exitOnLossStop * self.minDiff #固定止损价位
if self.intraTradeHigh >= self.avgEntryPrice + self.trailingStart2 * self.minDiff:
# 二级止赢判断 盈利80跳
if (bar.close <= self.intraTradeHigh -
self.exitOnTrailingStop2 * self.minDiff):
# 回撤20跳
self.trailingExit = self.intraTradeHigh - self.exitOnTrailingStop2 * self.minDiff
self.sellSig = True
# if bar.close < self.longExit:
# self.longExit = bar.close
# 记录log
# log = "\n{0} Sell(Trailing Stop2)\n".format(bar.datetime) + \
# 'bar.close: {0}; bar.low: {1}; longExit: {2}'.format(bar.close,bar.low, self.longExit)+ \
# 'intraTradeHigh: {0}; avgEntryPrice: {1}; bar.open: {2}'.format(self.intraTradeHigh,self.avgEntryPrice, bar.open)
# self.writeCtaLog(log)
elif self.intraTradeHigh >= self.avgEntryPrice + self.trailingStart1 * self.minDiff:
# 一级止赢判断，盈利50跳
if (bar.close <= self.intraTradeHigh -
self.exitOnTrailingStop1 * self.minDiff):
# 回撤20跳
self.trailingExit = self.intraTradeHigh - self.exitOnTrailingStop1 * self.minDiff
self.sellSig = True
# if bar.close < self.longExit:
# self.longExit = bar.close
# 记录log
# log = "\n{0} Sell(Trailing Stop1)\n".format(bar.datetime) + \
# 'bar.close: {0}; bar.low: {1}; longExit: {2}'.format(bar.close, bar.low,
# self.longExit)+ \
# 'intraTradeHigh: {0}; avgEntryPrice: {1}; bar.open: {2}'.format(self.intraTradeHigh,self.avgEntryPrice, bar.open)
# self.writeCtaLog(log)
elif self.stopExit != 0:
if (bar.close <= self.stopExit):
# 固定止损，回撤20跳
self.sellSig = True
# log = "-----" * 10 + "\n@onFiveBar\n" + \
# "bar.datetime: {0}; pos: {1} ; close:{2}\n".format(bar.datetime, self.pos, bar.close) + \
# "sellSig: {0}; coverSig: {1}\n".format(self.sellSig, self.coverSig) + \
# "intraTradeHigh: {0}\n".format(self.intraTradeHigh) + \
# "intraTradeLow: {0}\n".format(self.intraTradeLow) + \
# "trailingStart1: {0}\n".format(self.avgEntryPrice + self.trailingStart1 * self.minDiff) + \
# "trailingStart2: {0}\n".format(self.avgEntryPrice + self.trailingStart2 * self.minDiff) + \
# "avgEntryPrice: {0}\n".format(self.avgEntryPrice) + \
# "trailingStop: {0}\n".format(self.trailingExit) + \
# "stopExit: {0}\n".format(self.stopExit)
#
# self.writeCtaLog(log)
# if bar.close < self.longExit:
# self.longExit = bar.close
# 记录log
# log = "\n{0} Sell(Loss Stop)\n".format(bar.datetime) + \
# 'bar.close: {0}; bar.low: {1}; longExit: {2}'.format(bar.close, bar.low,
# self.longExit)+ \
# 'intraTradeHigh: {0}; avgEntryPrice: {1}; bar.open: {2}'.format(self.intraTradeHigh,
# self.avgEntryPrice,
# bar.open)
# self.writeCtaLog(log)
elif self.pos < 0:
# self.stopExit = self.avgEntryPrice + self.exitOnLossStop * self.minDiff #固定止损价
if self.intraTradeLow <= self.avgEntryPrice - self.trailingStart2 * self.minDiff:
# 二级止赢判断 盈利80跳
if (bar.close >= self.intraTradeLow +
self.exitOnTrailingStop2 * self.minDiff):
# 回撤20跳
self.trailingExit = self.intraTradeLow + self.exitOnTrailingStop2 * self.minDiff
self.coverSig = True
# if bar.close > self.shortExit:
# self.shortExit = bar.close
# 记录log
# log = "\n{0} Cover(Trailing Stop1)\n".format(bar.datetime) + \
# 'bar.close: {0}; bar.low: {1}; shortExit: {2}'.format(bar.close, bar.low,
# self.shortExit)+ \
# 'intraTradeLow: {0}; avgEntryPrice: {1}; bar.open: {2}'.format(self.intraTradeLow,
# self.avgEntryPrice,
# bar.open)
# self.writeCtaLog(log)
elif self.intraTradeLow <= self.avgEntryPrice - self.trailingStart1 * self.minDiff:
# 一级止赢判断，盈利50跳
if (bar.close >= self.intraTradeLow +
self.exitOnTrailingStop1 * self.minDiff):
# 回撤20跳
self.trailingExit = self.intraTradeLow + self.exitOnTrailingStop1 * self.minDiff
self.coverSig = True
# if bar.close > self.shortExit:
# self.shortExit = bar.close
# 记录log
# log = "\n{0} Cover(Trailing Stop2)\n".format(bar.datetime) + \
# 'bar.close: {0}; bar.low: {1}; shortExit: {2}'.format(bar.close, bar.low,
# self.shortExit)+ \
# 'intraTradeLow: {0}; avgEntryPrice: {1}; bar.open: {2}'.format(self.intraTradeLow,
# self.avgEntryPrice,
# bar.open)
# self.writeCtaLog(log)
elif self.stopExit != 0:
if (bar.close >= self.stopExit):
# 固定止损，回撤20跳
# self.shortExit = self.avgEntryPrice + self.exitOnLossStop * self.minDiff
self.coverSig = True
# if bar.close > self.shortExit:
# self.shortExit = bar.close
# 记录log
# log = "\n{0} Cover(Loss Stop)\n".format(bar.datetime) + \
# 'bar.close: {0}; bar.low: {1}; shortExit: {2}'.format(bar.close, bar.low,
# self.shortExit)+ \
# 'intraTradeLow: {0}; avgEntryPrice: {1}; bar.open: {2}'.format(self.intraTradeLow,
# self.avgEntryPrice,
# bar.open)
# self.writeCtaLog(log)
# log = "-----" * 10 + "\n@onFiveBar\n" + \
# "bar.datetime: {0}; pos: {1} ; close:{2}\n".format(bar.datetime, self.pos, bar.close) + \
# "sellSig: {0}; coverSig: {1}\n".format(self.sellSig, self.coverSig) + \
# "intraTradeHigh: {0}\n".format(self.intraTradeHigh) + \
# "intraTradeLow: {0}\n".format(self.intraTradeLow) + \
# "trailingStart1: {0}\n".format(self.avgEntryPrice - self.trailingStart1 * self.minDiff)+\
# "trailingStart2: {0}\n".format(self.avgEntryPrice - self.trailingStart2 * self.minDiff)+\
# "avgEntryPrice: {0}\n".format(self.avgEntryPrice)+\
# "trailingStop: {0}\n".format(self.trailingExit)+\
# "stopExit: {0}\n".format(self.stopExit)
#
# self.writeCtaLog(log)
# 发出状态更新事件
self.saveSyncData()
self.putEvent()
#----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
# CTA引擎中涉及到的交易方向类型
# CTAORDER_BUY = u'买开'
# CTAORDER_SELL = u'卖平'
# CTAORDER_SHORT = u'卖开'
# CTAORDER_COVER = u'买平'
# log = "-----" * 10 + "\n@onOrder\n" + \
# "orderTime: {0}; pos: {1} \n".format(order.orderTime, order.totalVolume) + \
# "status {0}; vtOrderID: {1}\n".format(order.status, order.vtOrderID)
# self.writeCtaLog(log)
# 对于开仓，记录相关价格
# if order.vtOrderID in self.orderList:
if order.direction == DIRECTION_LONG and order.offset == OFFSET_OPEN:
if order.totalVolume == order.tradedVolume:
# 更新入场价列表，更新平均入场价
self.entryPriceList.append(order.price)
self.avgEntryPrice = sum(self.entryPriceList) / len(
self.entryPriceList)
self.stopExit = self.avgEntryPrice - self.exitOnLossStop * self.minDiff # 固定止损价
# self.orderList.remove(order.vtOrderID)
elif order.direction == DIRECTION_SHORT and order.offset == OFFSET_OPEN:
# 更新入场价列表，更新平均入场价
if order.totalVolume == order.tradedVolume:
# 更新入场价列表，更新平均入场价
self.entryPriceList.append(order.price)
self.avgEntryPrice = sum(self.entryPriceList) / len(
self.entryPriceList)
self.stopExit = self.avgEntryPrice + self.exitOnLossStop * self.minDiff # 固定止损价
# self.orderList.remove(order.vtOrderID)
self.putEvent()
#----------------------------------------------------------------------
def onTrade(self, trade):
# 发出状态更新事件
data = trade.__dict__
self.putEvent()
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
data = so.__dict__
self.putEvent()