class Strategy:
def __init__(self, instrument_id, time_frame, fast_length, slow_length, long_stop, short_stop, start_asset):
try:
print("{} {} 双均线多空策略已启动！".format(get_localtime(), instrument_id)) # 程序启动时打印提示信息
config.loads('config.json') # 载入配置文件
self.instrument_id = instrument_id # 合约ID
self.time_frame = time_frame # k线周期
self.exchange = OKEXFUTURES(config.access_key, config.secret_key, config.passphrase, self.instrument_id) # 初始化交易所
self.position = POSITION(self.exchange, self.instrument_id, self.time_frame) # 初始化potion
self.market = MARKET(self.exchange, self.instrument_id, self.time_frame) # 初始化market
self.indicators = INDICATORS(self.exchange, self.instrument_id, self.time_frame) # 初始化indicators
# 在第一次运行程序时，将初始资金数据保存至数据库中
self.database = "回测" # 回测时必须为"回测"
self.datasheet = self.instrument_id.split("-")[0].lower() + "_" + time_frame
if config.first_run == "true":
storage.mysql_save_strategy_run_info(self.database, self.datasheet, get_localtime(),
"none", 0, 0, 0, 0, "none", 0, 0, 0, start_asset)
# 读取数据库中保存的总资金数据
self.total_asset = storage.read_mysql_datas(0, self.database, self.datasheet, "总资金", ">")[-1][-1]
self.total_profit = storage.read_mysql_datas(0, self.database, self.datasheet, "总资金", ">")[-1][-2] # 策略总盈亏
self.counter = 0 # 计数器
self.fast_length = fast_length # 短周期均线长度
self.slow_length = slow_length # 长周期均线长度
self.long_stop = long_stop # 多单止损幅度
self.short_stop = short_stop # 空单止损幅度
self.contract_value = self.market.contract_value() # 合约面值，每次获取需发起网络请求，故于此处声明变量，优化性能
except:
logger.warning()
def begin_trade(self, kline=None):
try:
if self.indicators.CurrentBar(kline=kline) < self.slow_length: # 如果k线数据不够长就返回
return
timestamp = ts_to_datetime_str(utctime_str_to_ts(kline[-1][0])) if kline else get_localtime() # 非回测模式下时间戳就是当前本地时间
# 计算策略信号
ma = self.indicators.MA(self.fast_length, self.slow_length, kline=kline)
fast_ma = ma[0]
slow_ma = ma[1]
cross_over = fast_ma[-2] >= slow_ma[-2] and fast_ma[-3] < slow_ma[-3] # 不用当根k线上的ma来计算信号，防止信号闪烁
cross_below = slow_ma[-2] >= fast_ma[-2] and slow_ma[-3] < fast_ma[-3]
if self.indicators.BarUpdate(kline=kline): # 如果k线更新，计数器归零
self.counter = 0
if self.counter < 1:
# 按照策略信号开平仓
if cross_over: # 金叉时
if self.position.amount() == 0: # 若当前无持仓，则买入开多并推送下单结果
price = self.market.open(-1, kline=kline) # 下单价格=此根k线收盘价
amount = round(self.total_asset / self.contract_value) # 数量=总资金/价格/合约面值
info = self.exchange.buy(price, amount)
push(info)
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp, "买入开多",
price, amount, amount * self.contract_value, price,
"long", amount, 0, self.total_profit, self.total_asset) # 将信息保存至数据库
if self.position.direction() == 'short': # 若当前持空头，先平空再开多
profit = self.position.covershort_profit(market_type="usd_contract", last=self.market.open(-1, kline=kline)) # 在平空前先计算逻辑盈亏，当前最新成交价为开盘价
self.total_profit += profit
self.total_asset += profit # 计算此次盈亏后的总资金
cover_short_price = self.market.open(-1, kline=kline)
cover_short_amount = self.position.amount()
open_long_price = self.market.open(-1, kline=kline)
open_long_amount = round(self.total_asset / self.contract_value)
info = self.exchange.BUY(cover_short_price, cover_short_amount, open_long_price, open_long_amount)
push("此次盈亏：{} 当前总资金：{}".format(profit, self.total_asset) + str(info)) # 需将返回的下单结果info转换为字符串后进行拼接
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp, "平空开多",
open_long_price, open_long_amount, open_long_amount * self.contract_value,
open_long_price, "long", open_long_amount, profit, self.total_profit, self.total_asset)
if cross_below: # 死叉时
if self.position.amount() == 0:
price = self.market.open(-1, kline=kline)
amount = round(self.total_asset / self.contract_value)
info = self.exchange.sellshort(price, amount)
push(info)
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp, "卖出开空",
price, amount, amount * self.contract_value, price,
"short", amount, 0, self.total_profit, self.total_asset)
if self.position.direction() == 'long':
profit = self.position.coverlong_profit(market_type="usd_contract", last=self.market.open(-1, kline=kline)) # 在平多前先计算逻辑盈亏，当前最新成交价为开盘价
self.total_profit += profit
self.total_asset += profit
cover_long_price = self.market.open(-1, kline=kline)
cover_long_amount = self.position.amount()
open_short_price = self.market.open(-1, kline=kline)
open_short_amount = round(self.total_asset / self.contract_value)
info = self.exchange.SELL(cover_long_price,
cover_long_amount,
open_short_price,
open_short_amount)
push("此次盈亏：{} 当前总资金：{}".format(profit, self.total_asset) + str(info))
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp, "平多开空",
open_short_price, open_short_amount,
open_short_amount * self.contract_value,
open_short_price, "short", open_short_amount, profit, self.total_profit,
self.total_asset)
# 止损
if self.position.amount() > 0:
if self.position.direction() == 'long' and self.market.low(-1, kline=kline) <= self.position.price() * self.long_stop: # 多单止损
profit = self.position.coverlong_profit(market_type="usd_contract", last=self.position.price() * self.long_stop) # 在平多前先计算逻辑盈亏，当前最新成交价为止损价
self.total_profit += profit
self.total_asset += profit
price = self.position.price() * self.long_stop
amount = self.position.amount()
info = self.exchange.sell(price, amount)
push("此次盈亏：{} 当前总资金：{}".format(profit, self.total_asset) + str(info))
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp,
"卖出止损", price, amount,
amount * self.contract_value,
0, "none", 0, profit, self.total_profit,
self.total_asset)
self.counter += 1 # 计数器加1，控制此根k线上不再下单
if self.position.direction() == 'short' and self.market.high(-1, kline=kline) >= self.position.price() * self.short_stop: # 空头止损
profit = self.position.covershort_profit(market_type="usd_contract", last=self.position.price() * self.short_stop)
self.total_profit += profit
self.total_asset += profit
price = self.position.price() * self.short_stop
amount = self.position.amount()
info = self.exchange.buytocover(price, amount)
push("此次盈亏：{} 当前总资金：{}".format(profit, self.total_asset) + str(info))
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp,
"买入止损", price, amount,
amount * self.contract_value,
0, "none", 0, profit, self.total_profit,
self.total_asset)
self.counter += 1
except:
logger.info()
class Strategy:
def __init__(self, instrument_id, time_frame, fast_length, slow_length,
long_stop, short_stop, start_asset, precision):
config.loads('config.json') # 载入配置文件
self.instrument_id = instrument_id # 合约ID
self.time_frame = time_frame # k线周期
self.precision = precision # 精度，即币对的最小交易数量
self.exchange = OKEXSPOT(config.access_key, config.secret_key,
config.passphrase,
self.instrument_id) # 初始化交易所
self.position = POSITION(self.exchange, self.instrument_id,
self.time_frame) # 初始化potion
self.market = MARKET(self.exchange, self.instrument_id,
self.time_frame) # 初始化market
self.indicators = INDICATORS(self.exchange, self.instrument_id,
self.time_frame) # 初始化indicators
# 在第一次运行程序时，将初始资金数据保存至数据库中
self.database = "回测" # 回测时必须为"回测"
self.datasheet = self.instrument_id.split(
"-")[0].lower() + "_" + time_frame
if config.first_run:
storage.mysql_save_strategy_run_info(self.database, self.datasheet,
get_localtime(), "none", 0, 0,
0, 0, "none", 0, 0, 0,
start_asset)
# 读取数据库中保存的总资金数据
self.total_asset = storage.read_mysql_datas(0, self.database,
self.datasheet, "总资金",
">")[-1][-1]
self.total_profit = storage.read_mysql_datas(0, self.database,
self.datasheet, "总资金",
">")[-1][-2] # 策略总盈亏
self.counter = 0 # 计数器
self.fast_length = fast_length # 短周期均线长度
self.slow_length = slow_length # 长周期均线长度
self.long_stop = long_stop # 多单止损幅度
self.short_stop = short_stop # 空单止损幅度
self.hold_price = 0 # 注意：okex的现货没有获取持仓均价的接口，故需实盘时需要手动记录入场价格。此种写法对于不同的交易所是通用的。
# 此种写法，若策略重启，持仓价格会回归0
print("{} {} 双均线多空策略已启动！".format(get_localtime(),
instrument_id)) # 程序启动时打印提示信息
def begin_trade(self, kline=None):
try:
if self.indicators.CurrentBar(
kline=kline) < self.slow_length: # 如果k线数据不够长就返回
return
timestamp = ts_to_datetime_str(utctime_str_to_ts(
kline[-1]
[0])) if kline else get_localtime() # 非回测模式下时间戳就是当前本地时间
# 计算策略信号
ma = self.indicators.MA(self.fast_length,
self.slow_length,
kline=kline)
fast_ma = ma[0]
slow_ma = ma[1]
cross_over = fast_ma[-2] >= slow_ma[-2] and fast_ma[-3] < slow_ma[
-3] # 不用当根k线上的ma来计算信号，防止信号闪烁
cross_below = slow_ma[-2] >= fast_ma[-2] and slow_ma[-3] < fast_ma[
-3]
if self.indicators.BarUpdate(kline=kline): # 如果k线更新，计数器归零
self.counter = 0
if self.counter < 1:
# 按照策略信号开平仓
if cross_over and round(
self.position.amount()
) < self.precision: # 金叉时，若当前无持仓，则买入开多并推送下单结果。0.1这个数值根据每个币对的最小交易数量决定
price = float(self.market.open(
-1, kline=kline)) # 下单价格=此根k线开盘价
self.hold_price = price # 记录开仓价格
amount = float(self.total_asset / price) # 数量=总资金/价格
info = self.exchange.buy(price, amount)
push(info)
storage.mysql_save_strategy_run_info(
self.database, self.datasheet, timestamp, "买入开多",
price, amount, amount * price, price, "long", amount,
0, self.total_profit, self.total_asset) # 将信息保存至数据库
if cross_below and round(
self.position.amount(), 1
) >= self.precision: # 死叉时，如果当前持多就卖出平多。当前持仓数量根据币对的最小交易数量取小数
price = float(self.market.open(-1, kline=kline))
amount = float(self.position.amount())
profit = (price - self.hold_price) * amount # 计算逻辑盈亏
self.total_profit += profit
self.total_asset += profit
info = self.exchange.sell(price, amount)
push(info)
self.hold_price = 0 # 平多后记录持仓价格为0
storage.mysql_save_strategy_run_info(
self.database, self.datasheet, timestamp, "卖出平多",
price, amount, amount * price, 0, "none", 0, profit,
self.total_profit, self.total_asset)
# 如果当前持多且最低价小于等于持仓均价*止损幅度，触发止损，卖出平多止损
if round(self.position.amount(),
1) >= self.precision and self.market.low(
-1,
kline=kline) <= self.hold_price * self.long_stop:
price = float(self.hold_price * self.long_stop)
amount = float(self.position.amount())
profit = (price - self.hold_price) * amount # 计算逻辑盈亏
self.total_profit += profit
self.total_asset += profit
info = self.exchange.sell(price, amount)
push("此次盈亏：{} 当前总资金：{}".format(profit, self.total_asset) +
str(info))
self.hold_price = 0 # 平多后记录持仓价格为0
storage.mysql_save_strategy_run_info(
self.database, self.datasheet, timestamp, "卖出止损",
price, amount, amount * price, 0, "none", 0, profit,
self.total_profit, self.total_asset)
self.counter += 1 # 计数器加1，控制此根k线上不再下单
except Exception as e:
logger.info()
