def _bc_newSignal(self, signal, direction, offset, price, volume):
"""
对交易信号进行过滤，符合条件的才发单执行。
计算真实交易价格和数量。
"""
multiplier = self.portfolioValue * 0.01 / get_contract(
signal.vtSymbol).size
multiplier = int(round(multiplier, 0))
#print(multiplier)
multiplier = 1
#print(self.posDict)
# 计算合约持仓
if direction == DIRECTION_LONG:
self.posDict[signal.vtSymbol] += volume * multiplier
else:
self.posDict[signal.vtSymbol] -= volume * multiplier
#print(self.posDict)
# 对价格四舍五入
priceTick = get_contract(signal.vtSymbol).price_tick
price = int(round(price / priceTick, 0)) * priceTick
self.engine._bc_sendOrder(signal.vtSymbol, direction, offset, price,
volume * multiplier, self.name)
# 记录成交数据
trade = TradeData(self.result.date, signal.vtSymbol, direction, offset,
price, volume * multiplier)
# l = self.tradeDict.setdefault(self.result.date, [])
# l.append(trade)
self.result.updateTrade(trade)
def _bc_newSignal(self, signal, direction, offset, price, volume):
"""
对交易信号进行过滤，符合条件的才发单执行。
计算真实交易价格和数量。
"""
pos = self.posDict.get(signal.vtSymbol, 0)
# 如果当前无仓位，则重新根据波动幅度计算委托量单位
# if pos == 0:
# size = get_contract(signal.vtSymbol).size
# riskValue = self.portfolioValue * 0.01
# multiplier = riskValue / (signal.atrVolatility * size)
# multiplier = int(round(multiplier, 0))
# self.multiplierDict[signal.vtSymbol] = multiplier
# else:
# multiplier = self.multiplierDict[signal.vtSymbol]
# 先简化
multiplier = 1
# 开仓
if offset == OFFSET_OPEN:
# 检查上一次是否为盈利
if signal.profitCheck:
pnl = signal.getLastPnl()
if pnl > 0:
return
# 买入
if direction == DIRECTION_LONG:
# 组合持仓不能超过上限
if self.totalLong > MAX_DIRECTION_POS:
return
# 单品种持仓不能超过上限
if signal.unit > MAX_PRODUCT_POS:
return
# 卖出
else:
if self.totalShort < -MAX_DIRECTION_POS:
return
if signal.unit < -MAX_PRODUCT_POS:
return
# # 平仓
# else:
# if direction == DIRECTION_LONG:
# # 必须有空头持仓
# if signal.unit >= 0:
# return
#
# # 平仓数量不能超过空头持仓
# volume = min(volume, abs(signal.unit))
# else:
# if signal.unit <= 0:
# return
#
# volume = min(volume, abs(signal.unit))
# 更新总持仓
if direction == DIRECTION_LONG and offset == OFFSET_OPEN:
self.totalLong += 1 #多开
if direction == DIRECTION_SHORT and offset != OFFSET_OPEN:
self.totalLong -= 1 #空平
if direction == DIRECTION_SHORT and offset == OFFSET_OPEN:
self.totalShort += 1 #空开
if direction == DIRECTION_LONG and offset != OFFSET_OPEN:
self.totalShort -= 1 #多平
# 更新合约持仓
if direction == DIRECTION_LONG:
self.posDict[signal.vtSymbol] += volume * multiplier
else:
self.posDict[signal.vtSymbol] -= volume * multiplier
# 对价格四舍五入
priceTick = get_contract(signal.vtSymbol).price_tick
price = int(round(price / priceTick, 0)) * priceTick
self.engine._bc_sendOrder(signal.vtSymbol, direction, offset, price,
volume * multiplier, self.name)
# 记录成交数据
trade = TradeData(self.result.date, signal.vtSymbol, direction, offset,
price, volume * multiplier)
# l = self.tradeDict.setdefault(self.result.date, [])
# l.append(trade)
self.result.updateTrade(trade)
