def __init__(self, stra_barupdate='', stra_onorder=''):
'''初始所有变量'''
self.stra_uppdate = stra_barupdate
self.stra_onorder = stra_onorder
'''每bar只执行一次交易'''
self.SingleOrderOneBar = False
'''每bar只执行一次交易'''
'''K线序列'''
self.Bars = []
'''K线序列'''
'''合约'''
self.Instrument = ''
'''合约'''
'''合约信息'''
self.InstrumentInfo = InstrumentField()
'''合约信息'''
'''周期'''
self.Interval = 1
'''周期'''
'''周期类型'''
self.IntervalType = IntervalType.Minute
'''周期类型'''
'''分笔数据
Tick.Instrument用来判断是否有实盘数据'''
self.Tick = Tick()
'''分笔数据
Tick.Instrument用来判断是否有实盘数据'''
'''买卖信号'''
self.Orders = []
'''买卖信号'''
'''指标字典
策略使用的指标保存在此字典中
以便管理程序显示和处理'''
self.IndexDict = {}
'''指标字典
策略使用的指标保存在此字典中
以便管理程序显示和处理'''
'''时间'''
self.D = np.array([])
'''时间'''
'''最高价'''
self.H = np.array([])
'''最高价'''
'''最低价'''
self.L = np.array([])
'''最低价'''
'''开盘价'''
self.O = np.array([])
'''开盘价'''
'''收盘价'''
self.C = np.array([])
'''收盘价'''
'''交易量'''
self.V = np.array([])
'''交易量'''
'''持仓量'''
self.I = np.array([])
'''持仓量'''
self._lastOrder = OrderItem()
def on_order(self, stra=Strategy(''), data=Data(), order=OrderItem()):
"""此处调用ctp接口即可实现实际下单"""
# print('stra order')
# self.log.write('{0}\t{1}\t{2}\t{3}\t{4}\t{5}\t{6}\n'.format(len(p.Orders), stra.Bars[0].D, _order.Direction, _order.Offset, _order.Price, _order.Volume, _order.Remark))
if stra.EnableOrder:
# print(order)
order_id = stra.ID * 1000 + len(stra.GetOrders()) + 1
# 平今与平昨;逻辑从C# 抄过来;没提示...不知道为啥,只能盲码了.
if order.Offset != OffsetType.Open:
key = '{0}_{1}'.format(
order.Instrument, DirectType.Sell
if order.Direction == DirectType.Buy else DirectType.Buy)
# 无效,没提示...pf = PositionField()
pf = self.t.DicPositionField.get(key)
if not pf or pf.Position <= 0:
print('没有对应的持仓')
else:
volClose = min(pf.Position, order.Volume) # 可平量
instField = self.t.DicInstrument[order.Instrument]
if instField.ExchangeID == 'SHFE':
tdClose = min(volClose, pf.TdPosition)
if tdClose > 0:
self.t.ReqOrderInsert(order.Instrument,
order.Direction,
OffsetType.CloseToday,
order.Price, tdClose,
OrderType.Limit, order_id)
volClose -= tdClose
if volClose > 0:
self.t.ReqOrderInsert(order.Instrument,
order.Direction,
OffsetType.Close, order.Price,
volClose, OrderType.Limit,
order_id)
else:
self.t.ReqOrderInsert(order.Instrument, order.Direction,
OffsetType.Open, order.Price,
order.Volume, OrderType.Limit, order_id)
def __order__(self, direction, offset, price, volume, remark):
"""策略执行信号"""
if self.SingleOrderOneBar and (self.LastEntryDateLong == self.D[-1]
or self.LastEntryDateShort == self.D[-1]
or self.ExitDateLong == self.D[-1]
or self.ExitDateShort == self.D[-1]):
return
order = OrderItem()
order.Instrument = self.Instrument
order.DateTime = self.D[-1]
order.Direction = direction
order.Offset = offset
order.Price = price
order.Volume = volume
order.Remark = remark
self.Orders.append(order)
# 处理策略相关属性
order.IndexEntryLong = self._lastOrder.IndexEntryLong
order.IndexExitLong = self._lastOrder.IndexExitLong
order.IndexEntryShort = self._lastOrder.IndexEntryShort
order.IndexExitShort = self._lastOrder.IndexExitShort
order.IndexLastEntryLong = self._lastOrder.IndexLastEntryLong
order.IndexLastEntryShort = self._lastOrder.IndexLastEntryShort
order.AvgEntryPriceLong = self._lastOrder.AvgEntryPriceLong
order.AvgEntryPriceShort = self._lastOrder.AvgEntryPriceShort
order.PositionLong = self._lastOrder.PositionLong
order.PositionShort = self._lastOrder.PositionShort
order.EntryDateLong = self._lastOrder.EntryDateLong
order.EntryDateShort = self._lastOrder.EntryDateShort
order.EntryPriceLong = self._lastOrder.EntryPriceLong
order.EntryPriceShort = self._lastOrder.EntryPriceShort
order.ExitDateLong = self._lastOrder.ExitDateLong
order.ExitDateShort = self._lastOrder.ExitDateShort
order.ExitPriceLong = self._lastOrder.ExitPriceLong
order.ExitPriceShort = self._lastOrder.ExitPriceShort
order.LastEntryDateLong = self._lastOrder.LastEntryDateLong
order.LastEntryDateShort = self._lastOrder.LastEntryDateShort
order.LastEntryPriceLong = self._lastOrder.LastEntryPriceLong
order.LastEntryPriceShort = self._lastOrder.LastEntryPriceShort
diroff = '{0}-{1}'.format(order.Direction.name, order.Offset.name)
for case in switch(diroff):
if case('Buy-Open'):
order.PositionLong += order.Volume
order.AvgEntryPriceLong = (
self._lastOrder.PositionLong *
self._lastOrder.AvgEntryPriceLong + order.Volume *
order.Price) / (self._lastOrder.Volume + order.Volume)
if self._lastOrder.PositionLong == 0:
order.IndexEntryLong = len(self.Bars) - 1
order.EntryDateLong = self.D[-1] # str '20160630 21:25:00'
order.EntryPriceLong = order.Price
order.IndexLastEntryLong = len(self.Bars) - 1
order.LastEntryPriceLong = order.Price
order.LastEntryDateLong = self.D[-1]
break
if case('Buy-Close'):
c_lots = min(self._lastOrder.PositionShort,
order.Volume) # 能够平掉的数量
if c_lots <= 0: # 无仓可平
print('平仓量>持仓量')
break
order.PositionShort -= c_lots
order.IndexExitShort = len(self.Bars) - 1
order.ExitDateShort = self.D[-1]
order.ExitPriceShort = order.Price
break
if case('Sell-Open'):
order.PositionShort += order.Volume
order.AvgEntryPriceShort = (
self._lastOrder.PositionShort *
self._lastOrder.AvgEntryPriceShort + order.Volume *
order.Price) / (self._lastOrder.Volume + order.Volume)
if self._lastOrder.PositionShort == 0:
order.IndexEntryShort = len(self.Bars) - 1
order.EntryDateShort = self.D[
-1] # time or double or str ???
order.EntryPriceShort = order.Price
order.IndexLastEntryShort = len(self.Bars) - 1
order.LastEntryPriceShort = order.Price
order.LastEntryDateShort = self.D[-1]
break
if case('Sell-Close'):
c_lots = min(self._lastOrder.PositionLong,
order.Volume) # 能够平掉的数量
if c_lots <= 0: # 无仓可平
print('平仓量>持仓量')
break
order.PositionLong -= c_lots
order.IndexExitLong = len(self.Bars) - 1
order.ExitDateLong = self.D[-1]
order.ExitPriceLong = order.Price
break
self._lastOrder = order
self.stra_onorder(self, order)
def __OnOrder(self, data=Data(), order=OrderItem()):
"""调用外部接口的reqorder"""
self._data_order(self, data, order)
def _data_order(self, stra, data=Data(), order=OrderItem()):
"""继承类中实现此函数,有策略信号产生时调用"""
pass