class DynamicResidualModelStrategy(StrategyTemplate):
""""""
author = "yiran"
x_symbol: str = None
y_symbol: str = None
# 策略内动态调整周期
# 天数
renew_interval: int = 7
# 分钟线数据，90天约等于90*240
hedge_ratio_window: int = 240
#轨道宽度
entry_multiplier: float = 3
price_add = 5
# 预期价差盈利
difference_filter_num: float = 50
difference_exit_rato: float = 1
# 预期止盈为预期价差盈利的1/2
# 指标计算参数
std_window = 240
std_mean_window_ratio = 0.5
#固定下单单位
fixed_size = 1
#价差值
spread_value: float = 0
# 用来过滤交易量低的情况
spread_volume_threshold = 0
spread_volume: float = 0
spread_volume_filter: bool = False
# 进场，出场点位的缓存
spread_long_entry: float = 0
spread_long_exit: float = 0
spread_long_loss_exit: float = 0
spread_short_entry: float = 0
spread_short_exit: float = 0
spread_short_loss_exit: float = 0
#用来判断操作价差的方向
open_direction_dict: Dict[str, float] = {}
close_direction_dict: Dict[str, float] = {}
# 用来进行参数更新判断
last_renew_date: datetime = None
renew_date: datetime = None
renew_status: bool = False
# 盈利记录
last_long_trade_profit: bool = False
last_short_trade_profit: bool = False
parameters = [
"renew_interval", "hedge_ratio_window", 'entry_multiplier',
"fixed_size", "std_window", "difference_filter_num"
]
variables = [
"x_multiplier", "y_multiplier", "spread_value", "spread_long_entry",
"spread_long_exit", "spread_long_loss_exit"
"spread_short_entry", "spread_short_exit", "spread_short_loss_exit",
"spread_volume_filter"
]
def __init__(self, strategy_engine: StrategyEngine, strategy_name: str,
vt_symbols: List[str], setting: dict):
""""""
super().__init__(strategy_engine, strategy_name, vt_symbols, setting)
self.last_tick_time: datetime = None
self.ams: Dict[str, ArrayManager] = {}
self.bgs: Dict[str, BarGenerator] = {}
# 策略内动态调整OLS相关参数,小数参数会被int（）
self.x_multiplier = 0
self.y_multiplier = 1
# 不考虑intercept
self.intercept = 0
self.short_entry_multiplier = abs(self.entry_multiplier)
self.short_exit_multiplier = 0
self.long_entry_multiplier = -abs(self.entry_multiplier)
self.long_exit_multiplier = 0
self.mean_window = int(self.std_window * self.std_mean_window_ratio)
self.difference_exit_num = self.difference_filter_num * self.difference_exit_rato
self.y_symbol = self.vt_symbols[0]
self.x_symbol = self.vt_symbols[1]
self.x_fixed_size = np.abs(self.fixed_size * self.x_multiplier)
self.y_fixed_size = np.abs(self.fixed_size * self.y_multiplier)
self.x_pos_target = 0
self.y_pos_target = 0
# 实例化缓存期货品种价格序列容器
for vt_symbol in self.vt_symbols:
self.ams[vt_symbol] = ArrayManager(size=self.hedge_ratio_window +
50)
#实例化bg容器
for vt_symbol in self.vt_symbols:
def on_bar(bar: BarData):
""""""
pass
self.bgs[vt_symbol] = BarGenerator(on_bar)
# 实例化缓存价差价格序列容器
self.sam = SpreadArrayManager(
size=max(self.std_window, self.mean_window) + 50)
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bars(10)
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log("策略启动")
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log("策略停止")
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
if (self.last_tick_time
and self.last_tick_time.minute != tick.datetime.minute):
bars = {}
for vt_symbol, bg in self.bgs.items():
bars[vt_symbol] = bg.generate()
self.on_bars(bars)
bg: BarGenerator = self.bgs[tick.vt_symbol]
bg.update_tick(tick)
self.last_tick_time = tick.datetime
def on_bars(self, bars: Dict[str, BarData]):
""""""
self.cancel_all()
# OLS动态线性回归，需要缓存close_array
self.ams[self.y_symbol].update_bar(bars[self.y_symbol])
self.ams[self.x_symbol].update_bar(bars[self.x_symbol])
# 动态线性回归函数
self.renew_hedge_ratio(bars[self.y_symbol])
# 计算价差
# 将价差放入sam 进行后续技术指标计算
self.spread_value = self.y_multiplier * (
bars[self.y_symbol].close_price) - self.x_multiplier * (
bars[self.x_symbol].close_price) - self.intercept
self.spread_volume = min(bars[self.y_symbol].volume,
bars[self.x_symbol].volume)
self.sam.update_spread(self.spread_value, self.spread_volume)
# 成交量过滤，成交量低于指定阈值将不会进行操作
if self.spread_volume < self.spread_volume_threshold:
self.spread_volume_filter = False
else:
self.spread_volume_filter = True
if not self.sam.inited:
return
# 计算技术指标
sam = self.sam
std = sam.std(self.std_window)
mean = sam.sma(self.mean_window)
# 计算是否满足做多价差要求
spread_long_entry = mean + self.long_entry_multiplier * std
spred_long_exit = mean + self.long_exit_multiplier * std
# 计算是否满足作空价差要求
spread_short_entry = mean + self.short_entry_multiplier * std
spread_short_exit = mean + self.short_exit_multiplier * std
# 预期收益筛选
if np.abs(spread_long_entry -
spred_long_exit) >= self.difference_filter_num:
self.spread_long_entry = spread_long_entry
# self.spread_long_exit = spred_long_exit
else:
self.spread_long_entry = None
# 预期收益筛选
if np.abs(spread_short_entry -
spread_short_exit) >= self.difference_filter_num:
self.spread_short_enrtry = spread_short_entry
# self.spread_short_exit = spred_short_exit
else:
self.spread_short_enrtry = None
# 上笔亏损过滤
if not self.last_long_trade_profit:
self.spread_long_entry = None
self.last_long_trade_profit = True
elif not self.last_short_trade_profit:
self.spread_short_enrtry = None
self.last_short_trade_profit = True
# 获取每个品种持仓
self.x_pos = self.get_pos(self.x_symbol)
self.y_pos = self.get_pos(self.y_symbol)
if self.x_pos == 0 and self.y_pos == 0:
# 多开
if self.spread_long_entry and self.spread_value <= self.spread_long_entry and self.spread_volume_filter:
self.y_pos_target = self.y_fixed_size
self.x_pos_target = -self.x_fixed_size
self.spread_long_profit_exit = mean + self.long_exit_multiplier * std
self.spread_long_loss_exit = self.spread_value - self.difference_exit_num
print(self.spread_long_loss_exit, self.spread_long_profit_exit)
print(
f'时间{bars[self.y_symbol].datetime}', '多开 ',
f'多{self.y_symbol} {self.y_fixed_size} 手 空{self.x_symbol} {self.x_fixed_size} 手',
f'价差{self.spread_value}')
# 空开
elif self.spread_short_entry and self.spread_value >= self.spread_short_entry and self.spread_volume_filter:
self.y_pos_target = -self.y_fixed_size
self.x_pos_target = self.x_fixed_size
self.spread_short_profit_exit = mean + self.short_exit_multiplier * std
self.spread_short_loss_exit = self.spread_value + self.difference_exit_num
print(self.spread_short_loss_exit,
self.spread_short_profit_exit)
print(
f'时间{bars[self.y_symbol].datetime}', '空开 ',
f'空{self.y_symbol} {self.y_fixed_size} 手 多{self.x_symbol} {self.x_fixed_size} 手',
f'价差{self.spread_value}')
elif self.y_pos > 0 and self.x_pos < 0:
# 多平止盈
if self.spread_value >= self.spread_long_profit_exit:
self.spread_long_profit_exit = self.spread_long_profit_exit + 10
self.spread_long_loss_exit = self.spread_value - 5
self.last_long_trade_profit = True
print(
f'时间{bars[self.y_symbol].datetime}', '进入盈利状态',
f'待多{self.y_symbol} {self.y_fixed_size} 手 待空{self.x_symbol} {self.x_fixed_size} 手',
f'价差{self.spread_value}')
# 多平止损
elif self.spread_value <= self.spread_long_loss_exit:
self.y_pos_target = 0
self.x_pos_target = 0
self.last_long_trade_profit = False
print(
f'时间{bars[self.y_symbol].datetime}', '多平 止损',
f'平多{self.y_symbol} {self.y_fixed_size} 手 平空{self.x_symbol} {self.x_fixed_size} 手',
f'价差{self.spread_value}')
# 多平调参
# elif self.renew_status:
# self.y_pos_target = 0
# self.x_pos_target = 0
# print(f'时间{bars[self.y_symbol].datetime}','多平 调参',f'平多{self.y_symbol} {self.y_fixed_size} 手 平空{self.x_symbol} {self.x_fixed_size} 手',f'价差{self.spread_value}')
elif self.y_pos < 0 and self.x_pos > 0:
if self.spread_value <= self.spread_short_profit_exit:
self.spread_short_profit_exit = self.spread_short_profit_exit + 10
self.spread_short_loss_exit = self.spread_value + 5
self.last_short_trade_profit = True
print(
f'时间{bars[self.y_symbol].datetime}', '进入盈利状态',
f'待空{self.y_symbol} {self.y_fixed_size} 手 待多{self.x_symbol} {self.x_fixed_size} 手',
f'价差{self.spread_value}')
elif self.spread_value >= self.spread_short_loss_exit:
self.y_pos_target = 0
self.x_pos_target = 0
self.last_short_trade_profit = False
print(
f'时间{bars[self.y_symbol].datetime}', '空平 止损',
f'平空{self.y_symbol} {self.y_fixed_size} 手 平多{self.x_symbol} {self.x_fixed_size} 手',
f'价差{self.spread_value}')
# elif self.renew_status:
# self.y_pos_target = 0
# self.x_pos_target = 0
# print(f'时间{bars[self.y_symbol].datetime}','空平 调参',f'平空{self.y_symbol} {self.y_fixed_size} 手 平多{self.x_symbol} {self.x_fixed_size} 手',f'价差{self.spread_value}')
target = {
self.x_symbol: self.x_pos_target,
self.y_symbol: self.y_pos_target
}
for vt_symbol in self.vt_symbols:
target_pos = target[vt_symbol]
current_pos = self.get_pos(vt_symbol)
pos_diff = target_pos - current_pos
volume = abs(pos_diff)
bar = bars[vt_symbol]
if pos_diff > 0:
price = bar.close_price + self.price_add
if current_pos < 0:
self.cover(vt_symbol, price, volume)
else:
self.buy(vt_symbol, price, volume)
elif pos_diff < 0:
price = bar.close_price - self.price_add
if current_pos > 0:
self.sell(vt_symbol, price, volume)
else:
self.short(vt_symbol, price, volume)
def renew_hedge_ratio(self, bar: BarData):
"""
renew the hedge ratio
based on the passed days including the not trading days.
"""
# 计算动态调参时间
if not self.last_renew_date:
self.last_renew_date = bar.datetime
self.renew_date = self.last_renew_date + timedelta(
days=self.renew_interval)
return
# 动态调参时间
if bar.datetime >= self.renew_date:
self.last_renew_date = bar.datetime
self.renew_date = self.last_renew_date + timedelta(
days=self.renew_interval)
X = self.ams[self.x_symbol].close[-self.hedge_ratio_window:]
y = self.ams[self.y_symbol].close[-self.hedge_ratio_window:]
result = sm.OLS(y, X).fit()
hedge_ratio = result.params
intercept = 0
for n in range(10):
mulitiplier_x = n * hedge_ratio
mulitipler_intercept = n * intercept
mulitipler = n
if int(mulitiplier_x) >= 1:
if hedge_ratio * self.x_multiplier < 0:
print(
'warning ! the hedge ratio direction is changed ')
self.x_multiplier = mulitiplier_x
self.y_multiplier = mulitipler
self.intercept = mulitipler_intercept
self.x_fixed_size = int(
np.abs(self.fixed_size * self.x_multiplier))
self.y_fixed_size = int(
np.abs(self.fixed_size * self.y_multiplier))
# 可以加入历史协整测试
break
self.renew_status = True
else:
self.renew_status = False
class DynamicResidualModelStrategy(StrategyTemplate):
""""""
author = "yiran"
x_symbol: str = None
y_symbol: str = None
# 策略内动态调整
x_multiplier: float = 0
y_multiplier: float = 1
intercept: float = 0
# 策略内动态调整周期
renew_interval: int = 3
hedge_ratio_window: int = 30
#轨道宽度
entry_multiplier: float = 2.5
# 预期价差盈利
difference_filter_num: float = 20
# 预期止盈为预期价差盈利的1/2
# 指标计算参数
std_window = 40
#固定下单单位
fixed_size = 1
x_fixed_size: float = None
y_fixed_size: float = None
#价差值
spread_value: float = 0
# 用来过滤交易量低的情况
spread_volume_threshold = 0
spread_volume: float = 0
spread_volume_filter: bool = False
# 进场，出场点位的缓存
spread_long_entry: float = 0
spread_long_exit: float = 0
spread_long_loss_exit: float = 0
spread_short_entry: float = 0
spread_short_exit: float = 0
spread_short_loss_exit: float = 0
#用来判断操作价差的方向
open_direction_dict: Dict[str, float] = {}
close_direction_dict: Dict[str, float] = {}
# 用来进行参数更新判断
last_renew_date: datetime = None
renew_date: datetime = None
renew_status: bool = False
# 用来进行预期价差收益过滤
price_diff: bool = False
parameters = [
"renew_interval", "hedge_ratio_window", 'entry_multiplier',
"fixed_size", "std_window", "difference_filter_num"
]
variables = [
"x_multiplier", "y_multiplier", "spread_value", "spread_long_entry",
"spread_long_exit", "spread_long_loss_exit"
"spread_short_entry", "spread_short_exit", "spread_short_loss_exit",
"spread_volume_filter"
]
def __init__(self, strategy_engine: StrategyEngine, strategy_name: str,
vt_symbols: List[str], setting: dict):
""""""
super().__init__(strategy_engine, strategy_name, vt_symbols, setting)
self.short_entry_multiplier = abs(self.entry_multiplier)
self.short_exit_multiplier = 0
self.long_entry_multiplier = -abs(self.entry_multiplier)
self.long_exit_multiplier = 0
self.mean_window = int(self.std_window / 2)
self.difference_exit_num = self.difference_filter_num / 2
self.y_symbol = self.vt_symbols[0]
self.x_symbol = self.vt_symbols[1]
self.x_fixed_size = int(np.abs(self.fixed_size * self.x_multiplier))
self.y_fixed_size = int(np.abs(self.fixed_size * self.y_multiplier))
self.open_direction_dict['x_symbol'] = 0
self.open_direction_dict['y_symbol'] = 0
self.close_direction_dict['x_symbol'] = 0
self.close_direction_dict['y_symbol'] = 0
# 实例化缓存期货品种价格序列容器
self.ams: Dict = {}
self.ams[self.y_symbol] = ArrayManager(size=self.hedge_ratio_window +
50)
self.ams[self.x_symbol] = ArrayManager(size=self.hedge_ratio_window +
50)
# 实例化缓存价差价格序列容器
self.sam = SpreadArrayManager(
size=max(self.std_window, self.mean_window) + 50)
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bars(10)
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log("策略启动")
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log("策略停止")
def on_bars(self, bars: Dict[str, BarData]):
""""""
self.cancel_all()
# OLS动态线性回归，需要缓存close_array
self.ams[self.y_symbol].update_bar(bars[self.y_symbol])
self.ams[self.x_symbol].update_bar(bars[self.x_symbol])
# 动态线性回归函数
self.renew_hedge_ratio(bars[self.y_symbol])
# 计算价差
# 将价差放入sam 进行后续技术指标计算
self.spread_value = self.y_multiplier * (
bars[self.y_symbol].close_price) - self.x_multiplier * (
bars[self.x_symbol].close_price) - self.intercept
self.spread_volume = min(bars[self.y_symbol].volume,
bars[self.x_symbol].volume)
self.price_diff = self.y_multiplier * (
bars[self.y_symbol].close_price) - self.x_multiplier * (
bars[self.x_symbol].close_price)
self.sam.update_spread(self.spread_value, self.spread_volume)
# 成交量过滤，成交量低于指定阈值将不会进行操作
if self.spread_volume < self.spread_volume_threshold:
self.spread_volume_filter = False
else:
self.spread_volume_filter = True
if not self.sam.inited:
return
# 计算技术指标
sam = self.sam
std = sam.std(self.std_window)
mean = sam.sma(self.mean_window)
# 计算是否满足做多价差要求
spread_long_entry = mean + self.long_entry_multiplier * std
spred_long_exit = mean + self.long_exit_multiplier * std
# 预期收益筛选
if np.abs(spread_long_entry -
spred_long_exit) >= self.difference_filter_num:
self.spread_long_entry = spread_long_entry
# self.spread_long_exit = spred_long_exit
else:
self.spread_long_entry = None
# 计算是否满足作空价差要求
spread_short_entry = mean + self.short_entry_multiplier * std
spread_short_exit = mean + self.short_exit_multiplier * std
# 预期收益筛选
if np.abs(spread_short_entry -
spread_short_exit) >= self.difference_filter_num:
self.spread_short_enrtry = spread_short_entry
# self.spread_short_exit = spred_short_exit
else:
self.spread_short_enrtry = None
# 获取每个品种持仓
x_pos = self.get_pos(self.x_symbol)
y_pos = self.get_pos(self.y_symbol)
# 平仓逻辑判断(平仓之后,在当前bar中不会再开仓),通过判断open_direction的方向来判断是做多还是做空价差
if self.open_direction_dict[
'y_symbol'] == 1 and self.open_direction_dict['x_symbol'] == -1:
# 更新hedge ratio之后对当前仓位进行清空，当前bar不进行操作
if self.renew_status:
self.sell(self.y_symbol,
bars[self.y_symbol].close_price * 0.95,
np.abs(y_pos))
self.cover(self.x_symbol,
bars[self.x_symbol].close_price * 1.05,
np.abs(x_pos))
self.open_direction_dict['y_symbol'] = 0
self.open_direction_dict['x_symbol'] = 0
self.close_direction_dict['y_symbol'] = -1
self.close_direction_dict['x_symbol'] = 1
print(
f'时间{bars[self.y_symbol].datetime}', '多平 rebalance',
f'平多{self.y_symbol} {self.y_fixed_size} 手 平空{self.x_symbol} {self.x_fixed_size} 手',
f'价差{self.price_diff}')
return
# 做多价差止盈平仓,不进行成交量过滤;
if self.spread_value >= self.spread_long_exit:
self.sell(self.y_symbol,
bars[self.y_symbol].close_price * 0.95,
np.abs(y_pos))
self.cover(self.x_symbol,
bars[self.x_symbol].close_price * 1.05,
np.abs(x_pos))
self.open_direction_dict['y_symbol'] = 0
self.open_direction_dict['x_symbol'] = 0
self.close_direction_dict['y_symbol'] = -1
self.close_direction_dict['x_symbol'] = 1
print(
f'时间{bars[self.y_symbol].datetime}', '多平 调参',
f'平多{self.y_symbol} {self.y_fixed_size} 手 平空{self.x_symbol} {self.x_fixed_size} 手',
f'价差{self.price_diff}')
return
# 做多价差止损平仓,不进行成交量过滤;
if self.spread_value <= self.spread_long_loss_exit:
self.sell(self.y_symbol,
bars[self.y_symbol].close_price * 0.95,
np.abs(y_pos))
self.cover(self.x_symbol,
bars[self.x_symbol].close_price * 1.05,
np.abs(x_pos))
self.open_direction_dict['y_symbol'] = 0
self.open_direction_dict['x_symbol'] = 0
self.close_direction_dict['y_symbol'] = -1
self.close_direction_dict['x_symbol'] = 1
print(
f'时间{bars[self.y_symbol].datetime}', '多平 止损',
f'平多{self.y_symbol} {self.y_fixed_size} 手 平空{self.x_symbol} {self.x_fixed_size} 手',
f'价差{self.price_diff}')
return
elif self.open_direction_dict[
'y_symbol'] == -1 and self.open_direction_dict['x_symbol'] == 1:
# 更新hedge ratio之后对当前仓位进行清空，当前bar不进行操作
if self.renew_status:
self.cover(self.y_symbol,
bars[self.y_symbol].close_price * 1.05,
np.abs(y_pos))
self.sell(self.x_symbol,
bars[self.x_symbol].close_price * 0.95,
np.abs(x_pos))
self.open_direction_dict['y_symbol'] = 0
self.open_direction_dict['x_symbol'] = 0
self.close_direction_dict['y_symbol'] = 1
self.close_direction_dict['x_symbol'] = -1
print(
f'时间{bars[self.y_symbol].datetime}', '空平 调参',
f'平空{self.y_symbol} {self.y_fixed_size} 手 平多{self.x_symbol} {self.x_fixed_size} 手',
f'价差{self.price_diff}')
return
# 做空价差止盈平仓,不进行成交量过滤;
if self.spread_value <= self.spread_short_exit:
self.cover(self.y_symbol,
bars[self.y_symbol].close_price * 1.05,
np.abs(y_pos))
self.sell(self.x_symbol,
bars[self.x_symbol].close_price * 0.95,
np.abs(x_pos))
self.open_direction_dict['y_symbol'] = 0
self.open_direction_dict['x_symbol'] = 0
self.close_direction_dict['y_symbol'] = 1
self.close_direction_dict['x_symbol'] = -1
print(
f'时间{bars[self.y_symbol].datetime}', '空平 止盈',
f'平空{self.y_symbol} {self.y_fixed_size} 手 平多{self.x_symbol} {self.x_fixed_size} 手',
f'价差{self.price_diff}')
return
# 做空价差止损平仓,不进行成交量过滤;
if self.spread_value >= self.spread_short_loss_exit:
self.cover(self.y_symbol,
bars[self.y_symbol].close_price * 1.05,
np.abs(y_pos))
self.sell(self.x_symbol,
bars[self.x_symbol].close_price * 0.95,
np.abs(x_pos))
self.open_direction_dict['y_symbol'] = 0
self.open_direction_dict['x_symbol'] = 0
self.close_direction_dict['y_symbol'] = 1
self.close_direction_dict['x_symbol'] = -1
print(
f'时间{bars[self.y_symbol].datetime}', '空平 止损',
f'平空{self.y_symbol} {self.y_fixed_size} 手 平多{self.x_symbol} {self.x_fixed_size} 手',
f'价差{self.price_diff}')
return
# 开仓逻辑判断，只有两个品种都是空仓的时候才会进行开仓
if x_pos == 0 and y_pos == 0:
# 做多价差开仓，加入对成交量过滤；
if self.spread_long_entry and self.spread_value <= self.spread_long_entry and self.spread_volume_filter:
self.buy(self.y_symbol, bars[self.y_symbol].close_price * 1.01,
self.y_fixed_size)
self.short(self.x_symbol,
bars[self.x_symbol].close_price * 0.99,
self.x_fixed_size)
self.open_direction_dict['y_symbol'] = 1
self.open_direction_dict['x_symbol'] = -1
self.close_direction_dict['y_symbol'] = 0
self.close_direction_dict['x_symbol'] = 0
# 退出点位
self.spread_long_exit = mean + self.long_exit_multiplier * std
self.spread_long_loss_exit = self.spread_value - self.difference_exit_num
print(
f'时间{bars[self.y_symbol].datetime}', '多开',
f'多{self.y_symbol} {self.y_fixed_size} 手 空{self.x_symbol} {self.x_fixed_size} 手',
f'价差{self.price_diff}')
# 做空价差开仓，加入对成交量过滤；
elif self.spread_short_entry and self.spread_value >= self.spread_short_entry and self.spread_volume_filter:
self.short(self.y_symbol,
bars[self.y_symbol].close_price * 0.99,
self.y_fixed_size)
self.buy(self.x_symbol, bars[self.x_symbol].close_price * 1.01,
self.x_fixed_size)
self.open_direction_dict['y_symbol'] = -1
self.open_direction_dict['x_symbol'] = 1
self.close_direction_dict['y_symbol'] = 0
self.close_direction_dict['x_symbol'] = 0
#退出点位
self.spread_short_exit = mean + self.short_exit_multiplier * std
self.spread_short_loss_exit = self.spread_value + self.difference_exit_num
print(
f'时间{bars[self.y_symbol].datetime}', '空开',
f'空{self.y_symbol} {self.y_fixed_size} 手 多{self.x_symbol} {self.x_fixed_size} 手',
f'价差{self.price_diff}')
def renew_hedge_ratio(self, bar: BarData):
"""
renew the hedge ratio
based on the passed days including the not trading days.
"""
# 计算动态调参时间
if not self.last_renew_date:
self.last_renew_date = bar.datetime
self.renew_date = self.last_renew_date + timedelta(
days=self.renew_interval)
return
# 动态调参时间
if bar.datetime >= self.renew_date:
self.last_renew_date = bar.datetime
self.renew_date = self.last_renew_date + timedelta(
days=self.renew_interval)
X = self.ams[self.x_symbol].close[-self.hedge_ratio_window:]
X = sm.add_constant(X)
y = self.ams[self.y_symbol].close[-self.hedge_ratio_window:]
result = sm.OLS(y, X).fit()
hedge_ratio = result.params[1]
intercept = result.params[0]
for n in range(10):
mulitiplier_x = n * hedge_ratio
mulitipler_intercept = n * intercept
mulitipler = n
if int(mulitiplier_x) >= 1:
if hedge_ratio * self.x_multiplier < 0:
print(
'warning ! the hedge ratio direction is changed ')
self.x_multiplier = mulitiplier_x
self.y_multiplier = mulitipler
self.intercept = mulitipler_intercept
self.x_fixed_size = int(
np.abs(self.fixed_size * self.x_multiplier))
self.y_fixed_size = int(
np.abs(self.fixed_size * self.y_multiplier))
# print(f'the hedge ratio is updated at {bar.datetime}')
# print(f'hedge ratio is {self.x_multiplier}, intercept is {self.intercept}, multiplier is {self.y_multiplier}')
break
self.renew_status = True
else:
self.renew_status = False
class ResidualModelStrategy(StrategyTemplate):
""""""
author = "yiran"
x_symbol: str = None
y_symbol: str = None
x_multiplier: float = 0
y_multiplier: float = 1
intercept: float = 0
short_entry_multiplier: float = 3
short_exit_multiplier: float = 0
long_entry_multiplier: float = -3
long_exit_multiplier: float = 0
std_window = 60
mean_window = 30
fixed_size = 1
spread_volume_threshold = 50
x_fixed_size: float = None
y_fixed_size: float = None
spread_value: float = 0
# 用来过滤交易量低的情况
spread_volume: float = 0
spread_long_entry: float = 0
spread_long_exit: float = 0
spread_short_entry: float = 0
spread_volume_filter: bool = False
open_direction_dict: Dict[str, float] = {}
close_direction_dict: Dict[str, float] = {}
intra_trade_low = 0
parameters = [
"x_multiplier", "y_multiplier", "intercept", 'short_entry_multiplier',
"short_exit_multiplier", "long_entry_multiplier",
"long_exit_multiplier", "fixed_size", "std_window", "mean_window"
]
variables = [
"spread_value", "spread_long_entry", "spread_short_entry",
"spread_volume_filter"
]
def __init__(self, strategy_engine: StrategyEngine, strategy_name: str,
vt_symbols: List[str], setting: dict):
""""""
super().__init__(strategy_engine, strategy_name, vt_symbols, setting)
# self.y_symbol = (self.vt_symbols[0].split('.'))[0]
# self.x_symbol = (self.vt_symbols[1].split('.'))[1]
self.y_symbol = self.vt_symbols[0]
self.x_symbol = self.vt_symbols[1]
self.x_fixed_size = int(np.abs(self.fixed_size * self.x_multiplier))
self.y_fixed_size = int(np.abs(self.fixed_size * self.y_multiplier))
self.open_direction_dict['x_symbol'] = 0
self.open_direction_dict['y_symbol'] = 0
self.close_direction_dict['x_symbol'] = 0
self.close_direction_dict['y_symbol'] = 0
self.sam = SpreadArrayManager()
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bars(10)
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log("策略启动")
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log("策略停止")
def on_bars(self, bars: Dict[str, BarData]):
""""""
self.cancel_all()
# 计算价差
# 将价差放入sam 进行后续技术指标计算
self.spread_value = self.y_multiplier * (
bars[self.y_symbol].close_price) - self.x_multiplier * (
bars[self.x_symbol].close_price) - self.intercept
self.spread_volume = min(bars[self.y_symbol].volume,
bars[self.x_symbol].volume)
self.sam.update_spread(self.spread_value, self.spread_volume)
# 成交量过滤，成交量低于指定阈值将不会进行操作
if self.spread_volume < self.spread_volume_threshold:
self.spread_volume_filter = False
else:
self.spread_volume_filter = True
if not self.sam.inited:
return
# 计算技术指标
sam = self.sam
std = sam.std(self.std_window)
mean = sam.sma(self.mean_window)
# 计算入场和出场价位
self.spread_long_entry = mean + self.long_entry_multiplier * std
self.spread_long_exit = mean + self.long_exit_multiplier * std
self.spread_short_entry = mean + self.short_entry_multiplier * std
self.spread_short_exit = mean + self.short_exit_multiplier * std
# 获取每个品种持仓
x_pos = self.get_pos(self.x_symbol)
y_pos = self.get_pos(self.y_symbol)
# 平仓逻辑判断(平仓之后,在当前bar中不会再开仓),通过判断open_direction的方向来判断是做多还是做空价差
if self.open_direction_dict[
'y_symbol'] == 1 and self.open_direction_dict['x_symbol'] == -1:
# 做多价差平仓,不进行成交量过滤;
if self.spread_value >= self.spread_long_exit:
self.sell(self.y_symbol,
bars[self.y_symbol].close_price * 0.95,
np.abs(y_pos))
self.cover(self.x_symbol,
bars[self.x_symbol].close_price * 1.05,
np.abs(x_pos))
self.open_direction_dict['y_symbol'] = 0
self.open_direction_dict['x_symbol'] = 0
self.close_direction_dict['y_symbol'] = -1
self.close_direction_dict['x_symbol'] = 1
print(
f'时间{bars[self.y_symbol].datetime}', '做多价差平仓',
f'平多{self.y_symbol} {self.y_fixed_size} 手 平空{self.x_symbol} {self.x_fixed_size} 手'
)
return
elif self.open_direction_dict[
'y_symbol'] == -1 and self.open_direction_dict['x_symbol'] == 1:
# 做空价差平仓,不进行成交量过滤;
if self.spread_value <= self.spread_short_exit:
self.cover(self.y_symbol,
bars[self.y_symbol].close_price * 1.05,
np.abs(y_pos))
self.sell(self.x_symbol,
bars[self.x_symbol].close_price * 0.95,
np.abs(x_pos))
self.open_direction_dict['y_symbol'] = 0
self.open_direction_dict['x_symbol'] = 0
self.close_direction_dict['y_symbol'] = 1
self.close_direction_dict['x_symbol'] = -1
print(
f'时间{bars[self.y_symbol].datetime}', '做空价差平仓',
f'平空{self.y_symbol} {self.y_fixed_size} 手 平多{self.x_symbol} {self.x_fixed_size} 手'
)
return
# 针对两种情况1.可能出现某一个leg没有买满的情况 2. 可能出现某一个leg仓位没有平掉的情况
# 没有考虑： 多买的情况；似乎不可能出现
# 这种情况下，如果有其它买入信号，不会去执行相应买入动作
if (x_pos != 0 or y_pos != 0):
symbols = ['y_symbol', 'x_symbol']
vt_symbol_dict = {
'y_symbol': self.y_symbol,
'x_symbol': self.x_symbol
}
pos_dict = {'y_symbol': y_pos, 'x_symbol': x_pos}
fixed_size_dict = {
'y_symbol': self.y_fixed_size,
'x_symbol': self.x_fixed_size
}
bar_dict = {
'y_symbol': bars[self.y_symbol].close_price,
'x_symbol': bars[self.x_symbol].close_price
}
for symbol in symbols:
# direction = self.open_direction_dict[symbol]
diff = int(np.abs(pos_dict[symbol] - fixed_size_dict[symbol]))
# 如果处于平仓状态：对没有平掉的仓位，进行平仓
if self.open_direction_dict[symbol] == 0:
if self.close_direction_dict[symbol] == -1:
self.sell(vt_symbol_dict[symbol],
bar_dict[symbol] * 0.95,
np.abs(pos_dict[symbol]))
elif self.close_direction_dict[symbol] == -1:
self.cover(vt_symbol_dict[symbol],
bar_dict[symbol] * 1.05,
np.abs(pos_dict[symbol]))
# 如果是处于持仓状态，对没有买到指定数量的品种，进行补仓
if self.open_direction_dict[symbol] != 0 and diff >= 1:
if self.open_direction_dict[symbol] == 1:
self.buy(vt_symbol_dict[symbol],
bar_dict[symbol] * 1.01, diff)
elif self.open_direction_dict[symbol] == -1:
self.short(vt_symbol_dict[symbol],
bar_dict[symbol] * 0.99, diff)
# 开仓逻辑判断，只有两个品种都是空仓的时候才会进行开仓
if x_pos == 0 and y_pos == 0:
# 做多价差开仓，加入对成交量过滤；
if self.spread_value <= self.spread_long_entry and self.spread_volume_filter:
self.buy(self.y_symbol, bars[self.y_symbol].close_price * 1.01,
self.y_fixed_size)
self.short(self.x_symbol,
bars[self.x_symbol].close_price * 0.99,
self.x_fixed_size)
self.open_direction_dict['y_symbol'] = 1
self.open_direction_dict['x_symbol'] = -1
self.close_direction_dict['y_symbol'] = 0
self.close_direction_dict['x_symbol'] = 0
print(
f'时间{bars[self.y_symbol].datetime}', '做多价差开仓',
f'做多{self.y_symbol} {self.y_fixed_size} 手 做空{self.x_symbol} {self.x_fixed_size} 手'
)
# 做空价差开仓，加入对成交量过滤；
elif self.spread_value >= self.spread_short_entry and self.spread_volume_filter:
self.short(self.y_symbol,
bars[self.y_symbol].close_price * 0.99,
self.y_fixed_size)
self.buy(self.x_symbol, bars[self.x_symbol].close_price * 1.01,
self.x_fixed_size)
self.open_direction_dict['y_symbol'] = -1
self.open_direction_dict['x_symbol'] = 1
self.close_direction_dict['y_symbol'] = 0
self.close_direction_dict['x_symbol'] = 0
print(
f'时间{bars[self.y_symbol].datetime}', '做空价差开仓',
f'做空{self.y_symbol} {self.y_fixed_size} 手 做多{self.x_symbol} {self.x_fixed_size} 手'
)
class DynamicResidualModelStrategy(StrategyTemplate):
""""""
author = "yiran"
x_symbol: str = None
y_symbol: str = None
x_multiplier: float = 0
y_multiplier: float = 1
intercept: float = 0
renew_interval: int = 30
hedge_ratio_window: int = 90
short_entry_multiplier: float = 3
short_exit_multiplier: float = 0
long_entry_multiplier: float = -3
long_exit_multiplier: float = -0
# 预期价差盈利
difference_filter_num: float = 60
# 止损价差
difference_exit_num: float = 30
std_window = 120
mean_window = 60
fixed_size = 1
spread_volume_threshold = 30
x_fixed_size: float = None
y_fixed_size: float = None
spread_value: float = 0
# 用来过滤交易量低的情况
spread_volume: float = 0
spread_volume_filter: bool = False
spread_long_entry: float = 0
spread_long_exit: float = 0
spread_long_loss_exit: float = 0
spread_short_entry: float = 0
spread_short_exit: float = 0
spread_short_loss_exit: float = 0
#用来判断操作价差的方向
open_direction_dict: Dict[str, float] = {}
close_direction_dict: Dict[str, float] = {}
intra_trade_low = 0
# 用来进行参数更新判断
last_renew_date: datetime = None
renew_date: datetime = None
renew_status: bool = False
# 用来进行预期价差收益过滤
price_diff: bool = False
parameters = [
"x_multiplier", "y_multiplier", "intercept", "renew_interval",
'short_entry_multiplier', "short_exit_multiplier",
"long_entry_multiplier", "long_exit_multiplier", "hedge_ratio_window",
"fixed_size", "std_window", "mean_window"
]
variables = [
"spread_value", "spread_long_entry", "spread_short_entry",
"spread_volume_filter"
]
def __init__(self, strategy_engine: StrategyEngine, strategy_name: str,
vt_symbols: List[str], setting: dict):
""""""
super().__init__(strategy_engine, strategy_name, vt_symbols, setting)
# self.y_symbol = (self.vt_symbols[0].split('.'))[0]
# self.x_symbol = (self.vt_symbols[1].split('.'))[1]
self.y_symbol = self.vt_symbols[0]
self.x_symbol = self.vt_symbols[1]
self.x_fixed_size = int(np.abs(self.fixed_size * self.x_multiplier))
self.y_fixed_size = int(np.abs(self.fixed_size * self.y_multiplier))
self.open_direction_dict['x_symbol'] = 0
self.open_direction_dict['y_symbol'] = 0
self.close_direction_dict['x_symbol'] = 0
self.close_direction_dict['y_symbol'] = 0
self.ams: Dict = {}
self.ams[self.y_symbol] = ArrayManager(size=self.hedge_ratio_window +
50)
self.ams[self.x_symbol] = ArrayManager(size=self.hedge_ratio_window +
50)
self.sam = SpreadArrayManager(
size=max(self.std_window, self.mean_window) + 50)
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bars(10)
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log("策略启动")
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log("策略停止")
def on_bars(self, bars: Dict[str, BarData]):
""""""
self.cancel_all()
self.ams[self.y_symbol].update_bar(bars[self.y_symbol])
self.ams[self.x_symbol].update_bar(bars[self.x_symbol])
self.renew_hedge_ratio(bars[self.y_symbol])
# 计算价差
# 将价差放入sam 进行后续技术指标计算
self.spread_value = self.y_multiplier * (
bars[self.y_symbol].close_price) - self.x_multiplier * (
bars[self.x_symbol].close_price) - self.intercept
self.spread_volume = min(bars[self.y_symbol].volume,
bars[self.x_symbol].volume)
self.price_diff = self.y_multiplier * (
bars[self.y_symbol].close_price) - self.x_multiplier * (
bars[self.x_symbol].close_price)
self.sam.update_spread(self.spread_value, self.spread_volume)
# 成交量过滤，成交量低于指定阈值将不会进行操作
if self.spread_volume < self.spread_volume_threshold:
self.spread_volume_filter = False
else:
self.spread_volume_filter = True
if not self.sam.inited:
return
# 计算技术指标
sam = self.sam
std = sam.std(self.std_window)
mean = sam.sma(self.mean_window)
spread_long_entry = mean + self.long_entry_multiplier * std
spred_long_exit = mean + self.long_exit_multiplier * std
# 预期收益筛选
if np.abs(spread_long_entry -
spred_long_exit) >= self.difference_filter_num:
self.spread_long_entry = spread_long_entry
# self.spread_long_exit = spred_long_exit
else:
self.spread_long_entry = None
spread_short_entry = mean + self.short_entry_multiplier * std
spread_short_exit = mean + self.short_exit_multiplier * std
if np.abs(spread_short_entry -
spread_short_exit) >= self.difference_filter_num:
self.spread_short_enrtry = spread_short_entry
# self.spread_short_exit = spred_short_exit
else:
self.spread_short_enrtry = None
# 获取每个品种持仓
x_pos = self.get_pos(self.x_symbol)
y_pos = self.get_pos(self.y_symbol)
# 平仓逻辑判断(平仓之后,在当前bar中不会再开仓),通过判断open_direction的方向来判断是做多还是做空价差
if self.open_direction_dict[
'y_symbol'] == 1 and self.open_direction_dict['x_symbol'] == -1:
# 更新hedge ratio之后对当前仓位进行清空，当前bar不进行操作
if self.renew_status:
self.sell(self.y_symbol,
bars[self.y_symbol].close_price * 0.95,
np.abs(y_pos))
self.cover(self.x_symbol,
bars[self.x_symbol].close_price * 1.05,
np.abs(x_pos))
self.open_direction_dict['y_symbol'] = 0
self.open_direction_dict['x_symbol'] = 0
self.close_direction_dict['y_symbol'] = -1
self.close_direction_dict['x_symbol'] = 1
print(
f'时间{bars[self.y_symbol].datetime}', '多平 rebalance',
f'平多{self.y_symbol} {self.y_fixed_size} 手 平空{self.x_symbol} {self.x_fixed_size} 手',
f'价差{self.price_diff}')
return
# 做多价差止盈平仓,不进行成交量过滤;
if self.spread_value >= self.spread_long_exit:
self.sell(self.y_symbol,
bars[self.y_symbol].close_price * 0.95,
np.abs(y_pos))
self.cover(self.x_symbol,
bars[self.x_symbol].close_price * 1.05,
np.abs(x_pos))
self.open_direction_dict['y_symbol'] = 0
self.open_direction_dict['x_symbol'] = 0
self.close_direction_dict['y_symbol'] = -1
self.close_direction_dict['x_symbol'] = 1
print(
f'时间{bars[self.y_symbol].datetime}', '多平 调参',
f'平多{self.y_symbol} {self.y_fixed_size} 手 平空{self.x_symbol} {self.x_fixed_size} 手',
f'价差{self.price_diff}')
return
# 做多价差止损平仓,不进行成交量过滤;
if self.spread_value <= self.spread_long_loss_exit:
self.sell(self.y_symbol,
bars[self.y_symbol].close_price * 0.95,
np.abs(y_pos))
self.cover(self.x_symbol,
bars[self.x_symbol].close_price * 1.05,
np.abs(x_pos))
self.open_direction_dict['y_symbol'] = 0
self.open_direction_dict['x_symbol'] = 0
self.close_direction_dict['y_symbol'] = -1
self.close_direction_dict['x_symbol'] = 1
print(
f'时间{bars[self.y_symbol].datetime}', '多平 止损',
f'平多{self.y_symbol} {self.y_fixed_size} 手 平空{self.x_symbol} {self.x_fixed_size} 手',
f'价差{self.price_diff}')
return
elif self.open_direction_dict[
'y_symbol'] == -1 and self.open_direction_dict['x_symbol'] == 1:
# 更新hedge ratio之后对当前仓位进行清空，当前bar不进行操作
if self.renew_status:
self.cover(self.y_symbol,
bars[self.y_symbol].close_price * 1.05,
np.abs(y_pos))
self.sell(self.x_symbol,
bars[self.x_symbol].close_price * 0.95,
np.abs(x_pos))
self.open_direction_dict['y_symbol'] = 0
self.open_direction_dict['x_symbol'] = 0
self.close_direction_dict['y_symbol'] = 1
self.close_direction_dict['x_symbol'] = -1
print(
f'时间{bars[self.y_symbol].datetime}', '空平 调参',
f'平空{self.y_symbol} {self.y_fixed_size} 手 平多{self.x_symbol} {self.x_fixed_size} 手',
f'价差{self.price_diff}')
return
# 做空价差止盈平仓,不进行成交量过滤;
if self.spread_value <= self.spread_short_exit:
self.cover(self.y_symbol,
bars[self.y_symbol].close_price * 1.05,
np.abs(y_pos))
self.sell(self.x_symbol,
bars[self.x_symbol].close_price * 0.95,
np.abs(x_pos))
self.open_direction_dict['y_symbol'] = 0
self.open_direction_dict['x_symbol'] = 0
self.close_direction_dict['y_symbol'] = 1
self.close_direction_dict['x_symbol'] = -1
print(
f'时间{bars[self.y_symbol].datetime}', '空平 止盈',
f'平空{self.y_symbol} {self.y_fixed_size} 手 平多{self.x_symbol} {self.x_fixed_size} 手',
f'价差{self.price_diff}')
return
# 做空价差止损平仓,不进行成交量过滤;
if self.spread_value >= self.spread_short_loss_exit:
self.cover(self.y_symbol,
bars[self.y_symbol].close_price * 1.05,
np.abs(y_pos))
self.sell(self.x_symbol,
bars[self.x_symbol].close_price * 0.95,
np.abs(x_pos))
self.open_direction_dict['y_symbol'] = 0
self.open_direction_dict['x_symbol'] = 0
self.close_direction_dict['y_symbol'] = 1
self.close_direction_dict['x_symbol'] = -1
print(
f'时间{bars[self.y_symbol].datetime}', '空平 止损',
f'平空{self.y_symbol} {self.y_fixed_size} 手 平多{self.x_symbol} {self.x_fixed_size} 手',
f'价差{self.price_diff}')
return
# 针对两种情况1.可能出现某一个leg没有买满的情况 2. 可能出现某一个leg仓位没有平掉的情况
# 没有考虑： 多买的情况；似乎不可能出现
# 这种情况下，如果有其它买入信号，不会去执行相应买入动作
if (x_pos != 0 or y_pos != 0):
symbols = ['y_symbol', 'x_symbol']
vt_symbol_dict = {
'y_symbol': self.y_symbol,
'x_symbol': self.x_symbol
}
pos_dict = {'y_symbol': y_pos, 'x_symbol': x_pos}
fixed_size_dict = {
'y_symbol': self.y_fixed_size,
'x_symbol': self.x_fixed_size
}
bar_dict = {
'y_symbol': bars[self.y_symbol].close_price,
'x_symbol': bars[self.x_symbol].close_price
}
for symbol in symbols:
# direction = self.open_direction_dict[symbol]
diff = int(np.abs(pos_dict[symbol] - fixed_size_dict[symbol]))
# 如果处于平仓状态：对没有平掉的仓位，进行平仓
if self.open_direction_dict[symbol] == 0:
if self.close_direction_dict[symbol] == -1:
self.sell(vt_symbol_dict[symbol],
bar_dict[symbol] * 0.95,
np.abs(pos_dict[symbol]))
elif self.close_direction_dict[symbol] == -1:
self.cover(vt_symbol_dict[symbol],
bar_dict[symbol] * 1.05,
np.abs(pos_dict[symbol]))
# 如果是处于持仓状态，对没有买到指定数量的品种，进行补仓
if self.open_direction_dict[symbol] != 0 and diff >= 1:
if self.open_direction_dict[symbol] == 1:
self.buy(vt_symbol_dict[symbol],
bar_dict[symbol] * 1.01, diff)
elif self.open_direction_dict[symbol] == -1:
self.short(vt_symbol_dict[symbol],
bar_dict[symbol] * 0.99, diff)
# 开仓逻辑判断，只有两个品种都是空仓的时候才会进行开仓
if x_pos == 0 and y_pos == 0:
# 做多价差开仓，加入对成交量过滤；
if self.spread_long_entry and self.spread_value <= self.spread_long_entry and self.spread_volume_filter:
self.buy(self.y_symbol, bars[self.y_symbol].close_price * 1.01,
self.y_fixed_size)
self.short(self.x_symbol,
bars[self.x_symbol].close_price * 0.99,
self.x_fixed_size)
self.open_direction_dict['y_symbol'] = 1
self.open_direction_dict['x_symbol'] = -1
self.close_direction_dict['y_symbol'] = 0
self.close_direction_dict['x_symbol'] = 0
# 退出点位
self.spread_long_exit = mean + self.long_exit_multiplier * std
self.spread_long_loss_exit = self.spread_value - self.difference_exit_num
print(
f'时间{bars[self.y_symbol].datetime}', '多开',
f'多{self.y_symbol} {self.y_fixed_size} 手 空{self.x_symbol} {self.x_fixed_size} 手',
f'价差{self.price_diff}')
# 做空价差开仓，加入对成交量过滤；
elif self.spread_short_entry and self.spread_value >= self.spread_short_entry and self.spread_volume_filter:
self.short(self.y_symbol,
bars[self.y_symbol].close_price * 0.99,
self.y_fixed_size)
self.buy(self.x_symbol, bars[self.x_symbol].close_price * 1.01,
self.x_fixed_size)
self.open_direction_dict['y_symbol'] = -1
self.open_direction_dict['x_symbol'] = 1
self.close_direction_dict['y_symbol'] = 0
self.close_direction_dict['x_symbol'] = 0
#退出点位
self.spread_short_exit = mean + self.short_exit_multiplier * std
self.spread_short_loss_exit = self.spread_value + self.difference_exit_num
print(
f'时间{bars[self.y_symbol].datetime}', '空开',
f'空{self.y_symbol} {self.y_fixed_size} 手 多{self.x_symbol} {self.x_fixed_size} 手',
f'价差{self.price_diff}')
def renew_hedge_ratio(self, bar: BarData):
"""
renew the hedge ratio
based on the passed days including the not trading days.
"""
# the last renew date
if not self.last_renew_date:
self.last_renew_date = bar.datetime
self.renew_date = self.last_renew_date + timedelta(
days=self.renew_interval)
return
if bar.datetime >= self.renew_date:
self.last_renew_date = bar.datetime
self.renew_date = self.last_renew_date + timedelta(
days=self.renew_interval)
X = self.ams[self.x_symbol].close[-self.hedge_ratio_window:]
X = sm.add_constant(X)
y = self.ams[self.y_symbol].close[-self.hedge_ratio_window:]
result = sm.OLS(y, X).fit()
hedge_ratio = result.params[1]
intercept = result.params[0]
for n in range(10):
mulitiplier_x = n * hedge_ratio
mulitipler_intercept = n * intercept
mulitipler = n
if int(mulitiplier_x) >= 1:
if hedge_ratio * self.x_multiplier < 0:
print(
'warning ! the hedge ratio direction is changed ')
self.x_multiplier = mulitiplier_x
self.y_multiplier = mulitipler
self.intercept = mulitipler_intercept
self.x_fixed_size = int(
np.abs(self.fixed_size * self.x_multiplier))
self.y_fixed_size = int(
np.abs(self.fixed_size * self.y_multiplier))
# print(f'the hedge ratio is updated at {bar.datetime}')
# print(f'hedge ratio is {self.x_multiplier}, intercept is {self.intercept}, multiplier is {self.y_multiplier}')
break
self.renew_status = True
else:
self.renew_status = False
class SimpleBollupSell(StrategyTemplate):
""""""
author = "yiran"
x_symbol: str = None
y_symbol: str = None
# 退出条件
hold_window: int = 100
profit_point: float = 20
exit_point: float = -5
# profit_pct: float = 0.2
# exit_pct: float = -0.06
#轨道宽度
entry_multiplier: float = 3
price_add = 2
# 可交易的价差范围
spread_low_range = 200
spread_high_range = 400
# 指标计算参数
std_window = 240*30
std_mean_window_ratio = 1
boll_up_cum_threshold = 10
#固定下单单位
fixed_size = 1
#价差值
spread_value: float = 0
# 用来过滤交易量低的情况
spread_volume_threshold = 20
spread_volume: float = 0
spread_volume_filter: bool = False
# 进场，出场点位的缓存
spread_long_entry: float = 0
spread_long_exit: float = 0
spread_short_loss_exit: float = 0
boll_up_cum = 0
day_cum = 0
day_cum_threshold = 5
# 盈利记录
last_short_trade_profit:bool = False
trade_date:datetime = None
stop_trade_date = 5
parameters = [
'entry_multiplier',
"fixed_size",
"std_window",
'std_mean_window_ratio',
'profit_point',
'exit_point',
'hold_window',
'boll_up_cum_threshold',
'day_cum_threshold',
'spread_low_range',
'spread_high_range'
]
variables = ["x_multiplier","y_multiplier",'x_pos_target','y_pos_target',"spread_volume_filter"]
def __init__(
self,
strategy_engine: StrategyEngine,
strategy_name: str,
vt_symbols: List[str],
setting: dict
):
""""""
super().__init__(strategy_engine, strategy_name, vt_symbols, setting)
self.last_tick_time: datetime = None
self.ams:Dict[str, ArrayManager] = {}
self.bgs: Dict[str, BarGenerator] = {}
# 策略内动态调整OLS相关参数,小数参数会被int（）
self.short_entry_multiplier = abs(self.entry_multiplier)
self.short_exit_multiplier = 0
self.long_entry_multiplier = -abs(self.entry_multiplier)
self.long_exit_multiplier = 0
self.mean_window = int(self.std_window * self.std_mean_window_ratio)
self.y_symbol = self.vt_symbols[0]
self.x_symbol = self.vt_symbols[1]
self.x_fixed_size = np.abs(self.fixed_size * 1)
self.y_fixed_size = np.abs(self.fixed_size * 1)
self.x_pos_target = 0
self.y_pos_target = 0
# 实例化缓存期货品种价格序列容器
for vt_symbol in self.vt_symbols:
self.ams[vt_symbol] = ArrayManager(size=max(self.std_window,self.mean_window)+50)
#实例化bg容器
for vt_symbol in self.vt_symbols:
def on_bar(bar: BarData):
""""""
pass
self.bgs[vt_symbol] = BarGenerator(on_bar)
# 实例化缓存价差价格序列容器
self.sam = SpreadArrayManager(size=max(self.std_window,self.mean_window)+50)
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bars(max(int(self.std_window/240),10))
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log("策略启动")
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log("策略停止")
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
if (
self.last_tick_time
and self.last_tick_time.minute != tick.datetime.minute
):
bars = {}
for vt_symbol, bg in self.bgs.items():
bars[vt_symbol] = bg.generate()
self.on_bars(bars)
bg: BarGenerator = self.bgs[tick.vt_symbol]
bg.update_tick(tick)
self.last_tick_time = tick.datetime
def on_bars(self, bars: Dict[str, BarData]):
""""""
self.cancel_all()
#初始化
if not self.trade_date:
self.trade_date = (bars[self.y_symbol].datetime)
self.last_short_trade_profit = True
# 一笔交易亏损停止交易天数
if not self.last_short_trade_profit:
if self.trade_date.date() != bars[self.y_symbol].datetime.date():
self.trade_date = bars[self.y_symbol].datetime
self.day_cum +=1
print(self.trade_date.date(), bars[self.y_symbol].datetime.date(),self.day_cum)
if self.day_cum > self.day_cum_threshold:
self.day_cum = 0
self.last_short_trade_profit = True
# 计算价差
# 将价差放入sam 进行后续技术指标计算
self.spread_value = self.y_fixed_size*(bars[self.y_symbol].close_price) - self.x_fixed_size*(bars[self.x_symbol].close_price)
self.spread_volume = min(bars[self.y_symbol].volume, bars[self.x_symbol].volume)
self.sam.update_spread(self.spread_value, self.spread_volume)
# 成交量过滤，成交量低于指定阈值将不会进行操作
if self.spread_volume < self.spread_volume_threshold:
self.spread_volume_filter = False
else:
self.spread_volume_filter = True
if not self.sam.inited:
return
# 计算技术指标
sam = self.sam
std = sam.std(self.std_window)
mean = sam.sma(self.mean_window)
# 计算是否满足做多价差要求
spread_long_entry = mean + self.long_entry_multiplier * std
# 计算连续突破的个数
if self.spread_value > spread_long_entry:
self.boll_up_cum += 1
else:
self.boll_up_cum = 0
# 获取每个品种持仓
self.x_pos = self.get_pos(self.x_symbol)
self.y_pos = self.get_pos(self.y_symbol)
if self.x_pos == 0 and self.y_pos == 0:
# 多开
if self.boll_up_cum>self.boll_up_cum_threshold and self.spread_value >= self.spread_long_entry and self.spread_volume_filter:
#if self.last_short_trade_profit:
if self.last_short_trade_profit and self.spread_low_range<self.spread_value<self.spread_high_range:
self.y_pos_target = -self.y_fixed_size
self.x_pos_target = self.x_fixed_size
self.hold_time = 0
self.start_order = True
self.boll_up_cum = 0
self.trade_date = (bars[self.y_symbol].datetime)
# print(self.spread_short_loss_exit,self.spread_short_profit_exit,self.difference_exit_num,self.spread_value - self.difference_exit_num)
print(f'时间{bars[self.y_symbol].datetime}','空开 ',f'空{self.y_symbol} {self.y_fixed_size} 手 多{self.x_symbol} {self.x_fixed_size} 手',f'价差{self.spread_value}')
else:
self.start_order = False
return
elif self.y_pos < 0 and self.x_pos > 0 :
self.boll_up_cum = 0
if self.start_order:
# 近似实际开仓价格
# self.spread_short_profit_exit = self.spread_value*(1+self.profit_pct)
self.spread_short_profit_exit = self.spread_value - self.profit_point
# self.spread_short_loss_exit = self.spread_value*(1+self.exit_pct)
self.spread_short_loss_exit = self.spread_value - self.exit_point
self.trade_date = bars[self.y_symbol].datetime
self.start_order = False
print(f'时间{bars[self.y_symbol].datetime},{self.spread_short_profit_exit},{self.spread_short_loss_exit}')
# 持仓周期计算
if self.hold_time < self.hold_window:
self.hold_time += 1
elif self.hold_time >= self.hold_window:
self.y_pos_target = 0
self.x_pos_target = 0
self.trade_date =(bars[self.y_symbol].datetime)
self.last_short_trade_profit = False
print(f'时间{bars[self.y_symbol].datetime}','空平 超出持仓时间',f'平空{self.y_symbol} {self.y_fixed_size} 手 平多{self.x_symbol} {self.x_fixed_size} 手',f'价差{self.spread_value} {self.hold_time} {self.profit_point}{self.trade_date}{self.last_short_trade_profit}')
self.hold_time = 0
# 多平止盈
if self.spread_value <= self.spread_short_profit_exit:
self.y_pos_target = 0
self.x_pos_target = 0
self.last_short_trade_profit = False
self.hold_time = 0
self.trade_date =(bars[self.y_symbol].datetime)
print(f'时间{bars[self.y_symbol].datetime}','空平 止盈',f'平空{self.y_symbol} {self.y_fixed_size} 手 平多{self.x_symbol} {self.x_fixed_size} 手',f'价差{self.spread_value}')
# 多平止损
elif self.spread_value >= self.spread_short_loss_exit:
self.y_pos_target = 0
self.x_pos_target = 0
self.last_short_trade_profit = False
self.hold_time = 0
self.trade_date = (bars[self.y_symbol].datetime)
print(f'时间{bars[self.y_symbol].datetime}','空平 止损',f'平空{self.y_symbol} {self.y_fixed_size} 手 平多{self.x_symbol} {self.x_fixed_size} 手',f'价差{self.spread_value}')
target = {self.x_symbol:self.x_pos_target,
self.y_symbol:self.y_pos_target}
for vt_symbol in self.vt_symbols:
target_pos = target[vt_symbol]
current_pos = self.get_pos(vt_symbol)
pos_diff = target_pos - current_pos
volume = abs(pos_diff)
bar = bars[vt_symbol]
if pos_diff > 0:
price = bar.close_price + self.price_add
if current_pos < 0:
self.cover(vt_symbol, price, volume)
else:
self.buy(vt_symbol, price, volume)
elif pos_diff < 0:
price = bar.close_price - self.price_add
if current_pos > 0:
self.sell(vt_symbol, price, volume)
else:
self.short(vt_symbol, price, volume)
class DynamicResidualModelStrategy(StrategyTemplate):
""""""
author = "yiran"
x_symbol: str = None
y_symbol: str = None
# 策略内动态调整周期
# 天数
renew_interval: int = 7
# 分钟线数据，90天约等于90*240
hedge_ratio_window: int = 240
#轨道宽度
entry_multiplier: float = 3
price_add = 5
# 预期价差盈利
difference_filter_num: float = 50
difference_exit_rato: float = 1
# 预期止盈为预期价差盈利的1/2
# 指标计算参数
std_window = 240
std_mean_window_ratio = 0.5
#固定下单单位
fixed_size = 1
#价差值
spread_value: float = 0
# 用来过滤交易量低的情况
spread_volume_threshold = 0
spread_volume: float = 0
spread_volume_filter: bool = False
# 进场，出场点位的缓存
spread_long_entry: float = 0
spread_long_exit: float = 0
spread_long_loss_exit: float = 0
spread_short_entry: float = 0
spread_short_exit: float = 0
spread_short_loss_exit: float = 0
#用来判断操作价差的方向
open_direction_dict: Dict[str, float] = {}
close_direction_dict: Dict[str, float] = {}
# 用来进行参数更新判断
last_renew_date: datetime = None
renew_date: datetime = None
renew_status: bool = False
# 盈利记录
last_long_trade_profit: bool = False
last_short_trade_profit: bool = False
parameters = [
"renew_interval", "hedge_ratio_window", 'entry_multiplier',
"fixed_size", "std_window", "difference_filter_num"
]
variables = [
"x_multiplier", "y_multiplier", 'x_pos_target', 'y_pos_target',
"spread_volume_filter"
]
spread_record = []
datetime_record = []
volume_record = []
def __init__(self, strategy_engine: StrategyEngine, strategy_name: str,
vt_symbols: List[str], setting: dict):
""""""
super().__init__(strategy_engine, strategy_name, vt_symbols, setting)
self.last_tick_time: datetime = None
self.ams: Dict[str, ArrayManager] = {}
self.bgs: Dict[str, BarGenerator] = {}
# 策略内动态调整OLS相关参数,小数参数会被int（）
self.x_multiplier = 0
self.y_multiplier = 1
# 不考虑intercept
self.intercept = 0
self.short_entry_multiplier = abs(self.entry_multiplier)
self.short_exit_multiplier = 0
self.long_entry_multiplier = -abs(self.entry_multiplier)
self.long_exit_multiplier = 0
self.mean_window = int(self.std_window * self.std_mean_window_ratio)
self.difference_exit_num = self.difference_filter_num * self.difference_exit_rato
self.y_symbol = self.vt_symbols[0]
self.x_symbol = self.vt_symbols[1]
self.x_fixed_size = np.abs(self.fixed_size * self.x_multiplier)
self.y_fixed_size = np.abs(self.fixed_size * self.y_multiplier)
self.x_pos_target = 0
self.y_pos_target = 0
self.spread_record = []
self.datetime_record = []
self.volume_record = []
# 实例化缓存期货品种价格序列容器
for vt_symbol in self.vt_symbols:
self.ams[vt_symbol] = ArrayManager(size=self.hedge_ratio_window +
50)
#实例化bg容器
for vt_symbol in self.vt_symbols:
def on_bar(bar: BarData):
""""""
pass
self.bgs[vt_symbol] = BarGenerator(on_bar)
# 实例化缓存价差价格序列容器
self.sam = SpreadArrayManager(
size=max(self.std_window, self.mean_window) + 50)
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bars(20)
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log("策略启动")
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log("策略停止")
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
if (self.last_tick_time
and self.last_tick_time.minute != tick.datetime.minute):
bars = {}
for vt_symbol, bg in self.bgs.items():
bars[vt_symbol] = bg.generate()
self.on_bars(bars)
bg: BarGenerator = self.bgs[tick.vt_symbol]
bg.update_tick(tick)
self.last_tick_time = tick.datetime
def on_bars(self, bars: Dict[str, BarData]):
""""""
self.cancel_all()
# OLS动态线性回归，需要缓存close_array
self.ams[self.y_symbol].update_bar(bars[self.y_symbol])
self.ams[self.x_symbol].update_bar(bars[self.x_symbol])
# 动态线性回归函数
# 计算价差
# 将价差放入sam 进行后续技术指标计算
self.spread_value = (bars[self.y_symbol].close_price) - (
bars[self.x_symbol].close_price)
self.spread_volume = min(bars[self.y_symbol].volume,
bars[self.x_symbol].volume)
self.sam.update_spread(self.spread_value, self.spread_volume)
self.spread_record.append(self.spread_value)
self.datetime_record.append(bars[self.y_symbol].datetime)
self.volume_record.append(
min(bars[self.y_symbol].volume, bars[self.x_symbol].volume))