class Down2PctStrategy(Strategy):
def __init__(self, stg_id: str, stg_cls: str, state: StrategyState = None):
super(Down2PctStrategy, self).__init__(stg_id=stg_id, stg_cls=stg_cls, state=state)
self.day_count = 0
self.order = None
def _start(self, app_context: Context) -> None:
self.qty = self._get_stg_config("qty", default=1)
self.close = self.app_context.inst_data_mgr.get_series(
"Bar.%s.Time.86400" % app_context.config.get_app_config("instrumentIds")[0])
self.close.start(app_context)
self.roc = ROC(inputs=self.close, input_keys='close', length=1)
self.roc.start(app_context)
super(Down2PctStrategy, self)._start(app_context)
def _stop(self):
super(Down2PctStrategy, self)._stop()
def on_bar(self, bar):
if self.order is None:
if self.roc.now('value') < -0.02:
# logger.info("%s,B,%.2f" % (bar.timestamp, bar.close))
self.order = self.market_order(inst_id=bar.inst_id, action=Buy, qty=self.qty)
self.day_count = 0
else:
self.day_count += 1
if self.day_count >= 5:
# logger.info("%s,S,%.2f" % (bar.timestamp, bar.close))
self.market_order(inst_id=bar.inst_id, action=Sell, qty=self.qty)
self.order = None
class Down2PctStrategy(Strategy):
def __init__(self, stg_id=None, stg_configs=None):
super(Down2PctStrategy, self).__init__(stg_id=stg_id, stg_configs=stg_configs)
self.day_count = 0
self.order = None
def _start(self, app_context, **kwargs):
self.qty = self.get_stg_config_value("qty", 1)
self.close = self.app_context.inst_data_mgr.get_series(
"Bar.%s.Time.86400" % self.app_context.app_config.instrument_ids[0])
self.close.start(app_context)
self.roc = ROC(self.close, 'close', 1)
self.roc.start(app_context)
super(Down2PctStrategy, self)._start(app_context, **kwargs)
def _stop(self):
super(Down2PctStrategy, self)._stop()
def on_bar(self, bar):
if self.order is None:
if self.roc.now('value') < -0.02:
#logger.info("%s,B,%.2f" % (bar.timestamp, bar.close))
self.order = self.market_order(inst_id=bar.inst_id, action=OrdAction.BUY, qty=self.qty)
self.day_count = 0
else:
self.day_count += 1
if self.day_count >= 5:
#logger.info("%s,S,%.2f" % (bar.timestamp, bar.close))
self.market_order(inst_id=bar.inst_id, action=OrdAction.SELL, qty=self.qty)
self.order = None
def _start(self, app_context: Context) -> None:
self.qty = self._get_stg_config("qty", default=1)
self.close = self.app_context.inst_data_mgr.get_series(
"Bar.%s.Time.86400" % app_context.config.get_app_config("instrumentIds")[0])
self.close.start(app_context)
self.roc = ROC(inputs=self.close, input_keys='close', length=1)
self.roc.start(app_context)
super(Down2PctStrategy, self)._start(app_context)
def _start(self, app_context, **kwargs):
self.qty = self.get_stg_config_value("qty", 1)
self.close = self.app_context.inst_data_mgr.get_series(
"Bar.%s.Time.86400" % self.app_context.app_config.instrument_ids[0])
self.close.start(app_context)
self.roc = ROC(self.close, 'close', 1)
self.roc.start(app_context)
super(Down2PctStrategy, self)._start(app_context, **kwargs)
