def addPosOrder(self, bar, addPosSignal):
buyExecute, shortExecute = self.priceExecute(bar)
holdLong = len(self.orderDict['orderFirstLongSet']|self.orderDict['orderSecondLongSet'])>0
holdShort = len(self.orderDict['orderFirstShortSet']|self.orderDict['orderSecondShortSet'])>0
algorithm = hlBreakSignal()
if not (holdLong or holdShort):
self.nPos = 0
self.orderLastList = []
else:
lastOrderID = self.orderLastList[-1]
op = self._orderPacks[lastOrderID]
lastOrder = op.order.price_avg
if lastOrder!=0:
if addPosSignal:
if op.order.direction == constant.DIRECTION_LONG and (self.nPos < self.posTime):
if ((bar.close/lastOrder - 1) >= self.addPct) and ((bar.close/lastOrder - 1)<=2*self.addPct):
self.nPos += 1
addPosLot = algorithm.addLotList(self.paraDict)[self.nPos-1]*self.lot*self.lotMultipler
for orderID in self.timeLimitOrder(ctaBase.CTAORDER_BUY, bar.vtSymbol, buyExecute, max(addPosLot,1), 60).vtOrderIDs:
self.globalStatus['addPos'] = (self.nPos, addPosLot)
self.orderLastList.append(orderID)
addOp = self._orderPacks[orderID]
self.orderDict['addLongSet'].add(orderID)
elif op.order.direction == constant.DIRECTION_SHORT and (self.nPos < self.posTime):
if ((lastOrder/bar.close - 1) >= self.addPct) and ((lastOrder/bar.close - 1) <= 2*self.addPct):
self.nPos += 1
addPosLot = algorithm.addLotList(self.paraDict)[self.nPos-1]*self.lot*self.lotMultipler
for orderID in self.timeLimitOrder(ctaBase.CTAORDER_SHORT, bar.vtSymbol, shortExecute, max(addPosLot,1), 60).vtOrderIDs:
self.globalStatus['addPos'] = (self.nPos, addPosLot)
self.orderLastList.append(orderID)
addOp = self._orderPacks[orderID]
self.orderDict['addShortSet'].add(orderID)
def addPosSignal(self, addPosPeriod):
dsCanAddPos = 0
arrayPrepared, amAddPos = self.arrayPrepared(addPosPeriod)
if arrayPrepared:
algorithm = hlBreakSignal()
dsCanAddPos, dsSma, dsLma = algorithm.dsAdd(amAddPos, self.paraDict)
return dsCanAddPos
def entrySignal(self, envPeriod, filterPeriod, signalPeriod, tradePeriod):
entrySignal = 0
arrayPrepared1, amEnv = self.arrayPrepared(envPeriod)
arrayPrepared2, amFilter = self.arrayPrepared(filterPeriod)
arrayPrepared3, amSignal = self.arrayPrepared(signalPeriod)
arrayPrepared4, amTrade = self.arrayPrepared(tradePeriod)
arrayPrepared = arrayPrepared1 and arrayPrepared2 and arrayPrepared3 and arrayPrepared4
if arrayPrepared:
algorithm = hlBreakSignal()
adxCanTrade, adxTrend = algorithm.adxEnv(amEnv, self.paraDict)
filterCanTrade, highVolPos = algorithm.fliterVol(
amFilter, self.paraDict)
if adxCanTrade == 1:
highEntryBand, lowEntryBand = algorithm.hlEntryNorrowBand(
amSignal, self.paraDict)
filterVCanTrade = algorithm.filterNorrowPatternV(
amSignal, self.paraDict)
else:
highEntryBand, lowEntryBand = algorithm.hlEntryWideBand(
amSignal, self.paraDict)
filterVCanTrade = algorithm.filterWidePatternV(
amSignal, self.paraDict)
breakHighest = (amTrade.close[-1] > highEntryBand[-2]) and (
amTrade.close[-2] <= highEntryBand[-2])
breakLowest = (amTrade.close[-1] < lowEntryBand[-2]) and (
amTrade.close[-2] >= lowEntryBand[-2])
self.globalStatus['adxCanTrade'] = adxCanTrade
self.globalStatus['filterCanTrade'] = filterCanTrade
self.globalStatus['breakHighest'] = breakHighest
self.globalStatus['breakLowest'] = breakLowest
self.globalStatus['adxTrend'] = adxTrend[-1]
self.globalStatus['highEntryBand'] = highEntryBand[-1]
self.globalStatus['lowEntryBand'] = lowEntryBand[-1]
if highVolPos:
self.lotMultipler = 0.5
else:
self.lotMultipler = 1
if (filterCanTrade == 1) and (filterVCanTrade == 1):
if not self.isStopControled():
if breakHighest:
entrySignal = 1
elif breakLowest:
entrySignal = -1
return entrySignal
def exitSignal(self, envPeriod, signalPeriod, addPosPeriod):
highExitBand, lowExitBand = np.array([]) , np.array([])
dsCanAddPos = 0
arrayPrepared1, amEnv = self.arrayPrepared(envPeriod)
arrayPrepared2, amSignal = self.arrayPrepared(signalPeriod)
arrayPrepared3, amAddPos = self.arrayPrepared(addPosPeriod)
if arrayPrepared1 and arrayPrepared2 and arrayPrepared3:
algorithm = hlBreakSignal()
adxCanTrade, adxTrend = algorithm.adxEnv(amEnv, self.paraDict)
if adxCanTrade ==1:
highExitBand, lowExitBand = algorithm.hlExitWideBand(amSignal, self.paraDict)
else:
highExitBand, lowExitBand = algorithm.hlExitNorrowBand(amSignal, self.paraDict)
dsCanAddPos, dsSma, dsLma = algorithm.dsAdd(amAddPos, self.paraDict)
return highExitBand, lowExitBand, dsCanAddPos
def __init__(self, ctaEngine, setting):
super().__init__(ctaEngine, setting)
self.paraDict = setting
self.barPeriod = 900
self.nPos = 0
self.lot = 0
self.symbol = self.symbolList[0]
self.orderAllList = []
# 实例化信号
self.algorithm = hlBreakSignal()
# 订单的集合
self.orderDict = {
'orderLongSet': set(),
'orderShortSet': set(),
'order2LongSet': set(),
'order2ShortSet': set(),
'addLongSet': set(),
'addShortSet': set(),
}
# 画图数据的字典
self.chartLog = {
'datetime': [],
'highEntryBand': [],
'lowEntryBand': [],
# 'density': [],
'dsSma': [],
'dsLma': [],
'cmiMa': [],
'atr': [],
'rsi': [],
'sma': [],
'lma': [],
'ema': []
# 'delayHigh':[],
# 'delayLow':[],
# 'newHigh':[],
# 'newLow':[],
}
# 打印全局信号的字典
self.globalStatus = {}