def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super(BollChannelStrategy, self).__init__(cta_engine, strategy_name,
vt_symbol, setting)
self.bg = BarGenerator(self.on_bar, 15, self.on_15min_bar)
self.am = ArrayManager()
class Single_bar:
"""
用来生成单品种的K线
"""
def __init__(self, strategy: StrategyTemplate, vt_symbol: str):
""""""
# 和portfolio的接口
self.portfolio = strategy
self.vt_symbol = vt_symbol
# 需要合成的K线周期设置
self.bar_interval = self.portfolio.bar_interval
self.bar_frequency = self.portfolio.bar_frequency
# K线合成工具和储存容器
self.bg = BarGenerator(self.on_bar, self.bar_interval,
self.on_5min_bar, self.bar_frequency)
self.am = ArrayManager()
# K线合成计数
self.bar_count = 0
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg.update_bar(bar)
def on_5min_bar(self, bar: BarData):
""""""
self.bar_count += 1
self.am.update_bar(bar)
def __init__(self, strategy_engine, strategy_name: str, spread: SpreadData,
setting: dict):
""""""
super().__init__(strategy_engine, strategy_name, spread, setting)
self.bg = BarGenerator(self.on_spread_bar)
self.am = ArrayManager()
class Ma1(CtaTemplate):
author = "李鹏"
fast_window = 10
slow_window = 20
fixed_size = 1
fast_ma1 = 0.0
fast_ma2 = 0.0
slow_ma1 = 0.0
slow_ma2 = 0.0
parameters = ["fast_window", "slow_window", "fixed_size"]
variables = ["fast_ma1", "fast_ma2", "slow_ma1", "slow_ma2"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
super(Ma1, self).__init__(cta_engine, strategy_name, vt_symbol, setting)
# K 线生成器，用来生成分钟K线 小时K线 日K线 或者周K线 主要是根据tick线生成K线
self.bg = BarGenerator(self.on_bar)
# K线序列管理器
self.am = ArrayManager()
def on_init(self):
self.write_log("策略初始化")
self.load_bar(20)
def on_start(self):
self.write_log("策略启动")
def on_tick(self, tick: TickData):
self.bg.update_tick(tick)
def on_bar(self, bar: BarData):
# 默认的分钟K线更新，除了tick级别和分钟K线级别是这两个，其他上层级别可自己定义
am = self.am
am.update_bar(bar)
if not am.inited:
return
fast_ma = am.sma(self.fast_window, array=True)
# 获取最新的快速均线值，因为每根K线都是在形成后才调用的这个函数，所以不用刻意的向前跳
self.fast_ma1 = fast_ma[-1]
self.fast_ma2 = fast_ma[-2]
slow_ma = am.sma(self.slow_window, array=True)
self.slow_ma1 = slow_ma[-1]
self.slow_ma2 = slow_ma[-2]
# 上穿和下穿的标志
cross_over = self.fast_ma1 > self.slow_ma1 and self.fast_ma2 < self.slow_ma2
cross_below = self.fast_ma1 < self.slow_ma1 and self.fast_ma2 > self.slow_ma2
if cross_over:
if self.pos == 0:
# 当前空仓就多头开仓
self.buy(bar.close_price, self.fixed_size) # 多头开仓，买开
elif self.pos < 0:
# 当前空头持仓，就平掉空仓，再多头开仓
self.cover(bar.close_price, self.fixed_size) # 空头平仓，买平
self.buy(bar.close_price, self.fixed_size) # 买开
if cross_below:
if self.pos == 0:
self.short(bar.close_price, self.fixed_size)
elif self.pos > 0:
self.sell(bar.close_price, self.fixed_size)
self.short(bar.close_price, self.fixed_size)
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super(TurtleSignalStrategy, self).__init__(cta_engine, strategy_name,
vt_symbol, setting)
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super(DualThrustStrategy, self).__init__(cta_engine, strategy_name,
vt_symbol, setting)
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
self.bars = []
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super(KingKeltnerStrategy, self).__init__(
cta_engine, strategy_name, vt_symbol, setting
)
self.bg = BarGenerator(self.on_bar, 5, self.on_5min_bar)
self.am = ArrayManager()
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.vt_symbol = vt_symbols[0]
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
def __init__(self, fast_window: int, slow_window: int):
""""""
super(MaSignal, self).__init__()
self.fast_window = fast_window
self.slow_window = slow_window
self.bg = BarGenerator(self.on_bar, 5, self.on_5min_bar)
self.am = ArrayManager()
def to_1m_bar(self):
'''
这里用的vnpy的BarGenerator，从tick数据生成1m bar数据
'''
bars = []
def on_bar(bar):
bars.append(bar)
bargenerator = BarGenerator(on_bar=on_bar)
for tick in self.to_vnpy_tick():
bargenerator.update_tick(tick)
return bars
def __init__(self, rsi_window: int, rsi_level: float):
"""Constructor"""
super(RsiSignal, self).__init__()
self.rsi_window = rsi_window
self.rsi_level = rsi_level
self.rsi_long = 50 + self.rsi_level
self.rsi_short = 50 - self.rsi_level
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
def __init__(self, cci_window: int, cci_level: float):
""""""
super(CciSignal, self).__init__()
self.cci_window = cci_window
self.cci_level = cci_level
self.cci_long = self.cci_level
self.cci_short = -self.cci_level
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
def __init__(self, strategy_engine, strategy_name: str, spread: SpreadData,
setting: dict):
""""""
super().__init__(strategy_engine, strategy_name, spread, setting)
self.bg = BarGenerator(self.on_open_spread_bar, self.open_window,
self.on_open_spread_bar)
self.am = ArrayManager()
self.spread_pos = 0.0
self.boll_up = 0.0
self.boll_down = 0.0
self.boll_mid = 0.0
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super(MultiTimeframeStrategy, self).__init__(cta_engine, strategy_name,
vt_symbol, setting)
self.rsi_long = 50 + self.rsi_signal
self.rsi_short = 50 - self.rsi_signal
self.bg5 = BarGenerator(self.on_bar, 5, self.on_5min_bar)
self.am5 = ArrayManager()
self.bg15 = BarGenerator(self.on_bar, 15, self.on_15min_bar)
self.am15 = ArrayManager()
def __init__(self, strategy_engine: StrategyEngine, strategy_name: str,
vt_symbols: List[str], setting: dict):
super(TurtleStrategy, self).__init__(strategy_engine, strategy_name,
vt_symbols, setting)
self.vt_symbols = vt_symbols
# 合约的list
self.total_long = 0
# 所有合约的多仓位和
self.total_short = 0
# 所有合约的空仓位和
self.context = {
symbol: {
'entry_long': 0, # 开/加多仓价格阈值
'entry_short': 0, # 开/加空仓价格阈值
'exit_long': 0, # 平多仓价格阈值
'exit_short': 0, # 平空仓价格阈值
'atr_value': 0, # ATR
'stop_loss_long': 0, # 多仓止损价格
'stop_loss_short': 0, # 空仓止损价格
'multiplier': 0, # 合约规模
'unit': 0, # 仓位
'am': ArrayManager(),
}
for symbol in vt_symbols
}
def on_bar(bar: BarData):
pass
self.bgs = {symbol: BarGenerator(on_bar)
for symbol in vt_symbols}
self.last_tick_time: datetime = None
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.bgs: Dict[str, BarGenerator] = {}
self.targets: Dict[str, int] = {}
self.last_tick_time: datetime = None
self.amplitude_data: Dict[str, np.array] = {}
self.volitility_data: Dict[str, int] = {}
self.sorted_volitility_data: list[np.array] = []
self.selected_symbols: list[str] = []
self.bar_count: int = 0
for vt_symbol in self.vt_symbols:
self.amplitude_data[vt_symbol] = np.zeros(volitility_window)
self.volitility_data[vt_symbol] = np.zeros(1)
# Obtain contract info
#self.leg1_symbol, self.leg2_symbol = vt_symbols
def on_bar(bar: BarData):
""""""
pass
for vt_symbol in self.vt_symbols:
self.targets[vt_symbol] = 0
self.bgs[vt_symbol] = BarGenerator(on_bar, Interval.Day)
def new_chart(self) -> None:
""""""
# Filter invalid vt_symbol
vt_symbol = self.symbol_line.text()
if not vt_symbol:
return
if vt_symbol in self.charts:
return
contract = self.main_engine.get_contract(vt_symbol)
if not contract:
return
# Create new chart
self.bgs[vt_symbol] = BarGenerator(self.on_bar)
chart = self.create_chart()
self.charts[vt_symbol] = chart
self.tab.addTab(chart, vt_symbol)
# Query history data
end = datetime.now(get_localzone())
start = end - timedelta(days=5)
self.chart_engine.query_history(vt_symbol, Interval.MINUTE, start, end)
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.bgs: Dict[str, BarGenerator] = {}
self.ams: Dict[str, ArrayManager] = {}
self.rsi_data: Dict[str, float] = {}
self.atr_data: Dict[str, float] = {}
self.atr_ma: Dict[str, float] = {}
self.intra_trade_high: Dict[str, float] = {}
self.intra_trade_low: Dict[str, float] = {}
self.targets: Dict[str, int] = {}
self.last_tick_time: datetime = None
# Obtain contract info
for vt_symbol in self.vt_symbols:
def on_bar(bar: BarData):
""""""
pass
self.bgs[vt_symbol] = BarGenerator(on_bar)
self.ams[vt_symbol] = ArrayManager()
self.targets[vt_symbol] = 0
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.bgs: Dict[str, BarGenerator] = {}
self.last_tick_time: datetime = None
# Obtain contract info
for vt_symbol in self.vt_symbols:
symbol, exchange = extract_vt_symbol(vt_symbol)
if "C" in symbol:
self.call_symbol = vt_symbol
_, strike_str = symbol.split("-C-") # For CFFEX/DCE options
self.strike_price = int(strike_str)
elif "P" in symbol:
self.put_symbol = vt_symbol
else:
self.futures_symbol = vt_symbol
def on_bar(bar: BarData):
""""""
pass
self.bgs[vt_symbol] = BarGenerator(on_bar)
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.bgs: Dict[str, BarGenerator] = {}
self.targets: Dict[str, int] = {}
self.last_tick_time: datetime = None
self.spread_count: int = 0
self.spread_data: np.array = np.zeros(100)
# Obtain contract info
self.leg1_symbol, self.leg2_symbol = vt_symbols
def on_bar(bar: BarData):
""""""
pass
for vt_symbol in self.vt_symbols:
self.targets[vt_symbol] = 0
self.bgs[vt_symbol] = BarGenerator(on_bar)
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.bgs: Dict[str, BarGenerator] = {}
self.last_tick_time: datetime = None
for vt_symbol in self.vt_symbols:
def on_bar(bar: BarData):
""""""
pass
self.bgs[vt_symbol] = BarGenerator(on_bar)
# 单品种K线合成class
self.bars = {}
for vt_symbol in self.vt_symbols:
self.bars[vt_symbol] = Single_bar(self, vt_symbol)
self.y_symbol = vt_symbols[0]
self.x_symbol = vt_symbols[1]
# 单品种K线获取接口
self.am1 = self.bars[self.y_symbol].am
self.am2 = self.bars[self.x_symbol].am
# 用来计算是否合成了一根bar
self.bar_count = 1
self.df = []
self.mean = []
self.std = []
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 __init__(self, strategy: StrategyTemplate, vt_symbol: str):
""""""
# 和portfolio的接口
self.portfolio = strategy
self.vt_symbol = vt_symbol
# 需要合成的K线周期设置
self.bar_interval = self.portfolio.bar_interval
self.bar_frequency = self.portfolio.bar_frequency
# K线合成工具和储存容器
self.bg = BarGenerator(self.on_bar, self.bar_interval,
self.on_5min_bar, self.bar_frequency)
self.am = ArrayManager()
# K线合成计数
self.bar_count = 0
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super(MarketMakerStrategy, self).__init__(
cta_engine, strategy_name, vt_symbol, setting
)
self.bg = BarGenerator(self.on_bar)
# 创建Array队列
self.tickArray = TickArrayManager(self.tickSize)
self.entrust = 0
self.min_diff = 0.001
self.ask_price = 0
self.bid_price = 0
self.order_time = 0
def get_bar_generator(self, vt_symbol: str):
""""""
bg = self.bar_generators.get(vt_symbol, None)
if not bg:
bg = BarGenerator(self.record_bar)
self.bar_generators[vt_symbol] = bg
return bg
def __init__(self, strategy: StrategyTemplate, vt_symbol: str):
""""""
self.portfolio = strategy
self.vt_symbol = vt_symbol
self.long_ma_window = self.portfolio.long_ma_window
self.short_ma_window = self.portfolio.short_ma_window
self.trailing_percent = self.portfolio.trailing_percent
self.fixed_size = self.portfolio.fixed_size
self.long_ma_value = 0
self.short_ma_value = 0
self.intra_trade_high = 0
self.intra_trade_low = 0
self.bg = BarGenerator(self.on_bar, 5, self.on_5min_bar)
self.am = ArrayManager()
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.bgs: Dict[str, BarGenerator] = {}
self.ams: Dict[str, ArrayManager] = {}
self.intra_trade_lows: Dict[str, float] = {}
self.intra_trade_highs: Dict[str, float] = {}
self.atr_values: Dict[str, float] = {}
self.atr_mas: Dict[str, float] = {}
self.rsi_values: Dict[str, float] = {}
def on_bar(bar: BarData):
""""""
pass
self.bgs[self.vt_symbols[0]] = BarGenerator(on_bar, 15,
self.on_15min_symbol_bar1)
self.bgs[self.vt_symbols[1]] = BarGenerator(on_bar, 15,
self.on_15min_symbol_bar2)
# self.bgs[self.vt_symbols[2]] = BarGenerator(on_bar,15,self.on_15min_symbol_bar3)
self.ams[self.vt_symbols[0]] = ArrayManager()
self.ams[self.vt_symbols[1]] = ArrayManager()
# self.ams[self.vt_symbols[2]] = ArrayManager()
self.intra_trade_lows[self.vt_symbols[0]] = 0
self.intra_trade_lows[self.vt_symbols[1]] = 0
# self.intra_trade_lows[self.vt_symbols[2]] = 0
self.intra_trade_highs[self.vt_symbols[0]] = 0
self.intra_trade_highs[self.vt_symbols[1]] = 0
# self.intra_trade_highs[self.vt_symbols[2]] = 0
self.atr_values[self.vt_symbols[0]] = 0
self.atr_values[self.vt_symbols[1]] = 0
# self.atr_values[self.vt_symbols[2]] = 0
self.atr_mas[self.vt_symbols[0]] = 0
self.atr_mas[self.vt_symbols[1]] = 0
# self.atr_mas[self.vt_symbols[2]] = 0
self.rsi_values[self.vt_symbols[0]] = 0
self.rsi_values[self.vt_symbols[1]] = 0
def __init__(self, strategy: StrategyTemplate, vt_symbol: str):
""""""
self.portfolio = strategy
self.vt_symbol = vt_symbol
self.fast_period = self.portfolio.fast_period
self.slow_period = self.portfolio.slow_period
self.signal_period = self.portfolio.signal_period
self.trailing_percent = self.portfolio.trailing_percent
self.fixed_size = self.portfolio.fixed_size
self.bar_interval = self.portfolio.bar_interval
self.bar_frequency = self.portfolio.bar_frequency
self.macd_value = 0
self.intra_trade_high = 0
self.intra_trade_low = 0
self.bg = BarGenerator(self.on_bar, self.bar_interval,
self.on_5min_bar, self.bar_frequency)
self.am = ArrayManager()
class MaSignal(CtaSignal):
""""""
def __init__(self, fast_window: int, slow_window: int):
""""""
super(MaSignal, self).__init__()
self.fast_window = fast_window
self.slow_window = slow_window
self.bg = BarGenerator(self.on_bar, 5, self.on_5min_bar)
self.am = ArrayManager()
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.bg.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg.update_bar(bar)
def on_5min_bar(self, bar: BarData):
""""""
self.am.update_bar(bar)
if not self.am.inited:
self.set_signal_pos(0)
fast_ma = self.am.sma("c", self.fast_window)
slow_ma = self.am.sma("c", self.slow_window)
if fast_ma > slow_ma:
self.set_signal_pos(1)
elif fast_ma < slow_ma:
self.set_signal_pos(-1)
else:
self.set_signal_pos(0)
def show_corr_chart(self, r, c):
self._selected_row = r
_end = self.corr_table.item(r, 0).text()
source_data = self.raw_data['HSI']
forward = 1
start = self.data.shift(self.period).asof(_end).datetime
end = self.data.shift(-forward).asof(_end).datetime
data = source_data.loc[start:end]
self.source_chart_widget.clear_all()
# barList = []
if self.interval >= 60:
self.bar_generator = BarGenerator(None, 1, self.source_chart_widget.update_bar, Interval.HOUR)
else:
self.bar_generator = BarGenerator(None, self.interval, self.source_chart_widget.update_bar, Interval.MINUTE)
for _, d in data.iterrows():
b = BarData('KRData', d.code, Exchange.HKFE, d.datetime, None,
d.volume, 0, d.open, d.high, d.low, d.close)
self.bar_generator.update_bar(b)
if d.datetime == parser.parse(_end):
last_bar = self.source_chart_widget._manager.get_bar(self.source_chart_widget.last_ix)
self.source_chart_widget.add_splitLine(last_bar.datetime)