def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = BarGenerator(self.on_bar, 15, self.on_15min_bar)
self.am = ArrayManager()
self.day_start = time(9, 30)
self.day_end = time(16, 0)
class SMA2Strategy(CtaTemplate):
author = "vnpy course"
# 定義參數
fast_window = 5
slow_window = 20
fixed_size = 1
# 定義變數
fast_ma0 = 0
fast_ma1 = 0
slow_ma0 = 0
slow_ma1 = 0
parameters = ["fast_window", "slow_window", "fixed_size"]
variables = ["fast_ma0", "fast_ma1", "slow_ma0", "slow_ma1"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = BarGenerator(self.on_bar, 15, self.on_15min_bar)
self.am = ArrayManager()
self.day_start = time(9, 30)
self.day_end = time(16, 0)
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bar(10)
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log("策略啟動")
self.put_event()
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log("策略停止")
self.put_event()
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.
"""
if not self.day_start <= bar.datetime.time() < self.day_end:
return
self.bg.update_bar(bar)
def on_15min_bar(self, bar: BarData):
# print('15m', bar.datetime, bar.close_price)
self.cancel_all()
am = self.am
am.update_bar(bar)
if not am.inited:
return
# 計算技術指標
fast_ma = am.sma(self.fast_window, array=True)
self.fast_ma0 = fast_ma[-1]
self.fast_ma1 = fast_ma[-2]
slow_ma = am.sma(self.slow_window, array=True)
self.slow_ma0 = slow_ma[-1]
self.slow_ma1 = slow_ma[-2]
# 判斷均線交叉
cross_over = self.fast_ma0 > self.slow_ma0 and self.fast_ma1 <= self.slow_ma1
cross_below = self.fast_ma0 < self.slow_ma0 and self.fast_ma1 >= self.slow_ma1
if cross_over:
if self.pos == 0:
self.buy(bar.close_price * 1.01, self.fixed_size)
elif self.pos < 0:
self.cover(bar.close_price * 1.01, self.fixed_size)
elif cross_below:
if self.pos == 0:
self.short(bar.close_price * 0.99, self.fixed_size)
elif self.pos > 0:
self.sell(bar.close_price * 0.99, self.fixed_size)
self.put_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
pass
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass
class BBANDSStrategy(CtaTemplate):
author = "vnpy course"
# 定義參數
boll_window = 20
boll_dev = 2
fixed_size = 1
# 定義變數
boll_up0 = 0
boll_up1 = 0
boll_down0 = 0
boll_down1 = 0
boll_mid = 0
parameters = ["boll_window", "boll_dev", "fixed_size"]
variables = [
"boll_up0", "boll_up1", "boll_down0", "boll_down1", "boll_mid"
]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = BarGenerator(self.on_bar, 15, self.on_15min_bar)
self.am = ArrayManager()
self.day_start = time(9, 30)
self.day_end = time(16, 0)
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bar(10)
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log("策略啟動")
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.
"""
self.bg.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
if not self.day_start <= bar.datetime.time() < self.day_end:
return
self.bg.update_bar(bar)
def on_15min_bar(self, bar: BarData):
self.cancel_all()
am = self.am
am.update_bar(bar)
if not am.inited:
return
# 計算技術指標
boll_up, boll_down = am.boll(self.boll_window,
self.boll_dev,
array=True)
self.boll_up0 = boll_up[-1]
self.boll_up1 = boll_up[-2]
self.boll_down0 = boll_down[-1]
self.boll_down1 = boll_down[-2]
self.boll_mid = am.sma(self.boll_window)
if self.pos == 0:
if am.close[-1] > self.boll_up0 and am.close[-2] <= self.boll_up1:
self.buy(bar.close_price * 1.01, self.fixed_size)
elif am.close[-1] < self.boll_down0 and am.close[
-2] >= self.boll_down1:
self.short(bar.close_price * 0.99, self.fixed_size)
elif self.pos > 0:
if bar.close_price <= self.boll_mid:
self.sell(bar.close_price * 0.99, abs(self.pos))
elif self.pos < 0:
if bar.close_price >= self.boll_mid:
self.cover(bar.close_price * 1.01, abs(self.pos))
self.put_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
pass
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass
class MACDStrategy(CtaTemplate):
author = "vnpy course"
# 定義參數
fast_period = 12
slow_period = 26
signal_period = 9
fixed_size = 1
sl_ratio = 0.02
# 定義變數
macd_value0 = 0
macd_value1 = 0
signal_value0 = 0
signal_value1 = 0
intra_trade_high = 0
intra_trade_low = 0
long_sl = 0
short_sl = 0
parameters = [
"fast_period",
"slow_period",
"signal_period",
"fixed_size",
"sl_ratio"
]
variables = [
"macd_value0",
"macd_value1",
"signal_value0",
"signal_value1",
"intra_trade_high",
"intra_trade_low",
"long_sl",
"short_sl"
]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = BarGenerator(self.on_bar, 15, self.on_15min_bar)
self.am = ArrayManager()
self.day_start = time(9, 30)
self.day_end = time(16, 0)
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bar(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.
"""
self.bg.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
if not self.day_start <= bar.datetime.time() < self.day_end:
return
self.bg.update_bar(bar)
def on_15min_bar(self, bar: BarData):
self.cancel_all()
am = self.am
am.update_bar(bar)
if not am.inited:
return
# 計算技術指標
macd, signal, hist = am.macd(self.fast_period,
self.slow_period,
self.signal_period,
array=True)
self.macd_value0 = macd[-1]
self.macd_value1 = macd[-2]
self.signal_value0 = signal[-1]
self.signal_value1 = signal[-2]
cross_over = self.macd_value0 > self.signal_value0 and self.macd_value1 <= self.signal_value1
cross_below = self.macd_value0 < self.signal_value0 and self.macd_value1 >= self.signal_value1
if self.pos == 0:
if cross_over:
self.buy(bar.close_price * 1.01, self.fixed_size)
elif cross_below:
self.short(bar.close_price * 0.99, self.fixed_size)
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
elif self.pos > 0:
self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
self.long_sl = self.intra_trade_high * (1 - self.sl_ratio)
self.sell(self.long_sl, abs(self.pos), stop=True)
elif self.pos < 0:
self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
self.short_sl = self.intra_trade_low * (1 + self.sl_ratio)
self.cover(self.short_sl, abs(self.pos), stop=True)
self.put_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
pass
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass