class CciSignal(CtaSignal):
"""CCI信号"""
# ----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(CciSignal, self).__init__()
self.cciWindow = 10
self.cciLevel = 20
self.cciLong = self.cciLevel
self.cciShort = -self.cciLevel
self.cciValue = 0.0
self.bg = BarGenerator(self.onBar, 15, self.on15Bar)
self.am = ArrayManager()
# ----------------------------------------------------------------------
def onTick(self, tick):
"""Tick更新"""
self.bg.updateTick(tick)
# ----------------------------------------------------------------------
def onBar(self, bar):
"""K线更新"""
self.bg.updateBar(bar)
def on15Bar(self, bar):
self.am.updateBar(bar)
print bar.datetime
print "@cciSignal"
print "cci inited: ", self.am.inited
if not self.am.inited:
self.setSignalPos(0)
return
self.cciValue = self.am.cci(self.cciWindow)
print "cciValue: ", self.cciValue
if self.cciValue >= self.cciLong:
self.setSignalPos(1)
elif self.cciValue <= self.cciShort:
self.setSignalPos(-1)
else:
self.setSignalPos(0)
class AtrSignal(CtaSignal):
"""Atr信号"""
# ----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(AtrSignal, self).__init__()
self.atrWindow = 30
self.bg = BarGenerator(self.onBar, 15, self.on15Bar)
self.am = ArrayManager()
self.atrValue = 0.0
# ----------------------------------------------------------------------
def onTick(self, tick):
"""Tick更新"""
self.bg.updateTick(tick)
# ----------------------------------------------------------------------
def onBar(self, bar):
"""K线更新"""
self.bg.updateBar(bar)
# ----------------------------------------------------------------------
def on15Bar(self, bar):
"""15分钟K线更新"""
self.am.updateBar(bar)
print bar.datetime
print "@atrSignal"
print "atr inited: ", self.am.inited
if not self.am.inited:
self.setSignalPos(0)
return
atrArray = self.am.atr(self.atrWindow, array=True)
self.atrValue = atrArray[-1]
atrMa = atrArray[-self.atrWindow:].mean()
print "atrValue: ", self.atrValue
# 趋势增强
if self.atrValue > atrMa:
self.setSignalPos(1)
else:
self.setSignalPos(0)
class MaSignal(CtaSignal):
"""双均线信号"""
# ----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(MaSignal, self).__init__()
self.fastWindow = 5
self.slowWindow = 20
self.bg = BarGenerator(self.onBar, 5, self.onFiveBar)
self.am = ArrayManager()
# ----------------------------------------------------------------------
def onTick(self, tick):
"""Tick更新"""
self.bg.updateTick(tick)
# ----------------------------------------------------------------------
def onBar(self, bar):
"""K线更新"""
self.bg.updateBar(bar)
# ----------------------------------------------------------------------
def onFiveBar(self, bar):
"""5分钟K线更新"""
self.am.updateBar(bar)
if not self.am.inited:
self.setSignalPos(0)
fastMa = self.am.sma(self.fastWindow)
slowMa = self.am.sma(self.slowWindow)
if fastMa > slowMa:
self.setSignalPos(1)
elif fastMa < slowMa:
self.setSignalPos(-1)
else:
self.setSignalPos(0)
class MaSignal(CtaSignal):
"""双均线信号"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(MaSignal, self).__init__()
self.fastWindow = 5
self.slowWindow = 20
self.bg = BarGenerator(self.onBar, 5, self.onFiveBar)
self.am = ArrayManager()
#----------------------------------------------------------------------
def onTick(self, tick):
"""Tick更新"""
self.bg.updateTick(tick)
#----------------------------------------------------------------------
def onBar(self, bar):
"""K线更新"""
self.bg.updateBar(bar)
#----------------------------------------------------------------------
def onFiveBar(self, bar):
"""5分钟K线更新"""
self.am.updateBar(bar)
if not self.am.inited:
self.setSignalPos(0)
fastMa = self.am.sma(self.fastWindow)
slowMa = self.am.sma(self.slowWindow)
if fastMa > slowMa:
self.setSignalPos(1)
elif fastMa < slowMa:
self.setSignalPos(-1)
else:
self.setSignalPos(0)
class BollSignal(CtaSignal):
"""布林带信号"""
# ----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(BollSignal, self).__init__()
self.bollWindow = 18
self.bollDev = 5
# self.bollUp, self.bollDown = 0.0,0.0
self.bg = BarGenerator(self.onBar, 15, self.on15Bar)
self.am = ArrayManager()
# ----------------------------------------------------------------------
def onTick(self, tick):
"""Tick更新"""
self.bg.updateTick(tick)
# ----------------------------------------------------------------------
def onBar(self, bar):
"""K线更新"""
self.bg.updateBar(bar)
# ----------------------------------------------------------------------
def on15Bar(self, bar):
"""15分钟K线更新"""
self.am.updateBar(bar)
if not self.am.inited:
self.setSignalPos(0)
bollUp, bollDown = self.am.boll(self.bollWindow, self.bollDev)
if bar.close >= bollUp:
self.setSignalPos(1)
elif bar.close <= bollDown:
self.setSignalPos(-1)
else:
self.setSignalPos(0)
class RsiSignal(CtaSignal):
"""RSI信号"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(RsiSignal, self).__init__()
self.rsiWindow = 14
self.rsiLevel = 20
self.rsiLong = 50 + self.rsiLevel
self.rsiShort = 50 - self.rsiLevel
self.bg = BarGenerator(self.onBar)
self.am = ArrayManager()
#----------------------------------------------------------------------
def onTick(self, tick):
"""Tick更新"""
self.bg.updateTick(tick)
#----------------------------------------------------------------------
def onBar(self, bar):
"""K线更新"""
self.am.updateBar(bar)
if not self.am.inited:
self.setSignalPos(0)
rsiValue = self.am.rsi(self.rsiWindow)
if rsiValue >= self.rsiLong:
self.setSignalPos(1)
elif rsiValue <= self.rsiShort:
self.setSignalPos(-1)
else:
self.setSignalPos(0)
class CciSignal(CtaSignal):
"""CCI信号"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(CciSignal, self).__init__()
self.cciWindow = 30
self.cciLevel = 10
self.cciLong = self.cciLevel
self.cciShort = -self.cciLevel
self.bg = BarGenerator(self.onBar)
self.am = ArrayManager()
#----------------------------------------------------------------------
def onTick(self, tick):
"""Tick更新"""
self.bg.updateTick(tick)
#----------------------------------------------------------------------
def onBar(self, bar):
"""K线更新"""
self.am.updateBar(bar)
if not self.am.inited:
self.setSignalPos(0)
cciValue = self.am.cci(self.cciWindow)
if cciValue >= self.cciLong:
self.setSignalPos(1)
elif cciValue<= self.cciShort:
self.setSignalPos(-1)
else:
self.setSignalPos(0)
class RsiSignal(CtaSignal):
"""RSI信号"""
# ----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(RsiSignal, self).__init__()
self.rsiWindow = 14
self.rsiLevel = 20
self.rsiLong = 50 + self.rsiLevel
self.rsiShort = 50 - self.rsiLevel
self.bg = BarGenerator(self.onBar)
self.am = ArrayManager()
# ----------------------------------------------------------------------
def onTick(self, tick):
"""Tick更新"""
self.bg.updateTick(tick)
# ----------------------------------------------------------------------
def onBar(self, bar):
"""K线更新"""
self.am.updateBar(bar)
if not self.am.inited:
self.setSignalPos(0)
self.rsiValue = self.am.rsi(self.rsiWindow)
if self.rsiValue >= self.rsiLong:
self.setSignalPos(1)
elif self.rsiValue <= self.rsiShort:
self.setSignalPos(-1)
else:
self.setSignalPos(0)
class CciSignal(CtaSignal):
"""CCI信号"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(CciSignal, self).__init__()
self.cciWindow = 30
self.cciLevel = 10
self.cciLong = self.cciLevel
self.cciShort = -self.cciLevel
self.bg = BarGenerator(self.onBar)
self.am = ArrayManager()
#----------------------------------------------------------------------
def onTick(self, tick):
"""Tick更新"""
self.bg.updateTick(tick)
#----------------------------------------------------------------------
def onBar(self, bar):
"""K线更新"""
self.am.updateBar(bar)
if not self.am.inited:
self.setSignalPos(0)
cciValue = self.am.cci(self.cciWindow)
if cciValue >= self.cciLong:
self.setSignalPos(1)
elif cciValue <= self.cciShort:
self.setSignalPos(-1)
else:
self.setSignalPos(0)
class TripleMAStrategy02(CtaTemplate):
"""基于三均线的交易策略"""
className = 'TripleMAStrategy'
author = 'Y.Raul'
# 策略参数
# 三均线长度设置
maWindow1 = 10
maWindow2 = 20
maWindow3 = 120
maWindow4 = 5
initDays = 10 # 初始化数据所用的天数
fixedSize = 1 # 每次交易的数量
# 策略变量
# ma次新值
ma10 = 0
ma20 = 0
# ma最新值
ma11 = 0
ma21 = 0
ma31 = 0
longEntry = 0 # 多头开仓
longExit = 0 # 多头平仓
shortEntry = 0
shortExit = 0
orderList = [] # 保存委托代码的列表
# 参数列表，保存了参数的名称
paramList = [
'name', 'className', 'author', 'vtSymbol', 'maWindow1', 'maWindow2',
'maWindow3', 'maWindow4'
'initDays', 'fixedSize'
]
# 变量列表，保存了变量的名称
varList = ['inited', 'trading', 'pos', 'ma10', 'ma11', 'ma20', 'ma21']
# 同步列表
syncList = ['pos']
# ----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(TripleMAStrategy02, self).__init__(ctaEngine, setting)
self.bm = BarGenerator(self.onBar, 5, self.onFiveBar)
# 由于maWindow3的长度是120，所以ArrayManager的size要增加至150
self.am = ArrayManager(size=150)
# ----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略初始化' % self.name)
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.loadBar(self.initDays)
for bar in initData:
self.onBar(bar)
self.putEvent()
# ----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略启动' % self.name)
self.putEvent()
# ----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略停止' % self.name)
self.putEvent()
# ----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
self.bm.updateTick(tick)
# ----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
self.bm.updateBar(bar)
# ----------------------------------------------------------------------
def onFiveBar(self, bar):
"""收到5分钟K线"""
# 保存K线数据
self.am.updateBar(bar)
if not self.am.inited:
return
# 撤销之前发出的尚未成交的委托（包括限价单和停止单）
self.cancelAll()
import talib
# 计算指标数值
ma3Array = self.am.sma(self.maWindow3, True)
self.ma30 = ma3Array[-2]
self.ma31 = ma3Array[-1]
ma3_ma5 = talib.SMA(ma3Array, self.maWindow4)[-1]
# ma3_ma5 = ma3Array.rolling(window = self.maWindow4)[-1]
ma1Array = self.am.sma(self.maWindow1, True)
self.ma10 = ma1Array[-2]
self.ma11 = ma1Array[-1]
# ma1_ma5 = ma1Array.rolling(window = self.maWindow4)[-1]
ma1_ma5 = talib.SMA(ma1Array, self.maWindow4)[-1]
ma2Array = self.am.sma(self.maWindow2, True)
self.ma20 = ma2Array[-2]
self.ma21 = ma2Array[-1]
# 判断是否要进行交易
# 当前无仓位，发送OCO开仓委托
if self.pos == 0:
# 开多, bar.close > MA120,MA10 > MA120,MA10 上穿MA20，MA10、MA120向上
if bar.close > self.ma31 and self.ma11 > self.ma31 \
and self.ma10 < self.ma20 and self.ma11 > self.ma21\
and self.ma31 > ma3_ma5 and self.ma11 > ma1_ma5:
self.longEntry = bar.close
self.buy(self.longEntry, self.fixedSize, True)
# 开空, bar.close < MA120,MA10 < MA120,MA10 下穿MA20, MA10,MA120向下
elif bar.close < self.ma31 and self.ma11 < self.ma31 \
and self.ma10 > self.ma20 and self.ma11 < self.ma21\
and self.ma31 < ma3_ma5 and self.ma11 < ma1_ma5:
self.shortEntry = bar.close
self.short(self.shortEntry, self.fixedSize, True)
else:
# 持有多头仓位
if self.pos > 0:
self.longExit = bar.close
# 平多，MA10下穿MA20
if self.ma10 > self.ma20 and self.ma11 < self.ma21:
self.sell(self.longExit, abs(self.pos), True)
# 持有空头仓位
if self.pos < 0:
self.shortExit = bar.close
# 平空， MA10上穿MA20
if self.ma10 < self.ma20 and self.ma11 > self.ma21:
self.cover(self.shortExit, abs(self.pos), True)
# 发出状态更新事件
self.putEvent()
# ----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
pass
# ----------------------------------------------------------------------
def onTrade(self, trade):
# 发出状态更新事件
self.putEvent()
# ----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass
class TurtleTradingStrategy(CtaTemplate):
"""海龟交易策略"""
className = 'TurtleTradingStrategy'
author = u'用Python的交易员'
# 策略参数
entryWindow = 55 # 入场通道窗口
exitWindow = 20 # 出场通道窗口
atrWindow = 20 # 计算ATR波动率的窗口
initDays = 10 # 初始化数据所用的天数
fixedSize = 1 # 每次交易的数量
# 策略变量
entryUp = 0 # 入场通道上轨
entryDown = 0 # 入场通道下轨
exitUp = 0 # 出场通道上轨
exitDown = 0 # 出场通道下轨
atrVolatility = 0 # ATR波动率
longEntry = 0 # 多头入场价格
shortEntry = 0 # 空头入场价格
longStop = 0 # 多头止损价格
shortStop = 0 # 空头止损价格
# 参数列表，保存了参数的名称
paramList = ['name',
'className',
'author',
'vtSymbol',
'entryWindow',
'exitWindow',
'atrWindow',
'initDays',
'fixedSize']
# 变量列表，保存了变量的名称
varList = ['inited',
'trading',
'pos',
'entryUp',
'entryDown',
'exitUp',
'exitDown',
'longEntry',
'shortEntry',
'longStop',
'shortStop']
# 同步列表，保存了需要保存到数据库的变量名称
syncList = ['pos']
#----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(TurtleTradingStrategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar)
self.am = ArrayManager()
#----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略初始化' %self.name)
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.loadBar(self.initDays)
for bar in initData:
self.onBar(bar)
self.putEvent()
#----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略启动' %self.name)
self.putEvent()
#----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略停止' %self.name)
self.putEvent()
#----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
self.bg.updateTick(tick)
#----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
self.cancelAll()
# 保存K线数据
self.am.updateBar(bar)
if not self.am.inited:
return
# 计算指标数值
self.entryUp, self.entryDown = self.am.donchian(self.entryWindow)
self.exitUp, self.exitDown = self.am.donchian(self.exitWindow)
if not self.pos:
self.atrVolatility = self.am.atr(self.atrWindow)
# 判断是否要进行交易
if self.pos == 0:
self.longEntry = 0
self.shortEntry = 0
self.longStop = 0
self.shortStop = 0
self.sendBuyOrders(self.entryUp)
self.sendShortOrders(self.entryDown)
elif self.pos > 0:
# 加仓逻辑
self.sendBuyOrders(self.longEntry)
# 止损逻辑
sellPrice = max(self.longStop, self.exitDown)
self.sell(sellPrice, abs(self.pos), True)
elif self.pos < 0:
# 加仓逻辑
self.sendShortOrders(self.shortEntry)
# 止损逻辑
coverPrice = min(self.shortStop, self.exitUp)
self.cover(coverPrice, abs(self.pos), True)
# 同步数据到数据库
self.saveSyncData()
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
pass
#----------------------------------------------------------------------
def onTrade(self, trade):
"""成交推送"""
if trade.direction == DIRECTION_LONG:
self.longEntry = trade.price
self.longStop = self.longEntry - self.atrVolatility * 2
else:
self.shortEntry = trade.price
self.shortStop = self.shortEntry + self.atrVolatility * 2
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass
#----------------------------------------------------------------------
def sendBuyOrders(self, price):
"""发出一系列的买入停止单"""
t = self.pos / self.fixedSize
if t < 1:
self.buy(price, self.fixedSize, True)
if t < 2:
self.buy(price + self.atrVolatility*0.5, self.fixedSize, True)
if t < 3:
self.buy(price + self.atrVolatility, self.fixedSize, True)
if t < 4:
self.buy(price + self.atrVolatility*1.5, self.fixedSize, True)
#----------------------------------------------------------------------
def sendShortOrders(self, price):
""""""
t = self.pos / self.fixedSize
if t > -1:
self.short(price, self.fixedSize, True)
if t > -2:
self.short(price - self.atrVolatility*0.5, self.fixedSize, True)
if t > -3:
self.short(price - self.atrVolatility, self.fixedSize, True)
if t > -4:
self.short(price - self.atrVolatility*1.5, self.fixedSize, True)
class MultiTimeframeStrategy(CtaTemplate):
"""跨时间周期交易策略"""
className = 'MultiTimeframeStrategy'
author = u'用Python的交易员'
# 策略参数
rsiSignal = 20 # RSI信号阈值
rsiWindow = 14 # RSI窗口
fastWindow = 5 # 快速均线窗口
slowWindow = 20 # 慢速均线窗口
initDays = 10 # 初始化数据所用的天数
fixedSize = 1 # 每次交易的数量
# 策略变量
rsiValue = 0 # RSI指标的数值
rsiLong = 0 # RSI买开阈值
rsiShort = 0 # RSI卖开阈值
fastMa = 0 # 5分钟快速均线
slowMa = 0 # 5分钟慢速均线
maTrend = 0 # 均线趋势，多头1，空头-1
# 参数列表，保存了参数的名称
paramList = ['name',
'className',
'author',
'vtSymbol',
'rsiSignal',
'rsiWindow',
'fastWindow',
'slowWindow']
# 变量列表，保存了变量的名称
varList = ['inited',
'trading',
'pos',
'rsiValue',
'rsiLong',
'rsiShort',
'fastMa',
'slowMa',
'maTrend']
# 同步列表，保存了需要保存到数据库的变量名称
syncList = ['pos']
#----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(MultiTimeframeStrategy, self).__init__(ctaEngine, setting)
self.rsiLong = 50 + self.rsiSignal
self.rsiShort = 50 - self.rsiSignal
# 创建K线合成器对象
self.bg5 = BarGenerator(self.onBar, 5, self.on5MinBar)
self.am5 = ArrayManager()
self.bg15 = BarGenerator(self.onBar, 15, self.on15MinBar)
self.am15 = ArrayManager()
#----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略初始化' %self.name)
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.loadBar(self.initDays)
for bar in initData:
self.onBar(bar)
self.putEvent()
#----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略启动' %self.name)
self.putEvent()
#----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略停止' %self.name)
self.putEvent()
#----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
# 只需要要在一个BarGenerator中合成1分钟K线
self.bg5.updateTick(tick)
#----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
# 基于15分钟判断趋势过滤，因此先更新
self.bg15.updateBar(bar)
# 基于5分钟判断
self.bg5.updateBar(bar)
#----------------------------------------------------------------------
def on5MinBar(self, bar):
"""5分钟K线"""
self.cancelAll()
# 保存K线数据
self.am5.updateBar(bar)
if not self.am5.inited:
return
# 如果15分钟数据尚未初始化完毕，则直接返回
if not self.maTrend:
return
# 计算指标数值
self.rsiValue = self.am5.rsi(self.rsiWindow)
# 判断是否要进行交易
# 当前无仓位
if self.pos == 0:
if self.maTrend > 0 and self.rsiValue >= self.rsiLong:
self.buy(bar.close+5, self.fixedSize)
elif self.maTrend < 0 and self.rsiValue <= self.rsiShort:
self.short(bar.close-5, self.fixedSize)
# 持有多头仓位
elif self.pos > 0:
if self.maTrend < 0 or self.rsiValue < 50:
self.sell(bar.close-5, abs(self.pos))
# 持有空头仓位
elif self.pos < 0:
if self.maTrend > 0 or self.rsiValue > 50:
self.cover(bar.close+5, abs(self.pos))
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
def on15MinBar(self, bar):
"""15分钟K线推送"""
self.am15.updateBar(bar)
if not self.am15.inited:
return
# 计算均线并判断趋势
self.fastMa = self.am15.sma(self.fastWindow)
self.slowMa = self.am15.sma(self.slowWindow)
if self.fastMa > self.slowMa:
self.maTrend = 1
else:
self.maTrend = -1
#----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
pass
#----------------------------------------------------------------------
def onTrade(self, trade):
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass
class DualThrust_IntraDayStrategy(CtaTemplate):
"""DualThrust交易策略"""
className = 'DualThrust_IntraDayStrategy'
author = u'Leon Zhao'
# 策略参数
fixedSize = 2
k1 = 0.4
k2 = 0.4
initDays = 10 # original value is 10
rangeDays = 4
# 策略变量
barList = [] # K线对象的列表
dayOpen = 0
rangeHigh = 0
rangeLow = 0
rangeHighClose = 0
rangeLowClose = 0
range1 = 0
range2 = 0
range = 0
longEntry = 0
shortEntry = 0
exitTime = time(hour=15,
minute=20) #will not cover position when day close
longEntered = False
shortEntered = False
# 参数列表，保存了参数的名称
paramList = ['name', 'className', 'author', 'vtSymbol', 'k1', 'k2']
# 变量列表，保存了变量的名称
varList = [
'inited', 'trading', 'pos', 'range', 'longEntry', 'shortEntry',
'exitTime'
]
# 同步列表，保存了需要保存到数据库的变量名称
syncList = ['pos']
#----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(DualThrust_IntraDayStrategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar, onDayBar=self.ondayBar)
self.am = ArrayManager()
self.barList = []
#----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略初始化' % self.name)
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.loadBar(self.initDays)
for bar in initData:
self.onBar(bar)
self.putEvent()
#----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略启动' % self.name)
self.putEvent()
#----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略停止' % self.name)
self.putEvent()
#----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
self.bg.updateTick(tick)
#---------calcuate range for the last several days
def calcRange(self):
if self.am.count >= self.rangeDays:
self.rangeHigh = talib.MAX(self.am.high, self.rangeDays)[-1]
self.rangeLow = talib.MIN(self.am.low, self.rangeDays)[-1]
self.rangeHighClose = talib.MAX(self.am.close, self.rangeDays)[-1]
self.rangeLowClose = talib.MIN(self.am.close, self.rangeDays)[-1]
self.range1 = self.rangeHigh - self.rangeLowClose
self.range2 = self.rangeHighClose - self.rangeLow
if (self.range1 > self.range2):
calcRange = self.range1
else:
calcRange = self.range2
else:
calcRange = 0
return calcRange
#----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
# 撤销之前发出的尚未成交的委托（包括限价单和停止单）
self.cancelAll()
self.bg.updateBar(bar)
if self.am.count < self.rangeDays:
return
# 计算指标数值
self.barList.append(bar)
if len(self.barList) <= 2:
return
else:
self.barList.pop(0)
lastBar = self.barList[-2]
# 新的一天
#for commodity trade at night 9 also need because some day night is canncel due to holiday
if (lastBar.datetime.hour == 15 or
(lastBar.datetime.hour == 14 and lastBar.datetime.minute
== 59)) and ((bar.datetime.hour == 21 or bar.datetime.hour == 9)):
#for commodity not trade at night:
#if (lastBar.datetime.hour == 15 or lastBar.datetime.hour==14 and lastBar.datetime.minute==59) and ((bar.datetime.hour == 9) ):
# 如果已经初始化
self.range = self.calcRange()
self.dayOpen = bar.open
if self.range:
self.longEntry = bar.open + self.k1 * self.range
self.shortEntry = bar.open - self.k2 * self.range
#self.longEntered = False
#self.shortEntered = False
else:
pass
# 尚未到收盘
if not self.range:
self.range = self.calcRange()
self.dayOpen = bar.open
if self.range:
self.longEntry = bar.open + self.k1 * self.range
self.shortEntry = bar.open - self.k2 * self.range
if True: # Trade Time, no matter when, just send signal
if self.pos == 0:
self.longEntered = False
self.shortEntered = False
if bar.close > self.longEntry:
#if not self.longEntered:
#self.buy(self.longEntry + 2, self.fixedSize)
self.buy(bar.close + 2, self.fixedSize)
elif bar.close < self.shortEntry:
#if not self.shortEntered:
#self.short(self.shortEntry - 2, self.fixedSize)
self.short(bar.close - 2, self.fixedSize)
else:
pass
# 持有多头仓位
elif self.pos > 0:
self.longEntered = True
self.shortEntered = False
# 多头止损单
if bar.close < self.shortEntry:
#self.sell(self.shortEntry -2 , self.fixedSize)
self.sell(bar.close - 2, self.fixedSize)
# 空头开仓单
if not self.shortEntered:
#self.short(self.shortEntry -2 , self.fixedSize)
self.short(bar.close - 2, self.fixedSize)
# 持有空头仓位
elif self.pos < 0:
self.shortEntered = True
self.longEntered = False
# 空头止损单
if bar.close > self.longEntry:
#self.cover(self.longEntry + 2, self.fixedSize)
self.cover(bar.close + 2, self.fixedSize)
# 多头开仓单
if not self.longEntered:
#self.buy(self.longEntry + 2, self.fixedSize)
self.buy(bar.close + 2, self.fixedSize)
# 收盘平仓 This will not execute
else:
if self.pos > 0:
self.sell(bar.close * 0.99, abs(self.pos))
elif self.pos < 0:
self.cover(bar.close * 1.01, abs(self.pos))
# 发出状态更新事件
self.putEvent()
#update day chart
def ondayBar(self, dayBar):
"""收到日线推送（必须由用户继承实现）"""
self.am.updateBar(dayBar)
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
pass
#----------------------------------------------------------------------
def onTrade(self, trade):
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass
class DT_ChengfaStrategy(CtaTemplate):
"""DualThrust交易策略"""
className = 'DT_ChengfaStrategy'
author = u'Leon Zhao'
# 策略参数
fixedSize = 1
k1 = 0.4
k2 = 0.4
rangeDays = 4
initDays = 30 # original value is 10
atrDays = 20
# 策略变量
barList = [] # K线对象的列表
dayOpen = 0
rangeHigh = 0
rangeLow = 0
rangeHighClose = 0
rangeLowClose = 0
range1 = 0
range2 = 0
range = 0
longEntry = 0
shortEntry = 0
exitTime = time(hour=15, minute=20) #will not cover position when day close
longEntered = False
shortEntered = False
# 参数列表，保存了参数的名称
paramList = ['name',
'className',
'author',
'vtSymbol',
'k1',
'k2']
# 变量列表，保存了变量的名称
varList = ['inited',
'trading',
'pos',
'range',
'longEntry',
'shortEntry',
'exitTime']
longEntry1 = 0
shortEntry1 = 0
# 同步列表，保存了需要保存到数据库的变量名称
syncList = ['pos','range','longEntry1','shortEntry1']
#----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(DT_ChengfaStrategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar,onDayBar = self.ondayBar,vtSymbol =self.vtSymbol)
self.am = ArrayManager()
self.barList = []
self.longEntry1 = 0
self.shortEntry1 = 0
# Read Parameters from Setting files
if 'strParams' in setting:
self.params = setting['strParams']
if len(self.params)>=3:
for p in self.params:
if p[0] == 'unit':
self.fixedSize = p[1]
if p[0] == 'p1':
self.k1 = p[1]
if p[0] == 'p2':
self.k2 = p[1]
if p[0] == 'p3':
self.rangeDays = p[1]
if p[0] == 'p4':
self.atrDays = p[1]
if p[0] == 'p5':
self.initDays = p[1]
else:
# 策略参数
self.fixedSize = 1
self.k1 = 0.4
self.k2 = 0.4
self.rangeDays = 4
self.atrDays = 20
self.initDays = 55 # original value is 10
#print(self.fixedSize,self.k1,self.k2,self.rangeDays,self.initDays)
self.dayOpen = 0
self.rangeHigh = 0
self.rangeLow = 0
self.rangeHighClose = 0
self.rangeLowClose = 0
self.range1 = 0
self.range2 = 0
self.atrValue = 0
self.range = 0
self.longEntry = 0
self.shortEntry = 0
self.exitTime = time(hour=15, minute=20) #will not cover position when day close
self.longEntered = False
self.shortEntered = False
self.testflag = False
#----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略初始化' %self.name)
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.loadBar(self.initDays)
for bar in initData:
self.onBar(bar)
self.putEvent()
#----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略启动' %self.name)
self.putEvent()
#----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略停止' %self.name)
self.putEvent()
#----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
#ignore data before real open
if (tick.datetime.hour == 8 or tick.datetime.hour ==20):
return
self.bg.updateTick(tick)
def calcUnitNo(self,atr,fixSize):
dtCap = 0.0
defaultCap = 0.0
unitNo = 0
cust = []
var_sizelist = CtaTemplate.vol_Size
var_size = 0.0
var_Symbol = ""
if len(var_sizelist) == 0:
return fixSize
else:
var_Symbol = var_Symbol.join(list(filter(lambda x: x.isalpha(),self.vtSymbol)))
var_size = float(var_sizelist[var_Symbol][0])
if var_size -0 < 0.01:
return fixSize
var_temp = 0.0
if len(CtaTemplate.cust_Setting) > 0:
cust = CtaTemplate.cust_Setting
for cs in cust:
if cs["StrategyGroup"] == "DT" and cs["Status"] == 'True':
dtCap = cs["CaptialAmt"]
break
if cs["StrategyGroup"] == "Default" and cs["Status"] == 'True':
defaultCap = cs["CaptialAmt"]
if dtCap > 0:
self.capConfig = float(dtCap)
elif defaultCap > 0 :
self.capConfig = float(defaultCap)
else:
self.capConfig = 0.0
unitNo = 0
if self.capConfig -0 < 0.0001:
unitNo = fixSize
elif var_size - 0 < 0.001:
unitNo = fixSize
else:
unitNo = int(self.capConfig * 0.0088 /(atr*var_size))
if unitNo < 1:
unitNo = 1
return unitNo
#---------calcuate range for the last several days
def calcRange(self):
if self.am.count >= self.atrDays + 1 :
self.atrValue = self.am.atr(self.atrDays,False)
if self.atrValue > 0 :
self.fixedSize = self.calcUnitNo(self.atrValue, self.fixedSize)
self.rangeHigh = talib.MAX(self.am.high,self.rangeDays)[-1]
self.rangeLow = talib.MIN(self.am.low,self.rangeDays)[-1]
self.rangeHighClose = talib.MAX(self.am.close,self.rangeDays)[-1]
self.rangeLowClose = talib.MIN(self.am.close,self.rangeDays)[-1]
self.range1 = self.rangeHigh-self.rangeLowClose
self.range2 = self.rangeHighClose -self.rangeLow
#print(self.rangeHigh,self.rangeLow)
if (self.range1 > self.range2) :
calcRange = self.range1
else:
calcRange = self.range2
else:
calcRange = 0
return calcRange
#----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
self.fixedSize = 1
if self.reduceCountdown() > 0:
return
# 撤销之前发出的尚未成交的委托（包括限价单和停止单）
self.cancelAll()
self.bg.updateBar(bar)
barLength = 0
# 计算指标数值
self.barList.append(bar)
if len(self.barList) <= 2:
return
else:
self.barList.pop(0)
lastBar = self.barList[-2]
print(bar.close)
if self.testflag:
return
if self.pos == 0:
self.buy(bar.close,self.fixedSize)
elif self.pos > 0:
self.sell(bar.close,abs(self.pos))
if not self.shortEntered:
#self.short(self.shortEntry -2 , self.fixedSize)
self.short(bar.close,self.fixedSize)
self.testflag = True
# 持有空头仓位
elif self.pos < 0:
self.cover(bar.close,abs(self.pos))
if not self.longEntered:
self.buy(bar.close,self.fixedSize)
self.testflag = True
# 发出状态更新事件
self.putEvent()
#update day chart
def ondayBar(self, dayBar):
"""收到日线推送（必须由用户继承实现）"""
self.am.updateBar(dayBar)
self.range = None
self.dayOpen = 0
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
pass
#----------------------------------------------------------------------
def onTrade(self, trade):
# 发出状态更新事件
persisttrade(self.vtSymbol,self.className ,trade)
self.putEvent()
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass
class ZeroStrategy(CtaTemplate):
"""基于布林通道的交易策略"""
className = 'ZeroStrategy'
author = u'用Python的交易员'
initDays = 4 # 初始化数据所用的天数
fixedSize = 1 # 每次交易的数量
# 参数列表，保存了参数的名称
paramList = [
'name', 'className', 'author', 'vtSymbol', 'initDays', 'fixedSize'
]
# 变量列表，保存了变量的名称
varList = ['inited', 'trading', 'pos']
# 同步列表，保存了需要保存到数据库的变量名称
syncList = ['pos']
#----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(ZeroStrategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar, 30, self.on30minBar) # 创建K线合成器对象
self.am = ArrayManager()
#最小价差变动
self.tickadd = 1
#有无夜盘和 相关的时间
self.yepan = True
self.yepanhour = 23
self.yepanminute = 00
self.stopcount = 0
#断网变量相关
self.lastbardatetime = None
self.didinited = False
#仓位相关
self.posdetail = None
#订单相关
self.shortOrder = None
self.buyOrder = None
self.sellOrder = None
self.coverOrder = None
#撤单后跟单相关
self.genOrder = None
#tick策略相关全局函数
#交易那一分钟
self.tradeMinute = False
#order那一分钟
self.orderMinute = False
#----------------------------------------------------------------------
def on30minBar(self, bar):
""""""
#----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略初始化' % self.name)
self.getPosDetail()
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.loadBar(self.initDays)
for bar in initData:
self.onBar(bar)
self.didinited = True
self.putEvent()
#----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略启动' % self.name)
self.putEvent()
#----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略停止' % self.name)
self.putEvent()
def cancelVtOrder(self, order, yuanyin, fangxiang, price=None):
self.writeCtaLog(yuanyin + 'cancle')
self.cancelOrder(order)
if fangxiang == 'buy':
self.buyOrder = None
elif fangxiang == 'short':
self.shortOrder = None
elif fangxiang == 'sell':
self.sellOrder == None
elif fangxiang == 'cover':
self.coverOrder = None
else:
self.writeCtaLog('ohmyghoa')
if price is not None:
self.genOrder = price
#----------------------------------------------------------------------
def buyTickCelve(self, tick):
am = self.am
fangxiang = None
price = None
if tick.datetime.second > 51:
if am.diff > 0 and am.macd < 0 and am.lastmacd > 0:
fangxiang = duo
price = tick.bidPrice1
elif am.macd > 0 and am.lastmacd < 0:
fangxiang = duoping
price = tick.askPrice1
self.chulikaipingcang(fangxiang, price)
# 处理错误开仓（但市场方向正确的仓），在收阳时平掉
if self.posdetail.longPos > 0 and am.macd > 0 and am.lastmacd > 0 and self.bg.bar.open > tick.lastPrice and not self.tradeMinute:
fangxiang = duoping
price = tick.askPrice1
self.chulikaipingcang(fangxiang, price)
#----------------------------------------------------------------------
def shortTickCelve(self, tick):
am = self.am
fangxiang = None
price = None
if tick.datetime.second > 51:
if am.diff < 0 and am.macd > 0 and am.lastmacd < 0:
fangxiang = kong
price = tick.askPrice1
elif am.macd < 0 and am.lastmacd > 0:
fangxiang = kongping
price = tick.bidPrice1
self.chulikaipingcang(fangxiang, price)
#处理错误开仓（但市场方向正确的仓），在收阳时平掉
if self.posdetail.shortPos > 0 and am.macd < 0 and am.lastmacd < 0 and self.bg.bar.open < tick.lastPrice and not self.tradeMinute:
fangxiang = kongping
price = tick.bidPrice1
self.chulikaipingcang(fangxiang, price)
#----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
self.bg.updateTick(tick)
self.am.updateTick(tick)
if not self.stopcount:
self.buyTickCelve(tick)
self.shortTickCelve(tick)
if tick.datetime.second == 59:
self.checkFalseSignal(tick)
def checkPingcang(self, bar):
if self.didinited:
am = self.am
fangxiang = None
price = None
if self.posdetail.longPos > 0 and self.sellOrder is not None and am.lastmacd > 0 and am.mj < 0:
price = am.tick.bidPrice1
self.cancelVtOrder(self.sellOrder, u'必须平多', 'sell', price)
elif self.posdetail.shortPos > 0 and self.coverOrder is not None and am.lastmacd < 0 and am.mj > 0:
price = am.tick.askPrice1
self.cancelVtOrder(self.coverOrder, u'必须平空', 'cover', price)
#----------------------------------------------------------------------
def getPosDetail(self):
self.posdetail = self.ctaEngine.mainEngine.getPositionDetail(
self.vtSymbol)
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
#检查是否有效的交易时间
if self.notintradingTime(bar):
print('not')
runDataCleaning()
return
detail = self.posdetail
# if not self.didinited:
# posdetial = self.posdetail
#print( detail.longPos,'long and short ',detail.shortPos )
if not self.lastbardatetime == bar.datetime:
self.bg.updateBar(bar)
self.am.updateBar(bar)
am = self.am
self.barCelve(bar)
#tick策略数据还原
self.tradeMinute = False
self.orderMinute = False
print('zhibiao', 'macd', am.macd, 'diff', am.diff, 'mj', am.mj, 'time',
bar.datetime, 'end')
#检查是否断网
self.lastbardatetime = bar.datetime
self.am.endBar()
#----------------------------------------------------------------------
def barCelve(self, bar):
self.checkCancelOrder()
self.checkIfConnecting(bar)
self.checkPingcang(bar)
#----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
#orderminute
self.orderMinute = True
#对相应订单编号进行管理
if order.status == STATUS_NOTTRADED:
self.reactOrder(order, order.vtOrderID)
elif order.status == STATUS_ALLTRADED or order.status == STATUS_CANCELLED:
self.reactOrder(order, None)
elif order.status == STATUS_REJECTED:
self.writeCtaLog(STATUS_REJECTED + order.offset + order.direction)
print('time', self.am.tick.datetime, order.orderTime, order.price,
self.genOrder)
#检查需不需要跟单
if order.status == STATUS_CANCELLED and self.genOrder is not None:
self.writeCtaLog('ongendan' + order.offset + order.direction)
print(self.genOrder)
if order.offset == OFFSET_OPEN and order.direction == DIRECTION_LONG:
self.orderBuy(self.genOrder)
self.genOrder = None
elif order.offset == OFFSET_OPEN and order.direction == DIRECTION_SHORT:
self.orderShort(self.genOrder)
self.genOrder = None
elif (order.offset == OFFSET_CLOSE or order.offset
== OFFSET_CLOSETODAY or order.offset == OFFSET_CLOSEYESTERDAY
) and order.direction == DIRECTION_LONG:
self.orderCover(self.genOrder)
self.genOrder = None
elif (order.offset == OFFSET_CLOSE or order.offset
== OFFSET_CLOSETODAY or order.offset == OFFSET_CLOSEYESTERDAY
) and order.direction == DIRECTION_SHORT:
self.orderSell(self.genOrder)
self.genOrder = None
print 'order', order.price, order.direction, order.offset, order.status, order.vtOrderID, order.orderTime, self.pos, self.am.tick.datetime
#----------------------------------------------------------------------
def reactOrder(self, order, vtOrderID):
print 'react', order.direction, order.offset
if (order.direction == DIRECTION_LONG and order.offset == OFFSET_OPEN):
print 'enterlong'
self.buyOrder = vtOrderID
elif (
order.direction == DIRECTION_SHORT and
(order.offset == OFFSET_CLOSE or order.offset == OFFSET_CLOSETODAY
or order.offset == OFFSET_CLOSEYESTERDAY)):
print('entersell')
self.sellOrder = vtOrderID
elif (order.direction == DIRECTION_SHORT
and order.offset == OFFSET_OPEN):
print 'entershort'
self.shortOrder = vtOrderID
elif (
order.direction == DIRECTION_LONG and
(order.offset == OFFSET_CLOSE or order.offset == OFFSET_CLOSETODAY
or order.offset == OFFSET_CLOSEYESTERDAY)):
print('enter coveer')
self.coverOrder = vtOrderID
else:
print('enteranother')
def onTrade(self, trade):
# 发出状态更新事件
self.reactOrder(trade, None)
#处理tick策略
self.tradeMinute = True
print 'trade', trade.price, trade.direction, trade.offset, trade.tradeTime
self.putEvent()
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass
#----------------------------------------------------------------------
'''仓位函数'''
def chulikaipingcang(self, fangxiang, price):
if self.didinited:
if fangxiang == duo:
if self.posdetail.longPos == 0:
print 'buybuy'
self.orderBuy(price, 1)
elif fangxiang == kong:
if self.posdetail.shortPos == 0:
self.orderShort(price, 1)
elif fangxiang == duoping:
if self.posdetail.longPos > 0:
self.orderSell(price, 1)
if self.buyOrder is not None:
self.cancelVtOrder(self.buyOrder, u'平多时候', 'buy')
elif fangxiang == kongping:
if self.posdetail.shortPos > 0:
self.orderCover(price, 1)
if self.shortOrder is not None:
self.cancelVtOrder(self.shortOrder, u'平空时候', 'short')
#-------------------------------------------------------
'''订单管理类'''
def orderBuy(self, price, volume=1, stop=False):
if self.buyOrder is None:
print 'buyorder'
self.buyOrder = 0
self.buy(price, volume, stop)
def orderSell(self, price, volume=1, stop=False):
if self.sellOrder is None:
self.sellOrder = 0
self.sell(price, volume, stop)
def orderShort(self, price, volume=1, stop=False):
if self.shortOrder is None:
self.shortOrder = 0
self.short(price, volume, stop)
def orderCover(self, price, volume=1, stop=False):
if self.coverOrder is None:
self.coverOrder = 0
self.cover(price, volume, stop)
# ----------------------------------------------------------------------
'''断网判断及处理函数'''
'''目前的逻辑是根据两个bar的时间间隔来判断是否断网，一个可能的风险当市场上两笔交易的间隔长于两分钟时，会错认为也是断网了，这个在不活跃品种也较容易出现。不过一般出现这种情况较少。'''
def closeAllPosistion(self, price):
'''出意外如断网时平仓'''
self.cancelAll()
print('--closeallpos--')
if self.pos > 0:
self.short(price - self.tickadd, abs(self.pos))
elif self.pos < 0:
self.cover(price + self.tickadd, abs(self.pos))
# ----------------------------------------------------------------------
# ----------------------------------------------------------------------
def iscontinueTime(self, firstdatetime, seconddatetime):
'''判断是否为连续的时间'''
if (firstdatetime.hour == seconddatetime.hour and firstdatetime.minute + 1 == seconddatetime.minute) \
or (
firstdatetime.hour == seconddatetime.hour - 1 and firstdatetime.minute == 59 and seconddatetime.minute == 0):
return True
# ----------------------------------------------------------------------
def isTradeContinueTime(self, firstdatetime, seconddatetime):
'''判断是否为连续的交易时间'''
if self.iscontinueTime(firstdatetime, seconddatetime):
return True
elif firstdatetime.hour == 10 and (
firstdatetime.minute == 15 or firstdatetime.minute == 14
) and seconddatetime.hour == 10 and (seconddatetime.minute == 30
or seconddatetime.minute == 31):
return True
elif firstdatetime.hour == 11 and (
firstdatetime.minute == 29 or firstdatetime.minute == 30
) and seconddatetime.hour == 13 and (seconddatetime.minute == 30
or seconddatetime.minute == 31
or seconddatetime.minute == 29):
return True
elif self.yepan and (seconddatetime.hour == 9 or
(seconddatetime.hour == 8
and seconddatetime.minute == 59)) and (
firstdatetime.hour == self.yepanhour or
(firstdatetime.hour == self.yepanhour - 1
and firstdatetime.minute == 59)):
return True
elif (firstdatetime.hour == 15 or
(firstdatetime.hour == 14 and firstdatetime.minute == 59)) and (
(seconddatetime.hour == 9 and seconddatetime.minute == 0) or
(seconddatetime.hour == 8 and seconddatetime.minute == 59)):
return True
elif ((firstdatetime.hour == 14 and firstdatetime.minute == 59)
or firstdatetime.hour == 15) and (
seconddatetime.hour == 21 or
(seconddatetime.hour == 20 and seconddatetime.minute == 59)):
return True
elif ((firstdatetime.hour == 23 and firstdatetime.minute == 59) and
(seconddatetime.hour == 0 and seconddatetime.minute == 0)) or (
(firstdatetime.hour == 0 and firstdatetime.minute == 59) and
((seconddatetime.hour == 9 and seconddatetime.minute == 0))):
return True
else:
print('dus conne', firstdatetime, seconddatetime)
return False
# ----------------------------------------------------------------------
def handleDisConnected(self, price):
print('DISCONNECTED', self.lastbardatetime, self.am.datetime)
self.reSetOrder()
self.stopcount = 15
def notintradingTime(self, bar):
dt = bar.datetime.time()
if ((MORNING_START <= dt < MORNING_REST)
or (MORNING_RESTART <= dt < MORNING_END)
or (AFTERNOON_START <= dt < AFTERNOON_END)
or (dt >= NIGHT_START) or (dt < NIGHT_END)):
return False
else:
return True
def checkIfConnecting(self, bar):
if self.lastbardatetime is None:
self.lastbardatetime = bar.datetime
elif self.lastbardatetime == bar.datetime:
pass
else:
if not self.isTradeContinueTime(self.lastbardatetime,
bar.datetime):
# 断网了，需要处理断网状态
self.handleDisConnected(bar.close)
# 没有断网
else:
if self.stopcount > 0:
self.stopcount -= 1
def checkCancelOrder(self):
if self.orderMinute:
print('orderminute', self.buyOrder, self.shortOrder,
self.sellOrder, self.coverOrder)
if self.buyOrder:
if self.am.macd > 0:
self.cancelVtOrder(self.buyOrder, u"没进入绿浪", 'buy')
if self.shortOrder:
if self.am.macd < 0:
self.cancelVtOrder(self.shortOrder, u"没进入红狼", 'short')
if self.sellOrder:
if self.am.macd < 0:
self.cancelVtOrder(self.sellOrder, u'没进入红浪', 'sell')
if self.coverOrder:
if self.am.macd > 0:
self.cancelVtOrder(self.coverOrder, u'没进入绿琅', 'cover')
def checkFalseSignal(self, tick):
if self.tradeMinute:
if self.posdetail.longPos > 0:
if self.am.macd > 0:
self.sellFok(tick.askPrice1, 1)
elif self.posdetail.shortPos > 0:
if self.am.macd < 0:
self.coverFok(tick.bidPrice1, 1)
#回测用
def barkaicang(self, bar):
am = self.am
if not self.stopcount:
fangxiang = None
price = bar.close
if am.diff > 0 and am.macd < 0 and am.lastmacd > 0:
fangxiang = duo
elif am.macd > 0 and am.lastmacd < 0:
fangxiang = duoping
elif am.diff < 0 and am.macd > 0 and am.lastmacd < 0:
fangxiang = kong
elif am.macd < 0 and am.lastmacd > 0:
fangxiang = kongping
self.chulikaipingcang(fangxiang, price)
def reSetOrder(self):
print '---------------------reset--------------'
self.shortOrder = None
self.coverOrder = None
self.buyOrder = None
self.sellOrder = None
class DynamicBreakOut2Strategy(CtaTemplate):
"""基于布林通道的交易策略"""
className = 'DynamicBreakOut2Strategy'
author = u'ForwardCapital'
# 策略参数
lookBackDays = 20 #
devDays = 30 # 计算标准差时间窗口
initDays = 10 # 初始化数据所用的天数
fixedSize = 1 # 每次交易的数量
xMinBar = 15
ATR_N = 2
# 策略变量
ATR = 0 # 布林带中轨
entryUp = 0 # 开仓上轨
entryDown = 0 # 开仓下轨
exitUp = 0 # 平仓上轨
exitDown = 0 # 平仓上轨
shortEntry = 0
longEntry = 0
shortExit = 0
longExit = 0
orderList = [] # 保存委托代码的列表
buyOrderID = None
sellOrderID = None
shortOrderID = None
coverOrderID = None
minute = None
timeFuncTurn = False
# 参数列表，保存了参数的名称
paramList = [
'name', 'className', 'author', 'vtSymbol', "fixedSize", "xMinBar",
"ATR_N"
]
# 变量列表，保存了变量的名称
varList = []
# 同步列表
syncList = [
'pos', 'sellOrderID', 'coverOrderID', 'shortOrderID', 'buyOrderID',
'longExit', 'shortExit', 'orderList'
]
#----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(DynamicBreakOut2Strategy, self).__init__(ctaEngine, setting)
self.bg = MyBarGenerator(self.onBar, self.xMinBar, self.onFiveBar)
self.am = ArrayManager(60)
# self.ctaEngine.eventEngine.register(EVENT_TIMER, self.onTimeFunc)
#----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略初始化' % self.name)
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.loadBar(self.initDays)
for bar in initData:
self.onBar(bar)
self.putEvent()
#----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略启动' % self.name)
self.putEvent()
#----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略停止' % self.name)
self.putEvent()
#----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
self.bg.updateTick(tick)
#----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
self.bg.updateBar(bar)
if not self.am.inited:
return
# 只发平仓单，各指标已在bg.updateBar()函数内完成
if self.pos > 0:
self.longExit = self.exitUp
self.sellOrderID = self.sell(self.longExit, self.fixedSize, True)
# if not self.longExit:
# self.longExit = self.exitUp
# if self.sellOrderID:
# self.cancelOrder(self.sellOrderID)
# else:
# self.cancelAll()
# self.sellOrderID = self.sell(self.longExit, self.fixedSize, True)
# print u'None sellOrderID###多头平仓，单号：%s' % self.sellOrderID
# self.sellOrderID = self.orderIDConvert(self.sellOrderID)
# else:
# if self.longExit != self.exitUp:
# self.longExit = self.exitUp
# self.cancelOrder(self.sellOrderID)
elif self.pos < 0:
self.shortExit = self.exitDown
self.coverOrderID = self.cover(self.shortExit, self.fixedSize,
True)
# if not self.shortExit:
# self.shortExit = self.exitDown
# if self.coverOrderID:
# self.cancelOrder(self.coverOrderID)
# else:
# self.cancelAll()
# self.coverOrderID = self.cover(self.shortExit, self.fixedSize, True)
# print u'None coverOrderID###空头平仓，单号：%s' % self.coverOrderID
# self.coverOrderID = self.orderIDConvert(self.coverOrderID)
# else:
# if self.shortExit != self.exitDown:
# self.shortExit = self.exitDown
# self.cancelOrder(self.coverOrderID)
#----------------------------------------------------------------------
def orderIDConvert(self, orderList):
if not orderList:
return []
else:
return orderList[0]
#----------------------------------------------------------------------
def onFiveBar(self, bar, lastTick):
"""收到5分钟K线"""
# 保存K线数据
self.am.updateBar(bar)
if not self.am.inited:
return
# 计算指标数值
volatilityArray = talib.STDDEV(self.am.close, timeperiod=self.devDays)
self.lookBackDays = int(
round(volatilityArray[-1] / volatilityArray[-2] *
self.lookBackDays))
self.lookBackDays = min(self.lookBackDays, 55)
self.lookBackDays = max(self.lookBackDays, 20)
bBands = talib.BBANDS(self.am.close, timeperiod=self.lookBackDays)
self.ATR = talib.ATR(self.am.high, self.am.low, self.am.close,
self.lookBackDays)[-1]
MidLine = bBands[1][-1]
UpBand = bBands[0][-1]
DnBand = bBands[2][-1]
self.entryUp = max(max(self.am.high[-self.lookBackDays:]), UpBand)
self.entryDown = min(min(self.am.low[-self.lookBackDays:]), DnBand)
self.exitUp = max(MidLine, self.entryUp - self.ATR_N * self.ATR)
self.exitDown = min(MidLine, self.entryDown + self.ATR_N * self.ATR)
print self.entryUp, self.entryDown
print self.exitUp, self.exitDown
# 判断是否进行交易，只发开仓单
if not self.buyOrderID or self.buyOrderID in self.orderList:
if self.pos == 0:
if not self.longEntry:
# if (self.entryUp-self.entryDown)/self.entryUp < 0.006:
# print u'%s 高低点太窄，放弃交易！' % self.vtSymbol
# return
self.longEntry = self.entryUp
self.buyOrderID = self.buy(self.longEntry, self.fixedSize,
True)
self.buyOrderID = self.orderIDConvert(self.buyOrderID)
self.orderList.append(self.buyOrderID)
elif self.longEntry != self.entryUp:
self.cancelOrder(self.buyOrderID)
# if (self.entryUp-self.entryDown)/self.entryUp < 0.006:
# print u'%s 高低点太窄，放弃交易！' % self.vtSymbol
# return
self.longEntry = self.entryUp
self.buyOrderID = self.buy(self.longEntry, self.fixedSize,
True)
self.buyOrderID = self.orderIDConvert(self.buyOrderID)
self.orderList.append(self.buyOrderID)
if not self.shortOrderID or self.shortOrderID in self.orderList:
if self.pos == 0:
if not self.shortEntry:
# if (self.entryUp-self.entryDown)/self.entryUp < 0.006:
# print u'%s 高低点太窄，放弃交易！' % self.vtSymbol
# return
self.shortEntry = self.entryDown
self.shortOrderID = self.short(self.shortEntry,
self.fixedSize, True)
self.shortOrderID = self.orderIDConvert(self.shortOrderID)
self.orderList.append(self.shortOrderID)
elif self.shortEntry != self.entryDown:
self.cancelOrder(self.shortOrderID)
# if (self.entryUp-self.entryDown)/self.entryUp < 0.006:
# print u'%s 高低点太窄，放弃交易！' % self.vtSymbol
# return
self.shortEntry = self.entryDown
self.shortOrderID = self.short(self.shortEntry,
self.fixedSize, True)
self.shortOrderID = self.orderIDConvert(self.shortOrderID)
self.orderList.append(self.shortOrderID)
# 发出状态更新事件
# self.putEvent()
#----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
# print u'委托变化推送：%s' % order.__dict__
# if self.buyOrderID:
# if order.orderID == self.buyOrderID.split('.')[1]:
# if order.status == STATUS_CANCELLED:
# self.orderList.remove(self.buyOrderID)
# if self.shortOrderID:
# if order.orderID == self.shortOrderID.split('.')[1]:
# if order.status == STATUS_CANCELLED:
# self.orderList.remove(self.shortOrderID)
# if self.sellOrderID:
# if order.orderID == self.sellOrderID.split('.')[1]:
# if order.status == STATUS_CANCELLED:
# self.sellOrderID = self.sell(self.longExit, self.fixedSize, False)
# print u'###多头平仓，单号：%s' % self.sellOrderID
# self.sellOrderID = self.orderIDConvert(self.sellOrderID)
# if self.coverOrderID:
# if order.orderID == self.coverOrderID.split('.')[1]:
# if order.status == STATUS_CANCELLED:
# self.coverOrderID = self.cover(self.shortExit, self.fixedSize, False)
# print u'###空头平仓，单号：%s' % self.coverOrderID
# self.coverOrderID = self.orderIDConvert(self.coverOrderID)
if order.offset in [
OFFSET_CLOSE, OFFSET_CLOSETODAY, OFFSET_CLOSEYESTERDAY
]:
if order.status == STATUS_ALLTRADED:
self.buyOrderID = None
self.shortOrderID = None
self.longExit = 0
self.shortExit = 0
pass
#----------------------------------------------------------------------
def onTrade(self, trade):
"""收到成交推送（必须由用户继承实现）"""
# print u'成交推送：%s' % trade.__dict__
# if self.buyOrderID:
# if trade.tradeID == self.buyOrderID.split('.')[1]:
# self.orderList.remove(self.buyOrderID)
# if self.shortOrderID:
# if trade.tradeID == self.shortOrderID.split('.')[1]:
# self.orderList.remove(self.shortOrderID)
# 发出状态更新事件
# self.putEvent()
pass
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
if so.offset == OFFSET_OPEN:
if so.status == STOPORDER_CANCELLED or so.status == STOPORDER_TRIGGERED:
self.orderList.remove(so.stopOrderID)
# if so.offset in [OFFSET_CLOSE, OFFSET_CLOSETODAY, OFFSET_CLOSEYESTERDAY]:
# if self.sellOrderID:
# if so.orderID == self.sellOrderID.split('.')[1]:
# if so.status == STATUS_CANCELLED:
# self.sellOrderID = self.sell(self.longExit, self.fixedSize, True)
# print u'###多头平仓，单号：%s' % self.sellOrderID
# self.sellOrderID = self.orderIDConvert(self.sellOrderID)
# if self.coverOrderID:
# if so.orderID == self.coverOrderID.split('.')[1]:
# if so.status == STATUS_CANCELLED:
# self.coverOrderID = self.cover(self.shortExit, self.fixedSize, True)
# print u'###空头平仓，单号：%s' % self.coverOrderID
# self.coverOrderID = self.orderIDConvert(self.coverOrderID)
pass
#----------------------------------------------------------------------
def onTimeFunc(self, event):
now = dt.datetime.now()
now_hour = now.hour
now_minute = now.minute
if self.minute != now_minute:
self.minute = now_minute
if not self.timeFuncTurn:
self.timeFuncTurn = True
if now_hour == 2 and now_minute == 32 and self.timeFuncTurn:
self.ctaEngine.saveSyncData(self)
self.timeFuncTurn = False
elif now_hour == 15 and now_minute == 10 and self.timeFuncTurn:
self.buyOrderID = None
self.shortOrderID = None
self.coverOrderID = None
self.sellOrderID = None
self.longExit = 0
self.shortExit = 0
self.orderList = []
self.ctaEngine.saveSyncData(self)
self.timeFuncTurn = False
class KeltnerCommonStrategy(CtaTemplate):
"""DualThrust交易策略"""
className = 'KeltnerCommonStrategy'
author = u'Leon Zhao'
# 策略参数
fixedSize = 1
kUpper = 2
kLower = 2
maDays = 13
atrDays = 20 # I may use the average of ATR to reduce the range
initDays = 100 # original value is 10
kExit = 0.5
# 策略变量
barList = [] # K线对象的列表
atrAvg = 0
maHigh = 0
maLow = 0
longEntry = 0
shortEntry = 0
longExit = 0
shortExit = 0
rsiconfig = 50
rsilen = 21
#exitTime = time(hour=15, minute=20) #will not cover position when day close
longEntered = False
shortEntered = False
# 参数列表，保存了参数的名称
paramList = [
'name', 'className', 'author', 'vtSymbol', 'kUpper', 'kLower', 'maDays'
]
# 变量列表，保存了变量的名称
varList = ['inited', 'trading', 'pos', 'atrAvg', 'longEntry', 'shortEntry']
# 同步列表，保存了需要保存到数据库的变量名称
syncList = ['pos', 'atrAvg', 'longEntry', 'shortEntry']
#----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(KeltnerCommonStrategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar,
onDayBar=self.ondayBar,
vtSymbol=self.vtSymbol)
self.am = ArrayManager()
self.barList = []
# Read Parameters from Setting files
if 'strParams' in setting:
self.params = setting['strParams']
if len(self.params) >= 3:
for p in self.params:
if p[0] == 'unit':
self.fixedSize = p[1]
if p[0] == 'p1':
self.kUpper = p[1]
if p[0] == 'p2':
self.kLower = p[1]
if p[0] == 'p3':
self.maDays = p[1]
if p[0] == 'p4':
self.atrDays = p[1]
if p[0] == 'p5':
self.initDays = p[1]
if p[0] == 'p6':
self.rsilen = p[1]
if p[0] == 'p7':
self.rsiconfig = p[1]
else:
# 策略参数
self.fixedSize = 1
self.kUpper = 2
self.kLower = 2
self.maDays = 13
self.atrDays = 20
self.initDays = 55 # original value is 10
self.rsiconfig = 50
self.rsilen = 21
#print(self.fixedSize,self.kUpper,self.kLower,self.maDays,self.initDays)
self.atrAvg = 0
self.maHigh = 0
self.maLow = 0
self.longEntry = 0
self.shortEntry = 0
self.longExit = 0
self.shortExit = 0
#exitTime = time(hour=15, minute=20) #will not cover position when day close
self.longEntered = False
self.shortEntered = False
self.loginterval = 15
self.logcountdown = 0
#----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略初始化' % self.name)
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.loadBar(self.initDays)
for bar in initData:
self.onBar(bar)
self.putEvent()
#----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略启动' % self.name)
self.putEvent()
#----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略停止' % self.name)
self.putEvent()
# ----------------------------------------------------------------------
def writeKeyValue(self):
"""Update long short entry price（必须由用户继承实现）"""
#print("write key")
if self.logcountdown > self.loginterval:
self.logcountdown = 0
outstr = "Symbol(" + self.vtSymbol + ")Long Entry:"
outstr = outstr + str(round(self.longEntry,
2)) + ", Short Entry:" + str(
round(self.shortEntry, 2))
outstr = outstr + ",Exit:" + str(round(self.emamean, 2))
self.writeCtaLog(u'%s' % outstr)
self.logcountdown += 1
self.putEvent()
#----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
#ignore data before real open
if (tick.datetime.hour == 8 or tick.datetime.hour == 20):
return
self.bg.updateTick(tick)
def keltner(self, n, dev, ret_array=False):
"""肯特纳通道"""
mid = self.sma(n, ret_array)
atr = self.atr(n, ret_array)
up = mid + atr * dev
down = mid - atr * dev
return up, down
def calcUnitNo(self, atr, fixSize):
keltnerCap = 0.0
defaultCap = 0.0
unitNo = 0
cust = []
var_sizelist = CtaTemplate.vol_Size
var_size = 0.0
var_Symbol = ""
if len(var_sizelist) == 0:
return fixSize
else:
var_Symbol = var_Symbol.join(
list(filter(lambda x: x.isalpha(), self.vtSymbol)))
var_size = float(var_sizelist[var_Symbol][0])
if var_size - 0 < 0.01:
return fixSize
var_temp = 0.0
if len(CtaTemplate.cust_Setting) > 0:
cust = CtaTemplate.cust_Setting
for cs in cust:
if cs["StrategyGroup"] == "Keltner" and cs["Status"] == 'True':
keltnerCap = cs["CaptialAmt"]
break
if cs["StrategyGroup"] == "Default" and cs["Status"] == 'True':
defaultCap = cs["CaptialAmt"]
if keltnerCap > 0:
self.capConfig = float(keltnerCap)
elif defaultCap > 0:
self.capConfig = float(defaultCap)
else:
self.capConfig = 0.0
unitNo = 0
if self.capConfig - 0 < 0.0001:
unitNo = fixSize
elif var_size - 0 < 0.001:
unitNo = fixSize
else:
unitNo = int(self.capConfig * 0.0066 / (atr * var_size))
if unitNo < 1:
unitNo = 1
return unitNo
#---------calcuate range for the last several days
def calcKPI(self):
if self.am.count >= self.maDays:
self.atrAvg = self.am.atr(self.atrDays, False)
if self.atrAvg > 0:
self.fixedSize = self.calcUnitNo(self.atrAvg, self.fixedSize)
hval = self.am.highArray
lval = self.am.lowArray
cval = self.am.closeArray
meanval = [(h + l + c) / 3 for h, l, c in zip(hval, lval, cval)]
sidx = len(meanval) - self.maDays
self.emamean = np.mean(meanval[sidx:])
#self.emamean = self.am.ema(meanval, array=False)
tlen = len(self.am.closeArray) - self.rsilen - 2
rsi1 = talib.RSI(self.am.closeArray[tlen:], timeperiod=self.rsilen)
self.rsival = rsi1[-1]
self.longEntry = self.emamean + self.atrAvg * self.kUpper
self.shortEntry = self.emamean - self.atrAvg * self.kLower
self.longExit = self.emamean
self.shortExit = self.emamean
#----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
if self.reduceCountdown() > 0:
return
# 撤销之前发出的尚未成交的委托（包括限价单和停止单）
self.cancelAll()
self.bg.updateBar(bar)
barLength = 0
barLength = max(self.atrDays, self.maDays) + 1
if self.am.count < barLength:
return
# 计算指标数值
self.barList.append(bar)
if len(self.barList) <= 2:
return
else:
self.barList.pop(0)
lastBar = self.barList[-2]
# 新的一天
#for commodity trade at night 9 also need because some day night is canncel due to holiday
if (lastBar.datetime.hour == 15 or lastBar.datetime.hour == 14) and (
(bar.datetime.hour == 21 or bar.datetime.hour == 9)):
#for commodity not trade at night:
#if (lastBar.datetime.hour == 15 or lastBar.datetime.hour==14 and lastBar.datetime.minute==59) and ((bar.datetime.hour == 9) ):
# 如果已经初始化
self.range = self.calcKPI()
self.dayOpen = bar.open
#self.longEntered = False
#self.shortEntered = False
else:
pass
# 尚未到收盘
if self.maHigh < 1:
self.calcKPI()
if (self.longEntry < self.emamean) or (
self.shortEntry > self.emamean) or (abs(self.rsival) > 100):
#print(self.kUpper,self.kLower,self.range,"b",self.longEntry,"c",bar.open,bar.datetime)
self.writeCtaLog(
u'long Entry less than MA or vice vesa , or RSI wrong, need to check'
)
return
if True: # Trade Time, no matter when, just send signal
#print("KK:", self.longEntry, self.shortEntry, self.rsival)
if self.pos == 0:
self.longEntered = False
self.shortEntered = False
if bar.close > self.longEntry and self.rsival >= self.rsiconfig:
#if not self.longEntered:
#self.buy(self.longEntry + 2, self.fixedSize)
self.buy(bar.close, self.fixedSize)
elif bar.close < self.shortEntry and self.rsival <= self.rsiconfig:
#if not self.shortEntered:
#self.short(self.shortEntry - 2, self.fixedSize)
self.short(bar.close, self.fixedSize)
else:
pass
# 持有多头仓位
elif self.pos > 0:
self.longEntered = True
self.shortEntered = False
# 多头止损单
if bar.close < self.longExit:
#self.sell(self.shortEntry -2 , self.fixedSize)
self.sell(bar.close, self.pos)
# 空头开仓单
# 持有空头仓位
elif self.pos < 0:
self.shortEntered = True
self.longEntered = False
# 空头止损单
if bar.close > self.shortExit:
#self.cover(self.longEntry + 2, self.fixedSize)
self.cover(bar.close, self.pos)
# 收盘平仓 This will not execute
else:
if self.pos > 0:
self.sell(bar.close * 0.99, abs(self.pos))
elif self.pos < 0:
self.cover(bar.close * 1.01, abs(self.pos))
self.writeKeyValue()
# 发出状态更新事件
self.putEvent()
#update day chart
def ondayBar(self, dayBar):
"""收到日线推送（必须由用户继承实现）"""
self.am.updateBar(dayBar)
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
pass
#----------------------------------------------------------------------
def onTrade(self, trade):
persisttrade(self.vtSymbol, self.className, trade)
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass
class BreakThroughAndCallbackStrategy(CtaTemplate):
className = 'BreakThroughAndCallbackStrategy'
author = u'用Python的交易员'
# 策略参数
fastWindow = 5 # 快速均线参数
first_N = 0
pre_N = 0
current_N = 0
length_of_N = 20
PDC = 0
slowWindow = 20 # 慢速均线参数
long_window = 144 # 长趋势
initDays = 20 # 初始化数据所用的天数
unit_size_of_position = 0 # 头寸规模，根据海龟交易法则进行制定，每天变化，无持仓变化
future_name = "RB"
new_day = True
total_capital = 100000
donchian_up = 0
donchian_down = 0
stop_donchian_up = 0
stop_donchian_down = 0
buy_open_price = 0
buy_append_price = 0
sell_open_price = 0
sell_append_price = 0
# 策略参数
long_window = 144 # 长趋势
longMA0 = EMPTY_FLOAT
longMA1 = EMPTY_FLOAT
# 参数列表，保存了参数的名称
paramList = ['name',
'className',
'author',
'vtSymbol',
'fastWindow',
'slowWindow']
# 变量列表，保存了变量的名称
varList = ['inited',
'trading',
'pos',
'fastMa0',
'fastMa1',
'slowMa0',
'slowMa1']
# 同步列表，保存了需要保存到数据库的变量名称
syncList = ['pos']
# ----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(DoubleMaStrategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar)
self.am = ArrayManager()
self.bg15 = BarGenerator(self.onBar, 15, self.on15MinBar)
self.am15 = ArrayManager()
# rq.init()
# 注意策略类中的可变对象属性（通常是list和dict等），在策略初始化时需要重新创建，
# 否则会出现多个策略实例之间数据共享的情况，有可能导致潜在的策略逻辑错误风险，
# 策略类中的这些可变对象属性可以选择不写，全都放在__init__下面，写主要是为了阅读
# 策略时方便（更多是个编程习惯的选择）
# ----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u'双EMA演示策略初始化')
initData = self.loadBar(self.initDays)
for bar in initData:
self.onBar(bar)
self.putEvent()
# ----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'双EMA演示策略启动')
self.putEvent()
# ----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'双EMA演示策略停止')
self.putEvent()
# ----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
self.bg.updateTick(tick)
# ----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
self.bg15.updateBar(bar)
am = self.am
am.updateBar(bar)
if not am.inited:
return
if not self.am15.inited:
return
if not self.unit_size_of_position:
self.get_unit_size_of_position()
if not self.donchian_up:
(self.donchian_up, self.donchian_down) = am.donchian(300) # 15 *20
(self.stop_donchian_up, self.stop_donchian_down) = am.donchian(150) # 15 * 10
return # 没有计算过通道之前不进行交易判断
# TODO 先使用最简单的入市策略，后续再根据海龟策略的系统1中的讲解，添加入市的策略
long_ma = am.sma(self.long_window, array=True)
self.longMA0 = long_ma[-1]
self.longMA1 = long_ma[-2]
rising_trend = self.longMA0 > self.longMA1
down_trend = self.longMA0 < self.longMA1
if am.high[-1] > self.donchian_up and self.pos == 0 and rising_trend: # 超出通道上线买入
self.buy(am.close[-1], 1)
self.buy_open_price = am.close[-1]
self.buy_append_price = self.buy_open_price
if am.low[-1] < self.donchian_down and self.pos == 0 and down_trend: # 跌穿通道下沿卖出
self.short(am.close[-1], 1)
self.sell_open_price = am.close[-1]
self.sell_append_price = self.sell_open_price
# 加仓逻辑
if self.pos:
# 多头加仓
if 4 > self.pos > 0:
if am.high[-1] >= (self.buy_append_price + self.current_N / 2):
self.buy(am.close[-1], 1)
self.buy_append_price = am.close[-1]
if -4 < self.pos < 0:
if am.low[-1] <= (self.sell_append_price - self.current_N / 2):
self.short(am.close[-1], 1)
self.sell_append_price = am.close[-1]
# 退出逻辑
if self.pos:
if self.pos > 0:
if am.close[-1] < self.stop_donchian_down:
self.sell(am.close[-1], abs(self.pos))
if self.pos < 0:
if am.close[-1] > self.stop_donchian_up:
self.cover(am.close[-1], abs(self.pos))
# 止损逻辑
if self.pos:
if self.pos > 0:
if am.close[-1] < self.buy_append_price - 2 * self.current_N:
self.sell(am.close[-1], abs(self.pos))
if self.pos < 0:
if am.close[-1] > self.sell_append_price + 2 * self.current_N:
self.cover(am.close[-1], abs(self.pos))
(self.donchian_up, self.donchian_down) = am.donchian(300) # 15 *20
(self.stop_donchian_up, self.stop_donchian_down) = am.donchian(150) # 15 * 10
# 发出状态更新事件
self.putEvent()
def on15MinBar(self, bar):
"""15分钟K线推送"""
self.am15.updateBar(bar)
if not self.am15.inited:
return
# if self.am15.close[-20] > 1: # 一共有了20根bar再进行指标的计算
# print bar.datetime.strftime("%Y-%m-%d,%H:%M")
# print self.am15.close[-20:]
if not self.first_N:
self.calculate_first_N()
if not self.pre_N:
self.pre_N = self.first_N
self.current_N = self.pre_N # 期初使用preN 作为 currentN
else:
self.current_N = (self.pre_N * 19 + self.calculate_TR()) / self.length_of_N
self.pre_N = self.current_N
def calculate_TR(self):
current_day_H_minus_L = self.am15.high[-1] - self.am15.low[-1]
current_day_H_minus_yesterday_C = abs(self.am15.high[-1] - self.am15.close[-2])
yesterday_C_minus_current_day_L = abs(self.am15.close[-2] - self.am15.low[-1])
TR = max(current_day_H_minus_L, current_day_H_minus_yesterday_C, yesterday_C_minus_current_day_L)
return TR
# 用前二十一天的数据计算第一个N值
def calculate_first_N(self):
TR_list = []
for i in range(-20, 0):
current_day_H_minus_L = self.am15.high[i] - self.am15.low[i]
current_day_H_minus_yesterday_C = abs(self.am15.high[i] - self.am15.close[i - 1])
yesterday_C_minus_current_day_L = abs(self.am15.close[i - 1] - self.am15.low[i])
TR = max(current_day_H_minus_L, current_day_H_minus_yesterday_C, yesterday_C_minus_current_day_L)
TR_list.append(TR)
self.first_N = np.array(TR_list).mean()
# ----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
# 对于无需做细粒度委托控制的策略，可以忽略onOrder
pass
# ----------------------------------------------------------------------
def onTrade(self, trade):
"""收到成交推送（必须由用户继承实现）"""
# 对于无需做细粒度委托控制的策略，可以忽略onOrder
pass
# ----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass
def get_unit_size_of_position(self):
if self.new_day and not self.pos:
time_of_today = datetime.now().strftime("%Y%m%d")
# 验证策略暂时先不管这一块儿，后续耗时的操作都在开盘前一个小时做好，然后策略从本地文件中读取数据
# 在数据库中记录策略上一次运行的时间，用来判断是否需要重新计算unit_size_of_position
# temp_future_name = rq.get_dominant_future(self.future_name, time_of_today)[-1]
# temp_info = rq.instruments(temp_future_name)
# margin_rate = temp_info.margin_rate
# contract_multiplier = temp_info.contract_multiplier # 合约乘数
contract_multiplier = 10
margin_rate = 0.09
self.unit_size_of_position = (0.01 * self.total_capital) / (self.current_N * contract_multiplier)
self.unit_size_of_position = self.unit_size_of_position * margin_rate * 2 # 期货公司收取的保证金率为最低的三倍左右
self.unit_size_of_position = int(self.unit_size_of_position)
class BollingerBotStrategy(CtaTemplate):
"""基于布林通道的交易策略"""
className = 'BollingerBotStrategy'
author = u'ForwardCapital'
# 策略参数
bollWindow = 28 # 通道窗口数
entryDev = 3.2 # 开仓偏差
exitDev = 1.2 # 平仓偏差
trailingPrcnt = 0.4 # 移动止损百分比
maWindow = 10 # 过滤用均线窗口
initDays = 10 # 初始化数据所用的天数
fixedSize = 1 # 每次交易的数量
# 策略变量
bollMid = 0 # 布林带中轨
bollStd = 0 # 布林带宽度
entryUp = 0 # 开仓上轨
exitUp = 0 # 平仓上轨
maFilter = 0 # 均线过滤
maFilter1 = 0 # 上一期均线
intraTradeHigh = 0 # 持仓期内的最高点
longEntry = 0 # 多头开仓
longExit = 0 # 多头平仓
orderList = [] # 保存委托代码的列表
buyOrderID = None
sellOrderID = None
# 参数列表，保存了参数的名称
paramList = [
'name', 'className', 'author', 'vtSymbol', 'bollWindow', 'entryDev',
'exitDev', 'trailingPrcnt', 'maWindow', 'initDays', 'fixedSize'
]
# 变量列表，保存了变量的名称
varList = [
'inited', 'trading', 'pos', 'bollMid', 'bollStd', 'entryUp', 'exitUp',
'intraTradeHigh', 'longEntry', 'longExit'
]
# 同步列表
syncList = ['pos', 'intraTradeHigh']
#----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(BollingerBotStrategy, self).__init__(ctaEngine, setting)
self.bm = MyBarGenerator(self.onBar, 15, self.onFiveBar)
self.am = ArrayManager()
#----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略初始化' % self.name)
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.loadBar(self.initDays)
for bar in initData:
self.onBar(bar)
self.putEvent()
#----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略启动' % self.name)
self.putEvent()
#----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略停止' % self.name)
self.putEvent()
#----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
self.bm.updateTick(tick)
#----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
self.bm.updateBar(bar)
#----------------------------------------------------------------------
def orderIDConvert(self, orderList):
if not orderList:
return []
else:
return orderList[0]
#----------------------------------------------------------------------
def onFiveBar(self, bar):
"""收到5分钟K线"""
# 保存K线数据
self.am.updateBar(bar)
if not self.am.inited or not self.trading:
return
# 撤销之前发出的尚未成交的委托（包括限价单和停止单）
print u'onFiveBar↓↓↓↓↓↓↓↓↓↓↓↓↓↓↓↓↓↓↓↓↓↓,datetime:%s' % bar.datetime
# 计算指标数值
self.bollMid = self.am.sma(self.bollWindow)
self.bollStd = self.am.std(self.bollWindow)
self.entryUp = self.bollMid + self.bollStd * self.entryDev
self.exitUp = self.bollMid + self.bollStd * self.exitDev
maArray = self.am.sma(self.maWindow, True)
self.maFilter = maArray[-1]
self.maFilter1 = maArray[-2]
# 判断是否要进行交易
if not self.buyOrderID:
if self.pos == 0:
self.intraTradeHigh = bar.high
# 下开仓单
if bar.close > self.maFilter and self.maFilter > self.maFilter1:
self.longEntry = self.entryUp
self.buyOrderID = self.buy(self.longEntry, self.fixedSize,
True)
self.buyOrderID = self.orderIDConvert(self.buyOrderID)
print 'order None!!!buyOrderID is : %s ' % self.buyOrderID
self.orderList.append(self.buyOrderID)
# 下平仓单
self.longExit = self.intraTradeHigh * (
1 - self.trailingPrcnt / 100)
self.longExit = min(self.longExit, self.exitUp)
self.sellOrderID = self.sell(self.longExit, abs(self.pos),
True)
self.sellOrderID = self.orderIDConvert(self.sellOrderID)
print 'order None!!!ellOrderID is : %s ' % self.sellOrderID
self.orderList.append(self.sellOrderID)
elif self.pos > 0:
self.intraTradeHigh = max(self.intraTradeHigh, bar.high)
# 下平仓单
self.longExit = self.intraTradeHigh * (
1 - self.trailingPrcnt / 100)
self.longExit = min(self.longExit, self.exitUp)
self.sellOrderID = self.sell(self.longExit, abs(self.pos),
True)
self.sellOrderID = self.orderIDConvert(self.sellOrderID)
print 'order None!!!sellOrderID is : %s ' % self.sellOrderID
self.orderList.append(self.sellOrderID)
else:
if self.buyOrderID in self.orderList:
self.intraTradeHigh = bar.high
self.cancelAll()
# 下开仓单
if bar.close > self.maFilter and self.maFilter > self.maFilter1:
self.longEntry = self.entryUp
self.buyOrderID = self.buy(self.longEntry, self.fixedSize,
True)
print 'buyOrderID is : %s ' % self.buyOrderID
self.buyOrderID = self.orderIDConvert(self.buyOrderID)
self.orderList.append(self.buyOrderID)
# 下平仓单
self.longExit = self.intraTradeHigh * (
1 - self.trailingPrcnt / 100)
self.longExit = min(self.longExit, self.exitUp)
self.sellOrderID = self.sell(self.longExit, abs(self.pos),
True)
self.sellOrderID = self.orderIDConvert(self.sellOrderID)
print 'sellOrderID is : %s ' % self.sellOrderID
self.orderList.append(self.sellOrderID)
else:
if self.sellOrderID in self.orderList:
self.intraTradeHigh = max(self.intraTradeHigh, bar.high)
self.cancelOrder(self.sellOrderID)
# 下平仓单
self.longExit = self.intraTradeHigh * (
1 - self.trailingPrcnt / 100)
self.longExit = min(self.longExit, self.exitUp)
self.sellOrderID = self.sell(self.longExit, abs(self.pos),
True)
self.sellOrderID = self.orderIDConvert(self.sellOrderID)
print 'sellOrderID is : %s ' % self.sellOrderID
self.orderList.append(self.sellOrderID)
else:
self.intraTradeHigh = bar.high
# 下开仓单
if bar.close > self.maFilter and self.maFilter > self.maFilter1:
self.longEntry = self.entryUp
self.buyOrderID = self.buy(self.longEntry,
self.fixedSize, True)
self.buyOrderID = self.orderIDConvert(self.buyOrderID)
print 'buyOrderID is : %s ' % self.buyOrderID
self.orderList.append(self.buyOrderID)
# 下平仓单
self.longExit = self.intraTradeHigh * (
1 - self.trailingPrcnt / 100)
self.longExit = min(self.longExit, self.exitUp)
self.sellOrderID = self.sell(self.longExit,
abs(self.pos), True)
self.sellOrderID = self.orderIDConvert(
self.sellOrderID)
print 'sellOrderID is : %s ' % self.sellOrderID
self.orderList.append(self.sellOrderID)
# 发出状态更新事件
# self.putEvent()
#----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
pass
#----------------------------------------------------------------------
def onTrade(self, trade):
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
print u'StopOrder回报,stopOrderID:%s, status:%s' % (so.stopOrderID,
so.status)
if so.status == STOPORDER_CANCELLED or so.status == STOPORDER_TRIGGERED:
self.orderList.remove(so.stopOrderID)
pass
class EMAC_IntraDayCommonStrategy(CtaTemplate):
"""DualThrust交易策略"""
className = 'EMAC_IntraDayCommonStrategy'
author = u'Leon Zhao'
# 策略参数
fixedSize = 1
fast1 = 5
slow1 = 21
fast2 = 8
slow2 = 34
fast3 = 13
slow3 = 55
dbpath = "./sr.csv"
cumrange = 0
shreshhold = 0.3
atrDays = 20
atrValue = 0
initDays = 35
# 策略变量
barList = [] # K线对象的列表
longEntry = 0
shortEntry = 0
exitTime = time(hour=15,
minute=20) #will not cover position when day close
longEntered = False
shortEntered = False
# 参数列表，保存了参数的名称
paramList = ['name', 'className', 'author', 'vtSymbol']
# 变量列表，保存了变量的名称
varList = [
'inited', 'trading', 'pos', 'cumrange', 'longEntry', 'shortEntry',
'exitTime'
]
range = 0
longEntry1 = 0
shortEntry1 = 0
# 同步列表，保存了需要保存到数据库的变量名称
syncList = ['pos', 'range', 'longEntry1', 'shortEntry1']
#----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(EMAC_IntraDayCommonStrategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar,
onDayBar=self.ondayBar,
vtSymbol=self.vtSymbol)
self.am = ArrayManager()
self.indexam = ArrayManager()
self.barList = []
self.longEntry1 = 0
self.shortEntry1 = 0
# Read Parameters from Setting files
if 'strParams' in setting:
self.params = setting['strParams']
if len(self.params) >= 3:
for p in self.params:
if p[0] == 'unit':
self.fixedSize = p[1]
if p[0] == 'p1':
self.fast1 = p[1]
if p[0] == 'p2':
self.slow1 = p[1]
if p[0] == 'p3':
self.fast2 = p[1]
if p[0] == 'p4':
self.slow2 = p[1]
if p[0] == 'p5':
self.fast3 = p[1]
if p[0] == 'p6':
self.slow3 = p[1]
if p[0] == 'p7':
self.dbpath = p[1]
else:
# 策略参数
self.fast1 = 5
self.slow1 = 21
self.fast2 = 8
self.slow2 = 34
self.fast3 = 13
self.slow3 = 55
self.dbpath = "./sr.csv"
#print(self.fixedSize,self.k1,self.k2,self.rangeDays,self.initDays)
self.cumrange = 0
self.shreshhold = 0.3
self.atrDays = 20
self.atrValue = 0
self.initDays = 100
self.longEntry = 0
self.shortEntry = 0
self.exitTime = time(
hour=15, minute=20) #will not cover position when day close
self.longEntered = False
self.shortEntered = False
self.emac_kpi = 0
self.emac1scalar = 7.5
self.emac2scalar = 5.3
self.emac3scalar = 3.7
self.pcstd = 0
self.weights = [0.35, 0.3, 0.35]
def loadIndexBar(self, dbpath):
csvfile = "../TdxData/bar_data/" + dbpath
#print(csvfile)
dfindex = pd.read_csv(csvfile, parse_dates=True, index_col=0)
#print(dbpath)
dfindex["pc"] = dfindex["close"] - dfindex["close"].shift(-1)
#dfordered = dfindex.sort_index( ascending=False)
daybar = VtBarData()
dt = datetime.now()
for idx, indexbar in dfindex.iterrows():
#print(idx)
daybar.vtSymbol = self.vtSymbol
daybar.symbol = self.vtSymbol
daybar.exchange = ""
daybar.open = indexbar["open"]
daybar.high = indexbar["high"]
daybar.low = indexbar["low"]
daybar.close = indexbar["close"]
#dt = datetime.strptime(str(indexbar["trade_date"]),"%Y%m%d")
#change bar Date to next day if time is night
#nextDay =
daybar.datetime = idx # 以第一根分钟K线的开始时间戳作为X分钟线的时间戳
daybar.date = daybar.datetime.strftime('%Y%m%d')
daybar.time = daybar.datetime.strftime('%H:%M:%S.%f')
#print(daybar.datetime,daybar.close)
self.indexam.updateBar(daybar)
temp = dfindex["pc"].rolling(20, min_periods=20).std()
temp = temp.dropna()
self.pcstd = temp.iloc[-1]
#----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略初始化' % self.name)
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.loadBar(self.initDays)
#dbpath = ""
self.loadIndexBar(self.dbpath)
for bar in initData:
self.onBar(bar)
self.putEvent()
#----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略启动' % self.name)
self.putEvent()
#----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略停止' % self.name)
self.putEvent()
#----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
#ignore data before real open
if (tick.datetime.hour == 8 or tick.datetime.hour == 20):
return
self.bg.updateTick(tick)
def calcUnitNo(self, atr, fixSize):
dtCap = 0.0
defaultCap = 0.0
unitNo = 0
cust = []
var_sizelist = CtaTemplate.vol_Size
var_size = 0.0
var_Symbol = ""
if len(var_sizelist) == 0:
return fixSize
else:
var_Symbol = var_Symbol.join(
list(filter(lambda x: x.isalpha(), self.vtSymbol)))
var_size = float(var_sizelist[var_Symbol][0])
if var_size - 0 < 0.01:
return fixSize
var_temp = 0.0
if len(CtaTemplate.cust_Setting) > 0:
cust = CtaTemplate.cust_Setting
for cs in cust:
if cs["StrategyGroup"] == "DT" and cs["Status"] == 'True':
dtCap = cs["CaptialAmt"]
break
if cs["StrategyGroup"] == "Default" and cs["Status"] == 'True':
defaultCap = cs["CaptialAmt"]
if dtCap > 0:
self.capConfig = float(dtCap)
elif defaultCap > 0:
self.capConfig = float(defaultCap)
else:
self.capConfig = 0.0
unitNo = 0
if self.capConfig - 0 < 0.0001:
unitNo = fixSize
elif var_size - 0 < 0.001:
unitNo = fixSize
else:
unitNo = int(self.capConfig * 0.0088 / (atr * var_size))
if unitNo < 1:
unitNo = 1
return unitNo
#---------calcuate range for the last several days
def getUnitNo(self):
if self.am.count >= self.atrDays + 1:
self.atrValue = self.am.atr(self.atrDays, False)
if self.atrValue > 0:
self.fixedSize = self.calcUnitNo(self.atrValue, self.fixedSize)
else:
pass
def CalcKPI(self):
#pass
emafast1 = self.indexam.ema(self.fast1)
emaslow1 = self.indexam.ema(self.slow1)
emafast2 = self.indexam.ema(self.fast2)
emaslow2 = self.indexam.ema(self.slow2)
emafast3 = self.indexam.ema(self.fast3)
emaslow3 = self.indexam.ema(self.slow3)
kpi = self.emac1scalar * (
emafast1 -
emaslow1) * self.weights[0] / self.pcstd + self.emac2scalar * (
emafast2 -
emaslow2) * self.weights[1] / self.pcstd + self.emac3scalar * (
emafast3 - emaslow3) * self.weights[2] / self.pcstd
return kpi
#indexvol = self.indexam
#----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
if self.reduceCountdown() > 0:
return
# 撤销之前发出的尚未成交的委托（包括限价单和停止单）
self.cancelAll()
self.bg.updateBar(bar)
barLength = 0
barLength = self.atrDays + 1
if self.am.count < barLength:
return
# 计算指标数值
self.barList.append(bar)
if len(self.barList) <= 2:
return
else:
self.barList.pop(0)
lastBar = self.barList[-2]
self.getUnitNo()
self.emac_kpi = self.CalcKPI()
#print(self.emac_kpi,bar.close)
pos_multiple = 1
if abs(self.emac_kpi) > 30:
pos_multiple = 2
else:
pos_multiple = 1
#print(self.emac_kpi)
if True: # Trade Time, no matter when, just send signal
if self.pos == 0:
self.longEntered = False
self.shortEntered = False
if self.emac_kpi > 1:
self.buy(bar.close, self.fixedSize * pos_multiple)
elif self.emac_kpi < -1:
self.short(bar.close, self.fixedSize * pos_multiple)
else:
pass
# 持有多头仓位
elif self.pos > 0:
self.longEntered = True
self.shortEntered = False
# 多头止损单
if self.emac_kpi < 1 and self.emac_kpi > -1:
#self.sell(self.shortEntry -2 , self.fixedSize)
self.sell(bar.close, abs(self.pos))
# 空头开仓单
elif self.emac_kpi < -1:
self.sell(bar.close,
abs(self.pos)) # close first then open new
if not self.shortEntered:
#self.short(self.shortEntry -2 , self.fixedSize)
self.short(bar.close, self.fixedSize * pos_multiple)
# 持有空头仓位
elif self.pos < 0:
self.shortEntered = True
self.longEntered = False
# 空头止损单
if self.emac_kpi > -1 and self.emac_kpi < 1:
#self.cover(self.longEntry + 2, self.fixedSize)
self.cover(bar.close, abs(self.pos))
# 多头开仓单
elif self.emac_kpi > 1:
self.cover(bar.close,
abs(self.pos)) # close first then open new
if not self.longEntered:
#self.buy(self.longEntry + 2, self.fixedSize)
self.buy(bar.close, self.fixedSize)
# 收盘平仓 This will not execute
else:
if self.pos > 0:
self.sell(bar.close * 0.99, abs(self.pos))
elif self.pos < 0:
self.cover(bar.close * 1.01, abs(self.pos))
# 发出状态更新事件
self.putEvent()
#update day chart
def ondayBar(self, dayBar):
"""收到日线推送（必须由用户继承实现）"""
self.am.updateBar(dayBar)
self.range = None
self.dayOpen = 0
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
pass
#----------------------------------------------------------------------
def onTrade(self, trade):
# 发出状态更新事件
persisttrade(self.vtSymbol, self.className, trade)
self.putEvent()
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass
class HLBeatStrategy(CtaTemplate):
"""基于布林通道的交易策略"""
className = 'HLBeatStrategy'
author = u'ForwardCapital'
# 策略参数
turtleWindow = 20 # 通道窗口数
ma1Window = 5 # 过滤用均线窗口
ma2Window = 10 # 过滤用均线窗口
initDays = 10 # 初始化数据所用的天数
fixedSize = 1 # 每次交易的数量
xMinBar = 15
# 策略变量
periodHigh = 0 # 布林带中轨
periodLow = 0 # 布林带宽度
entryUp = 0 # 开仓上轨
longEntry = 0
entryDown = 0
shortEntry = 0 # 开仓下轨
exitUp = 0 # 平仓上轨
shortExit = 0
exitDown = 0
longExit = 0 # 平仓上轨
CCIFilter = 0 # 均线过滤
CCIFilter1 = 0 # 上一期均线
intraTradeHigh = 0 # 持仓期内的最高点
intraTradeLow = 0 # 持仓期内的最低点
longEntry = 0 # 多头开仓
longExit = 0 # 多头平仓
orderList = [] # 保存委托代码的列表
buyOrderID = None
sellOrderID = None
shortOrderID = None
coverOrderID = None
minute = None
timeFuncTurn = False
# 参数列表，保存了参数的名称
paramList = [
'name', 'className', 'author', 'vtSymbol', "turtleWindow", "ma1Window",
"ma2Window", "xMinBar"
]
# 变量列表，保存了变量的名称
varList = []
# 同步列表
syncList = [
'pos', 'sellOrderID', 'coverOrderID', 'shortOrderID', 'buyOrderID',
'longExit', 'shortExit', 'orderList'
]
#----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(HLBeatStrategy, self).__init__(ctaEngine, setting)
self.bm = MyBarGenerator(self.onBar, self.xMinBar, self.onFiveBar)
self.am = ArrayManager()
self.ctaEngine.eventEngine.register(EVENT_TIMER, self.onTimeFunc)
#----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略初始化' % self.name)
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.loadBar(self.initDays)
for bar in initData:
self.onBar(bar)
self.putEvent()
#----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略启动' % self.name)
self.putEvent()
#----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略停止' % self.name)
self.putEvent()
#----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
self.bm.updateTick(tick)
#----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
self.bm.updateBar(bar)
if not self.am.inited or not self.trading:
return
# 计算指标数值
self.exitUp = min(self.am.low[-self.turtleWindow / 2:])
self.exitDown = max(self.am.high[-self.turtleWindow / 2:])
# 只发平仓单
if self.pos > 0:
if not self.longExit:
self.longExit = self.exitDown
if self.sellOrderID:
self.cancelOrder(self.sellOrderID)
else:
self.cancelAll()
self.sellOrderID = self.sell(self.longExit, self.fixedSize,
False)
print u'None sellOrderID###多头平仓，单号：%s' % self.sellOrderID
self.sellOrderID = self.orderIDConvert(self.sellOrderID)
else:
if self.longExit != self.exitDown:
self.longExit = self.exitDown
self.cancelOrder(self.sellOrderID)
elif self.pos < 0:
if not self.shortExit:
self.shortExit = self.exitUp
if self.coverOrderID:
self.cancelOrder(self.coverOrderID)
else:
self.cancelAll()
self.coverOrderID = self.cover(self.shortExit,
self.fixedSize, False)
print u'None coverOrderID###空头平仓，单号：%s' % self.coverOrderID
self.coverOrderID = self.orderIDConvert(self.coverOrderID)
else:
if self.shortExit != self.exitUp:
self.shortExit = self.exitUp
self.cancelOrder(self.coverOrderID)
#----------------------------------------------------------------------
def orderIDConvert(self, orderList):
if not orderList:
return []
else:
return orderList[0]
#----------------------------------------------------------------------
def onFiveBar(self, bar, lastTick):
"""收到5分钟K线"""
# 保存K线数据
self.am.updateBar(bar)
if not self.am.inited or not self.trading:
return
# 计算指标数值
print u'highArray is ↓↓↓↓↓↓↓↓↓↓'
print self.am.high[-self.turtleWindow:]
print u'lowArray is ↓↓↓↓↓↓↓↓↓↓'
print self.am.low[-self.turtleWindow:]
self.entryUp = max(self.am.high[-self.turtleWindow:])
self.entryDown = min(self.am.low[-self.turtleWindow:])
# self.exitUp = min(self.am.low[-self.turtleWindow/2:])
# self.exitDown = max(self.am.high[-self.turtleWindow/2:])
# print u'entryup:%s, entryDown:%s' % (self.entryUp, self.entryDown)
# ma1 = self.am.sma(self.ma1Window, False)
# ma2 = self.am.sma(self.ma2Window, False)
# cci = self.am.cci(self.CCIWindow, True)
# 判断是否进行交易，只发开仓单
if not self.buyOrderID or self.buyOrderID in self.orderList:
if self.pos == 0:
if not self.longEntry:
if (self.entryUp - self.entryDown) / self.entryUp < 0.006:
print u'%s 高低点太窄，放弃交易！' % self.vtSymbol
return
self.longEntry = self.entryDown
self.buyOrderID = self.buy(self.longEntry, self.fixedSize,
False)
self.buyOrderID = self.orderIDConvert(self.buyOrderID)
self.orderList.append(self.buyOrderID)
elif self.longEntry != self.entryDown:
self.cancelOrder(self.buyOrderID)
if (self.entryUp - self.entryDown) / self.entryUp < 0.006:
print u'%s 高低点太窄，放弃交易！' % self.vtSymbol
return
self.longEntry = self.entryDown
self.buyOrderID = self.buy(self.longEntry, self.fixedSize,
False)
self.buyOrderID = self.orderIDConvert(self.buyOrderID)
self.orderList.append(self.buyOrderID)
if not self.shortOrderID or self.shortOrderID in self.orderList:
if self.pos == 0:
if not self.shortEntry:
if (self.entryUp - self.entryDown) / self.entryUp < 0.006:
print u'%s 高低点太窄，放弃交易！' % self.vtSymbol
return
self.shortEntry = self.entryUp
self.shortOrderID = self.short(self.shortEntry,
self.fixedSize, False)
self.shortOrderID = self.orderIDConvert(self.shortOrderID)
self.orderList.append(self.shortOrderID)
elif self.shortEntry != self.entryUp:
self.cancelOrder(self.shortOrderID)
if (self.entryUp - self.entryDown) / self.entryUp < 0.006:
print u'%s 高低点太窄，放弃交易！' % self.vtSymbol
return
self.shortEntry = self.entryUp
self.shortOrderID = self.short(self.shortEntry,
self.fixedSize, False)
self.shortOrderID = self.orderIDConvert(self.shortOrderID)
self.orderList.append(self.shortOrderID)
# 发出状态更新事件
# self.putEvent()
#----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
# print u'委托变化推送：%s' % order.__dict__
# if self.buyOrderID:
# if order.orderID == self.buyOrderID.split('.')[1]:
# if order.status == STATUS_CANCELLED:
# self.orderList.remove(self.buyOrderID)
# if self.shortOrderID:
# if order.orderID == self.shortOrderID.split('.')[1]:
# if order.status == STATUS_CANCELLED:
# self.orderList.remove(self.shortOrderID)
if self.sellOrderID:
if order.orderID == self.sellOrderID.split('.')[1]:
if order.status == STATUS_CANCELLED:
self.sellOrderID = self.sell(self.longExit, self.fixedSize,
False)
print u'###多头平仓，单号：%s' % self.sellOrderID
self.sellOrderID = self.orderIDConvert(self.sellOrderID)
if self.coverOrderID:
if order.orderID == self.coverOrderID.split('.')[1]:
if order.status == STATUS_CANCELLED:
self.coverOrderID = self.cover(self.shortExit,
self.fixedSize, False)
print u'###空头平仓，单号：%s' % self.coverOrderID
self.coverOrderID = self.orderIDConvert(self.coverOrderID)
pass
#----------------------------------------------------------------------
def onTrade(self, trade):
"""收到成交推送（必须由用户继承实现）"""
# print u'成交推送：%s' % trade.__dict__
if self.buyOrderID:
if trade.tradeID == self.buyOrderID.split('.')[1]:
self.orderList.remove(self.buyOrderID)
if self.shortOrderID:
if trade.tradeID == self.shortOrderID.split('.')[1]:
self.orderList.remove(self.shortOrderID)
if trade.offset in [
OFFSET_CLOSE, OFFSET_CLOSETODAY, OFFSET_CLOSEYESTERDAY
]:
self.buyOrderID = None
self.shortOrderID = None
self.longExit = 0
self.shortExit = 0
# 发出状态更新事件
# self.putEvent()
pass
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
# print u'StopOrder回报,stopOrderID:%s, status:%s' % (so.stopOrderID, so.status)
# if so.status == STOPORDER_CANCELLED or so.status == STOPORDER_TRIGGERED:
# self.orderList.remove(so.stopOrderID)
pass
#----------------------------------------------------------------------
def onTimeFunc(self, event):
now = dt.datetime.now()
now_hour = now.hour
now_minute = now.minute
if self.minute != now_minute:
self.minute = now_minute
if not self.timeFuncTurn:
self.timeFuncTurn = True
if now_hour == 2 and now_minute == 32 and self.timeFuncTurn:
self.ctaEngine.saveSyncData(self)
self.timeFuncTurn = False
elif now_hour == 15 and now_minute == 10 and self.timeFuncTurn:
self.buyOrderID = None
self.shortOrderID = None
self.coverOrderID = None
self.sellOrderID = None
self.longExit = 0
self.shortExit = 0
self.orderList = []
self.ctaEngine.saveSyncData(self)
self.timeFuncTurn = False
class TripleMAStrategy05(CtaTemplate):
"""基于三均线的交易策略"""
className = 'TripleMAStrategy05'
author = 'Y.Raul'
# 策略参数
initDays = 10 # 初始化数据所用的天数
windowCheck = True #交易窗口开关
openWindowSize = 5 #开盘观察窗口，单位分钟
closeWindowSize = 10 #收盘平仓窗口，单位分钟
minDiff = 1 #最小变动单位
# 策略变量
# 仓位设置
stepPos = 1 # 每次交易的数量
maxPos = 4 # 仓位上限
addPosRatio = 3
# 均线设置
maWindow1 = 10
maWindow2 = 20
maWindow3 = 120
maWindow4 = 5
atrWindow = 30 # ATR窗口数
# 分级出场设置
trailingStart1 = 50
trailingStart2 = 80
exitOnTrailingStop1 = 30 # Trailing Stop 距离
exitOnTrailingStop2 = 20 # Trailing Stop 距离
exitOnLossStop = 5 # Loss Stop 距离
# 价格相关变量
intraTradeHigh = 0 # 持仓期内的最高点
intraTradeLow = 0 # 持仓期内的最低点
longExit = 0 # 多头止损
shortExit = 0 # 空头止损
longEntry = 0 # 多头开仓
shortEntry = 0
avgEntryPrice = 0
# 指标相关变量
# ma次新值
ma10 = 0
ma20 = 0
ma30 = 0
# ma最新值
ma11 = 0
ma21 = 0
ma31 = 0
atrValue = 0 # ATR指标数值
orderList = [] # 保存委托代码的列表
# 参数列表，保存了参数的名称
paramList = [
'name', 'className', 'author', 'vtSymbol', 'maWindow1', 'maWindow2',
'maWindow3', 'maWindow4', 'initDays', 'addPos', 'stepPos', 'maxPos',
'exitOnTrailingStop', 'exitOnLossStop'
]
# 变量列表，保存了变量的名称
varList = [
'inited', 'trading', 'pos', 'ma10', 'ma11', 'ma20', 'ma21', 'ma30',
'ma31', 'atrValue', 'avgEntryPrice'
]
# 同步列表
syncList = ['pos']
# ----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(TripleMAStrategy05, self).__init__(ctaEngine, setting)
self.entryPriceList = []
self.bm = BarGenerator(self.onBar, 5, self.onFiveBar)
self.am = ArrayManager(size=150)
self.backTesting = True
# 策略信号
self.buySig = False
self.shortSig = False
self.sellSig = False
self.coverSig = False
# ----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略初始化' % self.name)
if self.backTesting:
# 载入历史数据，并采用回放计算的方式初始化策略数值
self.writeCtaLog(u"回测模式，载入历史数据，并采用回放计算的方式初始化策略数值")
initData = self.loadBar(self.initDays)
for bar in initData:
self.onBar(bar)
else:
# self.trading = True
self.inited = True
self.writeCtaLog(u"实盘模式")
self.putEvent()
# ----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略启动' % self.name)
self.putEvent()
# ----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略停止' % self.name)
self.putEvent()
# ----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
self.curDateTime = tick.datetime
# 计算交易时间和平仓时间
if self.windowCheck == True:
self.__timeWindow(tick.datetime)
else:
self.tradeWindow = True
self.bm.updateTick(tick)
# ----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
# 回测数据传送的bar.datetime，为bar的开始时间
self.curDateTime = bar.datetime
# 计算交易时间和平仓时间
if self.windowCheck == True:
self.__timeWindow(bar.datetime)
else:
self.tradeWindow = True
self.bm.updateBar(bar)
if self.pos == 0:
self.intraTradeLow = bar.low
self.intraTradeHigh = bar.high
else:
self.intraTradeHigh = max(bar.high, self.intraTradeHigh)
self.intraTradeLow = min(bar.low, self.intraTradeLow)
print "-----" * 10
print "@onBar"
print "bar.datetime: {0}; pos: {1} ".format(bar.datetime, self.pos)
print "buySig: {0}; shortSig: {1}".format(self.buySig, self.shortSig)
print "sellSig: {0}; coverSig: {1}".format(self.sellSig, self.coverSig)
print "intraTradeHigh: {0}".format(self.intraTradeHigh)
print "intraTradeLow: {0}".format(self.intraTradeLow)
#检查交易信号
if self.buySig:
self.longEntry = max(self.longEntry, bar.close)
self.buy(self.longEntry, self.stepPos, True)
# self.LossStopPrice = round(self.longEntry * (100.0 - self.exitOnLossStop) / 100)
self.entryPriceList.append(self.longEntry)
self.avgEntryPrice = sum(self.entryPriceList) / len(
self.entryPriceList)
self.LossStopPrice = round(self.avgEntryPrice *
(100.0 + self.exitOnLossStop) / 100)
self.intraTradeHigh = max(bar.high, self.avgEntryPrice)
self.intraTradeLow = min(bar.low, self.avgEntryPrice)
# 记录log
log = "\n Trading: {0}\n".format(self.trading) + \
"{0} Buy : longEntry: {1};\n".format(bar.datetime, self.longEntry) + \
" ma10:{0}; ma11:{1}; ma20:{2}; ma21:{3}; ma30:{4};ma31:{5}\n".format(self.ma10, self.ma11, self.ma20,
self.ma21, self.ma30,
self.ma31) + \
"ma1_ma5:{0}; ma3_ma5:{1}\n".format(self.ma1_ma5, self.ma3_ma5)
# "LossStopPrice:{0}\n".format(self.LossStopPrice)
self.writeCtaLog(log)
self.buySig = False
return
if self.shortSig:
self.shortEntry = min(self.shortEntry, bar.close)
self.short(self.shortEntry, self.stepPos, True)
# self.LossStopPrice = round(self.shortEntry * (100.0 + self.exitOnLossStop) / 100)
self.entryPriceList.append(self.shortEntry)
self.avgEntryPrice = sum(self.entryPriceList) / len(
self.entryPriceList)
self.LossStopPrice = round(self.avgEntryPrice *
(100.0 + self.exitOnLossStop) / 100)
self.intraTradeHigh = max(bar.high, self.avgEntryPrice)
self.intraTradeLow = min(bar.low, self.avgEntryPrice)
# 记录log
log = "\n Trading: {0}\n".format(self.trading) + \
"{0} Short : shortEntry: {1};\n".format(bar.datetime, self.shortEntry) + \
" ma10:{0}; ma11:{1}; ma20:{2}; ma21:{3}; ma30:{4};ma31:{5}\n".format(self.ma10, self.ma11,
self.ma20, self.ma21,
self.ma30, self.ma31) + \
"ma1_ma5:{0}; ma3_ma5:{1}\n".format(self.ma1_ma5, self.ma3_ma5)
# "LossStopPrice:{0}\n".format(self.LossStopPrice)
self.writeCtaLog(log)
self.shortSig = False
return
if self.sellSig:
self.longExit = min(bar.close, self.longExit)
self.sell(self.longExit, abs(self.pos), True)
# 记录log
# log = "\n{0} Sell(Trailing Stop) : longExit: {1};\n".format(bar.datetime, self.longExit) + \
# "intraTradeHigh:{0}; atrValue:{1}; \n".format(self.intraTradeHigh, self.atrValue) + \
# "LongExit:{0}\n".format(self.longExit)
# self.writeCtaLog(log)
self.entryPriceList = []
self.sellSig = False
return
if self.coverSig:
self.shortExit = max(bar.close, self.shortExit)
self.cover(self.shortExit, abs(self.pos), True)
# 记录log
# log = "\n{0} Cover(Trailing Stop) : bar.close: {1};\n".format(bar.datetime, bar.close) + \
# "intraTradeLow:{0}; atrValue:{1};\n".format(self.intraTradeLow, self.atrValue) + \
# "shortExit:{0}\n".format(self.shortExit)
# self.writeCtaLog(log)
self.entryPriceList = []
self.coverSig = False
return
# ----------------------------------------------------------------------
def onFiveBar(self, bar):
"""收到5分钟K线"""
print "-----" * 10
print "@onFiveBar"
print "bar.datetime: ", bar.datetime
print "ma11: %f, ma10 %f" % (self.ma11, self.ma10)
print "ma21: %f, ma20 %f" % (self.ma21, self.ma20)
print "ma31: %f, ma30 %f" % (self.ma31, self.ma30)
# 保存K线数据
self.am.updateBar(bar)
print "bar count: ", self.am.count
print "am.inited: ", self.am.inited
if not self.am.inited:
return
# 撤销之前发出的尚未成交的委托（包括限价单和停止单）
# 等于策略信号的生存期只有5分钟
self.cancelAll()
import talib
# 计算指标数值
ma3Array = self.am.sma(self.maWindow3, True)
self.ma30 = round(ma3Array[-2])
self.ma31 = round(ma3Array[-1])
self.ma3_ma5 = round(talib.SMA(ma3Array, self.maWindow4)[-1])
ma1Array = self.am.sma(self.maWindow1, True)
self.ma10 = round(ma1Array[-2])
self.ma11 = round(ma1Array[-1])
self.ma1_ma5 = talib.SMA(ma1Array, self.maWindow4)[-1]
ma2Array = self.am.sma(self.maWindow2, True)
self.ma20 = round(ma2Array[-2])
self.ma21 = round(ma2Array[-1])
self.atrValue = round(self.am.atr(self.atrWindow))
# 当前为空仓
if self.pos == 0:
self.intraTradeHigh = bar.high
self.intraTradeLow = bar.low
self.avgEntryPrice = 0
self.entryPriceList = []
if self.tradeWindow:
# 开多, bar.close > MA120,MA10 > MA120,MA10 上穿MA20，MA10、MA120向上
if bar.close > self.ma31 and self.ma11 > self.ma31 \
and self.ma10 < self.ma20 and self.ma11 > self.ma21\
and self.ma31 > self.ma3_ma5 and self.ma11 > self.ma1_ma5:
self.buySig = True
self.longEntry = bar.close
# 开空, bar.close < MA120,MA10 < MA120,MA10 下穿MA20, MA10,MA120向下
elif bar.close < self.ma31 and self.ma11 < self.ma31 \
and self.ma10 > self.ma20 and self.ma11 < self.ma21\
and self.ma31 < self.ma3_ma5 and self.ma11 < self.ma1_ma5:
self.shortSig = True
self.shortEntry = bar.close
if self.pos != 0:
self.intraTradeHigh = max(self.intraTradeHigh, bar.high)
self.intraTradeLow = min(self.intraTradeLow, bar.low)
if self.tradeWindow:
if self.pos > 0:
# 二级止赢判断 盈利80跳
if self.intraTradeHigh >= self.avgEntryPrice + self.trailingStart2 * self.minDiff:
# 回撤20跳
if (bar.close <= self.intraTradeHigh -
self.exitOnTrailingStop2 * self.minDiff):
self.longExit = self.intraTradeHigh - self.exitOnTrailingStop2 * self.minDiff
self.sellSig = True
if bar.close < self.longExit:
self.longExit = bar.close
# 记录log
log = "\n{0} Sell(Trailing Stop2)\n".format(bar.datetime) + \
'bar.close: {0}; bar.low: {1}; longExit: {2}'.format(bar.close,bar.low, self.longExit)+ \
'intraTradeHigh: {0}; avgEntryPrice: {1}; bar.open: {2}'.format(self.intraTradeHigh,self.avgEntryPrice, bar.open)
self.writeCtaLog(log)
# 一级止赢判断，盈利50跳
elif self.intraTradeHigh >= self.avgEntryPrice + self.trailingStart1 * self.minDiff:
# 回撤20跳
if (bar.close <= self.intraTradeHigh -
self.exitOnTrailingStop1 * self.minDiff):
self.longExit = self.intraTradeHigh - self.exitOnTrailingStop1 * self.minDiff
self.sellSig = True
if bar.close < self.longExit:
self.longExit = bar.close
# 记录log
log = "\n{0} Sell(Trailing Stop1)\n".format(bar.datetime) + \
'bar.close: {0}; bar.low: {1}; longExit: {2}'.format(bar.close, bar.low,
self.longExit)+ \
'intraTradeHigh: {0}; avgEntryPrice: {1}; bar.open: {2}'.format(self.intraTradeHigh,self.avgEntryPrice, bar.open)
self.writeCtaLog(log)
# 止损，回撤20跳
elif (bar.close <= self.avgEntryPrice -
self.exitOnLossStop * self.minDiff):
self.longExit = self.avgEntryPrice - self.exitOnLossStop * self.minDiff
self.sellSig = True
if bar.close < self.longExit:
self.longExit = bar.close
# 记录log
log = "\n{0} Sell(Loss Stop)\n".format(bar.datetime) + \
'bar.close: {0}; bar.low: {1}; longExit: {2}'.format(bar.close, bar.low,
self.longExit)+ \
'intraTradeHigh: {0}; avgEntryPrice: {1}; bar.open: {2}'.format(self.intraTradeHigh,
self.avgEntryPrice,
bar.open)
self.writeCtaLog(log)
elif self.pos < 0:
# 二级止赢判断 盈利80跳
if self.intraTradeLow <= self.avgEntryPrice - self.trailingStart2 * self.minDiff:
# 回撤20跳
if (bar.close >= self.intraTradeLow +
self.exitOnTrailingStop2 * self.minDiff):
self.shortExit = self.intraTradeLow + self.exitOnTrailingStop2 * self.minDiff
self.coverSig = True
if bar.close > self.shortExit:
self.shortExit = bar.close
# 记录log
log = "\n{0} Cover(Trailing Stop1)\n".format(bar.datetime) + \
'bar.close: {0}; bar.low: {1}; shortExit: {2}'.format(bar.close, bar.low,
self.shortExit)+ \
'intraTradeLow: {0}; avgEntryPrice: {1}; bar.open: {2}'.format(self.intraTradeLow,
self.avgEntryPrice,
bar.open)
self.writeCtaLog(log)
# 一级止赢判断，盈利50跳
elif self.intraTradeLow <= self.avgEntryPrice - self.trailingStart1 * self.minDiff:
# 回撤20跳
if (bar.close >= self.intraTradeLow +
self.exitOnTrailingStop1 * self.minDiff):
self.shortExit = self.intraTradeLow + self.exitOnTrailingStop1 * self.minDiff
self.coverSig = True
if bar.close > self.shortExit:
self.shortExit = bar.close
# 记录log
log = "\n{0} Cover(Trailing Stop2)\n".format(bar.datetime) + \
'bar.close: {0}; bar.low: {1}; shortExit: {2}'.format(bar.close, bar.low,
self.shortExit)+ \
'intraTradeLow: {0}; avgEntryPrice: {1}; bar.open: {2}'.format(self.intraTradeLow,
self.avgEntryPrice,
bar.open)
self.writeCtaLog(log)
# 止损，回撤20跳
elif (bar.close >=
self.avgEntryPrice + self.exitOnLossStop * self.minDiff):
self.shortExit = self.avgEntryPrice + self.exitOnLossStop * self.minDiff
self.coverSig = True
if bar.close > self.shortExit:
self.shortExit = bar.close
# 记录log
log = "\n{0} Cover(Loss Stop)\n".format(bar.datetime) + \
'bar.close: {0}; bar.low: {1}; shortExit: {2}'.format(bar.close, bar.low,
self.shortExit)+ \
'intraTradeLow: {0}; avgEntryPrice: {1}; bar.open: {2}'.format(self.intraTradeLow,
self.avgEntryPrice,
bar.open)
self.writeCtaLog(log)
# # 加仓
# if self.addPos and (self.maxPos - abs(self.pos) > 0):
# # print self.pos, (self.maxPos - abs(self.pos) )
# # print self.entryPriceList
#
# lastEntryPrice = self.entryPriceList[-1]
# # 固定百分比加仓
# addPosOnPips= round(lastEntryPrice* self.addPosRatio/100)
#
# self.writeCtaLog(u'\n 加仓判断:{0}，当前仓位:{1}'.format(bar.datetime, self.pos))
# # 加多仓
# if self.pos > 0 \
# and bar.close >= (lastEntryPrice + addPosOnPips* self.minDiff):
#
# self.buySig = True
# self.longEntry = bar.close
#
# # 记录log
# self.writeCtaLog(u'\n {0},加仓多单{1}手,价格:{2}'.format(bar.datetime, self.stepPos, self.longEntry))
#
# return
#
# # 加空仓
# if self.pos < 0 \
# and bar.close <= (lastEntryPrice + addPosOnPips*self.minDiff):
#
# self.shortSig = True
# self.shortEntry = bar.close
# # 记录log
# self.writeCtaLog(u'{0},加仓空单{1}手,价格:{2}'.format(bar.datetime, self.stepPos, self.shortEntry))
# 执行收盘前平仓检查
# self.__dailyCloseCheck(bar)
# 发出状态更新事件
self.putEvent()
# ----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
log = u'\n OnOrder()更新，orderID:{0},{1},totalVol:{2},tradedVol:{3},offset:{4},price:{5},direction:{6},status:{7},orderTime: {7}'\
.format(order.orderID, order.vtSymbol, order.totalVolume,order.tradedVolume,
order.offset, order.price, order.direction, order.status, order.orderTime)
# self.writeCtaLog(log)
self.putEvent()
# ----------------------------------------------------------------------
def onTrade(self, trade):
log = u'\n OnTrade()更新，orderID:{0},{1},Vol:{2},price:{3},direction:{4},tradeTime:{5}' \
.format(trade.orderID, trade.vtSymbol, trade.volume,trade.price, trade.direction,trade.tradeTime)
# self.writeCtaLog(log)
# 发出状态更新事件
self.putEvent()
# ----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
log = u'\n OnStopOrder()停止单更新，stopOrderID:{0},Vol:{1},price:{2},direction:{3},status:{4}' \
.format(so.stopOrderID, so.volume,so.price, so.direction,so.status)
# self.writeCtaLog(log)
def __timeWindow(self, dt):
"""交易与平仓窗口"""
# 螺纹钢交易窗口 避开早盘和夜盘的前5分钟，防止隔夜跳空。
# 日内平仓窗口
self.closeWindow = False
# 交易窗口
self.tradeWindow = False
# 开盘窗口
self.openWindow = False
# 开市期头5分钟波动较大
if (dt.hour == 9 or dt.hour == 21) and dt.minute < self.openWindowSize:
self.openWindow = False
return
# 日盘
if dt.hour == 9 and dt.minute >= 0:
self.tradeWindow = True
return
if dt.hour == 10:
if dt.minute <= 15 or dt.minute >= 30:
self.tradeWindow = True
return
if dt.hour == 11 and dt.minute <= 30:
self.tradeWindow = True
return
if dt.hour == 13 and dt.minute >= 30:
self.tradeWindow = True
return
if dt.hour == 14:
if dt.minute < 60 - self.closeWindowSize:
self.tradeWindow = True
return
else:
self.closeWindow = True
return
# 夜盘
if dt.hour == 21 and dt.minute >= 0:
self.tradeWindow = True
return
if dt.hour == 22 and dt.minute < 60 - self.closeWindowSize:
self.tradeWindow = True
return
else:
self.closeWindow = True
return
def __dailyCloseCheck(self, bar):
"""每天收盘前检查，如果是亏损单，则平掉"""
if self.pos == 0:
return False
if not self.closeWindow:
return False
# 撤销未成交的订单
self.cancelAll()
log = u'{0},收盘前{1}分钟，撤单及平仓'.format(bar.datetime, self.closeWindowSize)
self.writeCtaLog(log)
self.avgEntryPrice = (sum(self.entryPriceList)) / len(
self.entryPriceList)
# 记录log
log = "\n{0} __dailyCloseCheck : bar.close: {1};\n".format(bar.datetime, bar.close) + \
"avgPrice:{0}\n".format(self.avgEntryPrice)+\
"pos:{0}\n".format(self.pos)
self.writeCtaLog(log)
# 强制平仓
if self.pos > 0 and bar.close < self.avgEntryPrice:
self.writeCtaLog(u'强制日内平亏损多仓')
# 降低两个滑点
self.sell(bar.close - 2 * self.minDiff, abs(self.pos), True)
# 记录log
log = "\n{0} Sell(Force) : bar.close: {1};\n".format(bar.datetime, bar.close) + \
"entryPrice:{0}\n".format(bar.close - 2 * self.minDiff)
self.writeCtaLog(log)
return True
if self.pos < 0 and bar.close > self.avgEntryPrice:
self.writeCtaLog(u'强制日内平亏损空仓')
self.cover(bar.close + 2 * self.minDiff, abs(self.pos), True)
# 记录log
log = "\n{0} Cover(Force) : bar.close: {1};\n".format(bar.datetime, bar.close) + \
"forcePrice:{0}\n".format(bar.close - 2 * self.minDiff)
self.writeCtaLog(log)
return True
return True
class TurtleTradingStrategy(CtaTemplate):
"""海龟交易策略"""
className = 'TurtleTradingStrategy'
author = u'用Python的交易员'
# 策略参数
entryWindow = 55 # 入场通道窗口
exitWindow = 20 # 出场通道窗口
atrWindow = 20 # 计算ATR波动率的窗口
initDays = 10 # 初始化数据所用的天数
fixedSize = 1 # 每次交易的数量
# 策略变量
entryUp = 0 # 入场通道上轨
entryDown = 0 # 入场通道下轨
exitUp = 0 # 出场通道上轨
exitDown = 0 # 出场通道下轨
atrVolatility = 0 # ATR波动率
longEntry = 0 # 多头入场价格
shortEntry = 0 # 空头入场价格
longStop = 0 # 多头止损价格
shortStop = 0 # 空头止损价格
# 参数列表，保存了参数的名称
paramList = ['name',
'className',
'author',
'vtSymbol',
'entryWindow',
'exitWindow',
'atrWindow',
'initDays',
'fixedSize']
# 变量列表，保存了变量的名称
varList = ['inited',
'trading',
'pos',
'entryUp',
'entryDown',
'exitUp',
'exitDown',
'longEntry',
'shortEntry',
'longStop',
'shortStop']
# 同步列表，保存了需要保存到数据库的变量名称
syncList = ['pos']
#----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(TurtleTradingStrategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar)
self.am = ArrayManager()
#----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略初始化' %self.name)
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.loadBar(self.initDays)
for bar in initData:
self.onBar(bar)
self.putEvent()
#----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略启动' %self.name)
self.putEvent()
#----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略停止' %self.name)
self.putEvent()
#----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
self.bg.updateTick(tick)
#----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
self.cancelAll()
# 保存K线数据
self.am.updateBar(bar)
if not self.am.inited:
return
# 计算指标数值
self.entryUp, self.entryDown = self.am.donchian(self.entryWindow)
self.exitUp, self.exitDown = self.am.donchian(self.exitWindow)
if not self.pos:
self.atrVolatility = self.am.atr(self.atrWindow)
# 判断是否要进行交易
if self.pos == 0:
self.longEntry = 0
self.shortEntry = 0
self.longStop = 0
self.shortStop = 0
self.sendBuyOrders(self.entryUp)
self.sendShortOrders(self.entryDown)
elif self.pos > 0:
# 加仓逻辑
self.sendBuyOrders(self.longEntry)
# 止损逻辑
sellPrice = max(self.longStop, self.exitDown)
self.sell(sellPrice, abs(self.pos), True)
elif self.pos < 0:
# 加仓逻辑
self.sendShortOrders(self.shortEntry)
# 止损逻辑
coverPrice = min(self.shortStop, self.exitUp)
self.cover(coverPrice, abs(self.pos), True)
# 同步数据到数据库
self.saveSyncData()
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
pass
#----------------------------------------------------------------------
def onTrade(self, trade):
"""成交推送"""
if trade.direction == DIRECTION_LONG:
self.longEntry = trade.price
self.longStop = self.longEntry - self.atrVolatility * 2
else:
self.shortEntry = trade.price
self.shortStop = self.shortEntry + self.atrVolatility * 2
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass
#----------------------------------------------------------------------
def sendBuyOrders(self, price):
"""发出一系列的买入停止单"""
t = self.pos / self.fixedSize
if t < 1:
self.buy(price, self.fixedSize, True)
if t < 2:
self.buy(price + self.atrVolatility*0.5, self.fixedSize, True)
if t < 3:
self.buy(price + self.atrVolatility, self.fixedSize, True)
if t < 4:
self.buy(price + self.atrVolatility*1.5, self.fixedSize, True)
#----------------------------------------------------------------------
def sendShortOrders(self, price):
""""""
t = self.pos / self.fixedSize
if t > -1:
self.short(price, self.fixedSize, True)
if t > -2:
self.short(price - self.atrVolatility*0.5, self.fixedSize, True)
if t > -3:
self.short(price - self.atrVolatility, self.fixedSize, True)
if t > -4:
self.short(price - self.atrVolatility*1.5, self.fixedSize, True)
class Turtle01Strategy(CtaTemplate):
"""Turtle交易策略"""
className = 'Turtle01Strategy'
author = u'Leon Zhao'
# 策略参数
initDays = 35
fixedSize = 2
longDays = 20
shortDays = 20
longExitDays = 10
shortExitDays = 10
atrDays = 20
exitAtr = 2
# 策略变量
barList = [] # K线对象的列表
newTradeDay = False
lastLongEntry = 0
lastLongTime = 0
lastShortEntry = 0
lastShortTime = 0
upperChannel = 0
lowerChannel = 0
longEntry = 0
shortEntry = 0
entryPrice = 0
entryDirection = 0
entryUsage = 'Turtle'
entryUnitNo = 0
longExit = 0
shortExit = 0
longAtrExit = 0
shortAtrExit = 0
longChannelExit = 0
shortChannelExit = 0
atrValue = 0
rangeLow = 0
exitTime = time(hour=15, minute=20) #will not cover position when day close
longEntered = False
shortEntered = False
# 参数列表，保存了参数的名称
paramList = ['name',
'className',
'author',
'vtSymbol',
'longDays',
'shortDays']
# 变量列表，保存了变量的名称
varList = ['inited',
'trading',
'pos',
'longEntry',
'shortEntry',
'exitTime']
# 同步列表，保存了需要保存到数据库的变量名称
syncList = ['pos','entryPrice','entryDirection','entryUsage','entryUnitNo']
#----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(Turtle01Strategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar,onDayBar = self.ondayBar)
self.am = ArrayManager(max(self.longDays,self.shortDays,self.atrDays)+1)
self.barList = []
#----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略初始化' %self.name)
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.loadBar(self.initDays)
for bar in initData:
self.onBar(bar)
self.putEvent()
#----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略启动' %self.name)
# No need to add calculation of the Turtle Channel on Start, it may not change over days.
#self.calcPrepare()
self.putEvent()
def readLastTrade(self,):
#read last trade data from database
pass
def calcPrepare(self):
#calculate initials of the strategy
barLength = 0
barLength = max(self.longDays,self.shortDays,self.atrDays)
if self.am.count < barLength + 1:
return
#self.atrValue = talib.ATR(self.am.high, self.am.low, self.am.close,self.atrDays)[-1]
self.atrValue = self.am.atr(self.atrDays,False)
# = atrLine[-1]
self.upperChannel = talib.MAX(self.am.high,self.longDays)[-1]
self.lowerChannel = talib.MIN(self.am.low,self.shortDays)[-1]
self.longChannelExit = talib.MIN(self.am.low,self.longExitDays)[-1]
self.shortChannelExit = talib.MAX(self.am.high,self.shortExitDays)[-1]
def calcKPI(self):
if self.pos>0:
self.longAtrExit = int(self.lastLongEntry - 2*self.atrValue)
if self.longAtrExit > self.longChannelExit:
self.longExit = self.longAtrExit
else:
self.longExit = self.longChannelExit
if self.entryUnitNo == 1:
self.longEntry = int(self.lastLongEntry + self.atrValue)
elif self.entryUnitNo == 2:
self.longEntry = int(self.lastLongEntry +0.5*self.atrValue)
else:
self.longEntry = 0
elif self.pos == 0:
self.longEntry = self.upperChannel
self.shortEntry = self.lowerChannel
else:
self.shortAtrExit = int(self.lastShortEntry + 2*self.atrValue)
if self.shortAtrExit < self.shortChannelExit:
self.shortExit = self.shortAtrExit
else:
self.shortExit = self.shortChannelExit
if self.entryUnitNo == 1:
self.shortEntry = int(self.lastShortEntry-self.atrValue)
elif self.entryUnitNo == 2:
self.shortEntry = int(self.lastShortEntry-0.5*self.atrValue)
else:
self.shortEntry = 0
#----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略停止' %self.name)
self.putEvent()
#----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
self.bg.updateTick(tick)
#----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
# 撤销之前发出的尚未成交的委托（包括限价单和停止单）
self.cancelAll()
self.bg.updateBar(bar)
barLength = 0
barLength = max(self.longDays,self.shortDays,self.atrDays)
if self.am.count < barLength + 1:
return
# 计算指标数值
self.barList.append(bar)
if len(self.barList) <= 2:
return
else:
self.barList.pop(0)
lastBar = self.barList[-2]
# 新的一天
if (lastBar.datetime.hour == 15 or (lastBar.datetime.hour==14 and lastBar.datetime.minute==59)) and ((bar.datetime.hour == 21) or (bar.datetime.hour == 9)):
# 如果已经初始化
if not self.upperChannel :
#do things:
self.calcPrepare()
else:
pass
if self.pos == 0:
self.lastLongTime = 0
self.lastShortTime = 0
self.entryUnitNo = 0
self.calcKPI()
if self.pos > 0:
#self.sell(self.longExit,self.fixedSize,stop)
if bar.close < self.longExit:
self.sell(bar.close-2,self.pos)
elif bar.close > self.longEntry and self.longEntry > 0 :
self.buy(bar.close+2,self.fixedSize)
else:
pass
elif self.pos == 0:
#self.entryUnitNo = 0
if bar.close > self.longEntry and self.longEntry > 0 :
self.buy(bar.close+2,self.fixedSize)
elif bar.close < self.shortEntry and self.shortEntry > 0:
self.short(bar.close -2, self.fixedSize)
else:
pass
else:
if bar.close < self.shortEntry and self.shortEntry > 0 :
self.short(bar.close-2,self.fixedSize)
elif bar.close > self.shortExit:
self.cover(bar.close+2,abs(self.pos))
else:
pass
# 发出状态更新事件
self.putEvent()
#update day chart
def ondayBar(self, dayBar):
"""收到日线推送（必须由用户继承实现）"""
self.am.updateBar(dayBar)
self.calcPrepare()
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
#if order.status == STATUS_ALLTRADED and self.pos != 0:
# How do I know the last trade is open or exit?
# self.entryUnitNo = self.entryUnitNo + 1
#----------------------------------------------------------------------
def onTrade(self, trade):
# 发出状态更新事件
if trade.direction == DIRECTION_LONG and trade.offset == OFFSET_OPEN:
self.entryUnitNo = self.entryUnitNo + 1
self.lastLongEntry = trade.price
self.entryPrice = trade.price
self.entryDirection = DIRECTION_LONG
elif trade.direction == DIRECTION_SHORT and trade.offset == OFFSET_OPEN:
self.entryUnitNo = self.entryUnitNo + 1
self.lastShortEntry = trade.price
self.entryPrice = trade.price
self.entryDirection = DIRECTION_SHORT
elif (trade.offset == OFFSET_CLOSE or trade.offset == OFFSET_CLOSETODAY ):
#print(self.pos)
self.entryUnitNo = 0
self.lastLongEntry = 0
self.lastShortEntry = 0
self.entryPrice = 0
self.entryDirection = OFFSET_CLOSE
else:
pass
self.putEvent()
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass
class BollingerBotStrategy01(CtaTemplate):
"""基于布林通道的交易策略"""
className = 'BollingerBotStrategy01'
author = 'Y.Raul'
# 策略参数
bollWindow = 28 # 通道窗口数
entryDevUp = 4 # 开仓偏差
entryDevDown = 3.2
# exitDev = 1.2 # 平仓偏差
# trailingPrcnt = 0.4
# 移动止损百分比
maWindow = 10 # 过滤用均线窗口
initDays = 10 # 初始化数据所用的天数
fixedSize = 1 # 每次交易的数量
# 策略变量
bollMid = 0 # 布林带中轨
bollStd = 0 # 布林带宽度
entryUp = 0 # 开仓上轨
# exitUp = 0 # 平仓上轨
entryDown = 0 #开仓下轨
# exitDown = 0 #平仓下轨
dispacedLen = 0 #均线平移长度
maFilter = 0 # 均线过滤
maFilter1 = 0 # 上一期均线
# 分级出场设置
trailingStart1 = 20
trailingStart2 = 30
exitOnTrailingStop1 = 5 # Trailing Stop 距离
exitOnTrailingStop2 = 10 # Trailing Stop 距离
exitOnLossStop = 20 # Loss Stop 距离
# 价格相关变量
intraTradeHigh = 0 # 持仓期内的最高点
intraTradeLow = 0 # 持仓期内的最低点
avgEntryPrice = 0
minDiff = 1
trailingExit = 0 #
stopExit = 0 # 空头止损
# longEntry = 0 # 多头开仓
# shortEntry = 0
# 信号相关变量
buySig = False
shortSig = False
sellSig = False
coverSig = False
# entrusted = False #是否已有委托
orderList = [] # 保存委托代码的列表
# 参数列表，保存了参数的名称
paramList = [
'name', 'className', 'author', 'vtSymbol', 'bollWindow', 'entryDevUp',
'entryDevDown', 'trailingStart1', 'trailingStart2',
'exitOnTrailingStop1', 'exitOnTrailingStop2', 'maWindow', 'initDays',
'fixedSize'
]
# 变量列表，保存了变量的名称
varList = [
'inited', 'trading', 'pos', 'buySig', 'shortSig', 'sellSig',
'coverSig', 'entryUp', 'entryDown', 'trailingExit', 'stopExit',
'intraTradeHigh', 'intraTradeLow', 'avgEntryPrice'
]
# 同步列表
syncList = ['pos', 'intraTradeHigh']
#----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(BollingerBotStrategy01, self).__init__(ctaEngine, setting)
self.bm = BarGenerator(self.onBar, 5, self.onFiveBar)
self.am = ArrayManager(30)
self.orderList = []
self.entryPriceList = []
#----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略初始化' % self.name)
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.loadBar(self.initDays)
for bar in initData:
self.onBar(bar)
self.putEvent()
#----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略启动' % self.name)
self.putEvent()
#----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略停止' % self.name)
self.putEvent()
#----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
self.bm.updateTick(tick)
#----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
# 观察周期1 Min,根据信号进行交易
# 回测数据传送的bar.datetime，为bar的开始时间
self.bm.updateBar(bar)
if not self.trading:
return
self.date = bar.date
self.time = bar.time
# 检查交易信号
if self.buySig:
res = self.buy(bar.close, self.fixedSize, True)
self.orderList.extend([x.split('.')[1] for x in res])
# self.orderList.extend(res.split('.')[1])
# self.entryPriceList.append(self.longEntry)
# self.avgEntryPrice = sum(self.entryPriceList) / len(self.entryPriceList)
# self.LossStopPrice = round(self.avgEntryPrice * (100.0 + self.exitOnLossStop) / 100)
# self.intraTradeHigh = max(bar.high, self.avgEntryPrice)
# self.intraTradeLow = min(bar.low, self.avgEntryPrice)
log = "-----" * 10 + "\n@onBar\n" + \
"bar.datetime: {0}; pos: {1} \n".format(bar.datetime, self.pos) + \
"buySig: {0}; shortSig: {1}\n".format(self.buySig, self.shortSig) + \
"sellSig: {0}; coverSig: {1}\n".format(self.sellSig, self.coverSig) + \
"intraTradeHigh: {0}\n".format(self.intraTradeHigh) + \
"intraTradeLow: {0}\n".format(self.intraTradeLow)
self.writeCtaLog(log)
# 记录log
log = "\n Trading: {0}\n".format(self.trading) + \
"{0} Buy : longEntry: {1};\n".format(bar.datetime, bar.close) + \
" entryUp:{0}; maFilter:{1}; maFilter1:{2}; \n".format(self.entryUp, self.maFilter, self.maFilter1)
self.writeCtaLog(log)
self.buySig = False
# return
if self.shortSig:
self.res = self.short(bar.close, self.fixedSize, True)
self.orderList.extend([x.split('.')[1] for x in self.res])
# self.orderList.extend(res.split('.')[1])
# self.LossStopPrice = round(self.shortEntry * (100.0 + self.exitOnLossStop) / 100)
# self.entryPriceList.append(self.shortEntry)
# self.avgEntryPrice = sum(self.entryPriceList) / len(self.entryPriceList)
# self.LossStopPrice = round(self.avgEntryPrice * (100.0 + self.exitOnLossStop) / 100)
#
# self.intraTradeHigh = max(bar.high, self.avgEntryPrice)
# self.intraTradeLow = min(bar.low, self.avgEntryPrice)
log = "-----" * 10 + "\n@onBar\n" + \
"bar.datetime: {0}; pos: {1} \n".format(bar.datetime, self.pos) + \
"buySig: {0}; shortSig: {1}\n".format(self.buySig, self.shortSig) + \
"sellSig: {0}; coverSig: {1}\n".format(self.sellSig, self.coverSig) + \
"intraTradeHigh: {0}\n".format(self.intraTradeHigh) + \
"intraTradeLow: {0}\n".format(self.intraTradeLow)
self.writeCtaLog(log)
# 记录log
log = "\n Trading: {0}\n".format(self.trading) + \
"{0} Short : shortEntry: {1};\n".format(bar.datetime, bar.close) + \
" entryDown:{0}; maFilter:{1}; maFilter1:{2}; \n".format(self.entryDown, self.maFilter, self.maFilter1)
self.writeCtaLog(log)
self.shortSig = False
# return
if self.sellSig:
if bar.close > self.stopExit:
price = self.trailingExit
else:
price = bar.close
res = self.sell(price, abs(self.pos), True)
# self.orderList.extend(res)
log = "-----" * 10 + "\n@onBar\n" + \
"bar.datetime: {0}; pos: {1} \n".format(bar.datetime, self.pos) + \
"buySig: {0}; shortSig: {1}\n".format(self.buySig, self.shortSig) + \
"sellSig: {0}; coverSig: {1}\n".format(self.sellSig, self.coverSig) + \
"intraTradeHigh: {0}\n".format(self.intraTradeHigh) + \
"intraTradeLow: {0}\n".format(self.intraTradeLow)
self.writeCtaLog(log)
# 记录log
log = "\n Trading: {0}\n".format(self.trading) + \
"{0} Sell : {1};\n".format(bar.datetime, bar.close) + \
" price:{0}; stopExit: {1}\n".format(price,self.stopExit)
self.writeCtaLog(log)
# self.entryPriceList = []
# self.avgEntryPrice = 0
# self.stopExit = 0
self.sellSig = False
# return
if self.coverSig:
if bar.close < self.stopExit:
price = self.trailingExit
else:
price = bar.close
res = self.cover(price, abs(self.pos), True)
# self.orderList.extend(res)
log = "-----" * 10 + "\n@onBar\n" + \
"bar.datetime: {0}; pos: {1} \n".format(bar.datetime, self.pos) + \
"buySig: {0}; shortSig: {1}\n".format(self.buySig, self.shortSig) + \
"sellSig: {0}; coverSig: {1}\n".format(self.sellSig, self.coverSig) + \
"intraTradeHigh: {0}\n".format(self.intraTradeHigh) + \
"intraTradeLow: {0}\n".format(self.intraTradeLow)
self.writeCtaLog(log)
# 记录log
log = "\n Trading: {0}\n".format(self.trading) + \
"{0} Cover : {1};\n".format(bar.datetime, bar.close) + \
" price:{0}; stopExit: {1}\n".format(price,self.stopExit)
self.writeCtaLog(log)
# self.entryPriceList = []
# self.avgEntryPrice = 0
# self.stopExit = 0
self.coverSig = False
# return
self.putEvent()
#----------------------------------------------------------------------
def onFiveBar(self, bar):
"""收到5分钟K线"""
# 策略周期5Min,生成交易信号
# 保存K线数据
if not self.trading:
return
self.am.updateBar(bar)
if not self.am.inited:
return
# 撤销之前发出的尚未成交的委托（包括限价单和停止单）
self.cancelAll()
# 计算指标数值
self.bollMid = self.am.sma(self.bollWindow,
True)[-1 * (self.dispacedLen + 1)]
self.bollStd = self.am.std(self.bollWindow)
self.entryUp = round(self.bollMid + self.bollStd * self.entryDevUp)
self.entryDown = round(self.bollMid - self.bollStd * self.entryDevDown)
maArray = self.am.sma(self.maWindow, True)
self.maFilter = round(maArray[-1])
self.maFilter1 = round(maArray[-2])
# 判断是否要进行交易
# 当前无仓位
if self.pos == 0:
self.intraTradeHigh = bar.high
self.intraTradeLow = bar.low
self.entryPriceList = []
self.orderList = []
self.avgEntryPrice = 0
if bar.close > self.maFilter and self.maFilter > self.maFilter1:
# 均线多头过滤
if bar.close >= self.entryUp:
# 上轨突破
self.buySig = True
if bar.close < self.maFilter and self.maFilter < self.maFilter1:
# 均线空头过滤
if bar.close <= self.entryDown:
# 下轨突破
self.shortSig = True
log = "-----" * 10 + "\n@onFiveBar\n" + \
"bar.datetime: {0}; pos: {1} ; close: {2}\n".format(bar.datetime, self.pos,bar.close) + \
"buySig: {0}; shortSig: {1}\n".format(self.buySig, self.shortSig) + \
"intraTradeHigh: {0}\n".format(self.intraTradeHigh) + \
"intraTradeLow: {0}\n".format(self.intraTradeLow)
self.writeCtaLog(log)
# 当前有仓位
else:
self.intraTradeHigh = max(self.intraTradeHigh, bar.high)
self.intraTradeLow = min(self.intraTradeLow, bar.low)
if self.pos > 0:
# self.stopExit = self.avgEntryPrice - self.exitOnLossStop * self.minDiff #固定止损价位
if self.intraTradeHigh >= self.avgEntryPrice + self.trailingStart2 * self.minDiff:
# 二级止赢判断 盈利80跳
if (bar.close <= self.intraTradeHigh -
self.exitOnTrailingStop2 * self.minDiff):
# 回撤20跳
self.trailingExit = self.intraTradeHigh - self.exitOnTrailingStop2 * self.minDiff
self.sellSig = True
# if bar.close < self.longExit:
# self.longExit = bar.close
# 记录log
# log = "\n{0} Sell(Trailing Stop2)\n".format(bar.datetime) + \
# 'bar.close: {0}; bar.low: {1}; longExit: {2}'.format(bar.close,bar.low, self.longExit)+ \
# 'intraTradeHigh: {0}; avgEntryPrice: {1}; bar.open: {2}'.format(self.intraTradeHigh,self.avgEntryPrice, bar.open)
# self.writeCtaLog(log)
elif self.intraTradeHigh >= self.avgEntryPrice + self.trailingStart1 * self.minDiff:
# 一级止赢判断，盈利50跳
if (bar.close <= self.intraTradeHigh -
self.exitOnTrailingStop1 * self.minDiff):
# 回撤20跳
self.trailingExit = self.intraTradeHigh - self.exitOnTrailingStop1 * self.minDiff
self.sellSig = True
# if bar.close < self.longExit:
# self.longExit = bar.close
# 记录log
# log = "\n{0} Sell(Trailing Stop1)\n".format(bar.datetime) + \
# 'bar.close: {0}; bar.low: {1}; longExit: {2}'.format(bar.close, bar.low,
# self.longExit)+ \
# 'intraTradeHigh: {0}; avgEntryPrice: {1}; bar.open: {2}'.format(self.intraTradeHigh,self.avgEntryPrice, bar.open)
# self.writeCtaLog(log)
elif self.stopExit != 0:
if (bar.close <= self.stopExit):
# 固定止损，回撤20跳
self.sellSig = True
log = "-----" * 10 + "\n@onFiveBar\n" + \
"bar.datetime: {0}; pos: {1} ; close:{2}\n".format(bar.datetime, self.pos, bar.close) + \
"sellSig: {0}; coverSig: {1}\n".format(self.sellSig, self.coverSig) + \
"intraTradeHigh: {0}\n".format(self.intraTradeHigh) + \
"intraTradeLow: {0}\n".format(self.intraTradeLow) + \
"trailingStart1: {0}\n".format(self.avgEntryPrice + self.trailingStart1 * self.minDiff) + \
"trailingStart2: {0}\n".format(self.avgEntryPrice + self.trailingStart2 * self.minDiff) + \
"avgEntryPrice: {0}\n".format(self.avgEntryPrice) + \
"trailingStop: {0}\n".format(self.trailingExit) + \
"stopExit: {0}\n".format(self.stopExit)
self.writeCtaLog(log)
# if bar.close < self.longExit:
# self.longExit = bar.close
# 记录log
# log = "\n{0} Sell(Loss Stop)\n".format(bar.datetime) + \
# 'bar.close: {0}; bar.low: {1}; longExit: {2}'.format(bar.close, bar.low,
# self.longExit)+ \
# 'intraTradeHigh: {0}; avgEntryPrice: {1}; bar.open: {2}'.format(self.intraTradeHigh,
# self.avgEntryPrice,
# bar.open)
# self.writeCtaLog(log)
elif self.pos < 0:
# self.stopExit = self.avgEntryPrice + self.exitOnLossStop * self.minDiff #固定止损价
if self.intraTradeLow <= self.avgEntryPrice - self.trailingStart2 * self.minDiff:
# 二级止赢判断 盈利80跳
if (bar.close >= self.intraTradeLow +
self.exitOnTrailingStop2 * self.minDiff):
# 回撤20跳
self.trailingExit = self.intraTradeLow + self.exitOnTrailingStop2 * self.minDiff
self.coverSig = True
# if bar.close > self.shortExit:
# self.shortExit = bar.close
# 记录log
# log = "\n{0} Cover(Trailing Stop1)\n".format(bar.datetime) + \
# 'bar.close: {0}; bar.low: {1}; shortExit: {2}'.format(bar.close, bar.low,
# self.shortExit)+ \
# 'intraTradeLow: {0}; avgEntryPrice: {1}; bar.open: {2}'.format(self.intraTradeLow,
# self.avgEntryPrice,
# bar.open)
# self.writeCtaLog(log)
elif self.intraTradeLow <= self.avgEntryPrice - self.trailingStart1 * self.minDiff:
# 一级止赢判断，盈利50跳
if (bar.close >= self.intraTradeLow +
self.exitOnTrailingStop1 * self.minDiff):
# 回撤20跳
self.trailingExit = self.intraTradeLow + self.exitOnTrailingStop1 * self.minDiff
self.coverSig = True
# if bar.close > self.shortExit:
# self.shortExit = bar.close
# 记录log
# log = "\n{0} Cover(Trailing Stop2)\n".format(bar.datetime) + \
# 'bar.close: {0}; bar.low: {1}; shortExit: {2}'.format(bar.close, bar.low,
# self.shortExit)+ \
# 'intraTradeLow: {0}; avgEntryPrice: {1}; bar.open: {2}'.format(self.intraTradeLow,
# self.avgEntryPrice,
# bar.open)
# self.writeCtaLog(log)
elif self.stopExit != 0:
if (bar.close >= self.stopExit):
# 固定止损，回撤20跳
# self.shortExit = self.avgEntryPrice + self.exitOnLossStop * self.minDiff
self.coverSig = True
# if bar.close > self.shortExit:
# self.shortExit = bar.close
# 记录log
# log = "\n{0} Cover(Loss Stop)\n".format(bar.datetime) + \
# 'bar.close: {0}; bar.low: {1}; shortExit: {2}'.format(bar.close, bar.low,
# self.shortExit)+ \
# 'intraTradeLow: {0}; avgEntryPrice: {1}; bar.open: {2}'.format(self.intraTradeLow,
# self.avgEntryPrice,
# bar.open)
# self.writeCtaLog(log)
log = "-----" * 10 + "\n@onFiveBar\n" + \
"bar.datetime: {0}; pos: {1} ; close:{2}\n".format(bar.datetime, self.pos, bar.close) + \
"sellSig: {0}; coverSig: {1}\n".format(self.sellSig, self.coverSig) + \
"intraTradeHigh: {0}\n".format(self.intraTradeHigh) + \
"intraTradeLow: {0}\n".format(self.intraTradeLow) + \
"trailingStart1: {0}\n".format(self.avgEntryPrice - self.trailingStart1 * self.minDiff)+\
"trailingStart2: {0}\n".format(self.avgEntryPrice - self.trailingStart2 * self.minDiff)+\
"avgEntryPrice: {0}\n".format(self.avgEntryPrice)+\
"trailingStop: {0}\n".format(self.trailingExit)+\
"stopExit: {0}\n".format(self.stopExit)
self.writeCtaLog(log)
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
# CTA引擎中涉及到的交易方向类型
# CTAORDER_BUY = u'买开'
# CTAORDER_SELL = u'卖平'
# CTAORDER_SHORT = u'卖开'
# CTAORDER_COVER = u'买平'
log = "-----" * 10 + "\n@onOrder\n" + \
"orderTime: {0}; pos: {1} \n".format(order.orderTime, order.totalVolume) + \
u"status {0}; vtOrderID: {1}\n".format(order.status, order.vtOrderID)
self.writeCtaLog(log)
# 对于开仓，记录相关价格
# if order.vtOrderID in self.orderList:
if order.direction == DIRECTION_LONG and order.offset == OFFSET_OPEN:
if order.totalVolume == order.tradedVolume:
# 更新入场价列表，更新平均入场价
self.entryPriceList.append(order.price)
self.avgEntryPrice = sum(self.entryPriceList) / len(
self.entryPriceList)
self.stopExit = self.avgEntryPrice - self.exitOnLossStop * self.minDiff # 固定止损价
# self.orderList.remove(order.vtOrderID)
elif order.direction == DIRECTION_SHORT and order.offset == OFFSET_OPEN:
# 更新入场价列表，更新平均入场价
if order.totalVolume == order.tradedVolume:
# 更新入场价列表，更新平均入场价
self.entryPriceList.append(order.price)
self.avgEntryPrice = sum(self.entryPriceList) / len(
self.entryPriceList)
self.stopExit = self.avgEntryPrice + self.exitOnLossStop * self.minDiff # 固定止损价
# self.orderList.remove(order.vtOrderID)
self.putEvent()
#----------------------------------------------------------------------
def onTrade(self, trade):
# 发出状态更新事件
data = trade.__dict__
self.putEvent()
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
data = so.__dict__
self.putEvent()
class BarMStrategy(CtaTemplate):
"""多周期策略"""
className = 'BarMStrategy'
author = u'toriphy'
# 策略参数
kkLength = 15 # 计算通道中值的窗口数
kkDevUp = 2.2 # 计算通道宽度的偏差 取2.1或者2.2比较好
kkDevDown = 1.9 # 初始值1.9
trailingPrcnt = 1.1 # 移动止损, 初始值1.2
thresholdRatio = 0.15 # 持仓量指标阈值
initDays = 10 # 初始化数据所用的天数,注意这个值是天数而不是bar的个数
fixedSize = 1 # 每次交易的数量
barBin = 5 # 五分钟线 短周期
barLongBin = 15 # 十五分钟线，长周期
shortMAperiod = 6
longMAperiod = 12
bufferSize = 100 # 需要缓存的数据的大小 65
longCycleBufferSize = 30 # 长周期需要缓存的数据大小 20
bufferCount = 0 # 目前已经缓存了的数据的计数
longCycleBufferCount = 0 # 长周期目前已经缓存了的数据的计数
longCycleTradingFlag = 0 # 长周期交易信号
atrValue = 0 # 最新的ATR指标数值
kkMid = 0 # KK通道中轨
kkUp = 0 # KK通道上轨
kkDown = 0 # KK通道下轨
openRatioModi = 0 # 开仓指标调整
intraTradeHigh = 0 # 持仓期内的最高点
intraTradeLow = 0 # 持仓期内的最低点
longStop = 0 # 多头的移动止损点位
shortStop = 0 # 空头的移动止损点位
openRatioModiArray = np.zeros(bufferSize)
longCycleLLTArrayShort = np.zeros(longCycleBufferSize) # 短周期部分 ，alpha
# 其他不相关的
buyOrderID = None # OCO委托买入开仓的委托号
shortOrderID = None # OCO委托卖出开仓的委托号
orderList = [] # 保存委托代码的列表
# 参数列表，保存了参数的名称
paramList = [
'name', 'className', 'author', 'vtSymbol', 'kkLength', 'kkDevUp',
'kkDevDown', 'thresholdRatio', 'trailingPrcnt'
]
# 变量列表，保存了变量的名称
varList = [
'inited', 'trading', 'pos', 'kkMid', 'kkUp', 'kkDown',
'barOpenRatioModi', 'longStop', 'shortStop', 'longCycleTradingFlag'
]
# 同步列表，保存了需要保存到数据库的变量名称
syncList = ['pos', 'longStop', 'shortStop'] # 持仓数据和trailing stop 是一定要保存的
# ----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(BarMStrategy, self).__init__(ctaEngine, setting)
# 创建K线合成器对象
self.bm = BarManager(self.onBar) # 1分钟线（因为要调取1分钟线的持仓量和成交量信息）
self.am = ArrayManager()
self.bm5 = BarManager(self.onBar, self.barBin, self.on5MinBar)
self.am5 = ArrayManager()
self.bm15 = BarManager(self.onBar, self.barLongBin, self.on15MinBar)
self.am15 = ArrayManager(size=self.longCycleBufferSize)
# ----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略初始化' % self.name)
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.loadBar(self.initDays)
for bar in initData:
self.onBar(bar)
self.putEvent()
# ----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略启动' % self.name)
self.putEvent()
# ----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略停止' % self.name)
self.putEvent()
# ----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
self.bm.updateTick(tick)
# ----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
# 基于15分钟判断趋势过滤，因此先更新
self.am.updateBar(bar)
self.vArray1min = self.am.volume[-5:]
self.oArray1min = self.am.openInterest[-6:]
self.bm15.updateBar(bar)
# 基于5分钟判断
self.bm5.updateBar(bar)
# ----------------------------------------------------------------------
def on5MinBar(self, bar):
"""收到5分钟K线"""
self.cancelAll()
# 保存K线数据
self.am5.updateBar(bar)
barOpenRatioModi = ((np.sqrt(self.vArray1min) / np.sqrt(self.vArray1min).sum()) * ((self.oArray1min[1:] - \
self.oArray1min[:-1]) / self.vArray1min)).mean()
self.openRatioModiArray[0:self.bufferSize -
1] = self.openRatioModiArray[1:self.bufferSize]
self.openRatioModiArray[-1] = barOpenRatioModi # 开仓比例
self.bufferCount += 1
if self.bufferCount < self.bufferSize:
return
# 计算指标数值
self.atrValue = talib.ATR(self.am5.high, self.am5.low, self.am5.close,
self.kkLength)[-1]
self.kkMid = talib.MA(self.am5.close, self.kkLength)[-1]
self.kkUp = self.kkMid + self.atrValue * self.kkDevUp
self.kkDown = self.kkMid - self.atrValue * self.kkDevDown
self.openRatioModi = self.openRatioModiArray[-1] # 开仓量指标
conditionKKBuy = self.am5.close[-1] > self.kkUp
conditionKKSell = self.am5.close[-1] < self.kkDown
conditionOpenRatioModiBuy = self.openRatioModi > 0.022
conditionOpenRatioModiSell = self.openRatioModi > 0.026 # 最好0.026
# 当前无仓位，
if self.pos == 0:
self.intraTradeHigh = bar.high
self.intraTradeLow = bar.low
if conditionKKBuy and conditionOpenRatioModiBuy and self.longCycleTradingFlag == 1:
self.buy(bar.close + 5, self.fixedSize)
elif conditionKKSell and conditionOpenRatioModiSell and self.longCycleTradingFlag == -1:
self.short(bar.close - 5, self.fixedSize)
# 持有多头仓位
elif self.pos > 0:
self.intraTradeHigh = max(self.intraTradeHigh, bar.high)
self.intraTradeLow = bar.low
self.longStop = self.intraTradeHigh * (1 -
self.trailingPrcnt / 100)
orderID = self.sell(self.longStop, abs(self.pos), stop=True)
self.writeCtaLog(u'多头止损价格：' + str(self.longStop))
self.orderList.append(orderID)
# 持有空头仓位
elif self.pos < 0:
self.intraTradeHigh = bar.high
self.intraTradeLow = min(self.intraTradeLow, bar.low)
self.shortStop = self.intraTradeLow * (1 +
self.trailingPrcnt / 100)
orderID = self.cover(self.shortStop, abs(self.pos), stop=True)
self.writeCtaLog(u'空头头止损价格：' + str(self.shortStop))
self.orderList.append(orderID)
# 发出状态更新事件
self.putEvent()
# ----------------------------------------------------------------------
def on15MinBar(self, bar):
"""15分钟K线推送"""
#print 'cycletime:', bar.datetime, self.longCycleTradingFlag
self.am15.updateBar(bar)
alpha = 0.3 # 5分钟线取0.3最佳
alphatilde = 2 / (12 + 1)
LLTShort = (alpha - (alpha ** 2) / 4) * self.am15.close[-1] + (alpha ** 2) / 2 * \
self.am15.close[-2] - \
(alpha - 3 * alpha ** 2 / 4) * self.am15.close[-3] + 2 * (1 - alpha) * \
self.longCycleLLTArrayShort[-1] - (1 - alpha ** 2) * self.longCycleLLTArrayShort[-2]
self.longCycleLLTArrayShort[0:self.longCycleBufferSize -
1] = self.longCycleLLTArrayShort[
1:self.longCycleBufferSize]
self.longCycleLLTArrayShort[-1] = LLTShort
#print self.am15.close[-10:],"\n","LLT:", LLTShort
self.longCycleBufferCount += 1
if self.longCycleBufferCount < self.longCycleBufferSize:
return
longCycleMAlong = talib.MA(self.am15.close, self.longMAperiod)
longCycleMAshort = talib.MA(self.am15.close, self.shortMAperiod)
maLongCondition = longCycleMAshort[-1] > longCycleMAlong[-1]
lltLongCondition = self.longCycleLLTArrayShort[
-1] > self.longCycleLLTArrayShort[-2]
lltShortCondition = self.longCycleLLTArrayShort[
-1] < self.longCycleLLTArrayShort[-2]
if maLongCondition:
self.longCycleTradingFlag = 1
elif lltShortCondition:
self.longCycleTradingFlag = -1
else:
self.longCycleTradingFlag = 0
# ----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
pass
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass
# ----------------------------------------------------------------------
def onTrade(self, trade):
"""发出状态更新事件"""
self.putEvent()
# ----------------------------------------------------------------------
def sendOcoOrder(self, buyPrice, shortPrice, volume):
"""
发送OCO委托
OCO(One Cancel Other)委托：
1. 主要用于实现区间突破入场
2. 包含两个方向相反的停止单
3. 一个方向的停止单成交后会立即撤消另一个方向的
"""
# 发送双边的停止单委托，并记录委托号
self.buyOrderID = self.buy(buyPrice, volume, True)
self.shortOrderID = self.short(shortPrice, volume, True)
# 将委托号记录到列表中
self.orderList.append(self.buyOrderID)
self.orderList.append(self.shortOrderID)
class HgStrategy(CtaTemplate):
"""Demo"""
className = 'haigui'
author = u'zhice'
priceTpye = PRICETYPE_MARKETPRICE # 设置为市价单
# 参数列表，保存了参数的名称
paramList = ['name',
'className',
'author',
'vtSymbol',
'productID',
'shortWindow',
'middleWindow',
'longWindow',
# 交易的实例名信息，一个实例包含一组策略实例
'instanceName',
'instanceId',
'instanceAccount']
# 保存了要用pickle恢复的参数列表
pickleParamList = []
# 同步列表，保存了需要保存到数据库的变量名称
syncList = ['pos']
#----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(HgStrategy, self).__init__(ctaEngine, setting)
self.GOON = False
# 每次启动要重建的参数
self.bg = BarGenerator(self.onBar)
self.cacheDays = max(self.longWindow, (2 * self.middleWindow) + 1)
self.am = ArrayManager(self.cacheDays)
self.myDb = mydb # 数据库引擎
self.hgDbEngine = hgDbEngine(mydb) # cta 数据库操作的一些封装
self.hgReport = hgReport(self.hgDbEngine)
self.monitor = {} # 合约当天的 10日线高低、20日线高低、55日线和ART信息
self.contracts = self.hgDbEngine.getAllContract() # 最新的合约信息
self.sessionID = None # 本地交易
self.frontID = None # 本次交易的
self.logLevel = LOG_INFO # 设置日志输出级别
self.bGenImg = True # 是否生成图像标志位
# self.sessionid = uuid.uuid1() # 本次唯一id
# 关于生成图片与展示html的两个关键变量
self.imgHtmlRootDir = '' # 图片和展示html的根路径
if os.path.exists('/home/ubuntu/vnpy/vnpy-1.8/'):
self.imgHtmlRootDir = '/home/ubuntu/'
print('sys.path.append - /home/ubuntu/vnpy/vnpy-1.8/')
elif os.path.exists('/srv/vnpy18'):
self.imgHtmlRootDir = '/srv/img_html/'
print('sys.path.append - /srv/vnpy18')
# 【重要】所有要pickle存储的数据都要记录在变量中
# True 代表用pickle存储，False代表用正常方式存储
self.pickleItemDict = {"orderList": True,
"tradeList": True,
"hgCellList": True,
"plan_add_price": False,
"atr": False,
"cell_num": False,
"s_or_b": False,
"offsetProfit": False,
"floatProfit": False,
"max_cell_num": False,
"health": False,
"MaxInstanceTotalCellNum": False,
"totalRealUnit": False,
"vtSymbol": False,
"symbolName": False}
# 每次启动要用pickle恢复的数据
#self.hgPosition = {} # 持仓信息
self.orderList = [] # 报单列表
self.tradeList = [] # 成交列表
self.hgCellList = [] # 持仓列表，元素为HgCell
self.plan_add_price = -1 # 加仓价格
self.atr = -1
self.cell_num = 0 # 持仓量
self.s_or_b = '' # 买卖方向
self.offsetProfit = -1 # 平仓盈亏
self.floatProfit = -1 # 浮动盈亏
self.max_cell_num = 3 # 最大持仓量
self.health = True # 交易状态是否健康
self.MaxInstanceTotalCellNum = 12 # 相同实例下单方向的总持仓上限
self.totalRealUnit = 0 # 真实总持仓
self.vtSymbol = ''
self.symbolName = '' # 合约中文名字
fileProductID = self.productID
# TODO通过pickle进行数据恢复
self.hgDbEngine.recoveryFromDb(self)
# 数据库恢复的 productID 与 配置文件中的不一致，属于异常情况，停止交易
if fileProductID <> self.productID:
self.stopTrading()
self.myPrint(LOG_ERROR, '__init__', '文件与数据库中productID不一致，停止交易。')
# 海龟交易主力合约，配置时 symbol 配置的是品种名称，进行翻译。
ret = self.hgDbEngine.getDominantByProductID(self.productID)
# 判断是否需要进行手工移仓
# TODO 目前出现移仓情况需要手动处理
if ret is not None and self.vtSymbol != "" and self.vtSymbol != ret:
self.stopTrading() # 需要进行手工移仓
self.myPrint(LOG_ERROR, '__init__', '需要进行手工移仓。')
if ret is not None and self.vtSymbol == "" :
self.vtSymbol = ret
if ret is None:
self.stopTrading()
self.myPrint(LOG_ERROR, '__init__', '获取主力合约失败。')
self.symbolName = self.contracts[self.vtSymbol]['name'] # 获取合约中文名字
# 只在第一个实例中发送报告
if self.instanceId.endswith('_01'):
self.myPrint(LOG_INFO, 'onInit', '发送报告: ' + self.instanceName)
self.hgReport.sendReport(self.instanceName, self.pickleItemDict)
if self.health:
self.myPrint(LOG_INFO, '__init__', '初始化完成。')
else:
self.myPrint(LOG_ERROR, '__init__', '初始化失败。')
def stopTrading(self, info = ""):
self.myPrint(LOG_ERROR, 'stopTrading', info)
self.health = False
#----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.myPrint(LOG_INFO, 'onInit', '海龟交易法则策略开始初始化。')
# 初始化合约信息
#self.contracts = self.hgDbEngine.getAllContract()
initData = self.hgDbEngine.loadDayBar(self.vtSymbol, self.cacheDays)
if len(initData) != self.cacheDays:
self.myPrint(LOG_ERROR, 'onInit', u'【ERROR】【hg】%s 合约初始化数据不足，需要长度为%d ,实际长度为 %d' % (self.vtSymbol, self.longWindow, len(initData)))
self.stopTrading()
return
for bar in initData:
self.am.updateBar(bar)
shortWindowHighBreak = self.am.high[-self.shortWindow:].max()
shortWindowLowBreak = self.am.low[-self.shortWindow:].min()
middleWindowHighBreak = self.am.high[-self.middleWindow:].max()
middleWindowLowBreak = self.am.low[-self.middleWindow:].min()
longWindowHighBreak = self.am.high[-self.longWindow:].max()
longWindowLowBreak = self.am.low[-self.longWindow:].min()
atr = self.am.atr(20, False)
# 如果记录过atr，则使用开仓时候的 atr
if self.atr != -1 and self.cell_num > 0:
atr = self.atr
unit = int(self.instanceAccount * 0.01 / (atr * self.contracts[self.vtSymbol]['size']))
self.monitor = {
'shortWindowHighBreak': shortWindowHighBreak,
'shortWindowLowBreak': shortWindowLowBreak,
'middleWindowHighBreak': middleWindowHighBreak,
'middleWindowLowBreak': middleWindowLowBreak,
'longWindowHighBreak': longWindowHighBreak,
'longWindowLowBreak': longWindowLowBreak,
'atr': atr,
'unit': unit
}
# 增加一个校验，但凡有一个为零，认为初始化不成功，停止交易
if 0 in [shortWindowHighBreak, shortWindowLowBreak, middleWindowHighBreak
, middleWindowLowBreak, longWindowHighBreak, longWindowLowBreak, atr, unit]:
self.myPrint(LOG_ERROR, 'onInit', u'%s合约初始化失败，信息为%s' % (self.vtSymbol, self.monitor))
self.stopTrading()
self.myPrint(LOG_INFO, 'onInit', u'%s合约初始化，信息为%s' % (self.vtSymbol,self.monitor))
# 报单查询测试
gateway = self.ctaEngine.mainEngine.getGateway('CTP')
# 拿到本次交易的 sessionID 和 frontID，可以抽象到上层
self.sessionID = gateway.tdApi.sessionID # 本地交易
self.frontID = gateway.tdApi.frontID # 本次交易的
self.myPrint(LOG_INFO, 'onInit', u'初始化，sessionID = %s; frontID = %s' % (self.sessionID, self.frontID))
self.myPrint(LOG_INFO, 'onInit', '海龟交易法则策略初始化完成。')
# TODO 每次重新登录如果有历史报单，对历史报单的处理
# 前几个函数测试使用
#self.health = False
#self.myPrint(LOG_INFO, 'onInit', '未测试，先关闭真正的交易。')
#self.stopTrading()
#gateway.tdApi.qryTest()
# ----------------------------------------------------------------------
# 生成图像的封装函数
def genImg(self, size, closePrice):
# 每月的图片放在一个文件夹
# 文件用时间命名
strTime = datetime.now().strftime('%Y%m%d-%H%M%S-%f')
strMonth = strTime[0:6]
filePath = self.imgHtmlRootDir + 'img/' + strMonth
if not os.path.exists(filePath):
os.makedirs(filePath)
fileNamePath = filePath + '/' + strTime + '.jpg'
title = self.vtSymbol + " " + strTime
s_h, s_l = self.am.donchian(self.shortWindow, array=True)
m_h, m_l = self.am.donchian(self.middleWindow, array=True)
l_h, l_l = self.am.donchian(self.longWindow, array=True)
s_h = s_h[-size:]
s_l = s_l[-size:]
m_h = m_h[-size:]
m_l = m_l[-size:]
l_h = l_h[-size:]
l_l = l_l[-size:]
close = self.am.close[-size:]
s_h = np.hstack((s_h, s_h[-1]))
s_l = np.hstack((s_l, s_l[-1]))
m_h = np.hstack((m_h, m_h[-1]))
m_l = np.hstack((m_l, m_l[-1]))
l_h = np.hstack((l_h, l_h[-1]))
l_l = np.hstack((l_l, l_l[-1]))
close = np.hstack((close, closePrice))
saveImg(self,fileNamePath, title,s_h, s_l, m_h, m_l, l_h, l_l, close, size+1)
# ----------------------------------------------------------------------
#----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.myPrint(LOG_INFO, 'onStart', u'海龟交易法则策略启动')
self.putEvent()
#----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.myPrint(LOG_INFO, 'onStop', u'海龟交易法则策略启动')
self.putEvent()
#----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
self.bg.updateTick(tick)
# TODO 将来可以添加校验，校验是否订阅的合约都有信号
#----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
# TODO 对涨跌停的处理
# TODO 异常值的处理
# TODO 如果委托了，一直不成交怎么办
#strategy.trading = False
#strategy.inited = False
print(bar.__dict__)
self.myPrint(LOG_DEBUG, 'onBar', '进入onBar.')
self.myPrint(LOG_DEBUG, 'onBar', bar.__dict__)
if not self.trading :
self.myPrint(LOG_INFO, 'onBar', 'self.trading is false')
return
if not self.health:
self.myPrint(LOG_ERROR, 'onBar', 'self.health is false')
return
# 是否生成图像处理
if self.bGenImg:
# 生成图像
self.genImg(20, bar.close)
# 生成展示html
genHtmls(self.imgHtmlRootDir)
self.bGenImg = False
#self.buy(3750, 1)
#return
# 测试
#self.monitor['middleWindowHighBreak'] = 3575
# 测试结束
vtSymbol = bar.vtSymbol
# 如果发现有合约初始化未完成，直接返回
if not self.am.inited:
self.myPrint(LOG_ERROR, 'onBar', u'【ERROR】【hg】合约未能正常初始化' % (vtSymbol))
return
# 账户金额有限，如果加仓单位还不到1，则直接返回
if self.monitor['unit'] == 0:
self.myPrint(LOG_ERROR, 'onBar', u'self.monitor[unit] == 0')
return
# 5、如果存在不问稳定的订单状态直接返回
if not self.is_all_cell_stable():
# self.printCells("not self.is_all_cell_stable()")
self.myPrint(LOG_INFO, 'onBar', "not self.is_all_cell_stable()")
return
# TODO 这里可以优化， hand_cell 和 saveIntoDB 重复了。
# 6、如果真实持仓未达到目标状态，下单，更新数据库，并返回
if not self.is_all_cell_get_target_unit():
self.myPrint(LOG_IMPORTANT, 'onBar', "当前订单稳定了，但是 没有达到目标仓位，则继续交易。")
for hgcell in self.hgCellList:
hgcell.hand_cell(self, bar.close)
# 记录在数据库中
self.hgDbEngine.saveIntoDB(self)
return
if not self.calCellNumAndTotalRealUnit() and len(self.hgCellList) > 0:
self.myPrint(LOG_ERROR, 'onBar', 'not self.calCellNumAndTotalRealUnit() and len(self.hgCellList) > 0')
self.stopTrading()
return
if self.cell_num >= 1:
# 更新加仓价格
cell = self.hgCellList[self.cell_num - 1] # 取最后一个持仓
if cell.is_all_order_stable(self) and cell.real_unit == cell.target_unit:
# 订单都稳定了，并且达到了目标持仓，更新加仓价格
if cell.open_direction == 'b':
self.plan_add_price = cell.real_in_price + (cell.N / 2)
if cell.open_direction == 's':
self.plan_add_price = cell.real_in_price - (cell.N / 2)
else:
self.myPrint(LOG_ERROR, 'onBar', '不应该出现这种情况，存在订单不稳定或者 目标真实持仓不一致的情况')
self.stopTrading()
return
# 更新退出价格信息
self.update_plan_stop_price()
# 进行一次数据库写入
self.hgDbEngine.saveIntoDB(self)
# 当前持仓大于最大持仓要求
if self.cell_num >= self.max_cell_num:
self.myPrint(LOG_INFO, 'onBar', u'已达到最大持仓 %d / %d' % (self.cell_num, self.max_cell_num))
return
# 单方向是否达到了最大值
tmpInstanceTotalCellNum = self.hgDbEngine.getInstanceTotalCellNum(self.instanceName, self.s_or_b)
if self.s_or_b and tmpInstanceTotalCellNum >= self.MaxInstanceTotalCellNum:
self.myPrint(LOG_INFO, 'onBar', "tmpInstanceTotalCellNum >= self.MaxInstanceTotalCellNum ,"
"the value is %d / %d " % (
tmpInstanceTotalCellNum, self.MaxInstanceTotalCellNum))
return
# TODO 当前持仓是否满足 6 规则
# TODO 撤销所有的合约
# cell 是否发生变化，如果有发生变化，就不再进行下面的逻辑
isCellChange = False
# 如果未持有合约，判断是否有突破
if self.cell_num == 0:
if bar.close > self.monitor['middleWindowHighBreak']:
# 有向上突破
isCellChange = True
self.s_or_b = 'b'
a_cell = HgCell(vtSymbol, self.s_or_b, self.monitor['unit'],
self.monitor['middleWindowHighBreak'], BREAK_MIDDLEWINDOW, self.monitor['atr'])
self.myPrint(LOG_IMPORTANT, 'onBar', "发现向上突破，开仓信息如下"
"vtSymbol = %s, "
"s_or_b = %s, "
"unit = %d, "
"middleWindowHighBreak = %d, "
"type = %s, "
"atr = %d " % (vtSymbol, self.s_or_b, self.monitor['unit'],
self.monitor['middleWindowHighBreak'], BREAK_MIDDLEWINDOW, self.monitor['atr']))
self.addCell(a_cell)
elif bar.close < self.monitor['middleWindowLowBreak']:
# 有向下突破
isCellChange = True
self.s_or_b = 's'
a_cell = HgCell(vtSymbol, self.s_or_b, self.monitor['unit'],
self.monitor['middleWindowLowBreak'], BREAK_MIDDLEWINDOW, self.monitor['atr'])
self.myPrint(LOG_IMPORTANT, 'onBar', "发现向下突破，开仓信息如下"
"vtSymbol = %s, "
"s_or_b = %s, "
"unit = %d, "
"middleWindowLowBreak = %d, "
"type = %s, "
"atr = %d " % (vtSymbol, self.s_or_b, self.monitor['unit'],
self.monitor['middleWindowLowBreak'],
BREAK_MIDDLEWINDOW, self.monitor['atr']))
self.addCell(a_cell)
# 初始持仓为0，并出现成交，说明开仓了，记录开仓时候的art
if isCellChange == True:
self.atr = self.monitor['atr']
self.myPrint(LOG_IMPORTANT, 'onBar', "开仓atr = %d" % (self.atr))
# TODO 清仓完毕后需要重置一些属性，尤其是ATR
if self.cell_num == 0:
# 下面的操作只有有持仓时才操作
self.myPrint(LOG_DEBUG, 'onBar', "self.cell_num == 0")
return
if not isCellChange:
# 如果持有合约，判断是否触及退出
# 10日线退出法则, 多头头寸，价格低于最近10日最低点时退出
if self.s_or_b == 'b' and bar.close < self.monitor['shortWindowLowBreak']:
self.myPrint(LOG_IMPORTANT, 'onBar', "10日线退出法则, 多头头寸，价格低于最近10日最低点时退出。"
"s_or_b = %s, "
"bar.close = %d,"
"shortWindowLowBreak = %d " % (self.s_or_b, bar.close, self.monitor['shortWindowLowBreak']))
self.quitAllOrders()
isCellChange = True
# 10日线退出法则, 空头头寸，价格高于最近10日最高点时退出
if self.s_or_b == 's' and bar.close > self.monitor['shortWindowHighBreak']:
self.myPrint(LOG_IMPORTANT, 'onBar', "10日线退出法则,空头头寸，价格高于最近10日最高点时退出。"
"s_or_b = %s, "
"bar.close = %d,"
"shortWindowHighBreak = %d " % (
self.s_or_b, bar.close, self.monitor['shortWindowHighBreak']))
self.quitAllOrders()
isCellChange = True
# 如果持有合约，判断是否触及止损
# TODO 涨跌停的处理
if not isCellChange:
isCellChange = self.check_stop_condition(bar.close)
if isCellChange:
self.myPrint(LOG_IMPORTANT, 'onBar', "触及止损。")
# 如果持有合约，判断是否触及加仓，同时判断仓位是否超过限制
if not isCellChange:
isCellChange = self.check_add_condition(bar.close)
if isCellChange:
self.myPrint(LOG_IMPORTANT, 'onBar', "触及加仓。")
# 处理每个cell
if isCellChange:
self.myPrint(LOG_IMPORTANT, 'onBar', "处理cell变动，并记录在数据库中。")
for hgcell in self.hgCellList:
hgcell.hand_cell(self, bar.close)
# 记录在数据库中
self.hgDbEngine.saveIntoDB(self)
# 判断是否所有cell的订单都是稳定的
def is_all_cell_stable(self):
ret = True
for hgcell in self.hgCellList:
ret = hgcell.is_all_order_stable(self) and ret
return ret
# 判断是否所有cell都达到目标订单了
def is_all_cell_get_target_unit(self):
ret = True
for hgcell in self.hgCellList:
ret = (hgcell.target_unit == hgcell.real_unit) and ret
return ret
#----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
# 对于无需做细粒度委托控制的策略，可以忽略onOrder
self.myPrint(LOG_DEBUG, 'onOrder', 'IN')
self.myPrint(LOG_INFO, 'onOrder', str(order.__dict__).decode('unicode-escape'))
self.printCells("*" * 20 + " in onorder")
self.orderList.append(order)
# onOrder -133888101.1.CTP.4
# 更新 cell 中 in_orderId_dict out_orderId_dict 中的订单信息
is_update = False
for hgcell in self.hgCellList:
is_update = (hgcell.updateOrder(order) or is_update)
if is_update:
self.myPrint(LOG_IMPORTANT, 'onOrder', '成功更新 cell orders。')
else:
self.myPrint(LOG_ERROR, 'onOrder', '更新 cell orders 失败。')
self.stopTrading()
# TODO 更新持仓数量信息
# 记录在数据库中
self.hgDbEngine.saveIntoDB(self)
self.printCells("*" * 20 + " out onorder")
#----------------------------------------------------------------------
def onTrade(self, trade):
"""收到成交推送（必须由用户继承实现）"""
# 对于无需做细粒度委托控制的策略，可以忽略onOrder
# 打印过trader信息，里面没有session信息
self.myPrint(LOG_DEBUG, 'onTrade', '')
self.myPrint(LOG_INFO, 'onTrade', str(trade.__dict__).decode('unicode-escape'))
self.tradeList.append(trade)
self.printCells("*"*20 + " in onTrade")
is_update = False
orderid = trade.vtOrderID
# 如果 sessionID 和 frontID 维护了
if self.sessionID is not None and self.frontID is not None:
orderid = self.sessionID + '.' + self.frontID + '.' + orderid
# 把 Trade 更新到 cell 中， 更新完之后，会自动计算当前cell持仓 和 真实价格
for hgcell in self.hgCellList:
is_update = (hgcell.updateTrade(orderid, trade) or is_update)
if is_update:
self.myPrint(LOG_IMPORTANT, 'onTrade', '成功更新 cell trades。')
else:
self.myPrint(LOG_ERROR, 'onTrade', '更新 cell trades 失败。')
self.stopTrading()
# 接收到成交之后打印一下自己
for hgcell in self.hgCellList:
hgcell.print_self()
# 记录在数据库中
self.hgDbEngine.saveIntoDB(self)
# TODO 发送下报告，这里报告中有些字段还没更新，其实不是最佳时机
self.myPrint(LOG_INFO, 'onTrade', '发送报告: ' + self.instanceName)
self.hgReport.sendReport(self.instanceName, self.pickleItemDict)
self.printCells("*" * 20 + " out onTrade")
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
self.myPrint("onStopOrder", so.__dict__)
pass
# ----------------------------------------------------------------------
def myPrint(self, funName, date):
print("%s strategyHg funName = %s , date = %s " % (datetime.now(), funName, date))
# 自定义日志级别输出函数
def myPrint(self, level, funName, data):
info = ""
if level == LOG_INFO:
info = '【INFO】'
if level == LOG_DEBUG:
info = '【DEBUG】'
if level == LOG_IMPORTANT:
info = '【IMPORTANT】'
if level == LOG_ERROR:
info = '【ERROR】'
# 添加策略实例标识
info = info + self.instanceName + ' ' + self.instanceId + ' '
if level >= self.logLevel:
info = info + " %s strategyHg funName = %s , data = %s " % (datetime.now(), funName, data)
#print(info) # 输出在文件中
self.writeCtaLog(info) # 输出在数据库中
# 计算真实cell持仓,和 总单位持仓，调用前提是订单已经稳定，订单列表肯定不能为空
def calCellNumAndTotalRealUnit(self):
self.myPrint(LOG_DEBUG, 'calCellNumAndTotalRealUnit', 'IN')
positionCellNum = 0 # 处于已持仓的cell数量
totalRealUnit = 0
ret = True # 返回默认为正常
# 倒叙遍历cell
for cell in list(reversed(self.hgCellList)):
real = cell.real_unit
target = cell.target_unit
totalRealUnit = totalRealUnit + real
# 进入此函数，cell 一定经过了执行 hand_cell in_orderId_dict 不可能为空
if not cell.in_orderId_dict:
self.myPrint(LOG_ERROR, 'calRealCellAndUnitNum', 'not cell.in_orderId_dict')
self.stopTrading()
ret = False
# 订单处于稳定状态，只有一种情况 target == real
if target > 0 and target == real:
positionCellNum = positionCellNum + 1
elif target == 0 and target == real:
self.myPrint(LOG_IMPORTANT, 'calRealCellAndUnitNum', 'cell 清空完毕,将cell删除。')
self.hgCellList.remove(cell)
else:
# 其他情况均为不正常状态
self.myPrint(LOG_ERROR, 'calRealCellAndUnitNum', '其他情况均为不正常状态'
'target = %d, real = %d ' % (target, real))
self.stopTrading()
ret = False
self.cell_num = len(self.hgCellList) # cell数量
self.totalRealUnit = totalRealUnit # 真实总持仓情况
return ret
# ----------------------------------------------------------------------
def addCell(self, cell):
# 增加一个持仓单位
# 当前持仓大于最大持仓要求
if self.cell_num >= self.max_cell_num:
self.myPrint(LOG_IMPORTANT, 'addCell', u'已达到最大持仓 %d / %d' % (self.cell_num, self.max_cell_num))
return
# 单方向是否达到了最大值
tmpInstanceTotalCellNum = self.hgDbEngine.getInstanceTotalCellNum(self.instanceName, self.s_or_b)
if tmpInstanceTotalCellNum >= self.MaxInstanceTotalCellNum:
self.myPrint(LOG_IMPORTANT, 'addCell', "tmpInstanceTotalCellNum >= self.MaxInstanceTotalCellNum ,"
"the value is %d / %d " % (
tmpInstanceTotalCellNum, self.MaxInstanceTotalCellNum))
return
self.cell_num = self.cell_num + 1 # 持仓计数加1
self.hgCellList.append(cell) # 添加在持仓列表中
# ----------------------------------------------------------------------
def quitAllOrders(self):
# 设定所有持仓的目标仓位为0
for cell in self.hgCellList:
cell.target_unit = 0
def check_stop_condition(self, price):
""" 检验是否触发止损条件"""
ret = False # 默认返回True
if self.s_or_b == 'b':
# 多头持仓
for cell in self.hgCellList:
if cell.plan_stop_price is not None:
if price <= cell.plan_stop_price:
# 当前价格小于等于止损价格时，设定目标仓位为0
cell.target_unit = 0
ret = True
else:
self.myPrint(LOG_ERROR, 'check_stop_condition', "check_stop_condition,cell.plan_stop_price is None")
if self.s_or_b == 's':
# 空头持仓
for cell in self.hgCellList:
if cell.plan_stop_price is not None:
if price >= cell.plan_stop_price:
# 当前价格大于等于止损价格时，设定目标仓位为0
cell.target_unit = 0
ret = True
else:
self.myPrint(LOG_ERROR, 'check_stop_condition', "check_stop_condition,cell.plan_stop_price is None")
return ret
# ----------------------------------------------------------------------
def check_add_condition(self, price):
"""检验是否触及加仓条件"""
# 之前已有校验，能进入这个函数说明未达到最大持仓，单方向也满足要求
ret = False
cell = self.hgCellList[len(self.hgCellList) - 1] # 取最后一个持仓
if self.s_or_b == 'b':
# 多头持仓，并且当前价格大约加仓价
if price >= self.plan_add_price:
a_cell = HgCell(self.vtSymbol, self.s_or_b, self.monitor['unit'],
self.plan_add_price, HALF_N, cell.N)
self.myPrint(LOG_IMPORTANT, 'check_add_condition', "触发加仓，信息如下"
"vtSymbol = %s, "
"s_or_b = %s, "
"unit = %d, "
"plan_add_price = %d, "
"type = %s, "
"N = %d " % (self.vtSymbol, self.s_or_b, self.monitor['unit'],
self.plan_add_price,
HALF_N, cell.N))
self.addCell(a_cell)
ret = True
if self.s_or_b == 's':
# 空头持仓，并且当前价格小于加仓价
if price <= self.plan_add_price:
a_cell = HgCell(self.vtSymbol, self.s_or_b, self.monitor['unit'],
self.plan_add_price, HALF_N, cell.N)
self.myPrint(LOG_IMPORTANT, 'check_add_condition', "触发加仓，信息如下"
"vtSymbol = %s, "
"s_or_b = %s, "
"unit = %d, "
"plan_add_price = %d, "
"type = %s, "
"N = %d " % (
self.vtSymbol, self.s_or_b, self.monitor['unit'],
self.plan_add_price,
HALF_N, cell.N))
self.addCell(a_cell)
ret = True
return ret
# ----------------------------------------------------------------------
# 更新 self.plan_stop_price
# 从最后一个仓位开始，计算每个仓位的退出值
def update_plan_stop_price(self):
last_real_in_price = None # 记录上一个价格
last_plan_stop_price = None # 记录上一个止损价格
for cell in list(reversed(self.hgCellList)):
self.real_unit = 0 # 真实持仓单位
self.real_in_price = 0 # 平均入场价格
if cell.real_unit == 0 or cell.real_in_price == 0:
self.myPrint(LOG_ERROR, 'update_plan_stop_price', "cell.real_unit == 0 or cell.real_in_price == 0")
self.stopTrading()
break
tmp_plan_stop_price = None
if self.s_or_b == 'b':
tmp_plan_stop_price = cell.real_in_price - 2 * cell.N
elif self.s_or_b == 's':
tmp_plan_stop_price = cell.real_in_price + 2 * cell.N
# 如果处理的是最后一个cell，直接更新
if last_real_in_price == None:
cell.plan_stop_price = tmp_plan_stop_price
elif 0.8 < float(last_real_in_price)/cell.real_in_price < 1.2:
cell.plan_stop_price = last_plan_stop_price
else:
cell.plan_stop_price = tmp_plan_stop_price
last_real_in_price = cell.real_in_price
last_plan_stop_price = cell.plan_stop_price
# 获取当前实例s_or_b 方向的总持仓数
"""
def getInstanceTotalCellNum(self):
TotalCellNum = 0
d = [
{'$match': {"instanceName": self.instanceName ,"s_or_b" : self.s_or_b}},
{'$group': {'_id': "$instanceName", 'total': {'$sum': "$cell_num"}}}
]
ret = mydb.dbAggregateSum(MAIN_DB_NAME, TB_HG_MAIN, d)
for tmp in ret:
TotalCellNum = int(tmp['total'])
break
print("instanceName:%s %s 方向的总持仓为: %d" % (self.instanceName, self.s_or_b, TotalCellNum))
return TotalCellNum
"""
def printCells(self,info=""):
print(info)
print("start printself")
gt200 = {key: value for key, value in self.__dict__.items() if key not in ['contracts','orderList','tradeList','hgCellList']}
print(str(gt200).decode('unicode-escape'))
print("end printsefl")
print("start printcells")
for cell in self.hgCellList:
cell.print_self()
print("end printcells")
class TurtleSignal(object):
"""海龟信号"""
# ----------------------------------------------------------------------
def __init__(self,
portfolio,
vtSymbol,
entryWindow,
exitWindow,
atrWindow,
profitCheck=False):
"""Constructor"""
self.portfolio = portfolio # 投资组合
self.vtSymbol = vtSymbol # 合约代码
self.entryWindow = entryWindow # 入场通道周期数
self.exitWindow = exitWindow # 出场通道周期数
self.atrWindow = atrWindow # 计算ATR周期数
self.profitCheck = profitCheck # 是否检查上一笔盈利
self.am = ArrayManager(60) # K线容器
self.atrVolatility = 0 # ATR波动率
self.entryUp = 0 # 入场通道
self.entryDown = 0
self.exitUp = 0 # 出场通道
self.exitDown = 0
self.longEntry1 = 0 # 多头入场位
self.longEntry2 = 0
self.longEntry3 = 0
self.longEntry4 = 0
self.longStop = 0 # 多头止损位
self.shortEntry1 = 0 # 空头入场位
self.shortEntry2 = 0
self.shortEntry3 = 0
self.shortEntry4 = 0
self.shortStop = 0 # 空头止损位
self.unit = 0 # 信号持仓
self.result = None # 当前的交易
self.resultList = [] # 交易列表
self.bar = None # 最新K线
# ----------------------------------------------------------------------
# def onBar(self, bar):
# """"""
# self.bar = bar
# self.am.updateBar(bar)
# if not self.am.inited:
# return
#
# self.generateSignal(bar)
# self.calculateIndicator()
def onBar(self, bar):
""""""
self.bar = bar
self.am.updateBar(bar)
while not self.am.inited:
self.am.updateBar(bar)
self.generateSignal(bar)
self.calculateIndicator()
# ----------------------------------------------------------------------
def generateSignal(self, bar):
"""
判断交易信号
要注意在任何一个数据点：buy/sell/short/cover只允许执行一类动作
"""
# 如果指标尚未初始化，则忽略
if not self.longEntry1:
return
# 优先检查平仓
if self.unit > 0:
longExit = max(self.longStop, self.exitDown)
if bar.low <= longExit:
self.sell(longExit)
return
elif self.unit < 0:
shortExit = min(self.shortStop, self.exitUp)
if bar.high >= shortExit:
self.cover(shortExit)
return
# 没有仓位或者持有多头仓位的时候，可以做多（加仓）
if self.unit >= 0:
trade = False
if bar.high >= self.longEntry1 and self.unit < 1:
self.buy(self.longEntry1, 1)
trade = True
if bar.high >= self.longEntry2 and self.unit < 2:
self.buy(self.longEntry2, 1)
trade = True
if bar.high >= self.longEntry3 and self.unit < 3:
self.buy(self.longEntry3, 1)
trade = True
if bar.high >= self.longEntry4 and self.unit < 4:
self.buy(self.longEntry4, 1)
trade = True
if trade:
return
# 没有仓位或者持有空头仓位的时候，可以做空（加仓）
if self.unit <= 0:
if bar.low <= self.shortEntry1 and self.unit > -1:
self.short(self.shortEntry1, 1)
if bar.low <= self.shortEntry2 and self.unit > -2:
self.short(self.shortEntry2, 1)
if bar.low <= self.shortEntry3 and self.unit > -3:
self.short(self.shortEntry3, 1)
if bar.low <= self.shortEntry4 and self.unit > -4:
self.short(self.shortEntry4, 1)
# ----------------------------------------------------------------------
def calculateIndicator(self):
"""计算技术指标"""
self.entryUp, self.entryDown = self.am.donchian(self.entryWindow)
self.exitUp, self.exitDown = self.am.donchian(self.exitWindow)
# 有持仓后，ATR波动率和入场位等都不再变化
if not self.unit:
self.atrVolatility = self.am.atr(self.atrWindow)
self.longEntry1 = self.entryUp
self.longEntry2 = self.entryUp + self.atrVolatility * 0.5
self.longEntry3 = self.entryUp + self.atrVolatility * 1
self.longEntry4 = self.entryUp + self.atrVolatility * 1.5
self.longStop = 0
self.shortEntry1 = self.entryDown
self.shortEntry2 = self.entryDown - self.atrVolatility * 0.5
self.shortEntry3 = self.entryDown - self.atrVolatility * 1
self.shortEntry4 = self.entryDown - self.atrVolatility * 1.5
self.shortStop = 0
# ----------------------------------------------------------------------
def newSignal(self, direction, offset, price, volume):
""""""
self.portfolio.newSignal(self, direction, offset, price, volume)
# ----------------------------------------------------------------------
def buy(self, price, volume):
"""买入开仓"""
price = self.calculateTradePrice(DIRECTION_LONG, price)
self.open(price, volume)
self.newSignal(DIRECTION_LONG, OFFSET_OPEN, price, volume)
# 以最后一次加仓价格，加上两倍N计算止损
self.longStop = price - self.atrVolatility * 2
# ----------------------------------------------------------------------
def sell(self, price):
"""卖出平仓"""
price = self.calculateTradePrice(DIRECTION_SHORT, price)
volume = abs(self.unit)
self.close(price)
self.newSignal(DIRECTION_SHORT, OFFSET_CLOSE, price, volume)
# ----------------------------------------------------------------------
def short(self, price, volume):
"""卖出开仓"""
price = self.calculateTradePrice(DIRECTION_SHORT, price)
self.open(price, -volume)
self.newSignal(DIRECTION_SHORT, OFFSET_OPEN, price, volume)
# 以最后一次加仓价格，加上两倍N计算止损
self.shortStop = price + self.atrVolatility * 2
# ----------------------------------------------------------------------
def cover(self, price):
"""买入平仓"""
price = self.calculateTradePrice(DIRECTION_LONG, price)
volume = abs(self.unit)
self.close(price)
self.newSignal(DIRECTION_LONG, OFFSET_CLOSE, price, volume)
# ----------------------------------------------------------------------
def open(self, price, change):
"""开仓"""
self.unit += change
if not self.result:
self.result = TurtleResult()
self.result.open(price, change)
# ----------------------------------------------------------------------
def close(self, price):
"""平仓"""
self.unit = 0
self.result.close(price)
self.resultList.append(self.result)
self.result = None
# ----------------------------------------------------------------------
def getLastPnl(self):
"""获取上一笔交易的盈亏"""
if not self.resultList:
return 0
result = self.resultList[-1]
return result.pnl
# ----------------------------------------------------------------------
def calculateTradePrice(self, direction, price):
"""计算成交价格"""
# 买入时，停止单成交的最优价格不能低于当前K线开盘价
if direction == DIRECTION_LONG:
tradePrice = max(self.bar.open, price)
# 卖出时，停止单成交的最优价格不能高于当前K线开盘价
else:
tradePrice = min(self.bar.open, price)
return tradePrice
class TripleMAStrategy04(CtaTemplate):
"""基于三均线的交易策略"""
className = 'TripleMAStrategy04'
author = 'Y.Raul'
# 策略参数
initDays = 10 # 初始化数据所用的天数
addPos = True # 加仓开关
windowCheck = True #交易窗口开关
openWindowSize = 5 #开盘观察窗口，单位分钟
closeWindowSize = 10 #收盘平仓窗口，单位分钟
minDiff = 1 #最小变动单位
# 策略变量
# 仓位设置
stepPos = 1 # 每次交易的数量
maxPos = 4 # 仓位上限
addPosRatio = 3
# 均线设置
maWindow1 = 10
maWindow2 = 20
maWindow3 = 120
maWindow4 = 5
atrWindow = 30 # ATR窗口数
# 出场设置
exitOnTrailingStop = 2 # Trailing Stop 距离
exitOnLossStop = 3 # Loss Stop 距离
# 价格相关变量
intraTradeHigh = 0 # 持仓期内的最高点
intraTradeLow = 0 # 持仓期内的最低点
longStop = 0 # 多头止损
shortStop = 0 # 空头止损
longEntry = 0 # 多头开仓
shortEntry = 0
avgEntryPrice = 0
# 指标相关变量
# ma次新值
ma10 = 0
ma20 = 0
ma30 = 0
# ma最新值
ma11 = 0
ma21 = 0
ma31 = 0
atrValue = 0 # ATR指标数值
orderList = [] # 保存委托代码的列表
# 参数列表，保存了参数的名称
paramList = ['name',
'className',
'author',
'vtSymbol',
'maWindow1',
'maWindow2',
'maWindow3',
'maWindow4'
'initDays',
'addPos',
'stepPos',
'maxPos',
'exitOnTrailingStop',
'exitOnLossStop',
]
# 变量列表，保存了变量的名称
varList = ['inited',
'trading',
'pos',
'ma10',
'ma11',
'ma20',
'ma21',
'ma30',
'ma31',
'atrValue',
'avgPrice']
# 同步列表
syncList = ['pos']
# ----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(TripleMAStrategy04, self).__init__(ctaEngine, setting)
self.EntryPriceList = []
self.bm = BarGenerator(self.onBar, 5, self.onFiveBar)
self.am = ArrayManager(size= self.maWindow3 + 30)
# ----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略初始化' % self.name)
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.loadBar(self.initDays)
for bar in initData:
self.onBar(bar)
self.putEvent()
# ----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略启动' % self.name)
self.putEvent()
# ----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略停止' % self.name)
self.putEvent()
# ----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
self.curDateTime = tick.datetime
# 计算交易时间和平仓时间
if self.windowCheck == True:
self.__timeWindow(tick.datetime)
else:
self.tradeWindow = True
self.bm.updateTick(tick)
# ----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
# 更新策略执行的时间（用于回测时记录发生的时间）
# 回测数据传送的bar.datetime，为bar的结束时间
self.curDateTime = bar.datetime
# 计算交易时间和平仓时间
if self.windowCheck == True:
self.__timeWindow(bar.datetime)
else:
self.tradeWindow = True
self.bm.updateBar(bar)
# ----------------------------------------------------------------------
def onFiveBar(self, bar):
"""收到5分钟K线"""
# 保存K线数据
self.am.updateBar(bar)
if not self.am.inited:
return
# print bar.datetime
# 撤销之前发出的尚未成交的委托（包括限价单和停止单）
self.cancelAll()
import talib
# 计算指标数值
ma3Array = self.am.sma(self.maWindow3, True)
self.ma30 = round(ma3Array[-2])
self.ma31 = round(ma3Array[-1])
ma3_ma5 = round(talib.SMA(ma3Array, self.maWindow4)[-1])
ma1Array = self.am.sma(self.maWindow1, True)
self.ma10 = round(ma1Array[-2])
self.ma11 = round(ma1Array[-1])
ma1_ma5 = talib.SMA(ma1Array, self.maWindow4)[-1]
ma2Array = self.am.sma(self.maWindow2, True)
self.ma20 = round(ma2Array[-2])
self.ma21 = round(ma2Array[-1])
self.atrValue = round(self.am.atr(self.atrWindow))
# 判断是否要进行交易
# 当前无仓位，发送OCO开仓委托
if self.pos == 0 :
self.intraTradeHigh = bar.high
self.intraTradeLow = bar.low
if self.tradeWindow:
# 开多, bar.close > MA120,MA10 > MA120,MA10 上穿MA20，MA10、MA120向上
if bar.close > self.ma31 and self.ma11 > self.ma31 \
and self.ma10 < self.ma20 and self.ma11 > self.ma21\
and self.ma31 > ma3_ma5 and self.ma11 > ma1_ma5:
self.longEntry = bar.close
self.buy(self.longEntry, self.stepPos, True)
# lastEntryPrice = self.longEntry
self.LossStopPrice = round(self.longEntry * (100.0 -self.exitOnLossStop)/100)
self.EntryPriceList.append(self.longEntry)
# 记录log
log = "\n Trading: {0}\n".format(self.trading)+\
"{0} Buy : bar.close: {1};\n".format(bar.datetime, bar.close) + \
" ma10:{0}; ma11:{1}; ma20:{2}; ma21:{3}; ma30:{4};ma31:{5}\n".format(self.ma10,self.ma11,self.ma20,self.ma21,self.ma30,self.ma31) + \
"ma1_ma5:{0}; ma3_ma5:{1}\n".format(ma1_ma5,ma3_ma5)+\
"LossStopPrice:{0}\n".format(self.LossStopPrice)
self.writeCtaLog(log)
# 开空, bar.close < MA120,MA10 < MA120,MA10 下穿MA20, MA10,MA120向下
elif bar.close < self.ma31 and self.ma11 < self.ma31 \
and self.ma10 > self.ma20 and self.ma11 < self.ma21\
and self.ma31 < ma3_ma5 and self.ma11 < ma1_ma5:
self.shortEntry = bar.close
self.short(self.shortEntry, self.stepPos, True)
# lastEntryPrice = self.shortEntry
self.LossStopPrice = round(self.shortEntry * (100.0 + self.exitOnLossStop)/100)
self.EntryPriceList.append(self.shortEntry)
# 记录log
log = "\n Trading: {0}\n".format(self.trading)+\
"{0} Short : bar.close: {1};\n".format(bar.datetime, bar.close) + \
" ma10:{0}; ma11:{1}; ma20:{2}; ma21:{3}; ma30:{4};ma31:{5}\n".format(self.ma10, self.ma11,
self.ma20, self.ma21,
self.ma30, self.ma31) + \
"ma1_ma5:{0}; ma3_ma5:{1}\n".format(ma1_ma5, ma3_ma5) + \
"LossStopPrice:{0}\n".format(self.LossStopPrice)
self.writeCtaLog(log)
# return
else:
if self.tradeWindow:
# Trailing Stop 跟随止损
if self.exitOnTrailingStop:
# 持有多头仓位
if self.pos > 0 and self.tradeWindow:
self.intraTradeHigh = max(self.intraTradeHigh, bar.high)
self.intraTradeLow = bar.low
self.longStop = round(self.intraTradeHigh - self.atrValue * self.exitOnTrailingStop)
if bar.close < self.longStop:
self.sell(bar.close, abs(self.pos), True)
# 记录log
log = "\n{0} Sell(Trailing Stop) : bar.close: {1};\n".format(bar.datetime, bar.close) + \
"intraTradeHigh:{0}; atrValue:{1}; dev: {2}\n".format(self.intraTradeHigh,self.atrValue,self.exitOnTrailingStop)+\
"LongStop:{0}\n".format(self.longStop)
self.writeCtaLog(log)
self.putEvent()
self.EntryPriceList = []
return
# 持有空头仓位
if self.pos < 0 and self.tradeWindow:
self.intraTradeHigh = bar.high
self.intraTradeLow = min(self.intraTradeLow, bar.low)
self.shortStop = round(self.intraTradeLow + self.atrValue * self.exitOnTrailingStop)
if bar.close > self.shortStop:
self.cover(bar.close, abs(self.pos), True)
# 记录log
log = "\n{0} Cover(Trailing Stop) : bar.close: {1};\n".format(bar.datetime, bar.close) + \
"intraTradeLow:{0}; atrValue:{1}; dev: {2}\n".format(self.intraTradeLow, self.atrValue,
self.exitOnTrailingStop) + \
"LongStop:{0}\n".format(self.longStop)
self.writeCtaLog(log)
self.putEvent()
self.EntryPriceList = []
return
# Loss Stop 固定止损
if self.exitOnLossStop:
# 持有多头仓位
if self.pos > 0 and bar.close < self.LossStopPrice:
# 记录log
log = "\n{0} Sell(Stop Loss) : bar.close: {1};\n".format(bar.datetime, bar.close) + \
"LossStopPrice:{0}\n".format(self.LossStopPrice) + \
"Ratio:{0}%\n".format((1 - bar.close/self.LossStopPrice)*100)
self.writeCtaLog(log)
self.sell(bar.close, abs(self.pos), True)
self.putEvent()
self.EntryPriceList = []
return
# 持有空头仓位
if self.pos < 0 and bar.close > self.LossStopPrice:
# 记录log
log = "\n{0} Cover(Stop Loss) : bar.close: {1};\n".format(bar.datetime, bar.close) + \
"LossStopPrice:{0}\n".format(self.LossStopPrice) +\
"Ratio:{0}%\n".format((1 - bar.close / self.LossStopPrice) * 100)
self.writeCtaLog(log)
self.cover(bar.close, abs(self.pos), True)
self.putEvent()
self.EntryPriceList = []
return
# 加仓
if self.addPos and (self.maxPos - abs(self.pos) > 0):
print self.pos, (self.maxPos - abs(self.pos) )
print self.EntryPriceList
lastEntryPrice = self.EntryPriceList[-1]
# 固定百分比加仓
addPosOnPips= round(lastEntryPrice* self.addPosRatio/100)
self.writeCtaLog(u'\n 加仓判断:{0}，当前仓位:{1}'.format(bar.datetime, self.pos))
# 加多仓
if self.pos > 0 \
and bar.close >= lastEntryPrice + addPosOnPips* self.minDiff:
# 记录log
self.writeCtaLog(u'\n {0},加仓多单{1}手,价格:{2}'.format(bar.datetime, self.stepPos, bar.close))
self.buy(bar.close, self.stepPos, True)
# 更新开仓价格
lastEntryPrice = bar.close
self.EntryPriceList.append(lastEntryPrice)
self.avgEntryPrice = sum(self.EntryPriceList)/len(self.EntryPriceList)
# 更新固定止损价
self.LossStopPrice = round( self.avgEntryPrice* (100.0 - self.exitOnLossStop) / 100)
self.writeCtaLog(u'\n 更新固定止损价:{0}，最新仓位:{1}'.format(self.LossStopPrice,self.pos))
return
# 加空仓
if self.pos < 0 \
and bar.close <= (lastEntryPrice + addPosOnPips*self.minDiff):
self.writeCtaLog(u'{0},加仓空单{1}手,价格:{2}'.format(bar.datetime, self.stepPos, bar.close))
self.short(bar.close, self.stepPos, True)
# 更新开仓价格
lastEntryPrice = bar.close
self.EntryPriceList.append(lastEntryPrice)
self.avgEntryPrice = (sum(self.EntryPriceList)) / len(self.EntryPriceList)
# 更新固定止损价
self.LossStopPrice = round(self.avgEntryPrice * (100.0 + self.exitOnLossStop) / 100)
self.writeCtaLog(u'\n 更新固定止损价:{0}，最新仓位:{1}'.format(self.LossStopPrice, self.pos))
return
# 执行收盘前平仓检查
# self.__dailyCloseCheck(bar)
# 发出状态更新事件
self.putEvent()
# ----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
log = u'\n OnOrder()更新，orderID:{0},{1},totalVol:{2},tradedVol:{3},offset:{4},price:{5},direction:{6},status:{7},orderTime: {7}'\
.format(order.orderID, order.vtSymbol, order.totalVolume,order.tradedVolume,
order.offset, order.price, order.direction, order.status, order.orderTime)
self.writeCtaLog(log)
self.putEvent()
# ----------------------------------------------------------------------
def onTrade(self, trade):
log = u'\n OnTrade()更新，orderID:{0},{1},Vol:{2},price:{3},direction:{4},tradeTime:{5}' \
.format(trade.orderID, trade.vtSymbol, trade.volume,trade.price, trade.direction,trade.tradeTime)
self.writeCtaLog(log)
# 发出状态更新事件
self.putEvent()
# ----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
log = u'\n OnStopOrder()停止单更新，stopOrderID:{0},Vol:{1},price:{2},direction:{3},status:{4}' \
.format(so.stopOrderID, so.volume,so.price, so.direction,so.status)
self.writeCtaLog(log)
def __timeWindow(self, dt):
"""交易与平仓窗口"""
# 螺纹钢交易窗口 避开早盘和夜盘的前5分钟，防止隔夜跳空。
# 日内平仓窗口
self.closeWindow = False
# 交易窗口
self.tradeWindow = False
# 开盘窗口
self.openWindow = False
# 开市期头5分钟波动较大
if (dt.hour == 9 or dt.hour == 21) and dt.minute < self.openWindowSize:
self.openWindow = False
return
# 日盘
if dt.hour == 9 and dt.minute >= 0:
self.tradeWindow = True
return
if dt.hour == 10:
if dt.minute <= 15 or dt.minute >= 30:
self.tradeWindow = True
return
if dt.hour == 11 and dt.minute <= 30:
self.tradeWindow = True
return
if dt.hour == 13 and dt.minute >= 30:
self.tradeWindow = True
return
if dt.hour == 14:
if dt.minute < 60 - self.closeWindowSize:
self.tradeWindow = True
return
else:
self.closeWindow = True
return
# 夜盘
if dt.hour == 21 and dt.minute >= 0:
self.tradeWindow = True
return
if dt.hour == 22 and dt.minute < 60 - self.closeWindowSize:
self.tradeWindow = True
return
else:
self.closeWindow = True
return
def __dailyCloseCheck(self, bar):
"""每天收盘前检查，如果是亏损单，则平掉"""
if self.pos == 0 :
return False
if not self.closeWindow:
return False
# 撤销未成交的订单
self.cancelAll()
log = u'{0},收盘前{1}分钟，撤单及平仓'.format(bar.datetime,self.closeWindowSize)
self.writeCtaLog(log)
self.avgEntryPrice = (sum(self.EntryPriceList)) / len(self.EntryPriceList)
# 记录log
log = "\n{0} __dailyCloseCheck : bar.close: {1};\n".format(bar.datetime, bar.close) + \
"avgPrice:{0}\n".format(self.avgEntryPrice)+\
"pos:{0}\n".format(self.pos)
self.writeCtaLog(log)
# 强制平仓
if self.pos > 0 and bar.close < self.avgEntryPrice:
self.writeCtaLog(u'强制日内平亏损多仓')
# 降低两个滑点
self.sell(bar.close-2*self.minDiff, abs(self.pos),True )
# 记录log
log = "\n{0} Sell(Force) : bar.close: {1};\n".format(bar.datetime, bar.close) + \
"entryPrice:{0}\n".format(bar.close - 2 * self.minDiff)
self.writeCtaLog(log)
return True
if self.pos < 0 and bar.close > self.avgEntryPrice:
self.writeCtaLog(u'强制日内平亏损空仓')
self.cover(bar.close+2*self.minDiff, abs(self.pos),True )
# 记录log
log = "\n{0} Cover(Force) : bar.close: {1};\n".format(bar.datetime, bar.close) + \
"forcePrice:{0}\n".format(bar.close - 2 * self.minDiff)
self.writeCtaLog(log)
return True
return True
class TestPriceStrategy(CtaTemplate):
"""Turtle交易策略"""
className = 'TestPriceStrategy'
author = u'Leon Zhao'
# 策略参数
fixedSize = 1
longDays = 20
shortDays = 20
longExitDays = 10
shortExitDays = 10
initDays = 35
atrDays = 20
exitAtr = 2
# 策略变量
barList = [] # K线对象的列表
newTradeDay = False
lastLongEntry = 0
lastLongTime = 0
lastShortEntry = 0
lastShortTime = 0
upperChannel = 0
lowerChannel = 0
longEntry = 0
shortEntry = 0
entryPrice = 0
entryDirection = 0
entryUsage = 'Turtle'
entryUnitNo = 0
longExit = 0
shortExit = 0
longAtrExit = 0
shortAtrExit = 0
longChannelExit = 0
shortChannelExit = 0
atrValue = 0
entryAtr = 0
rangeLow = 0
exitTime = time(hour=15,
minute=20) #will not cover position when day close
longEntered = False
shortEntered = False
capConfig = 0.0
onTradeCnt = 0
previousTrade = 0
bookTime = datetime.now()
# 参数列表，保存了参数的名称
paramList = [
'name', 'className', 'author', 'vtSymbol', 'longDays', 'shortDays'
]
# 变量列表，保存了变量的名称
varList = [
'inited', 'trading', 'pos', 'longEntry', 'shortEntry', 'exitTime',
'upperChannel', 'lowerChannel'
]
# 同步列表，保存了需要保存到数据库的变量名称
syncList = [
'pos', 'entryPrice', 'entryDirection', 'entryUsage', 'entryUnitNo',
'lastLongEntry', 'lastShortEntry', 'entryAtr'
]
#----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(TestPriceStrategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar,
onDayBar=self.ondayBar,
vtSymbol=self.vtSymbol)
self.am = ArrayManager(
max(self.longDays, self.shortDays, self.atrDays) + 1)
self.barList = []
if 'strParams' in setting:
self.params = setting['strParams']
if len(self.params) >= 3:
for p in self.params:
if p[0] == 'unit':
self.fixedSize = p[1]
if p[0] == 'p1':
self.longDays = p[1]
if p[0] == 'p2':
self.shortDays = p[1]
if p[0] == 'p3':
self.longExitDays = p[1]
if p[0] == 'p4':
self.shortExitDays = p[1]
if p[0] == 'p5':
self.initDays = p[1]
else:
# 策略参数
self.fixedSize = 1
self.longDays = 20
self.shortDays = 20
self.longExitDays = 10
self.shortExitDays = 10
self.initDays = 35
#print("ma debug:",self.fixedSize,self.longDays,self.shortDays,self.longExitDays,self.shortExitDays,self.initDays)
# Use class variant should be OK, however, to be save just instance them.
self.newTradeDay = False
self.lastLongEntry = 0
self.lastLongTime = 0
self.lastShortEntry = 0
self.lastShortTime = 0
self.upperChannel = 0
self.lowerChannel = 0
self.longEntry = 0
self.shortEntry = 0
self.entryPrice = 0
self.entryDirection = 0
self.entryUsage = 'Turtle'
self.entryUnitNo = 0
self.longExit = 0
self.shortExit = 0
self.longAtrExit = 0
self.shortAtrExit = 0
self.longChannelExit = 0
self.shortChannelExit = 0
self.atrValue = 0
self.entryAtr = 0
self.rangeLow = 0
self.exitTime = time(
hour=15, minute=20) #will not cover position when day close
self.longEntered = False
self.shortEntered = False
self.capConfig = 0.0
self.onTradeCnt = 0
self.bookTime = datetime.now()
self.buyCnt = 0
#----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略初始化' % self.name)
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.loadBar(self.initDays)
for bar in initData:
self.onBar(bar)
self.putEvent()
#----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略启动' % self.name)
# No need to add calculation of the Turtle Channel on Start, it may not change over days.
#self.calcPrepare()
self.readLastTrade()
self.putEvent()
def readLastTrade(self):
#read last trade data from database
#In fact no need after I persist those two values.
if self.pos > 0:
self.lastLongEntry = self.entryPrice
self.lastShortEntry = 0
elif self.pos < 0:
self.lastShortEntry = self.entryPrice
self.lastLongEntry = 0
pass
def calcUnitNo(self, atr, fixSize):
turtleCap = 0.0
defaultCap = 0.0
unitNo = 0
cust = []
var_sizelist = CtaTemplate.vol_Size
var_size = 0.0
var_Symbol = ""
if len(var_sizelist) == 0:
return fixSize
else:
var_Symbol = var_Symbol.join(
list(filter(lambda x: x.isalpha(), self.vtSymbol)))
var_size = float(var_sizelist[var_Symbol][0])
if var_size - 0 < 0.01:
return fixSize
var_temp = 0.0
if len(CtaTemplate.cust_Setting) > 0:
cust = CtaTemplate.cust_Setting
for cs in cust:
if cs["StrategyGroup"] == "Turtle" and cs["Status"] == 'True':
turtleCap = cs["CaptialAmt"]
break
if cs["StrategyGroup"] == "Default" and cs["Status"] == 'True':
defaultCap = cs["CaptialAmt"]
if turtleCap > 0:
self.capConfig = float(turtleCap)
elif defaultCap > 0:
self.capConfig = float(defaultCap)
else:
self.capConfig = 0.0
unitNo = 0
if self.capConfig - 0 < 0.0001:
unitNo = fixSize
elif var_size - 0 < 0.001:
unitNo = fixSize
else:
unitNo = int(self.capConfig * 0.005 / (atr * var_size))
if unitNo < 1:
unitNo = 1
return unitNo
def calcPrepare(self):
#calculate initials of the strategy
barLength = 0
barLength = max(self.longDays, self.shortDays, self.atrDays)
if self.am.count < barLength + 1:
return
#self.atrValue = talib.ATR(self.am.high, self.am.low, self.am.close,self.atrDays)[-1]
self.atrValue = self.am.atr(self.atrDays, False)
# = atrLine[-1]
if self.atrValue > 0:
self.fixedSize = self.calcUnitNo(self.atrValue, self.fixedSize)
#call method to calc unit
self.upperChannel = talib.MAX(self.am.high, self.longDays)[-1]
self.lowerChannel = talib.MIN(self.am.low, self.shortDays)[-1]
self.longChannelExit = talib.MIN(self.am.low, self.longExitDays)[-1]
self.shortChannelExit = talib.MAX(self.am.high, self.shortExitDays)[-1]
def calcKPI(self):
if self.pos > 0:
self.longAtrExit = int(self.lastLongEntry - 2 * self.entryAtr)
if self.longAtrExit > self.longChannelExit:
self.longExit = self.longAtrExit
else:
self.longExit = self.longChannelExit
if self.entryUnitNo == 1:
self.longEntry = int(self.lastLongEntry + self.entryAtr)
elif self.entryUnitNo == 2:
self.longEntry = int(self.lastLongEntry + 0.5 * self.entryAtr)
else:
self.longEntry = 0
elif self.pos == 0:
self.longEntry = self.upperChannel
self.shortEntry = self.lowerChannel
else:
self.shortAtrExit = int(self.lastShortEntry + 2 * self.entryAtr)
if self.shortAtrExit < self.shortChannelExit:
self.shortExit = self.shortAtrExit
else:
self.shortExit = self.shortChannelExit
if self.entryUnitNo == 1:
self.shortEntry = int(self.lastShortEntry - self.entryAtr)
elif self.entryUnitNo == 2:
self.shortEntry = int(self.lastShortEntry -
0.5 * self.entryAtr)
else:
self.shortEntry = 0
#----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略停止' % self.name)
self.putEvent()
#----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
self.bg.updateTick(tick)
#----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
# 撤销之前发出的尚未成交的委托（包括限价单和停止单）
#self.cancelAll()
self.bg.updateBar(bar)
print(self.buyCnt)
self.fixedSize = 11
if self.buyCnt == 1135:
self.onTradeCnt = 0
sendPrice = float(bar.close)
self.short(sendPrice - 2, 11)
if self.buyCnt == 1137:
self.onTradeCnt = 0
sendPrice = float(bar.close)
self.short(sendPrice - 20, 11)
self.buyCnt += 1
return
barLength = 0
barLength = max(self.longDays, self.shortDays, self.atrDays)
if self.am.count < barLength + 1:
return
# 计算指标数值
self.barList.append(bar)
if len(self.barList) <= 2:
return
else:
self.barList.pop(0)
lastBar = self.barList[-2]
# 新的一天
if (lastBar.datetime.hour == 15 or lastBar.datetime.hour == 14) and (
(bar.datetime.hour == 21) or (bar.datetime.hour == 9)):
# 如果已经初始化
if not self.upperChannel:
#do things:
self.calcPrepare()
else:
pass
if self.pos == 0:
self.lastLongTime = 0
self.lastShortTime = 0
self.entryUnitNo = 0
self.entryAtr = self.atrValue
self.calcKPI()
if self.pos > 0:
#self.sell(self.longExit,self.fixedSize,stop)
if bar.close < self.longExit:
self.sell(bar.close - 2, abs(self.pos))
elif bar.close > self.longEntry and self.longEntry > 0:
self.buy(bar.close + 1, self.fixedSize)
self.bookTime = datetime.now()
self.onTradeCnt = 0
else:
pass
elif self.pos == 0:
#self.entryUnitNo = 0
if bar.close > self.longEntry and self.longEntry > 0:
self.buy(bar.close + 1, self.fixedSize)
self.bookTime = datetime.now()
self.onTradeCnt = 0
elif bar.close < self.shortEntry and self.shortEntry > 0:
self.short(bar.close - 1, self.fixedSize)
self.bookTime = datetime.now()
self.onTradeCnt = 0
else:
pass
else:
if bar.close < self.shortEntry and self.shortEntry > 0:
self.short(bar.close - 1, self.fixedSize)
self.bookTime = datetime.now()
self.onTradeCnt = 0
elif bar.close > self.shortExit:
self.cover(bar.close + 1, abs(self.pos))
else:
pass
# 发出状态更新事件
self.putEvent()
#update day chart
def ondayBar(self, dayBar):
"""收到日线推送（必须由用户继承实现）"""
self.am.updateBar(dayBar)
self.calcPrepare()
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
#if order.status == STATUS_ALLTRADED and self.pos != 0:
# How do I know the last trade is open or exit?
# self.entryUnitNo = self.entryUnitNo + 1
#----------------------------------------------------------------------
def onTrade(self, trade):
# 发出状态更新事件
if trade.direction == DIRECTION_LONG and trade.offset == OFFSET_OPEN:
if (trade.volume + self.onTradeCnt) == self.fixedSize:
self.entryUnitNo = self.entryUnitNo + 1
else:
self.onTradeCnt = trade.volume
self.writeCtaLog(u'%s: 部分成交， 进场次数未累加，注意！' % self.name)
self.lastLongEntry = trade.price
self.entryPrice = trade.price
self.entryDirection = DIRECTION_LONG
self.entryAtr = self.atrValue
elif trade.direction == DIRECTION_SHORT and trade.offset == OFFSET_OPEN:
if (trade.volume + self.onTradeCnt) == self.fixedSize:
self.entryUnitNo = self.entryUnitNo + 1
else:
self.onTradeCnt = trade.volume + self.onTradeCnt
self.writeCtaLog(u'%s: 部分成交， 进场次数未累加，注意！' % self.name)
self.lastShortEntry = trade.price
self.entryPrice = trade.price
self.entryDirection = DIRECTION_SHORT
self.entryAtr = self.atrValue
elif (trade.offset == OFFSET_CLOSE
or trade.offset == OFFSET_CLOSETODAY):
#print(self.pos)
self.entryUnitNo = 0
self.lastLongEntry = 0
self.lastShortEntry = 0
self.entryPrice = 0
self.entryDirection = OFFSET_CLOSE
else:
pass
self.putEvent()
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass
class MultiTimeframeStrategy(CtaTemplate):
"""跨时间周期交易策略"""
className = 'MultiTimeframeStrategy'
author = u'用Python的交易员'
# 策略参数
rsiSignal = 20 # RSI信号阈值
rsiWindow = 14 # RSI窗口
fastWindow = 5 # 快速均线窗口
slowWindow = 20 # 慢速均线窗口
initDays = 10 # 初始化数据所用的天数
fixedSize = 1 # 每次交易的数量
# 策略变量
rsiValue = 0 # RSI指标的数值
rsiLong = 0 # RSI买开阈值
rsiShort = 0 # RSI卖开阈值
fastMa = 0 # 5分钟快速均线
slowMa = 0 # 5分钟慢速均线
maTrend = 0 # 均线趋势，多头1，空头-1
# 参数列表，保存了参数的名称
paramList = [
'name', 'className', 'author', 'vtSymbol', 'rsiSignal', 'rsiWindow',
'fastWindow', 'slowWindow'
]
# 变量列表，保存了变量的名称
varList = [
'inited', 'trading', 'pos', 'rsiValue', 'rsiLong', 'rsiShort',
'fastMa', 'slowMa', 'maTrend'
]
# 同步列表，保存了需要保存到数据库的变量名称
syncList = ['pos']
#----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(MultiTimeframeStrategy, self).__init__(ctaEngine, setting)
self.rsiLong = 50 + self.rsiSignal
self.rsiShort = 50 - self.rsiSignal
# 创建K线合成器对象
self.bg5 = BarGenerator(self.onBar, 5, self.on5MinBar)
self.am5 = ArrayManager()
self.bg15 = BarGenerator(self.onBar, 15, self.on15MinBar)
self.am15 = ArrayManager()
#----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略初始化' % self.name)
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.loadBar(self.initDays)
for bar in initData:
self.onBar(bar)
self.putEvent()
#----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略启动' % self.name)
self.putEvent()
#----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略停止' % self.name)
self.putEvent()
#----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
# 只需要要在一个BM中合成1分钟K线
self.bg5.updateTick(tick)
#----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
# 基于15分钟判断趋势过滤，因此先更新
self.bg15.updateBar(bar)
# 基于5分钟判断
self.bg5.updateBar(bar)
#----------------------------------------------------------------------
def on5MinBar(self, bar):
"""5分钟K线"""
self.cancelAll()
# 保存K线数据
self.am5.updateBar(bar)
if not self.am5.inited:
return
# 如果15分钟数据尚未初始化完毕，则直接返回
if not self.maTrend:
return
# 计算指标数值
self.rsiValue = self.am5.rsi(self.rsiWindow)
# 判断是否要进行交易
# 当前无仓位
if self.pos == 0:
if self.maTrend > 0 and self.rsiValue >= self.rsiLong:
self.buy(bar.close + 5, self.fixedSize)
elif self.maTrend < 0 and self.rsiValue <= self.rsiShort:
self.short(bar.close - 5, self.fixedSize)
# 持有多头仓位
elif self.pos > 0:
if self.maTrend < 0 or self.rsiValue < 50:
self.sell(bar.close - 5, abs(self.pos))
# 持有空头仓位
elif self.pos < 0:
if self.maTrend > 0 or self.rsiValue > 50:
self.cover(bar.close + 5, abs(self.pos))
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
def on15MinBar(self, bar):
"""15分钟K线推送"""
self.am15.updateBar(bar)
if not self.am15.inited:
return
# 计算均线并判断趋势
self.fastMa = self.am15.sma(self.fastWindow)
self.slowMa = self.am15.sma(self.slowWindow)
if self.fastMa > self.slowMa:
self.maTrend = 1
else:
self.maTrend = -1
#----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
pass
#----------------------------------------------------------------------
def onTrade(self, trade):
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass
class DT_IntraDayLongStrategy(CtaTemplate):
"""DualThrust交易策略"""
className = 'DT_IntraDayLongStrategy'
author = u'Leon Zhao'
# 策略参数
fixedSize = 1
k1 = 0.4
k2 = 0.4
rangeDays = 4
initDays = 30 # original value is 10
atrDays = 20
# 策略变量
barList = [] # K线对象的列表
dayOpen = 0
rangeHigh = 0
rangeLow = 0
rangeHighClose = 0
rangeLowClose = 0
range1 = 0
range2 = 0
rsiconfig = 50
rsilen = 21
range = 0
longEntry = 0
shortEntry = 0
exitTime = time(hour=15,
minute=20) # will not cover position when day close
longEntered = False
shortEntered = False
# 参数列表，保存了参数的名称
paramList = ['name', 'className', 'author', 'vtSymbol', 'k1', 'k2']
# 变量列表，保存了变量的名称
varList = [
'inited', 'trading', 'pos', 'range', 'longEntry', 'shortEntry',
'exitTime'
]
longEntry1 = 0
shortEntry1 = 0
# 同步列表，保存了需要保存到数据库的变量名称
syncList = ['pos', 'range', 'longEntry1', 'shortEntry1']
# ----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(DT_IntraDayLongStrategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar,
onDayBar=self.ondayBar,
vtSymbol=self.vtSymbol)
self.am = ArrayManager()
self.barList = []
self.longEntry1 = 0
self.shortEntry1 = 0
# Read Parameters from Setting files
if 'strParams' in setting:
self.params = setting['strParams']
if len(self.params) >= 3:
for p in self.params:
if p[0] == 'unit':
self.fixedSize = p[1]
if p[0] == 'p1':
self.k1 = p[1]
if p[0] == 'p2':
self.k2 = p[1]
if p[0] == 'p3':
self.rangeDays = p[1]
if p[0] == 'p4':
self.atrDays = p[1]
if p[0] == 'p5':
self.initDays = p[1]
if p[0] == 'p6':
self.rsilen = p[1]
if p[0] == 'p7':
self.rsiconfig = p[1]
else:
# 策略参数
self.fixedSize = 1
self.k1 = 0.4
self.k2 = 0.4
self.rangeDays = 4
self.atrDays = 20
self.initDays = 55 # original value is 10
self.rsiconfig = 50
self.rsilen = 21
# print(self.fixedSize,self.k1,self.k2,self.rangeDays,self.initDays)
self.dayOpen = 0
self.rangeHigh = 0
self.rangeLow = 0
self.rangeHighClose = 0
self.rangeLowClose = 0
self.range1 = 0
self.range2 = 0
self.atrValue = 0
self.range = 0
self.longEntry = 0
self.shortEntry = 0
self.exitTime = time(
hour=15, minute=20) # will not cover position when day close
self.longEntered = False
self.shortEntered = False
self.rsival = 1000
self.loginterval = 15
self.logcountdown = 0
# ----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略初始化' % self.name)
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.loadBar(self.initDays)
for bar in initData:
self.onBar(bar)
self.putEvent()
# ----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略启动' % self.name)
self.putEvent()
# ----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略停止' % self.name)
self.putEvent()
# ----------------------------------------------------------------------
def writeKeyValue(self):
"""Update long short entry price（必须由用户继承实现）"""
#print("write key")
if self.logcountdown > self.loginterval:
self.logcountdown = 0
outstr = "Symbol(" + self.vtSymbol + ")Long Entry:"
outstr = outstr + str(round(self.longEntry,
2)) + ", Short Entry:" + str(
round(self.shortEntry, 2))
self.writeCtaLog(u'%s' % outstr)
self.logcountdown += 1
self.putEvent()
# ----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
# ignore data before real open
if (tick.datetime.hour == 8 or tick.datetime.hour == 20):
return
self.bg.updateTick(tick)
def calcUnitNo(self, atr, fixSize):
dtCap = 0.0
defaultCap = 0.0
unitNo = 0
cust = []
var_sizelist = CtaTemplate.vol_Size
var_size = 0.0
var_Symbol = ""
if len(var_sizelist) == 0:
return fixSize
else:
var_Symbol = var_Symbol.join(
list(filter(lambda x: x.isalpha(), self.vtSymbol)))
var_size = float(var_sizelist[var_Symbol][0])
if var_size - 0 < 0.01:
return fixSize
var_temp = 0.0
if len(CtaTemplate.cust_Setting) > 0:
cust = CtaTemplate.cust_Setting
for cs in cust:
if cs["StrategyGroup"] == "DT" and cs["Status"] == 'True':
dtCap = cs["CaptialAmt"]
break
if cs["StrategyGroup"] == "Default" and cs["Status"] == 'True':
defaultCap = cs["CaptialAmt"]
if dtCap > 0:
self.capConfig = float(dtCap)
elif defaultCap > 0:
self.capConfig = float(defaultCap)
else:
self.capConfig = 0.0
unitNo = 0
if self.capConfig - 0 < 0.0001:
unitNo = fixSize
elif var_size - 0 < 0.001:
unitNo = fixSize
else:
unitNo = int(self.capConfig * 0.0088 / (atr * var_size))
if unitNo < 1:
unitNo = 1
return unitNo
# ---------calcuate range for the last several days
def calcRange(self):
if self.am.count >= self.atrDays + 1:
self.atrValue = self.am.atr(self.atrDays, False)
if self.atrValue > 0:
self.fixedSize = self.calcUnitNo(self.atrValue, self.fixedSize)
self.rangeHigh = talib.MAX(self.am.high, self.rangeDays)[-1]
self.rangeLow = talib.MIN(self.am.low, self.rangeDays)[-1]
self.rangeHighClose = talib.MAX(self.am.close, self.rangeDays)[-1]
self.rangeLowClose = talib.MIN(self.am.close, self.rangeDays)[-1]
self.range1 = self.rangeHigh - self.rangeLowClose
self.range2 = self.rangeHighClose - self.rangeLow
#self.rsival = self.am.rsi(self.rsilen, array=False)
tlen = len(self.am.closeArray) - self.rsilen - 2
rsi1 = talib.RSI(self.am.closeArray[tlen:], timeperiod=self.rsilen)
self.rsival = rsi1[-1]
#print("rsi array", rsi1)
#print("\n\rthe rsi is:", rsi1[-1])
# print(self.rangeHigh,self.rangeLow)
if (self.range1 > self.range2):
calcRange = self.range1
else:
calcRange = self.range2
else:
calcRange = 0
return calcRange
# ----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
if self.reduceCountdown() > 0:
return
# 撤销之前发出的尚未成交的委托（包括限价单和停止单）
self.cancelAll()
self.bg.updateBar(bar)
barLength = 0
barLength = max(self.atrDays, self.rangeDays) + 1
if self.am.count < barLength:
return
# 计算指标数值
self.barList.append(bar)
if len(self.barList) <= 2:
return
else:
self.barList.pop(0)
lastBar = self.barList[-2]
# 新的一天
# for commodity trade at night 9 also need because some day night is canncel due to holiday
if (lastBar.datetime.hour == 15 or lastBar.datetime.hour == 14) and (
(bar.datetime.hour == 21 or bar.datetime.hour == 9)):
# for commodity not trade at night:
# if (lastBar.datetime.hour == 15 or lastBar.datetime.hour==14 and lastBar.datetime.minute==59) and ((bar.datetime.hour == 9) ):
# 如果已经初始化
self.range = self.calcRange()
# old logic, use current open
#self.dayOpen = bar.open
# New logic, use yesterday close, since I skip first two minutes, cause differ from back test
self.dayOpen = self.am.close
if self.range:
self.longEntry = bar.open + self.k1 * self.range
self.shortEntry = bar.open - self.k2 * self.range
# self.longEntered = False
# self.shortEntered = False
else:
pass
# 尚未到收盘
if not self.range:
self.range = self.calcRange()
self.dayOpen = bar.open
if self.range:
self.longEntry = bar.open + self.k1 * self.range
self.shortEntry = bar.open - self.k2 * self.range
if (self.range == 0):
# print(self.k1,self.k2,self.range,"b",self.longEntry,"c",bar.open,bar.datetime)
self.writeCtaLog(u'Range eq 0 , need to check')
if abs(self.rsival) > 100:
self.writeCtaLog(u'RSI large than 100, need to check')
if True: # Trade Time, no matter when, just send signal
#print("DT Long:", self.longEntry, self.shortEntry, self.rsival)
if self.pos == 0:
self.longEntered = False
self.shortEntered = False
if bar.close > self.longEntry and self.rsival >= self.rsiconfig:
# if not self.longEntered:
# self.buy(self.longEntry + 2, self.fixedSize)
self.buy(bar.close, self.fixedSize)
else:
pass
# 持有多头仓位
elif self.pos > 0:
self.longEntered = True
self.shortEntered = False
# 多头止损单
if bar.close < self.shortEntry:
# self.sell(self.shortEntry -2 , self.fixedSize)
self.sell(bar.close, abs(self.pos))
# 持有空头仓位
elif self.pos < 0:
print("somethong wrong, there should have no short position!")
else:
pass
# 收盘平仓 This will not execute
else:
pass
self.writeKeyValue()
# 发出状态更新事件
self.putEvent()
# update day chart
def ondayBar(self, dayBar):
"""收到日线推送（必须由用户继承实现）"""
self.am.updateBar(dayBar)
self.range = None
self.dayOpen = 0
# 发出状态更新事件
self.putEvent()
# ----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
pass
# ----------------------------------------------------------------------
def onTrade(self, trade):
# 发出状态更新事件
persisttrade(self.vtSymbol, self.className, trade)
self.putEvent()
# ----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass
