class Stcstrategy(BaseStrategy):
def __init__(self, engine, setting):
super().__init__(engine, setting)
self.symbol=""
self.kma_time=45
self.rsi_time=14
self.rsi_fastk=5
self.rsi_fastd=3
self.rsi_fastd_matype=0
cfg=config.binance
self.broker=BinanceFutures(cfg)
self.symbol=cfg.symbol[0]
self.timeframe="15m"
self.qty=0.001
self.bar=None
self.tp=30.00
self.sl=30.00
RepeatingTimer(60, self.start).start()
def start(self):
bar=self.broker.get_bar(self.symbol,self.timeframe)
self.bar=bar
self.on_bar(bar[-1])
def on_bar(self, event):
if not self.broker.get_positions(self.symbol):
self.trade()
def trend(self):
kma=talib.KAMA(self.bar.close,self.kma_time*16)
close=self.bar.close
return close[-1]>kma[-1]
def on_trade(self,trade):
position=self.broker.get_positions(self.symbol)
if position:
price=position.price
side=position.direction
if side==Direction.LONG:
if trade.price-price>self.tp or price-trade.price>self.sl:
self.broker.close_position(position)
else:
if price-trade.price>self.tp or trade.price-price>self.sl:
self.broker.close_position(position)
def trade(self):
rsi,k,d = talib.STOCHRSI(self.bar.close, self.rsi_time, self.rsi_fastk, self.rsi_fastd, self.rsi_fastd_matype);
if self.trend():
if crossover(k,d) and k <50:
price=self.bar.close[-1]
self.broker.buy(self.symbol,self.qty,price)
else:
if crossunder(k, d) and k > 50:
price = self.bar.close[-1]
self.broker.sell(self.symbol,self.qty,price)
class SHstrategy(BaseStrategy):
"""
StrengthHedge,趋势强度对冲策略
根据4小时TSI信号，0轴向上做多，0轴向下做空，
多空仓位保持平衡
"""
def __init__(self, engine):
super().__init__(engine)
self.bar = {}
self.t = {}
cfg = config.exchange
self.broker = BinanceFutures(cfg)
self.symbols = cfg.symbols
self.timeframe = cfg.timeframe
self.update()
def start(self):
bar = self.broker.get_bar(self.symbol, self.timeframe)
self.bar = bar
self.on_bar(bar[-1])
def on_bar(self, event):
if not self.broker.get_positions(self.symbol):
self.trade()
def trend(self):
kma = talib.KAMA(self.bar.close, self.kma_time * 16)
close = self.bar.close
return close[-1] > kma[-1]
def on_trade(self, trade):
position = self.broker.get_positions(self.symbol)
if position:
price = position.price
side = position.direction
if side == Direction.LONG:
if trade.price - price > self.tp or price - trade.price > self.sl:
self.broker.close_position(position)
else:
if price - trade.price > self.tp or trade.price - price > self.sl:
self.broker.close_position(position)
def update(self):
tsi = pd.DataFrame()
for s in self.symbols:
self.bar[s] = self.broker.get_bar(s, self.timeframe)
close = self.bar[s].close
tsi[s] = self.tsi(close)
print(tsi.tail())
def tsi(self, data):
a = talib.EMA(data, 5)
b = talib.EMA(data, 8)
c = talib.EMA(data, 13)
d = talib.EMA(data, 21)
d1 = a / b - 1
d2 = b / c - 1
d3 = c / d - 1
t = (d1 + d2 + d3) * 1000
return talib.EMA(t, 6)
def trade(self):
rsi, k, d = talib.STOCHRSI(self.bar.close, self.rsi_time,
self.rsi_fastk, self.rsi_fastd,
self.rsi_fastd_matype)
if self.trend():
if crossover(k, d) and k < 50:
price = self.bar.close[-1]
self.broker.buy(self.symbol, self.qty, price)
else:
if crossunder(k, d) and k > 50:
price = self.bar.close[-1]
self.broker.sell(self.symbol, self.qty, price)
def on_order(self, event):
pass
def on_position(self, event):
pass
def on_ticker(self, event):
pass
from aq.broker.binancefutures import BinanceFutures
from aq.engine.event import EventEngine
import pandas as pd
ev = EventEngine()
b = BinanceFutures(ev)
bar = b.get_bar("BTCUSDT", "1m")
data = pd.DataFrame(bar)
data.to_csv("btcusdt1m.csv")