def __init__(self, strategy_engine, strategy_name: str, spread: SpreadData,
setting: dict):
""""""
super().__init__(strategy_engine, strategy_name, spread, setting)
self.bg = BarGenerator(self.on_spread_bar)
self.am = ArrayManager()
def new_chart(self) -> None:
""""""
# Filter invalid vt_symbol
vt_symbol = self.symbol_line.text()
if not vt_symbol:
return
if vt_symbol in self.charts:
return
contract = self.main_engine.get_contract(vt_symbol)
if not contract:
return
# Create new chart
self.bgs[vt_symbol] = BarGenerator(self.on_bar)
chart = self.create_chart()
self.charts[vt_symbol] = chart
self.tab.addTab(chart, vt_symbol)
# Query history data
end = datetime.now(get_localzone())
start = end - timedelta(days=5)
self.chart_engine.query_history(vt_symbol, Interval.MINUTE, start, end)
def __init__(self, strategy_engine: StrategyEngine, strategy_name: str,
vt_symbols: List[str], setting: dict):
""""""
super().__init__(strategy_engine, strategy_name, vt_symbols, setting)
self.bgs: Dict[str, BarGenerator] = {}
self.ams: Dict[str, ArrayManager] = {}
self.rsi_data: Dict[str, float] = {}
self.atr_data: Dict[str, float] = {}
self.atr_ma: Dict[str, float] = {}
self.intra_trade_high: Dict[str, float] = {}
self.intra_trade_low: Dict[str, float] = {}
self.targets: Dict[str, int] = {}
self.last_tick_time: datetime = None
# Obtain contract info
for vt_symbol in self.vt_symbols:
def on_bar(bar: BarData):
""""""
pass
self.bgs[vt_symbol] = BarGenerator(on_bar)
self.ams[vt_symbol] = ArrayManager()
self.targets[vt_symbol] = 0
def __init__(self, strategy_engine: StrategyEngine, strategy_name: str,
vt_symbols: List[str], setting: dict):
""""""
super().__init__(strategy_engine, strategy_name, vt_symbols, setting)
self.bgs: Dict[str, BarGenerator] = {}
self.last_tick_time: datetime = None
# Obtain contract info
for vt_symbol in self.vt_symbols:
symbol, exchange = extract_vt_symbol(vt_symbol)
if "C" in symbol:
self.call_symbol = vt_symbol
_, strike_str = symbol.split("-C-") # For CFFEX/DCE options
self.strike_price = int(strike_str)
elif "P" in symbol:
self.put_symbol = vt_symbol
else:
self.futures_symbol = vt_symbol
def on_bar(bar: BarData):
""""""
pass
self.bgs[vt_symbol] = BarGenerator(on_bar)
def get_bar_generator(self, vt_symbol: str):
""""""
bg = self.bar_generators.get(vt_symbol, None)
if not bg:
bg = BarGenerator(self.record_bar)
self.bar_generators[vt_symbol] = bg
return bg
def __init__(self, strategy_engine: StrategyEngine, strategy_name: str,
vt_symbols: List[str], setting: dict):
""""""
super().__init__(strategy_engine, strategy_name, vt_symbols, setting)
self.bgs: Dict[str, BarGenerator] = {}
self.targets: Dict[str, int] = {}
self.last_tick_time: datetime = None
self.spread_count: int = 0
self.spread_data: np.array = np.zeros(100)
# Obtain contract info
self.leg1_symbol, self.leg2_symbol = vt_symbols
def on_bar(bar: BarData):
""""""
pass
for vt_symbol in self.vt_symbols:
self.targets[vt_symbol] = 0
self.bgs[vt_symbol] = BarGenerator(on_bar)
class StatisticalArbitrageStrategy(SpreadStrategyTemplate):
""""""
author = "用Python的交易员"
boll_window = 20
boll_dev = 2
max_pos = 10
payup = 10
interval = 5
spread_pos = 0.0
boll_up = 0.0
boll_down = 0.0
boll_mid = 0.0
parameters = ["boll_window", "boll_dev", "max_pos", "payup", "interval"]
variables = ["spread_pos", "boll_up", "boll_down", "boll_mid"]
def __init__(self, strategy_engine, strategy_name: str, spread: SpreadData,
setting: dict):
""""""
super().__init__(strategy_engine, strategy_name, spread, setting)
self.bg = BarGenerator(self.on_spread_bar)
self.am = ArrayManager()
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bar(10)
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log("策略启动")
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log("策略停止")
self.put_event()
def on_spread_data(self):
"""
Callback when spread price is updated.
"""
tick = self.get_spread_tick()
self.on_spread_tick(tick)
def on_spread_tick(self, tick: TickData):
"""
Callback when new spread tick data is generated.
"""
self.bg.update_tick(tick)
def on_spread_bar(self, bar: BarData):
"""
Callback when spread bar data is generated.
"""
self.stop_all_algos()
self.am.update_bar(bar)
if not self.am.inited:
return
self.boll_mid = self.am.sma(self.boll_window)
self.boll_up, self.boll_down = self.am.boll(self.boll_window,
self.boll_dev)
if not self.spread_pos:
if bar.close_price >= self.boll_up:
self.start_short_algo(bar.close_price - 10,
self.max_pos,
payup=self.payup,
interval=self.interval)
elif bar.close_price <= self.boll_down:
self.start_long_algo(bar.close_price + 10,
self.max_pos,
payup=self.payup,
interval=self.interval)
elif self.spread_pos < 0:
if bar.close_price <= self.boll_mid:
self.start_long_algo(bar.close_price + 10,
abs(self.spread_pos),
payup=self.payup,
interval=self.interval)
else:
if bar.close_price >= self.boll_mid:
self.start_short_algo(bar.close_price - 10,
abs(self.spread_pos),
payup=self.payup,
interval=self.interval)
self.put_event()
def on_spread_pos(self):
"""
Callback when spread position is updated.
"""
self.spread_pos = self.get_spread_pos()
self.put_event()
def on_spread_algo(self, algo: SpreadAlgoTemplate):
"""
Callback when algo status is updated.
"""
pass
def on_order(self, order: OrderData):
"""
Callback when order status is updated.
"""
pass
def on_trade(self, trade: TradeData):
"""
Callback when new trade data is received.
"""
pass
def stop_open_algos(self):
""""""
if self.buy_algoid:
self.stop_algo(self.buy_algoid)
if self.short_algoid:
self.stop_algo(self.short_algoid)
def stop_close_algos(self):
""""""
if self.sell_algoid:
self.stop_algo(self.sell_algoid)
if self.cover_algoid:
self.stop_algo(self.cover_algoid)