def long_close_signal(self, var, bar, boll):
if var.direction == LONG:
symbol_obj = self.context.symbol_infos[bar.symbol]
if var.close_count >= 3:
if self.pre_close(var, bar.symbol):
log.info('%s 平多 *' % bar.symbol)
msg.send('%s 平多 *' % bar.symbol)
self.order(bar.symbol,
LONG,
CLOSE,
var.open_vol,
limit_price=bar.close - symbol_obj.tick_size)
else:
if bar.close < boll.mid and bar.close < bar.open and (
boll.top - boll.bot) / boll.mid > var.spread_thres:
var.close_count += 1
log.info('%s 平多计数器+1 close_count %s' %
(bar.symbol, var.close_count))
if var.close_count >= 3:
if self.pre_close(var, bar.symbol):
log.info('%s 平多' % bar.symbol)
msg.send('%s 平多' % bar.symbol)
self.order(bar.symbol,
LONG,
CLOSE,
var.open_vol,
limit_price=bar.close -
var.slippage * symbol_obj.tick_size)
def stop_gain(self, var, tick):
if var.direction != '':
delta = var.open_price - tick.last_price
if var.direction == LONG:
delta = tick.last_price - var.open_price
if var.gain_over_flag and delta / var.max_gain < var.stop_gain_thres:
symbol_obj = self.context.symbol_infos[tick.symbol]
if var.direction == LONG:
msg.send('%s 多单止盈 max_gain %s gain_now %s' %
(tick.symbol, var.max_gain, delta))
log.info('%s 多单止盈 max_gain %s gain_now %s' %
(tick.symbol, var.max_gain, delta))
self.order(tick.symbol,
LONG,
CLOSE,
var.open_vol,
limit_price=tick.last_price -
var.slippage * symbol_obj.tick_size)
else:
msg.send('%s 空单止盈 max_gain %s gain_now %s' %
(tick.symbol, var.max_gain, delta))
log.info('%s 空单止盈 max_gain %s gain_now %s' %
(tick.symbol, var.max_gain, delta))
self.order(tick.symbol,
SHORT,
CLOSE,
var.open_vol,
limit_price=tick.last_price +
var.slippage * symbol_obj.tick_size)
def short_close_signal(self, var, bar, boll):
if var.direction == SHORT:
symbol_obj = self.context.symbol_infos[bar.symbol]
if var.close_count >= 3:
if self.pre_close(var, bar.symbol):
log.info('%s 平空 *' % bar.symbol)
msg.send('%s 平空 *' % bar.symbol)
self.order(bar.symbol,
SHORT,
CLOSE,
var.open_vol,
limit_price=bar.close + symbol_obj.tick_size)
else:
if bar.close > boll.mid and bar.close > bar.open and (
boll.top - boll.bot) / boll.mid > var.spread_thres:
var.close_count += 1
log.info('%s 平空计数器+1 close_count %s' %
(bar.symbol, var.close_count))
if var.close_count >= 3:
if self.pre_close(var, bar.symbol):
log.info('%s 平空' % bar.symbol)
msg.send('%s 平空' % bar.symbol)
self.order(bar.symbol,
SHORT,
CLOSE,
var.open_vol,
limit_price=bar.close +
var.slippage * symbol_obj.tick_size)
def stop_loss(self, var, tick, symbol_obj):
if var.direction != '':
# 止损 1
if var.open_by_two_big_bar_flag:
if var.direction == SHORT:
if tick.last_price - var.open_price > var.two_big_bar_stop_thres * symbol_obj.tick_size:
msg.send('%s 两根大阴线开仓 5 tick_size 止损' % tick.symbol)
log.info('%s 两根大阴线开仓 5 tick_size 止损' % tick.symbol)
self.order(tick.symbol,
SHORT,
CLOSE,
var.open_vol,
limit_price=tick.last_price +
var.slippage * symbol_obj.tick_size)
var.reverse_flag = True
elif var.direction == LONG:
if var.open_price - tick.last_price > var.two_big_bar_stop_thres * symbol_obj.tick_size:
msg.send('%s 两根大阳线开仓 5 tick_size 止损' % tick.symbol)
log.info('%s 两根大阳线开仓 5 tick_size 止损' % tick.symbol)
self.order(tick.symbol,
LONG,
CLOSE,
var.open_vol,
limit_price=tick.last_price -
var.slippage * symbol_obj.tick_size)
var.reverse_flag = True
# 止损 2
upnl = (var.open_price -
tick.last_price) * var.open_vol * symbol_obj.contract_size
if var.direction == LONG:
upnl = (tick.last_price - var.open_price
) * var.open_vol * symbol_obj.contract_size
if upnl < 0 and abs(upnl) / var.open_margin > var.stop_loss_thres:
if var.direction == SHORT:
msg.send('%s 空单损失超过0.02止损' % tick.symbol)
log.info('%s 空单损失超过0.02止损' % tick.symbol)
self.order(tick.symbol,
SHORT,
CLOSE,
var.open_vol,
limit_price=tick.last_price +
var.slippage * symbol_obj.tick_size)
var.reverse_flag = True
elif var.direction == LONG:
msg.send('%s 多单损失超过0.02止损' % tick.symbol)
log.info('%s 多单损失超过0.02止损' % tick.symbol)
self.order(tick.symbol,
LONG,
CLOSE,
var.open_vol,
limit_price=tick.last_price -
var.slippage * symbol_obj.tick_size)
var.reverse_flag = True
def short_open_by_tick(self, var, tick):
if var.signal_count == 1 and var.pre_bar_direction_flag == SHORT:
if var.bar_n_2.close - tick.last_price >= var.tick_open_thres * var.boll_n_2.mid:
log.info('%s 按tick 开空' % tick.symbol)
msg.send('%s 按tick 开空' % tick.symbol)
symbol_obj = self.context.symbol_infos[tick.symbol]
self.order(tick.symbol,
SHORT,
OPEN,
var.limit_vol,
limit_price=tick.last_price -
var.slippage * symbol_obj.tick_size)
var.pre_bar_direction_flag = ''
var.signal_count = 0
var.bar_n_2 = None
var.boll_n_2 = None
def on_trade(self, trade):
var = self.context.vars[trade.symbol]
symbol_obj = self.context.symbol_infos[trade.symbol]
if trade.offset == OPEN:
var.direction = trade.direction
var.open_vol += trade.vol
var.open_price = trade.price
var.open_margin = var.open_vol * symbol_obj.contract_size * var.open_price * symbol_obj.broker_margin * 0.01
else:
var.open_vol -= trade.vol
if var.open_vol == 0:
# 清仓初始化各种中间变量
var.initialize()
if var.reverse_flag:
var.reverse_flag = False
var.reverse_count += 1
if trade.direction == SHORT and var.reverse_count <= var.max_reverse_count:
msg.send('%s 空单止损后反相开多' % trade.symbol)
log.info('%s 空单止损后反相开多' % trade.symbol)
self.order(trade.symbol,
LONG,
OPEN,
var.limit_vol,
limit_price=var.last_price +
var.slippage * symbol_obj.tick_size)
elif trade.direction == LONG and var.reverse_count <= var.max_reverse_count:
msg.send('%s 多单止损后反相开空' % trade.symbol)
log.info('%s 多单止损后反相开空' % trade.symbol)
self.order(trade.symbol,
SHORT,
OPEN,
var.limit_vol,
limit_price=var.last_price -
var.slippage * symbol_obj.tick_size)
else:
# 平仓、止盈时 清空反手计数器
var.reverse_count = 0
def close_signal(self, var, bar, symbol_obj):
if var.open_vol > 0:
if var.direction == LONG:
if bar.open - bar.close > var.open_thres * symbol_obj.tick_size:
msg.send('%s 持有多单后大阴线平仓' % bar.symbol)
log.info('%s 持有多单后大阴线平仓' % bar.symbol)
self.order(bar.symbol,
LONG,
CLOSE,
var.open_vol,
limit_price=bar.close -
var.slippage * symbol_obj.tick_size)
elif var.direction == SHORT:
if bar.close - bar.open > var.open_thres * symbol_obj.tick_size:
msg.send('%s 持有空单后大阳线平仓' % bar.symbol)
log.info('%s 持有空单后大阳线平仓' % bar.symbol)
self.order(bar.symbol,
SHORT,
CLOSE,
var.open_vol,
limit_price=bar.close +
var.slippage * symbol_obj.tick_size)
def stop_loss(self, var, tick):
if var.direction != '':
symbol_obj = self.context.symbol_infos[tick.symbol]
if var.direction == LONG:
if var.open_price - tick.last_price > var.stop_loss_thres * var.boll_t.mid or tick.last_price < var.boll_t.bot:
log.info('%s 多单止损' % tick.symbol)
msg.send('%s 多单止损' % tick.symbol)
self.order(tick.symbol,
LONG,
CLOSE,
var.open_vol,
limit_price=tick.last_price -
var.slippage * symbol_obj.tick_size)
elif var.direction == SHORT:
if tick.last_price - var.open_price > var.stop_loss_thres * var.boll_t.mid or tick.last_price > var.boll_t.top:
log.info('%s 空单止损' % tick.symbol)
msg.send('%s 空单止损' % tick.symbol)
self.order(tick.symbol,
SHORT,
CLOSE,
var.open_vol,
limit_price=tick.last_price +
var.slippage * symbol_obj.tick_size)
def handle_bar(self, bar):
print('时间:%s %s' % (dt.now(), bar))
# 撤单
for sys_id, order in self.context.orders.items():
if order.symbol == bar.symbol:
self.cancel_order(order)
var = self.context.vars[bar.symbol]
symbol_obj = self.context.symbol_infos[var.symbol]
# 判断是否需要平仓
if self.pre_close(var, bar.symbol):
self.close_signal(var, bar, symbol_obj)
# 判断最大利润
if var.open_vol > 0:
delta = var.open_price - bar.close
if var.direction == LONG:
delta = bar.close - var.open_price
if delta / var.open_price > var.gain_thres:
var.gain_over_flag = True
if delta > var.max_gain:
var.max_gain = delta
if var.pre_bar_direction_flag == LONG:
if bar.close - bar.open > var.open_thres * symbol_obj.tick_size and bar.close - var.big_bar_open < var.second_big_bar_open_thres * symbol_obj.tick_size:
log.info('%s 按barj+k.close开多' % bar.symbol)
msg.send('%s 按barj+k.close开多' % bar.symbol)
if self.pre_open(var, bar.symbol):
self.order(bar.symbol,
LONG,
OPEN,
var.limit_vol,
limit_price=bar.close +
var.slippage * symbol_obj.tick_size)
var.open_by_two_big_bar_flag = True
else:
msg.send('%s 按barj+k.close开多 有持仓或挂单舍弃开仓信号' % bar.symbol)
log.info('%s 按barj+k.close开多 有持仓或挂单舍弃开仓信号' % bar.symbol)
if var.num_from_big_bar < var.open_num_from_big_bar:
var.exchange_peak(bar.open)
var.exchange_peak(bar.close)
var.num_from_big_bar += 1
elif var.num_from_big_bar < var.max_open_num_from_big_bar:
var.exchange_peak(bar.open)
var.exchange_peak(bar.close)
var.num_from_big_bar += 1
if bar.close > var.big_bar_close and var.min_price > var.big_bar_open and var.max_price > var.big_bar_close:
msg.send('%s 大阳线 N-J>=5开多' % bar.symbol)
log.info('%s 大阳线 N-J>=5开多' % bar.symbol)
if self.pre_open(var, bar.symbol):
self.order(bar.symbol,
LONG,
OPEN,
var.limit_vol,
limit_price=bar.close +
var.slippage * symbol_obj.tick_size)
else:
msg.send('%s 大阳线 N-J>=5开多仓 有持仓或挂单舍弃开仓信号' % bar.symbol)
log.info('%s 大阳线 N-J>=5开多仓 有持仓或挂单舍弃开仓信号' % bar.symbol)
elif var.min_price < var.big_bar_open and var.max_price < var.big_bar_close and bar.close < var.big_bar_open:
msg.send('%s 大阳线 N-J>=5开空' % bar.symbol)
log.info('%s 大阳线 N-J>=5开空' % bar.symbol)
if self.pre_open(var, bar.symbol):
self.order(bar.symbol,
SHORT,
OPEN,
var.limit_vol,
limit_price=bar.close -
var.slippage * symbol_obj.tick_size)
else:
msg.send('%s 大阳线 N-J>=5开多空 有持仓或挂单舍弃开仓信号' % bar.symbol)
log.info('%s 大阳线 N-J>=5开多空 有持仓或挂单舍弃开仓信号' % bar.symbol)
if var.num_from_big_bar == var.max_open_num_from_big_bar:
msg.send('%s 大阳线第25个bar重置清空信号' % bar.symbol)
log.info('%s 大阳线第25个bar重置清空信号' % bar.symbol)
var.clear_signal()
elif var.pre_bar_direction_flag == SHORT:
if bar.open - bar.close > var.open_thres * symbol_obj.tick_size and var.big_bar_open - bar.close < var.second_big_bar_open_thres * symbol_obj.tick_size:
msg.send('%s 大阴线按barj+k.close开空' % bar.symbol)
log.info('%s 大阴线按barj+k.close开空' % bar.symbol)
if self.pre_open(var, bar.symbol):
self.order(bar.symbol,
SHORT,
OPEN,
var.limit_vol,
limit_price=bar.close -
var.slippage * symbol_obj.tick_size)
var.open_by_two_big_bar_flag = True
else:
msg.send('%s 大阴线按barj+k.close开空 有持仓或挂单舍弃开仓信号' % bar.symbol)
log.info('%s 大阴线按barj+k.close开空 有持仓或挂单舍弃开仓信号' % bar.symbol)
if var.num_from_big_bar < var.open_num_from_big_bar:
var.exchange_peak(bar.open)
var.exchange_peak(bar.close)
var.num_from_big_bar += 1
elif var.num_from_big_bar < var.max_open_num_from_big_bar:
var.exchange_peak(bar.open)
var.exchange_peak(bar.close)
var.num_from_big_bar += 1
if bar.close < var.big_bar_close and var.min_price < var.big_bar_close and var.max_price < var.big_bar_open:
msg.send('%s 大阴线 N-J>=5开空' % bar.symbol)
log.info('%s 大阴线 N-J>=5开空' % bar.symbol)
if self.pre_open(var, bar.symbol):
self.order(bar.symbol,
SHORT,
OPEN,
var.limit_vol,
limit_price=bar.close -
var.slippage * symbol_obj.tick_size)
else:
msg.send('%s 大阴线 N-J>=5开空 有持仓或挂单舍弃开仓信号' % bar.symbol)
log.info('%s 大阴线 N-J>=5开空 有持仓或挂单舍弃开仓信号' % bar.symbol)
elif var.min_price > var.big_bar_close and var.max_price > var.big_bar_open and bar.close > var.big_bar_open:
msg.send('%s 大阴线 N-J>=5开多' % bar.symbol)
log.info('%s 大阴线 N-J>=5开多' % bar.symbol)
if self.pre_open(var, bar.symbol):
self.order(bar.symbol,
LONG,
OPEN,
var.limit_vol,
limit_price=bar.close +
var.slippage * symbol_obj.tick_size)
else:
msg.send('%s 大阴线 N-J>=5开多 有持仓或挂单舍弃开仓信号' % bar.symbol)
log.info('%s 大阴线 N-J>=5开多 有持仓或挂单舍弃开仓信号' % bar.symbol)
if var.num_from_big_bar == var.max_open_num_from_big_bar:
msg.send('%s 大阴线第25个bar重置清空信号' % bar.symbol)
log.info('%s 大阴线第25个bar重置清空信号' % bar.symbol)
var.clear_signal()
# msg.send('%s check 是否要转变信号' % bar.symbol)
self.pre_bar_direction_flag(var, bar, symbol_obj)
log.info(var)
def long_open_signal(self, var, bar, ma, boll):
if var.direction == '' and var.pre_bar_direction_flag == LONG:
if var.signal_count == 0:
if (boll.top - boll.bot) / boll.mid > var.spread_thres:
cond_1_1 = boll.top > bar.close > boll.mid > bar.open > boll.bot
cond_1_2 = bar.close - boll.mid <= var.open_thres * boll.mid
if cond_1_1 and cond_1_2:
var.signal_count += 1
var.bar_n_2 = bar
var.boll_n_2 = boll
log.info('%s 多单第1根突破' % bar.symbol)
msg.send('%s 多单第1根突破' % bar.symbol)
elif var.signal_count == 1:
if (boll.top - boll.bot) / boll.mid > var.spread_thres:
cond_1_3 = bar.close > boll.mid
cond_1_4 = bar.close - bar.open <= var.open_thres * boll.mid
if cond_1_3 and cond_1_4:
var.signal_count += 1
var.bar_n_1 = bar
var.boll_n_1 = boll
log.info('%s 多单第2根突破' % bar.symbol)
else:
var.pre_bar_direction_flag = ''
var.signal_count = 0
var.bar_n_2 = None
var.boll_n_2 = None
else:
var.pre_bar_direction_flag = ''
var.signal_count = 0
var.bar_n_2 = None
var.boll_n_2 = None
elif var.signal_count == 2:
if (boll.top - boll.bot) / boll.mid > var.spread_thres:
cond_1_5 = bar.close > boll.mid
cond_1_6 = bar.close - bar.open <= var.open_thres * boll.mid
if cond_1_5 and cond_1_6:
# 3
b2, b1 = var.bar_n_2, var.bar_n_1
mn = (b2.close + b1.close + bar.close) / 3.00
cond_3 = mn - ma > var.ma_thres * boll.mid
if cond_3:
if self.pre_open(var, bar.symbol):
log.info('%s 连续3根满足条件开多' % bar.symbol)
msg.send('%s 连续3根满足条件开多' % bar.symbol)
symbol_obj = self.context.symbol_infos[
bar.symbol]
self.order(bar.symbol,
LONG,
OPEN,
var.limit_vol,
limit_price=bar.close +
var.slippage * symbol_obj.tick_size)
# 放弃所有信号
var.pre_bar_direction_flag = ''
var.signal_count = 0
var.bar_n_2 = None
var.bar_n_1 = None
var.boll_n_2 = None
var.boll_n_1 = None