class BollVix(CtaTemplate):
""""""
author = "yunya"
open_window = 15
boll_window = 80
fixed_size = 1
boll_mid_current = 0
boll_mid_last = 0
boll_up_current = 0
boll_up_last = 0
boll_down_current = 0
boll_down_last = 0
target_pos = 0
pos_inited = 0
parameters = [
"open_window",
"boll_window",
"fixed_size",
]
variables = [
"boll_mid_current",
"boll_mid_last",
"boll_up_current",
"boll_up_last",
"boll_down_current",
"boll_down_last",
"pos_inited",
"target_pos"
]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = NewBarGenerator(self.on_bar, self.open_window, self.on_minute_bar, interval=Interval.MINUTE)
self.am = ArrayManager(self.boll_window * 2)
self.up_array: np.ndarray = np.zeros(5)
self.down_array: np.ndarray = np.zeros(5)
self.boll_inited = False
self.boll_count = 0
self.engine_type = self.get_engine_type()
self.vt_orderids = []
self.order_price = 0
self.pos_inited = 0
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bar(12)
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log("策略启动")
self.put_event()
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log("策略停止")
self.put_event()
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.bg.update_tick(tick)
# 只有实盘交易才使用BestLimit算法
if self.engine_type != EngineType.LIVE:
return
# 当前没有仓位
order_volume_open = self.target_pos - self.pos
if not order_volume_open:
return
if order_volume_open > 0:
if not self.vt_orderids:
self.order_price = tick.bid_price_1
vt_orderids = self.buy(self.order_price, abs(order_volume_open))
self.vt_orderids.extend(vt_orderids)
elif self.order_price != tick.bid_price_1:
for vt_orderid in self.vt_orderids:
self.cancel_order(vt_orderid)
elif order_volume_open < 0:
if not self.vt_orderids:
self.order_price = tick.ask_price_1
vt_orderids = self.short(self.order_price, abs(order_volume_open))
self.vt_orderids.extend(vt_orderids)
elif self.order_price != tick.ask_price_1:
for vt_orderid in self.vt_orderids:
self.cancel_order(vt_orderid)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg.update_bar(bar)
def on_minute_bar(self, bar: BarData):
""""""
self.cancel_all()
am = self.am
am.update_bar(bar)
if not am.inited:
return
# 计算布林
self.boll_calculate()
if not self.boll_inited:
return
boll_mid_array = self.am.sma(self.boll_window, True)
# 计算数组
self.boll_mid = boll_mid_array[-2]
self.boll_up_current = self.up_array[-1]
self.boll_up_last = self.up_array[-2]
self.boll_down_current = self.down_array[-1]
self.boll_down_last = self.down_array[-2]
if not self.pos:
self.pos_inited = 0
if self.am.close[-1] > self.boll_up_current and self.am.close[-2] <= self.boll_up_last:
if self.engine_type == EngineType.BACKTESTING:
self.buy(self.boll_up_current, self.fixed_size)
else:
self.target_pos = self.fixed_size
print("没有仓位，我开多")
elif self.am.close[-1] < self.boll_down_current and self.am.close[-2] >= self.boll_down_last:
if self.engine_type == EngineType.BACKTESTING:
self.short(self.boll_down_current, self.fixed_size)
else:
self.target_pos = -self.fixed_size
print("没有仓位，我开空")
elif self.pos > 0:
self.sell(self.boll_mid, abs(self.pos), True)
elif self.pos < 0:
self.cover(self.boll_mid, abs(self.pos), True)
self.put_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
self.put_event()
pass
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
pass
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass
def boll_calculate(self):
"""
计算布林
:return:
"""
if not self.boll_inited:
self.boll_count += 1
if self.boll_count >= 6:
self.boll_inited = True
self.up_array[:-1] = self.up_array[1:]
self.down_array[:-1] = self.down_array[1:]
sma_array = self.am.sma(self.boll_window, True)
std_array = self.am.std(self.boll_window, True)
dev = abs(self.am.close[:-1] - sma_array[:-1]) / std_array[:-1]
dev_max = dev[-self.boll_window:].max()
up = sma_array[-1] + std_array[-1] * dev_max
down = sma_array[-1] - std_array[-1] * dev_max
self.up_array[-1] = up
self.down_array[-1] = down
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 = BarGenerator(self.on_bar, 15, self.onFiveBar)
self.am = ArrayManager()
#----------------------------------------------------------------------
def on_init(self):
"""初始化策略（必须由用户继承实现）"""
self.write_log(u'策略初始化')
# 载入历史数据，并采用回放计算的方式初始化策略数值
self.load_bar(self.initDays)
self.put_event()
#----------------------------------------------------------------------
def on_start(self):
"""启动策略（必须由用户继承实现）"""
self.write_log(u'策略启动')
self.put_event()
#----------------------------------------------------------------------
def on_stop(self):
"""停止策略（必须由用户继承实现）"""
self.write_log(u'策略停止')
self.put_event()
#----------------------------------------------------------------------
def on_tick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
self.bm.update_tick(tick)
#----------------------------------------------------------------------
def on_bar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
self.bm.update_bar(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.update_bar(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）
# 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.cancel_all()
# 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.cancel_order(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.put_event()
#----------------------------------------------------------------------
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 == StopOrderStatus.CANCELLED or so.status == StopOrderStatus.TRIGGERED:
self.orderList.remove(so.stopOrderID)
pass
class BollVix(CtaTemplate):
""""""
author = "yunya"
open_window = 15
boll_length = 530
fixed_size = 1
boll_mid_current = 0
boll_mid_last = 0
boll_up_current = 0
boll_up_last = 0
boll_down_current = 0
boll_down_last = 0
target_pos = 0
pos_inited = 0
boll_mid = 0
# 画图专用
time_list = []
open_list = []
high_list = []
low_list = []
close_list = []
volume_list = []
up_list = []
down_list = []
mid_list = []
mid_new_list = []
bias_value_list = []
bias_list = []
singnal_plot = []
singnal_list = None
singnal = None
plot_echarts = {}
parameters = [
"open_window",
"boll_length",
"fixed_size",
]
variables = [
"boll_mid_current", "boll_mid_last", "boll_up_current", "boll_up_last",
"boll_down_current", "boll_down_last", "pos_inited", "target_pos"
]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = NewBarGenerator(self.on_bar,
self.open_window,
self.on_minute_bar,
interval=Interval.MINUTE)
self.am = ArrayManager(self.boll_length * 2)
self.up_array: np.ndarray = np.zeros(5)
self.down_array: np.ndarray = np.zeros(5)
self.boll_inited = False
self.boll_count = 0
self.engine_type = self.get_engine_type()
self.vt_orderids = []
self.order_price = 0
self.pos_inited = 0
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bar(12)
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log("策略启动")
self.put_event()
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log("策略停止")
self.put_event()
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.bg.update_tick(tick)
# 只有实盘交易才使用BestLimit算法
if self.engine_type != EngineType.LIVE:
return
# 当前没有仓位
order_volume_open = self.target_pos - self.pos
if not order_volume_open:
return
if order_volume_open > 0:
if not self.vt_orderids:
self.order_price = tick.bid_price_1
vt_orderids = self.buy(self.order_price,
abs(order_volume_open))
self.vt_orderids.extend(vt_orderids)
elif self.order_price != tick.bid_price_1:
for vt_orderid in self.vt_orderids:
self.cancel_order(vt_orderid)
elif order_volume_open < 0:
if not self.vt_orderids:
self.order_price = tick.ask_price_1
vt_orderids = self.short(self.order_price,
abs(order_volume_open))
self.vt_orderids.extend(vt_orderids)
elif self.order_price != tick.ask_price_1:
for vt_orderid in self.vt_orderids:
self.cancel_order(vt_orderid)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg.update_bar(bar)
def on_minute_bar(self, bar: BarData):
""""""
self.cancel_all()
am = self.am
am.update_bar(bar)
if not am.inited:
return
# 计算布林
sma_array = self.am.sma(self.boll_length, True)
std_array = self.am.std(self.boll_length, True)
dev = abs(self.am.close[:-1] - sma_array[:-1]) / std_array[:-1]
dev_max = dev[-self.boll_length:].max()
up = sma_array + std_array * dev_max
down = sma_array - std_array * dev_max
boll_mid_array = self.am.sma(self.boll_length, True)
# 计算数组
self.boll_mid = boll_mid_array[-2]
self.boll_up_current = up[-1]
self.boll_up_last = up[-2]
self.boll_down_current = down[-1]
self.boll_down_last = down[-2]
if not self.pos:
self.pos_inited = 0
if self.am.close[-1] > self.boll_up_current and self.am.close[
-2] <= self.boll_up_last:
if self.engine_type == EngineType.BACKTESTING:
self.buy(bar.close_price, self.fixed_size)
else:
self.target_pos = self.fixed_size
print("没有仓位，我开多")
elif self.am.close[-1] < self.boll_down_current and self.am.close[
-2] >= self.boll_down_last:
if self.engine_type == EngineType.BACKTESTING:
self.short(bar.close_price, self.fixed_size)
else:
self.target_pos = -self.fixed_size
print("没有仓位，我开空")
elif self.pos > 0:
self.sell(self.boll_mid, abs(self.pos), True)
elif self.pos < 0:
self.cover(self.boll_mid, abs(self.pos), True)
# 画图专用
if self.singnal != self.singnal_list:
plot = self.singnal
else:
plot = None
self.time_list.append(bar.datetime)
self.open_list.append(bar.open_price)
self.high_list.append(bar.high_price)
self.low_list.append(bar.low_price)
self.close_list.append(bar.close_price)
self.volume_list.append(bar.volume)
self.up_list.append(self.boll_up_current)
self.down_list.append(self.boll_down_current)
self.mid_list.append(self.boll_mid)
self.singnal_plot.append(plot)
self.plot_echarts = {
"datetime": self.time_list,
"open": self.open_list,
"high": self.high_list,
"low": self.low_list,
"close": self.close_list,
"volume": self.low_list,
"boll_up": self.up_list,
"boll_down": self.down_list,
"boll_mid": self.mid_list,
"signal": self.singnal_plot
}
self.singnal_list = self.singnal
self.put_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
self.put_event()
pass
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
if trade.direction.value == Direction.LONG.value:
if trade.offset.value == Offset.OPEN.value:
self.singnal = 1
elif trade.offset.value == Offset.CLOSE.value:
self.singnal = 0
else:
self.singnal = None
elif trade.direction.value == Direction.SHORT.value:
if trade.offset.value == Offset.OPEN.value:
self.singnal = -1
elif trade.offset.value == Offset.CLOSE.value:
self.singnal = 0
else:
self.singnal = None
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass
def boll_calculate(self):
"""
计算布林
:return:
"""
if not self.boll_inited:
self.boll_count += 1
if self.boll_count >= 6:
self.boll_inited = True
self.up_array[:-1] = self.up_array[1:]
self.down_array[:-1] = self.down_array[1:]
sma_array = self.am.sma(self.boll_length, True)
std_array = self.am.std(self.boll_length, True)
dev = abs(self.am.close[:-1] - sma_array[:-1]) / std_array[:-1]
dev_max = dev[-self.boll_length:].max()
up = sma_array[-1] + std_array[-1] * dev_max
down = sma_array[-1] - std_array[-1] * dev_max
self.up_array[-1] = up
self.down_array[-1] = down
