def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
self.bars = []
def __init__(self, fast_window: int, slow_window: int):
""""""
super().__init__()
self.fast_window = fast_window
self.slow_window = slow_window
self.bg = BarGenerator(self.on_bar, 5, self.on_5min_bar)
self.am = ArrayManager()
def __init__(self, cci_window: int, cci_level: float):
""""""
super().__init__()
self.cci_window = cci_window
self.cci_level = cci_level
self.cci_long = self.cci_level
self.cci_short = -self.cci_level
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
def __init__(self, rsi_window: int, rsi_level: float):
"""Constructor"""
super().__init__()
self.rsi_window = rsi_window
self.rsi_level = rsi_level
self.rsi_long = 50 + self.rsi_level
self.rsi_short = 50 - self.rsi_level
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.rsi_long = 50 + self.rsi_signal
self.rsi_short = 50 - self.rsi_signal
self.bg5 = BarGenerator(self.on_bar, 5, self.on_5min_bar)
self.am5 = ArrayManager()
self.bg15 = BarGenerator(self.on_bar, 15, self.on_15min_bar)
self.am15 = ArrayManager()
class MaSignal(CtaSignal):
""""""
def __init__(self, fast_window: int, slow_window: int):
""""""
super().__init__()
self.fast_window = fast_window
self.slow_window = slow_window
self.bg = BarGenerator(self.on_bar, 5, self.on_5min_bar)
self.am = ArrayManager()
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.bg.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg.update_bar(bar)
def on_5min_bar(self, bar: BarData):
""""""
self.am.update_bar(bar)
if not self.am.inited:
self.set_signal_pos(0)
close = pd.Series(self.am.close_array)
fast_ma = ta.sma(close, self.fast_window).iloc[-1]
slow_ma = ta.sma(close, self.slow_window).iloc[-1]
if fast_ma > slow_ma:
self.set_signal_pos(1)
elif fast_ma < slow_ma:
self.set_signal_pos(-1)
else:
self.set_signal_pos(0)
class CciSignal(CtaSignal):
""""""
def __init__(self, cci_window: int, cci_level: float):
""""""
super().__init__()
self.cci_window = cci_window
self.cci_level = cci_level
self.cci_long = self.cci_level
self.cci_short = -self.cci_level
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.bg.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.am.update_bar(bar)
if not self.am.inited:
self.set_signal_pos(0)
close = pd.Series(self.am.close_array)
high = pd.Series(self.am.high_array)
low = pd.Series(self.am.low_array)
cci_value = ta.cci(high, low, close, self.cci_window).iloc[-1]
if cci_value >= self.cci_long:
self.set_signal_pos(1)
elif cci_value <= self.cci_short:
self.set_signal_pos(-1)
else:
self.set_signal_pos(0)
class RsiSignal(CtaSignal):
""""""
def __init__(self, rsi_window: int, rsi_level: float):
"""Constructor"""
super().__init__()
self.rsi_window = rsi_window
self.rsi_level = rsi_level
self.rsi_long = 50 + self.rsi_level
self.rsi_short = 50 - self.rsi_level
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.bg.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.am.update_bar(bar)
if not self.am.inited:
self.set_signal_pos(0)
close = pd.Series(self.am.close_array)
rsi_value = ta.rsi(close, self.rsi_window).iloc[-1]
if rsi_value >= self.rsi_long:
self.set_signal_pos(1)
elif rsi_value <= self.rsi_short:
self.set_signal_pos(-1)
else:
self.set_signal_pos(0)
class DoubleMaStrategy(CtaTemplate):
author = "用Python的交易员"
fast_window = 10
slow_window = 20
fast_ma0 = 0.0
fast_ma1 = 0.0
slow_ma0 = 0.0
slow_ma1 = 0.0
parameters = ["fast_window", "slow_window"]
variables = ["fast_ma0", "fast_ma1", "slow_ma0", "slow_ma1"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = BarGenerator(self.on_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")
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)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
am = self.am
am.update_bar(bar)
if not am.inited:
return
close = pd.Series(am.close_array)
fast_ma = ta.sma(close, self.fast_window)
self.fast_ma0 = fast_ma.iloc[-1]
self.fast_ma1 = fast_ma.iloc[-2]
slow_ma = ta.sma(close, self.slow_window)
self.slow_ma0 = slow_ma.iloc[-1]
self.slow_ma1 = slow_ma.iloc[-2]
cross_over = self.fast_ma0 > self.slow_ma0 and self.fast_ma1 < self.slow_ma1
cross_below = self.fast_ma0 < self.slow_ma0 and self.fast_ma1 > self.slow_ma1
if cross_over:
if self.pos == 0:
self.buy(bar.close_price, 1)
elif self.pos < 0:
self.cover(bar.close_price, 1)
self.buy(bar.close_price, 1)
elif cross_below:
if self.pos == 0:
self.short(bar.close_price, 1)
elif self.pos > 0:
self.sell(bar.close_price, 1)
self.short(bar.close_price, 1)
self.put_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
pass
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass
class MultiTimeframeStrategy(CtaTemplate):
""""""
author = "用Python的交易员"
rsi_signal = 20
rsi_window = 14
fast_window = 5
slow_window = 20
fixed_size = 1
rsi_value = 0
rsi_long = 0
rsi_short = 0
fast_ma = 0
slow_ma = 0
ma_trend = 0
parameters = [
"rsi_signal", "rsi_window", "fast_window", "slow_window", "fixed_size"
]
variables = [
"rsi_value", "rsi_long", "rsi_short", "fast_ma", "slow_ma", "ma_trend"
]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.rsi_long = 50 + self.rsi_signal
self.rsi_short = 50 - self.rsi_signal
self.bg5 = BarGenerator(self.on_bar, 5, self.on_5min_bar)
self.am5 = ArrayManager()
self.bg15 = BarGenerator(self.on_bar, 15, self.on_15min_bar)
self.am15 = 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")
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.bg5.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg5.update_bar(bar)
self.bg15.update_bar(bar)
def on_5min_bar(self, bar: BarData):
""""""
self.cancel_all()
self.am5.update_bar(bar)
if not self.am5.inited:
return
if not self.ma_trend:
return
close_5 = pd.Series(self.am5.close_array)
self.rsi_value = ta.rsi(close_5, self.rsi_window).iloc[-1]
if self.pos == 0:
if self.ma_trend > 0 and self.rsi_value >= self.rsi_long:
self.buy(bar.close_price + 5, self.fixed_size)
elif self.ma_trend < 0 and self.rsi_value <= self.rsi_short:
self.short(bar.close_price - 5, self.fixed_size)
elif self.pos > 0:
if self.ma_trend < 0 or self.rsi_value < 50:
self.sell(bar.close_price - 5, abs(self.pos))
elif self.pos < 0:
if self.ma_trend > 0 or self.rsi_value > 50:
self.cover(bar.close_price + 5, abs(self.pos))
self.put_event()
def on_15min_bar(self, bar: BarData):
""""""
self.am15.update_bar(bar)
if not self.am15.inited:
return
close_15 = pd.Series(self.am15.close_array)
self.fast_ma = ta.sma(close_15, self.fast_window).iloc[-1]
self.slow_ma = ta.sma(close_15, self.slow_window).iloc[-1]
if self.fast_ma > self.slow_ma:
self.ma_trend = 1
else:
self.ma_trend = -1
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
pass
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass
class KingKeltnerStrategy(CtaTemplate):
""""""
author = "用Python的交易员"
kk_length = 11
kk_dev = 1.6
trailing_percent = 0.8
fixed_size = 1
kk_up = 0
kk_down = 0
intra_trade_high = 0
intra_trade_low = 0
long_vt_orderids = []
short_vt_orderids = []
vt_orderids = []
parameters = ["kk_length", "kk_dev", "trailing_percent", "fixed_size"]
variables = ["kk_up", "kk_down"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = BarGenerator(self.on_bar, 5, self.on_5min_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")
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.bg.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg.update_bar(bar)
def on_5min_bar(self, bar: BarData):
""""""
for orderid in self.vt_orderids:
self.cancel_order(orderid)
self.vt_orderids.clear()
am = self.am
am.update_bar(bar)
if not am.inited:
return
high = pd.Series(am.high_array)
low = pd.Series(am.low_array)
close = pd.Series(am.close_array)
range_ = ta.true_range(high, low, close)
basis = ta.sma(close, self.kk_length)
band = ta.sma(range_, self.kk_length)
up = basis + self.kk_dev * band
down = basis - self.kk_dev * band
self.kk_up, self.kk_down = up.iloc[-1], down.iloc[-1]
if self.pos == 0:
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
self.send_oco_order(self.kk_up, self.kk_down, self.fixed_size)
elif self.pos > 0:
self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
self.intra_trade_low = bar.low_price
vt_orderids = self.sell(self.intra_trade_high * (1 - self.trailing_percent / 100),
abs(self.pos), True)
self.vt_orderids.extend(vt_orderids)
elif self.pos < 0:
self.intra_trade_high = bar.high_price
self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
vt_orderids = self.cover(self.intra_trade_low * (1 + self.trailing_percent / 100),
abs(self.pos), True)
self.vt_orderids.extend(vt_orderids)
self.put_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
pass
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
if self.pos != 0:
if self.pos > 0:
for short_orderid in self.short_vt_orderids:
self.cancel_order(short_orderid)
elif self.pos < 0:
for buy_orderid in self.long_vt_orderids:
self.cancel_order(buy_orderid)
for orderid in (self.long_vt_orderids + self.short_vt_orderids):
if orderid in self.vt_orderids:
self.vt_orderids.remove(orderid)
self.put_event()
def send_oco_order(self, buy_price, short_price, volume):
""""""
self.long_vt_orderids = self.buy(buy_price, volume, True)
self.short_vt_orderids = self.short(short_price, volume, True)
self.vt_orderids.extend(self.long_vt_orderids)
self.vt_orderids.extend(self.short_vt_orderids)
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass
class TurtleSignalStrategy(CtaTemplate):
""""""
author = "用Python的交易员"
entry_window = 20
exit_window = 10
atr_window = 20
fixed_size = 1
entry_up = 0
entry_down = 0
exit_up = 0
exit_down = 0
atr_value = 0
long_entry = 0
short_entry = 0
long_stop = 0
short_stop = 0
parameters = ["entry_window", "exit_window", "atr_window", "fixed_size"]
variables = ["entry_up", "entry_down", "exit_up", "exit_down", "atr_value"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bar(20)
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")
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.bg.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.cancel_all()
self.am.update_bar(bar)
if not self.am.inited:
return
high = pd.Series(self.am.high_array)
low = pd.Series(self.am.low_array)
close = pd.Series(self.am.close_array)
if not self.pos:
self.entry_up, self.entry_down = high.rolling(
self.entry_window).max().iloc[-1], low.rolling(
self.entry_window).min().iloc[-1]
self.exit_up, self.exit_down = high.rolling(self.exit_window).max().iloc[-1], \
low.rolling(self.entry_window).min().iloc[-1]
if not self.pos:
self.atr_value = ta.atr(
high, low, close,
self.atr_window).iloc[-1] # self.am.atr(self.atr_window)
self.long_entry = 0
self.short_entry = 0
self.long_stop = 0
self.short_stop = 0
self.send_buy_orders(self.entry_up)
self.send_short_orders(self.entry_down)
elif self.pos > 0:
self.send_buy_orders(self.entry_up)
sell_price = max(self.long_stop, self.exit_down)
self.sell(sell_price, abs(self.pos), True)
elif self.pos < 0:
self.send_short_orders(self.entry_down)
cover_price = min(self.short_stop, self.exit_up)
self.cover(cover_price, abs(self.pos), True)
self.put_event()
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
if trade.direction == Direction.LONG:
self.long_entry = trade.price
self.long_stop = self.long_entry - 2 * self.atr_value
else:
self.short_entry = trade.price
self.short_stop = self.short_entry + 2 * self.atr_value
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
pass
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass
def send_buy_orders(self, price):
""""""
t = self.pos / self.fixed_size
if t < 1:
self.buy(price, self.fixed_size, True)
if t < 2:
self.buy(price + self.atr_value * 0.5, self.fixed_size, True)
if t < 3:
self.buy(price + self.atr_value, self.fixed_size, True)
if t < 4:
self.buy(price + self.atr_value * 1.5, self.fixed_size, True)
def send_short_orders(self, price):
""""""
t = self.pos / self.fixed_size
if t > -1:
self.short(price, self.fixed_size, True)
if t > -2:
self.short(price - self.atr_value * 0.5, self.fixed_size, True)
if t > -3:
self.short(price - self.atr_value, self.fixed_size, True)
if t > -4:
self.short(price - self.atr_value * 1.5, self.fixed_size, True)
class BollChannelStrategy(CtaTemplate):
""""""
author = "用Python的交易员"
boll_window = 18
boll_dev = 3.4
cci_window = 10
atr_window = 30
sl_multiplier = 5.2
fixed_size = 1
boll_up = 0
boll_down = 0
cci_value = 0
atr_value = 0
intra_trade_high = 0
intra_trade_low = 0
long_stop = 0
short_stop = 0
parameters = [
"boll_window",
"boll_dev",
"cci_window",
"atr_window",
"sl_multiplier",
"fixed_size"
]
variables = [
"boll_up",
"boll_down",
"cci_value",
"atr_value",
"intra_trade_high",
"intra_trade_low",
"long_stop",
"short_stop"
]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = BarGenerator(self.on_bar, 15, self.on_15min_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")
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.bg.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg.update_bar(bar)
def on_15min_bar(self, bar: BarData):
""""""
self.cancel_all()
am = self.am
am.update_bar(bar)
if not am.inited:
return
close = pd.Series(am.close_array)
high = pd.Series(am.high_array)
low = pd.Series(am.low_array)
standard_deviation = ta.stdev(close=close, length=self.boll_window)
deviations = self.boll_dev * standard_deviation
mid = ta.sma(close=close, length=self.boll_window)
self.boll_up, self.boll_down = (mid + deviations).iloc[-1], (mid - deviations).iloc[-1]
self.cci_value = ta.cci(high, low, close, self.cci_window).iloc[-1]
self.atr_value = ta.atr(high, low, close, self.atr_window).iloc[-1]
if self.pos == 0:
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
if self.cci_value > 0:
self.buy(self.boll_up, self.fixed_size, True)
elif self.cci_value < 0:
self.short(self.boll_down, self.fixed_size, True)
elif self.pos > 0:
self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
self.intra_trade_low = bar.low_price
self.long_stop = self.intra_trade_high - self.atr_value * self.sl_multiplier
self.sell(self.long_stop, abs(self.pos), True)
elif self.pos < 0:
self.intra_trade_high = bar.high_price
self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
self.short_stop = self.intra_trade_low + self.atr_value * self.sl_multiplier
self.cover(self.short_stop, abs(self.pos), True)
self.put_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
pass
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass
class AtrRsiStrategy(CtaTemplate):
""""""
author = "用Python的交易员"
atr_length = 22
atr_ma_length = 10
rsi_length = 5
rsi_entry = 16
trailing_percent = 0.8
fixed_size = 1
atr_value = 0
atr_ma = 0
rsi_value = 0
rsi_buy = 0
rsi_sell = 0
intra_trade_high = 0
intra_trade_low = 0
parameters = [
"atr_length", "atr_ma_length", "rsi_length", "rsi_entry",
"trailing_percent", "fixed_size"
]
variables = [
"atr_value", "atr_ma", "rsi_value", "rsi_buy", "rsi_sell",
"intra_trade_high", "intra_trade_low"
]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.rsi_buy = 50 + self.rsi_entry
self.rsi_sell = 50 - self.rsi_entry
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")
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.bg.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.cancel_all()
am = self.am
am.update_bar(bar)
if not am.inited:
return
high = pd.Series(am.high_array)
low = pd.Series(am.low_array)
close = pd.Series(am.close_array)
atr_array = ta.atr(
high, low, close,
self.atr_length) #am.atr(self.atr_length, array=True)
self.atr_value = atr_array.iloc[-1]
self.atr_ma = atr_array.iloc[-self.atr_ma_length:].mean()
self.rsi_value = ta.rsi(close, self.rsi_length).iloc[-1]
if self.pos == 0:
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
if self.atr_value > self.atr_ma:
if self.rsi_value > self.rsi_buy:
self.buy(bar.close_price + 5, self.fixed_size)
elif self.rsi_value < self.rsi_sell:
self.short(bar.close_price - 5, self.fixed_size)
elif self.pos > 0:
self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
self.intra_trade_low = bar.low_price
long_stop = self.intra_trade_high * \
(1 - self.trailing_percent / 100)
self.sell(long_stop, abs(self.pos), stop=True)
elif self.pos < 0:
self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
self.intra_trade_high = bar.high_price
short_stop = self.intra_trade_low * \
(1 + self.trailing_percent / 100)
self.cover(short_stop, abs(self.pos), stop=True)
self.put_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
pass
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass
class DualThrustStrategy(CtaTemplate):
""""""
author = "用Python的交易员"
fixed_size = 1
k1 = 0.4
k2 = 0.6
bars = []
day_open = 0
day_high = 0
day_low = 0
day_range = 0
long_entry = 0
short_entry = 0
exit_time = time(hour=14, minute=55)
long_entered = False
short_entered = False
parameters = ["k1", "k2", "fixed_size"]
variables = ["day_range", "long_entry", "short_entry"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
self.bars = []
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")
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.bg.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.cancel_all()
self.bars.append(bar)
if len(self.bars) <= 2:
return
else:
self.bars.pop(0)
last_bar = self.bars[-2]
if last_bar.datetime.date() != bar.datetime.date():
if self.day_high:
self.day_range = self.day_high - self.day_low
self.long_entry = bar.open_price + self.k1 * self.day_range
self.short_entry = bar.open_price - self.k2 * self.day_range
self.day_open = bar.open_price
self.day_high = bar.high_price
self.day_low = bar.low_price
self.long_entered = False
self.short_entered = False
else:
self.day_high = max(self.day_high, bar.high_price)
self.day_low = min(self.day_low, bar.low_price)
if not self.day_range:
return
if bar.datetime.time() < self.exit_time:
if self.pos == 0:
if bar.close_price > self.day_open:
if not self.long_entered:
self.buy(self.long_entry, self.fixed_size, stop=True)
else:
if not self.short_entered:
self.short(self.short_entry,
self.fixed_size,
stop=True)
elif self.pos > 0:
self.long_entered = True
self.sell(self.short_entry, self.fixed_size, stop=True)
if not self.short_entered:
self.short(self.short_entry, self.fixed_size, stop=True)
elif self.pos < 0:
self.short_entered = True
self.cover(self.long_entry, self.fixed_size, stop=True)
if not self.long_entered:
self.buy(self.long_entry, self.fixed_size, stop=True)
else:
if self.pos > 0:
self.sell(bar.close_price * 0.99, abs(self.pos))
elif self.pos < 0:
self.cover(bar.close_price * 1.01, abs(self.pos))
self.put_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
pass
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass