class Kline: def __init__(self): config.loads('config.json') self.symbol = "BTC-USDT-SWAP" self.timeframe = "1m" self.exchange = BINANCESWAP("", "", self.symbol) self.indicators = INDICATORS(self.exchange, self.symbol, self.timeframe) def update(self): table = self.exchange.get_kline(self.timeframe) table.reverse() try: df = pd.DataFrame( table, columns='time open high low close volume currency_volume'. split()) df = df.astype({ 'time': 'datetime64[ns]', 'open': 'float64', 'high': 'float64', 'low': 'float64', 'close': 'float64', 'volume': 'float64', 'currency_volume': 'float64' }) except: df = pd.DataFrame( table, columns='time open high low close volume'.split()) df = df.astype({ 'time': 'datetime64[ns]', 'open': 'float64', 'high': 'float64', 'low': 'float64', 'close': 'float64', 'volume': 'float64' }) candlesticks = df['time open close high low'.split()] volumes = df['time open close volume'.split()] boll = self.indicators.BOLL(20) upperband = boll['upperband'] middleband = boll['middleband'] lowerband = boll['lowerband'] if not plots: # first time we create the plots global ax, ax2 plots.append(fplt.candlestick_ochl(candlesticks)) plots.append(fplt.volume_ocv(volumes, ax=ax2)) plots.append(fplt.plot(upperband, legend="UPPERBAND")) plots.append(fplt.plot(middleband, legend="MIDDLEBAND")) plots.append(fplt.plot(lowerband, legend="LOWERBAND")) else: # every time after we just update the data sources on each plot plots[0].update_data(candlesticks) plots[1].update_data(volumes) plots[2].update_data(upperband) plots[3].update_data(middleband) plots[4].update_data(lowerband)
class Strategy: """布林强盗策略""" def __init__(self, instrument_id, time_frame, bollinger_lengths, filter_length, start_asset): try: # 策略启动时控制台输出提示信息 print("{} {} 布林强盗突破策略已启动!".format(get_localtime(), instrument_id)) # 程序启动时打印提示信息 config.loads("config.json") # 载入配置文件 # 初始化 self.instrument_id = instrument_id # 合约ID self.time_frame = time_frame # k线周期 self.exchange = OKEXFUTURES(config.access_key, config.secret_key, config.passphrase, self.instrument_id) # 交易所 self.market = MARKET(self.exchange, self.instrument_id, self.time_frame) # 行情 self.position = POSITION(self.exchange, self.instrument_id, self.time_frame) # 持仓 self.indicators = INDICATORS(self.exchange, self.instrument_id, self.time_frame) # 指标 # 在第一次运行程序时,将初始资金、总盈亏等数据保存至数据库中 self.database = "回测" # 数据库,回测时必须为"回测" self.datasheet = self.instrument_id.split( "-")[0].lower() + "_" + time_frame # 数据表 if config.first_run == "true": storage.mysql_save_strategy_run_info(self.database, self.datasheet, get_localtime(), "none", 0, 0, 0, 0, "none", 0, 0, 0, start_asset) # 读取数据库中保存的总资金数据 self.total_asset = storage.read_mysql_datas( 0, self.database, self.datasheet, "总资金", ">")[-1][-1] self.total_profit = storage.read_mysql_datas( 0, self.database, self.datasheet, "总资金", ">")[-1][-2] # 策略总盈亏 # 策略参数 self.contract_value = self.market.contract_value() # 合约面值 self.counter = 0 # 计数器 self.bollinger_lengths = bollinger_lengths # 布林通道参数 self.filter_length = filter_length # 过滤器参数 self.out_day = 50 # 自适应出场ma的初始值为50,开仓后赋值为布林通道参数的值 except: logger.warning() def begin_trade(self, kline=None): try: # 异常处理 if self.indicators.CurrentBar( kline=kline) < self.bollinger_lengths: # 如果k线数据不够长就返回 return timestamp = ts_to_datetime_str(utctime_str_to_ts( kline[-1] [0])) if kline else get_localtime() # 非回测模式下时间戳就是当前本地时间 if self.indicators.BarUpdate(kline=kline): self.counter = 0 # k线更新时还原计数器 if self.out_day > 10: # 计算MA的天数最小递减到10。如果达到10,则不再递减。 self.out_day -= 1 # 自适应出场ma的长度参数根据持仓周期递减,持有头寸的时间每多一天,计算MA的天数减1 deviation = float( self.indicators.STDDEV(self.bollinger_lengths, nbdev=2, kline=kline)[-1]) # 标准差 middleband = float( self.indicators.BOLL(self.bollinger_lengths, kline=kline)['middleband'][-1]) # 布林通道中轨 upperband = float(middleband + deviation) # 布林通道上轨 lowerband = float(middleband - deviation) # 布林通道下轨 filter = float( self.market.close(-1, kline=kline) - self.market.close( (self.filter_length * -1) - 1, kline=kline)) # 过滤器:当日收盘价减去30日前的收盘价 ma = float(self.indicators.MA(self.out_day, kline=kline)[-1]) # 自适应移动出场平均线 # 策略主体 # 若k线数据足够长,且满足过滤条件,且当根k线最高价大于等于布林通道上轨,买入开多。 # 开仓处也设置计数器过滤,是为了防止没有启用交易助手的情况下挂单未成交,仓位为零时当根k线一直满足开仓条件,会重复挂单。 if self.indicators.CurrentBar( kline=kline ) >= self.bollinger_lengths and filter > 0 and self.market.high( -1, kline=kline) > upperband and self.counter < 1: if self.position.amount() == 0: # 若当前无持仓 price = upperband # 开多价格为布林通道上轨的值 amount = round(self.total_asset / upperband / self.contract_value) # 合约张数取整 info = self.exchange.buy(price, amount) # 买入开多,并将返回的信息赋值给变量info push(info) # 推送信息 storage.mysql_save_strategy_run_info( self.database, self.datasheet, timestamp, "买入开多", price, amount, amount * price * self.contract_value, price, "long", amount, 0, self.total_profit, self.total_asset) # 将信息保存至数据库 self.counter += 1 # 此策略是在盘中开仓,而在回测时,每根bar只会运行一次,每根bar上的价格不分时间先后,故此处开仓后计数器加1,也就是当根k线不平仓 # 因为实盘时每个ticker进来策略就会运行一次。注意回测和实盘策略运行机制的不同。 self.out_day = self.bollinger_lengths # 开仓后赋值 # 开空 if self.indicators.CurrentBar( kline=kline ) >= self.bollinger_lengths and filter < 0 and self.market.low( -1, kline=kline) < lowerband and self.counter < 1: if self.position.amount() == 0: price = lowerband amount = round(self.total_asset / upperband / self.contract_value) info = self.exchange.sellshort(price, amount) push(info) storage.mysql_save_strategy_run_info( self.database, self.datasheet, timestamp, "卖出开空", price, amount, amount * price * self.contract_value, price, "short", amount, 0, self.total_profit, self.total_asset) self.counter += 1 self.out_day = self.bollinger_lengths # 开仓后赋值 # 如果当前持多,且当根k线最低价小于等于中轨值,触发保护性止损,就平多止损 # 因为回测是一根k线上运行整个策略一次,所以要实现当根k线开仓后当根k线不平仓,需要将self.counter < 1的条件加在平仓的地方 if self.position.direction() == "long" and self.market.low( -1, kline=kline) < middleband and self.counter < 1: profit = self.position.coverlong_profit( last=middleband) # 此处计算平多利润时,传入最新价last为中轨值,也就是触发止损价格的那个值。 self.total_profit += profit # 计算经过本次盈亏后的总利润 self.total_asset += profit # 计算经过本次盈亏后的总资金 price = middleband # 平多价格为中轨值 amount = self.position.amount() # 平仓数量为当前持仓数量 info = self.exchange.sell(price, amount) push(info) self.counter += 1 storage.mysql_save_strategy_run_info( self.database, self.datasheet, timestamp, "卖出止损", price, amount, price * amount * self.contract_value, 0, "none", 0, profit, self.total_profit, self.total_asset) if self.position.direction() == "short" and self.market.high( -1, kline=kline) > middleband and self.counter < 1: profit = self.position.covershort_profit(last=middleband) self.total_profit += profit self.total_asset += profit price = middleband amount = self.position.amount() info = self.exchange.buytocover(price, amount) push(info) self.counter += 1 storage.mysql_save_strategy_run_info( self.database, self.datasheet, timestamp, "买入止损", price, amount, amount * price * self.contract_value, 0, "none", 0, profit, self.total_profit, self.total_asset) # 平多 if self.position.direction( ) == "long" and upperband > ma > self.market.low( -1, kline=kline) and self.counter < 1: profit = self.position.coverlong_profit(last=ma) self.total_profit += profit self.total_asset += profit price = ma # 平仓价格为自适应出场均线的值 amount = self.position.amount() info = self.exchange.sell(price, amount) push(info) self.counter += 1 storage.mysql_save_strategy_run_info( self.database, self.datasheet, timestamp, "卖出平多", price, amount, price * amount * self.contract_value, 0, "none", 0, profit, self.total_profit, self.total_asset) # 平空 if self.position.direction( ) == "short" and lowerband < ma < self.market.high( -1, kline=kline) and self.counter < 1: profit = self.position.covershort_profit(last=ma) self.total_profit += profit self.total_asset += profit price = ma amount = self.position.amount() info = self.exchange.buytocover(price, amount) push(info) self.counter += 1 storage.mysql_save_strategy_run_info( self.database, self.datasheet, timestamp, "买入平空", price, amount, amount * price * self.contract_value, 0, "none", 0, profit, self.total_profit, self.total_asset) except: logger.error()
class SIGNALIZE: """实盘时根据从交易所获取的k线数据绘制k线图、成交量图及指标""" def __init__(self, platform, symbol, time_frame): self.__platform = platform self.__symbol = symbol self.__time_frame = time_frame self.__market = MARKET(self.__platform, self.__symbol, self.__time_frame) # pull some data self.__indicators = INDICATORS(self.__platform, self.__symbol, self.__time_frame) self.__kline = platform.get_kline(self.__time_frame) self.__kline.reverse() # format it in pandas try: # dataframe有7列的情况 self.__df = pd.DataFrame(self.__kline, columns=[ 'time', 'open', 'high', 'low', 'close', 'volume', 'currency_volume' ]) self.__df = self.__df.astype({ 'time': 'datetime64[ns]', 'open': 'float64', 'close': 'float64', 'high': 'float64', 'low': 'float64', 'volume': 'float64', 'currency_volume': 'float64' }) except: # dataframe只有6列的情况,如okex的现货k线数据 self.__df = pd.DataFrame( self.__kline, columns=['time', 'open', 'high', 'low', 'close', 'volume']) self.__df = self.__df.astype({ 'time': 'datetime64[ns]', 'open': 'float64', 'close': 'float64', 'high': 'float64', 'low': 'float64', 'volume': 'float64' }) # create three plot 创建三层图纸,第一层画k线,第二层画成交量,第三层画一些适宜于副图显示的指标 fplt.foreground = '#FFFFFF' # 前景色 fplt.background = '#333333' # 背景色 fplt.odd_plot_background = '#333333' # 第二层图纸的背景色 fplt.cross_hair_color = "#FFFFFF" # 准星的颜色 self.__ax, self.__ax2, self.__ax3 = fplt.create_plot(symbol, rows=3) # plot candle sticks candles = self.__df[['time', 'open', 'close', 'high', 'low']] fplt.candlestick_ochl(candles, ax=self.__ax) # overlay volume on the plot volumes = self.__df[['time', 'open', 'close', 'volume']] fplt.volume_ocv(volumes, ax=self.__ax2) fplt.add_legend("VOLUME", self.__ax2) # 增加"VOLUME"图例 """ plot indicators """ def show(self): """最后必须调用此函数以显示图像""" fplt.show() def plot_last(self, color=None): """在图上画出最新成交价这根横线,便于观察""" last = self.__market.last() array = np.empty(len(self.__kline)) array.fill(last) color = color if color is not None else "#CD7F32" # 默认设置为红色 fplt.plot(self.__df['time'], array, color=color, ax=self.__ax, legend="LAST {}".format(last)) def plot_array(self, array, ax, legend, color=None): """ 绘制任意的数组成线性 :param array: 传入一个数组 :param ax: 加载在第几行的图上 :param legend: 图例名称 :param color: 颜色 :return: """ if ax == 1: ax = self.__ax elif ax == 2: ax = self.__ax2 elif ax == 3: ax = self.__ax3 color = color if color is not None else "#FF0000" # 默认设置为红色 fplt.plot(self.__df['time'], array, color=color, ax=ax, legend=legend) def plot_atr(self, length, color=None): """ 在图上画出ATR :param length: ATR指标参数 :param color: 线的颜色 :return: """ color = color if color is not None else "#FF0000" # 默认设置为红色 fplt.plot(self.__df['time'], self.__indicators.ATR(length), color=color, ax=self.__ax3, legend='ATR({})'.format(length)) def plot_boll(self, length, color1=None, color2=None, color3=None): """ 在图上画出布林通道的上轨、中轨、下轨 :param length: BOLL指标参数 :param upperband_color: 上轨颜色 :param middleband_color: 中轨颜色 :param lowerband_color: 下轨颜色 :return: """ color1 = color1 if color1 is not None else "#FF0000" # 默认设置为红色 color2 = color2 if color2 is not None else "#00FF00" # 默认设置为绿色 color3 = color3 if color3 is not None else "#0000FF" # 默认设置为蓝色 upperband_array = self.__indicators.BOLL(length)['upperband'] middleband_array = self.__indicators.BOLL(length)["middleband"] lowerband_array = self.__indicators.BOLL(length)["lowerband"] fplt.plot(self.__df['time'], upperband_array, color=color1, ax=self.__ax, legend='BOLL({})-UPPERBAND'.format(length)) fplt.plot(self.__df['time'], middleband_array, color=color2, ax=self.__ax, legend='BOLL({})-MIDDLEBAND'.format(length)) fplt.plot(self.__df['time'], lowerband_array, color=color3, ax=self.__ax, legend='BOLL({})-LOWERBAND'.format(length)) # 副图上也加载 fplt.plot(self.__df['time'], upperband_array, color=color1, ax=self.__ax3, legend='BOLL({})-UPPERBAND'.format(length)) fplt.plot(self.__df['time'], middleband_array, color=color2, ax=self.__ax3, legend='BOLL({})-MIDDLEBAND'.format(length)) fplt.plot(self.__df['time'], lowerband_array, color=color3, ax=self.__ax3, legend='BOLL({})-LOWERBAND'.format(length)) def plot_highest(self, length, color=None): """ 在图上画出最高价 :param length: HIGHEST指标参数 :param color: 线的颜色 :return: """ color = color if color is not None else "#FF0000" # 默认设置红黑色 fplt.plot(self.__df['time'], self.__indicators.HIGHEST(length), color=color, ax=self.__ax, legend='HIGHEST({})'.format(length)) # 副图也加载 fplt.plot(self.__df['time'], self.__indicators.HIGHEST(length), color=color, ax=self.__ax3, legend='HIGHEST({})'.format(length)) def plot_ma(self, length, color=None): """ 在图上画出移动平均线 :param length: 简单移动平均线参数 :param color: 线的颜色 :return: """ color = color if color is not None else "#FF0000" # 默认设置为红色 # 主图与副图加载指标 fplt.plot(self.__df['time'], self.__indicators.MA(length), color=color, ax=self.__ax, legend='MA({})'.format(length)) fplt.plot(self.__df['time'], self.__indicators.MA(length), color=color, ax=self.__ax3, legend='MA({})'.format(length)) def plot_macd(self, fastperiod, slowperiod, signalperiod, color1=None, color2=None, color3=None): """ 在图上画出MACD指标 :param fastperiod: :param slowperiod: :param signalperiod: :param color1: :param color2: :param color3: :return: """ color1 = color1 if color1 is not None else "#FF0000" # 默认设置为红色 color2 = color2 if color2 is not None else "#00FF00" # 默认设置为绿色 color3 = color3 if color3 is not None else "#0000FF" # 默认设置为蓝色 dif = self.__indicators.MACD(fastperiod, slowperiod, signalperiod)['DIF'] dea = self.__indicators.MACD(fastperiod, slowperiod, signalperiod)["DEA"] macd = self.__indicators.MACD(fastperiod, slowperiod, signalperiod)["MACD"] fplt.plot(self.__df['time'], dif, color=color1, ax=self.__ax3, legend='MACD({}, {}, {})-DIF'.format(fastperiod, slowperiod, signalperiod)) fplt.plot(self.__df['time'], dea, color=color2, ax=self.__ax3, legend='MACD({}, {}, {})-DEA'.format(fastperiod, slowperiod, signalperiod)) fplt.plot(self.__df['time'], macd, color=color3, ax=self.__ax3, legend='MACD({}, {}, {})-MACD'.format( fastperiod, slowperiod, signalperiod)) def plot_ema(self, length, color=None): """ 在图上画出EMA指标 :param length: :param color: :return: """ color = color if color is not None else "#FF0000" # 默认设置为红色 fplt.plot(self.__df['time'], self.__indicators.EMA(length), color=color, ax=self.__ax, legend='EMA({})'.format(length)) # 副图也加载 fplt.plot(self.__df['time'], self.__indicators.EMA(length), color=color, ax=self.__ax3, legend='EMA({})'.format(length)) def plot_kama(self, length, color=None): """在图上画出KAMA指标""" color = color if color is not None else "#FF0000" # 默认设置为红色 fplt.plot(self.__df['time'], self.__indicators.KAMA(length), color=color, ax=self.__ax, legend='KAMA({})'.format(length)) # 副图也加载 fplt.plot(self.__df['time'], self.__indicators.KAMA(length), color=color, ax=self.__ax3, legend='KAMA({})'.format(length)) def plot_kdj(self, fastk_period, slowk_period, slowd_period, color1=None, color2=None): """ 在图上画出KDJ指标 :param fastk_period: :param slowk_period: :param slowd_period: :param color1: :param color2: :param color3: :return: """ color1 = color1 if color1 is not None else "#FF0000" # 默认设置为红色 color2 = color2 if color2 is not None else "#00FF00" # 默认设置为绿色 k = self.__indicators.KDJ(fastk_period, slowk_period, slowd_period)['k'] d = self.__indicators.KDJ(fastk_period, slowk_period, slowd_period)["d"] # 仅副图加载 fplt.plot(self.__df['time'], k, color=color1, ax=self.__ax3, legend='KDJ({}, {}, {})-K'.format(fastk_period, slowk_period, slowd_period)) fplt.plot(self.__df['time'], d, color=color2, ax=self.__ax3, legend='KDJ({}, {}, {})-D'.format(fastk_period, slowk_period, slowd_period)) def plot_lowest(self, length, color=None): """LOWEST""" color = color if color is not None else "#FF0000" # 默认设置红黑色 fplt.plot(self.__df['time'], self.__indicators.LOWEST(length), color=color, ax=self.__ax, legend='LOWEST({})'.format(length)) # 副图也加载 fplt.plot(self.__df['time'], self.__indicators.LOWEST(length), color=color, ax=self.__ax3, legend='LOWEST({})'.format(length)) def plot_obv(self, color=None): """OBV""" color = color if color is not None else "#FF0000" # 默认设置红黑色 # 仅副图加载 fplt.plot(self.__df['time'], self.__indicators.OBV(), color=color, ax=self.__ax3, legend='OBV') def plot_rsi(self, length, color=None): """RSI""" color = color if color is not None else "#FF0000" # 默认设置为红色 # 仅副图加载 fplt.plot(self.__df['time'], self.__indicators.RSI(length), color=color, ax=self.__ax3, legend='RSI({})'.format(length)) def plot_roc(self, length, color=None): """ROC""" color = color if color is not None else "#FF0000" # 默认设置为红色 # 仅副图加载 fplt.plot(self.__df['time'], self.__indicators.ROC(length), color=color, ax=self.__ax3, legend='ROC({})'.format(length)) def plot_stochrsi(self, timeperiod, fastk_period, fastd_period, color1=None, color2=None): """STOCHRSI""" color1 = color1 if color1 is not None else "#FF0000" # 默认设置为红色 color2 = color2 if color2 is not None else "#00FF00" # 默认设置为绿色 stochrsi = self.__indicators.STOCHRSI(timeperiod, fastk_period, fastd_period)['stochrsi'] fastk = self.__indicators.STOCHRSI(timeperiod, fastk_period, fastd_period)["fastk"] # 仅副图加载 fplt.plot(self.__df['time'], stochrsi, color=color1, ax=self.__ax3, legend='STOCHRSI({}, {}, {})-STOCHRSI'.format( timeperiod, fastk_period, fastd_period)) fplt.plot(self.__df['time'], fastk, color=color2, ax=self.__ax3, legend='STOCHRSI({}, {}, {})-FASTK'.format( timeperiod, fastk_period, fastd_period)) def plot_sar(self, color=None): """ 在图上画出SAR :param length: SAR指标参数 :param color: 线的颜色 :return: """ color = color if color is not None else "#FF0000" # 默认设置为红色 # 主副图均加载 fplt.plot(self.__df['time'], self.__indicators.SAR(), color=color, ax=self.__ax, legend='SAR') fplt.plot(self.__df['time'], self.__indicators.SAR(), color=color, ax=self.__ax3, legend='SAR') def plot_stddev(self, length, color=None): """STDDEV""" color = color if color is not None else "#FF0000" # 默认设置为红色 # 仅副图加载 fplt.plot(self.__df['time'], self.__indicators.STDDEV(length), color=color, ax=self.__ax3, legend='STDDEV({})'.format(length)) def plot_trix(self, length, color=None): """STDDEV""" color = color if color is not None else "#FF0000" # 默认设置为红色 # 仅副图加载 fplt.plot(self.__df['time'], self.__indicators.TRIX(length), color=color, ax=self.__ax3, legend='TRIX({})'.format(length)) def plot_volume(self, color=None): """VOLUME""" color = color if color is not None else "#FF0000" # 默认设置为红色 # 仅副图均加载 fplt.plot(self.__df['time'], self.__indicators.VOLUME(), color=color, ax=self.__ax3, legend='VOLUME')