def doTrade(tname, front, ops):
pools = pool.VoterPool(1, prices)
pools.estimate(tname, ops, front)
pools.showVoters()
t = Trader(tname)
lastArea = -1
countdowns = [3] * 4
vols = [0] * 4
for i in range(front, l):
price = prices[i]
volume = 0
area = areas[i]
notes = 'AREA:' + str(area) + ';VOL:' + str(vols[area]) + '->' + str(
ops[i])
volume = ops[i] - vols[area]
vols[area] = ops[i]
countdowns[area] = 3
if volume == 0: notes = ''
for j in range(4):
if j == area: continue
if countdowns[j] > 0: countdowns[j] -= 1
if countdowns[j] == 0 and vols[j] != 0:
volume -= vols[j]
notes += ';CLOSE AREA:' + str(j) + ';VOL:' + str(
vols[j]) + '->0'
vols[j] = 0
if volume != 0:
t.processOrder(price['dt'],
price['rmb'],
volume * 1000,
notes=notes)
else:
t.summary(price['dt'], price['rmb'])
logs.info(t.strategyName + ',' + str(len(t.stats['buy']['date'])) + ',' +
str(len(t.stats['sell']['date'])) + ',' +
str(t.stats['downDays']) + ',' + str(t.equity))
logtr.info('OP,STRATEGY,TIME,VOLUME,PRICE,POSITION,NOTES,EQUITY,BALANCE')
for tl in t.stats['log']:
logtr.info(tl)
t.generateGraph(0)
def doTrade(tname, front, ops):
pools = pool.VoterPool(1, prices)
pools.estimate(tname, ops, front)
pools.showVoters()
t = Trader(tname)
lastArea = -1
countdowns = [COUNT_DOWN] * 4
vols = [0] * 4
for i in range(front, l):
price = prices[i]
volume = 0
area = areas[i]
if pool.checkTime(price['dt']):
if vols[area] == 0:
notes = 'AREA:' + str(area) + ';VOL:' + str(vols[area]) + '->' + str(ops[i]) + ';'
volume = ops[i] - vols[area]
vols[area] = ops[i]
countdowns[area] = COUNT_DOWN
if volume == 0: notes = ''
for j in range(4):
#if j == area: continue
if countdowns[j] > 0: countdowns[j] -= 1
if countdowns[j] == 0 and vols[j] != 0:
volume -= vols[j]
notes += 'CLOSE AREA:' + str(j) + ';VOL:' + str(vols[j]) + '->0;'
vols[j] = 0
else: # not trading time
for j in range(4):
if countdowns[j] > 0: countdowns[j] -= 1
if volume != 0:
t.processOrder(price['dt'], price['rmb'], volume, notes=notes)
else:
t.summary(price['dt'], price['rmb'])
logs.info(t.strategyName + ',' + str(len(t.stats['buy']['date'])) + ',' + str(len(t.stats['sell']['date'])) + ',' + str(t.stats['downDays']) + ',' + str(t.equity))
logtr.info('OP,STRATEGY,TIME,VOLUME,PRICE,POSITION,NOTES,EQUITY,BALANCE')
for tl in t.stats['log']:
logtr.info(tl)
t.generateGraph(0)
def doTrade(pool, stdPeriod, stdGuage, afmt, af, as1mt, as1, as2mt, as2, bfmt, bf, bs1mt, bs1, bs2mt, bs2): global std, prices sname = str(stdPeriod) + '_' + str(stdGuage) sname += '_' + afmt + '_' + str(af) + '_' + as1mt + '_' + str(as1) if as2 > 0: sname += '_' + as2mt + '_' + str(as2) sname += '_' + bfmt + '_' + str(bf) + '_' + bs1mt + '_' +str(bs1) if bs2 > 0: sname += '_' + bs2mt + '_' + str(bs2) afma, as1ma, as2ma = getMas(afmt, af), getMas(as1mt, as1), getMas(as2mt, as2) bfma, bs1ma, bs2ma = getMas(bfmt, bf), getMas(bs1mt, bs1), getMas(bs2mt, bs2) front = max(as1, as2, bs1, bs2) active = 0 a1pos = a2pos = b1pos = b2pos = 0 a1wait = a2wait = b1wait = b2wait = 0 a1price = a2price = b1price = b2price = 0 t = Trader(sname) for i in range(front, len(prices)): price = prices[i] volume = 0 notes = '' oa1pos, oa2pos, ob1pos , ob2pos = a1pos, a2pos, b1pos , b2pos oa1wait, oa2wait, ob1wait, ob2wait = a1wait, a2wait, b1wait, b2wait if std[stdPeriod][i] >= stdGuage: active = 2 else: active = 1 #A if as1 > 0 and afma[i - 1] <= as1ma[i - 1] and afma[i] > as1ma[i]: a1wait = 1 if as1 > 0 and afma[i - 1] >= as1ma[i - 1] and afma[i] < as1ma[i]: a1wait = -1 if as2 > 0 and afma[i - 1] <= as2ma[i - 1] and afma[i] > as2ma[i]: a2wait = 1 if as2 > 0 and afma[i - 1] >= as2ma[i - 1] and afma[i] < as2ma[i]: a2wait = -1 if active == 1: a1pos, a2pos = a1wait, a2wait if active != 1 and a1pos * a1wait == -1: a1pos = 0 if active != 1 and a2pos * a2wait == -1: a2pos = 0 if oa1pos != a1pos: volume += a1pos - oa1pos notes += 'A1:'+ str(oa1pos) + '->' + str(a1pos) + ';' + str(a1price) + '->' + str(price['rmb']) + ';' a1price = price['rmb'] if oa2pos != a2pos: volume += a2pos - oa2pos notes += 'A2:'+ str(oa1pos) + '->' + str(a1pos) + ';' + str(a2price) + '->' + str(price['rmb']) + ';' a2price = price['rmb'] #B if bs1 > 0 and bfma[i - 1] <= bs1ma[i - 1] and bfma[i] > bs1ma[i]: b1wait = 1 if bs1 > 0 and bfma[i - 1] >= bs1ma[i - 1] and bfma[i] < bs1ma[i]: b1wait = -1 if bs2 > 0 and bfma[i - 1] <= bs2ma[i - 1] and bfma[i] > bs2ma[i]: b2wait = 1 if bs2 > 0 and bfma[i - 1] >= bs2ma[i - 1] and bfma[i] < bs2ma[i]: b2wait = -1 if active == 2: b1pos, b2pos = b1wait, b2wait if active != 2 and b1pos * b1wait == -1: b1pos = 0 if active != 2 and b2pos * b2wait == -1: b2pos = 0 if ob1pos != b1pos: volume += b1pos - ob1pos notes += 'B1:'+ str(ob1pos) + '->' + str(b1pos) + ';' + str(b1price) + '->' + str(price['rmb']) + ';' b1price = price['rmb'] if ob2pos != b2pos: volume += b2pos - ob2pos notes += 'B2:'+ str(ob2pos) + '->' + str(b2pos) + ';' + str(b2price) + '->' + str(price['rmb']) + ';' b2price = price['rmb'] if volume != 0: t.processOrder(price['dt'], price['rmb'], volume * 1000, notes=notes) else: t.summary(price['dt'], price['rmb']) pool.estimate(t) return t
def doTrade(pool, direction, lPeriod, sPeriod, profitLevel, lossLevel): global prices, ps, phs, pls, rsis sname = 'S5_' + str(direction) + '_' + str(lPeriod) + '_' + str(sPeriod) + '_' + str(profitLevel) + '_' + str(-lossLevel) t = Trader(sname) front = lPeriod + sPeriod - 1 lastPrice = 0 for i in range(front, len(prices)): price = prices[i] volume, notes = 0, '' slope = midy = None highSlope = highy = lowSlope = lowy = None nSlope = ny = None #cSlope = cy = None if t.position > 0 and price['rmb'] < prices[i-1]['rmb']: profit = (price['rmb'] - lastPrice) * 100 / lastPrice if profit >= profitLevel: notes = 'PROFIT' volume = 0 - t.position elif profit <= lossLevel: notes = 'LOSS' volume = 0 - t.position elif t.position < 0 and price['rmb'] > prices[i-1]['rmb']: profit = (lastPrice - price['rmb']) * 100 / lastPrice if profit >= profitLevel: notes = 'PROFIT' volume = 0 - t.position elif profit <= lossLevel: notes = 'LOSS' volume = 0 - t.position elif t.position == 0: nSlope, ny = calc_slope(ps[i - sPeriod + 1 : i + 1]) if (direction == 1 and nSlope > 0) or (direction == -1 and nSlope < 0): ys = ps[i - lPeriod - sPeriod + 2 : i - sPeriod + 2] slope, midy = calc_slope(ys) #print i - lPeriod - sPeriod + 2, i - sPeriod + 2 highSlope, highy, lowSlope, lowy = calc_bands(ys) #print i - lPeriod - sPeriod + 2, i - sPeriod + 2 x = lPeriod + sPeriod - 2 p = ps[i] high, low, mid = highy(x), lowy(x), midy(x) if direction == 1 and p > high and nSlope > 0 and high > mid and mid > low and t.position <= 0: notes = 'BUY' volume = 1 elif direction == -1 and p < low and nSlope < 0 and high > mid and mid > low and t.position >= 0: notes = 'SELL' volume = -1 if volume != 0: lastPrice = price['rmb'] t.processOrder(price['dt'], price['rmb'], volume, notes=notes) else: t.summary(price['dt'], price['rmb']) #logb.info(str(i) + ',' + str(price['dt']) + ',' + str(std) + ',' + str(notes) + ',' + str(volume) # + ',' + str(p) + ',' + str(low) + ',' + str(mid) + ',' + str(high) + ',' + str(price['rmb']) # + ',' + str(slope) + ',' + str(nSlope)+ ',' + str(highSlope) + ',' + str(lowSlope)) if volume != 0 and i >= 1: print i, rsis['rsi'][i] nxs = nys = [] if ny: nxs = range(sPeriod) nys = map(ny, nxs) nxs = map(lambda x: x + lPeriod - 1, nxs) xs = upys = lowys = midys = [] if highy: xs = range(lPeriod) upys = map(highy, xs) lowys = map(lowy, xs) midys = map(midy, xs) #cxs = cys = [] #if cy: # cxs = range(cPeriod) # cys = map(cy, cxs) # cxs = map(lambda x: x + lPeriod - 1, cxs) axs = range(lPeriod + sPeriod + 100) ays = ps[i - lPeriod - sPeriod + 2 : i + 102] if lPeriod + sPeriod + 100 > len(ps): axs = range(len(ps) - lPeriod - sPeriod + 2) ays = ps[i - lPeriod - sPeriod + 2 : ] plt.plot(axs, ays, 'b', xs, midys, 'y', xs, upys, 'r', xs, lowys, 'g', nxs, nys, 'm') plt.vlines(lPeriod + sPeriod - 2, min(ays), max(ays), color='y', linestyles ='dotted') plt.title(str(price['dt']) + ' ' + str(volume) + ' ' + str(notes)) plt.show() pool.estimate(t) return t
def doTrade(pool, stdPeriod, stdGuage, afmt, af, as1mt, as1, as2mt, as2, bfmt,
bf, bs1mt, bs1, bs2mt, bs2):
sname = str(stdPeriod) + '_' + str(stdGuage)
sname += '_' + afmt + '_' + str(af) + '_' + as1mt + '_' + str(as1)
if as2 > 0: sname += '_' + as2mt + '_' + str(as2)
sname += '_' + bfmt + '_' + str(bf) + '_' + bs1mt + '_' + str(bs1)
if bs2 > 0: sname += '_' + bs2mt + '_' + str(bs2)
afma, as1ma, as2ma = getMas(afmt, af), getMas(as1mt,
as1), getMas(as2mt, as2)
bfma, bs1ma, bs2ma = getMas(bfmt, bf), getMas(bs1mt,
bs1), getMas(bs2mt, bs2)
front = max(as1, as2, bs1, bs2)
active = 0
a1pos = a2pos = b1pos = b2pos = 0
a1wait = a2wait = b1wait = b2wait = 0
a1price = a2price = b1price = b2price = 0
t = Trader(sname)
for i in range(front, len(prices)):
price = prices[i]
volume = 0
notes = ''
oa1pos, oa2pos, ob1pos, ob2pos = a1pos, a2pos, b1pos, b2pos
oa1wait, oa2wait, ob1wait, ob2wait = a1wait, a2wait, b1wait, b2wait
std = np.std(ps[i - stdPeriod + 1:i + 1], dtype=np.float64, ddof=0)
if std >= stdGuage: active = 2
else: active = 1
#A
if as1 > 0 and afma[i - 1] <= as1ma[i - 1] and afma[i] > as1ma[i]:
a1wait = 1
if as1 > 0 and afma[i - 1] >= as1ma[i - 1] and afma[i] < as1ma[i]:
a1wait = -1
if as2 > 0 and afma[i - 1] <= as2ma[i - 1] and afma[i] > as2ma[i]:
a2wait = 1
if as2 > 0 and afma[i - 1] >= as2ma[i - 1] and afma[i] < as2ma[i]:
a2wait = -1
if active == 1: a1pos, a2pos = a1wait, a2wait
if active != 1 and a1pos * a1wait == -1: a1pos = 0
if active != 1 and a2pos * a2wait == -1: a2pos = 0
if oa1pos != a1pos:
volume += a1pos - oa1pos
notes += 'A1:' + str(oa1pos) + '->' + str(a1pos) + ';' + str(
a1price) + '->' + str(price['rmb']) + ';'
a1price = price['rmb']
if oa2pos != a2pos:
volume += a2pos - oa2pos
notes += 'A2:' + str(oa1pos) + '->' + str(a1pos) + ';' + str(
a2price) + '->' + str(price['rmb']) + ';'
a2price = price['rmb']
#B
if bs1 > 0 and bfma[i - 1] <= bs1ma[i - 1] and bfma[i] > bs1ma[i]:
b1wait = 1
if bs1 > 0 and bfma[i - 1] >= bs1ma[i - 1] and bfma[i] < bs1ma[i]:
b1wait = -1
if bs2 > 0 and bfma[i - 1] <= bs2ma[i - 1] and bfma[i] > bs2ma[i]:
b2wait = 1
if bs2 > 0 and bfma[i - 1] >= bs2ma[i - 1] and bfma[i] < bs2ma[i]:
b2wait = -1
if active == 2: b1pos, b2pos = b1wait, b2wait
if active != 2 and b1pos * b1wait == -1: b1pos = 0
if active != 2 and b2pos * b2wait == -1: b2pos = 0
if ob1pos != b1pos:
volume += b1pos - ob1pos
notes += 'B1:' + str(ob1pos) + '->' + str(b1pos) + ';' + str(
b1price) + '->' + str(price['rmb']) + ';'
b1price = price['rmb']
if ob2pos != b2pos:
volume += b2pos - ob2pos
notes += 'B2:' + str(ob2pos) + '->' + str(b2pos) + ';' + str(
b2price) + '->' + str(price['rmb']) + ';'
b2price = price['rmb']
if volume != 0:
t.processOrder(price['dt'],
price['rmb'],
volume * 1000,
notes=notes)
else:
t.summary(price['dt'], price['rmb'])
pool.estimate(t)
return t
def doTrade(pool, stdPeriod, stdGuage, afmt, af, as1mt, as1, as2mt, as2, bfmt, bf, bs1mt, bs1, bs2mt, bs2):
sname = str(stdPeriod) + "_" + str(stdGuage)
sname += "_" + afmt + "_" + str(af) + "_" + as1mt + "_" + str(as1)
if as2 > 0:
sname += "_" + as2mt + "_" + str(as2)
sname += "_" + bfmt + "_" + str(bf) + "_" + bs1mt + "_" + str(bs1)
if bs2 > 0:
sname += "_" + bs2mt + "_" + str(bs2)
afma, as1ma, as2ma = getMas(afmt, af), getMas(as1mt, as1), getMas(as2mt, as2)
bfma, bs1ma, bs2ma = getMas(bfmt, bf), getMas(bs1mt, bs1), getMas(bs2mt, bs2)
front = max(as1, as2, bs1, bs2)
active = 0
a1pos = a2pos = b1pos = b2pos = 0
a1wait = a2wait = b1wait = b2wait = 0
a1price = a2price = b1price = b2price = 0
t = Trader(sname)
for i in range(front, len(prices)):
price = prices[i]
volume = 0
notes = ""
oa1pos, oa2pos, ob1pos, ob2pos = a1pos, a2pos, b1pos, b2pos
oa1wait, oa2wait, ob1wait, ob2wait = a1wait, a2wait, b1wait, b2wait
std = np.std(ps[i - stdPeriod + 1 : i + 1], dtype=np.float64, ddof=0)
if std >= stdGuage:
active = 2
else:
active = 1
# A
if as1 > 0 and afma[i - 1] <= as1ma[i - 1] and afma[i] > as1ma[i]:
a1wait = 1
if as1 > 0 and afma[i - 1] >= as1ma[i - 1] and afma[i] < as1ma[i]:
a1wait = -1
if as2 > 0 and afma[i - 1] <= as2ma[i - 1] and afma[i] > as2ma[i]:
a2wait = 1
if as2 > 0 and afma[i - 1] >= as2ma[i - 1] and afma[i] < as2ma[i]:
a2wait = -1
if active == 1:
a1pos, a2pos = a1wait, a2wait
if active != 1 and a1pos * a1wait == -1:
a1pos = 0
if active != 1 and a2pos * a2wait == -1:
a2pos = 0
if oa1pos != a1pos:
volume += a1pos - oa1pos
notes += "A1:" + str(oa1pos) + "->" + str(a1pos) + ";" + str(a1price) + "->" + str(price["rmb"]) + ";"
a1price = price["rmb"]
if oa2pos != a2pos:
volume += a2pos - oa2pos
notes += "A2:" + str(oa1pos) + "->" + str(a1pos) + ";" + str(a2price) + "->" + str(price["rmb"]) + ";"
a2price = price["rmb"]
# B
if bs1 > 0 and bfma[i - 1] <= bs1ma[i - 1] and bfma[i] > bs1ma[i]:
b1wait = 1
if bs1 > 0 and bfma[i - 1] >= bs1ma[i - 1] and bfma[i] < bs1ma[i]:
b1wait = -1
if bs2 > 0 and bfma[i - 1] <= bs2ma[i - 1] and bfma[i] > bs2ma[i]:
b2wait = 1
if bs2 > 0 and bfma[i - 1] >= bs2ma[i - 1] and bfma[i] < bs2ma[i]:
b2wait = -1
if active == 2:
b1pos, b2pos = b1wait, b2wait
if active != 2 and b1pos * b1wait == -1:
b1pos = 0
if active != 2 and b2pos * b2wait == -1:
b2pos = 0
if ob1pos != b1pos:
volume += b1pos - ob1pos
notes += "B1:" + str(ob1pos) + "->" + str(b1pos) + ";" + str(b1price) + "->" + str(price["rmb"]) + ";"
b1price = price["rmb"]
if ob2pos != b2pos:
volume += b2pos - ob2pos
notes += "B2:" + str(ob2pos) + "->" + str(b2pos) + ";" + str(b2price) + "->" + str(price["rmb"]) + ";"
b2price = price["rmb"]
if volume != 0:
t.processOrder(price["dt"], price["rmb"], volume * 10, notes=notes)
else:
t.summary(price["dt"], price["rmb"])
pool.estimate(t)
return t
def doTrade(pool, direction, lPeriod, sPeriod, profitLevel, lossLevel): global prices, ps, phs, pls, rsis sname = 'S5_' + str(direction) + '_' + str(lPeriod) + '_' + str(sPeriod) + '_' + str(profitLevel) + '_' + str(-lossLevel) t = Trader(sname) front = lPeriod + sPeriod - 1 lastPrice = 0 for i in range(front, len(prices)): price = prices[i] volume, notes = 0, '' slope = midy = None highSlope = highy = lowSlope = lowy = None nSlope, ny = calc_slope(ps[i - sPeriod + 1 : i + 1]) #if (t.position > 0 and nSlope < 0) or (t.position < 0 and nSlope > 0): # notes = 'CLOSE' # volume = 0 - t.position if t.position > 0 and price['rmb'] < prices[i-1]['rmb']: profit = (price['rmb'] - lastPrice) * 100 / lastPrice if profit >= profitLevel: notes = 'PROFIT' volume = 0 - t.position elif profit <= lossLevel: notes = 'LOSS' volume = 0 - t.position elif t.position < 0 and price['rmb'] > prices[i-1]['rmb']: profit = (lastPrice - price['rmb']) * 100 / lastPrice if profit >= profitLevel: notes = 'PROFIT' volume = 0 - t.position elif profit <= lossLevel: notes = 'LOSS' volume = 0 - t.position elif t.position == 0: if (direction == 1 and nSlope > 0) or (direction == -1 and nSlope < 0): ys = ps[i - lPeriod - sPeriod + 2 : i - sPeriod + 2] slope, midy = calc_slope(ys) std = np.std(ys, dtype=np.float64, ddof=0) x = lPeriod + sPeriod - 2 p = ps[i] mid = midy(x) high = mid + std * 1.0 low = mid - std * 1.0 py = ny(sPeriod) if direction == 1 and py > high and nSlope > 0 and t.position <= 0: notes = 'BUY' volume = 1 elif direction == -1 and py < low and nSlope < 0 and t.position >= 0: notes = 'SELL' volume = -1 if volume != 0: lastPrice = price['rmb'] t.processOrder(price['dt'], price['rmb'], volume, notes=notes) else: t.summary(price['dt'], price['rmb']) #logb.info(str(i) + ',' + str(price['dt']) + ',' + str(std) + ',' + str(notes) + ',' + str(volume) # + ',' + str(p) + ',' + str(low) + ',' + str(mid) + ',' + str(high) + ',' + str(price['rmb']) # + ',' + str(slope) + ',' + str(nSlope)+ ',' + str(highSlope) + ',' + str(lowSlope)) if volume != 0 and i >= 10000000: print i, notes, price['rmb'] nxs = nys = [] if ny: nxs = range(sPeriod) nys = map(ny, nxs) nxs = map(lambda x: x + lPeriod - 1, nxs) xs = upys = lowys = midys = [] if midy: xs = range(lPeriod) midys = map(midy, xs) upys = map(lambda y: y + std * 1.0, midys) lowys = map(lambda y: y - std * 1.0, midys) axs = range(lPeriod + sPeriod + 100) ays = ps[i - lPeriod - sPeriod + 2 : i + 102] if lPeriod + sPeriod + 100 > len(ps): axs = range(len(ps) - lPeriod - sPeriod + 2) ays = ps[i - lPeriod - sPeriod + 2 : ] plt.plot(axs, ays, 'b', xs, midys, 'y', xs, upys, 'r', xs, lowys, 'g', nxs, nys, 'm') plt.vlines(lPeriod + sPeriod - 2, min(ays), max(ays), color='y', linestyles ='dotted') plt.title(str(price['dt']) + ' ' + str(volume) + ' ' + str(notes)) plt.show() pool.estimate(t) return t
def doTrade(pool, direction, lPeriod, sPeriod, profitLevel, lossLevel):
global prices, ps, phs, pls, rsis
sname = 'S5_' + str(direction) + '_' + str(lPeriod) + '_' + str(
sPeriod) + '_' + str(profitLevel) + '_' + str(-lossLevel)
t = Trader(sname)
front = lPeriod + sPeriod - 1
lastPrice = 0
for i in range(front, len(prices)):
price = prices[i]
volume, notes = 0, ''
slope = midy = None
highSlope = highy = lowSlope = lowy = None
nSlope = ny = None
#cSlope = cy = None
if t.position > 0 and price['rmb'] < prices[i - 1]['rmb']:
profit = (price['rmb'] - lastPrice) * 100 / lastPrice
if profit >= profitLevel:
notes = 'PROFIT'
volume = 0 - t.position
elif profit <= lossLevel:
notes = 'LOSS'
volume = 0 - t.position
elif t.position < 0 and price['rmb'] > prices[i - 1]['rmb']:
profit = (lastPrice - price['rmb']) * 100 / lastPrice
if profit >= profitLevel:
notes = 'PROFIT'
volume = 0 - t.position
elif profit <= lossLevel:
notes = 'LOSS'
volume = 0 - t.position
elif t.position == 0:
nSlope, ny = calc_slope(ps[i - sPeriod + 1:i + 1])
if (direction == 1 and nSlope > 0) or (direction == -1
and nSlope < 0):
ys = ps[i - lPeriod - sPeriod + 2:i - sPeriod + 2]
slope, midy = calc_slope(ys)
#print i - lPeriod - sPeriod + 2, i - sPeriod + 2
highSlope, highy, lowSlope, lowy = calc_bands(ys)
#print i - lPeriod - sPeriod + 2, i - sPeriod + 2
x = lPeriod + sPeriod - 2
p = ps[i]
high, low, mid = highy(x), lowy(x), midy(x)
if direction == 1 and p > high and nSlope > 0 and high > mid and mid > low and t.position <= 0:
notes = 'BUY'
volume = 1
elif direction == -1 and p < low and nSlope < 0 and high > mid and mid > low and t.position >= 0:
notes = 'SELL'
volume = -1
if volume != 0:
lastPrice = price['rmb']
t.processOrder(price['dt'], price['rmb'], volume, notes=notes)
else:
t.summary(price['dt'], price['rmb'])
#logb.info(str(i) + ',' + str(price['dt']) + ',' + str(std) + ',' + str(notes) + ',' + str(volume)
# + ',' + str(p) + ',' + str(low) + ',' + str(mid) + ',' + str(high) + ',' + str(price['rmb'])
# + ',' + str(slope) + ',' + str(nSlope)+ ',' + str(highSlope) + ',' + str(lowSlope))
if volume != 0 and i >= 1:
print i, rsis['rsi'][i]
nxs = nys = []
if ny:
nxs = range(sPeriod)
nys = map(ny, nxs)
nxs = map(lambda x: x + lPeriod - 1, nxs)
xs = upys = lowys = midys = []
if highy:
xs = range(lPeriod)
upys = map(highy, xs)
lowys = map(lowy, xs)
midys = map(midy, xs)
#cxs = cys = []
#if cy:
# cxs = range(cPeriod)
# cys = map(cy, cxs)
# cxs = map(lambda x: x + lPeriod - 1, cxs)
axs = range(lPeriod + sPeriod + 100)
ays = ps[i - lPeriod - sPeriod + 2:i + 102]
if lPeriod + sPeriod + 100 > len(ps):
axs = range(len(ps) - lPeriod - sPeriod + 2)
ays = ps[i - lPeriod - sPeriod + 2:]
plt.plot(axs, ays, 'b', xs, midys, 'y', xs, upys, 'r', xs, lowys,
'g', nxs, nys, 'm')
plt.vlines(lPeriod + sPeriod - 2,
min(ays),
max(ays),
color='y',
linestyles='dotted')
plt.title(str(price['dt']) + ' ' + str(volume) + ' ' + str(notes))
plt.show()
pool.estimate(t)
return t
def doTrade(pool, lPeriod, sPeriod, cPeriod): global prices, ps, phs, pls sname = 'S4_' + str(lPeriod) + '_' + str(sPeriod) + '_' + str(cPeriod) t = Trader(sname) front = lPeriod + max(sPeriod, cPeriod) - 1 lastbuy = lastsell = 0 for i in range(front, len(prices)): price = prices[i] ys = ps[i - lPeriod - sPeriod + 2 : i - sPeriod + 2] slope, midy = calc_slope(ys) highSlope, highy, lowSlope, lowy = calc_bands(ys) nSlope, ny = calc_slope(ps[i - sPeriod + 1 : i + 1]) #std = round(np.std(ys, dtype=np.float64, ddof=0), 3) #if i == 122: print i - lPeriod - sPeriod + 1, i - sPeriod + 1, highSlope, lowSlope x = lPeriod + sPeriod - 2 p = ps[i] volume = 0 notes = '' high, low, mid = highy(x), lowy(x), midy(x) if p > high and nSlope > 0 and high > mid and mid > low and t.position <= 0: notes = 'BUY' volume = 0 elif p < low and nSlope < 0 and high > mid and mid > low and t.position >= 0: notes = 'SELL' volume = -1 cSlope = cy = None if t.position > 0: cSlope, cy = calc_slope(ps[i - cPeriod + 1 : i + 1]) if cSlope < 0: notes += '&CLOSE' volume -= t.position elif t.position < 0: cSlope, cy = calc_slope(ps[i - cPeriod + 1 : i + 1]) if cSlope > 0: notes += '&CLOSE' volume -= t.position #logb.info(str(i) + ',' + str(price['dt']) + ',' + str(std) + ',' + str(notes) + ',' + str(volume) # + ',' + str(p) + ',' + str(low) + ',' + str(mid) + ',' + str(high) + ',' + str(price['rmb']) # + ',' + str(slope) + ',' + str(nSlope)+ ',' + str(highSlope) + ',' + str(lowSlope)) if volume != 0 and i >= 100000000: xs = range(lPeriod) upys = map(highy, xs) lowys = map(lowy, xs) midys = map(midy, xs) nxs = range(sPeriod) nys = map(ny, nxs) nxs = map(lambda x: x + lPeriod - 1, nxs) cxs = cys = [] if cy: cxs = range(cPeriod) cys = map(cy, cxs) cxs = map(lambda x: x + lPeriod - 1, cxs) axs = range(lPeriod + sPeriod + 100) ays = ps[i - lPeriod - sPeriod + 2 :i + 102] plt.plot(axs, ays, 'b', xs, midys, 'y', xs, upys, 'r', xs, lowys, 'g', nxs, nys, 'm', cxs, cys, 'k') plt.title(str(price['dt']) + ' ' + str(volume)) plt.show() t.processOrder(price['dt'], price['rmb'], volume, notes=notes) pool.estimate(t) return t
