def on_bar(self, klines):
StrategyBase.on_bar(self, klines)
#特殊
#self.monitor_open = False
#self.on_run(klines) #会产生order
#盈利与损失
#klines转态与account 是否匹配
self.update_data(klines)
profit = self.hold_pos
pos = self.hold_pos
balance = self.manager.get_balance()
#account 监控
if (profit < self.calc_max_loss(pos)):
self.create_loss_exit_task()
elif (profit > self.calc_max_gain(pos)):
self.create_profit_exit_task()
#监控 数量
if (abs(pos) > abs(self.calc_max_postion(pos))):
self.create_monitor_position_task()
#监控资金曲线
self.monitor_capital_curve(klines)
self.monitor_key_price(klines)
self.monitor_key_hour(klines)
self.monitor_event(klines)
self.monitor_limiter(klines)
#实时调整
self.monitor_trade_direction(klines)
self.monitor_trade_price(klines)
self.run_task(klines)
def on_bar(self, klines):
StrategyBase.on_bar(self, klines)
if (self.run_flag == False):
return
lt = self.get_real_time()
s_checksum = pplib.get_checksum(klines, 2, 5)
cur_bar = self.get_current_minute_bar()
self.cur_bar = cur_bar
if (lt.tm_min%2==0 and self.cur_bar>2):
self.on_bar_2(klines)
if (lt.tm_min%5==0 and self.cur_bar>5):
self.on_bar_5(klines)
# bigbang
#break
# 窄幅
#===============================================#
if (self.market_mode == 0):
self.make_trade_daliy(klines)
elif (self.market_mode == 1):
self.make_break(klines)
self.monitor_position(klines)
def on_bar(self, klines):
StrategyBase.on_bar(self, klines)
if (self.run_flag == False):
return
#开仓过滤
if (self.wait_open() == True):
return
#防止跳空
if (self.check_open_condition()):
return
if (self.boll_top != 0 and self.position >= 0
and self.ask_price >= self.boll_top):
if (self.boll_trade_dir == TradeDirection.BUYONLY
and self.position > 0):
self.set_position(0)
self.debug("平多")
else:
self.set_position(-1)
self.debug("开空")
elif (self.boll_bottom != 0 and self.position <= 0
and self.ask_price <= self.boll_bottom):
if (self.boll_trade_dir == TradeDirection.SELLONLY
and self.position > 0):
self.set_position(0)
self.debug("平空")
else:
self.set_position(1)
self.debug("开多")
def on_bar(self, klines):
if (self.run_flag == False):
return
if (self.init_flag == False):
self.mark_start_id = klines.iloc[-1].id
self.init_flag = True
StrategyBase.on_bar(self, klines)
self.cur_bar = self.get_current_minute_bar()
if (self.position == 0 and self.done_flag == False):
if (self.level == 1):
self.level_1(klines)
elif (self.level == 2):
self.level_2(klines)
elif (self.level == 3):
self.level_3(klines)
'''
lt = time.localtime(time.time())
# 开仓时间
if (lt.tm_hour == 9 and lt.tm_min < 30 or
lt.tm_hour == 21 and lt.tm_min < 30):
if(self.position == 0):
self.open_time(klines, ask_price, bid_price)
if (self.position != 0):
hest_inday = self.indictor.get_hest_inday()
lest_inday = self.indictor.get_lest_inday()
open_inday = self.indictor.get_open_inday()
if (open_inday-klines.iloc[-1].close - open_inday > 30):
self.stop()
#
'''
if (self.position != 0):
self.done_flag = True
#出场-时间、空间
#cur_bar = self.get_current_minute_bar()
hest_bar = pplib.get_highest_bar_today_fix(klines)
#if ((self.cur_bar-self.entry_bar>90) or (self.cur_bar_id-hest_bar>30)):
if ((self.cur_bar - self.entry_bar > 90)):
l_checksum = pplib.get_checksum(klines, 17, 2)
if (abs(l_checksum) < 4):
self.debug("持仓时间过长")
self.set_position(0)
if (self.position != 0):
atr_day = self.indictor.get_atr_daily()
if (atr_day is None):
atr_day = 45
else:
atr_day = atr_day - 10
if (self.ask_price - self.entry_price > atr_day):
self.set_position(0)
elif (self.ask_price - self.entry_price < -10):
avg_p = pplib.get_average(klines, 12)
if (avg_p - self.entry_price < -20):
self.set_position(0)
def on_bar(self, klines):
StrategyBase.on_bar(self, klines)
if (self.run_flag == False or self.skip_flag == True):
return
tmp_position = self.position
lt = self.get_real_time()
self.cur_bar = self.get_current_minute_bar()
ma15 = pplib.get_avg_price(klines, 18)
if (self.cur_bar < 10):
return
if (self.low_range_flag == True and ma15 > self.hh_3day
and self.position <= 0):
tmp_position = 1
elif (self.low_range_flag == True and ma15 < self.ll_3day
and self.position >= 0):
tmp_position = 0
if (self.continue_flag == False and self.position <= 0):
if (self.last_red_or_green == -1):
if (self.lastday_close - self.ask_price > 20):
tmp_position = 1
elif (self.lastday_close - self.ask_price > 15
and self.cur_bar > 30):
tmp_position = 1
elif (self.cur_bar > 60):
downs = pplib.get_count_of_less(klines, 60)
if (downs > 50):
tmp_position = 1
elif (self.continue_flag == True):
if (self.lastday_close - self.ask_price > 20):
tmp_position = 1
elif (self.lastday_close - self.ask_price > 15
and self.cur_bar > 30):
tmp_position = 1
elif (self.cur_bar > 60):
downs = pplib.get_count_of_less(klines, 60)
if (downs > 30):
tmp_position = 1
if (self.position > 0 and self.ask_price >= self.lastday_high + 15):
tmp_position = 0
if (self.position > 0 and self.entry_price - self.ask_price > 41):
tmp_position = 0
elif (self.position > 0 and self.ask_price - self.entry_price > 25):
tmp_position = 0
if (tmp_position != self.position):
if (self.check_order(10)):
self.set_position(tmp_position)
def on_bar(self, klines):
StrategyBase.on_bar(self, klines)
if (self.run_flag == False
or self.trade_dir == TradeDirection.INVALID):
return
lt = self.get_real_time()
if (lt.tm_hour == 9 and lt.tm_sec <= 20):
return
cur_bar = self.get_current_minute_bar()
if (self.cond_up_count < 15):
self.cond_up_count = 15
if (self.cond_down_count < 15):
self.cond_down_count = 15
self.on_self_bar(klines, self.cond_up_count, self.cond_down_count, 1,
cur_bar)
def on_bar(self, klines):
if (self.run_flag == False):
return
StrategyBase.on_bar(self, klines)
if (self.skip_open() == True):
return
if (self.init_flag == False):
self.init_data(klines)
lt = self.get_real_time()
cur_bar = self.get_current_minute_bar()
self.cur_bar = cur_bar
open_inday = klines.iloc[-cur_bar].open
#print(time_to_str(klines.iloc[-cur_bar].datetime), klines.iloc[-cur_bar].open)
#最近两个高点、低点
m_opens = pplib.get_M_opens(klines, 20)
w_opens = pplib.get_W_opens(klines, 20)
#高低点 差值
m_size = 0
if (m_opens is not None):
m_size = len(m_opens)
w_size = 0
if (w_opens is not None):
w_size = len(w_opens)
#bar_id, count_of_nearest_less = pplib.get_count_of_nearest_less(klines, 5, cur_bar)
#bar_id, count_of_nearest_greater = pplib.get_count_of_nearest_greater(klines, 5, cur_bar)
self.w_size = w_size
self.m_size = m_size
self.w_opens = w_opens
self.m_opens = m_opens
if (lt.tm_min % 15 == 0):
self.analyze()
if (lt.tm_min % 5 == 0):
self.on_bar5(klines)
self.make_trade(klines)
if (self.position != 0):
self.monitor_position(klines)
def on_bar(self, klines):
if (self.run_flag == False):
return
if (self.mark_start_bar == 0):
self.mark_start_bar = klines.iloc[-1].id
StrategyBase.on_bar(self, klines)
#self.cur_bar = self.get_current_minute_bar()
if (self.position == 0 and self.done_flag == False):
if (self.level == 1):
self.level_1(klines)
elif(self.level == 2):
self.level_2(klines)
elif(self.level == 3):
self.level_3(klines)
if (self.position != 0):
#出场-时间、空间
self.done_flag = True
cur_bar = self.get_current_minute_bar()
if ((cur_bar-self.entry_bar>90)):#不用替换_fix
l_checksum = pplib.get_checksum(klines, 25, 2)
if (abs(l_checksum) < 5):
self.set_position(0)
if (self.position != 0):
atr_day = self.indictor.get_atr_daily()
if (atr_day is None):
atr_day = 45
else:
atr_day = atr_day - 10
if (self.entry_price - self.ask_price > atr_day):
self.debug("空止盈")
self.set_position(0)
elif(self.ask_price-self.entry_price > 10):
avg_p = pplib.get_average(klines, 12)
if (avg_p-self.entry_price > 20):
self.debug("空止损")
self.set_position(0)
def on_bar(self, klines):
StrategyBase.on_bar(self, klines)
cur_bar = self.get_current_minute_bar()
s_checksum = pplib.get_checksum(klines, 10, 1)
l_checksum = pplib.get_checksum(klines, 50, 0)
self.ma5 = pplib.get_avg_price(klines, 6)
tmp_position = self.position
self.hh_inday, self.hh_inday_bar = pplib.get_highest_bar_today2(
klines) #可以不用替换_fix
self.ll_inday, self.ll_inday_bar = pplib.get_lowest_bar_today2(klines)
# big bang + top、bottom
#long top、bottom
if (abs(self.hh_inday - self.hh_100) < 20 and self.position >= 0):
#if (cur_bar - self.hh_inday_bar > 30):
if (self.hh_inday_bar > 30):
tmp_position = -1
if (self.hh_inday - self.ma5 > 30): #bigbang
tmp_position = -1
if (abs(self.ll_inday - self.ll_100) < 20 and self.position <= 0):
#if (cur_bar - self.ll_inday_bar > 30):
if (self.ll_inday_bar > 30):
tmp_position = 1
if (self.ma5 - self.ll_inday > 30): #bigbang
tmp_position = 1
#######################
# 突破
tmp = self.find_breakout(klines)
if (tmp != 0):
tmp_position = tmp
else:
tmp = self.find_goback(klines)
if (tmp != 0):
tmp_position = tmp
'''
tmp_cond_flag = self.cond_flag
ret = self.find_trend(klines)
if (ret == 1): # 趋势
tmp_cond_flag = 1
elif(ret == -1):
tmp_cond_flag = -1
else:
ret = self.find_breakout(klines)
if (ret != 0): #突破
tmp_cond_flag = ret
else:
ret = self.find_goback(klines) #回归
pass
if (self.cond_flag != tmp_cond_flag):
self.cond_flag = tmp_cond_flag
self.cond_mark_bar = cur_bar
if (self.cond_flag != 0 and (cur_bar - self.cond_mark_bar > 3)):
if (abs(s_checksum)):
if (self.cond_flag > 0 and self.position <= 0):
tmp_position = 1
elif (self.cond_flag < 0 and self.position >=0):
self.debug("")
tmp_position = -1
'''
# ping
if (self.position > 0):
if (self.entry_price - self.ma5 > abs(self.MAX_LOSS)):
self.debug("多止....")
tmp_position = 0
elif (cur_bar - self.entry_bar > 120 and abs(s_checksum) < 5):
ups = pplib.get_count_of_greater(klines, cur_bar)
if (ups > 30):
self.debug("时间止")
tmp_position = 0
elif (self.ask_price - self.entry_bar > self.MAX_PROFIT
and abs(s_checksum) < 5):
tmp_position = 0
self.debug("止盈。。。。")
elif (self.position < 0):
if (self.ma5 - self.entry_price > abs(self.MAX_LOSS)):
self.debug("空止....")
tmp_position = 0
elif (cur_bar - self.entry_bar > 120 and abs(s_checksum) < 5):
downs = pplib.get_count_of_less(klines, cur_bar)
if (downs > 30):
self.debug("时间止")
tmp_position = 0
elif (self.entry_bar - self.ask_price > self.MAX_PROFIT
and abs(s_checksum) < 5):
tmp_position = 0
self.debug("止盈。。。。")
if (tmp_position != self.position):
if (tmp_position > 0 and self.check_open_order(1, 20)):
self.info5("开仓间隔控制")
elif (tmp_position < 0 and self.check_open_order(-1, 20)):
self.info5("开仓间隔控制")
else:
self.set_position(tmp_position)
def on_bar(self, klines):
StrategyBase.on_bar(self, klines)
#if (self.run_flag == False or self.hh <= 0 or self.ll <= 0):
if (self.run_flag == False):
return
#lt = time.localtime(time.time())
self.cur_bar = self.get_current_minute_bar()
lt = self.get_real_time()
tmp_position = self.position
if (self.inited == False):
#init
self.init()
if (self.inited == False):
self.debug("not init")
return
if (self.trade_dir != TradeDirection.BUYONLY
and self.trade_dir != TradeDirection.SELLONLY):
return
#===============make==================#
if (self.position == 0 and self.step == 0):
if (self.trade_dir == TradeDirection.BUYONLY):
tmp_position = 1
elif (self.trade_dir == TradeDirection.SELLONLY):
tmp_position = -1
if (self.position == 0 and self.step == 1):
if (self.trade_dir == TradeDirection.BUYONLY):
if (self.entry_price - self.ask_price > 10):
tmp_position = 1
else:
ck_sum10 = pplib.get_checksum(klines, 11, 1)
ma3 = pplib.get_average(klines, 4)
hh_20 = pplib.get_hest_in_range(klines, 1, 31)
if (abs(ck_sum10) < 5 and hh_20 - ma3 > 15):
tmp_position = 1
elif (self.trade_dir == TradeDirection.SELLONLY):
if (self.entry_price - self.ask_price > 10):
tmp_position = -1
else:
ck_sum10 = pplib.get_checksum(klines, 11, 1)
ma3 = pplib.get_average(klines, 4)
ll_20 = pplib.get_lest_in_range(klines, 1, 31)
if (abs(ck_sum10) < 5 and ma3 - hh_20 > 15):
tmp_position = -1
elif (self.position == 0 and self.step == 2):
pass
#==================exit===========================#
if (self.position == 1):
if (self.cur_bar - self.entry_bar > 5
and self.bid_price - self.entry_price >= self.MAX_EARN):
tmp_position = 0
'''
my_avg_price = pplib.get_avg_price(klines, 10)
if (self.entry_bar > 10 and my_avg_price < self.avg_price):
tmp_position = 0
'''
if (self.hh != 0 and self.ask_price >= self.hh):
tmp_position = 0
self.hh += 20
if (self.position == -1):
if (self.cur_bar - self.entry_bar > 5
and self.entry_price - self.bid_price >=
self.MAX_EARN): # 达到最大profit
tmp_position = 0
'''
my_avg_price = pplib.get_avg_price(klines, 10)
if (self.entry_bar > 10 and my_avg_price > self.avg_price):
tmp_position = 0
'''
if (self.ll != 0 and self.ask_price <= self.ll):
tmp_position = 0
self.ll -= 20
if (tmp_position != self.position):
self.set_position(tmp_position)
#===================check==========================#
if (self.cur_bar_id - self.start_bar_id > 10): #// 不符合rush条件
my_avg_price = pplib.get_avg_price(klines, 10)
if (self.trade_dir == TradeDirection.SELLONLY
and my_avg_price > self.mark_price):
self.stop()
if (self.trade_dir == TradeDirection.BUYONLY
and my_avg_price < self.mark_price):
self.stop()
if (self.position != 0):
self.monitor_position(klines)
def on_bar(self, klines):
if (self.run_flag == False or self.key_price == 0):
return
StrategyBase.on_bar(self, klines)
if (abs(self.ask_price - self.key_price) > 30 and self.mark_bar == 0):
return
#lt = self.get_real_time()
if (self.mark_bar != 0 and self.init_price_state == 1): #上云盖
cur_bar = self.get_current_minute_bar()
hh = pplib.get_hest_in_range(self, 1, 30)
#阻击
if (cur_bar - self.mark_bar < 30 and self.position != -1):
#c_sum_10 = pplib.get_checksum(klines, 10, 1)
#avg_10 = pplib.get_avg_price(klines, 10)
if (cur_bar - self.mark_bar < 5 and hh - self.ask_price < 20):
avg_6 = pplib.get_avg_price(klines, 6)
c_sum_8 = pplib.get_checksum(klines, 8, 1)
if (abs(avg_6 - self.key_price) < 10):
self.set_position(-1)
elif (cur_bar - self.mark_bar > 5
and hh - self.ask_price < 20):
avg_6 = pplib.get_avg_price(klines, 6)
c_sum_10 = pplib.get_checksum(klines, 10, 1)
if (self.key_price - avg_6 > -5
and self.key_price - avg_6 < 14
and abs(c_sum_10) < 4):
self.set_position(-1)
#顺势
elif (cur_bar - self.mark_bar > 30 and self.position != 1):
c_sum_10 = pplib.get_checksum(klines, 10, 1)
avg_10 = pplib.get_avg_price(klines, 10)
if (avg_10 > self.key_price and abs(c_sum_10) < 4):
self.set_position(1)
if (self.mark_bar != 0 and self.init_price_state == -1): #上云盖
cur_bar = self.get_current_minute_bar()
ll = pplib.get_lest_in_range(self, 1, 30)
#阻击
if (cur_bar - self.mark_bar < 30 and self.position != 1):
#c_sum_10 = pplib.get_checksum(klines, 10, 1)
#avg_10 = pplib.get_avg_price(klines, 10)
if (cur_bar - self.mark_bar < 5 and ll - self.ask_price < 20):
avg_6 = pplib.get_avg_price(klines, 6)
c_sum_8 = pplib.get_checksum(klines, 8, 1)
if (abs(avg_6 - self.key_price) < 10 and abs(c_sum_8) < 4):
self.set_position(1)
elif (cur_bar - self.mark_bar > 5
and ll - self.ask_price < 20):
avg_6 = pplib.get_avg_price(klines, 6)
c_sum_10 = pplib.get_checksum(klines, 10, 1)
if (avg_6 - self.key_price > -5
and avg_6 - self.key_price < 14
and abs(c_sum_10) < 4):
self.set_position(1)
#顺势
elif (cur_bar - self.mark_bar > 30 and self.position != -1):
c_sum_10 = pplib.get_checksum(klines, 10, 1)
avg_10 = pplib.get_avg_price(klines, 10)
if (avg_10 < self.key_price and abs(c_sum_10) < 4):
self.set_position(1)
if (self.cur_bar > 10):
self.check_key_price(klines)
def on_bar(self, klines):
StrategyBase.on_bar(self, klines)
lt = self.get_real_time()
self.cur_bar_time = klines.iloc[-1].datetime
self.cur_bar = self.get_current_minute_bar()
#==================================#
if (self.init_flag == False):
self.init_data(klines)
#================test==============#
'''
self.debug("cur_bar=%d"%(self.cur_bar))
if (klines.iloc[-1].id - klines.iloc[-33].id > 30):
self.debug(">30")
else:
self.debug("<30")
'''
self.avg_overs = self.avg_recorder.bars_of_over(klines)
self.avg_unders = self.avg_recorder.bars_of_under(klines)
tmp_last_crossdown_bar = self.last_crossdown_bar
self.last_crossdown_bar = self.avg_recorder.get_last_cross_under(
klines, 2)
if (tmp_last_crossdown_bar != self.last_crossdown_bar):
kp = KPCrossUnderAvgLine()
kp.bar = self.cur_bar
kp.score = self.last_crossover_bar
tmp_last_crossover_bar = self.last_crossover_bar
self.last_crossover_bar = self.avg_recorder.get_last_cross_over(
klines, 2)
if (tmp_last_crossover_bar != self.last_crossover_bar):
kp = KPCrossOverAvgLine()
kp.bar = self.cur_bar
kp.score = self.last_crossdown_bar
self.s_checksum = get_checksum(klines, self.short_term, 1)
self.l_checksum = get_checksum(klines, self.long_term, 1)
self.hh_long = get_hest_in_range(klines, 0, 60) #长期的高
self.hh_shor = get_hest_in_range(klines, 0, 30) #短期的高
self.ma5 = pplib.get_avg_price(klines, 5)
#更新 最高最低
if (klines.iloc[-1].close > self.hest_inday):
self.hest_inday = klines.iloc[-1].close
self.hest_bar_inday = self.get_current_minute_bar()
if (klines.iloc[-1].close < self.lest_inday):
self.lest_inday = klines.iloc[-1].close
self.lest_bar_inday = self.get_current_minute_bar()
if (self.open_price == 0 and self.cur_bar > 1):
self.open_price = pplib.get_open_today(klines, 1)
if (self.UpdateTradeInterval >= 1
and lt.tm_min % self.UpdateTradeInterval == 0):
self.update_trand_indictor()
elif (self.UpdateTradeInterval == 0):
self.update_trand_indictor()
self.count_of_nearest_less = pplib.get_count_of_nearest_less(
klines, 5, 50)
self.count_of_nearest_greater = pplib.get_count_of_nearest_greater(
klines, 5, 50)
self.downs_of_this = pplib.get_count_of_less(klines, self.cur_bar)
self.overs_of_this = pplib.get_count_of_greater(klines, self.cur_bar)
if (self.hest_bar_inday < 60): #近期新高
if (self.Long_HH < self.hest_inday):
self.trade_worning = 0
if (lt.tm_min % 4 == 0 and lt.tm_sec == 0):
self.my_print("kpi=%d" % (self.score))
#==============================================#
self.generate_indicator_event(klines)
#==============================================#
if (lt.tm_min % 5 == 0 and self.cur_bar > 0):
self.on_bar_5(klines)
if (self.cur_bar_id % 10 == 0 and self.cur_bar > 0):
self.on_bar_10(klines)
if (lt.tm_min % 30 == 0 and lt.tm_min == 1 and self.cur_bar > 60):
self.on_bar_30(klines)
def on_bar(self, klines):
StrategyBase.on_bar(self, klines)
def on_bar(self, klines):
StrategyBase.on_bar(self, klines)
#if (self.run_flag == False or self.hh <= 0 or self.ll <= 0):
self.generate_indicator(klines)
if (self.run_flag == False):
return
if (self.cur_bar < 10):
return
height8 = pplib.get_height_in_range(klines, 1, 10)
cksum = pplib.get_checksum(klines, 10, 1)
l_height = pplib.get_height_in_range(klines, 1, 30)
l_cksum = pplib.get_checksum(klines, 30, 1)
pre_height8 = pplib.get_height_in_range(klines, 4, 4+8)
overs = self.get_avg_overs()
unders = self.get_avg_unders()
greaters = pplib.get_count_of_greater(klines, self.cur_bar)
lesses = pplib.get_count_of_less(klines, self.cur_bar)
self.greaters = greaters
self.lesses = lesses
if (height8 < 15 and abs(cksum) < 3):
self.debug("height8=%d cksum=%d"%(height8, cksum))
if (l_height< 20 and abs(l_cksum) < 5):
self.debug("l_height=%d l_cksum=%d"%(l_height, l_cksum))
'''
if (greaters > 30):
self.last_greaters = overs
else:
if (self.last_greaters > 60):
self.last_lesses = lesses
if (self.last)
self.add_event()
if (downs > 30):
self.last_downs = downs
else:
if (self.last_downs>60 and overs > 5):
self.last_downs =
if (overs > 2 and self.last_downs > 30):
pass
if (downs > 2 and self.last_overs > 30):
pass
'''
lt = self.get_real_time()
tmp_position = self.position
#===============make==================#
#一、根据均线上线
if (self.ask_price<self.avg_price and self.position <= 0):
kpi_daily = self.get_kpi_daily()
cond = False
if (unders > 15 and overs/unders > 1.3):
cond = True
if (kpi_daily > 10):
cond = True
else:
cond = False
if (abs(cksum) < 4 and self.avg_price-self.ask_price<20):
if (cond == True):
self.debug("under avg open......")
tmp_position = 1
self.make_type = 1
self.hh = self.ask_price + self.RUSH_PROFIT
elif(self.position<0):
tmp_position = 0 #有漏洞
elif (self.ask_price > self.avg_price and self.position >=0):
kpi_daily = self.get_kpi_daily()
cond = False
if (unders > 15 and overs/unders > 1.3):
cond = True
if (kpi_daily < -10):
cond = True
else:
cond = False
if (abs(cksum) < 4 and self.ask_price-self.avg_price<20):
if (cond == True):
self.debug("over avg open......")
tmp_position = -1
self.make_type = 1
self.ll = self.ask_price - self.RUSH_PROFIT
elif(self.position>0):
tmp_position = 0 #有漏洞
#二、根据突破
last_cru_avg = self.get_last_avg_crossdown()
last_cro_avg = self.get_last_avg_crossover()
kpi_daily = self.get_kpi_daily()
if (((last_cro_avg > 38 and last_cro_avg<last_cru_avg)
or(kpi_daily > 35 and greaters > 120))
and self.position <=0):
if (self.last_greaters > 60 and greaters > 4 and self.cur_bar_id - self.last_greaters_mark_bar < 30):
my_kpi = self.get_kpi_myself()
dist = self.cur_bar_id - self.last_greaters_mark_bar
#短 连续
if (kpi_daily > 35 and greaters>self.last_greaters and dist>3 and dist<10):
self.hh = self.ask_price + self.BREAK_PROFIT2
tmp_position = 1
self.make_type = 2
self.debug("连续。。。。")
if (tmp_position != 1 and kpi_daily>30 and dist>15):
height12 = 100
rang = self.cur_bar_id - self.last_greaters_mark_bar
if (rang > 2):
height12 = pplib.get_height_in_range(klines, 1, 15)
if (height12<14 and abs(cksum)<3):
self.hh = self.ask_price + self.BREAK_PROFIT1
tmp_position = 1
self.make_type = 2
self.debug("横盘 等待 break...")
if (tmp_position != 1 and self.last_greaters > 240):
if (greaters > self.last_greaters and greaters > 5 and greaters < 30):
tmp_position = 1
self.make_type = 2
self.debug("长突破。。")
if (((last_cro_avg > 38 and last_cro_avg<last_cru_avg) #条件1
or (kpi_daily<-35 and lesses > 120))
and self.position >=0):
if (self.last_lesses > 60 and lesses > 4 and self.cur_bar_id - self.last_lesses_mark_bar < 30):
my_kpi = self.get_kpi_myself()
dist = self.cur_bar_id - self.last_lesses_mark_bar
#短 连续
if (kpi_daily < -35 and lesses>self.last_lesses and dist>3 and dist<10):
self.ll = self.ask_price - self.BREAK_PROFIT2
tmp_position = -1
self.make_type = 2
self.debug("连续。。。。")
if (tmp_position != 1 and kpi_daily>30 and dist>15):
height12 = 100
rang = self.cur_bar_id - self.last_greaters_mark_bar
if (rang > 2):
height12 = pplib.get_height_in_range(klines, 1, 15)
if (height12<14 and abs(cksum)<3):
self.ll = self.ask_price - self.BREAK_PROFIT1
tmp_position = -1
self.make_type = 2
self.debug("横盘 等待 break...")
if (tmp_position != 1 and self.last_lesses > 240):
if (lesses > self.last_greaters and greaters > 5 and greaters < 30):
tmp_position = -1
self.make_type = 2
self.debug("长突破。。")
self.ll = self.ask_price - self.BREAK_PROFIT1
#长 高度小
#三、出现长横盘
#四、开盘来一发
if (self.cur_bar < 30):
if (kpi_daily > 35 and self.position <=0):
open_p = self.get_open_price()
if (open_p-self.ask_price >= 10):
tmp_position = 1
self.make_type = 4
self.debug("开盘 enter.....")
self.hh = self.ask_price+self.RUSH_PROFIT
elif (self.cur_bar>10 and lesses > 9):
tmp_position = 1
self.make_type = 4
self.debug("开盘 超时enter.....")
self.hh = self.ask_price+self.RUSH_PROFIT
if (kpi_daily < -35 and self.position >=0):
open_p = self.get_open_price()
if (self.ask_price- open_p>= 10):
tmp_position = -1
self.make_type = 4
self.ll = self.ask_price - self.RUSH_PROFIT
self.debug("开盘 enter.....")
elif (self.cur_bar>10 and lesses > 9):
tmp_position = -1
self.make_type = 4
self.ll = self.ask_price - self.RUSH_PROFIT
self.debug("开盘 超时enter.....")
#==================exit===========================#
if (self.position > 0 and self.ask_price>=self.hh):
tmp_position = 0
self.debug("arrive hh")
if (self.position < 0 and self.ask_price<=self.ll):
tmp_position = 0
self.debug("arrive ll")
if (self.position == 1):
if (self.cur_bar - self.entry_bar > 5 and self.bid_price-self.entry_price >= self.MAX_EARN):
tmp_position = 0
if (self.position == -1):
if (self.cur_bar - self.entry_bar > 5 and self.entry_price-self.bid_price >= self.MAX_EARN):# 达到最大profit
tmp_position = 0
if (self.position !=0 and self.make_type == 0):
self.monitor_position(klines, 30)
elif (self.position !=0 and self.make_type == 1):
self.monitor_position(klines, 40)
elif (self.position !=0 and self.make_type == 2):
self.monitor_position(klines, 50)
elif (self.position !=0 and self.make_type == 2):
self.monitor_position(klines, 30)
#===============================================#
#更新放后
if (self.last_greaters>40):
if (greaters == 0):
self.add_event(RecordEvent.Up, self.last_greaters, self.cur_bar_id, self.cur_bar_time)
if (self.cur_bar_id - self.last_greaters_mark_bar < 20 and lesses >5):
self.add_event(RecordEvent.DownAfterUp, lesses, self.cur_bar_id, self.cur_bar_time)
if (self.last_lesses>40):
if (lesses == 0):
self.add_event(RecordEvent.Down, self.last_lesses, self.cur_bar_id, self.cur_bar_time)
if (self.cur_bar_id - self.last_lesses_mark_bar < 20 and greaters > 5):
self.add_event(RecordEvent.UpAfterDown, greaters, self.cur_bar_id, self.cur_bar_time)
if (greaters > 30):
self.last_greaters = greaters
if (greaters > 60):
self.last_greaters_mark_bar = self.cur_bar_id
if (lesses > 30):
self.last_lesses = lesses
if (lesses > 60):
self.last_lesses_mark_bar = self.cur_bar_id
#===================================#
if (tmp_position != self.position):
if (self.check_order(5)):
self.set_position(tmp_position)
else:
self.debug("间隔检测 false")
def on_bar(self, klines):
StrategyBase.on_bar(self, klines)
if (self.run_flag == False):
return
cur_bar = self.get_current_minute_bar()
avg_price = get_avg_price(klines, 5)
s_checksum = get_checksum(klines, 5, 1) # short
l_checksum = get_checksum(klines, 30, 1) # long
tmp_position = self.position
high = klines.iloc[-1].high
low = klines.iloc[-1].low
lt = self.get_real_time()
#if (lt.tm_min%2==0 and lt.tm_sec==0):
# print("[%s] avg_price=%d s_checksum=%d l_checksum=%d "%(self.TAG, avg_price, s_checksum, l_checksum))
#更新数据
if (high >= self.HH2):
self.cur_price_flag = 2
self.mark_bar = cur_bar
elif (high >= self.HH1):
self.cur_price_flag = 1
self.mark_bar = cur_bar
elif (low <= self.LL2):
self.cur_price_flag = -2
self.mark_bar = cur_bar
elif (high <= self.LL1):
self.cur_price_flag = -1
self.mark_bar = cur_bar
# 到达
if (avg_price > self.HH2):
if (self.position < 0 and abs(s_checksum) < self.STD_CHECHSUM):
tmp_position = 0
self.debug("[decision] tmp_position=0 (avg_price >self.HH2)")
self.trade_dir = TradeDirection.BUYONLY
elif (avg_price > self.HH1 and abs(s_checksum) < 5):
if (self.position == 0 and abs(s_checksum) < 5):
tmp_position = -1
self.debug("[decision] tmp_position=-1 (avg_price > self.HH1)")
elif (avg_price < self.LL2):
if (self.position == 1 and abs(s_checksum) < 5):
tmp_position = 0
self.debug("[decision] tmp_position=0 (avg_price < self.LL2)")
self.trade_dir = TradeDirection.SELLONLY
elif (avg_price < self.LL1 and abs(s_checksum) < 5):
if (self.position <= 0):
tmp_position = 1
self.debug("[decision] tmp_position=1 (avg_price < self.LL1)")
#出场
#均线到达
if (self.cur_price_flag >= 1 and cur_bar - self.mark_bar > 2):
if (self.position > 0 and avg_price > self.HH1
and avg_price < self.HH2):
tmp_position = 0
self.debug("[decision] tmp_position=0 (多屏)")
elif (self.cur_price_flag <= -1 and cur_bar - self.mark_bar > 2):
if (self.position < 0 and avg_price < self.LL1
and avg_price > self.LL2):
tmp_position = 0
self.debug("[decision] tmp_position=0 (空瓶)")
#
#时间过长
if (cur_bar - self.entry_bar >= self.MAX_HOLD and self.position != 0):
m_checksum = get_checksum(klines, 10, 1) # short
if (self.position > 0 and abs(m_checksum) < 2):
tmp_position = 0
self.debug("[decision] tmp_position=0 (多太长)")
if (self.position < 0 and abs(m_checksum) < 2):
tmp_position = 0
self.debug("[decision] tmp_position=0 (空太长)")
#
if (tmp_position != self.position):
self.set_position(tmp_position)
def on_bar(self, klines):
#self.debug("====1111======")
#print(self.TAG, self.run_flag)
if (self.run_flag == False):
return
StrategyBase.on_bar(self, klines)
lt = self.get_real_time()
if (lt.tm_hour == 21 and lt.tm_min < 5):
return
# update
last_crossdown_bar = self.avg_recorder.get_last_cross_under(klines, 2)
last_crossover_bar = self.avg_recorder.get_last_cross_over(klines, 2)
overs = self.avg_recorder.bars_of_over(klines)
downs = self.avg_recorder.bars_of_under(klines)
s_checksum = get_checksum(klines, self.short_term, 1)
l_checksum = get_checksum(klines, self.long_term, 1)
cur_bar = self.get_current_minute_bar()
# 弱势 提前
hh_inday, hh_bar_inday = pplib.get_highest_bar_today2(
klines) #不用替换_fix
ll_inday, ll_bar_inday = pplib.get_lowest_bar_today2(klines)
tmp_position = self.position
if (last_crossover_bar > 20):
self.cross_avg_run_flag = 1
elif (last_crossdown_bar > 20):
self.cross_avg_run_flag = -1
else:
self.cross_avg_run_flag = 0
if (lt.tm_min % 10 == 0):
msg = "[last_crossdown_bar=%d, last_crossover_bar=%d, overs=%d, downs=%d, s_checksum=%d, l_checksum=%d" % (
last_crossdown_bar, last_crossover_bar, overs, downs,
s_checksum, l_checksum)
self.info(msg)
self.debug(msg)
#过滤
#中途运行的情况
if (overs + downs < 20):
return
#开
if (self.position == 0 and lt.tm_hour <= 13):
ma10 = pplib.get_avg_price(klines, 10)
#用于区间突破 全程在线的一边
if (last_crossover_bar < last_crossdown_bar
and last_crossover_bar > 50 and ma10 > self.d_hh_3
and self.position <= 0):
self.debug("overs avg and over hh_3")
tmp_position = 1
elif (last_crossover_bar > last_crossdown_bar
and last_crossdown_bar > 50 and ma10 < self.d_ll_3
and self.position >= 0):
self.debug("downs avg and down ll_3")
tmp_position = -1
degree = self.manager.get_market_prediction()
#degree =
#数量
dif = self.avg_price - self.ask_price
if (abs(dif) <= 12 and downs / cur_bar < 0.1
and abs(s_checksum) < 5 and degree > 20):
if (last_crossover_bar < 15 and degree < 35):
tmp_position = 1
print("[%s] 多开 条件1 " % (self.TAG))
if (last_crossdown_bar < 20 and degree > 35): #均线以下
tmp_position = 1
print("[%s] 多开 条件2 " % (self.TAG))
elif (abs(dif) <= 12 and overs / cur_bar < 0.1
and abs(s_checksum) < 5 and degree < -20):
if (last_crossdown_bar < 15 and degree > -35):
tmp_position = -1
print("[%s] 空开 条件1 " % (self.TAG))
if (last_crossover_bar < 20 and degree < -35): #均线以下
tmp_position = -1
print("[%s] 空开 条件2 " % (self.TAG))
#峰度
if (overs < downs / 5 and degree < -50):
if (l_checksum < -20 and last_crossdown_bar < 5):
tmp_position = -1
print("[%s] 空开 条件3 " % (self.TAG))
elif (downs < overs / 5 and degree > 35):
if (l_checksum > 20 and last_crossover_bar < 5):
tmp_position = 1
print("[%s] 多开 条件3 " % (self.TAG))
#趋向
if (overs < downs / 2 and degree < -35 and self.position >= 0):
if (self.cross_avg_run_flag == -1 and abs(l_checksum) < 5):
#if (self.cross_avg_run_flag == -1)<5):
tmp_position = -1
self.debug("趋向 修正")
#ups = pplib.get_count_of_greater(klines, 50)
#if (ups > 30):
elif (downs < overs / 2 and degree > 35 and self.position <= 0):
if (self.cross_avg_run_flag == 1 and abs(l_checksum) < 5):
tmp_position = 1
self.debug("趋向 修正")
#修正
#或者根据degree来修正
#if (cur_bar - hh_bar_inday > 60 and ll_bar_inday < hh_bar_inday and tmp_position >0):
if (hh_bar_inday > 60 and tmp_position > 0):
tmp_position = 0
print("[%s] degree来修正 " % (self.TAG))
#if (cur_bar - ll_bar_inday > 60 and ll_bar_inday > hh_bar_inday and tmp_position<0):
if (ll_bar_inday > 60 and tmp_position < 0):
tmp_position = 0
print("[%s] degree来修正 " % (self.TAG))
#===========================================#
#*******************************************#
# 对应20200601
kpi_daily = self.get_kpi_daily()
if (kpi_daily > 35 and self.position <= 0 and overs > downs):
if (last_crossdown_bar > 3 and last_crossdown_bar < 30):
ups = pplib.get_count_of_greater(klines, 30)
if (ups >= 5):
tmp_position = 1
self.debug("kpi_daily > 35 and crossdown")
if (kpi_daily < -35 and self.position >= 0 and overs < downs):
if (last_crossover_bar > 3 and last_crossover_bar < 30):
donws = pplib.get_count_of_less(klines, 30)
if (downs >= 5):
tmp_position = -1
self.debug("kpi_daily < -35 and crossover")
#===========================================#
#*******************************************#
#平
#时间过长
if (self.cur_bar - self.entry_bar >= self.MAX_HOLD
and self.position != 0):
m_checksum = get_checksum(klines, 10, 1) # short
if (self.position > 0 and abs(m_checksum) < 2):
ups = pplib.get_count_of_greater(klines, 60)
if (ups > 30):
tmp_position = 0
print("[%s] 多平 时间过长 " % (self.TAG))
if (self.position < 0 and abs(m_checksum) < 2):
downs = pplib.get_count_of_less(klines, 60)
if (downs > 30):
tmp_position = 0
print("[%s] 空平 时间过长 " % (self.TAG))
if (self.position > 0 and last_crossdown_bar < last_crossover_bar
and self.cur_bar - self.entry_bar > 30):
ups = pplib.get_count_of_greater(klines, 50)
if (ups > 29):
tmp_position = 0
# 前高点
if (self.cur_bar - self.entry_bar > 20 and self.position > 0):
long_hh = pplib.get_hest_in_range(klines, 0, 60) #长期的高
short_hh = pplib.get_hest_in_range(klines, 0, 30) #短期的高
m_checksum = get_checksum(klines, 20, 1) # short
if (long_hh == short_hh and abs(m_checksum) <= 3):
tmp_position = 0
print("[%s] 多平 前高点 " % (self.TAG))
if (self.position > 0 and self.ask_price - self.entry_price > 48):
tmp_position = 0
self.debug("最大盈...")
if (self.position < 0 and last_crossdown_bar > last_crossover_bar
and self.cur_bar - self.entry_bar > 30):
downs = pplib.get_count_of_less(klines, 50)
if (downs > 29):
tmp_position = 0
# 前低点
if (self.cur_bar - self.entry_bar > 20 and self.position < 0):
long_ll = pplib.get_lest_in_range(klines, 0, 60) #长期的高
short_ll = pplib.get_lest_in_range(klines, 0, 30) #短期的高
m_checksum = get_checksum(klines, 20, 1) # short
if (long_ll == short_ll and abs(m_checksum) <= 3):
tmp_position = 0
print("[%s] 空平 前低点 " % (self.TAG))
if (self.position < 0 and self.entry_price - self.ask_price > 39):
tmp_position = 0
self.debug("最大盈...")
if (tmp_position != self.position):
if (tmp_position > 0):
if (self.check_open_order(1, 10)):
self.set_position(tmp_position)
elif (tmp_position < 0):
if (self.check_open_order(-1, 10)):
self.set_position(tmp_position)
else:
self.set_position(tmp_position)