class MyBollingDayStrategy(CtaTemplate):
"""基于布林通道的交易策略"""
className = 'MyBollingDayStrategy'
author = 'yuanhui'
# 策略参数
#bollWindow = 26 # 通道窗口数
entryDev = 2 # 开仓偏差
bollWindow5min = 26 # 通道窗口数
entryDev5min = 2 # 开仓偏差
bollWindow15min = 26 # 通道窗口数
entryDev15min = 2 # 开仓偏差
bollWindow30min = 52 # 通道窗口数
entryDev30min = 2 # 开仓偏差
bollWindowDay = 26 # 通道窗口数
entryDevDay = 2 # 开仓偏差
#exitDev = 1.2 # 平仓偏差
#trailingPrcnt = 0.4 # 移动止损百分比
#maWindow = 10 # 过滤用均线窗口
initDays = 33 # 初始化数据所用的天数
fixedSize = 1 # 每次交易的数量
priceTick = 0.2 # 价格最小变动
DayTrendStatus='panzhen' #DuoTou, KongTou,Panzheng
FifteenMinTrendStatus='panzhen'
FiveMinTrendStatus='panzhen'
ThirtyMinTrendStatus='panzhen'
# 5Min策略变量
bollMid = 0 # 布林带中轨
BeforebollMid=0 #上一根K线的布林线中轨
#bollStd = 0 # 布林带宽度
bollUp = 0 # 开仓上轨
Beforebollup=0 #上一根K线的布林线上轨
bollDown = 0 # 平仓下轨
beforebolldown=0 #上一根K线的布林线下轨
# 15Min策略变量
bollMid15 = 0 # 布林带中轨
BeforebollMid15=0 #上一根K线的布林线中轨
#bollStd15 = 0 # 布林带宽度
bollUp15 = 0 # 开仓上轨
Beforebollup15=0 #上一根K线的布林线上轨
bollDown15 = 0 # 平仓下轨
beforebolldown15=0 #上一根K线的布林线下轨
# 30Min策略变量
bollMid30 = 0 # 布林带中轨
BeforebollMid30=0 #上一根K线的布林线中轨
#bollStd30 = 0 # 布林带宽度
bollUp30 = 0 # 开仓上轨
Beforebollup30=0 #上一根K线的布林线上轨
bollDown30 = 0 # 平仓下轨
beforebolldown30=0 #上一根K线的布林线下轨
# 日线策略变量
bollMidDay = 0 # 布林带中轨
BeforebollMidDay=0 #上一根K线的布林线中轨
#bollStd30 = 0 # 布林带宽度
bollUpDay = 0 # 开仓上轨
BeforebollupDay=0 #上一根K线的布林线上轨
bollDownDay= 0 # 平仓下轨
beforebolldownDay=0 #上一根K线的布林线下轨
#maFilter = 0 # 均线过滤
#maFilter1 = 0 # 上一期均线
intraTradeHigh = 0 # 持仓期内的最高点
longEntry = 0 #多头开仓位置
longExit = 0 #多头平仓位置
shortEntry=0 #空头开仓位置
shortExit=0 #空头平仓位置
#上一个交易单子保本否
lastTrade_baoben=False
deal=0 # 多头平仓为正，空头平仓为
dealopen=0 # 多头开仓正，空头开仓负
orderList = [] # 保存委托代码的列表
tradedata=[]
posdata=[] #仓位信息，每次开仓成功后把trade信息加入List,平仓后删除
tradedata_boll=[] #所有的需要在布林线止损的交易单
tradedata_baoben=[] #所有的已经过了保本线的交易单
tradedata_day=[] #日线级别交易单
zhishunpercent=0.005 #每笔止损百分比
# 参数列表，保存了参数的名称
parameters = [
'bollWindowDay',
'entryDevDay',
'fixedSize',
'DayTrendStatus'
]
# 变量列表，保存了变量的名称
variables = ['inited',
'trading',
'pos',
'bollUp',
'bollDown',
'bollUp15',
'bollDown15',
'bollUp30',
'bollDown30',
'FifteenMinTrendStatus',
'FiveMinTrendStatus',
'ThirtyMinTrendStatus'
]
# 同步列表
syncList = ['pos',
'intraTradeHigh']
#----------------------------------------------------------------------
def __init__(self, ctaEngine, strategy_name, vt_symbol, setting):
"""Constructor"""
#super(MyBollingerBotStrategy, self).__init__(ctaEngine, setting)
super().__init__(ctaEngine, strategy_name, vt_symbol, setting)
self.bm5 = BarGenerator(self.on_bar, 5, self.on_5Min_bar)
self.am5 = ArrayManager(80)
self.bm15 = BarGenerator(self.on_bar, 15, self.on_15Min_bar)
self.am15 = ArrayManager(80)
self.bm30 = BarGenerator(self.on_bar, 30, self.on_30Min_bar)
self.am30 = ArrayManager(80)
#self.bmDay = BarGenerator(self.on_bar, 6, self.onDayBar,Interval.HOUR)
self.bmDay = BarGenerator(self.on_bar, 1, self.onDayBar,Interval.DAILY)
self.amDay = ArrayManager(30)
head=["datetime","BollStatus","open","close","high","low","pos","pDown","pMiddle","pUp","dealOpen"]
current_path =os.getcwd()# os.path.abspath(__file__)
write_csv_file(current_path+"\\datasig5.csv",head,None,"w")
write_csv_file(current_path+"\\datasig15.csv",head,None,"w")
write_csv_file(current_path+"\\datasig30.csv",head,None,"w")
write_csv_file(current_path+"\\datasigDay.csv",head,None,"w")
head=["datetime","orderid","tradeid","direction","offset","price","volume"]
write_csv_file(current_path+"\\datasigTrade.csv",head,None,"w")
head=["datetime","orderid","tradeid","direction","offset","price","volume","baoben"]
write_csv_file(current_path+"\\datasigPos.csv",head,None,"w")
print("self.cta_engine.capital %d",self.cta_engine.capital)
#----------------------------------------------------------------------
def caculate_pos(self,zhishun:float):
pos=0
pos=int(self.cta_engine.capital*self.zhishunpercent//zhishun)
return pos
def on_init(self):
"""初始化策略（必须由用户继承实现）"""
self.write_log(u'%s策略初始化' %self.className)
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.load_bar(self.initDays)
#for bar in initData:
# self.onBar(bar)
#self.put_event()
#----------------------------------------------------------------------
def on_start(self):
"""启动策略（必须由用户继承实现）"""
self.write_log(u'%s策略启动' %self.className)
self.put_event()
#----------------------------------------------------------------------
def on_stop(self):
"""停止策略（必须由用户继承实现）"""
self.write_log(u'%s策略停止' %self.className)
self.put_event()
#----------------------------------------------------------------------
def on_tick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
self.bm5.updateTick(tick)
#----------------------------------------------------------------------
def on_bar(self, bar: BarData):
"""收到Bar推送（必须由用户继承实现）"""
#早盘开盘前一分钟收到的多余的tick的清除
if "09:29:00" in bar.datetime.strftime("%Y-%m-%d %H:%M:%S") and "IF" in bar.symbol:
return
if "08:59:00" in bar.datetime.strftime("%Y-%m-%d %H:%M:%S"):
return
#s基于日线判断趋势过滤，因此先更新
self.bmDay.update_bar(bar)
#s基于30分钟更新
self.bm30.update_bar(bar)
# 基于15分钟更新
self.bm15.update_bar(bar)
# 基于5分钟更新
self.bm5.update_bar(bar)
'''
if self.amDay.inited:
self.onDayBar(bar)
return
else:
self.amDay.update_bar(bar)
return
'''
#判断当前5Min布林线趋势状态
if not self.am5.inited or not self.am15.inited or not self.am30.inited or not self.amDay.inited:
return
if self.bm5.window_bar !=None:
if self.bm5.window_bar.high_price > self.bollUp and self.bm5.window_bar.low_price > self.bollMid:
self.FiveMinTrendStatus='duotou'
elif self.bm5.window_bar.low_price < self.bollDown and self.bm5.window_bar.high_price < self.bollMid:
self.FiveMinTrendStatus='kongtou'
elif self.bm5.window_bar.low_price < self.bollMid and self.FiveMinTrendStatus=='duotou':
self.FiveMinTrendStatus='panzhen'
elif self.bm5.window_bar.high_price > self.bollMid and self.FiveMinTrendStatus=='kongtou':
self.FiveMinTrendStatus='panzhen'
#判断当前15Min布林线趋势状态
if self.bm15.window_bar!=None:
if self.bm15.window_bar.high_price > self.bollUp15 and self.bm15.window_bar.low_price > self.bollMid15:
self.FifteenMinTrendStatus='duotou'
elif self.bm15.window_bar.low_price < self.bollDown15 and self.bm15.window_bar.high_price < self.bollMid15:
self.FifteenMinTrendStatus='kongtou'
elif self.bm15.window_bar.low_price < self.bollMid15 and self.FifteenMinTrendStatus=='duotou':
self.FifteenMinTrendStatus='panzhen'
elif self.bm15.window_bar.high_price > self.bollMid15 and self.FifteenMinTrendStatus=='kongtou':
self.FifteenMinTrendStatus='panzhen'
#判断当前30Min布林线趋势状态
if self.bm30.window_bar!=None:
if self.bm30.window_bar.high_price > self.bollUp30 and self.bm30.window_bar.low_price > self.bollMid30:
self.ThirtyMinTrendStatus='duotou'
elif self.bm30.window_bar.low_price < self.bollDown30 and self.bm30.window_bar.high_price < self.bollMid30:
self.ThirtyMinTrendStatus='kongtou'
elif self.bm30.window_bar.low_price < self.bollMid30 and self.ThirtyMinTrendStatus=='duotou':
self.ThirtyMinTrendStatus='panzhen'
elif self.bm30.window_bar.high_price > self.bollMid30 and self.ThirtyMinTrendStatus=='kongtou':
self.ThirtyMinTrendStatus='panzhen'
#判断当前日线布林线趋势状态
if self.bmDay.window_bar!=None:
if self.bmDay.window_bar.high_price > self.bollUpDay and self.bmDay.window_bar.low_price > self.bollMidDay:
self.DayTrendStatus='duotou'
elif self.bmDay.window_bar.low_price < self.bollDownDay and self.bmDay.window_bar.high_price < self.bollMidDay:
self.DayTrendStatus='kongtou'
elif self.bmDay.window_bar.low_price < self.bollMidDay and self.DayTrendStatus=='duotou':
self.DayTrendStatus='panzhen'
elif self.bmDay.window_bar.high_price > self.bollMidDay and self.DayTrendStatus=='kongtou':
self.DayTrendStatus='panzhen'
'''
if self.pos == 0:
#self.intraTradeHigh = bar.high
orderList=[]
if self.DayTrendStatus=='duotou' and self.ThirtyMinTrendStatus!="panzhen" and self.FifteenMinTrendStatus=='duotou' and self.FiveMinTrendStatus=='duotou':
#self.longEntry = bar.close
self.cancelAll()
orderList=self.buy(bar.close+self.priceTick, self.fixedSize, True)
print (u"策略：%s,委托多单，1分钟收盘价开仓"%self.__dict__["name"])
elif self.DayTrendStatus=='kongtou' and self.ThirtyMinTrendStatus!="panzhen" and self.FifteenMinTrendStatus=='kongtou' and self.FiveMinTrendStatus=='kongtou':
#self.shortEntry = bar.close
self.cancelAll()
orderList=self.short( bar.close-self.priceTick, self.fixedSize, True)
print (u"策略：%s,委托空单，1分钟收盘价开仓"%self.__dict__["name"])
'''
#print (u'策略:',self.__dict__["name"])
#print (u"策略：%s,时间：%s,1分钟刷新，5分钟趋势%s,15分钟趋势%s,30分钟趋势%s,日线趋势%s"%(self.__dict__["name"],bar.datetime,self.FiveMinTrendStatus,self.FifteenMinTrendStatus,self.ThirtyMinTrendStatus,self.DayTrendStatus))
self.put_event()
#----------------------------------------------------------------------
def on_5Min_bar(self, bar: BarData):
"""收到5分钟K线"""
if not self.am5.inited or not self.am15.inited or not self.am30.inited or not self.amDay.inited:
self.am5.update_bar(bar)
return
#计算上一个k线的布林中轨，上轨，下轨
self.BeforebollMid=self.am5.sma(self.bollWindow5min)
self.Beforebollup,self.beforebolldown=self.am5.boll(self.bollWindow5min,self.entryDev5min)
# 保存K线数据
self.am5.update_bar(bar)
# 撤销之前发出的尚未成交的委托（包括限价单和停止单）
#self.cancel_all()
orderList=[]
# 计算指标数值
self.bollMid = self.am5.sma(self.bollWindow5min)
self.bollUp,self.bollDown = self.am5.boll(self.bollWindow5min,self.entryDev5min)
#判断当前5Min布林线趋势状态
if bar.high_price > self.Beforebollup and bar.low_price > self.BeforebollMid:
self.FiveMinTrendStatus='duotou'
elif bar.low_price < self.beforebolldown and bar.high_price < self.BeforebollMid:
self.FiveMinTrendStatus='kongtou'
elif bar.low_price < self.BeforebollMid and self.FiveMinTrendStatus=='duotou':
self.FiveMinTrendStatus='panzhen'
elif bar.high_price > self.BeforebollMid and self.FiveMinTrendStatus=='kongtou':
self.FiveMinTrendStatus='panzhen'
'''
if bar.high > self.bollMid15 and self.FifteenMinTrendStatus == 'kongtou':
self.FifteenMinTrendStatus=='panzhen'
if bar.low < self.bollMid15 and self.FifteenMinTrendStatus == 'duotou':
self.FifteenMinTrendStatus=='panzhen'
'''
# 判断是否要进行交易
#print (u"策略：%s,5分钟刷新，趋势状态,5分钟趋势%s,15分钟趋势%s,30分钟趋势%s,日线趋势%s"%(self.className,self.FiveMinTrendStatus,self.FifteenMinTrendStatus,self.ThirtyMinTrendStatus,self.DayTrendStatus))
# 当前无仓位，发送OCO开仓委托
'''
if self.pos == 0:
#self.intraTradeHigh = bar.high
#多头处理
if self.DayTrendStatus=='duotou' and self.ThirtyMinTrendStatus!="panzhen" and self.FifteenMinTrendStatus!='duotou' :
orderList=self.buy(self.bollUp15+self.priceTick, self.fixedSize, True)
print (u"策略：%s,委托多单，15分钟上轨开仓"%self.__dict__["name"])
elif self.DayTrendStatus=='duotou' and self.ThirtyMinTrendStatus=="panzhen" :
orderList=self.buy(self.bollUp30+self.priceTick, self.fixedSize, True)
print (u"策略：%s,委托多单，30分钟上轨开仓"%self.__dict__["name"])
elif self.DayTrendStatus=='duotou' and self.ThirtyMinTrendStatus!="panzhen" and self.FifteenMinTrendStatus=='duotou' and self.FiveMinTrendStatus=='duotou':
self.longEntry = bar.close
orderList=self.buy(self.longEntry+self.priceTick, self.fixedSize, True)
print (u"策略：%s,委托多单，5分钟收盘价开仓"%self.__dict__["name"])
elif self.DayTrendStatus=='duotou' and self.ThirtyMinTrendStatus!="panzhen" and self.FifteenMinTrendStatus=='duotou' and self.FiveMinTrendStatus!='duotou':
self.longEntry=self.bollUp
orderList=self.buy(self.longEntry+self.priceTick, self.fixedSize, True)
print (u"策略：%s,委托多单，5分钟上轨开仓"%self.__dict__["name"])
#空头处理
elif self.DayTrendStatus=='kongtou' and self.ThirtyMinTrendStatus!="panzhen" and self.FifteenMinTrendStatus!='kongtou' :
orderList=self.short(self.bollDown15-self.priceTick, self.fixedSize, True)
print (u"策略：%s,委托空单，15分钟下轨开仓"%self.__dict__["name"])
elif self.DayTrendStatus=='kongtou' and self.ThirtyMinTrendStatus=="panzhen" :
orderList=self.short(self.bollDown30-self.priceTick, self.fixedSize, True)
print (u"策略：%s,委托空单，30分钟下轨开仓"%self.__dict__["name"])
elif self.DayTrendStatus=='kongtou' and self.ThirtyMinTrendStatus!="panzhen" and self.FifteenMinTrendStatus=='kongtou' and self.FiveMinTrendStatus=='kongtou':
self.shortEntry = bar.close
orderList=self.short(self.shortEntry-self.priceTick, self.fixedSize, True)
print (u"策略：%s,委托空单，5分钟收盘价开仓"%self.__dict__["name"])
elif self.DayTrendStatus=='kongtou' and self.ThirtyMinTrendStatus!="panzhen" and self.FifteenMinTrendStatus=='kongtou' and self.FiveMinTrendStatus!='kongtou':
self.shortEntry=self.bollDown
orderList=self.short(self.shortEntry-self.priceTick, self.fixedSize, True)
print (u"策略：%s,委托空单，5分钟下轨开仓"%self.__dict__["name"])
# 持有多头仓位
elif self.pos > 0:
orderList=self.sell(self.bollDown-self.priceTick, abs(self.pos), True)
print (u"策略：%s,委托止损单，5分钟下轨平仓"%self.__dict__["name"])
# 持有空头仓位
elif self.pos < 0:
orderList=self.cover(self.bollUp+self.priceTick, abs(self.pos), True)
print (u"策略：%s,委托止损单，5分钟上轨平仓"%self.__dict__["name"])
with open("datasig5.csv","ab+",) as csvfile:
writer = csv.writer(csvfile)
writer.writerow([bar.datetime,bar.open, bar.close, bar.high, bar.low,bar.openInterest,bar.volume,self.deal,self.bollDown,self.bollUp,self.dealopen])
self.deal=0
self.dealopen=0
if orderList:
print (u"策略：%s,委托单成功,单号%s"%(self.__dict__["name"],orderList[-1]))
#else:
# print u"策略：%s,委托单失败"%self.__dict__["name"]
# 发出状态更新事件
'''
self.put_event()
def on_15Min_bar(self, bar: BarData):
"""15分钟K线推送"""
if not self.am15.inited or not self.am30.inited or not self.amDay.inited:
self.am15.update_bar(bar)
return
#计算上一个k线的布林中轨，上轨，下轨
self.BeforebollMid15=self.am15.sma(self.bollWindow15min)
self.Beforebollup15,self.beforebolldown15=self.am15.boll(self.bollWindow15min,self.entryDev15min)
self.am15.update_bar(bar)
# 计算指标数值
self.bollMid15 = self.am15.sma(self.bollWindow15min)
self.bollUp15,self.bollDown15 = self.am15.boll(self.bollWindow15min,self.entryDev15min)
#判断当前15Min布林线趋势状态
if bar.high_price > self.Beforebollup15 and bar.low_price > self.BeforebollMid15:
self.FifteenMinTrendStatus='duotou'
elif bar.low_price < self.beforebolldown15 and bar.high_price < self.BeforebollMid15:
self.FifteenMinTrendStatus='kongtou'
elif bar.low_price < self.BeforebollMid15 and self.FifteenMinTrendStatus=='duotou':
self.FifteenMinTrendStatus='panzhen'
elif bar.high_price > self.BeforebollMid15 and self.FifteenMinTrendStatus=='kongtou':
self.FifteenMinTrendStatus='panzhen'
#with open("datasig15.csv","ab+",) as csvfile:
# writer = csv.writer(csvfile)
#writer.writerow([bar.datetime,bar.open_price, bar.close_price, bar.high_price, bar.low_price,bar.open_interest,bar.volume,self.deal,self.bollDown15,self.bollUp15,self.dealopen])
#print (u"策略:%s,15分钟刷新，趋势状态,5分钟趋势%s,15分钟趋势%s,30分钟趋势%s,日线趋势%s"%(self.className,self.FiveMinTrendStatus,self.FifteenMinTrendStatus,self.ThirtyMinTrendStatus,self.DayTrendStatus))
#print u"15分钟收盘价",self.am15.closeArray[75:]
# 当前无仓位，发送OCO开仓委托
'''
if self.pos == 0:
self.intraTradeHigh = bar.high
if self.FifteenMinTrendStatus=='panzhen':
self.longEntry = self.bollUp15
self.shortEntry=self.booldown15
self.buy(self.longEntry, self.fixedSize, True)
self.short(self.shortEntry,self.fixedSize,True)
'''
# 发出状态更新事件
self.put_event()
def on_30Min_bar(self, bar: BarData):
"""30分钟K线推送"""
if not self.am30.inited or not self.amDay.inited:
self.am30.update_bar(bar)
return
#计算上一个k线的布林中轨，上轨，下轨
self.BeforebollMid30=self.am30.sma(self.bollWindow30min)
self.Beforebollup30,self.beforebolldown30=self.am30.boll(self.bollWindow30min,self.entryDev30min)
self.am30.update_bar(bar)
# 计算指标数值
self.bollMid30 = self.am30.sma(self.bollWindow30min)
self.bollUp30,self.bollDown30 = self.am30.boll(self.bollWindow30min,self.entryDev30min)
#判断当前30Min布林线趋势状态
if bar.high_price > self.Beforebollup30 and bar.low_price > self.BeforebollMid30:
self.ThirtyMinTrendStatus='duotou'
elif bar.low_price < self.beforebolldown30 and bar.high_price < self.BeforebollMid30:
self.ThirtyMinTrendStatus='kongtou'
elif bar.low_price < self.BeforebollMid30 and self.ThirtyMinTrendStatus=='duotou':
self.ThirtyMinTrendStatus='panzhen'
elif bar.high_price > self.BeforebollMid30 and self.ThirtyMinTrendStatus=='kongtou':
self.ThirtyMinTrendStatus='panzhen'
'''
self.cancel_all()
#开平仓位置
self.intraTradeHigh = bar.high_price
self.longEntry = self.bollUp30+self.priceTick
self.longExit=self.bollDown30-self.priceTick
self.shortEntry=self.bollDown30-self.priceTick
self.shortExit=self.bollUp30+self.priceTick
zhishun=self.bollUp30-self.bollDown30
volume=self.caculate_pos(zhishun)
#volume=self.fixedSize
#pos=self.posdata[-1]
if (self.pos==0 and len(self.posdata)>0) or (not self.pos==0 and len(self.posdata)==0):
print(u"仓位self.pos和仓位列表self.posdata不匹配")
import sys
sys.exit(1)
if self.pos==0: #无仓位
if self.ThirtyMinTrendStatus=='panzhen' and self.DayTrendStatus=='duotou':
self.buy(self.longEntry, volume, True)
elif self.ThirtyMinTrendStatus=='panzhen' and self.DayTrendStatus=='kongtou':
self.short(self.shortEntry,volume,True)
else: #有仓位
#最后一个单子为开仓单，判断是否保本了
trade=self.tradedata[-1]
if trade.offset==Offset.OPEN:
if ( self.bollDown30 >trade.price and trade.direction==Direction.LONG) or (self.bollUp30 <trade.price and trade.direction==Direction.SHORT):
self.lastTrade_baoben=True
self.posdata[-1].baoben=True
if trade.offset==Offset.CLOSE or self.lastTrade_baoben==True: #最后一个交易为平仓单，发送开仓单在布林线上下轨
if self.ThirtyMinTrendStatus=='panzhen' and self.DayTrendStatus=='duotou':
self.buy(self.longEntry, volume, True)
elif self.ThirtyMinTrendStatus=='panzhen' and self.DayTrendStatus=='kongtou':
self.short(self.shortEntry,volume,True)
#需要在布林线上下轨止损的单子，重新发出止损单子
# 最后一笔交易为多头仓位，没有保本，在下轨止损
elif trade.offset==Offset.OPEN and (trade.direction==Direction.LONG and self.posdata[-1].baoben==False):
orderList=self.sell(max(self.longExit,self.bollMidDay), trade.volume, True)
#print (u"策略：%s,委托止损单，30分钟下轨平仓"%self.className)
# 最后一笔交易为空头仓位，没有保本，在上轨止损
elif trade.offset==Offset.OPEN and (trade.direction==Direction.SHORT and self.posdata[-1].baoben==False):
orderList=self.cover(min(self.bollMidDay,self.shortExit), trade.volume, True)
#print (u"策略：%s,委托止损单，30分钟上轨平仓"%self.className)
#需要在保本位置设置止损的交易单，重新发出止损单子
#if self.lastTrade_baoben==True:
i=0
while i <len(self.posdata):
volume=self.posdata[i].volume
if self.posdata[i].baoben==True:
if self.posdata[i].direction==Direction.LONG:
orderList=self.sell(max(self.posdata[i].price,self.bollMidDay), volume, True)
#print (u"策略：%s,委托止损单，保本价格平仓"%self.className)
elif self.posdata[i].direction==Direction.SHORT:
orderList=self.cover(min(self.posdata[i].price,self.bollMidDay), volume, True)
#print (u"策略：%s,委托止损单，保本价格平仓"%self.className)
i=i+1
#需要在日线中轨止损的单子，需要在新的日线中轨处发出止损单
current_path =os.getcwd()# os.path.abspath(__file__)
bardata=[bar.datetime,self.ThirtyMinTrendStatus,bar.open_price, bar.close_price, bar.high_price, bar.low_price,bar.open_interest,bar.volume,self.pos,self.bollDown30,self.bollUp30,self.dealopen]
write_csv_file(current_path+"\\datasig30.csv",None,bardata,"a+")
#print(u"时间：",bar.datetime)
#print (u"策略:%s,30分钟刷新，趋势状态,5分钟趋势%s,15分钟趋势%s,30分钟趋势%s,日线趋势%s"%(self.className,self.FiveMinTrendStatus,self.FifteenMinTrendStatus,self.ThirtyMinTrendStatus,self.DayTrendStatus))
#print (u"30分钟收盘价",self.am30.close_array[60:])
'''
# 发出状态更新事件
self.put_event()
def onDayBar(self, bar: BarData):
"""日K线推送"""
t1=str(bar.datetime)
t2=str(datetime(2016,1,28,21,0,0))
if t2 in t1:
i=0
if not self.amDay.inited:
self.amDay.update_bar(bar)
return
#计算上一个k线的布林中轨，上轨，下轨
self.BeforebollMidDay=self.amDay.sma(self.bollWindowDay)
self.BeforebollupDay,self.beforebolldownDay=self.amDay.boll(self.bollWindowDay,self.entryDevDay)
self.amDay.update_bar(bar)
# 计算指标数值
self.bollMidDay = self.amDay.sma(self.bollWindowDay)
self.bollUpDay,self.bollDownDay = self.amDay.boll(self.bollWindowDay,self.entryDevDay)
#判断当前日线布林线趋势状态
if bar.high_price > self.BeforebollupDay and bar.low_price > self.BeforebollMidDay:
self.DayTrendStatus='duotou'
elif bar.low_price < self.beforebolldownDay and bar.high_price < self.BeforebollMidDay:
self.DayTrendStatus='kongtou'
elif bar.low_price < self.BeforebollMidDay and self.DayTrendStatus=='duotou':
self.DayTrendStatus='panzhen'
elif bar.high_price > self.BeforebollMidDay and self.DayTrendStatus=='kongtou':
self.DayTrendStatus='panzhen'
'''
if (self.pos==0 and len(self.tradedata_day)>0) or ( self.pos!=0 and len(self.tradedata_day)==0):
print(u"仓位self.pos和仓位列表self.tradedata_day")
import sys
sys.exit(1)
'''
self.intraTradeHigh = bar.high_price
self.longEntry = self.bollUpDay+self.priceTick
self.longExit=self.bollMidDay-self.priceTick
self.shortEntry=self.bollDownDay-self.priceTick
self.shortExit=self.bollMidDay+self.priceTick
#需要在日线中轨止损的单子，需要在新的日线中轨处发出止损单
self.cancel_all()
#if len(self.tradedata_day)>0:
if self.pos!=0:
if self.pos>0:
orderList=self.sell(self.longExit, self.pos, True)
print (u"策略：%s,委托止损单，日线中轨平仓"%self.className)
else:
orderList=self.cover(self.shortExit, abs(self.pos), True)
print (u"策略：%s,委托止损单，日线中轨平仓"%self.className)
'''
i=0
volume=0
while i <len(self.tradedata_day):
volume=self.tradedata_day[i].volume
if self.tradedata_day[i].direction==Direction.LONG:
orderList=self.sell(self.longExit, volume, True)
print (u"策略：%s,委托止损单，日线中轨平仓"%self.className)
elif self.tradedata_day[i].direction==Direction.SHORT:
orderList=self.cover(self.shortExit, volume, True)
print (u"策略：%s,委托止损单，日线中轨平仓"%self.className)
i=i+1
'''
zhishun=(self.bollUpDay-self.bollDownDay)/2
volume=self.caculate_pos(zhishun)
#日线盘整，上下轨开仓
if self.DayTrendStatus=="panzhen" and self.pos==0 and volume!=0:#len(self.tradedata_day)==0:
self.cancel_all()
orderList=[]
orderList=self.buy(self.bollUpDay+self.priceTick, volume, True)
print (u"策略：%s,委托多单，日线上轨开仓"%self.className)
if orderList:
print (u"策略：%s,委托单成功,单号%s"%(self.className,orderList[-1]))
else:
print (u"策略：%s,委托单失败"%self.className)
orderList=[]
orderList=self.short(self.bollDownDay-self.priceTick, volume, True)
print (u"策略：%s,委托空单，日线下轨开仓"%self.className)
if orderList:
print (u"策略：%s,委托单成功,单号%s"%(self.className,orderList[-1]))
else:
print (u"策略：%s,委托单失败"%self.className )
bardata=[bar.datetime,self.DayTrendStatus,bar.open_price, bar.close_price, bar.high_price, bar.low_price,self.pos,int(self.bollDownDay),int(self.bollMidDay),int(self.bollUpDay),self.dealopen]
write_csv_file(os.getcwd()+"\\datasigDay.csv",None,bardata,"a+")
print(u"日线刷新---------------")
print(u"时间(日线刷新)：",bar.datetime)
print (u"策略:%s,日线刷新，趋势状态,日线趋势%s,15分钟趋势%s,30分钟趋势%s,5分钟趋势%s"%(self.className,self.DayTrendStatus,self.FifteenMinTrendStatus,self.ThirtyMinTrendStatus,self.FiveMinTrendStatus))
#print (u"日线开盘价",self.amDay.open_array[1:])
#print (u"日线收盘价",self.amDay.close_array[1:])
#print(u"日线刷新---------------")
# 发出状态更新事件
self.put_event()
#----------------------------------------------------------------------
def on_order(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
if order.offset==Offset.CLOSE:
print("new order")
pass
#----------------------------------------------------------------------
def on_trade(self, trade):
#打印信息
print(u"成交单刷新---------------")
print(u"时间(日线刷新)：",trade.datetime)
print ("策略:%s,趋势状态,日线趋势%s,15分钟趋势%s,30分钟趋势%s,5分钟趋势%s"%(self.className,self.DayTrendStatus,self.FifteenMinTrendStatus,self.ThirtyMinTrendStatus,self.FiveMinTrendStatus))
print (u"策略：%s, 委托单成交"%self.className)
print (trade.direction)
print (trade.offset)
#print "15min:",self.FifteenMinTrendStatus
#print "5min:",self.FiveMinTrendStatus
current_path =os.getcwd()# os.path.abspath(__file__)
#head=["datetime","orderid","tradeid","direction","offset","price","volume"]
#所有交易单保存下来
self.tradedata.append(trade)
#开仓成功加入仓位list,平仓成功，删除最后加仓的仓位
self.cancel_all()
if trade.offset==Offset.OPEN:
self.tradedata_day.append(trade)
self.tradedata_day[-1].baoben==False
self.lastTrade_baoben=False
if trade.offset==Offset.CLOSE:
#self.cancel_all()
if len(self.tradedata_day)>0:
self.tradedata_day.pop()
if len(self.posdata)>=1: #这一单平仓后，仓位list中还有仓位，说明上一个仓位是已经保本的仓位i
self.lastTrade_baoben=True
else:
#清空
head=["datetime","orderid","tradeid","direction","offset","price","volume","baoben"]
write_csv_file(current_path+"\\datasigPos.csv",head,None,"w")
'''
#成交单是保本的平仓单需要,判断标准一，这次和上次都是平仓单
if self.tradedata[-1].offset==Offset.CLOSE and self.tradedata[-2].offset==offset.CLOSE:
self.tradedata_baoben.pop
#成交单是保本的平仓单，判断标准二，这次是平仓单，上次是开仓单，同时保本表示为True
if (self.tradedata[-1].offset==Offset.CLOSE and self.tradedata[-2].offset==offset.OPEN) and self.lastTrade_baoben==True:
self.tradedata_baoben.pop
'''
#保存到文件
tradedata=[trade.datetime,trade.orderid,trade.tradeid,trade.direction,trade.offset,trade.price,trade.volume]
write_csv_file(current_path+"\\datasigTrade.csv",None,tradedata,"a+")
#写入仓位保存文件
head=["datetime","orderid","tradeid","direction","offset","price","volume","baoben"]
# write_csv_file(current_path+"datasigPos.csv",head,None,"w")
i=0
while i <len(self.posdata):
posdata=[self.posdata[i].datetime,self.posdata[i].orderid,self.posdata[i].tradeid,self.posdata[i].direction,self.posdata[i].offset,self.posdata[i].price,self.posdata[i].volume,self.posdata[i].baoben]
if i==0:
write_csv_file(current_path+"\\datasigPos.csv",head,None,"w") #开仓成功后先取消掉还有的挂单，主要针对的是日线的双向挂单
write_csv_file(current_path+"\\datasigPos.csv",None,posdata,"a+")
i=i+1
#if self.pos!=0:
# self.cancel_all()
# 发出状态更新事件
orderList=[]
if trade.offset==Offset.OPEN and trade.direction==Direction.LONG: #多头成交，设置止损单
orderList=self.sell(self.bollMidDay-self.priceTick, trade.volume, True)
print (u"委托止损单，日线中轨平仓")
if orderList:
print( u"委托单成功单号",orderList)
else :
print (u"委托单失败")
elif trade.offset==Offset.OPEN and trade.direction==Direction.SHORT: #空头成交，设置止损单
orderList=self.cover(self.bollMidDay+self.priceTick, trade.volume, True)
print (u"委托止损单，日线中轨平仓")
if orderList:
print( u"委托单成功单号",orderList)
else :
print (u"委托单失败")
elif trade.offset==Offset.CLOSE:
zhishun=(self.bollUpDay-self.bollDownDay)/2
volume=self.caculate_pos(zhishun)
#日线盘整，上下轨开仓
if self.pos==0 and volume!=0:#len(self.tradedata_day)==0:
self.cancel_all()
orderList=[]
orderList=self.buy(self.bollUpDay+self.priceTick, volume, True)
print (u"策略：%s,委托多单，日线上轨开仓"%self.className)
if orderList:
print (u"策略：%s,委托单成功,单号%s"%(self.className,orderList[-1]))
else:
print (u"策略：%s,委托单失败"%self.className)
orderList=[]
orderList=self.short(self.bollDownDay-self.priceTick, volume, True)
print (u"策略：%s,委托空单，日线下轨开仓"%self.className)
if orderList:
print (u"策略：%s,委托单成功,单号%s"%(self.className,orderList[-1]))
else:
print (u"策略：%s,委托单失败"%self.className )
#更新周期状态
if trade.offset==Offset.OPEN:
if trade.direction==Direction.LONG:
self.dealopen=1
self.DayTrendStatus="duotou"
self.FifteenMinTrendStatus='duotou'
self.FiveMinTrendStatus='duotou'
self.ThirtyMinTrendStatus='duotou'
else:
self.dealopen=-1
self.DayTrendStatus="kongtou"
self.FifteenMinTrendStatus='kongtou'
self.FiveMinTrendStatus='kongtou'
self.ThirtyMinTrendStatus='kongtou'
if trade.offset==Offset.CLOSE:
if trade.direction==Direction.LONG:
self.ThirtyMinTrendStatus='kongtou'
self.DayTrendStatus="panzhen"
self.deal=1
else:
self.deal=-1
self.put_event()
#----------------------------------------------------------------------
def on_stop_order(self, so):
"""停止单推送"""
pass
class MyBollingStrategy(CtaTemplate):
"""基于布林通道的交易策略"""
className = 'MyBollingerBotStrategy'
author = 'yuanhui'
# 策略参数
#bollWindow = 26 # 通道窗口数
entryDev = 2 # 开仓偏差
bollWindow5min = 26 # 通道窗口数
entryDev5min = 2 # 开仓偏差
bollWindow15min = 26 # 通道窗口数
entryDev15min = 2 # 开仓偏差
bollWindow30min = 52 # 通道窗口数
entryDev30min = 2 # 开仓偏差
bollWindowDay = 26 # 通道窗口数
entryDevDay = 2 # 开仓偏差
#exitDev = 1.2 # 平仓偏差
#trailingPrcnt = 0.4 # 移动止损百分比
#maWindow = 10 # 过滤用均线窗口
initDays = 15 # 初始化数据所用的天数
fixedSize = 1 # 每次交易的数量
priceTick = 0.2 # 价格最小变动
DayTrendStatus = 'panzhen' #DuoTou, KongTou,Panzheng
FifteenMinTrendStatus = 'panzhen'
FiveMinTrendStatus = 'panzhen'
ThirtyMinTrendStatus = 'panzhen'
# 5Min策略变量
bollMid = 0 # 布林带中轨
BeforebollMid = 0 #上一根K线的布林线中轨
#bollStd = 0 # 布林带宽度
bollUp = 0 # 开仓上轨
Beforebollup = 0 #上一根K线的布林线上轨
bollDown = 0 # 平仓下轨
beforebolldown = 0 #上一根K线的布林线下轨
# 15Min策略变量
bollMid15 = 0 # 布林带中轨
BeforebollMid15 = 0 #上一根K线的布林线中轨
#bollStd15 = 0 # 布林带宽度
bollUp15 = 0 # 开仓上轨
Beforebollup15 = 0 #上一根K线的布林线上轨
bollDown15 = 0 # 平仓下轨
beforebolldown15 = 0 #上一根K线的布林线下轨
# 30Min策略变量
bollMid30 = 0 # 布林带中轨
BeforebollMid30 = 0 #上一根K线的布林线中轨
#bollStd30 = 0 # 布林带宽度
bollUp30 = 0 # 开仓上轨
Beforebollup30 = 0 #上一根K线的布林线上轨
bollDown30 = 0 # 平仓下轨
beforebolldown30 = 0 #上一根K线的布林线下轨
# 日线策略变量
bollMidDay = 0 # 布林带中轨
BeforebollMidDay = 0 #上一根K线的布林线中轨
#bollStd30 = 0 # 布林带宽度
bollUpDay = 0 # 开仓上轨
BeforebollupDay = 0 #上一根K线的布林线上轨
bollDownDay = 0 # 平仓下轨
beforebolldownDay = 0 #上一根K线的布林线下轨
#maFilter = 0 # 均线过滤
#maFilter1 = 0 # 上一期均线
intraTradeHigh = 0 # 持仓期内的最高点
longEntry = 0 #多头开仓位置
longExit = 0 #多头平仓位置
shortEntry = 0 #空头开仓位置
shortExit = 0 #空头平仓位置
#上一个交易单子保本否
lastTrade_baoben = False
deal = 0 # 多头平仓为正，空头平仓为
dealopen = 0 # 多头开仓正，空头开仓负
orderList = [] # 保存委托代码的列表
tradedata = []
tradedata_boll = [] #所有的需要在布林线止损的交易单
tradedata_baoben = [] #所有的已经过了保本线的交易单
tradedata_day = [] #所有的需要在日线布林中轨止损的交易单
# 参数列表，保存了参数的名称
parameters = [
'bollWindow5min', 'bollWindow15min', 'bollWindow30min', 'entryDev',
'initDays', 'fixedSize', 'DayTrendStatus'
]
# 变量列表，保存了变量的名称
variables = [
'inited', 'trading', 'pos', 'bollUp', 'bollDown', 'bollUp15',
'bollDown15', 'bollUp30', 'bollDown30', 'FifteenMinTrendStatus',
'FiveMinTrendStatus', 'ThirtyMinTrendStatus'
]
# 同步列表
syncList = ['pos', 'intraTradeHigh']
#----------------------------------------------------------------------
def __init__(self, ctaEngine, strategy_name, vt_symbol, setting):
"""Constructor"""
#super(MyBollingerBotStrategy, self).__init__(ctaEngine, setting)
super().__init__(ctaEngine, strategy_name, vt_symbol, setting)
self.bm5 = BarGenerator(self.on_bar, 5, self.on_5Min_bar)
self.am5 = ArrayManager(80)
self.bm15 = BarGenerator(self.on_bar, 15, self.on_15Min_bar)
self.am15 = ArrayManager(80)
self.bm30 = BarGenerator(self.on_bar, 30, self.on_30Min_bar)
self.am30 = ArrayManager(80)
self.bmDay = BarGenerator(self.on_bar, 9, self.onDayBar, Interval.HOUR)
self.amDay = ArrayManager(30)
head = [
"datetime", "BollStatus", "open", "close", "high", "low",
"openInterest", "volume", "deal", "pDown", "pUp", "dealOpen"
]
write_csv_file("datasig5.csv", head, None, "w")
write_csv_file("datasig15.csv", head, None, "w")
write_csv_file("datasig30.csv", head, None, "w")
write_csv_file("datasigDay.csv", head, None, "w")
head = [
"datetime", "orderid", "tradeid", "direction", "offset", "price",
"volume"
]
write_csv_file("datasigTrade.csv", head, None, "w")
#----------------------------------------------------------------------
def on_init(self):
"""初始化策略（必须由用户继承实现）"""
self.write_log(u'%s策略初始化' % self.className)
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.load_bar(self.initDays)
#for bar in initData:
# self.onBar(bar)
#self.put_event()
#----------------------------------------------------------------------
def on_start(self):
"""启动策略（必须由用户继承实现）"""
self.write_log(u'%s策略启动' % self.className)
self.put_event()
#----------------------------------------------------------------------
def on_stop(self):
"""停止策略（必须由用户继承实现）"""
self.write_log(u'%s策略停止' % self.className)
self.put_event()
#----------------------------------------------------------------------
def on_tick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
self.bm5.updateTick(tick)
#----------------------------------------------------------------------
def on_bar(self, bar: BarData):
"""收到Bar推送（必须由用户继承实现）"""
#早盘开盘前一分钟收到的多余的tick的清除
if "09:29:00" in bar.datetime.strftime(
"%Y-%m-%d %H:%M:%S") and "IF" in bar.symbol:
return
if "08:59:00" in bar.datetime.strftime("%Y-%m-%d %H:%M:%S"):
return
#s基于日线判断趋势过滤，因此先更新
self.bmDay.update_bar(bar)
#s基于30分钟更新
self.bm30.update_bar(bar)
# 基于15分钟更新
self.bm15.update_bar(bar)
# 基于5分钟更新
self.bm5.update_bar(bar)
#判断当前5Min布林线趋势状态
if not self.am5.inited or not self.am15.inited or not self.am30.inited or not self.amDay.inited:
return
if self.bm5.window_bar != None:
if self.bm5.window_bar.high_price > self.bollUp and self.bm5.window_bar.low_price > self.bollMid:
self.FiveMinTrendStatus = 'duotou'
elif self.bm5.window_bar.low_price < self.bollDown and self.bm5.window_bar.high_price < self.bollMid:
self.FiveMinTrendStatus = 'kongtou'
elif self.bm5.window_bar.low_price < self.bollMid and self.FiveMinTrendStatus == 'duotou':
self.FiveMinTrendStatus = 'panzhen'
elif self.bm5.window_bar.high_price > self.bollMid and self.FiveMinTrendStatus == 'kongtou':
self.FiveMinTrendStatus = 'panzhen'
#判断当前15Min布林线趋势状态
if self.bm15.window_bar != None:
if self.bm15.window_bar.high_price > self.bollUp15 and self.bm15.window_bar.low_price > self.bollMid15:
self.FifteenMinTrendStatus = 'duotou'
elif self.bm15.window_bar.low_price < self.bollDown15 and self.bm15.window_bar.high_price < self.bollMid15:
self.FifteenMinTrendStatus = 'kongtou'
elif self.bm15.window_bar.low_price < self.bollMid15 and self.FifteenMinTrendStatus == 'duotou':
self.FifteenMinTrendStatus = 'panzhen'
elif self.bm15.window_bar.high_price > self.bollMid15 and self.FifteenMinTrendStatus == 'kongtou':
self.FifteenMinTrendStatus = 'panzhen'
#判断当前30Min布林线趋势状态
if self.bm30.window_bar != None:
if self.bm30.window_bar.high_price > self.bollUp30 and self.bm30.window_bar.low_price > self.bollMid30:
self.ThirtyMinTrendStatus = 'duotou'
elif self.bm30.window_bar.low_price < self.bollDown30 and self.bm30.window_bar.high_price < self.bollMid30:
self.ThirtyMinTrendStatus = 'kongtou'
elif self.bm30.window_bar.low_price < self.bollMid30 and self.ThirtyMinTrendStatus == 'duotou':
self.ThirtyMinTrendStatus = 'panzhen'
elif self.bm30.window_bar.high_price > self.bollMid30 and self.ThirtyMinTrendStatus == 'kongtou':
self.ThirtyMinTrendStatus = 'panzhen'
#判断当前日线布林线趋势状态
if self.bmDay.window_bar != None:
if self.bmDay.window_bar.high_price > self.bollUpDay and self.bmDay.window_bar.low_price > self.bollMidDay:
self.DayTrendStatus = 'duotou'
elif self.bmDay.window_bar.low_price < self.bollDownDay and self.bmDay.window_bar.high_price < self.bollMidDay:
self.DayTrendStatus = 'kongtou'
elif self.bmDay.window_bar.low_price < self.bollMidDay and self.DayTrendStatus == 'duotou':
self.DayTrendStatus = 'panzhen'
elif self.bmDay.window_bar.high_price > self.bollMidDay and self.DayTrendStatus == 'kongtou':
self.DayTrendStatus = 'panzhen'
'''
if self.pos == 0:
#self.intraTradeHigh = bar.high
orderList=[]
if self.DayTrendStatus=='duotou' and self.ThirtyMinTrendStatus!="panzhen" and self.FifteenMinTrendStatus=='duotou' and self.FiveMinTrendStatus=='duotou':
#self.longEntry = bar.close
self.cancelAll()
orderList=self.buy(bar.close+self.priceTick, self.fixedSize, True)
print (u"策略：%s,委托多单，1分钟收盘价开仓"%self.__dict__["name"])
elif self.DayTrendStatus=='kongtou' and self.ThirtyMinTrendStatus!="panzhen" and self.FifteenMinTrendStatus=='kongtou' and self.FiveMinTrendStatus=='kongtou':
#self.shortEntry = bar.close
self.cancelAll()
orderList=self.short( bar.close-self.priceTick, self.fixedSize, True)
print (u"策略：%s,委托空单，1分钟收盘价开仓"%self.__dict__["name"])
'''
#print (u'策略:',self.__dict__["name"])
#print (u"策略：%s,时间：%s,1分钟刷新，5分钟趋势%s,15分钟趋势%s,30分钟趋势%s,日线趋势%s"%(self.__dict__["name"],bar.datetime,self.FiveMinTrendStatus,self.FifteenMinTrendStatus,self.ThirtyMinTrendStatus,self.DayTrendStatus))
self.put_event()
#----------------------------------------------------------------------
def on_5Min_bar(self, bar: BarData):
"""收到5分钟K线"""
if not self.am5.inited or not self.am15.inited or not self.am30.inited or not self.amDay.inited:
self.am5.update_bar(bar)
return
#计算上一个k线的布林中轨，上轨，下轨
self.BeforebollMid = self.am5.sma(self.bollWindow5min)
self.Beforebollup, self.beforebolldown = self.am5.boll(
self.bollWindow5min, self.entryDev5min)
# 保存K线数据
self.am5.update_bar(bar)
# 撤销之前发出的尚未成交的委托（包括限价单和停止单）
#self.cancel_all()
orderList = []
# 计算指标数值
self.bollMid = self.am5.sma(self.bollWindow5min)
self.bollUp, self.bollDown = self.am5.boll(self.bollWindow5min,
self.entryDev5min)
#判断当前5Min布林线趋势状态
if bar.high_price > self.Beforebollup and bar.low_price > self.BeforebollMid:
self.FiveMinTrendStatus = 'duotou'
elif bar.low_price < self.beforebolldown and bar.high_price < self.BeforebollMid:
self.FiveMinTrendStatus = 'kongtou'
elif bar.low_price < self.BeforebollMid and self.FiveMinTrendStatus == 'duotou':
self.FiveMinTrendStatus = 'panzhen'
elif bar.high_price > self.BeforebollMid and self.FiveMinTrendStatus == 'kongtou':
self.FiveMinTrendStatus = 'panzhen'
'''
if bar.high > self.bollMid15 and self.FifteenMinTrendStatus == 'kongtou':
self.FifteenMinTrendStatus=='panzhen'
if bar.low < self.bollMid15 and self.FifteenMinTrendStatus == 'duotou':
self.FifteenMinTrendStatus=='panzhen'
'''
# 判断是否要进行交易
print(u"策略：%s,5分钟刷新，趋势状态,5分钟趋势%s,15分钟趋势%s,30分钟趋势%s,日线趋势%s" %
(self.className, self.FiveMinTrendStatus,
self.FifteenMinTrendStatus, self.ThirtyMinTrendStatus,
self.DayTrendStatus))
# 当前无仓位，发送OCO开仓委托
'''
if self.pos == 0:
#self.intraTradeHigh = bar.high
#多头处理
if self.DayTrendStatus=='duotou' and self.ThirtyMinTrendStatus!="panzhen" and self.FifteenMinTrendStatus!='duotou' :
orderList=self.buy(self.bollUp15+self.priceTick, self.fixedSize, True)
print (u"策略：%s,委托多单，15分钟上轨开仓"%self.__dict__["name"])
elif self.DayTrendStatus=='duotou' and self.ThirtyMinTrendStatus=="panzhen" :
orderList=self.buy(self.bollUp30+self.priceTick, self.fixedSize, True)
print (u"策略：%s,委托多单，30分钟上轨开仓"%self.__dict__["name"])
elif self.DayTrendStatus=='duotou' and self.ThirtyMinTrendStatus!="panzhen" and self.FifteenMinTrendStatus=='duotou' and self.FiveMinTrendStatus=='duotou':
self.longEntry = bar.close
orderList=self.buy(self.longEntry+self.priceTick, self.fixedSize, True)
print (u"策略：%s,委托多单，5分钟收盘价开仓"%self.__dict__["name"])
elif self.DayTrendStatus=='duotou' and self.ThirtyMinTrendStatus!="panzhen" and self.FifteenMinTrendStatus=='duotou' and self.FiveMinTrendStatus!='duotou':
self.longEntry=self.bollUp
orderList=self.buy(self.longEntry+self.priceTick, self.fixedSize, True)
print (u"策略：%s,委托多单，5分钟上轨开仓"%self.__dict__["name"])
#空头处理
elif self.DayTrendStatus=='kongtou' and self.ThirtyMinTrendStatus!="panzhen" and self.FifteenMinTrendStatus!='kongtou' :
orderList=self.short(self.bollDown15-self.priceTick, self.fixedSize, True)
print (u"策略：%s,委托空单，15分钟下轨开仓"%self.__dict__["name"])
elif self.DayTrendStatus=='kongtou' and self.ThirtyMinTrendStatus=="panzhen" :
orderList=self.short(self.bollDown30-self.priceTick, self.fixedSize, True)
print (u"策略：%s,委托空单，30分钟下轨开仓"%self.__dict__["name"])
elif self.DayTrendStatus=='kongtou' and self.ThirtyMinTrendStatus!="panzhen" and self.FifteenMinTrendStatus=='kongtou' and self.FiveMinTrendStatus=='kongtou':
self.shortEntry = bar.close
orderList=self.short(self.shortEntry-self.priceTick, self.fixedSize, True)
print (u"策略：%s,委托空单，5分钟收盘价开仓"%self.__dict__["name"])
elif self.DayTrendStatus=='kongtou' and self.ThirtyMinTrendStatus!="panzhen" and self.FifteenMinTrendStatus=='kongtou' and self.FiveMinTrendStatus!='kongtou':
self.shortEntry=self.bollDown
orderList=self.short(self.shortEntry-self.priceTick, self.fixedSize, True)
print (u"策略：%s,委托空单，5分钟下轨开仓"%self.__dict__["name"])
# 持有多头仓位
elif self.pos > 0:
orderList=self.sell(self.bollDown-self.priceTick, abs(self.pos), True)
print (u"策略：%s,委托止损单，5分钟下轨平仓"%self.__dict__["name"])
# 持有空头仓位
elif self.pos < 0:
orderList=self.cover(self.bollUp+self.priceTick, abs(self.pos), True)
print (u"策略：%s,委托止损单，5分钟上轨平仓"%self.__dict__["name"])
with open("datasig5.csv","ab+",) as csvfile:
writer = csv.writer(csvfile)
writer.writerow([bar.datetime,bar.open, bar.close, bar.high, bar.low,bar.openInterest,bar.volume,self.deal,self.bollDown,self.bollUp,self.dealopen])
self.deal=0
self.dealopen=0
if orderList:
print (u"策略：%s,委托单成功,单号%s"%(self.__dict__["name"],orderList[-1]))
#else:
# print u"策略：%s,委托单失败"%self.__dict__["name"]
# 发出状态更新事件
'''
self.put_event()
def on_15Min_bar(self, bar: BarData):
"""15分钟K线推送"""
if not self.am15.inited or not self.am30.inited or not self.amDay.inited:
self.am15.update_bar(bar)
return
#计算上一个k线的布林中轨，上轨，下轨
self.BeforebollMid15 = self.am15.sma(self.bollWindow15min)
self.Beforebollup15, self.beforebolldown15 = self.am15.boll(
self.bollWindow15min, self.entryDev15min)
self.am15.update_bar(bar)
# 计算指标数值
self.bollMid15 = self.am15.sma(self.bollWindow15min)
self.bollUp15, self.bollDown15 = self.am15.boll(
self.bollWindow15min, self.entryDev15min)
#判断当前15Min布林线趋势状态
if bar.high_price > self.Beforebollup15 and bar.low_price > self.BeforebollMid15:
self.FifteenMinTrendStatus = 'duotou'
elif bar.low_price < self.beforebolldown15 and bar.high_price < self.BeforebollMid15:
self.FifteenMinTrendStatus = 'kongtou'
elif bar.low_price < self.BeforebollMid15 and self.FifteenMinTrendStatus == 'duotou':
self.FifteenMinTrendStatus = 'panzhen'
elif bar.high_price > self.BeforebollMid15 and self.FifteenMinTrendStatus == 'kongtou':
self.FifteenMinTrendStatus = 'panzhen'
with open(
"datasig15.csv",
"ab+",
) as csvfile:
writer = csv.writer(csvfile)
#writer.writerow([bar.datetime,bar.open_price, bar.close_price, bar.high_price, bar.low_price,bar.open_interest,bar.volume,self.deal,self.bollDown15,self.bollUp15,self.dealopen])
print(u"策略:%s,15分钟刷新，趋势状态,5分钟趋势%s,15分钟趋势%s,30分钟趋势%s,日线趋势%s" %
(self.className, self.FiveMinTrendStatus,
self.FifteenMinTrendStatus, self.ThirtyMinTrendStatus,
self.DayTrendStatus))
#print u"15分钟收盘价",self.am15.closeArray[75:]
# 当前无仓位，发送OCO开仓委托
'''
if self.pos == 0:
self.intraTradeHigh = bar.high
if self.FifteenMinTrendStatus=='panzhen':
self.longEntry = self.bollUp15
self.shortEntry=self.booldown15
self.buy(self.longEntry, self.fixedSize, True)
self.short(self.shortEntry,self.fixedSize,True)
'''
# 发出状态更新事件
self.put_event()
def on_30Min_bar(self, bar: BarData):
"""30分钟K线推送"""
t1 = str(bar.datetime)
t2 = str(datetime(2016, 2, 3, 21, 0, 0))
if t2 in t1:
i = 0
if not self.am30.inited: # or not self.amDay.inited:
self.am30.update_bar(bar)
return
#计算上一个k线的布林中轨，上轨，下轨
self.BeforebollMid30 = self.am30.sma(self.bollWindow30min)
self.Beforebollup30, self.beforebolldown30 = self.am30.boll(
self.bollWindow30min, self.entryDev30min)
self.am30.update_bar(bar)
# 计算指标数值
self.bollMid30 = self.am30.sma(self.bollWindow30min)
self.bollUp30, self.bollDown30 = self.am30.boll(
self.bollWindow30min, self.entryDev30min)
#判断当前30Min布林线趋势状态
if bar.high_price > self.Beforebollup30 and bar.low_price > self.BeforebollMid30:
self.ThirtyMinTrendStatus = 'duotou'
elif bar.low_price < self.beforebolldown30 and bar.high_price < self.BeforebollMid30:
self.ThirtyMinTrendStatus = 'kongtou'
elif bar.low_price < self.BeforebollMid30 and self.ThirtyMinTrendStatus == 'duotou':
self.ThirtyMinTrendStatus = 'panzhen'
elif bar.high_price > self.BeforebollMid30 and self.ThirtyMinTrendStatus == 'kongtou':
self.ThirtyMinTrendStatus = 'panzhen'
self.cancel_all()
#开平仓位置
self.intraTradeHigh = bar.high_price
self.longEntry = self.bollUp30 + self.priceTick
self.longExit = self.bollDown30 - self.priceTick
self.shortEntry = self.bollDown30 - self.priceTick
self.shortExit = self.bollUp30 + self.priceTick
if not self.tradedata: #策略启动到现在无交易
if self.ThirtyMinTrendStatus == 'panzhen' and self.DayTrendStatus == 'duotou':
self.buy(self.longEntry, self.fixedSize, True)
elif self.ThirtyMinTrendStatus == 'panzhen' and self.DayTrendStatus == 'kongtou':
self.short(self.shortEntry, self.fixedSize, True)
else: #策略启动到现在有交易
#需要在布林线上下轨止损的但系，重新发出止损单子
trade = self.tradedata[-1]
if trade.offset == Offset.CLOSE: #最后一个交易为平仓单，发送开仓单在布林线上下轨
if self.ThirtyMinTrendStatus == 'panzhen' and self.DayTrendStatus == 'duotou':
self.buy(self.longEntry, self.fixedSize, True)
elif self.ThirtyMinTrendStatus == 'panzhen' and self.DayTrendStatus == 'kongtou':
self.short(self.shortEntry, self.fixedSize, True)
elif trade.offset == Offset.OPEN and trade.direction == Direction.LONG: # 最后一笔交易为多头仓位，发送平仓单在下轨
orderList = self.sell(self.longExit, trade.volume, True)
print(u"策略：%s,委托止损单，30分钟下轨平仓" % self.className)
elif trade.offset == Offset.OPEN and trade.direction == Direction.SHORT: # 最后一笔交易为空头仓位，发送平仓单在上轨
orderList = self.cover(self.shortExit, trade.volume, True)
print(u"策略：%s,委托止损单，30分钟上轨平仓" % self.className)
#需要在保本位置设置止损的交易单，重新发出止损单子
if len(self.tradedata_baoben) > 0:
i = 0
while i < len(self.tradedata_day):
volume = self.tradedata_baoben[i].volume
i = i + 1
if self.tradedata_baoben[i -
1].direction == Direction.LONG:
orderList = self.sell(self.tradedata_baoben[i].price,
volume, True)
print(u"策略：%s,委托止损单，保本价格平仓" % self.className)
elif self.tradedata_baoben[i -
1].direction == Direction.SHORT:
orderList = self.cover(self.tradedata_baoben[i].price,
volume, True)
print(u"策略：%s,委托止损单，保本价格平仓" % self.className)
#需要在日线中轨止损的单子，需要在新的日线中轨处发出止损单
if len(self.tradedata_day) > 0:
i = 0
volume = 0
while i < len(self.tradedata_day):
volume = self.tradedata_day[i].volume + volume
i = i + 1
if self.tradedata_day[i - 1].direction == Direction.LONG:
orderList = self.sell(self.shortExit, volume, True)
print(u"策略：%s,委托止损单，日线中轨平仓" % self.className)
elif self.tradedata_day[i - 1].direction == Direction.SHORT:
orderList = self.cover(self.shortExit, volume, True)
print(u"策略：%s,委托止损单，日线中轨平仓" % self.className)
bardata = [
bar.datetime, self.ThirtyMinTrendStatus, bar.open_price,
bar.close_price, bar.high_price, bar.low_price, bar.open_interest,
bar.volume, self.pos, self.bollDown30, self.bollUp30, self.dealopen
]
write_csv_file("datasig30.csv", None, bardata, "a+")
print(u"时间：", bar.datetime)
print(u"策略:%s,30分钟刷新，趋势状态,5分钟趋势%s,15分钟趋势%s,30分钟趋势%s,日线趋势%s" %
(self.className, self.FiveMinTrendStatus,
self.FifteenMinTrendStatus, self.ThirtyMinTrendStatus,
self.DayTrendStatus))
print(u"30分钟收盘价", self.am30.close_array[60:])
# 发出状态更新事件
self.put_event()
def onDayBar(self, bar: BarData):
"""日K线推送"""
if not self.amDay.inited:
self.amDay.update_bar(bar)
return
#计算上一个k线的布林中轨，上轨，下轨
self.BeforebollMidDay = self.amDay.sma(self.bollWindowDay)
self.BeforebollupDay, self.beforebolldownDay = self.amDay.boll(
self.bollWindowDay, self.entryDevDay)
self.amDay.update_bar(bar)
# 计算指标数值
self.bollMidDay = self.amDay.sma(self.bollWindowDay)
self.bollUpDay, self.bollDownDay = self.amDay.boll(
self.bollWindowDay, self.entryDevDay)
#判断当前日线布林线趋势状态
if bar.high_price > self.BeforebollupDay and bar.low_price > self.BeforebollMidDay:
self.DayTrendStatus = 'duotou'
elif bar.low_price < self.beforebolldownDay and bar.high_price < self.BeforebollMidDay:
self.DayTrendStatus = 'kongtou'
elif bar.low_price < self.BeforebollMidDay and self.DayTrendStatus == 'duotou':
self.DayTrendStatus = 'panzhen'
elif bar.high_price > self.BeforebollMidDay and self.DayTrendStatus == 'kongtou':
self.DayTrendStatus = 'panzhen'
#需要在日线中轨止损的单子，需要在新的日线中轨处发出止损单
if len(self.tradedata_day) > 0:
i = 0
volume = 0
while i < len(self.tradedata_day):
volume = self.tradedata_day[i].volume + volume
i = i + 1
if self.tradedata_day[i - 1].direction == Direction.LONG:
orderList = self.sell(self.shortExit, volume, True)
print(u"策略：%s,委托止损单，日线中轨平仓" % self.className)
elif self.tradedata_day[i - 1].direction == Direction.SHORT:
orderList = self.cover(self.shortExit, volume, True)
print(u"策略：%s,委托止损单，日线中轨平仓" % self.className)
'''
#日线盘整，上下轨开仓
if self.DayTrendStatus=="panzhen" and self.pos==0:
self.cancelAll()
orderList=[]
orderList=self.buy(self.bollUpDay+self.priceTick, self.fixedSize, True)
print (u"策略：%s,委托多单，日线上轨开仓"%self.__dict__["name"])
if orderList:
print (u"策略：%s,委托单成功,单号%s"%(self.__dict__["name"],orderList[-1]))
else:
print (u"策略：%s,委托单失败"%self.__dict__["name"])
orderList=[]
orderList=self.short(self.bollDownDay-self.priceTick, self.fixedSize, True)
print (u"策略：%s,委托空单，日线下轨开仓"%self.__dict__["name"])
if orderList:
print (u"策略：%s,委托单成功,单号%s"%(self.__dict__["name"],orderList[-1]))
else:
print (u"策略：%s,委托单失败"%self.__dict__["name"] )
'''
bardata = [
bar.datetime, self.DayTrendStatus, bar.open_price, bar.close_price,
bar.high_price, bar.low_price, bar.open_interest, bar.volume,
self.pos, self.bollDownDay, self.bollUpDay, self.dealopen
]
write_csv_file("datasigDay.csv", None, bardata, "a+")
print(u"时间：", bar.datetime)
print(u"策略:%s,日线刷新，趋势状态,5分钟趋势%s,15分钟趋势%s,30分钟趋势%s,日线趋势%s" %
(self.className, self.FiveMinTrendStatus,
self.FifteenMinTrendStatus, self.ThirtyMinTrendStatus,
self.DayTrendStatus))
print(u"日线开盘价", self.amDay.open_array[1:])
print(u"日线收盘价", self.amDay.close_array[1:])
# 发出状态更新事件
self.put_event()
#----------------------------------------------------------------------
def on_order(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
pass
#----------------------------------------------------------------------
def on_trade(self, trade):
#打印信息
print("策略:%s,趋势状态,5分钟趋势%s,15分钟趋势%s,30分钟趋势%s,日线趋势%s" %
(self.className, self.FiveMinTrendStatus,
self.FifteenMinTrendStatus, self.ThirtyMinTrendStatus,
self.DayTrendStatus))
print(u"策略：%s, 委托单成交" % self.className)
print(trade.direction)
print(trade.offset)
#print "15min:",self.FifteenMinTrendStatus
#print "5min:",self.FiveMinTrendStatus
#head=["datetime","orderid","tradeid","direction","offset","price","volume"]
#所有交易单保存下来
self.tradedata.append(trade)
#开仓的交易单单独保存下来到需要布林止损的list中
if trade.offset == Offset.OPEN:
self.tradedata_boll.append(trade)
#保存到文件
tradedata = [
trade.datetime, trade.orderid, trade.tradeid, trade.direction,
trade.offset, trade.price, trade.volume
]
write_csv_file("datasigTrade.csv", None, tradedata, "a+")
#开仓成功后先取消掉还有的挂单，主要针对的是日线的双向挂单
#if self.pos!=0:
# self.cancel_all()
# 发出状态更新事件
orderList = []
if trade.offset == Offset.OPEN and trade.direction == Direction.LONG: #多头成交，设置止损单
orderList = self.sell(self.bollDown30 - self.priceTick,
trade.volume, True)
print(u"委托止损单，30分钟下轨平仓")
if orderList:
print(u"委托单成功单号", orderList)
else:
print(u"委托单失败")
elif trade.offset == Offset.OPEN and trade.direction == Direction.SHORT: #空头成交，设置止损单
orderList = self.cover(self.bollUp30 + self.priceTick,
trade.volume, True)
print(u"委托止损单，30分钟上轨平仓")
if orderList:
print(u"委托单成功单号", orderList)
else:
print(u"委托单失败")
#更新周期状态
if trade.offset == Offset.OPEN:
if trade.direction == Direction.LONG:
self.dealopen = 1
self.DayTrendStatus = "duotou"
self.FifteenMinTrendStatus = 'duotou'
self.FiveMinTrendStatus = 'duotou'
self.ThirtyMinTrendStatus = 'duotou'
else:
self.dealopen = -1
self.DayTrendStatus = "kongtou"
self.FifteenMinTrendStatus = 'kongtou'
self.FiveMinTrendStatus = 'kongtou'
self.ThirtyMinTrendStatus = 'kongtou'
if trade.offset == Offset.CLOSE:
if trade.direction == Direction.LONG:
self.ThirtyMinTrendStatus = 'kongtou'
self.deal = 1
else:
self.deal = -1
self.put_event()
#----------------------------------------------------------------------
def on_stop_order(self, so):
"""停止单推送"""
pass