async def handle_ws_data(*args, **kwargs):
""" callback function
Args:
args: values
kwargs: key-values.
"""
try:
dict = {"data": ("callback param", *args)}
# print(dict['data'][1])
if "topic" in dict['data'][1]:
topic = dict['data'][1]['topic']
if "position" in topic:
if 'data' in dict['data'][1]:
data = dict['data'][1]['data'][0]
if 'contract_code' in data:
contract_code = data['contract_code']
amount = data['volume']
price = data['cost_hold']
direction = data['direction']
last = data['last_price']
leverage = data['lever_rate']
info = "【交易提醒】HUOBI交割合约持仓更新！合约ID:{} 持仓方向：{} 持仓量：{} 持仓均价：{} 最新成交价：{} 杠杆倍数：{}".format(
contract_code, direction, amount, price, last,
leverage)
if dict['data'][1]['event'] == 'order.match' or dict[
'data'][1]['event'] == 'settlement' or dict[
'data'][1]['event'] == 'order.liquidation':
push(info)
else:
if config.mongodb_console == "true":
print("callback param", *args, **kwargs)
dict = {"data": ("callback param", *args)}
storage.mongodb_save(dict, config.mongodb_database,
config.mongodb_collection)
except:
pass
def begin_trade(self, kline=None):
try:
if self.indicators.CurrentBar(kline=kline) < self.slow_length: # 如果k线数据不够长就返回
return
timestamp = ts_to_datetime_str(utctime_str_to_ts(kline[-1][0])) if kline else get_localtime() # 非回测模式下时间戳就是当前本地时间
# 计算策略信号
ma = self.indicators.MA(self.fast_length, self.slow_length, kline=kline)
fast_ma = ma[0]
slow_ma = ma[1]
cross_over = fast_ma[-2] >= slow_ma[-2] and fast_ma[-3] < slow_ma[-3] # 不用当根k线上的ma来计算信号，防止信号闪烁
cross_below = slow_ma[-2] >= fast_ma[-2] and slow_ma[-3] < fast_ma[-3]
if self.indicators.BarUpdate(kline=kline): # 如果k线更新，计数器归零
self.counter = 0
if self.counter < 1:
# 按照策略信号开平仓
if cross_over: # 金叉时
if self.position.amount() == 0: # 若当前无持仓，则买入开多并推送下单结果
price = self.market.open(-1, kline=kline) # 下单价格=此根k线收盘价
amount = round(self.total_asset / self.contract_value) # 数量=总资金/价格/合约面值
info = self.exchange.buy(price, amount)
push(info)
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp, "买入开多",
price, amount, amount * self.contract_value, price,
"long", amount, 0, self.total_profit, self.total_asset) # 将信息保存至数据库
if self.position.direction() == 'short': # 若当前持空头，先平空再开多
profit = self.position.covershort_profit(market_type="usd_contract", last=self.market.open(-1, kline=kline)) # 在平空前先计算逻辑盈亏，当前最新成交价为开盘价
self.total_profit += profit
self.total_asset += profit # 计算此次盈亏后的总资金
cover_short_price = self.market.open(-1, kline=kline)
cover_short_amount = self.position.amount()
open_long_price = self.market.open(-1, kline=kline)
open_long_amount = round(self.total_asset / self.contract_value)
info = self.exchange.BUY(cover_short_price, cover_short_amount, open_long_price, open_long_amount)
push("此次盈亏：{} 当前总资金：{}".format(profit, self.total_asset) + str(info)) # 需将返回的下单结果info转换为字符串后进行拼接
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp, "平空开多",
open_long_price, open_long_amount, open_long_amount * self.contract_value,
open_long_price, "long", open_long_amount, profit, self.total_profit, self.total_asset)
if cross_below: # 死叉时
if self.position.amount() == 0:
price = self.market.open(-1, kline=kline)
amount = round(self.total_asset / self.contract_value)
info = self.exchange.sellshort(price, amount)
push(info)
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp, "卖出开空",
price, amount, amount * self.contract_value, price,
"short", amount, 0, self.total_profit, self.total_asset)
if self.position.direction() == 'long':
profit = self.position.coverlong_profit(market_type="usd_contract", last=self.market.open(-1, kline=kline)) # 在平多前先计算逻辑盈亏，当前最新成交价为开盘价
self.total_profit += profit
self.total_asset += profit
cover_long_price = self.market.open(-1, kline=kline)
cover_long_amount = self.position.amount()
open_short_price = self.market.open(-1, kline=kline)
open_short_amount = round(self.total_asset / self.contract_value)
info = self.exchange.SELL(cover_long_price,
cover_long_amount,
open_short_price,
open_short_amount)
push("此次盈亏：{} 当前总资金：{}".format(profit, self.total_asset) + str(info))
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp, "平多开空",
open_short_price, open_short_amount,
open_short_amount * self.contract_value,
open_short_price, "short", open_short_amount, profit, self.total_profit,
self.total_asset)
# 止损
if self.position.amount() > 0:
if self.position.direction() == 'long' and self.market.low(-1, kline=kline) <= self.position.price() * self.long_stop: # 多单止损
profit = self.position.coverlong_profit(market_type="usd_contract", last=self.position.price() * self.long_stop) # 在平多前先计算逻辑盈亏，当前最新成交价为止损价
self.total_profit += profit
self.total_asset += profit
price = self.position.price() * self.long_stop
amount = self.position.amount()
info = self.exchange.sell(price, amount)
push("此次盈亏：{} 当前总资金：{}".format(profit, self.total_asset) + str(info))
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp,
"卖出止损", price, amount,
amount * self.contract_value,
0, "none", 0, profit, self.total_profit,
self.total_asset)
self.counter += 1 # 计数器加1，控制此根k线上不再下单
if self.position.direction() == 'short' and self.market.high(-1, kline=kline) >= self.position.price() * self.short_stop: # 空头止损
profit = self.position.covershort_profit(market_type="usd_contract", last=self.position.price() * self.short_stop)
self.total_profit += profit
self.total_asset += profit
price = self.position.price() * self.short_stop
amount = self.position.amount()
info = self.exchange.buytocover(price, amount)
push("此次盈亏：{} 当前总资金：{}".format(profit, self.total_asset) + str(info))
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp,
"买入止损", price, amount,
amount * self.contract_value,
0, "none", 0, profit, self.total_profit,
self.total_asset)
self.counter += 1
except:
logger.info()
def begin_trade(self, kline=None):
try: # 异常处理
if self.indicators.CurrentBar(
kline=kline) < self.bollinger_lengths: # 如果k线数据不够长就返回
return
timestamp = ts_to_datetime_str(utctime_str_to_ts(
kline[-1]
[0])) if kline else get_localtime() # 非回测模式下时间戳就是当前本地时间
if self.indicators.BarUpdate(kline=kline):
self.counter = 0 # k线更新时还原计数器
if self.out_day > 10: # 计算MA的天数最小递减到10。如果达到10，则不再递减。
self.out_day -= 1 # 自适应出场ma的长度参数根据持仓周期递减，持有头寸的时间每多一天，计算MA的天数减1
deviation = float(
self.indicators.STDDEV(self.bollinger_lengths,
nbdev=2,
kline=kline)[-1]) # 标准差
middleband = float(
self.indicators.BOLL(self.bollinger_lengths,
kline=kline)['middleband'][-1]) # 布林通道中轨
upperband = float(middleband + deviation) # 布林通道上轨
lowerband = float(middleband - deviation) # 布林通道下轨
filter = float(
self.market.close(-1, kline=kline) - self.market.close(
(self.filter_length * -1) - 1,
kline=kline)) # 过滤器：当日收盘价减去30日前的收盘价
ma = float(self.indicators.MA(self.out_day,
kline=kline)[-1]) # 自适应移动出场平均线
# 策略主体
# 若k线数据足够长，且满足过滤条件，且当根k线最高价大于等于布林通道上轨，买入开多。
# 开仓处也设置计数器过滤，是为了防止没有启用交易助手的情况下挂单未成交，仓位为零时当根k线一直满足开仓条件，会重复挂单。
if self.indicators.CurrentBar(
kline=kline
) >= self.bollinger_lengths and filter > 0 and self.market.high(
-1, kline=kline) > upperband and self.counter < 1:
if self.position.amount() == 0: # 若当前无持仓
price = upperband # 开多价格为布林通道上轨的值
amount = round(self.total_asset / upperband /
self.contract_value) # 合约张数取整
info = self.exchange.buy(price,
amount) # 买入开多，并将返回的信息赋值给变量info
push(info) # 推送信息
storage.mysql_save_strategy_run_info(
self.database, self.datasheet, timestamp, "买入开多",
price, amount, amount * price * self.contract_value,
price, "long", amount, 0, self.total_profit,
self.total_asset) # 将信息保存至数据库
self.counter += 1 # 此策略是在盘中开仓，而在回测时，每根bar只会运行一次，每根bar上的价格不分时间先后，故此处开仓后计数器加1，也就是当根k线不平仓
# 因为实盘时每个ticker进来策略就会运行一次。注意回测和实盘策略运行机制的不同。
self.out_day = self.bollinger_lengths # 开仓后赋值
# 开空
if self.indicators.CurrentBar(
kline=kline
) >= self.bollinger_lengths and filter < 0 and self.market.low(
-1, kline=kline) < lowerband and self.counter < 1:
if self.position.amount() == 0:
price = lowerband
amount = round(self.total_asset / upperband /
self.contract_value)
info = self.exchange.sellshort(price, amount)
push(info)
storage.mysql_save_strategy_run_info(
self.database, self.datasheet, timestamp, "卖出开空",
price, amount, amount * price * self.contract_value,
price, "short", amount, 0, self.total_profit,
self.total_asset)
self.counter += 1
self.out_day = self.bollinger_lengths # 开仓后赋值
# 如果当前持多，且当根k线最低价小于等于中轨值，触发保护性止损，就平多止损
# 因为回测是一根k线上运行整个策略一次，所以要实现当根k线开仓后当根k线不平仓，需要将self.counter < 1的条件加在平仓的地方
if self.position.direction() == "long" and self.market.low(
-1, kline=kline) < middleband and self.counter < 1:
profit = self.position.coverlong_profit(
last=middleband) # 此处计算平多利润时，传入最新价last为中轨值，也就是触发止损价格的那个值。
self.total_profit += profit # 计算经过本次盈亏后的总利润
self.total_asset += profit # 计算经过本次盈亏后的总资金
price = middleband # 平多价格为中轨值
amount = self.position.amount() # 平仓数量为当前持仓数量
info = self.exchange.sell(price, amount)
push(info)
self.counter += 1
storage.mysql_save_strategy_run_info(
self.database, self.datasheet, timestamp, "卖出止损", price,
amount, price * amount * self.contract_value, 0, "none", 0,
profit, self.total_profit, self.total_asset)
if self.position.direction() == "short" and self.market.high(
-1, kline=kline) > middleband and self.counter < 1:
profit = self.position.covershort_profit(last=middleband)
self.total_profit += profit
self.total_asset += profit
price = middleband
amount = self.position.amount()
info = self.exchange.buytocover(price, amount)
push(info)
self.counter += 1
storage.mysql_save_strategy_run_info(
self.database, self.datasheet, timestamp, "买入止损", price,
amount, amount * price * self.contract_value, 0, "none", 0,
profit, self.total_profit, self.total_asset)
# 平多
if self.position.direction(
) == "long" and upperband > ma > self.market.low(
-1, kline=kline) and self.counter < 1:
profit = self.position.coverlong_profit(last=ma)
self.total_profit += profit
self.total_asset += profit
price = ma # 平仓价格为自适应出场均线的值
amount = self.position.amount()
info = self.exchange.sell(price, amount)
push(info)
self.counter += 1
storage.mysql_save_strategy_run_info(
self.database, self.datasheet, timestamp, "卖出平多", price,
amount, price * amount * self.contract_value, 0, "none", 0,
profit, self.total_profit, self.total_asset)
# 平空
if self.position.direction(
) == "short" and lowerband < ma < self.market.high(
-1, kline=kline) and self.counter < 1:
profit = self.position.covershort_profit(last=ma)
self.total_profit += profit
self.total_asset += profit
price = ma
amount = self.position.amount()
info = self.exchange.buytocover(price, amount)
push(info)
self.counter += 1
storage.mysql_save_strategy_run_info(
self.database, self.datasheet, timestamp, "买入平空", price,
amount, amount * price * self.contract_value, 0, "none", 0,
profit, self.total_profit, self.total_asset)
except:
logger.error()
def begin_trade(self, kline=None):
try:
if self.indicators.CurrentBar(
kline=kline) < self.slow_length: # 如果k线数据不够长就返回
return
timestamp = ts_to_datetime_str(utctime_str_to_ts(
kline[-1]
[0])) if kline else get_localtime() # 非回测模式下时间戳就是当前本地时间
# 计算策略信号
ma = self.indicators.MA(self.fast_length,
self.slow_length,
kline=kline)
fast_ma = ma[0]
slow_ma = ma[1]
cross_over = fast_ma[-2] >= slow_ma[-2] and fast_ma[-3] < slow_ma[
-3] # 不用当根k线上的ma来计算信号，防止信号闪烁
cross_below = slow_ma[-2] >= fast_ma[-2] and slow_ma[-3] < fast_ma[
-3]
if self.indicators.BarUpdate(kline=kline): # 如果k线更新，计数器归零
self.counter = 0
if self.counter < 1:
# 按照策略信号开平仓
if cross_over and round(
self.position.amount()
) < self.precision: # 金叉时，若当前无持仓，则买入开多并推送下单结果。0.1这个数值根据每个币对的最小交易数量决定
price = float(self.market.open(
-1, kline=kline)) # 下单价格=此根k线开盘价
self.hold_price = price # 记录开仓价格
amount = float(self.total_asset / price) # 数量=总资金/价格
info = self.exchange.buy(price, amount)
push(info)
storage.mysql_save_strategy_run_info(
self.database, self.datasheet, timestamp, "买入开多",
price, amount, amount * price, price, "long", amount,
0, self.total_profit, self.total_asset) # 将信息保存至数据库
if cross_below and round(
self.position.amount(), 1
) >= self.precision: # 死叉时，如果当前持多就卖出平多。当前持仓数量根据币对的最小交易数量取小数
price = float(self.market.open(-1, kline=kline))
amount = float(self.position.amount())
profit = (price - self.hold_price) * amount # 计算逻辑盈亏
self.total_profit += profit
self.total_asset += profit
info = self.exchange.sell(price, amount)
push(info)
self.hold_price = 0 # 平多后记录持仓价格为0
storage.mysql_save_strategy_run_info(
self.database, self.datasheet, timestamp, "卖出平多",
price, amount, amount * price, 0, "none", 0, profit,
self.total_profit, self.total_asset)
# 如果当前持多且最低价小于等于持仓均价*止损幅度，触发止损，卖出平多止损
if round(self.position.amount(),
1) >= self.precision and self.market.low(
-1,
kline=kline) <= self.hold_price * self.long_stop:
price = float(self.hold_price * self.long_stop)
amount = float(self.position.amount())
profit = (price - self.hold_price) * amount # 计算逻辑盈亏
self.total_profit += profit
self.total_asset += profit
info = self.exchange.sell(price, amount)
push("此次盈亏：{} 当前总资金：{}".format(profit, self.total_asset) +
str(info))
self.hold_price = 0 # 平多后记录持仓价格为0
storage.mysql_save_strategy_run_info(
self.database, self.datasheet, timestamp, "卖出止损",
price, amount, amount * price, 0, "none", 0, profit,
self.total_profit, self.total_asset)
self.counter += 1 # 计数器加1，控制此根k线上不再下单
except Exception as e:
logger.info()
async def subscribe(url, api_key, passphrase, secret_key, channels):
while True:
try:
async with websockets.connect(url) as ws:
# login
timestamp = str(server_timestamp())
login_str = login_params(timestamp, api_key, passphrase,
secret_key)
await ws.send(login_str)
# time = get_timestamp()
# print(time + f"send: {login_str}")
res_b = await ws.recv()
res = inflate(res_b).decode('utf-8')
time = get_timestamp()
# print(time + res)
# subscribe
sub_param = {"op": "subscribe", "args": channels}
sub_str = json.dumps(sub_param)
await ws.send(sub_str)
time = get_timestamp()
# print(time + f"send: {sub_str}")
while True:
try:
res_b = await asyncio.wait_for(ws.recv(), timeout=25)
except (asyncio.TimeoutError,
websockets.exceptions.ConnectionClosed) as e:
try:
await ws.send('ping')
res_b = await ws.recv()
time = get_timestamp()
res = inflate(res_b).decode('utf-8')
# print(time + res)
continue
except Exception as e:
time = get_timestamp()
print(time + "连接关闭，正在重连……")
print(e)
break
time = get_timestamp()
res = inflate(res_b).decode('utf-8')
# print(time + res)
# 持仓更新
length = len(res)
result = eval(res)
if length > 99:
if channels[0][0:16] == "futures/position":
data = result['data'][0]
long_qty = data["long_qty"]
short_qty = data["short_qty"]
leverage = data["leverage"]
long_avg_cost = data["long_avg_cost"]
short_avg_cost = data["short_avg_cost"]
last = data["last"]
instrument_id = data['instrument_id']
info = "【交易提醒】OKEX交割合约持仓更新！合约ID:{} 多头仓位：{} 持多均价：{} 空头仓位：{} 持空均价：{} 最新成交价：{} 杠杆倍数：{}".format(
instrument_id, long_qty, long_avg_cost,
short_qty, short_avg_cost, last, leverage)
if get_localtime()[11:16] != "16:00":
push(info)
if channels[0][0:13] == "swap/position":
data = result['data'][0]['holding'][1]
data2 = result['data'][0]['holding'][0]
direction2 = data2['side']
amount2 = data2['position']
price2 = data2['avg_cost']
instrument_id = result['data'][0]['instrument_id']
direction = data['side']
amount = data['position']
price = data['avg_cost']
last = data['last']
leverage = data['leverage']
info = "【交易提醒】OKEX永续合约持仓更新！合约ID:{} 多头方向：{} 持多均价：{} 持多数量：{} 空头方向：{} 持空均价：{} 持空数量：{} 最新成交价：{} 杠杆倍数：{}".format(
instrument_id, direction2, price2, amount2,
direction, price, amount, last, leverage)
if get_localtime()[11:16] != "16:00":
push(info)
if channels[0][0:12] == "spot/account":
data = result["data"][0]
balance = data["balance"]
available = data["available"]
currency = data["currency"]
hold = data["hold"]
info = "【交易提醒】OKEX币币账户更新！币种:{} 余额：{} 冻结：{} 可用：{} ".format(
currency, balance, hold, available)
if get_localtime()[11:16] != "16:00":
push(info)
if channels[0][0:19] == "spot/margin_account":
symbol = result['data'][0]['instrument_id']
liquidation_price = result['data'][0][
'liquidation_price']
if len(symbol) == 8:
dollar_name = 'currency:{}'.format(symbol[4:8])
coin_name = 'currency:{}'.format(symbol[0:3])
elif len(symbol) == 9:
dollar_name = 'currency:{}'.format(symbol[5:9])
coin_name = 'currency:{}'.format(symbol[0:4])
else:
dollar_name = 'currency:{}'.format(
symbol[6:10])
coin_name = 'currency:{}'.format(symbol[0:5])
dollar_info = result['data'][0][dollar_name]
coin_info = result['data'][0][coin_name]
dollar_balance = dollar_info['balance']
coin_balance = coin_info['balance']
dollar_available = dollar_info['available']
coin_available = coin_info['available']
dollar_hold = dollar_info['hold']
coin_hold = coin_info['hold']
dollar_borrowed = dollar_info['borrowed']
coin_borrowed = coin_info['borrowed']
info = "【交易提醒】OKEX币币杠杆账户更新！交易对:{} 强平价：{} 计价币：【{} 余额：{} 可用：{} 冻结:{} 已借未还：{}】 交易币：【{} 余额：{} 可用：{} 冻结:{} 已借未还：{}】".format(
symbol, liquidation_price, dollar_name,
dollar_balance, dollar_available, dollar_hold,
dollar_borrowed, coin_name, coin_balance,
coin_available, coin_hold, coin_borrowed)
if get_localtime()[11:16] != "16:00":
push(info)
if channels[0][0:15] == "option/position":
data = result['data'][0]
instrument_id = data['instrument_id']
position = data['position']
avg_cost = data['avg_cost']
option_value = data['option_value']
info = "【交易提醒】OKEX期权合约持仓更新！ 合约ID:{} 净持仓数量：{} 开仓平均价：{} 期权市值：{}".format(
instrument_id, position, avg_cost,
option_value)
if get_localtime()[11:16] != "16:00":
push(info)
except Exception as e:
time = get_timestamp()
print(time + "连接断开，正在重连……")
print(e)
continue
def begin_trade(self, kline=None): # 实盘时从交易所实时获取k线数据，回测时传入自定义的kline
try:
# 如果k线数据不够长就返回
if self.indicators.CurrentBar(kline=kline) < self.fsLength:
return
# 非回测模式下时间戳就是当前本地时间
timestamp = ts_to_datetime_str(utctime_str_to_ts(kline[-1][0])) if kline else get_localtime()
# k线更新时计数器归零
if self.indicators.BarUpdate(kline=kline):
self.counter = 0
AvgTR = self.indicators.ATR(self.ATRLength, kline=kline) # 计算真实波幅
N = float(AvgTR[-2]) # N值为前一根bar上的ATR值，需将numpy.float64数据类型转换为float类型，下面的转换同理
Units = int(self.total_asset / self.contract_value / 5) # 每一份头寸大小为总资金的20%
"""计算短周期唐奇安通道"""
# 唐奇安通道上轨，延后1个Bar
DonchianHi = float(self.indicators.HIGHEST(self.boLength, kline=kline)[-2])
# 唐奇安通道下轨，延后1个Bar
DonchianLo = float(self.indicators.LOWEST(self.boLength, kline=kline)[-2])
"""计算长周期唐奇安通道"""
# 唐奇安通道上轨，延后1个Bar，长周期
fsDonchianHi = float(self.indicators.HIGHEST(self.fsLength, kline=kline)[-2])
# 唐奇安通道下轨，延后1个Bar，长周期
fsDonchianLo = float(self.indicators.LOWEST(self.fsLength, kline=kline)[-2])
"""计算止盈唐奇安通道"""
# 离市时判断需要的N周期最低价
ExitLowestPrice = float(self.indicators.LOWEST(self.teLength, kline=kline)[-2])
# 离市时判断需要的N周期最高价
ExitHighestPrice = float(self.indicators.HIGHEST(self.teLength, kline=kline)[-2])
# 当不使用过滤条件，或者使用过滤条件且条件PreBreakoutFailure为True时，短周期开仓
if self.indicators.CurrentBar(kline=kline) >= self.boLength and self.position.amount() == 0 and (self.LastProfitableTradeFilter != 1 or self.PreBreakoutFailure == False) and self.counter < 1:
if self.market.high(-1, kline=kline) >= DonchianHi: # 突破了短周期唐奇安通道上轨
price = DonchianHi # 开多价格为短周期唐奇安通道上轨
amount = Units # 开多数量为Units
receipt = self.exchange.buy(price, amount) # 开多
push(receipt) # 推送下单结果
self.CurrentEntries += 1 # 记录一次开仓次数
self.PreBreakoutFailure = False # 将标识重置为默认值，根据离场时的盈亏情况再修改
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp, "买入开多",
price, amount, amount * self.contract_value, price,
"long", amount, 0, self.total_profit,
self.total_asset) # 将信息保存至数据库
self.counter += 1 # 计数器加1
if self.market.low(-1, kline=kline) <= DonchianLo: # 突破了短周期唐奇安通道下轨
price = DonchianLo # 开空价格为DonchianLo
amount = Units # 开空数量为Units
receipt = self.exchange.sellshort(price, amount) # 开空
push(receipt) # 推送下单结果
self.CurrentEntries += 1 # 记录一次开仓次数
self.PreBreakoutFailure = False # 将标识重置为默认值，根据离场时的盈亏情况再修改
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp, "卖出开空",
price, amount, amount * self.contract_value, price,
"short", amount, 0, self.total_profit, self.total_asset) # 保存信息至数据库
self.counter += 1 # 计数器加1
# 长周期突破开仓，其他逻辑和短周期突破开仓一样。
if self.indicators.CurrentBar(kline=kline) >= self.fsLength and self.position.amount() == 0 and self.counter < 1:
if self.market.high(-1, kline=kline) >= fsDonchianHi: # 突破了长周期唐奇安通道上轨
price = fsDonchianHi # 开多价格为长周期唐奇安通道上轨值
amount = Units # 数量为Units
receipt = self.exchange.buy(price, amount) # 下单并返回下单结果
push(receipt) # 推送下单结果
self.CurrentEntries += 1 # 记录一次开仓次数
self.PreBreakoutFailure = False # 将标识重置为默认值
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp, "买入开多",
price, amount, amount * self.contract_value, price,
"long", amount, 0, self.total_profit,
self.total_asset) # 将信息保存至数据库
self.counter += 1 # 计数器加1
if self.market.low(-1, kline=kline) <= fsDonchianLo: # 突破长周期唐奇安通道下轨
price = fsDonchianLo # 开空价格为长周期唐奇安通道下轨值
amount = Units # 开空数量为Units
receipt = self.exchange.sellshort(price, amount) # 下单并返回下单结果
push(receipt) # 推送下单结果
self.CurrentEntries += 1 # 记录一次开仓次数
self.PreBreakoutFailure = False # 将标识重置为默认值
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp, "卖出开空",
price, amount, amount * self.contract_value, price,
"short", amount, 0, self.total_profit, self.total_asset)
self.counter += 1 # 计数器加1
# 止盈、加仓和止损
if self.position.direction() == "long" and self.counter < 1: # 持多仓的情况。回测时是一根k线上整个策略从上至下运行一次，所以在此处设置计数器过滤
if self.market.low(-1, kline=kline) <= ExitLowestPrice: # 跌破止盈价
profit = self.position.coverlong_profit(last=ExitLowestPrice, market_type="usd_contract") # 平仓前计算利润，传入最新价以及计算盈利的合约类型
self.total_profit += profit # 计算经过本次盈亏后的总利润
self.total_asset += profit # 计算经过本次盈亏后的总资金
price = ExitLowestPrice # 平多价格为ExitLowestPrice
amount = self.position.amount() # 数量为当前持仓数量
receipt = self.exchange.sell(price, amount) # 平所有多单仓位
push(receipt) # 推送下单结果
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp, "卖出平多",
price, amount, amount * self.contract_value,
0, "none", 0, profit, self.total_profit, self.total_asset)
self.counter += 1 # 计数器加1
self.CurrentEntries = 0 # 平仓后将开仓次数还原为0
else:
# 加仓指令
'''以最高价为标准，判断是否能加仓，并限制最大加仓次数
如果价格过前次开仓价格1/2N,则直接加仓
'''
while self.market.high(-1, kline=kline) >= (self.position.price() + 0.5 * N) and (self.CurrentEntries <= 4):
price = self.position.price() + 0.5 * N # 加仓的开仓价格为持仓价格+0.5 * N
amount = Units # 数量为Units
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp, "多头加仓",
price, amount, amount * self.contract_value,
(self.position.price() + price) / 2,
"long", self.position.amount() + amount,
0, self.total_profit, self.total_asset)
receipt = self.exchange.buy(price, amount)
push(receipt)
self.CurrentEntries += 1
# 止损指令
if self.market.low(-1, kline=kline) <= (self.position.price() - 2 * N): # 如果回落大于最后下单价格-2n，就止损
profit = self.position.coverlong_profit(last=self.position.price() - 2 * N, market_type="usd_contract")
self.total_profit += profit # 计算经过本次盈亏后的总利润
self.total_asset += profit # 计算经过本次盈亏后的总资金
price = self.position.price() - 2 * N
amount = self.position.amount()
receipt = self.exchange.sell(price, amount) # 全部止损平仓
push(receipt)
self.PreBreakoutFailure = True # 记录为突破失败，下次交易将使用长周期开仓
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp, "卖出止损",
price, amount, amount * self.contract_value,
0, "none", 0, profit, self.total_profit, self.total_asset)
self.counter += 1
self.CurrentEntries = 0 # 平仓后将开仓次数还原为0
elif self.position.direction() == "short" and self.counter < 1: # 持空头的情况，除方向以外，其他逻辑和上面持多仓的一致
if self.market.high(-1, kline=kline) >= ExitHighestPrice:
profit = self.position.covershort_profit(last=ExitHighestPrice, market_type="usd_contract")
self.total_profit += profit
self.total_asset += profit
price = ExitHighestPrice
amount = self.position.amount()
receipt = self.exchange.buytocover(price, amount)
push(receipt)
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp,
"买入平空", price, amount, amount * self.contract_value,
0, "none", 0, profit, self.total_profit, self.total_asset)
self.counter += 1
self.CurrentEntries = 0 # 平仓后将开仓次数还原为0
else:
while self.market.low(-1, kline=kline) <= (self.position.price() - 0.5 * N) and (self.CurrentEntries <= 4):
price = self.position.price() - 0.5 * N
amount = Units
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp, "空头加仓",
price, amount, amount * self.contract_value,
(self.position.price() + price) / 2,
"short", self.position.amount() + amount,
0, self.total_profit, self.total_asset)
receipt = self.exchange.sellshort(self.position.price() - 0.5 * N, Units)
push(receipt)
self.CurrentEntries += 1
if self.market.high(-1, kline=kline) >= (self.position.price() + 2 * N):
profit = self.position.covershort_profit(last=self.position.price() + 2 * N, market_type="usd_contract")
self.total_profit += profit
self.total_asset += profit
price = self.position.price() + 2 * N
amount = self.position.amount()
receipt = self.exchange.buytocover(price, amount)
push(receipt)
self.PreBreakoutFailure = True
storage.mysql_save_strategy_run_info(self.database, self.datasheet, timestamp,
"买入止损", price, amount, amount * self.contract_value,
0, "none", 0, profit, self.total_profit, self.total_asset)
self.counter += 1
self.CurrentEntries = 0 # 平仓后将开仓次数还原为0
except:
logger.error()
