def __init__(self, ctaEngine, setting):
# 首先找到策略的父类（就是类CtaTemplate），然后把DoubleMaStrategy的对象转换为类CtaTemplate的对象
super(MultiFrameMaStrategy, self).__init__(ctaEngine, setting)
# 生成仓位记录的字典
symbol = self.symbolList[0]
self.Longpos = symbol.replace('.','_')+"_LONG"
self.Shortpos = symbol.replace('.','_')+"_SHORT"
self.bg60 = BarGenerator(self.onBar, 60, self.on60MinBar)
self.bg60Dict = {
sym: self.bg60
for sym in self.symbolList
}
self.bg15 = BarGenerator(self.onBar, 15, self.on15MinBar)
self.bg15Dict = {
sym: self.bg15
for sym in self.symbolList
}
# 生成Bar数组
self.am60Dict = {
sym: ArrayManager(size=self.slowWindow+10)
for sym in self.symbolList
}
self.am15Dict = {
sym: ArrayManager(size=self.slowWindow+10)
for sym in self.symbolList
}
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(BollChannelStrategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar, 15, self.onXminBar) # 创建K线合成器对象
self.bg30 = BarGenerator(self.onBar, 30, self.on30minBar)
self.am = ArrayManager()
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(DoubleMaStrategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar)
self.am = ArrayManager()
self.bg15 = BarGenerator(self.onBar, 15, self.on15MinBar)
self.am15 = ArrayManager()
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(SARKELStrategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar, self.barMins,
self.onXminBar) # 创建K线合成器对象
self.am = ArrayManager()
self.bgclose = BarGenerator(self.onBar, self.barMinsClose,
self.onminBarClose)
self.amClose = ArrayManager()
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(MultiTimeframeStrategy, self).__init__(ctaEngine, setting)
self.rsiLong = 50 + self.rsiSignal
self.rsiShort = 50 - self.rsiSignal
# 创建K线合成器对象
self.bg5 = BarGenerator(self.onBar, 5, self.on5MinBar)
self.am5 = ArrayManager()
self.bg15 = BarGenerator(self.onBar, 15, self.on15MinBar)
self.am15 = ArrayManager()
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(M60M5MacdStrategy, self).__init__(ctaEngine, setting)
self.rsiLong = 50 + self.rsiSignal
self.rsiShort = 50 - self.rsiSignal
# 创建K线合成器对象
self.bg5 = BarGenerator(self.onBar, 5, self.on5MinBar)
self.am5 = ArrayManager()
self.bg60 = BarGenerator(self.onBar, 60, self.on60MinBar)
self.am60 = ArrayManager()
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(DualThrustMultiContractStrategy,
self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar)
self.barList = []
#self.syncList =
if 'strParams' in setting:
params = setting['strParams']
if len(params) >= 3:
for p in params:
if p[0] == 'unit':
self.unitno = p[1]
if p[0] == 'p1':
self.p1 = p[1]
if p[0] == 'p2':
self.p2 = p[1]
print(self.unitno, self.p1, self.p2)
self.pos = 0
self.dayOpen = EMPTY_FLOAT
self.dayHigh = EMPTY_FLOAT
self.dayLow = EMPTY_FLOAT
self.range = EMPTY_FLOAT
self.longEntry = EMPTY_FLOAT
self.shortEntry = EMPTY_FLOAT
self.exitTime = time(hour=14, minute=55)
self.longEntered = False
self.shortEntered = False
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(strategy_Volatility_RB, self).__init__(ctaEngine, setting)
self.initDays = max(self.BK_BEFORE_DAY,
self.SK_BEFORE_DAY) # 初始化数据所用的天数
self.bg = BarGenerator(self.onBar)
self.am = ArrayManager(self.initDays)
self.strategyStartpos = 1890
self.strategyEndpos = 2358
self.all_bar = []
self.SP_style = 0000
self.BP_style = 0000
self.BKPRICE = EMPTY_FLOAT_WH
self.BKDATE = EMPTY_FLOAT_WH
self.SKPRICE = EMPTY_FLOAT_WH
self.SKDATE = EMPTY_FLOAT_WH
self.tradeday = 0
# 注意策略类中的可变对象属性（通常是list和dict等），在策略初始化时需要重新创建，
# 否则会出现多个策略实例之间数据共享的情况，有可能导致潜在的策略逻辑错误风险，
# 策略类中的这些可变对象属性可以选择不写，全都放在__init__下面，写主要是为了阅读
# 策略时方便（更多是个编程习惯的选择）
self.BKWeekProfit = [0, 0, 0, 0, 0, 0, 0]
self.SKWeekProfit = [0, 0, 0, 0, 0, 0, 0]
self.LongBestday = [0, 1, 2, 3] #[0,1,2] 20190627
self.ShortBestday = [1, 2, 3]
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(TripleMAStrategy02, self).__init__(ctaEngine, setting)
self.bm = BarGenerator(self.onBar, 5, self.onFiveBar)
# 由于maWindow3的长度是120，所以ArrayManager的size要增加至150
self.am = ArrayManager(size=150)
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.activeSymbol = self.symbolList[0] # 主动品种
self.passiveSymbol = self.symbolList[1] # 被动品种
# 构造K线合成器对象
self.bgDict = {
sym: BarGenerator(self.onBar)
for sym in self.symbolList
}
self.amDict = {sym: ArrayManager() for sym in self.symbolList}
# 载入1分钟历史数据，并采用回放计算的方式初始化策略参数
# 可选参数：["1min","5min","15min","30min","60min","4hour","1day","1week","1month"]
pastbar1 = self.loadHistoryBar(self.activeSymbol,
type_="1min",
size=self.initbars)
pastbar2 = self.loadHistoryBar(self.passiveSymbol,
type_="1min",
size=self.initbars)
for bar1, bar2 in zip(pastbar1, pastbar2):
self.amDict[self.activeSymbol].updateBar(bar1) # 更新数据矩阵(optional)
self.amDict[self.passiveSymbol].updateBar(bar2)
# self.onBar(bar) # 是否直接推送到onBar
self.putEvent() # putEvent 能刷新UI界面的信息
'''
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(Turtle01Strategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar,onDayBar = self.ondayBar)
self.am = ArrayManager(max(self.longDays,self.shortDays,self.atrDays)+1)
self.barList = []
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(AtrRsiStrategy, self).__init__(ctaEngine, setting)
# 创建K线合成器对象
self.bg = BarGenerator(self.onBar)
self.am = ArrayManager()
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(DualThrust_IntraDayStrategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar, onDayBar=self.ondayBar)
self.am = ArrayManager()
self.barList = []
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(DoubleMaStrategyWh, self).__init__(ctaEngine, setting)
self.initDays = self.SK_E_LONG + self.SK_E_DAYS_LONG
self.bg = BarGenerator(self.onBar)
self.am = ArrayManager(self.initDays)
self.strategyStartpos = 1891
self.strategyEndpos = 2357
self.all_bar = []
# 注意策略类中的可变对象属性（通常是list和dict等），在策略初始化时需要重新创建，
# 否则会出现多个策略实例之间数据共享的情况，有可能导致潜在的策略逻辑错误风险，
# 策略类中的这些可变对象属性可以选择不写，全都放在__init__下面，写主要是为了阅读
# 策略时方便（更多是个编程习惯的选择）
self.SK_A_ma0 = EMPTY_FLOAT
self.SK_A_ma1 = EMPTY_FLOAT
self.SK_A_close1 = EMPTY_FLOAT
self.BARSLAST_CR_UP_SK_A_LONG = EMPTY_INT_WH
self.BARSLAST_CR_DOWN_SK_A_LONG = EMPTY_INT_WH
self.BARSLAST_CR_UP_SK_E_LONG = EMPTY_INT_WH
self.BARSLAST_CR_DOWN_SK_E_LONG = EMPTY_INT_WH
self.BKPRICE = EMPTY_FLOAT_WH
self.SKPRICE = EMPTY_FLOAT_WH
self.SK_E_ma0 = EMPTY_FLOAT
self.SK_E_ma1 = EMPTY_FLOAT
self.BP_style = 0000
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(Turtle01Strategy1M, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar,
xmin=3,
onXminBar=self.on3MBar,
onDayBar=self.ondayBar)
self.am = ArrayManager(
max(self.longDays, self.shortDays, self.atrDays) + 1)
self.barList = []
if len(Turtle01Strategy1M.cust_Setting) > 0:
for cust in Turtle01Strategy1M.cust_Setting:
if cust["StrategyGroup"] == "Turtle":
capAmtTurtle = float(cust["CaptialAmt"])
minBarTypeTurtle = cust["MinuteBarGen"]
break
elif cust["StrategyGroup"] == "Default":
capAmtDefault = float(cust["CaptialAmt"])
minBarTypeDefault = cust["MinuteBarGen"]
if capAmtTurtle > 0:
self.capAmount = capAmtTurtle
self.minBarType = minBarTypeTurtle
self.unitCalcMethod = "custsetting"
elif capAmtDefault > 0:
self.capAmount = capAmtDefault
self.minBarType = minBarTypeDefault
self.unitCalcMethod = "custsetting"
else:
self.unitCalcMethod = "ctasetting"
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(tempStrategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar)
self.am = ArrayManager()
self.lastzhibiao = zhibiao(0, 0, 0)
self.celve0 = zerocelve()
# self.celve1 = ceshi()
self.tickCelvezu = [self.celve0]
self.barCelvezu = [self.celve0]
self.tickadd = 1
#断网恢复变量
self.stopcount = None
#交易时间和监控联网状态变量
self.yepan = False
self.yepanhour = None
self.yepanminute = None
self.lastbardatetime = None
self.tradetime = None
#控制开仓和平仓稳定变量
self.tradecount = 0
self.tradingcelve = [self.celve0]
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(strategyDemo, self).__init__(ctaEngine, setting)
self.contractMode = 'Double' #主力合约与次主力合约模式
# self.contractMode='Dominant' #主力合约模式
self.lastOrder = None
self.lastTrade = None
self.tickList = [] #初始一个tick列表
self.tickListAdd = [] #初始第二个tick列表
self.bType = 0 #买的状态，1表示买开委托状态，0表示非买开委托状态.目的是判断当前委托的状态，不要发生重复发单的事情
self.sType = 0 #买的状态，1表示卖开委托状态，0表示非卖开委托状态
self.orderType = ''
self.contractname = ''
self.contractnameAdd = ''
self.initialFlag = True
self.PositionCodeList = []
self.signalGroupList = []
self.rollingDays = 0
#开单条件：远-近 价差大于10，开仓
self.isBuySign = False
self.isShortSign = False
self.isBuyCoverSign = False
self.isShortCoverSign = False
#记录价格序列
self.tickListPrice = []
self.tickListAddPrice = []
self.bg = BarGenerator(self.onBar, 5, self.onXminBar)
self.am = ArrayManager()
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(DoubleMaStrategy, self).__init__(ctaEngine, setting)
# self.bg = BarGenerator(self.onBar)
self.bg = BarGenerator(self.onBar, 5, self.onFiveBar) # 创建K线合成器对象
self.am = ArrayManager(10)
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(ShortTermStrategy, self).__init__(ctaEngine, setting)
# 注意策略类中的可变对象属性（通常是list和dict等），在策略初始化时需要重新创建，
# 否则会出现多个策略实例之间数据共享的情况，有可能导致潜在的策略逻辑错误风险，
# 策略类中的这些可变对象属性可以选择不写，全都放在__init__下面，写主要是为了阅读
# 策略时方便（更多是个编程习惯的选择）
self.short_term_list_first = []
self.short_term_list_all = []
self.short_term_last_three_first_index = []
self.short_term_last_two_low_all_index = []
self.short_term_last_two_high_all_index = []
self.short_term_open_last_three_first_index = []
self.short_term_open_last_two_all_index = []
self.all_bar = []
self.BK_style = EMPTY_INT_WH # 2-->所有的低点 21利用低点 22利用高点
self.SK_style = EMPTY_INT_WH # 2-->所有的高点 21利用高点 22利用低点
self.BKPRICE = EMPTY_FLOAT_WH
self.SKPRICE = EMPTY_FLOAT_WH
self.initDays = self.E_LONG_ALL if self.LongOrShort == True else self.SK_E_LONG_ALL
self.MAXCLOSE_AFTER_OPEN = EMPTY_FLOAT_WH #建仓后close的最大值
self.strategyStartpos = 1343
self.strategyEndpos = 1826
self.SP_style = 0000
self.tradeday = 0
self.bg = BarGenerator(self.onBar)
self.am = ArrayManager(self.initDays)
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(TestStrategy, self).__init__(ctaEngine, setting)
vtSymbolset=setting['vtSymbol'] # 读取交易品种
vtSymbolList=vtSymbolset.split(',')
self.activeSymbol = vtSymbolList[0] # 主动品种
self.passiveSymbol = vtSymbolList[1] # 被动品种
self.symbolList = [self.activeSymbol, self.passiveSymbol]
# 给持仓字典设置名称，为了方便调用
# MONGO数据库不支持字段名含有 "." ，需特别处理)
self.asLongpos = self.activeSymbol.replace(".","_")+"_LONG"
self.asShortpos = self.activeSymbol.replace(".","_")+"_SHORT"
self.psLongpos = self.passiveSymbol.replace(".","_")+"_LONG"
self.psShortpos = self.passiveSymbol.replace(".","_")+"_SHORT"
# 构造K线合成器对象
self.bgDict = {
sym: BarGenerator(self.onBar)
for sym in self.symbolList
}
self.amDict = {
sym: ArrayManager()
for sym in self.symbolList
}
# 价差缓存列表
self.spreadBuffer = []
def __init__(self):
"""Constructor"""
super(AtrSignal, self).__init__()
self.atrWindow = 30
self.bg = BarGenerator(self.onBar, 15, self.on15Bar)
self.am = ArrayManager()
self.atrValue = 0.0
def __init__(self, ctaEngine, setting):
super(MutilEMaStrategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar)
self.am = ArrayManager()
self.frequency = mtm.frequency
self.pricePosi_top = 0
self.pricePosi_bot = 4
self.status = Status()
self.tick = None
self.locking = False
self.lockActionToken = False
self.unlockActionToken = False
self.controlRisk = ControlRisk(security=mtm.jqdata_security,
ctaEngine=self)
self.strategyBase = MutilEMaStrategyBase(security=mtm.jqdata_security,
status=self.status,
frequency=mtm.frequency,
ctaTemplate=self,
enableTrade=mtm.enableTrade,
enableBuy=mtm.enableBuy,
enableShort=mtm.enableShort,
controlRisk=self.controlRisk)
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(DoubleMaStrategyWh, self).__init__(ctaEngine, setting)
#self.initDays=
self.bg = BarGenerator(self.onBar)
self.am = ArrayManager(self.initDays)
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(strategy_AttackDay_RB, self).__init__(ctaEngine, setting)
#self.initDays=
self.bg = BarGenerator(self.onBar)
self.am = ArrayManager(self.initDays)
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(BollingerBotStrategy01, self).__init__(ctaEngine, setting)
self.bm = BarGenerator(self.onBar, 5, self.onFiveBar)
self.am = ArrayManager(30)
self.orderList = []
self.entryPriceList = []
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(BollChannelStrategy01, self).__init__(ctaEngine, setting)
self.bm = BarGenerator(self.onBar, 15, self.on5minBar) # 创建K线合成器对象
self.am = ArrayManager()
self.entryPriceList = []
self.orderList = []
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(WHMikeStrategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar, 15, self.onXminBar) # 创建K线合成器对象
self.bg30 = BarGenerator(self.onBar, 30, self.on30minBar)
self.am = ArrayManager()
gg = os.path.exists(self.future_code + self.csvfile)
gg = False
if gg:
with open(self.future_code + self.csvfile) as cf:
lines = csv.reader(cf)
for line in lines:
vv = (float(line[4]) + float(line[1])) / 2
self.coarray.insert(0, vv)
self.line143.insert(0, line[4])
self.writeCtaLog(u'%s装载历史数据成功' % self.name)
print(self.coarray)
else:
# os.remove(self.future_code + self.csvfile)
#self.future_code = 'M0'
url_str = (
'http://stock2.finance.sina.com.cn/futures/api/json.php/IndexService.getInnerFuturesMiniKLine15m?symbol='
+ self.future_code)
r = requests.get(url_str)
# http://stock2.finance.sina.com.cn/futures/api/json.php/IndexService.getInnerFuturesMiniKLine15m?symbol=M0
r_json = r.json()
r_lists = list(r_json)
f = open(self.future_code + self.csvfile, 'a+')
wf = csv.writer(f)
wf.writerows(r_lists)
f.close()
self.writeCtaLog(u'%s装载历史数据失败重新拉取数据' % self.name)
#get history data
with open(self.future_code + self.csvfile) as cf:
lines = csv.reader(cf)
for line in lines:
vv = (float(line[4]) + float(line[1])) / 2
#self.coarray.insert(0, vv)
#self.line143.insert(0, line[4])
#self.hisbar.insert(0, line)
self.writeCtaLog(u'%s装载历史数据成功' % self.name)
print(self.coarray.__len__())
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(DualThrustStrategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar)
self.barList = []
self.am = ArrayManager()
self.baselinetime = None
def __init__(self):
"""Constructor"""
super(MaSignal, self).__init__()
self.fastWindow = 5
self.slowWindow = 20
self.bg = BarGenerator(self.onBar, 5, self.onFiveBar)
self.am = ArrayManager()
def __init__(self):
"""Constructor"""
super(BollSignal, self).__init__()
self.bollWindow = 18
self.bollDev = 5
# self.bollUp, self.bollDown = 0.0,0.0
self.bg = BarGenerator(self.onBar, 15, self.on15Bar)
self.am = ArrayManager()
