def __init__(self, strategy_engine, strategy_name: str, spread: SpreadData,
setting: dict):
""""""
super().__init__(strategy_engine, strategy_name, spread, setting)
self.bg = BarGenerator(self.on_spread_bar)
self.am = ArrayManager()
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = XminBarGenerator(self.on_bar,
1,
self.on_hour_bar,
interval=Interval.HOUR)
self.am = ArrayManager()
self.liq_price = 0
self.trading_size = 0
self.on_bar_time = time1(0, 0)
self.clearance_time = time1(14, 57)
self.liq_time = time1(14, 59)
self.day_clearance = False
self.buy_svt_orderids = []
self.sell_svt_orderids = []
self.short_svt_orderids = []
self.cover_svt_orderids = []
self.sell_lvt_orderids = []
self.cover_lvt_orderids = []
class Single_bar:
"""
用来生成单品种的K线
"""
def __init__(self, strategy: StrategyTemplate, vt_symbol: str):
""""""
# 和portfolio的接口
self.portfolio = strategy
self.vt_symbol = vt_symbol
# 需要合成的K线周期设置
self.bar_interval = self.portfolio.bar_interval
self.bar_frequency = self.portfolio.bar_frequency
# K线合成工具和储存容器
self.bg = BarGenerator(self.on_bar, self.bar_interval,
self.on_5min_bar, self.bar_frequency)
self.am = ArrayManager()
# K线合成计数
self.bar_count = 0
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg.update_bar(bar)
def on_5min_bar(self, bar: BarData):
""""""
self.bar_count += 1
self.am.update_bar(bar)
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super(TurtleSignalStrategy, self).__init__(cta_engine, strategy_name,
vt_symbol, setting)
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
def __init__(self, strategy_engine: StrategyEngine, strategy_name: str,
vt_symbols: List[str], setting: dict):
""""""
super().__init__(strategy_engine, strategy_name, vt_symbols, setting)
# self.y_symbol = (self.vt_symbols[0].split('.'))[0]
# self.x_symbol = (self.vt_symbols[1].split('.'))[1]
self.y_symbol = self.vt_symbols[0]
self.x_symbol = self.vt_symbols[1]
self.x_fixed_size = int(np.abs(self.fixed_size * self.x_multiplier))
self.y_fixed_size = int(np.abs(self.fixed_size * self.y_multiplier))
self.open_direction_dict['x_symbol'] = 0
self.open_direction_dict['y_symbol'] = 0
self.close_direction_dict['x_symbol'] = 0
self.close_direction_dict['y_symbol'] = 0
self.ams: Dict = {}
self.ams[self.y_symbol] = ArrayManager(size=self.hedge_ratio_window +
50)
self.ams[self.x_symbol] = ArrayManager(size=self.hedge_ratio_window +
50)
self.sam = SpreadArrayManager(
size=max(self.std_window, self.mean_window) + 50)
def clear_all(self) -> None:
"""
Clear all data in the item.
"""
super().clear_all()
self._arrayManager = ArrayManager(max(self.MA_PARAMS) + 1)
self.mas = defaultdict(dict)
self.last_ix = 0
self.last_picture = QtGui.QPicture()
def __init__(self, manager: BarManager):
""""""
super().__init__(manager)
# self.periods = [5, 10, 20, 30, 60]
self.init_setting()
self._arrayManager = ArrayManager(max(self.MA_PARAMS) + 1)
self.mas = defaultdict(dict)
self.last_ix = 0
self.last_picture = QtGui.QPicture()
def __init__(self, fast_window: int, slow_window: int):
""""""
super(MaSignal, self).__init__()
self.fast_window = fast_window
self.slow_window = slow_window
self.bg = BarGenerator(self.on_bar, 5, self.on_5min_bar)
self.am = ArrayManager()
def __init__(self, manager: BarManager):
""""""
super().__init__(manager)
self.init_setting()
self._arrayManager = ArrayManager(150)
self.last_ix = 0
self.last_picture = QtGui.QPicture()
self.incs = defaultdict(dict)
self.br_max = 0
self.br_min = 0
def __init__(self, cci_window: int, cci_level: float):
""""""
super(CciSignal, self).__init__()
self.cci_window = cci_window
self.cci_level = cci_level
self.cci_long = self.cci_level
self.cci_short = -self.cci_level
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
def __init__(self, rsi_window: int, rsi_level: float):
"""Constructor"""
super(RsiSignal, self).__init__()
self.rsi_window = rsi_window
self.rsi_level = rsi_level
self.rsi_long = 50 + self.rsi_level
self.rsi_short = 50 - self.rsi_level
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
def clear_all(self) -> None:
"""
Clear all data in the item.
"""
super().clear_all()
self._arrayManager = ArrayManager(150)
self.last_ix = 0
self.last_picture = QtGui.QPicture()
self.rsis = defaultdict(dict)
self.br_max = -np.inf
self.br_min = np.inf
def __init__(self, manager: BarManager):
""""""
super().__init__(manager)
# self.periods = [6, 12, 24]
self.init_setting()
self._arrayManager = ArrayManager(150)
self.rsis = defaultdict(dict)
self.last_ix = 0
self.br_max = -np.inf
self.br_min = np.inf
self.last_picture = QtGui.QPicture()
def draw_his(zscore_data, test_data):
# RSRS标准分分布
am = ArrayManager(200, zscore_data, 18)
rsrs = []
for bar in test_data:
am.update_bar(bar)
rsrs.append(am.rsrs_std())
ser = pd.Series(rsrs)
ser.hist(bins=50, color='b', edgecolor='gray', alpha=0.7, grid=False)
plt.show()
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super(MultiTimeframeStrategy, self).__init__(cta_engine, strategy_name,
vt_symbol, setting)
self.rsi_long = 50 + self.rsi_signal
self.rsi_short = 50 - self.rsi_signal
self.bg5 = BarGenerator(self.on_bar, 5, self.on_5min_bar)
self.am5 = ArrayManager()
self.bg15 = BarGenerator(self.on_bar, 15, self.on_15min_bar)
self.am15 = ArrayManager()
def __init__(self, strategy_engine, strategy_name: str, spread: SpreadData,
setting: dict):
""""""
super().__init__(strategy_engine, strategy_name, spread, setting)
self.bg = BarGenerator(self.on_open_spread_bar, self.open_window,
self.on_open_spread_bar)
self.am = ArrayManager()
self.spread_pos = 0.0
self.boll_up = 0.0
self.boll_down = 0.0
self.boll_mid = 0.0
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super(BollChannelStrategy, self).__init__(cta_engine, strategy_name,
vt_symbol, setting)
self.bg = BarGenerator(self.on_bar, 15, self.on_15min_bar)
self.am = ArrayManager()
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = XminBarGenerator(self.on_bar, self.interval,
self.on_xmin_bar)
self.am = ArrayManager()
self.liq_price = 0
self.on_bar_time = time1(0, 0)
self.clearance_time = time1(14, 57)
self.liq_time = time1(14, 59)
trade_record_fields = [
"vt_symbol", "orderid", "tradeid", "offset", "direction", "price",
"volume", "datetime", "strategy", "strategy_name"
]
self.trade_record_file = open(
"D:/CTA/1-策略开发/1-开发中的策略/14-oscillator_drive/backtesting_trade_record.csv",
"a",
newline="")
self.trade_record_file_writer = csv.DictWriter(self.trade_record_file,
trade_record_fields)
self.trade_record_file_writer.writeheader()
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = XminBarGenerator(self.on_bar, self.interval, self.on_xmin_bar)
self.am = ArrayManager()
self.liq_price = 0
self.trading_size = 0
self.on_bar_time = time1(0, 0)
self.clearance_time = time1(14, 57) # 清仓开始时间
self.liq_time = time1(14, 59) # 交易所结算开始时间
self.day_clearance = False
self.buy_svt_orderids = []
self.sell_svt_orderids = []
self.short_svt_orderids = []
self.cover_svt_orderids = []
self.sell_lvt_orderids = []
self.cover_lvt_orderids = []
# 2021年5月10日有极端行情，收益异常高，不具有普遍参考价值，因此在回测中跳过这一天
extreme_date = "2021-05-10"
extreme_date = time.strptime(extreme_date, "%Y-%m-%d")
year, month, day = extreme_date[:3]
self.extreme_date = datetime.date(year, month, day)
def __init__(
self,
strategy_engine: StrategyEngine,
strategy_name: str,
vt_symbols: List[str],
setting: dict
):
""""""
super().__init__(strategy_engine, strategy_name, vt_symbols, setting)
self.bgs: Dict[str, BarGenerator] = {}
self.ams: Dict[str, ArrayManager] = {}
self.rsi_data: Dict[str, float] = {}
self.atr_data: Dict[str, float] = {}
self.atr_ma: Dict[str, float] = {}
self.intra_trade_high: Dict[str, float] = {}
self.intra_trade_low: Dict[str, float] = {}
self.targets: Dict[str, int] = {}
self.last_tick_time: datetime = None
# Obtain contract info
for vt_symbol in self.vt_symbols:
def on_bar(bar: BarData):
""""""
pass
self.bgs[vt_symbol] = BarGenerator(on_bar)
self.ams[vt_symbol] = ArrayManager()
self.targets[vt_symbol] = 0
def __init__(self, strategy_engine: StrategyEngine, strategy_name: str,
vt_symbols: List[str], setting: dict):
super(TurtleStrategy, self).__init__(strategy_engine, strategy_name,
vt_symbols, setting)
self.vt_symbols = vt_symbols
# 合约的list
self.total_long = 0
# 所有合约的多仓位和
self.total_short = 0
# 所有合约的空仓位和
self.context = {
symbol: {
'entry_long': 0, # 开/加多仓价格阈值
'entry_short': 0, # 开/加空仓价格阈值
'exit_long': 0, # 平多仓价格阈值
'exit_short': 0, # 平空仓价格阈值
'atr_value': 0, # ATR
'stop_loss_long': 0, # 多仓止损价格
'stop_loss_short': 0, # 空仓止损价格
'multiplier': 0, # 合约规模
'unit': 0, # 仓位
'am': ArrayManager(),
}
for symbol in vt_symbols
}
def on_bar(bar: BarData):
pass
self.bgs = {symbol: BarGenerator(on_bar)
for symbol in vt_symbols}
self.last_tick_time: datetime = None
def __init__(
self,
strategy_engine: StrategyEngine,
strategy_name: str,
vt_symbols: List[str],
setting: dict
):
""""""
super().__init__(strategy_engine, strategy_name, vt_symbols, setting)
self.last_tick_time: datetime = None
self.ams:Dict[str, ArrayManager] = {}
self.bgs: Dict[str, BarGenerator] = {}
# 策略内动态调整OLS相关参数,小数参数会被int（）
self.short_entry_multiplier = abs(self.entry_multiplier)
self.short_exit_multiplier = 0
self.long_entry_multiplier = -abs(self.entry_multiplier)
self.long_exit_multiplier = 0
self.mean_window = int(self.std_window * self.std_mean_window_ratio)
self.y_symbol = self.vt_symbols[0]
self.x_symbol = self.vt_symbols[1]
self.x_fixed_size = np.abs(self.fixed_size * 1)
self.y_fixed_size = np.abs(self.fixed_size * 1)
self.x_pos_target = 0
self.y_pos_target = 0
# 实例化缓存期货品种价格序列容器
for vt_symbol in self.vt_symbols:
self.ams[vt_symbol] = ArrayManager(size=max(self.std_window,self.mean_window)+50)
#实例化bg容器
for vt_symbol in self.vt_symbols:
def on_bar(bar: BarData):
""""""
pass
self.bgs[vt_symbol] = BarGenerator(on_bar)
# 实例化缓存价差价格序列容器
self.sam = SpreadArrayManager(size=max(self.std_window,self.mean_window)+50)
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = XminBarGenerator(self.on_bar, self.interval,
self.on_xmin_bar)
self.am = ArrayManager()
self.liq_price = 0
self.trading_size = 0
self.on_bar_time = time1(0, 0)
self.clearance_time = time1(14, 57) # 清仓开始时间
self.liq_time = time1(14, 59) # 交易所结算开始时间
self.day_clearance = False
self.buy_svt_orderids = []
self.sell_svt_orderids = []
self.short_svt_orderids = []
self.cover_svt_orderids = []
self.buy_lvt_orderids = []
self.sell_lvt_orderids = []
self.short_lvt_orderids = []
self.cover_lvt_orderids = []
self.path = Path.cwd()
self.trade_record_dict = {}
self.tick_count = 0
trade_record_fields = [
"vt_symbol", "orderid", "tradeid", "offset", "direction", "price",
"volume", "datetime", "strategy"
]
self.trade_record_wb = openpyxl.load_workbook(
self.path / "strategies" / "PaperAccount_reord_table.xlsx")
self.trade_record_wb.iso_dates = True
sheet_names = self.trade_record_wb.sheetnames
if self.strategy_name not in sheet_names:
self.trade_record_sheet = self.trade_record_wb.create_sheet(
index=0, title=self.strategy_name)
else:
self.trade_record_sheet = self.trade_record_wb[self.strategy_name]
if not self.trade_record_sheet.cell(row=1, column=1).value:
for i in range(1, len(trade_record_fields) + 1):
column = get_column_letter(i)
self.trade_record_sheet[column +
str(1)] = trade_record_fields[i - 1]
self.trade_record_sheet.freeze_panes = "A2"
self.trade_record_wb.save(self.path / "strategies" /
"PaperAccount_reord_table.xlsx")
def __init__(self, strategy: StrategyTemplate, vt_symbol: str):
""""""
# 和portfolio的接口
self.portfolio = strategy
self.vt_symbol = vt_symbol
# 需要合成的K线周期设置
self.bar_interval = self.portfolio.bar_interval
self.bar_frequency = self.portfolio.bar_frequency
# K线合成工具和储存容器
self.bg = BarGenerator(self.on_bar, self.bar_interval,
self.on_5min_bar, self.bar_frequency)
self.am = ArrayManager()
# K线合成计数
self.bar_count = 0
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super(DualThrustStrategy, self).__init__(cta_engine, strategy_name,
vt_symbol, setting)
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
self.bars = []
def __init__(self, strategy_engine: StrategyEngine, strategy_name: str,
vt_symbols: List[str], setting: dict):
""""""
super().__init__(strategy_engine, strategy_name, vt_symbols, setting)
self.vt_symbol = vt_symbols[0]
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super(KingKeltnerStrategy, self).__init__(
cta_engine, strategy_name, vt_symbol, setting
)
self.bg = BarGenerator(self.on_bar, 5, self.on_5min_bar)
self.am = ArrayManager()
def calculate_adaptive_channel(am: ArrayManager, n: int, dev: float):
""""""
ma = am.sma(n)
std = am.std(n)
boll_up = ma + std * dev
boll_down = ma - std * dev
kk_up = ma + atr * dev
kk_down = ma - atr * dev
donchian_up = am.high[-n:].max()
donchian_down = am.low[-n:].min()
channel_up = max(boll_up, kk_up, donchian_up)
channel_down = min(boll_down, kk_down, donchian_down)
return channel_up, channel_down
def __init__(self, strategy: StrategyTemplate, vt_symbol: str):
""""""
self.portfolio = strategy
self.vt_symbol = vt_symbol
self.long_ma_window = self.portfolio.long_ma_window
self.short_ma_window = self.portfolio.short_ma_window
self.trailing_percent = self.portfolio.trailing_percent
self.fixed_size = self.portfolio.fixed_size
self.long_ma_value = 0
self.short_ma_value = 0
self.intra_trade_high = 0
self.intra_trade_low = 0
self.bg = BarGenerator(self.on_bar, 5, self.on_5min_bar)
self.am = ArrayManager()
def __init__(self, strategy_engine: StrategyEngine, strategy_name: str,
vt_symbols: List[str], setting: dict):
""""""
super().__init__(strategy_engine, strategy_name, vt_symbols, setting)
self.bgs: Dict[str, BarGenerator] = {}
self.ams: Dict[str, ArrayManager] = {}
self.intra_trade_lows: Dict[str, float] = {}
self.intra_trade_highs: Dict[str, float] = {}
self.atr_values: Dict[str, float] = {}
self.atr_mas: Dict[str, float] = {}
self.rsi_values: Dict[str, float] = {}
def on_bar(bar: BarData):
""""""
pass
self.bgs[self.vt_symbols[0]] = BarGenerator(on_bar, 15,
self.on_15min_symbol_bar1)
self.bgs[self.vt_symbols[1]] = BarGenerator(on_bar, 15,
self.on_15min_symbol_bar2)
# self.bgs[self.vt_symbols[2]] = BarGenerator(on_bar,15,self.on_15min_symbol_bar3)
self.ams[self.vt_symbols[0]] = ArrayManager()
self.ams[self.vt_symbols[1]] = ArrayManager()
# self.ams[self.vt_symbols[2]] = ArrayManager()
self.intra_trade_lows[self.vt_symbols[0]] = 0
self.intra_trade_lows[self.vt_symbols[1]] = 0
# self.intra_trade_lows[self.vt_symbols[2]] = 0
self.intra_trade_highs[self.vt_symbols[0]] = 0
self.intra_trade_highs[self.vt_symbols[1]] = 0
# self.intra_trade_highs[self.vt_symbols[2]] = 0
self.atr_values[self.vt_symbols[0]] = 0
self.atr_values[self.vt_symbols[1]] = 0
# self.atr_values[self.vt_symbols[2]] = 0
self.atr_mas[self.vt_symbols[0]] = 0
self.atr_mas[self.vt_symbols[1]] = 0
# self.atr_mas[self.vt_symbols[2]] = 0
self.rsi_values[self.vt_symbols[0]] = 0
self.rsi_values[self.vt_symbols[1]] = 0