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 start(startTime=None,
jqSecurity=None,
frequency=None,
enableBuy=None,
enableShort=None):
security = jqSecurity #'FG9999.XZCE' 'RB9999.XSGE' 'JM9999.XDCE'
status = Status()
frequency = frequency
strategyBase = MutilEMaStrategyBase(security=security,
status=status,
ctaTemplate=None,
frequency=frequency,
jqDataAccount='13268108673',
jqDataPassword='******',
enableTrade=False,
enableBuy=enableBuy,
enableShort=enableShort)
times = util.getTimeSerial(startTime, count=1000 * 800, periodSec=12)
for t in times:
if strategyBase.startJudgeAndRefreshStatus(t):
strategyBase.trade(None)
# 大商所
#
# 代码 名称 代码 名称
# A9999.XDCE 豆一主力合约 JD9999.XDCE 鸡蛋主力合约
# B9999.XDCE 豆二主力合约 JM9999.XDCE 焦煤主力合约
# BB9999.XDCE 胶板主力合约 L9999.XDCE 聚乙烯主力合约
# C9999.XDCE 玉米主力合约 M9999.XDCE 豆粕主力合约
# CS9999.XDCE 淀粉主力合约 P9999.XDCE 棕榈油主力合约
# FB9999.XDCE 纤板主力合约 PP9999.XDCE 聚丙烯主力合约
# I9999.XDCE 铁矿主力合约 V9999.XDCE 聚氯乙烯主力合约
# J9999.XDCE 焦炭主力合约 Y9999.XDCE 豆油主力合约
status = Status()
strategyBase = MutilEMaStrategyBase(security='RB9999.XSGE',
status=status,
ctaTemplate=None,
frequency='5m',
jqDataAccount='13268108673',
jqDataPassword='******',
enableTrade=False,
enableBuy=True,
enableShort=True,
enableNotify=True,
isJustListening=True)
while True:
currentTime = time.strftime('%Y-%m-%d %H:%M:%S',
time.localtime(time.time()))
if strategyBase.startJudgeAndRefreshStatus(currentTime):
time.sleep(1)
time.sleep(3)
# status=status,
# ctaTemplate=None,
# frequency=frequency,
# jqDataAccount='13268108673',
# jqDataPassword='******',
# enableTrade=False,
# enableBuy=enableBuy,
# enableShort=enableShort
# )
# times = util.getTimeSerial(startTime, count=1000*800, periodSec=12)
# for t in times:
# if strategyBase.startJudgeAndRefreshStatus(t):
# strategyBase.trade(None)
# jqSecurity='TA8888.XZCE'
# dao.updateAllPosition(3, jqSecurity)
# start(jqSecurity=jqSecurity, startTime='2018-10-10 14:00:00', frequency='5m', enableBuy=True, enableShort=True)
status = Status()
strategyBase = MutilEMaStrategyBase(security='JM9999.XDCE',
status=status,
ctaTemplate=None,
frequency='10m',
jqDataAccount='13268108673',
jqDataPassword='******',
enableTrade=False,
enableBuy=True,
enableShort=True)
while True:
if strategyBase.startJudgeAndRefreshStatus():
print('tick')
time.sleep(5)
class MutilEMaStrategy(CtaTemplate):
"""双指数均线策略Demo"""
className = 'MutilEMaStrategy'
author = u'*****@*****.**'
# 策略参数
fastWindow = 5 # 快速均线参数
slowWindow = 10 # 慢速均线参数
initDays = 30 # 初始化数据所用的天数
# 策略变量
fastMa0 = None # 当前最新的快速EMA
fastMa1 = None # 上一根的快速EMA
slowMa0 = None
slowMa1 = None
# 参数列表，保存了参数的名称
paramList = ['name','className','author','vtSymbol','fastWindow','slowWindow']
# 变量列表，保存了变量的名称
varList = ['inited','trading','pos','fastMa0','fastMa1','slowMa0','slowMa1']
# 同步列表，保存了需要保存到数据库的变量名称
syncList = ['pos']
# ----------------------------------------------------------------------
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.strategyBase = MutilEMaStrategyBase(security=mtm.jqdata_security,
status=self.status,
frequency=mtm.frequency,
ctaTemplate=self,
enableTrade=mtm.enableTrade,
enableBuy=mtm.enableBuy,
enableShort=mtm.enableShort
)
# ----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u'多重EMA策略初始化')
self.putEvent()
# ----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'多重EMA策略启动')
self.putEvent()
# ----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'多重EMA策略停止')
self.putEvent()
# ----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
self.bg.updateTick(tick)
self.tick = tick
if self.strategyBase.startJudgeAndRefreshStatus():
self.strategyBase.trade(tick)
self.putEvent()
# ----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
# 发出状态更新事件
self.putEvent()
# ----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
# 对于无需做细粒度委托控制的策略，可以忽略onOrder
pass
# ----------------------------------------------------------------------
def onTrade(self, trade):
"""收到成交推送（必须由用户继承实现）"""
# 对于无需做细粒度委托控制的策略，可以忽略onOrder
pass
# ----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass