def __init__(
self,
cta_engine: Any,
strategy_name: str,
vt_symbol: str,
setting: dict,
):
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = BarGenerator(self.on_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 = BarGenerator(self.on_bar)
self.am = ArrayManager()
self.buy_vt_orderids = []
self.sell_vt_orderids = []
self.short_vt_orderids = []
self.cover_vt_orderids = []
def __init__(self, cci_window: int, cci_level: float):
""""""
super().__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().__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 __init__(self, cta_engine, strategy_name, vt_symbol, setting):
# 初始化父类
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg_x = BarGenerator(lambda x: None, self.x_min, self.on_x_bar,
Interval.MINUTE)
self.am_x = ArrayManager(size=self.slow_window_5 + 1)
self.bg_15 = BarGenerator(lambda x: None, 15, self.on_15_bar,
Interval.MINUTE) # 传入参数的含义、有没有顺序？
self.am_15 = ArrayManager(size=self.slow_window_15 + 1)
self.bg_30 = BarGenerator(lambda x: None, 30, self.on_30_bar,
Interval.MINUTE)
self.am_30 = ArrayManager(size=self.slow_window_30 + 1)
self.bg_60 = BarGenerator(lambda x: None, 60, self.on_60_bar,
Interval.MINUTE)
self.am_60 = ArrayManager(size=self.slow_window_60 + 1)
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg5 = BarGenerator(self.on_bar, 5, self.on_5min_bar)
self.am5 = ArrayManager(size=20)
self.daily_atr = self.load_daily_art()
print("params:", self.atr_range, self.hedge_multiple_percent,
self.is_log)
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.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("datasigTrade.csv", head, None, "w")
head = [
"datetime", "orderid", "tradeid", "direction", "offset", "price",
"volume", "baoben"
]
write_csv_file("datasigPos.csv", head, None, "w")
print("self.cta_engine.capital %d", self.cta_engine.capital)
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg_open = BarGenerator(self.on_bar, self.open_window,
self.on_open_bar)
self.am_open = ArrayManager()
self.bg_minute = BarGenerator(self.on_bar, self.xminute_window,
self.on_mintue_bar)
self.am_minute = ArrayManager()
self.bg_xhour = BarGenerator(self.on_bar, self.xhour_window,
self.on_xhour_bar, Interval.HOUR)
self.am_xhour = ArrayManager()
# 计算每次使用资金量
self.cumulative_usdt_volume = 0
self.grid_usdt_volume = 0
self.amplitude = 0
self.tick_price = 0
def __init__(
self,
cta_engine,
strategy_name: str,
vt_symbol: str,
setting: dict,
):
""""""
super(CincoJD2001Strategy, self).__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = BarGenerator(self.on_bar, 13, self.on_15min_bar)
self.am = ArrayManager()
def __init__(
self,
cta_engine: Any,
strategy_name: str,
vt_symbol: str,
setting: dict,
):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.atr_stop_array = np.zeros(10)
self.bg_xminute = NewBarGenerator(on_bar=self.on_bar,
window=self.min_window,
on_window_bar=self.on_xminute_bar)
self.am_xminute = ArrayManager(self.boll_length + 100)
self.bg_open = NewBarGenerator(on_bar=self.on_bar,
window=self.open_window,
on_window_bar=self.on_5min_bar)
self.am_open = ArrayManager()
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = NewBarGenerator(self.on_bar, self.open_window,
self.on_15min_bar)
self.am = ArrayManager(self.rsi_window * 2)
self.count: int = 0
self.size: int = 4
self.rsi_inited: bool = False
self.rsi_up_array: np.ndarray = np.zeros(self.size)
self.rsi_down_array: np.ndarray = np.zeros(self.size)
def __init__( self, cta_engine: Any, strategy_name: str, vt_symbol: str, setting: dict, ): """""" super().__init__(cta_engine, strategy_name, vt_symbol, setting) self.atr_stop_array = np.zeros(10) self.bg_xmin = NewBarGenerator( self.on_bar, window=self.atrstop_window, on_window_bar=self.on_xmin_bar, interval=Interval.MINUTE ) self.am_xmin = ArrayManager() self.bg_5min = BarGenerator( self.on_bar, window=self.open_window, on_window_bar=self.on_5min_bar ) self.am_5min = ArrayManager(self.exit_dc_length * int(self.atr_length / self.open_window) + 10) self.inited_atr_stop = False # 状态控制初始化 self.chase_long_trigger = False self.chase_sell_trigger = False self.chase_short_trigger = False self.chase_cover_trigger = False self.cancel_status = False self.long_trade_volume = 0 self.short_trade_volume = 0 self.sell_trade_volume = 0 self.cover_trade_volume = 0 self.chase_interval = 10 # 拆单间隔:秒
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.rsi_long_l = self.long_threshold_l_window
self.rsi_long_s = self.long_threshold_s_window
self.rsi_short_l = 100 - self.long_threshold_l_window
self.rsi_short_s = 100 - self.long_threshold_s_window
self.bg5 = BarGenerator(self.on_bar, self.s_window, self.on_5min_bar)
self.am5 = ArrayManager()
self.bg15 = BarGenerator(self.on_bar, self.l_window, self.on_15min_bar)
self.am15 = ArrayManager()
self.long_order_record = []
self.short_order_record = []
# 指标计算容器
self.rsi_value_recorder_l_window = []
self.rsi_time_recorder_l_window = []
self.rsi_value_recorder_s_window = []
self.rsi_time_recorder_s_window = []
self.atr_time_recorder = []
self.atr_value_recorder = []
self.obv_time_recorder = []
self.obv_value_recorder = []
self.minus_dm_time_recorder = []
self.minus_dm_value_recorder = []
self.mfi_time_recorder = []
self.mfi_value_recorder = []
self.ad_time_recorder = []
self.ad_value_recorder = []
self.adosc_time_recorder = []
self.adosc_value_recorder = []
self.plus_dm_time_recorder = []
self.plus_dm_value_recorder = []
self.dx_time_recorder = []
self.dx_value_recorder = []
self.adx_time_recorder = []
self.adx_value_recorder = []
def __init__(
self,
cta_engine: Any,
strategy_name: str,
vt_symbol: str,
setting: dict,
):
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = NewBarGenerator(self.on_bar,
window=7,
on_window_bar=self.on_7min_bar,
interval=Interval.MINUTE)
self.am = ArrayManager()
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager(size=300)
self.long_order_record_m = []
self.short_order_record_m = []
self.long_order_record_a = []
self.short_order_record_a = []
self.pct_array_m = []
self.pct_array_a = []
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
self.price = setting["grid_price"]
self.step_price = setting["grid_step"]
self.step_volume = setting["Lot"]
self.pos = 0
self.ask_price = 0.0 # 买入价
self.bid_price = 0.0 # 卖出价
self.vt_orderid = ""
self.last_tick: TickData = None
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager(size=500)
self.lst_turnover_rate_f = list() # 保存zz500的历史流通盘换手率
self.deque_quantile_20 = deque()
self.pct_cnt_score_pre = 0 # 保存前一天的上涨股占比得分
self.cnt_8ma_score_pre = 0 # 保存前一天的8ma得分
self.ma_bull_score_pre = 0 # 保存前一天的均线多空得分
self.rsi_score_pre = 0 # 保存前一天的rsi得分
self.turnover_rate_f_score_pre = 0 # 保存前一天的流通盘换手率得分
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.write_log(f"setting={setting}")
self.am = ArrayManager(size=max(self.fast_window_1, self.slow_window_1,
self.signal_period_1) + 50)
self.macd_signal = MACDSignal(self.fast_window_n, self.slow_window_n,
self.signal_period_n, self.period_n)
self.signal_pos = {
"macd_1": 0,
"macd_n": 0,
}
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.pricetick = self.get_pricetick()
self.buy_vt_orderids = []
self.sell_vt_orderids = []
self.short_vt_orderids = []
self.cover_vt_orderids = []
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super(PatternScoreStrategy, self).__init__(cta_engine, strategy_name,
vt_symbol, setting)
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager(400)
self.am3 = ArrayManager(150)
self.bg3 = BarGenerator(self.on_bar, 3, self.on_3min_bar)
self.am5 = ArrayManager(120)
self.bg5 = BarGenerator(self.on_bar, 5, self.on_5min_bar)
self.order_data = None
self.positions = Position(self)
self.std_range = IntervalGen(np.std, 5)
self.std_range3 = IntervalGen(np.std, 5)
self.std_range5 = IntervalGen(np.std, 5)
self.pattern_record = PatternRecord()
# self.pattern_record.set_expiry([KlinePattern.CDLEVENINGSTAR], 3)
self.pattern_record.set_expiry(list(KlinePattern), 1)
self.open_strategy = [self.open_kline1]
self.offset = 40
self.min = 0
self.max = 0
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg5 = BarGenerator(self.on_bar, 5, self.on_5min_bar)
self.am5 = ArrayManager(size=20)
self.hedge_range = self.hedge_range_param / 1000
self.hedge_multiple = self.hedge_multiple_param / 100
self.hedge_size = round(self.hedge_range / 0.1 * 30)
setting['hedge_size'] = self.hedge_size
print("params:", self.hedge_range, self.hedge_multiple,
self.hedge_size, self.strategy_name)
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.pricetick = self.get_pricetick()
self.bg1 = XminBarGenerator(self.on_bar, self.bar_window1,
self.on_Xmin1_bar)
self.am1 = ArrayManager()
self.bg2 = XminBarGenerator(self.on_bar, self.bar_window2,
self.on_Xmin2_bar)
self.am2 = ArrayManager()
self.buy_vt_orderids = []
self.sell_vt_orderids = []
self.short_vt_orderids = []
self.cover_vt_orderids = []
self.buy_price = 0
self.sell_price = 0
self.short_price = 0
self.cover_price = 0
def __init__(self, rsi_fast_window: int, rsi_middle_window: int, rsi_slow_window: int, rsi_level: float):
"""Constructor"""
super().__init__()
self.rsi_fast_window = rsi_fast_window
self.rsi_middle_window = rsi_middle_window
self.rsi_slow_window = rsi_slow_window
self.rsi_level = rsi_level
self.rsi_long = 50 + self.rsi_level
self.rsi_short = 50 - self.rsi_level
self.bg5 = BarGenerator(on_bar=self.on_bar, window=self.minute_5_window, on_window_bar=self.on_5minute_bar)
self.am5 = ArrayManager()
self.bg15 = BarGenerator(on_bar=self.on_bar, window=self.minute_15_window, on_window_bar=self.on_15minute_bar)
self.am15 = ArrayManager()
self.bg30 = BarGenerator(on_bar=self.on_bar, window=self.minute_30_window, on_window_bar=self.on_15minute_bar)
self.am30 = ArrayManager()
self.bg60 = BarGenerator(on_bar=self.on_bar,
window=self.hour_1_window,
on_window_bar=self.on_hour_bar,
interval=Interval.HOUR)
self.am60 = ArrayManager()
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager(size=80)
self.local_stop = True
self.limit_up = 1.04
self.limit_down = 0.96
self.watch_long = False
self.watch_short = False
self.boll_up = 0
self.boll_down = 0
def __init__(
self,
cta_engine: Any,
strategy_name: str,
vt_symbol: str,
setting: dict,
):
# 调用父类的初始化函数传进去，帮助策略模板实现初始化
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
def on_empty(bar: BarData):
pass
self.bg = BarGenerator(on_empty, 5, on_empty)
self.am = ArrayManager()
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = BarGenerator(self.on_bar, self.open_window, self.on_xmin_bar)
self.am = ArrayManager(self.boll_window * 3 + 50)
self.count: int = 0
self.count_boll: int = 0
self.indicator_inited: bool = False
self.boll_inited: bool = False
self.mtm_size: int = self.slow_length
self.indicator_np_array: np.ndarray = np.zeros(self.boll_window * 3 +
5)
def __init__(
self,
cta_engine,
strategy_name: str,
vt_symbol: str,
setting: dict,
):
""""""
print(self.bar_window)
super(CincoP2005Strategy, self).__init__(cta_engine, strategy_name,
vt_symbol, setting)
print(self.bar_window)
self.bg = BarGenerator(self.on_bar, self.bar_window, 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.interval = {
"minute": Interval.MINUTE,
"hour": Interval.HOUR
}.get(self.inside_bar_unit)
self.bgw = BarGenerator(self.on_bar, self.inside_bar_length,
self.on_window_bar, self.interval)
self.am = ArrayManager(
100) # 取决于历史数据准备多长 x * inside_bar_length，参考进阶开仓条件
print(self.cta_engine.vt_symbol, self.cta_engine.exchange)
a_stop_levels = pd.read_csv(self.config_file_path +
"a_stop_levels.csv",
index_col=0)
b_stop_levels = pd.read_csv(self.config_file_path +
"b_stop_levels.csv",
index_col=0)
stop_levels = {
"a": a_stop_levels,
"b": b_stop_levels,
"b_top": {
"delta_loss_ratio": self.delta_loss_ratio,
"delta_profit_ratio": self.delta_profit_ratio
}
}
self.pos_man = PosManager(symbol=self.cta_engine.symbol,
exchange=self.cta_engine.exchange,
tgt_amt=self.open_amount,
stop_levels=stop_levels,
names=[
(str(i) + j)
for i in range(self.inside_bar_pos_num)
for j in ("a", "b")
])
self.pos_man.set_enabled("0a", True)
self.pos_man.set_enabled("0b", True)
self.engine_params = {"size": self.cta_engine.size}
self.stop_loss_values = dict([
(i.split("^")[0], float(i.split("^")[1]))
for i in self.stop_loss_values_str.split("_")
])
self.continuous_signal_operations = pd.read_csv(
self.config_file_path + "continuous_signal_operations.csv",
index_col=0).on_trade_op.to_dict()
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super(Ma2Strategy, self).__init__(cta_engine, strategy_name, vt_symbol,
setting)
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager(self.init)
self.min_diff = 0.001
self.entrust = 0
self.count = 0
self.short_pos = 0
self.long_pos = 0
self.cross_over = False
self.cross_below = False
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = NewBarGenerator(self.on_bar, self.open_window, self.on_minute_bar, interval=Interval.MINUTE)
self.am = ArrayManager(self.boll_window * 2)
self.up_array: np.ndarray = np.zeros(5)
self.down_array: np.ndarray = np.zeros(5)
self.boll_inited = False
self.boll_count = 0
self.engine_type = self.get_engine_type()
self.vt_orderids = []
self.order_price = 0
self.pos_inited = 0
