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):
"""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(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(HLBeatStrategy, self).__init__(ctaEngine, setting)
self.bm = MyBarGenerator(self.onBar, self.xMinBar, self.onFiveBar)
self.am = ArrayManager()
self.ctaEngine.eventEngine.register(EVENT_TIMER, self.onTimeFunc)
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(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 __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):
# 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(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(BollingerBotStrategy01, self).__init__(ctaEngine, setting)
self.bm = BarGenerator(self.onBar, 5, self.onFiveBar)
self.am = ArrayManager(30)
self.orderList = []
self.entryPriceList = []
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()
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, ctaEngine, setting):
"""Constructor"""
super(KeltnerCommonStrategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar,
onDayBar=self.ondayBar,
vtSymbol=self.vtSymbol)
self.am = ArrayManager()
self.barList = []
# Read Parameters from Setting files
if 'strParams' in setting:
self.params = setting['strParams']
if len(self.params) >= 3:
for p in self.params:
if p[0] == 'unit':
self.fixedSize = p[1]
if p[0] == 'p1':
self.kUpper = p[1]
if p[0] == 'p2':
self.kLower = p[1]
if p[0] == 'p3':
self.maDays = p[1]
if p[0] == 'p4':
self.atrDays = p[1]
if p[0] == 'p5':
self.initDays = p[1]
if p[0] == 'p6':
self.rsilen = p[1]
if p[0] == 'p7':
self.rsiconfig = p[1]
else:
# 策略参数
self.fixedSize = 1
self.kUpper = 2
self.kLower = 2
self.maDays = 13
self.atrDays = 20
self.initDays = 55 # original value is 10
self.rsiconfig = 50
self.rsilen = 21
#print(self.fixedSize,self.kUpper,self.kLower,self.maDays,self.initDays)
self.atrAvg = 0
self.maHigh = 0
self.maLow = 0
self.longEntry = 0
self.shortEntry = 0
self.longExit = 0
self.shortExit = 0
#exitTime = time(hour=15, minute=20) #will not cover position when day close
self.longEntered = False
self.shortEntered = False
self.loginterval = 15
self.logcountdown = 0
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(DoubleMaStrategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar)
self.am = ArrayManager()
self.lastzhibiao = zhibiao()
self.celve0 = zerocelve()
self.tickCelvezu = [celve0]
self.barCelvezu = [celve0]
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(DT_IntraDayCommonStrategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar,
onDayBar=self.ondayBar,
vtSymbol=self.vtSymbol)
self.am = ArrayManager()
self.barList = []
self.longEntry1 = 0
self.shortEntry1 = 0
# Read Parameters from Setting files
if 'strParams' in setting:
self.params = setting['strParams']
if len(self.params) >= 3:
for p in self.params:
if p[0] == 'unit':
self.fixedSize = p[1]
if p[0] == 'p1':
self.k1 = p[1]
if p[0] == 'p2':
self.k2 = p[1]
if p[0] == 'p3':
self.rangeDays = p[1]
if p[0] == 'p4':
self.atrDays = p[1]
if p[0] == 'p5':
self.initDays = p[1]
else:
# 策略参数
self.fixedSize = 1
self.k1 = 0.4
self.k2 = 0.4
self.rangeDays = 4
self.atrDays = 20
self.initDays = 55 # original value is 10
#print(self.fixedSize,self.k1,self.k2,self.rangeDays,self.initDays)
self.dayOpen = 0
self.rangeHigh = 0
self.rangeLow = 0
self.rangeHighClose = 0
self.rangeLowClose = 0
self.range1 = 0
self.range2 = 0
self.atrValue = 0
self.range = 0
self.longEntry = 0
self.shortEntry = 0
self.exitTime = time(
hour=15, minute=20) #will not cover position when day close
self.longEntered = False
self.shortEntered = False
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(JDualThrust_IntraDayStrategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar,
onDayBar=self.ondayBar,
vtSymbol=self.vtSymbol)
self.am = ArrayManager()
self.barList = []
self.timeinterval = 4
self.countdown = 0
def __init__(self):
"""Constructor"""
super(CciSignal, self).__init__()
self.cciWindow = 10
self.cciLevel = 20
self.cciLong = self.cciLevel
self.cciShort = -self.cciLevel
self.cciValue = 0.0
self.bg = BarGenerator(self.onBar, 15, self.on15Bar)
self.am = 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):
"""Constructor"""
super(RsiSignal, self).__init__()
self.rsiWindow = 14
self.rsiLevel = 20
self.rsiLong = 50 + self.rsiLevel
self.rsiShort = 50 - self.rsiLevel
self.bg = BarGenerator(self.onBar)
self.am = ArrayManager()
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(TripleMAStrategy05, self).__init__(ctaEngine, setting)
self.entryPriceList = []
self.bm = BarGenerator(self.onBar, 5, self.onFiveBar)
self.am = ArrayManager(size=150)
self.backTesting = True
# 策略信号
self.buySig = False
self.shortSig = False
self.sellSig = False
self.coverSig = False
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(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(AtrRsiStrategy, self).__init__(ctaEngine, setting)
# 创建K线合成器对象
self.bm = BarManager(self.onBar)
self.am = ArrayManager()
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(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 addSymbolFreq(self, symbol, freq, size = 50):
key = symbol + '_' + freq
self.symbolFreqData[key] = ArrayManager(size=size)
data_list=[]
if freq == '1MIN':
data_list = self.mainEngine.dbQuery( MINUTE_DB_NAME, symbol, d={}, sortKey='datetime', sortDirection=ASCENDING)
elif freq == '5MIN':
data_list = self.mainEngine.dbQuery( MINUTE_5_DB_NAME, symbol, d={}, sortKey='datetime', sortDirection=ASCENDING)
elif freq == '15MIN':
data_list = self.mainEngine.dbQuery( MINUTE_15_DB_NAME, symbol, d={}, sortKey='datetime', sortDirection=ASCENDING)
elif freq == '30MIN':
data_list = self.mainEngine.dbQuery( MINUTE_30_DB_NAME, symbol, d={}, sortKey='datetime', sortDirection=ASCENDING)
elif freq == '60MIN':
data_list = self.mainEngine.dbQuery( MINUTE_60_DB_NAME, symbol, d={}, sortKey='datetime', sortDirection=ASCENDING)
elif freq == 'D':
data_list = self.mainEngine.dbQuery( DAILY_DB_NAME, symbol, d={}, sortKey='datetime', sortDirection=ASCENDING)
elif freq == 'W':
data_list = self.mainEngine.dbQuery( WEEKLY_DB_NAME, symbol, d={}, sortKey='datetime', sortDirection=ASCENDING)
if np.size(data_list) >= size:
data_list = data_list[-1*size:]
for data in data_list:
bar = VtBarData()
bar.close = data['close']
bar.open = data['open']
bar.high = data['high']
bar.low = data['low']
self.symbolFreqData[key].updateBar(bar)
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(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):
# 策略参数
self.contract_size = 100
self.MaxTolerate = 0
self.maxHold = 0
self.Ticks = 4 #追单数量
self.stopping = False
self.stoppingdt = None # 止损后最小开仓时间
self.stoppPeriods = 15 # 止损后15分钟不能开仓
self.ShortSignalSpread = None
self.LongSignalSpread = None
self.short_enter_price = None
self.short_exit_price = None
self.long_enter_price = None
self.long_exit_price = None
self.maxHold = 0
self.maxWin = 0
self.minLose = 0
self.mutiple = 0
self.minEnterPrice = 0
self.volume = 0
self.init_asset = 0
"""Constructor"""
super(tick_strategy, self).__init__(ctaEngine, setting)
# 策略变量
self.bm = BarManager(self.onBar, 1) # 创建K线合成器对象
self.am = ArrayManager()
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(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(RsiSignal, self).__init__()
self.rsiWindow = 14
self.rsiLevel = 20
self.rsiLong = 50 + self.rsiLevel
self.rsiShort = 50 - self.rsiLevel
self.bg = BarGenerator(self.onBar)
self.am = ArrayManager()
def __init__(self):
"""Constructor"""
super(CciSignal, self).__init__()
self.cciWindow = 30
self.cciLevel = 10
self.cciLong = self.cciLevel
self.cciShort = -self.cciLevel
self.bg = BarGenerator(self.onBar)
self.am = ArrayManager()
class MaSignal(CtaSignal):
"""双均线信号"""
#----------------------------------------------------------------------
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 onTick(self, tick):
"""Tick更新"""
self.bg.updateTick(tick)
#----------------------------------------------------------------------
def onBar(self, bar):
"""K线更新"""
self.bg.updateBar(bar)
#----------------------------------------------------------------------
def onFiveBar(self, bar):
"""5分钟K线更新"""
self.am.updateBar(bar)
if not self.am.inited:
self.setSignalPos(0)
fastMa = self.am.sma(self.fastWindow)
slowMa = self.am.sma(self.slowWindow)
if fastMa > slowMa:
self.setSignalPos(1)
elif fastMa < slowMa:
self.setSignalPos(-1)
else:
self.setSignalPos(0)
class RsiSignal(CtaSignal):
"""RSI信号"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(RsiSignal, self).__init__()
self.rsiWindow = 14
self.rsiLevel = 20
self.rsiLong = 50 + self.rsiLevel
self.rsiShort = 50 - self.rsiLevel
self.bg = BarGenerator(self.onBar)
self.am = ArrayManager()
#----------------------------------------------------------------------
def onTick(self, tick):
"""Tick更新"""
self.bg.updateTick(tick)
#----------------------------------------------------------------------
def onBar(self, bar):
"""K线更新"""
self.am.updateBar(bar)
if not self.am.inited:
self.setSignalPos(0)
rsiValue = self.am.rsi(self.rsiWindow)
if rsiValue >= self.rsiLong:
self.setSignalPos(1)
elif rsiValue <= self.rsiShort:
self.setSignalPos(-1)
else:
self.setSignalPos(0)
class CciSignal(CtaSignal):
"""CCI信号"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(CciSignal, self).__init__()
self.cciWindow = 30
self.cciLevel = 10
self.cciLong = self.cciLevel
self.cciShort = -self.cciLevel
self.bg = BarGenerator(self.onBar)
self.am = ArrayManager()
#----------------------------------------------------------------------
def onTick(self, tick):
"""Tick更新"""
self.bg.updateTick(tick)
#----------------------------------------------------------------------
def onBar(self, bar):
"""K线更新"""
self.am.updateBar(bar)
if not self.am.inited:
self.setSignalPos(0)
cciValue = self.am.cci(self.cciWindow)
if cciValue >= self.cciLong:
self.setSignalPos(1)
elif cciValue<= self.cciShort:
self.setSignalPos(-1)
else:
self.setSignalPos(0)
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(TurtleTradingStrategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar)
self.am = ArrayManager()
class TurtleTradingStrategy(CtaTemplate):
"""海龟交易策略"""
className = 'TurtleTradingStrategy'
author = u'用Python的交易员'
# 策略参数
entryWindow = 55 # 入场通道窗口
exitWindow = 20 # 出场通道窗口
atrWindow = 20 # 计算ATR波动率的窗口
initDays = 10 # 初始化数据所用的天数
fixedSize = 1 # 每次交易的数量
# 策略变量
entryUp = 0 # 入场通道上轨
entryDown = 0 # 入场通道下轨
exitUp = 0 # 出场通道上轨
exitDown = 0 # 出场通道下轨
atrVolatility = 0 # ATR波动率
longEntry = 0 # 多头入场价格
shortEntry = 0 # 空头入场价格
longStop = 0 # 多头止损价格
shortStop = 0 # 空头止损价格
# 参数列表，保存了参数的名称
paramList = ['name',
'className',
'author',
'vtSymbol',
'entryWindow',
'exitWindow',
'atrWindow',
'initDays',
'fixedSize']
# 变量列表，保存了变量的名称
varList = ['inited',
'trading',
'pos',
'entryUp',
'entryDown',
'exitUp',
'exitDown',
'longEntry',
'shortEntry',
'longStop',
'shortStop']
# 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):
"""Constructor"""
super(TurtleTradingStrategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar)
self.am = ArrayManager()
#----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略初始化' %self.name)
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.loadBar(self.initDays)
for bar in initData:
self.onBar(bar)
self.putEvent()
#----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略启动' %self.name)
self.putEvent()
#----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略停止' %self.name)
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)
#----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
self.cancelAll()
# 保存K线数据
self.am.updateBar(bar)
if not self.am.inited:
return
# 计算指标数值
self.entryUp, self.entryDown = self.am.donchian(self.entryWindow)
self.exitUp, self.exitDown = self.am.donchian(self.exitWindow)
if not self.pos:
self.atrVolatility = self.am.atr(self.atrWindow)
# 判断是否要进行交易
if self.pos == 0:
self.longEntry = 0
self.shortEntry = 0
self.longStop = 0
self.shortStop = 0
self.sendBuyOrders(self.entryUp)
self.sendShortOrders(self.entryDown)
elif self.pos > 0:
# 加仓逻辑
self.sendBuyOrders(self.longEntry)
# 止损逻辑
sellPrice = max(self.longStop, self.exitDown)
self.sell(sellPrice, abs(self.pos), True)
elif self.pos < 0:
# 加仓逻辑
self.sendShortOrders(self.shortEntry)
# 止损逻辑
coverPrice = min(self.shortStop, self.exitUp)
self.cover(coverPrice, abs(self.pos), True)
# 同步数据到数据库
self.saveSyncData()
# 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）"""
pass
#----------------------------------------------------------------------
def onTrade(self, trade):
"""成交推送"""
if trade.direction == DIRECTION_LONG:
self.longEntry = trade.price
self.longStop = self.longEntry - self.atrVolatility * 2
else:
self.shortEntry = trade.price
self.shortStop = self.shortEntry + self.atrVolatility * 2
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass
#----------------------------------------------------------------------
def sendBuyOrders(self, price):
"""发出一系列的买入停止单"""
t = self.pos / self.fixedSize
if t < 1:
self.buy(price, self.fixedSize, True)
if t < 2:
self.buy(price + self.atrVolatility*0.5, self.fixedSize, True)
if t < 3:
self.buy(price + self.atrVolatility, self.fixedSize, True)
if t < 4:
self.buy(price + self.atrVolatility*1.5, self.fixedSize, True)
#----------------------------------------------------------------------
def sendShortOrders(self, price):
""""""
t = self.pos / self.fixedSize
if t > -1:
self.short(price, self.fixedSize, True)
if t > -2:
self.short(price - self.atrVolatility*0.5, self.fixedSize, True)
if t > -3:
self.short(price - self.atrVolatility, self.fixedSize, True)
if t > -4:
self.short(price - self.atrVolatility*1.5, self.fixedSize, True)
class MultiTimeframeStrategy(CtaTemplate):
"""跨时间周期交易策略"""
className = 'MultiTimeframeStrategy'
author = u'用Python的交易员'
# 策略参数
rsiSignal = 20 # RSI信号阈值
rsiWindow = 14 # RSI窗口
fastWindow = 5 # 快速均线窗口
slowWindow = 20 # 慢速均线窗口
initDays = 10 # 初始化数据所用的天数
fixedSize = 1 # 每次交易的数量
# 策略变量
rsiValue = 0 # RSI指标的数值
rsiLong = 0 # RSI买开阈值
rsiShort = 0 # RSI卖开阈值
fastMa = 0 # 5分钟快速均线
slowMa = 0 # 5分钟慢速均线
maTrend = 0 # 均线趋势，多头1，空头-1
# 参数列表，保存了参数的名称
paramList = ['name',
'className',
'author',
'vtSymbol',
'rsiSignal',
'rsiWindow',
'fastWindow',
'slowWindow']
# 变量列表，保存了变量的名称
varList = ['inited',
'trading',
'pos',
'rsiValue',
'rsiLong',
'rsiShort',
'fastMa',
'slowMa',
'maTrend']
# 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):
"""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 onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略初始化' %self.name)
# 载入历史数据，并采用回放计算的方式初始化策略数值
initData = self.loadBar(self.initDays)
for bar in initData:
self.onBar(bar)
self.putEvent()
#----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略启动' %self.name)
self.putEvent()
#----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'%s策略停止' %self.name)
self.putEvent()
#----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
# 只需要要在一个BarGenerator中合成1分钟K线
self.bg5.updateTick(tick)
#----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
# 基于15分钟判断趋势过滤，因此先更新
self.bg15.updateBar(bar)
# 基于5分钟判断
self.bg5.updateBar(bar)
#----------------------------------------------------------------------
def on5MinBar(self, bar):
"""5分钟K线"""
self.cancelAll()
# 保存K线数据
self.am5.updateBar(bar)
if not self.am5.inited:
return
# 如果15分钟数据尚未初始化完毕，则直接返回
if not self.maTrend:
return
# 计算指标数值
self.rsiValue = self.am5.rsi(self.rsiWindow)
# 判断是否要进行交易
# 当前无仓位
if self.pos == 0:
if self.maTrend > 0 and self.rsiValue >= self.rsiLong:
self.buy(bar.close+5, self.fixedSize)
elif self.maTrend < 0 and self.rsiValue <= self.rsiShort:
self.short(bar.close-5, self.fixedSize)
# 持有多头仓位
elif self.pos > 0:
if self.maTrend < 0 or self.rsiValue < 50:
self.sell(bar.close-5, abs(self.pos))
# 持有空头仓位
elif self.pos < 0:
if self.maTrend > 0 or self.rsiValue > 50:
self.cover(bar.close+5, abs(self.pos))
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
def on15MinBar(self, bar):
"""15分钟K线推送"""
self.am15.updateBar(bar)
if not self.am15.inited:
return
# 计算均线并判断趋势
self.fastMa = self.am15.sma(self.fastWindow)
self.slowMa = self.am15.sma(self.slowWindow)
if self.fastMa > self.slowMa:
self.maTrend = 1
else:
self.maTrend = -1
#----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
pass
#----------------------------------------------------------------------
def onTrade(self, trade):
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass
