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 HgStrategy(CtaTemplate):
"""Demo"""
className = 'haigui'
author = u'zhice'
priceTpye = PRICETYPE_MARKETPRICE # 设置为市价单
# 参数列表，保存了参数的名称
paramList = ['name',
'className',
'author',
'vtSymbol',
'productID',
'shortWindow',
'middleWindow',
'longWindow',
# 交易的实例名信息，一个实例包含一组策略实例
'instanceName',
'instanceId',
'instanceAccount']
# 保存了要用pickle恢复的参数列表
pickleParamList = []
# 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(HgStrategy, self).__init__(ctaEngine, setting)
self.GOON = False
# 每次启动要重建的参数
self.bg = BarGenerator(self.onBar)
self.cacheDays = max(self.longWindow, (2 * self.middleWindow) + 1)
self.am = ArrayManager(self.cacheDays)
self.myDb = mydb # 数据库引擎
self.hgDbEngine = hgDbEngine(mydb) # cta 数据库操作的一些封装
self.hgReport = hgReport(self.hgDbEngine)
self.monitor = {} # 合约当天的 10日线高低、20日线高低、55日线和ART信息
self.contracts = self.hgDbEngine.getAllContract() # 最新的合约信息
self.sessionID = None # 本地交易
self.frontID = None # 本次交易的
self.logLevel = LOG_INFO # 设置日志输出级别
self.bGenImg = True # 是否生成图像标志位
# self.sessionid = uuid.uuid1() # 本次唯一id
# 关于生成图片与展示html的两个关键变量
self.imgHtmlRootDir = '' # 图片和展示html的根路径
if os.path.exists('/home/ubuntu/vnpy/vnpy-1.8/'):
self.imgHtmlRootDir = '/home/ubuntu/'
print('sys.path.append - /home/ubuntu/vnpy/vnpy-1.8/')
elif os.path.exists('/srv/vnpy18'):
self.imgHtmlRootDir = '/srv/img_html/'
print('sys.path.append - /srv/vnpy18')
# 【重要】所有要pickle存储的数据都要记录在变量中
# True 代表用pickle存储，False代表用正常方式存储
self.pickleItemDict = {"orderList": True,
"tradeList": True,
"hgCellList": True,
"plan_add_price": False,
"atr": False,
"cell_num": False,
"s_or_b": False,
"offsetProfit": False,
"floatProfit": False,
"max_cell_num": False,
"health": False,
"MaxInstanceTotalCellNum": False,
"totalRealUnit": False,
"vtSymbol": False,
"symbolName": False}
# 每次启动要用pickle恢复的数据
#self.hgPosition = {} # 持仓信息
self.orderList = [] # 报单列表
self.tradeList = [] # 成交列表
self.hgCellList = [] # 持仓列表，元素为HgCell
self.plan_add_price = -1 # 加仓价格
self.atr = -1
self.cell_num = 0 # 持仓量
self.s_or_b = '' # 买卖方向
self.offsetProfit = -1 # 平仓盈亏
self.floatProfit = -1 # 浮动盈亏
self.max_cell_num = 3 # 最大持仓量
self.health = True # 交易状态是否健康
self.MaxInstanceTotalCellNum = 12 # 相同实例下单方向的总持仓上限
self.totalRealUnit = 0 # 真实总持仓
self.vtSymbol = ''
self.symbolName = '' # 合约中文名字
fileProductID = self.productID
# TODO通过pickle进行数据恢复
self.hgDbEngine.recoveryFromDb(self)
# 数据库恢复的 productID 与 配置文件中的不一致，属于异常情况，停止交易
if fileProductID <> self.productID:
self.stopTrading()
self.myPrint(LOG_ERROR, '__init__', '文件与数据库中productID不一致，停止交易。')
# 海龟交易主力合约，配置时 symbol 配置的是品种名称，进行翻译。
ret = self.hgDbEngine.getDominantByProductID(self.productID)
# 判断是否需要进行手工移仓
# TODO 目前出现移仓情况需要手动处理
if ret is not None and self.vtSymbol != "" and self.vtSymbol != ret:
self.stopTrading() # 需要进行手工移仓
self.myPrint(LOG_ERROR, '__init__', '需要进行手工移仓。')
if ret is not None and self.vtSymbol == "" :
self.vtSymbol = ret
if ret is None:
self.stopTrading()
self.myPrint(LOG_ERROR, '__init__', '获取主力合约失败。')
self.symbolName = self.contracts[self.vtSymbol]['name'] # 获取合约中文名字
# 只在第一个实例中发送报告
if self.instanceId.endswith('_01'):
self.myPrint(LOG_INFO, 'onInit', '发送报告: ' + self.instanceName)
self.hgReport.sendReport(self.instanceName, self.pickleItemDict)
if self.health:
self.myPrint(LOG_INFO, '__init__', '初始化完成。')
else:
self.myPrint(LOG_ERROR, '__init__', '初始化失败。')
def stopTrading(self, info = ""):
self.myPrint(LOG_ERROR, 'stopTrading', info)
self.health = False
#----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.myPrint(LOG_INFO, 'onInit', '海龟交易法则策略开始初始化。')
# 初始化合约信息
#self.contracts = self.hgDbEngine.getAllContract()
initData = self.hgDbEngine.loadDayBar(self.vtSymbol, self.cacheDays)
if len(initData) != self.cacheDays:
self.myPrint(LOG_ERROR, 'onInit', u'【ERROR】【hg】%s 合约初始化数据不足，需要长度为%d ,实际长度为 %d' % (self.vtSymbol, self.longWindow, len(initData)))
self.stopTrading()
return
for bar in initData:
self.am.updateBar(bar)
shortWindowHighBreak = self.am.high[-self.shortWindow:].max()
shortWindowLowBreak = self.am.low[-self.shortWindow:].min()
middleWindowHighBreak = self.am.high[-self.middleWindow:].max()
middleWindowLowBreak = self.am.low[-self.middleWindow:].min()
longWindowHighBreak = self.am.high[-self.longWindow:].max()
longWindowLowBreak = self.am.low[-self.longWindow:].min()
atr = self.am.atr(20, False)
# 如果记录过atr，则使用开仓时候的 atr
if self.atr != -1 and self.cell_num > 0:
atr = self.atr
unit = int(self.instanceAccount * 0.01 / (atr * self.contracts[self.vtSymbol]['size']))
self.monitor = {
'shortWindowHighBreak': shortWindowHighBreak,
'shortWindowLowBreak': shortWindowLowBreak,
'middleWindowHighBreak': middleWindowHighBreak,
'middleWindowLowBreak': middleWindowLowBreak,
'longWindowHighBreak': longWindowHighBreak,
'longWindowLowBreak': longWindowLowBreak,
'atr': atr,
'unit': unit
}
# 增加一个校验，但凡有一个为零，认为初始化不成功，停止交易
if 0 in [shortWindowHighBreak, shortWindowLowBreak, middleWindowHighBreak
, middleWindowLowBreak, longWindowHighBreak, longWindowLowBreak, atr, unit]:
self.myPrint(LOG_ERROR, 'onInit', u'%s合约初始化失败，信息为%s' % (self.vtSymbol, self.monitor))
self.stopTrading()
self.myPrint(LOG_INFO, 'onInit', u'%s合约初始化，信息为%s' % (self.vtSymbol,self.monitor))
# 报单查询测试
gateway = self.ctaEngine.mainEngine.getGateway('CTP')
# 拿到本次交易的 sessionID 和 frontID，可以抽象到上层
self.sessionID = gateway.tdApi.sessionID # 本地交易
self.frontID = gateway.tdApi.frontID # 本次交易的
self.myPrint(LOG_INFO, 'onInit', u'初始化，sessionID = %s; frontID = %s' % (self.sessionID, self.frontID))
self.myPrint(LOG_INFO, 'onInit', '海龟交易法则策略初始化完成。')
# TODO 每次重新登录如果有历史报单，对历史报单的处理
# 前几个函数测试使用
#self.health = False
#self.myPrint(LOG_INFO, 'onInit', '未测试，先关闭真正的交易。')
#self.stopTrading()
#gateway.tdApi.qryTest()
# ----------------------------------------------------------------------
# 生成图像的封装函数
def genImg(self, size, closePrice):
# 每月的图片放在一个文件夹
# 文件用时间命名
strTime = datetime.now().strftime('%Y%m%d-%H%M%S-%f')
strMonth = strTime[0:6]
filePath = self.imgHtmlRootDir + 'img/' + strMonth
if not os.path.exists(filePath):
os.makedirs(filePath)
fileNamePath = filePath + '/' + strTime + '.jpg'
title = self.vtSymbol + " " + strTime
s_h, s_l = self.am.donchian(self.shortWindow, array=True)
m_h, m_l = self.am.donchian(self.middleWindow, array=True)
l_h, l_l = self.am.donchian(self.longWindow, array=True)
s_h = s_h[-size:]
s_l = s_l[-size:]
m_h = m_h[-size:]
m_l = m_l[-size:]
l_h = l_h[-size:]
l_l = l_l[-size:]
close = self.am.close[-size:]
s_h = np.hstack((s_h, s_h[-1]))
s_l = np.hstack((s_l, s_l[-1]))
m_h = np.hstack((m_h, m_h[-1]))
m_l = np.hstack((m_l, m_l[-1]))
l_h = np.hstack((l_h, l_h[-1]))
l_l = np.hstack((l_l, l_l[-1]))
close = np.hstack((close, closePrice))
saveImg(self,fileNamePath, title,s_h, s_l, m_h, m_l, l_h, l_l, close, size+1)
# ----------------------------------------------------------------------
#----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.myPrint(LOG_INFO, 'onStart', u'海龟交易法则策略启动')
self.putEvent()
#----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.myPrint(LOG_INFO, 'onStop', u'海龟交易法则策略启动')
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)
# TODO 将来可以添加校验，校验是否订阅的合约都有信号
#----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
# TODO 对涨跌停的处理
# TODO 异常值的处理
# TODO 如果委托了，一直不成交怎么办
#strategy.trading = False
#strategy.inited = False
print(bar.__dict__)
self.myPrint(LOG_DEBUG, 'onBar', '进入onBar.')
self.myPrint(LOG_DEBUG, 'onBar', bar.__dict__)
if not self.trading :
self.myPrint(LOG_INFO, 'onBar', 'self.trading is false')
return
if not self.health:
self.myPrint(LOG_ERROR, 'onBar', 'self.health is false')
return
# 是否生成图像处理
if self.bGenImg:
# 生成图像
self.genImg(20, bar.close)
# 生成展示html
genHtmls(self.imgHtmlRootDir)
self.bGenImg = False
#self.buy(3750, 1)
#return
# 测试
#self.monitor['middleWindowHighBreak'] = 3575
# 测试结束
vtSymbol = bar.vtSymbol
# 如果发现有合约初始化未完成，直接返回
if not self.am.inited:
self.myPrint(LOG_ERROR, 'onBar', u'【ERROR】【hg】合约未能正常初始化' % (vtSymbol))
return
# 账户金额有限，如果加仓单位还不到1，则直接返回
if self.monitor['unit'] == 0:
self.myPrint(LOG_ERROR, 'onBar', u'self.monitor[unit] == 0')
return
# 5、如果存在不问稳定的订单状态直接返回
if not self.is_all_cell_stable():
# self.printCells("not self.is_all_cell_stable()")
self.myPrint(LOG_INFO, 'onBar', "not self.is_all_cell_stable()")
return
# TODO 这里可以优化， hand_cell 和 saveIntoDB 重复了。
# 6、如果真实持仓未达到目标状态，下单，更新数据库，并返回
if not self.is_all_cell_get_target_unit():
self.myPrint(LOG_IMPORTANT, 'onBar', "当前订单稳定了，但是 没有达到目标仓位，则继续交易。")
for hgcell in self.hgCellList:
hgcell.hand_cell(self, bar.close)
# 记录在数据库中
self.hgDbEngine.saveIntoDB(self)
return
if not self.calCellNumAndTotalRealUnit() and len(self.hgCellList) > 0:
self.myPrint(LOG_ERROR, 'onBar', 'not self.calCellNumAndTotalRealUnit() and len(self.hgCellList) > 0')
self.stopTrading()
return
if self.cell_num >= 1:
# 更新加仓价格
cell = self.hgCellList[self.cell_num - 1] # 取最后一个持仓
if cell.is_all_order_stable(self) and cell.real_unit == cell.target_unit:
# 订单都稳定了，并且达到了目标持仓，更新加仓价格
if cell.open_direction == 'b':
self.plan_add_price = cell.real_in_price + (cell.N / 2)
if cell.open_direction == 's':
self.plan_add_price = cell.real_in_price - (cell.N / 2)
else:
self.myPrint(LOG_ERROR, 'onBar', '不应该出现这种情况，存在订单不稳定或者 目标真实持仓不一致的情况')
self.stopTrading()
return
# 更新退出价格信息
self.update_plan_stop_price()
# 进行一次数据库写入
self.hgDbEngine.saveIntoDB(self)
# 当前持仓大于最大持仓要求
if self.cell_num >= self.max_cell_num:
self.myPrint(LOG_INFO, 'onBar', u'已达到最大持仓 %d / %d' % (self.cell_num, self.max_cell_num))
return
# 单方向是否达到了最大值
tmpInstanceTotalCellNum = self.hgDbEngine.getInstanceTotalCellNum(self.instanceName, self.s_or_b)
if self.s_or_b and tmpInstanceTotalCellNum >= self.MaxInstanceTotalCellNum:
self.myPrint(LOG_INFO, 'onBar', "tmpInstanceTotalCellNum >= self.MaxInstanceTotalCellNum ,"
"the value is %d / %d " % (
tmpInstanceTotalCellNum, self.MaxInstanceTotalCellNum))
return
# TODO 当前持仓是否满足 6 规则
# TODO 撤销所有的合约
# cell 是否发生变化，如果有发生变化，就不再进行下面的逻辑
isCellChange = False
# 如果未持有合约，判断是否有突破
if self.cell_num == 0:
if bar.close > self.monitor['middleWindowHighBreak']:
# 有向上突破
isCellChange = True
self.s_or_b = 'b'
a_cell = HgCell(vtSymbol, self.s_or_b, self.monitor['unit'],
self.monitor['middleWindowHighBreak'], BREAK_MIDDLEWINDOW, self.monitor['atr'])
self.myPrint(LOG_IMPORTANT, 'onBar', "发现向上突破，开仓信息如下"
"vtSymbol = %s, "
"s_or_b = %s, "
"unit = %d, "
"middleWindowHighBreak = %d, "
"type = %s, "
"atr = %d " % (vtSymbol, self.s_or_b, self.monitor['unit'],
self.monitor['middleWindowHighBreak'], BREAK_MIDDLEWINDOW, self.monitor['atr']))
self.addCell(a_cell)
elif bar.close < self.monitor['middleWindowLowBreak']:
# 有向下突破
isCellChange = True
self.s_or_b = 's'
a_cell = HgCell(vtSymbol, self.s_or_b, self.monitor['unit'],
self.monitor['middleWindowLowBreak'], BREAK_MIDDLEWINDOW, self.monitor['atr'])
self.myPrint(LOG_IMPORTANT, 'onBar', "发现向下突破，开仓信息如下"
"vtSymbol = %s, "
"s_or_b = %s, "
"unit = %d, "
"middleWindowLowBreak = %d, "
"type = %s, "
"atr = %d " % (vtSymbol, self.s_or_b, self.monitor['unit'],
self.monitor['middleWindowLowBreak'],
BREAK_MIDDLEWINDOW, self.monitor['atr']))
self.addCell(a_cell)
# 初始持仓为0，并出现成交，说明开仓了，记录开仓时候的art
if isCellChange == True:
self.atr = self.monitor['atr']
self.myPrint(LOG_IMPORTANT, 'onBar', "开仓atr = %d" % (self.atr))
# TODO 清仓完毕后需要重置一些属性，尤其是ATR
if self.cell_num == 0:
# 下面的操作只有有持仓时才操作
self.myPrint(LOG_DEBUG, 'onBar', "self.cell_num == 0")
return
if not isCellChange:
# 如果持有合约，判断是否触及退出
# 10日线退出法则, 多头头寸，价格低于最近10日最低点时退出
if self.s_or_b == 'b' and bar.close < self.monitor['shortWindowLowBreak']:
self.myPrint(LOG_IMPORTANT, 'onBar', "10日线退出法则, 多头头寸，价格低于最近10日最低点时退出。"
"s_or_b = %s, "
"bar.close = %d,"
"shortWindowLowBreak = %d " % (self.s_or_b, bar.close, self.monitor['shortWindowLowBreak']))
self.quitAllOrders()
isCellChange = True
# 10日线退出法则, 空头头寸，价格高于最近10日最高点时退出
if self.s_or_b == 's' and bar.close > self.monitor['shortWindowHighBreak']:
self.myPrint(LOG_IMPORTANT, 'onBar', "10日线退出法则,空头头寸，价格高于最近10日最高点时退出。"
"s_or_b = %s, "
"bar.close = %d,"
"shortWindowHighBreak = %d " % (
self.s_or_b, bar.close, self.monitor['shortWindowHighBreak']))
self.quitAllOrders()
isCellChange = True
# 如果持有合约，判断是否触及止损
# TODO 涨跌停的处理
if not isCellChange:
isCellChange = self.check_stop_condition(bar.close)
if isCellChange:
self.myPrint(LOG_IMPORTANT, 'onBar', "触及止损。")
# 如果持有合约，判断是否触及加仓，同时判断仓位是否超过限制
if not isCellChange:
isCellChange = self.check_add_condition(bar.close)
if isCellChange:
self.myPrint(LOG_IMPORTANT, 'onBar', "触及加仓。")
# 处理每个cell
if isCellChange:
self.myPrint(LOG_IMPORTANT, 'onBar', "处理cell变动，并记录在数据库中。")
for hgcell in self.hgCellList:
hgcell.hand_cell(self, bar.close)
# 记录在数据库中
self.hgDbEngine.saveIntoDB(self)
# 判断是否所有cell的订单都是稳定的
def is_all_cell_stable(self):
ret = True
for hgcell in self.hgCellList:
ret = hgcell.is_all_order_stable(self) and ret
return ret
# 判断是否所有cell都达到目标订单了
def is_all_cell_get_target_unit(self):
ret = True
for hgcell in self.hgCellList:
ret = (hgcell.target_unit == hgcell.real_unit) and ret
return ret
#----------------------------------------------------------------------
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
self.myPrint(LOG_DEBUG, 'onOrder', 'IN')
self.myPrint(LOG_INFO, 'onOrder', str(order.__dict__).decode('unicode-escape'))
self.printCells("*" * 20 + " in onorder")
self.orderList.append(order)
# onOrder -133888101.1.CTP.4
# 更新 cell 中 in_orderId_dict out_orderId_dict 中的订单信息
is_update = False
for hgcell in self.hgCellList:
is_update = (hgcell.updateOrder(order) or is_update)
if is_update:
self.myPrint(LOG_IMPORTANT, 'onOrder', '成功更新 cell orders。')
else:
self.myPrint(LOG_ERROR, 'onOrder', '更新 cell orders 失败。')
self.stopTrading()
# TODO 更新持仓数量信息
# 记录在数据库中
self.hgDbEngine.saveIntoDB(self)
self.printCells("*" * 20 + " out onorder")
#----------------------------------------------------------------------
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
# 打印过trader信息，里面没有session信息
self.myPrint(LOG_DEBUG, 'onTrade', '')
self.myPrint(LOG_INFO, 'onTrade', str(trade.__dict__).decode('unicode-escape'))
self.tradeList.append(trade)
self.printCells("*"*20 + " in onTrade")
is_update = False
orderid = trade.vtOrderID
# 如果 sessionID 和 frontID 维护了
if self.sessionID is not None and self.frontID is not None:
orderid = self.sessionID + '.' + self.frontID + '.' + orderid
# 把 Trade 更新到 cell 中， 更新完之后，会自动计算当前cell持仓 和 真实价格
for hgcell in self.hgCellList:
is_update = (hgcell.updateTrade(orderid, trade) or is_update)
if is_update:
self.myPrint(LOG_IMPORTANT, 'onTrade', '成功更新 cell trades。')
else:
self.myPrint(LOG_ERROR, 'onTrade', '更新 cell trades 失败。')
self.stopTrading()
# 接收到成交之后打印一下自己
for hgcell in self.hgCellList:
hgcell.print_self()
# 记录在数据库中
self.hgDbEngine.saveIntoDB(self)
# TODO 发送下报告，这里报告中有些字段还没更新，其实不是最佳时机
self.myPrint(LOG_INFO, 'onTrade', '发送报告: ' + self.instanceName)
self.hgReport.sendReport(self.instanceName, self.pickleItemDict)
self.printCells("*" * 20 + " out onTrade")
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
self.myPrint("onStopOrder", so.__dict__)
pass
# ----------------------------------------------------------------------
def myPrint(self, funName, date):
print("%s strategyHg funName = %s , date = %s " % (datetime.now(), funName, date))
# 自定义日志级别输出函数
def myPrint(self, level, funName, data):
info = ""
if level == LOG_INFO:
info = '【INFO】'
if level == LOG_DEBUG:
info = '【DEBUG】'
if level == LOG_IMPORTANT:
info = '【IMPORTANT】'
if level == LOG_ERROR:
info = '【ERROR】'
# 添加策略实例标识
info = info + self.instanceName + ' ' + self.instanceId + ' '
if level >= self.logLevel:
info = info + " %s strategyHg funName = %s , data = %s " % (datetime.now(), funName, data)
#print(info) # 输出在文件中
self.writeCtaLog(info) # 输出在数据库中
# 计算真实cell持仓,和 总单位持仓，调用前提是订单已经稳定，订单列表肯定不能为空
def calCellNumAndTotalRealUnit(self):
self.myPrint(LOG_DEBUG, 'calCellNumAndTotalRealUnit', 'IN')
positionCellNum = 0 # 处于已持仓的cell数量
totalRealUnit = 0
ret = True # 返回默认为正常
# 倒叙遍历cell
for cell in list(reversed(self.hgCellList)):
real = cell.real_unit
target = cell.target_unit
totalRealUnit = totalRealUnit + real
# 进入此函数，cell 一定经过了执行 hand_cell in_orderId_dict 不可能为空
if not cell.in_orderId_dict:
self.myPrint(LOG_ERROR, 'calRealCellAndUnitNum', 'not cell.in_orderId_dict')
self.stopTrading()
ret = False
# 订单处于稳定状态，只有一种情况 target == real
if target > 0 and target == real:
positionCellNum = positionCellNum + 1
elif target == 0 and target == real:
self.myPrint(LOG_IMPORTANT, 'calRealCellAndUnitNum', 'cell 清空完毕,将cell删除。')
self.hgCellList.remove(cell)
else:
# 其他情况均为不正常状态
self.myPrint(LOG_ERROR, 'calRealCellAndUnitNum', '其他情况均为不正常状态'
'target = %d, real = %d ' % (target, real))
self.stopTrading()
ret = False
self.cell_num = len(self.hgCellList) # cell数量
self.totalRealUnit = totalRealUnit # 真实总持仓情况
return ret
# ----------------------------------------------------------------------
def addCell(self, cell):
# 增加一个持仓单位
# 当前持仓大于最大持仓要求
if self.cell_num >= self.max_cell_num:
self.myPrint(LOG_IMPORTANT, 'addCell', u'已达到最大持仓 %d / %d' % (self.cell_num, self.max_cell_num))
return
# 单方向是否达到了最大值
tmpInstanceTotalCellNum = self.hgDbEngine.getInstanceTotalCellNum(self.instanceName, self.s_or_b)
if tmpInstanceTotalCellNum >= self.MaxInstanceTotalCellNum:
self.myPrint(LOG_IMPORTANT, 'addCell', "tmpInstanceTotalCellNum >= self.MaxInstanceTotalCellNum ,"
"the value is %d / %d " % (
tmpInstanceTotalCellNum, self.MaxInstanceTotalCellNum))
return
self.cell_num = self.cell_num + 1 # 持仓计数加1
self.hgCellList.append(cell) # 添加在持仓列表中
# ----------------------------------------------------------------------
def quitAllOrders(self):
# 设定所有持仓的目标仓位为0
for cell in self.hgCellList:
cell.target_unit = 0
def check_stop_condition(self, price):
""" 检验是否触发止损条件"""
ret = False # 默认返回True
if self.s_or_b == 'b':
# 多头持仓
for cell in self.hgCellList:
if cell.plan_stop_price is not None:
if price <= cell.plan_stop_price:
# 当前价格小于等于止损价格时，设定目标仓位为0
cell.target_unit = 0
ret = True
else:
self.myPrint(LOG_ERROR, 'check_stop_condition', "check_stop_condition,cell.plan_stop_price is None")
if self.s_or_b == 's':
# 空头持仓
for cell in self.hgCellList:
if cell.plan_stop_price is not None:
if price >= cell.plan_stop_price:
# 当前价格大于等于止损价格时，设定目标仓位为0
cell.target_unit = 0
ret = True
else:
self.myPrint(LOG_ERROR, 'check_stop_condition', "check_stop_condition,cell.plan_stop_price is None")
return ret
# ----------------------------------------------------------------------
def check_add_condition(self, price):
"""检验是否触及加仓条件"""
# 之前已有校验，能进入这个函数说明未达到最大持仓，单方向也满足要求
ret = False
cell = self.hgCellList[len(self.hgCellList) - 1] # 取最后一个持仓
if self.s_or_b == 'b':
# 多头持仓，并且当前价格大约加仓价
if price >= self.plan_add_price:
a_cell = HgCell(self.vtSymbol, self.s_or_b, self.monitor['unit'],
self.plan_add_price, HALF_N, cell.N)
self.myPrint(LOG_IMPORTANT, 'check_add_condition', "触发加仓，信息如下"
"vtSymbol = %s, "
"s_or_b = %s, "
"unit = %d, "
"plan_add_price = %d, "
"type = %s, "
"N = %d " % (self.vtSymbol, self.s_or_b, self.monitor['unit'],
self.plan_add_price,
HALF_N, cell.N))
self.addCell(a_cell)
ret = True
if self.s_or_b == 's':
# 空头持仓，并且当前价格小于加仓价
if price <= self.plan_add_price:
a_cell = HgCell(self.vtSymbol, self.s_or_b, self.monitor['unit'],
self.plan_add_price, HALF_N, cell.N)
self.myPrint(LOG_IMPORTANT, 'check_add_condition', "触发加仓，信息如下"
"vtSymbol = %s, "
"s_or_b = %s, "
"unit = %d, "
"plan_add_price = %d, "
"type = %s, "
"N = %d " % (
self.vtSymbol, self.s_or_b, self.monitor['unit'],
self.plan_add_price,
HALF_N, cell.N))
self.addCell(a_cell)
ret = True
return ret
# ----------------------------------------------------------------------
# 更新 self.plan_stop_price
# 从最后一个仓位开始，计算每个仓位的退出值
def update_plan_stop_price(self):
last_real_in_price = None # 记录上一个价格
last_plan_stop_price = None # 记录上一个止损价格
for cell in list(reversed(self.hgCellList)):
self.real_unit = 0 # 真实持仓单位
self.real_in_price = 0 # 平均入场价格
if cell.real_unit == 0 or cell.real_in_price == 0:
self.myPrint(LOG_ERROR, 'update_plan_stop_price', "cell.real_unit == 0 or cell.real_in_price == 0")
self.stopTrading()
break
tmp_plan_stop_price = None
if self.s_or_b == 'b':
tmp_plan_stop_price = cell.real_in_price - 2 * cell.N
elif self.s_or_b == 's':
tmp_plan_stop_price = cell.real_in_price + 2 * cell.N
# 如果处理的是最后一个cell，直接更新
if last_real_in_price == None:
cell.plan_stop_price = tmp_plan_stop_price
elif 0.8 < float(last_real_in_price)/cell.real_in_price < 1.2:
cell.plan_stop_price = last_plan_stop_price
else:
cell.plan_stop_price = tmp_plan_stop_price
last_real_in_price = cell.real_in_price
last_plan_stop_price = cell.plan_stop_price
# 获取当前实例s_or_b 方向的总持仓数
"""
def getInstanceTotalCellNum(self):
TotalCellNum = 0
d = [
{'$match': {"instanceName": self.instanceName ,"s_or_b" : self.s_or_b}},
{'$group': {'_id': "$instanceName", 'total': {'$sum': "$cell_num"}}}
]
ret = mydb.dbAggregateSum(MAIN_DB_NAME, TB_HG_MAIN, d)
for tmp in ret:
TotalCellNum = int(tmp['total'])
break
print("instanceName:%s %s 方向的总持仓为: %d" % (self.instanceName, self.s_or_b, TotalCellNum))
return TotalCellNum
"""
def printCells(self,info=""):
print(info)
print("start printself")
gt200 = {key: value for key, value in self.__dict__.items() if key not in ['contracts','orderList','tradeList','hgCellList']}
print(str(gt200).decode('unicode-escape'))
print("end printsefl")
print("start printcells")
for cell in self.hgCellList:
cell.print_self()
print("end printcells")
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 TurtleSignal(object):
"""海龟信号"""
# ----------------------------------------------------------------------
def __init__(self,
portfolio,
vtSymbol,
entryWindow,
exitWindow,
atrWindow,
profitCheck=False):
"""Constructor"""
self.portfolio = portfolio # 投资组合
self.vtSymbol = vtSymbol # 合约代码
self.entryWindow = entryWindow # 入场通道周期数
self.exitWindow = exitWindow # 出场通道周期数
self.atrWindow = atrWindow # 计算ATR周期数
self.profitCheck = profitCheck # 是否检查上一笔盈利
self.am = ArrayManager(60) # K线容器
self.atrVolatility = 0 # ATR波动率
self.entryUp = 0 # 入场通道
self.entryDown = 0
self.exitUp = 0 # 出场通道
self.exitDown = 0
self.longEntry1 = 0 # 多头入场位
self.longEntry2 = 0
self.longEntry3 = 0
self.longEntry4 = 0
self.longStop = 0 # 多头止损位
self.shortEntry1 = 0 # 空头入场位
self.shortEntry2 = 0
self.shortEntry3 = 0
self.shortEntry4 = 0
self.shortStop = 0 # 空头止损位
self.unit = 0 # 信号持仓
self.result = None # 当前的交易
self.resultList = [] # 交易列表
self.bar = None # 最新K线
# ----------------------------------------------------------------------
# def onBar(self, bar):
# """"""
# self.bar = bar
# self.am.updateBar(bar)
# if not self.am.inited:
# return
#
# self.generateSignal(bar)
# self.calculateIndicator()
def onBar(self, bar):
""""""
self.bar = bar
self.am.updateBar(bar)
while not self.am.inited:
self.am.updateBar(bar)
self.generateSignal(bar)
self.calculateIndicator()
# ----------------------------------------------------------------------
def generateSignal(self, bar):
"""
判断交易信号
要注意在任何一个数据点：buy/sell/short/cover只允许执行一类动作
"""
# 如果指标尚未初始化，则忽略
if not self.longEntry1:
return
# 优先检查平仓
if self.unit > 0:
longExit = max(self.longStop, self.exitDown)
if bar.low <= longExit:
self.sell(longExit)
return
elif self.unit < 0:
shortExit = min(self.shortStop, self.exitUp)
if bar.high >= shortExit:
self.cover(shortExit)
return
# 没有仓位或者持有多头仓位的时候，可以做多（加仓）
if self.unit >= 0:
trade = False
if bar.high >= self.longEntry1 and self.unit < 1:
self.buy(self.longEntry1, 1)
trade = True
if bar.high >= self.longEntry2 and self.unit < 2:
self.buy(self.longEntry2, 1)
trade = True
if bar.high >= self.longEntry3 and self.unit < 3:
self.buy(self.longEntry3, 1)
trade = True
if bar.high >= self.longEntry4 and self.unit < 4:
self.buy(self.longEntry4, 1)
trade = True
if trade:
return
# 没有仓位或者持有空头仓位的时候，可以做空（加仓）
if self.unit <= 0:
if bar.low <= self.shortEntry1 and self.unit > -1:
self.short(self.shortEntry1, 1)
if bar.low <= self.shortEntry2 and self.unit > -2:
self.short(self.shortEntry2, 1)
if bar.low <= self.shortEntry3 and self.unit > -3:
self.short(self.shortEntry3, 1)
if bar.low <= self.shortEntry4 and self.unit > -4:
self.short(self.shortEntry4, 1)
# ----------------------------------------------------------------------
def calculateIndicator(self):
"""计算技术指标"""
self.entryUp, self.entryDown = self.am.donchian(self.entryWindow)
self.exitUp, self.exitDown = self.am.donchian(self.exitWindow)
# 有持仓后，ATR波动率和入场位等都不再变化
if not self.unit:
self.atrVolatility = self.am.atr(self.atrWindow)
self.longEntry1 = self.entryUp
self.longEntry2 = self.entryUp + self.atrVolatility * 0.5
self.longEntry3 = self.entryUp + self.atrVolatility * 1
self.longEntry4 = self.entryUp + self.atrVolatility * 1.5
self.longStop = 0
self.shortEntry1 = self.entryDown
self.shortEntry2 = self.entryDown - self.atrVolatility * 0.5
self.shortEntry3 = self.entryDown - self.atrVolatility * 1
self.shortEntry4 = self.entryDown - self.atrVolatility * 1.5
self.shortStop = 0
# ----------------------------------------------------------------------
def newSignal(self, direction, offset, price, volume):
""""""
self.portfolio.newSignal(self, direction, offset, price, volume)
# ----------------------------------------------------------------------
def buy(self, price, volume):
"""买入开仓"""
price = self.calculateTradePrice(DIRECTION_LONG, price)
self.open(price, volume)
self.newSignal(DIRECTION_LONG, OFFSET_OPEN, price, volume)
# 以最后一次加仓价格，加上两倍N计算止损
self.longStop = price - self.atrVolatility * 2
# ----------------------------------------------------------------------
def sell(self, price):
"""卖出平仓"""
price = self.calculateTradePrice(DIRECTION_SHORT, price)
volume = abs(self.unit)
self.close(price)
self.newSignal(DIRECTION_SHORT, OFFSET_CLOSE, price, volume)
# ----------------------------------------------------------------------
def short(self, price, volume):
"""卖出开仓"""
price = self.calculateTradePrice(DIRECTION_SHORT, price)
self.open(price, -volume)
self.newSignal(DIRECTION_SHORT, OFFSET_OPEN, price, volume)
# 以最后一次加仓价格，加上两倍N计算止损
self.shortStop = price + self.atrVolatility * 2
# ----------------------------------------------------------------------
def cover(self, price):
"""买入平仓"""
price = self.calculateTradePrice(DIRECTION_LONG, price)
volume = abs(self.unit)
self.close(price)
self.newSignal(DIRECTION_LONG, OFFSET_CLOSE, price, volume)
# ----------------------------------------------------------------------
def open(self, price, change):
"""开仓"""
self.unit += change
if not self.result:
self.result = TurtleResult()
self.result.open(price, change)
# ----------------------------------------------------------------------
def close(self, price):
"""平仓"""
self.unit = 0
self.result.close(price)
self.resultList.append(self.result)
self.result = None
# ----------------------------------------------------------------------
def getLastPnl(self):
"""获取上一笔交易的盈亏"""
if not self.resultList:
return 0
result = self.resultList[-1]
return result.pnl
# ----------------------------------------------------------------------
def calculateTradePrice(self, direction, price):
"""计算成交价格"""
# 买入时，停止单成交的最优价格不能低于当前K线开盘价
if direction == DIRECTION_LONG:
tradePrice = max(self.bar.open, price)
# 卖出时，停止单成交的最优价格不能高于当前K线开盘价
else:
tradePrice = min(self.bar.open, price)
return tradePrice
