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 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