def on_bar(self, data):
"""
Callback of new bar data update.
"""
best_bardata = {}
for bar in data.values():
flag = get_symbol_flag(bar.symbol)
if flag not in Future_Params:
continue
if bar.symbol not in self.cache_bar:
self.cache_bar[bar.symbol] = []
self.cache_bar[bar.symbol].append(bar)
if not self.is_expire(bar): # 剩余天数 小于等于7天 排除
best_bar = best_bardata.get(flag, None)
if not best_bar or bar.volume > best_bar.volume:
best_bardata[flag] = bar
self.day += 1
if not self.inited:
return
if len(self.active_symbol) <= 0:
# 选取对冲合约
self.select_symbol(best_bardata)
return
if self.day >= self.Z:
# 持续持有Z（参数）日后全部平仓 第二天重新开始选取对冲合约
self.clear_all_symbol()
return
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log("策略启动")
self.put_event()
for data in list(self.cache_bar.values()):
bar = data[-1]
flag = get_symbol_flag(bar.symbol)
self.change_flag.add(flag)
for flag in self.change_flag:
self.change_active_symbol(flag)
self.change_flag.clear()
def loss_plan_2(self):
# 若整体亏损超过P1（2%），则平仓所有品种
loss_price = 0
max_price = 0
for symbol, temp in self.active_symbol.items():
pos = temp['pos']
price = temp['price']
bar = self.cache_bar[symbol][-1]
flag = get_symbol_flag(bar.symbol)
param = Future_Params[flag]
if pos > 0:
loss_price += (bar.close_price -
price) * abs(pos) * param['size']
elif pos < 0 and bar.close_price > price:
loss_price += (price -
bar.close_price) * abs(pos) * param['size']
max_price += price * abs(pos) * param['size']
if loss_price / max_price * 100 <= -self.P1:
self.clear_all_symbol()
def change_active_symbol(self):
self.change_flag = False
best_bar = None
for data in list(self.cache_bar.values()):
bar = data[-1]
if self.symbol_expire[bar.symbol] - bar.datetime <= timedelta(
days=15):
self.cache_bar.pop(bar.symbol)
continue
if not best_bar:
best_bar = bar
elif bar.volume > best_bar.volume:
best_bar = bar
elif bar.volume == best_bar.volume and self.symbol_expire[
bar.symbol] < self.symbol_expire[best_bar.symbol]:
best_bar = bar
if not best_bar:
print('not active symbol', self.active_symbol)
self.active_symbol = None
return
self.active_symbol = best_bar.symbol
flag = get_symbol_flag(best_bar.symbol)
param = Future_Params[flag]
param['pos'] = int(150000 /
(best_bar.close_price * param['size'] * 0.3))
print('active symbol', best_bar.symbol)
data = self.cache_bar[self.active_symbol]
self.am = ArrayManager()
for bar in data:
am = self.am
am.update_bar(bar)
am.update_extra(
(bar.low_price + bar.high_price + bar.close_price * 2) / 4)
for symbol in list(self.cache_bar.keys()):
if self.is_expire(symbol):
self.cache_bar.pop(symbol)
def change_active_symbol(self, flag):
best_bar = None
for data in list(self.cache_bar.values()):
bar = data[-1]
if get_symbol_flag(bar.symbol) != flag:
continue
if self.symbol_expire[bar.symbol] - bar.datetime <= timedelta(
days=15):
self.cache_bar.pop(bar.symbol)
continue
if not best_bar:
best_bar = bar
elif bar.volume > best_bar.volume:
best_bar = bar
elif bar.volume == best_bar.volume and self.symbol_expire[
bar.symbol] < self.symbol_expire[best_bar.symbol]:
best_bar = bar
if not best_bar:
self.active_symbol[flag] = None
print('change_active_symbol not best symbol', flag)
return
self.active_symbol[flag] = best_bar.symbol
param = Future_Params[flag]
param['pos'] = int(
150000 / (best_bar.close_price * self.cta_engine.get_size() * 0.3))
print('active symbol', best_bar.symbol)
data = self.cache_bar[best_bar.symbol]
self.am[flag] = ArrayManager()
am = self.am[flag]
for bar in data:
am.update_bar(bar)
am.update_extra(
(bar.low_price + bar.high_price + bar.close_price * 2) / 4)
for symbol in list(self.cache_bar.keys()):
if self.is_expire(symbol):
self.cache_bar.pop(symbol)
def reset_symbol_pos(self, bar):
flag = get_symbol_flag(bar.symbol)
param = Future_Params[flag]
pos = int(150000 / (bar.close_price * param['size'] * 0.3))
return pos
def on_bar(self, data):
"""
Callback of new bar data update.
"""
if self.change_flag and self.pos == 0:
self.change_active_symbol()
best_bar = None
for bar in data.values():
if self.is_expire(bar.symbol):
continue
if bar.symbol not in self.cache_bar:
self.cache_bar[bar.symbol] = []
self.cache_bar[bar.symbol].append(bar)
if not best_bar or bar.volume > best_bar.volume:
best_bar = bar
if not self.active_symbol:
return
# 交易合约是否切换
expire = self.symbol_expire[self.active_symbol]
bar = self.cache_bar[self.active_symbol][-1]
am = self.am
am.update_bar(bar)
am.update_extra(
(bar.low_price + bar.high_price + bar.close_price * 2) / 4)
self.cta_engine.set_order_bar(bar)
change = False
flag = get_symbol_flag(self.active_symbol)
one_pos = Future_Params[flag]['pos']
if expire - bar.datetime <= timedelta(days=7):
# 小于7天平仓做主力合约
change = True
elif expire - bar.datetime <= timedelta(days=15):
# 小于15天未开仓做主力合约
if self.pos == 0:
change = True
elif best_bar.volume > 0:
if not self.change_flag and bar.volume / best_bar.volume < 0.01:
# 小于主力合约35% 下一次平仓做主力合约
if self.pos == 0:
change = True
else:
self.change_flag = True
elif bar.volume / best_bar.volume < 0.001:
# 小于主力合约10%平仓做主力合约
change = True
if change:
if self.pos > 0:
self.sell(bar.close_price, one_pos)
elif self.pos < 0:
self.cover(bar.close_price, one_pos)
self.change_flag = True
# self.change_active_symbol()
elif len(self.cache_bar[self.active_symbol]) >= self.test_day:
mac = talib.MA(am.extra, self.mac_day)[-1]
qg = max(am.open[-2], am.close[-2])
qd = min(am.open[-2], am.close[-2]) #这个地方我改成了min
macd, signal, hist = am.macd(self.macd_param1, self.macd_param2,
self.macd_param3, True)
if self.pos > 0:
if bar.close_price < mac and bar.close_price < qd:
self.sell(bar.close_price, one_pos)
if self.pos < 0:
if bar.close_price > mac and bar.close_price > qg:
self.cover(bar.close_price, one_pos)
if self.pos == 0:
if bar.close_price > mac and bar.close_price > qg and macd[
-1] > signal[-1] and bar.close_price > bar.open_price:
self.buy(bar.close_price, one_pos)
if bar.close_price < mac and bar.close_price < qd and macd[
-1] < signal[-1] and bar.close_price < bar.open_price:
self.short(bar.close_price, one_pos)
self.put_event()
def get_active_symbol(self, symbol):
flag = get_symbol_flag(symbol)
return self.active_symbol.get(flag, None)
def add_symbol_pos(self, symbol, pos_change):
flag = get_symbol_flag(symbol)
old = self.symbol_pos.get(flag, 0)
self.symbol_pos[flag] = old + pos_change
def on_bar(self, data):
"""
Callback of new bar data update.
"""
for flag in list(self.change_flag):
if self.get_symbol_pos(flag) == 0:
self.change_active_symbol(flag)
self.change_flag.remove(flag)
best_bardata = {}
for bar in data.values():
flag = get_symbol_flag(bar.symbol)
if flag not in Future_Params:
continue
if self.is_expire(bar.symbol):
continue
if bar.symbol not in self.cache_bar:
self.cache_bar[bar.symbol] = []
self.cache_bar[bar.symbol].append(bar)
best_bar = best_bardata.get(flag, None)
if not best_bar or bar.volume > best_bar.volume:
best_bardata[flag] = bar
if not self.inited:
return
for flag, best_bar in best_bardata.items():
# 交易合约是否切换
active_symbol = self.active_symbol.get(flag, None)
if not active_symbol:
if len(self.cache_bar[best_bar.symbol]) >= self.test_day:
self.change_active_symbol(flag)
active_symbol = self.active_symbol.get(flag, None)
if not active_symbol:
continue
expire = self.symbol_expire[active_symbol]
bar = self.cache_bar[active_symbol][-1]
am = self.am[flag]
am.update_bar(bar)
am.update_extra(
(bar.low_price + bar.high_price + bar.close_price * 2) / 4)
self.cta_engine.set_order_bar(bar)
change = False
pos = self.get_symbol_pos(flag)
one_pos = Future_Params[flag]['pos']
if bar.datetime + timedelta(days=7) >= expire:
# 小于7天平仓做主力合约
print(bar.symbol, expire - bar.datetime)
change = True
elif bar.datetime + timedelta(days=15) >= expire:
# 小于15天未开仓做主力合约
if pos == 0:
change = True
print(bar.symbol, expire - bar.datetime)
elif best_bar.volume > 0:
if flag not in self.change_flag and bar.open_interest / best_bar.open_interest < 0.1:
# 小于主力合约35% 下一次平仓做主力合约
if pos == 0:
change = True
else:
self.change_flag.add(flag)
elif bar.open_interest / best_bar.open_interest < 0.05:
# 小于主力合约10%平仓做主力合约
change = True
if change:
if pos > 0:
self.sell(bar.close_price, one_pos)
elif pos < 0:
self.cover(bar.close_price, one_pos)
self.change_flag.add(flag)
elif len(self.cache_bar[active_symbol]) >= self.test_day:
mac = talib.MA(am.extra, self.mac_day)[-1]
qg = max(am.open[-2], am.close[-2])
qd = min(am.open[-2], am.close[-2]) #这个地方我改成了min
macd, signal, hist = am.macd(self.macd_param1,
self.macd_param2,
self.macd_param3, True)
if pos > 0:
if bar.close_price < mac and bar.close_price < qd:
self.sell(bar.close_price, one_pos)
if pos < 0:
if bar.close_price > mac and bar.close_price > qg:
self.cover(bar.close_price, one_pos)
if pos == 0:
if bar.close_price > mac and bar.close_price > qg and macd[
-1] > signal[
-1] and bar.close_price > bar.open_price:
self.buy(bar.close_price, one_pos)
if bar.close_price < mac and bar.close_price < qd and macd[
-1] < signal[
-1] and bar.close_price < bar.open_price:
self.short(bar.close_price, one_pos)
self.put_event()