def __init__(self, strategy_engine: StrategyEngine, strategy_name: str,
vt_symbols: List[str], setting: dict):
""""""
super().__init__(strategy_engine, strategy_name, vt_symbols, setting)
# self.y_symbol = (self.vt_symbols[0].split('.'))[0]
# self.x_symbol = (self.vt_symbols[1].split('.'))[1]
self.y_symbol = self.vt_symbols[0]
self.x_symbol = self.vt_symbols[1]
self.x_fixed_size = int(np.abs(self.fixed_size * self.x_multiplier))
self.y_fixed_size = int(np.abs(self.fixed_size * self.y_multiplier))
self.open_direction_dict['x_symbol'] = 0
self.open_direction_dict['y_symbol'] = 0
self.close_direction_dict['x_symbol'] = 0
self.close_direction_dict['y_symbol'] = 0
self.ams: Dict = {}
self.ams[self.y_symbol] = ArrayManager(size=self.hedge_ratio_window +
50)
self.ams[self.x_symbol] = ArrayManager(size=self.hedge_ratio_window +
50)
self.sam = SpreadArrayManager(
size=max(self.std_window, self.mean_window) + 50)
def __init__(
self,
strategy_engine: StrategyEngine,
strategy_name: str,
vt_symbols: List[str],
setting: dict
):
""""""
super().__init__(strategy_engine, strategy_name, vt_symbols, setting)
self.last_tick_time: datetime = None
self.ams:Dict[str, ArrayManager] = {}
self.bgs: Dict[str, BarGenerator] = {}
# 策略内动态调整OLS相关参数,小数参数会被int（）
self.short_entry_multiplier = abs(self.entry_multiplier)
self.short_exit_multiplier = 0
self.long_entry_multiplier = -abs(self.entry_multiplier)
self.long_exit_multiplier = 0
self.mean_window = int(self.std_window * self.std_mean_window_ratio)
self.y_symbol = self.vt_symbols[0]
self.x_symbol = self.vt_symbols[1]
self.x_fixed_size = np.abs(self.fixed_size * 1)
self.y_fixed_size = np.abs(self.fixed_size * 1)
self.x_pos_target = 0
self.y_pos_target = 0
# 实例化缓存期货品种价格序列容器
for vt_symbol in self.vt_symbols:
self.ams[vt_symbol] = ArrayManager(size=max(self.std_window,self.mean_window)+50)
#实例化bg容器
for vt_symbol in self.vt_symbols:
def on_bar(bar: BarData):
""""""
pass
self.bgs[vt_symbol] = BarGenerator(on_bar)
# 实例化缓存价差价格序列容器
self.sam = SpreadArrayManager(size=max(self.std_window,self.mean_window)+50)
def __init__(self, strategy_engine: StrategyEngine, strategy_name: str,
vt_symbols: List[str], setting: dict):
""""""
super().__init__(strategy_engine, strategy_name, vt_symbols, setting)
# self.y_symbol = (self.vt_symbols[0].split('.'))[0]
# self.x_symbol = (self.vt_symbols[1].split('.'))[1]
self.y_symbol = self.vt_symbols[0]
self.x_symbol = self.vt_symbols[1]
self.x_fixed_size = int(np.abs(self.fixed_size * self.x_multiplier))
self.y_fixed_size = int(np.abs(self.fixed_size * self.y_multiplier))
self.open_direction_dict['x_symbol'] = 0
self.open_direction_dict['y_symbol'] = 0
self.close_direction_dict['x_symbol'] = 0
self.close_direction_dict['y_symbol'] = 0
self.sam = SpreadArrayManager()
def __init__(self, strategy_engine: StrategyEngine, strategy_name: str,
vt_symbols: List[str], setting: dict):
""""""
super().__init__(strategy_engine, strategy_name, vt_symbols, setting)
self.short_entry_multiplier = abs(self.entry_multiplier)
self.short_exit_multiplier = 0
self.long_entry_multiplier = -abs(self.entry_multiplier)
self.long_exit_multiplier = 0
self.mean_window = self.std_window
# self.difference_exit_num = self.difference_filter_num / 2
self.y_symbol = self.vt_symbols[0]
self.x_symbol = self.vt_symbols[1]
self.x_fixed_size = int(np.abs(self.fixed_size * self.x_multiplier))
self.y_fixed_size = int(np.abs(self.fixed_size * self.y_multiplier))
self.open_direction_dict['x_symbol'] = 0
self.open_direction_dict['y_symbol'] = 0
self.close_direction_dict['x_symbol'] = 0
self.close_direction_dict['y_symbol'] = 0
# 实例化缓存期货品种价格序列容器
self.ams: Dict = {}
self.ams[self.y_symbol] = ArrayManager(size=self.hedge_ratio_window +
50)
self.ams[self.x_symbol] = ArrayManager(size=self.hedge_ratio_window +
50)
# 实例化缓存价差价格序列容器
self.sam = SpreadArrayManager(
size=max(self.std_window, self.mean_window) + 50)
self.record_array = []
self.record_boll_up = []
self.record_boll_down = []
self.record_mean = []
