class GridStrategy(CtaTemplate): className = 'GridStrategy' author = u'BillyZhang' # 策略参数 historyBars = 200 # 历史数据大小,用来确定网格基准线 initDays = 20 # 初始化数据所用的天数,随着历史数据大小要改变 gridlines = 10 # 网格线数量,单边数量 ordersize = 10 # 最大持仓数量 order = 1 # 每次下单手数 barMins = 30 #bar的时间 frozenBars = 1 #平仓后,frozenBars个bar不再开反向单 atrWindow = 30 # ATR窗口数 slMultiplier = 5.0 # 计算止损距离的乘数 # 基本变量 upline = 0 #当前上线 bottomline = 0 #当前下线 frozen = 0 #当前是否冻结开反向单 intraTradeHigh = 0 intraTradeLow = 0 atrValue = 0 # 参数列表,保存了参数的名称 paramList = [ 'name', 'className', 'author', 'vtSymbol', 'historyBars', 'initDays', 'gridlines', 'barMins', 'order', 'ordersize', 'atrWindow', 'slMultiplier' ] # 变量列表,保存了变量的名称 varList = [ 'inited', 'trading', 'pos', 'frozen', 'upline', 'bottomline' 'atrValue' ] # 同步列表,保存了需要保存到数据库的变量名称 syncList = ['pos', 'frozen'] # ---------------------------------------------------------------------- def __init__(self, ctaEngine, setting): """Constructor""" super(GridStrategy, 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.historyBars + 50) # ---------------------------------------------------------------------- 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 onXminBar(self, bar): """收到X分钟K线""" # 全撤之前发出的委托 self.cancelAll() # 保存K线数据 am = self.am am.updateBar(bar) if not am.inited: return # 这里采用了均量交易法,就是每笔。 # 空仓时候,每次突破上线是开多单,突破下线是开空单; # 有多单时候,突破上线加多单,突破下线情况清空所有多单, # 有空单时候,突破下线加空单,突破上线清空所有空单, # 为防止在一个线上下波动,造成重复开平仓情况,如果突破平仓,比如平多单,后面n个bar不能再开多单,只能开空单;反之平空单后, # 后面n个bar只能开多单。 # 计算网格,返回通道队列, 再算出当前点位所在通道,0为最下通道,2*self.gridlines - 1为最上通道 baseline = self.am.sma(self.historyBars) # 过去300的标准差,按照顶一个gridlines取整做出一个队列 intervallist = baseline + np.array([ n * 1.00 / self.gridlines for n in range(-1 * self.gridlines, self.gridlines + 1) ]) * self.am.std(self.historyBars) griploc = pd.cut([bar.close], intervallist, labels=[nx for nx in range(0, 2 * self.gridlines)])[0] # 如果返回为nan,说明现在bar.close在标准差范围以外,如果没有仓位,先不处理;如果有,按照ATR波动移动止盈 if isnan(griploc): # 持有多头仓位 if self.pos > 0: self.intraTradeHigh = max(self.intraTradeHigh, bar.high) self.intraTradeLow = bar.low self.longStop = self.intraTradeHigh - self.atrValue * self.slMultiplier self.sell(self.longStop, abs(self.pos), True) # 持有空头仓位 elif self.pos < 0: self.intraTradeHigh = bar.high self.intraTradeLow = min(self.intraTradeLow, bar.low) self.shortStop = self.intraTradeLow + self.atrValue * self.slMultiplier self.cover(self.shortStop, abs(self.pos), True) return #返回上下线: self.upline = intervallist[griploc + 1] self.bottomline = intervallist[griploc] # 空仓时候,每次突破上线是开多单,突破下线是开空单; # 如果此时在最下一个通道,此时只挂往上的多单, 如果在最上面通道,此时只挂往下空单;如果在中间的,则同时开上下单 if self.pos == 0: if griploc == 0: self.buy(self.upline, self.order, True) elif griploc == 2 * self.gridlines - 1: self.short(self.bottomline, self.order, True) else: #此时如果frozen 为0, 直接开上下单: if self.frozen == 0: self.buy(self.upline, self.order, True) self.short(self.bottomline, self.order, True) #此时如果大于0,只能开空单,如果小于0,只能开多单 elif self.frozen > 0: self.frozen = self.frozen - 1 self.short(self.bottomline, self.order, True) elif self.frozen < 0: self.frozen = self.frozen + 1 self.buy(self.upline, self.order, True) #如果持有多仓时候,如果在中间通道,同时开上下单;如果最高点位不再开单,突破最大标准差高点, elif self.pos > 0: # 在最下通道不可能有多单,只用考量在中间段,pos 小于ordersize可以增多仓,否则只能向下平仓;和最高段情况,最高段设置往下平仓, if griploc == 2 * self.gridlines - 1: self.intraTradeHigh = bar.high self.sell(self.bottomline, abs(self.pos), True) else: if abs(self.pos) < self.ordersize: self.buy(self.upline, self.order, True) self.sell(self.bottomline, abs(self.pos), True) else: self.sell(self.bottomline, abs(self.pos), True) elif self.pos < 0: # 最上通道通道不可能有空单,只用考虑中间段,和最低档情况 if griploc == 0: self.intraTradeLow = bar.low self.cover(self.upline, abs(self.pos), True) else: if abs(self.pos) < self.ordersize: self.cover(self.upline, abs(self.pos), True) self.sell(self.bottomline, self.order, True) else: self.cover(self.upline, abs(self.pos), True) # ---------------------------------------------------------------------- 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.bg.updateBar(bar) # ---------------------------------------------------------------------- def onOrder(self, order): """收到委托推送""" pass # ---------------------------------------------------------------------- def onTrade(self, trade): # 发出状态更新事件 # 如果收到成交,清空所有挂单 self.cancelAll() # 如果交易多头方向,且现在仓位为0,则应该是空头平仓,不再开空单 if trade.direction == DIRECTION_LONG and self.pos == 0: self.frozen = -1 * self.frozen # 如果交易空头方向,且现在仓位为0,则应该是多平仓,不再开多单 elif trade.direction == DIRECTION_SHORT and self.pos == 0: self.frozen = self.frozen self.putEvent() # ---------------------------------------------------------------------- def onStopOrder(self, so): """停止单推送""" pass
class BollingerBotStrategy(CtaTemplate): """基于布林通道的交易策略""" className = 'BollingerBotStrategy' author = u'ForwardCapital' # 策略参数 bollWindow = 28 # 通道窗口数 entryDev = 3.2 # 开仓偏差 exitDev = 1.2 # 平仓偏差 trailingPrcnt = 0.4 # 移动止损百分比 maWindow = 10 # 过滤用均线窗口 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 bollMid = 0 # 布林带中轨 bollStd = 0 # 布林带宽度 entryUp = 0 # 开仓上轨 exitUp = 0 # 平仓上轨 maFilter = 0 # 均线过滤 maFilter1 = 0 # 上一期均线 intraTradeHigh = 0 # 持仓期内的最高点 longEntry = 0 # 多头开仓 longExit = 0 # 多头平仓 orderList = [] # 保存委托代码的列表 buyOrderID = None sellOrderID = None # 参数列表,保存了参数的名称 paramList = [ 'name', 'className', 'author', 'vtSymbol', 'bollWindow', 'entryDev', 'exitDev', 'trailingPrcnt', 'maWindow', 'initDays', 'fixedSize' ] # 变量列表,保存了变量的名称 varList = [ 'inited', 'trading', 'pos', 'bollMid', 'bollStd', 'entryUp', 'exitUp', 'intraTradeHigh', 'longEntry', 'longExit' ] # 同步列表 syncList = ['pos', 'intraTradeHigh'] #---------------------------------------------------------------------- def __init__(self, ctaEngine, setting): """Constructor""" super(BollingerBotStrategy, self).__init__(ctaEngine, setting) self.bm = MyBarGenerator(self.onBar, 15, self.onFiveBar) 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.bm.updateTick(tick) #---------------------------------------------------------------------- def onBar(self, bar): """收到Bar推送(必须由用户继承实现)""" self.bm.updateBar(bar) #---------------------------------------------------------------------- def orderIDConvert(self, orderList): if not orderList: return [] else: return orderList[0] #---------------------------------------------------------------------- def onFiveBar(self, bar): """收到5分钟K线""" # 保存K线数据 self.am.updateBar(bar) if not self.am.inited or not self.trading: return # 撤销之前发出的尚未成交的委托(包括限价单和停止单) print u'onFiveBar↓↓↓↓↓↓↓↓↓↓↓↓↓↓↓↓↓↓↓↓↓↓,datetime:%s' % bar.datetime # 计算指标数值 self.bollMid = self.am.sma(self.bollWindow) self.bollStd = self.am.std(self.bollWindow) self.entryUp = self.bollMid + self.bollStd * self.entryDev self.exitUp = self.bollMid + self.bollStd * self.exitDev maArray = self.am.sma(self.maWindow, True) self.maFilter = maArray[-1] self.maFilter1 = maArray[-2] # 判断是否要进行交易 if not self.buyOrderID: if self.pos == 0: self.intraTradeHigh = bar.high # 下开仓单 if bar.close > self.maFilter and self.maFilter > self.maFilter1: self.longEntry = self.entryUp self.buyOrderID = self.buy(self.longEntry, self.fixedSize, True) self.buyOrderID = self.orderIDConvert(self.buyOrderID) print 'order None!!!buyOrderID is : %s ' % self.buyOrderID self.orderList.append(self.buyOrderID) # 下平仓单 self.longExit = self.intraTradeHigh * ( 1 - self.trailingPrcnt / 100) self.longExit = min(self.longExit, self.exitUp) self.sellOrderID = self.sell(self.longExit, abs(self.pos), True) self.sellOrderID = self.orderIDConvert(self.sellOrderID) print 'order None!!!ellOrderID is : %s ' % self.sellOrderID self.orderList.append(self.sellOrderID) elif self.pos > 0: self.intraTradeHigh = max(self.intraTradeHigh, bar.high) # 下平仓单 self.longExit = self.intraTradeHigh * ( 1 - self.trailingPrcnt / 100) self.longExit = min(self.longExit, self.exitUp) self.sellOrderID = self.sell(self.longExit, abs(self.pos), True) self.sellOrderID = self.orderIDConvert(self.sellOrderID) print 'order None!!!sellOrderID is : %s ' % self.sellOrderID self.orderList.append(self.sellOrderID) else: if self.buyOrderID in self.orderList: self.intraTradeHigh = bar.high self.cancelAll() # 下开仓单 if bar.close > self.maFilter and self.maFilter > self.maFilter1: self.longEntry = self.entryUp self.buyOrderID = self.buy(self.longEntry, self.fixedSize, True) print 'buyOrderID is : %s ' % self.buyOrderID self.buyOrderID = self.orderIDConvert(self.buyOrderID) self.orderList.append(self.buyOrderID) # 下平仓单 self.longExit = self.intraTradeHigh * ( 1 - self.trailingPrcnt / 100) self.longExit = min(self.longExit, self.exitUp) self.sellOrderID = self.sell(self.longExit, abs(self.pos), True) self.sellOrderID = self.orderIDConvert(self.sellOrderID) print 'sellOrderID is : %s ' % self.sellOrderID self.orderList.append(self.sellOrderID) else: if self.sellOrderID in self.orderList: self.intraTradeHigh = max(self.intraTradeHigh, bar.high) self.cancelOrder(self.sellOrderID) # 下平仓单 self.longExit = self.intraTradeHigh * ( 1 - self.trailingPrcnt / 100) self.longExit = min(self.longExit, self.exitUp) self.sellOrderID = self.sell(self.longExit, abs(self.pos), True) self.sellOrderID = self.orderIDConvert(self.sellOrderID) print 'sellOrderID is : %s ' % self.sellOrderID self.orderList.append(self.sellOrderID) else: self.intraTradeHigh = bar.high # 下开仓单 if bar.close > self.maFilter and self.maFilter > self.maFilter1: self.longEntry = self.entryUp self.buyOrderID = self.buy(self.longEntry, self.fixedSize, True) self.buyOrderID = self.orderIDConvert(self.buyOrderID) print 'buyOrderID is : %s ' % self.buyOrderID self.orderList.append(self.buyOrderID) # 下平仓单 self.longExit = self.intraTradeHigh * ( 1 - self.trailingPrcnt / 100) self.longExit = min(self.longExit, self.exitUp) self.sellOrderID = self.sell(self.longExit, abs(self.pos), True) self.sellOrderID = self.orderIDConvert( self.sellOrderID) print 'sellOrderID is : %s ' % self.sellOrderID self.orderList.append(self.sellOrderID) # 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): # 发出状态更新事件 self.putEvent() #---------------------------------------------------------------------- def onStopOrder(self, so): """停止单推送""" print u'StopOrder回报,stopOrderID:%s, status:%s' % (so.stopOrderID, so.status) if so.status == STOPORDER_CANCELLED or so.status == STOPORDER_TRIGGERED: self.orderList.remove(so.stopOrderID) pass
class BollingerBotStrategy01(CtaTemplate): """基于布林通道的交易策略""" className = 'BollingerBotStrategy01' author = 'Y.Raul' # 策略参数 bollWindow = 28 # 通道窗口数 entryDevUp = 4 # 开仓偏差 entryDevDown = 3.2 # exitDev = 1.2 # 平仓偏差 # trailingPrcnt = 0.4 # 移动止损百分比 maWindow = 10 # 过滤用均线窗口 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 bollMid = 0 # 布林带中轨 bollStd = 0 # 布林带宽度 entryUp = 0 # 开仓上轨 # exitUp = 0 # 平仓上轨 entryDown = 0 #开仓下轨 # exitDown = 0 #平仓下轨 dispacedLen = 0 #均线平移长度 maFilter = 0 # 均线过滤 maFilter1 = 0 # 上一期均线 # 分级出场设置 trailingStart1 = 20 trailingStart2 = 30 exitOnTrailingStop1 = 5 # Trailing Stop 距离 exitOnTrailingStop2 = 10 # Trailing Stop 距离 exitOnLossStop = 20 # Loss Stop 距离 # 价格相关变量 intraTradeHigh = 0 # 持仓期内的最高点 intraTradeLow = 0 # 持仓期内的最低点 avgEntryPrice = 0 minDiff = 1 trailingExit = 0 # stopExit = 0 # 空头止损 # longEntry = 0 # 多头开仓 # shortEntry = 0 # 信号相关变量 buySig = False shortSig = False sellSig = False coverSig = False # entrusted = False #是否已有委托 orderList = [] # 保存委托代码的列表 # 参数列表,保存了参数的名称 paramList = [ 'name', 'className', 'author', 'vtSymbol', 'bollWindow', 'entryDevUp', 'entryDevDown', 'trailingStart1', 'trailingStart2', 'exitOnTrailingStop1', 'exitOnTrailingStop2', 'maWindow', 'initDays', 'fixedSize' ] # 变量列表,保存了变量的名称 varList = [ 'inited', 'trading', 'pos', 'buySig', 'shortSig', 'sellSig', 'coverSig', 'entryUp', 'entryDown', 'trailingExit', 'stopExit', 'intraTradeHigh', 'intraTradeLow', 'avgEntryPrice' ] # 同步列表 syncList = ['pos', 'intraTradeHigh'] #---------------------------------------------------------------------- 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 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.bm.updateTick(tick) #---------------------------------------------------------------------- def onBar(self, bar): """收到Bar推送(必须由用户继承实现)""" # 观察周期1 Min,根据信号进行交易 # 回测数据传送的bar.datetime,为bar的开始时间 self.bm.updateBar(bar) if not self.trading: return self.date = bar.date self.time = bar.time # 检查交易信号 if self.buySig: res = self.buy(bar.close, self.fixedSize, True) self.orderList.extend([x.split('.')[1] for x in res]) # self.orderList.extend(res.split('.')[1]) # self.entryPriceList.append(self.longEntry) # self.avgEntryPrice = sum(self.entryPriceList) / len(self.entryPriceList) # self.LossStopPrice = round(self.avgEntryPrice * (100.0 + self.exitOnLossStop) / 100) # self.intraTradeHigh = max(bar.high, self.avgEntryPrice) # self.intraTradeLow = min(bar.low, self.avgEntryPrice) log = "-----" * 10 + "\n@onBar\n" + \ "bar.datetime: {0}; pos: {1} \n".format(bar.datetime, self.pos) + \ "buySig: {0}; shortSig: {1}\n".format(self.buySig, self.shortSig) + \ "sellSig: {0}; coverSig: {1}\n".format(self.sellSig, self.coverSig) + \ "intraTradeHigh: {0}\n".format(self.intraTradeHigh) + \ "intraTradeLow: {0}\n".format(self.intraTradeLow) self.writeCtaLog(log) # 记录log log = "\n Trading: {0}\n".format(self.trading) + \ "{0} Buy : longEntry: {1};\n".format(bar.datetime, bar.close) + \ " entryUp:{0}; maFilter:{1}; maFilter1:{2}; \n".format(self.entryUp, self.maFilter, self.maFilter1) self.writeCtaLog(log) self.buySig = False # return if self.shortSig: self.res = self.short(bar.close, self.fixedSize, True) self.orderList.extend([x.split('.')[1] for x in self.res]) # self.orderList.extend(res.split('.')[1]) # self.LossStopPrice = round(self.shortEntry * (100.0 + self.exitOnLossStop) / 100) # self.entryPriceList.append(self.shortEntry) # self.avgEntryPrice = sum(self.entryPriceList) / len(self.entryPriceList) # self.LossStopPrice = round(self.avgEntryPrice * (100.0 + self.exitOnLossStop) / 100) # # self.intraTradeHigh = max(bar.high, self.avgEntryPrice) # self.intraTradeLow = min(bar.low, self.avgEntryPrice) log = "-----" * 10 + "\n@onBar\n" + \ "bar.datetime: {0}; pos: {1} \n".format(bar.datetime, self.pos) + \ "buySig: {0}; shortSig: {1}\n".format(self.buySig, self.shortSig) + \ "sellSig: {0}; coverSig: {1}\n".format(self.sellSig, self.coverSig) + \ "intraTradeHigh: {0}\n".format(self.intraTradeHigh) + \ "intraTradeLow: {0}\n".format(self.intraTradeLow) self.writeCtaLog(log) # 记录log log = "\n Trading: {0}\n".format(self.trading) + \ "{0} Short : shortEntry: {1};\n".format(bar.datetime, bar.close) + \ " entryDown:{0}; maFilter:{1}; maFilter1:{2}; \n".format(self.entryDown, self.maFilter, self.maFilter1) self.writeCtaLog(log) self.shortSig = False # return if self.sellSig: if bar.close > self.stopExit: price = self.trailingExit else: price = bar.close res = self.sell(price, abs(self.pos), True) # self.orderList.extend(res) log = "-----" * 10 + "\n@onBar\n" + \ "bar.datetime: {0}; pos: {1} \n".format(bar.datetime, self.pos) + \ "buySig: {0}; shortSig: {1}\n".format(self.buySig, self.shortSig) + \ "sellSig: {0}; coverSig: {1}\n".format(self.sellSig, self.coverSig) + \ "intraTradeHigh: {0}\n".format(self.intraTradeHigh) + \ "intraTradeLow: {0}\n".format(self.intraTradeLow) self.writeCtaLog(log) # 记录log log = "\n Trading: {0}\n".format(self.trading) + \ "{0} Sell : {1};\n".format(bar.datetime, bar.close) + \ " price:{0}; stopExit: {1}\n".format(price,self.stopExit) self.writeCtaLog(log) # self.entryPriceList = [] # self.avgEntryPrice = 0 # self.stopExit = 0 self.sellSig = False # return if self.coverSig: if bar.close < self.stopExit: price = self.trailingExit else: price = bar.close res = self.cover(price, abs(self.pos), True) # self.orderList.extend(res) log = "-----" * 10 + "\n@onBar\n" + \ "bar.datetime: {0}; pos: {1} \n".format(bar.datetime, self.pos) + \ "buySig: {0}; shortSig: {1}\n".format(self.buySig, self.shortSig) + \ "sellSig: {0}; coverSig: {1}\n".format(self.sellSig, self.coverSig) + \ "intraTradeHigh: {0}\n".format(self.intraTradeHigh) + \ "intraTradeLow: {0}\n".format(self.intraTradeLow) self.writeCtaLog(log) # 记录log log = "\n Trading: {0}\n".format(self.trading) + \ "{0} Cover : {1};\n".format(bar.datetime, bar.close) + \ " price:{0}; stopExit: {1}\n".format(price,self.stopExit) self.writeCtaLog(log) # self.entryPriceList = [] # self.avgEntryPrice = 0 # self.stopExit = 0 self.coverSig = False # return self.putEvent() #---------------------------------------------------------------------- def onFiveBar(self, bar): """收到5分钟K线""" # 策略周期5Min,生成交易信号 # 保存K线数据 if not self.trading: return self.am.updateBar(bar) if not self.am.inited: return # 撤销之前发出的尚未成交的委托(包括限价单和停止单) self.cancelAll() # 计算指标数值 self.bollMid = self.am.sma(self.bollWindow, True)[-1 * (self.dispacedLen + 1)] self.bollStd = self.am.std(self.bollWindow) self.entryUp = round(self.bollMid + self.bollStd * self.entryDevUp) self.entryDown = round(self.bollMid - self.bollStd * self.entryDevDown) maArray = self.am.sma(self.maWindow, True) self.maFilter = round(maArray[-1]) self.maFilter1 = round(maArray[-2]) # 判断是否要进行交易 # 当前无仓位 if self.pos == 0: self.intraTradeHigh = bar.high self.intraTradeLow = bar.low self.entryPriceList = [] self.orderList = [] self.avgEntryPrice = 0 if bar.close > self.maFilter and self.maFilter > self.maFilter1: # 均线多头过滤 if bar.close >= self.entryUp: # 上轨突破 self.buySig = True if bar.close < self.maFilter and self.maFilter < self.maFilter1: # 均线空头过滤 if bar.close <= self.entryDown: # 下轨突破 self.shortSig = True log = "-----" * 10 + "\n@onFiveBar\n" + \ "bar.datetime: {0}; pos: {1} ; close: {2}\n".format(bar.datetime, self.pos,bar.close) + \ "buySig: {0}; shortSig: {1}\n".format(self.buySig, self.shortSig) + \ "intraTradeHigh: {0}\n".format(self.intraTradeHigh) + \ "intraTradeLow: {0}\n".format(self.intraTradeLow) self.writeCtaLog(log) # 当前有仓位 else: self.intraTradeHigh = max(self.intraTradeHigh, bar.high) self.intraTradeLow = min(self.intraTradeLow, bar.low) if self.pos > 0: # self.stopExit = self.avgEntryPrice - self.exitOnLossStop * self.minDiff #固定止损价位 if self.intraTradeHigh >= self.avgEntryPrice + self.trailingStart2 * self.minDiff: # 二级止赢判断 盈利80跳 if (bar.close <= self.intraTradeHigh - self.exitOnTrailingStop2 * self.minDiff): # 回撤20跳 self.trailingExit = self.intraTradeHigh - self.exitOnTrailingStop2 * self.minDiff self.sellSig = True # if bar.close < self.longExit: # self.longExit = bar.close # 记录log # log = "\n{0} Sell(Trailing Stop2)\n".format(bar.datetime) + \ # 'bar.close: {0}; bar.low: {1}; longExit: {2}'.format(bar.close,bar.low, self.longExit)+ \ # 'intraTradeHigh: {0}; avgEntryPrice: {1}; bar.open: {2}'.format(self.intraTradeHigh,self.avgEntryPrice, bar.open) # self.writeCtaLog(log) elif self.intraTradeHigh >= self.avgEntryPrice + self.trailingStart1 * self.minDiff: # 一级止赢判断,盈利50跳 if (bar.close <= self.intraTradeHigh - self.exitOnTrailingStop1 * self.minDiff): # 回撤20跳 self.trailingExit = self.intraTradeHigh - self.exitOnTrailingStop1 * self.minDiff self.sellSig = True # if bar.close < self.longExit: # self.longExit = bar.close # 记录log # log = "\n{0} Sell(Trailing Stop1)\n".format(bar.datetime) + \ # 'bar.close: {0}; bar.low: {1}; longExit: {2}'.format(bar.close, bar.low, # self.longExit)+ \ # 'intraTradeHigh: {0}; avgEntryPrice: {1}; bar.open: {2}'.format(self.intraTradeHigh,self.avgEntryPrice, bar.open) # self.writeCtaLog(log) elif self.stopExit != 0: if (bar.close <= self.stopExit): # 固定止损,回撤20跳 self.sellSig = True log = "-----" * 10 + "\n@onFiveBar\n" + \ "bar.datetime: {0}; pos: {1} ; close:{2}\n".format(bar.datetime, self.pos, bar.close) + \ "sellSig: {0}; coverSig: {1}\n".format(self.sellSig, self.coverSig) + \ "intraTradeHigh: {0}\n".format(self.intraTradeHigh) + \ "intraTradeLow: {0}\n".format(self.intraTradeLow) + \ "trailingStart1: {0}\n".format(self.avgEntryPrice + self.trailingStart1 * self.minDiff) + \ "trailingStart2: {0}\n".format(self.avgEntryPrice + self.trailingStart2 * self.minDiff) + \ "avgEntryPrice: {0}\n".format(self.avgEntryPrice) + \ "trailingStop: {0}\n".format(self.trailingExit) + \ "stopExit: {0}\n".format(self.stopExit) self.writeCtaLog(log) # if bar.close < self.longExit: # self.longExit = bar.close # 记录log # log = "\n{0} Sell(Loss Stop)\n".format(bar.datetime) + \ # 'bar.close: {0}; bar.low: {1}; longExit: {2}'.format(bar.close, bar.low, # self.longExit)+ \ # 'intraTradeHigh: {0}; avgEntryPrice: {1}; bar.open: {2}'.format(self.intraTradeHigh, # self.avgEntryPrice, # bar.open) # self.writeCtaLog(log) elif self.pos < 0: # self.stopExit = self.avgEntryPrice + self.exitOnLossStop * self.minDiff #固定止损价 if self.intraTradeLow <= self.avgEntryPrice - self.trailingStart2 * self.minDiff: # 二级止赢判断 盈利80跳 if (bar.close >= self.intraTradeLow + self.exitOnTrailingStop2 * self.minDiff): # 回撤20跳 self.trailingExit = self.intraTradeLow + self.exitOnTrailingStop2 * self.minDiff self.coverSig = True # if bar.close > self.shortExit: # self.shortExit = bar.close # 记录log # log = "\n{0} Cover(Trailing Stop1)\n".format(bar.datetime) + \ # 'bar.close: {0}; bar.low: {1}; shortExit: {2}'.format(bar.close, bar.low, # self.shortExit)+ \ # 'intraTradeLow: {0}; avgEntryPrice: {1}; bar.open: {2}'.format(self.intraTradeLow, # self.avgEntryPrice, # bar.open) # self.writeCtaLog(log) elif self.intraTradeLow <= self.avgEntryPrice - self.trailingStart1 * self.minDiff: # 一级止赢判断,盈利50跳 if (bar.close >= self.intraTradeLow + self.exitOnTrailingStop1 * self.minDiff): # 回撤20跳 self.trailingExit = self.intraTradeLow + self.exitOnTrailingStop1 * self.minDiff self.coverSig = True # if bar.close > self.shortExit: # self.shortExit = bar.close # 记录log # log = "\n{0} Cover(Trailing Stop2)\n".format(bar.datetime) + \ # 'bar.close: {0}; bar.low: {1}; shortExit: {2}'.format(bar.close, bar.low, # self.shortExit)+ \ # 'intraTradeLow: {0}; avgEntryPrice: {1}; bar.open: {2}'.format(self.intraTradeLow, # self.avgEntryPrice, # bar.open) # self.writeCtaLog(log) elif self.stopExit != 0: if (bar.close >= self.stopExit): # 固定止损,回撤20跳 # self.shortExit = self.avgEntryPrice + self.exitOnLossStop * self.minDiff self.coverSig = True # if bar.close > self.shortExit: # self.shortExit = bar.close # 记录log # log = "\n{0} Cover(Loss Stop)\n".format(bar.datetime) + \ # 'bar.close: {0}; bar.low: {1}; shortExit: {2}'.format(bar.close, bar.low, # self.shortExit)+ \ # 'intraTradeLow: {0}; avgEntryPrice: {1}; bar.open: {2}'.format(self.intraTradeLow, # self.avgEntryPrice, # bar.open) # self.writeCtaLog(log) log = "-----" * 10 + "\n@onFiveBar\n" + \ "bar.datetime: {0}; pos: {1} ; close:{2}\n".format(bar.datetime, self.pos, bar.close) + \ "sellSig: {0}; coverSig: {1}\n".format(self.sellSig, self.coverSig) + \ "intraTradeHigh: {0}\n".format(self.intraTradeHigh) + \ "intraTradeLow: {0}\n".format(self.intraTradeLow) + \ "trailingStart1: {0}\n".format(self.avgEntryPrice - self.trailingStart1 * self.minDiff)+\ "trailingStart2: {0}\n".format(self.avgEntryPrice - self.trailingStart2 * self.minDiff)+\ "avgEntryPrice: {0}\n".format(self.avgEntryPrice)+\ "trailingStop: {0}\n".format(self.trailingExit)+\ "stopExit: {0}\n".format(self.stopExit) self.writeCtaLog(log) # 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)""" # CTA引擎中涉及到的交易方向类型 # CTAORDER_BUY = u'买开' # CTAORDER_SELL = u'卖平' # CTAORDER_SHORT = u'卖开' # CTAORDER_COVER = u'买平' log = "-----" * 10 + "\n@onOrder\n" + \ "orderTime: {0}; pos: {1} \n".format(order.orderTime, order.totalVolume) + \ u"status {0}; vtOrderID: {1}\n".format(order.status, order.vtOrderID) self.writeCtaLog(log) # 对于开仓,记录相关价格 # if order.vtOrderID in self.orderList: if order.direction == DIRECTION_LONG and order.offset == OFFSET_OPEN: if order.totalVolume == order.tradedVolume: # 更新入场价列表,更新平均入场价 self.entryPriceList.append(order.price) self.avgEntryPrice = sum(self.entryPriceList) / len( self.entryPriceList) self.stopExit = self.avgEntryPrice - self.exitOnLossStop * self.minDiff # 固定止损价 # self.orderList.remove(order.vtOrderID) elif order.direction == DIRECTION_SHORT and order.offset == OFFSET_OPEN: # 更新入场价列表,更新平均入场价 if order.totalVolume == order.tradedVolume: # 更新入场价列表,更新平均入场价 self.entryPriceList.append(order.price) self.avgEntryPrice = sum(self.entryPriceList) / len( self.entryPriceList) self.stopExit = self.avgEntryPrice + self.exitOnLossStop * self.minDiff # 固定止损价 # self.orderList.remove(order.vtOrderID) self.putEvent() #---------------------------------------------------------------------- def onTrade(self, trade): # 发出状态更新事件 data = trade.__dict__ self.putEvent() #---------------------------------------------------------------------- def onStopOrder(self, so): """停止单推送""" data = so.__dict__ self.putEvent()