Create dual_thrust_strategy.py

vnpy/app/cta_strategy/strategies/dual_thrust_strategy.py

@@ -0,0 +1,158 @@
+from datetime import time
+from vnpy.app.cta_strategy import (
+    CtaTemplate,
+    StopOrder,
+    Direction,
+    TickData,
+    BarData,
+    TradeData,
+    OrderData,
+    BarGenerator,
+    ArrayManager,
+)
+
+
+class DualThrustStrategy(CtaTemplate):
+    """"""
+    
+    author = u'用Python的交易员'
+
+    fixed_size = 1
+    k1 = 0.4
+    k2 = 0.6
+
+    barList = [] 
+    
+    day_open = 0
+    day_high = 0
+    day_low = 0
+    
+    range = 0
+    long_entry = 0
+    short_entry = 0
+    exit_time = time(hour=14, minute=55)
+
+    long_entered = False
+    short_entered = False
+
+
+    parameters = [ 'k1', 'k2', "fixed_size"]    
+    variables = ['range','long_entry','short_entry','exit_time'] 
+    
+    def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
+        """"""
+        super(DualThrustStrategy, self).__init__(
+            cta_engine, strategy_name, vt_symbol, setting
+        )
+
+        self.bg = BarGenerator(self.on_bar)
+        self.am = ArrayManager()
+        self.barList = []
+
+    def on_init(self):
+        """
+        Callback when strategy is inited.
+        """
+        self.write_log("策略初始化")
+        self.load_bar(10)
+
+    def on_start(self):
+        """
+        Callback when strategy is started.
+        """
+        self.write_log("策略启动")
+        
+    def on_stop(self):
+        """
+        Callback when strategy is stopped.
+        """
+        self.write_log("策略停止")
+
+    def on_tick(self, tick: TickData):
+        """
+        Callback of new tick data update.
+        """
+        self.bg.update_tick(tick)
+        
+    def on_bar(self, bar: BarData):
+        """
+        Callback of new bar data update.
+        """
+        self.cancel_all()
+
+        self.barList.append(bar)        
+        if len(self.barList) <= 2:
+            return
+        else:
+            self.barList.pop(0)
+        last_bar = self.barList[-2]
+        
+        if last_bar.datetime.date() != bar.datetime.date():
+            if self.day_high:
+                self.range = self.day_high - self.day_low
+                self.long_entry = bar.open_price + self.k1 * self.range
+                self.short_entry = bar.open_price - self.k2 * self.range           
+                
+            self.day_open = bar.open_price
+            self.day_high = bar.high_price
+            self.day_low = bar.low_price
+
+            self.long_entered = False
+            self.short_entered = False
+        else:
+            self.day_high = max(self.day_high, bar.high_price)
+            self.day_low = min(self.day_low, bar.low_price)
+
+        if not self.range:
+            return
+
+        if bar.datetime.time() < self.exit_time:
+            if self.pos == 0:
+                if bar.close_price > self.day_open:
+                    if not self.long_entered:
+                        self.buy(self.long_entry, self.fixed_size, stop=True)
+                else:
+                    if not self.short_entered:
+                        self.short(self.short_entry, self.fixed_size, stop=True)
+    
+            elif self.pos > 0:
+                self.long_entered = True
+
+                self.sell(self.short_entry, self.fixed_size, stop=True)
+                
+                if not self.short_entered:
+                    self.short(self.short_entry, self.fixed_size, stop=True)
+                
+            elif self.pos < 0:
+                self.short_entered = True
+
+                self.cover(self.long_entry, self.fixed_size, stop=True)
+                
+                if not self.long_entered:
+                    self.buy(self.long_entry, self.fixed_size, stop=True)
+            
+        else:
+            if self.pos > 0:
+                self.sell(bar.close_price * 0.99, abs(self.pos))
+            elif self.pos < 0:
+                self.cover(bar.close_price * 1.01, abs(self.pos))
+ 
+        self.put_event()
+
+    def on_order(self, order: OrderData):
+        """
+        Callback of new order data update.
+        """
+        pass
+
+    def on_trade(self, trade: TradeData):
+        """
+        Callback of new trade data update.
+        """
+        self.put_event()
+
+    def on_stop_order(self, stop_order: StopOrder):
+        """
+        Callback of stop order update.
+        """
+        pass