From 13eade96f9c9b30301d2f671d4aa75f2f6cda77f Mon Sep 17 00:00:00 2001 From: msincenselee Date: Mon, 11 Dec 2017 13:29:26 +0800 Subject: [PATCH] =?UTF-8?q?=E5=A2=9E=E5=8A=A0=E5=8D=A1=E5=B0=94=E6=9B=BC?= =?UTF-8?q?=E5=9D=87=E7=BA=BF/=E5=91=A8=E6=9C=9F=E5=88=A4=E6=96=AD?= =?UTF-8?q?=E9=80=BB=E8=BE=91?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/app/ctaStrategy/ctaLineBar.py | 302 ++++++++++++++++++++-- 1 file changed, 276 insertions(+), 26 deletions(-) diff --git a/vnpy/trader/app/ctaStrategy/ctaLineBar.py b/vnpy/trader/app/ctaStrategy/ctaLineBar.py index d287b748..4aa5377d 100644 --- a/vnpy/trader/app/ctaStrategy/ctaLineBar.py +++ b/vnpy/trader/app/ctaStrategy/ctaLineBar.py @@ -7,11 +7,13 @@ from datetime import datetime import talib as ta import numpy +import math import copy,csv from pykalman import KalmanFilter from vnpy.trader.app.ctaStrategy.ctaBase import * from vnpy.trader.vtConstant import * +from vnpy.trader.app.ctaStrategy.ctaPeriod import * DEBUGCTALOG = True @@ -53,11 +55,14 @@ class CtaLineBar(object): # 参数列表，保存了参数的名称 paramList = ['vtSymbol'] - def __init__(self, strategy, onBarFunc, setting=None,): + def __init__(self, strategy, onBarFunc, setting=None): # OnBar事件回调函数 self.onBarFunc = onBarFunc + # 周期变更事件回调函数 + self.onPeriodChgFunc = None + # 参数列表 self.paramList.append('barTimeInterval') self.paramList.append('period') @@ -243,6 +248,13 @@ class CtaLineBar(object): self.lineStateMean = [] self.lineStateCovar = [] + # 周期 + self.atan = None + self.atan_list = [] + self.curPeriod = None # 当前所在周期 + self.periods = [] + + if setting: self.setParam(setting) @@ -263,7 +275,6 @@ class CtaLineBar(object): self.writeCtaLog(u'导入卡尔曼过滤器失败,需先安装 pip install pykalman') self.inputKF = False - def setParam(self, setting): """设置参数""" d = self.__dict__ @@ -298,10 +309,17 @@ class CtaLineBar(object): self.lastTick = tick + # 更新curPeriod的High，low + if self.curPeriod is not None: + if self.curTick.lastPrice is None: + self.curTick.lastPrice = (self.curTick.askPrice1 + self.curTick.bidPrice1) / 2 + + self.curPeriod.onPrice(self.curTick.lastPrice) + # 4.执行 bar内计算 self.__recountKdj(countInBar=True) - def addBar(self,bar): + def addBar(self, bar, bar_is_completed=False): """予以外部初始化程序增加bar""" l1 = len(self.lineBar) @@ -313,10 +331,11 @@ class CtaLineBar(object): # 与最后一个BAR的时间比对，判断是否超过K线的周期 lastBar = self.lineBar[-1] - self.curTradingDay = bar.tradingDay is_new_bar = False + if bar_is_completed: + is_new_bar = True if self.period == PERIOD_SECOND and (bar.datetime-lastBar.datetime).seconds >= self.barTimeInterval: is_new_bar = True @@ -327,11 +346,9 @@ class CtaLineBar(object): elif self.period == PERIOD_HOUR: if self.barTimeInterval == 1 and bar.datetime.hour != lastBar.datetime.hour : is_new_bar = True - elif self.barTimeInterval == 2 and bar.datetime.hour != lastBar.datetime.hour \ and bar.datetime.hour in {1, 9, 11, 13, 15, 21, 23}: is_new_bar = True - elif self.barTimeInterval == 4 and bar.datetime.hour != lastBar.datetime.hour \ and bar.datetime.hour in {1, 9, 13, 21}: is_new_bar = True @@ -376,6 +393,7 @@ class CtaLineBar(object): self.__recountMacd() self.__recountCci() self.__recountKF() + self.__recoundPeriod(bar) # 回调上层调用者 self.onBarFunc(bar) @@ -392,7 +410,7 @@ class CtaLineBar(object): else: displayBar = self.lineBar[-1] - msg = msg + u'{0} o:{1};h{2};l:{3};c:{4},v:{5}'.\ + msg = msg + u'{0} o:{1};h:{2};l:{3};c:{4},v:{5}'.\ format(displayBar.date+' '+displayBar.time, displayBar.open, displayBar.high, displayBar.low, displayBar.close, displayBar.volume) @@ -1338,7 +1356,6 @@ class CtaLineBar(object): 但是talib中MACD的计算是bar = (dif-dea)*1 """ - if self.inputMacdFastPeriodLen <= EMPTY_INT: return if self.inputMacdSlowPeriodLen <= EMPTY_INT: return if self.inputMacdSignalPeriodLen <= EMPTY_INT: return @@ -1430,21 +1447,26 @@ class CtaLineBar(object): if not self.inputKF or self.kf is None: return - if len(self.lineBar) < min_len: - # 数量不足时，不做滤波处理，直接吻合（若改为EMA更好） - if self.mode == self.TICK_MODE and len(self.lineBar)>1: - self.lineStateMean.append(self.lineBar[-2].close) - else: - self.lineStateMean.append(self.lineBar[-1].close) - return - - if len(self.lineStateMean) ==0 or len(self.lineStateCovar) ==0: - + if len(self.lineStateMean) == 0 or len(self.lineStateCovar) == 0: + listClose = [] # 3、获取前InputN周期(不包含当前周期）的K线 if self.mode == self.TICK_MODE: - listClose = [x.close for x in self.lineBar[-min_len - 1:-1]] + if len(self.lineBar)<2: + return + listClose.append(self.lineBar[-2].close) else: - listClose = [x.close for x in self.lineBar[-min_len:]] + listClose.append(self.lineBar[-1].close) + + try: + self.kf = KalmanFilter(transition_matrices=[1], + observation_matrices=[1], + initial_state_mean=listClose[-1], + initial_state_covariance=1, + + transition_covariance=0.01) + except: + self.writeCtaLog(u'导入卡尔曼过滤器失败,需先安装 pip install pykalman') + self.inputKF = False state_means, state_covariances = self.kf.filter(numpy.array(listClose, dtype=float)) m = state_means[-1].item() @@ -1471,6 +1493,240 @@ class CtaLineBar(object): self.lineStateMean.append(m) self.lineStateCovar.append(c) + def __recoundPeriod(self, bar): + """重新计算周期""" + + len_rsi = len(self.lineRsi1) + + if self.inputKF: + if len(self.lineStateMean) < 7 or len_rsi <=0: + return + listMid = self.lineStateMean[-7:-1] + malist = ta.MA(numpy.array(listMid, dtype=float), 5) + lastMid = self.lineStateMean[-1] + + else: + len_boll = len(self.lineMiddleBand) + if len_boll <= 6 or len_rsi <= 0: + return + listMid = self.lineMiddleBand[-7:-1] + lastMid = self.lineMiddleBand[-1] + malist = ta.MA(numpy.array(listMid, dtype=float), 5) + + ma5 = malist[-1] + ma5_ref1 = malist[-2] + if ma5 <= 0 or ma5_ref1 <= 0: + self.writeCtaLog(u'boll中轨计算均线异常') + return + self.atan = math.atan((ma5 / ma5_ref1 - 1) * 100 * 180 / math.pi) + #atan2 = math.atan((ma5 / ma5_ref1 - 1) * 100) * 180 / math.pi + #atan3 = math.atan(ma5 / ma5_ref1 - 1)* 100 + self.atan = round(self.atan,3) + #self.writeCtaLog(u'{}/{}/{}'.format(self.atan, atan2, atan3)) + + if self.curPeriod is None: + self.writeCtaLog(u'初始化周期为震荡') + self.curPeriod = CtaPeriod(mode=PERIOD_SHOCK, price=bar.close, pre_mode=PERIOD_INIT, dt=bar.datetime) + self.periods.append(self.curPeriod) + + if len(self.atan_list) > 10: + del self.atan_list[0] + self.atan_list.append(self.atan) + + if len_rsi < 3: + return + + # 当前期趋势是震荡 + if self.curPeriod.mode == PERIOD_SHOCK: + # 初始化模式 + if self.curPeriod.pre_mode == PERIOD_INIT: + if self.atan < -0.8: + self.curPeriod = CtaPeriod(mode=PERIOD_SHORT_EXTREME, price=bar.close, pre_mode=PERIOD_SHORT, + dt=bar.datetime) + self.periods.append(self.curPeriod) + self.writeCtaLog(u'{} 角度向下,Atan:{},周期{}=》{}'. + format(bar.datetime, self.atan, self.curPeriod.pre_mode, self.curPeriod.mode)) + if self.onPeriodChgFunc is not None: + self.onPeriodChgFunc(self.curPeriod) + + return + elif self.atan > 0.8: + self.curPeriod = CtaPeriod(mode=PERIOD_LONG_EXTREME, price=bar.close, pre_mode=PERIOD_LONG, + dt=bar.datetime) + self.periods.append(self.curPeriod) + self.writeCtaLog(u'{} 角度加速向上,Atan:{}，周期:{}=>{}'. + format(bar.datetime, self.atan, self.curPeriod.pre_mode, + self.curPeriod.mode)) + if self.onPeriodChgFunc is not None: + self.onPeriodChgFunc(self.curPeriod) + + return + + # 震荡 -》 空 + if self.atan <= -0.2: + self.curPeriod = CtaPeriod(mode=PERIOD_SHORT, price=bar.close, pre_mode=PERIOD_SHOCK, dt=bar.datetime) + self.periods.append(self.curPeriod) + self.writeCtaLog(u'{} 角度向下,Atan:{},周期{}=》{}'. + format(bar.datetime,self.atan, self.curPeriod.pre_mode, self.curPeriod.mode)) + if self.onPeriodChgFunc is not None: + self.onPeriodChgFunc(self.curPeriod) + # 震荡 =》 多 + elif self.atan >= 0.2: + self.curPeriod = CtaPeriod(mode=PERIOD_LONG, price=bar.close, pre_mode=PERIOD_SHOCK,dt=bar.datetime) + self.periods.append(self.curPeriod) + self.writeCtaLog(u'{} 角度向上,Atan:{}，周期:{}=>{}'. + format(bar.datetime,self.atan, self.curPeriod.pre_mode, + self.curPeriod.mode)) + if self.onPeriodChgFunc is not None: + self.onPeriodChgFunc(self.curPeriod) + + # 周期维持不变 + else: + self.writeCtaLog(u'{} 角度维持，Atan:{},周期维持:{}'. + format(bar.datetime, self.atan, self.curPeriod.mode)) + + return + + # 当前期趋势是空 + if self.curPeriod.mode == PERIOD_SHORT: + # 空=》空极端 + if self.atan <= -0.8 and self.atan_list[-1] < self.atan_list[-2]: + self.curPeriod = CtaPeriod(mode=PERIOD_SHORT_EXTREME, price=bar.close, pre_mode=PERIOD_SHORT, dt=bar.datetime) + self.periods.append(self.curPeriod) + self.writeCtaLog(u'{} 角度极端向下,Atan:{}，注意反弹。周期:{}=>{}'. + format(bar.datetime,self.atan, self.curPeriod.pre_mode, self.curPeriod.mode)) + if self.onPeriodChgFunc is not None: + self.onPeriodChgFunc(self.curPeriod) + + # 空=》震荡 + elif -0.2 < self.atan < 0.2 or (self.atan >= 0.2 and self.atan_list[-2] <= -0.2): + self.curPeriod = CtaPeriod(mode=PERIOD_SHOCK, price=bar.close, pre_mode=PERIOD_SHORT, dt=bar.datetime) + self.periods.append(self.curPeriod) + self.writeCtaLog(u'{} 角度平缓，Atan:{},结束下降趋势。周期:{}=>{}'. + format(bar.datetime, self.atan, self.curPeriod.pre_mode,self.curPeriod.mode)) + if self.onPeriodChgFunc is not None: + self.onPeriodChgFunc(self.curPeriod) + + elif self.atan > 0.2 and self.curPeriod.pre_mode == PERIOD_LONG_EXTREME and self.atan_list[-1] > self.atan_list[-2] and bar.close > lastMid: + self.curPeriod = CtaPeriod(mode=PERIOD_SHOCK, price=bar.close, pre_mode=PERIOD_SHORT, dt=bar.datetime) + self.periods.append(self.curPeriod) + self.writeCtaLog(u'{} 角度平缓，Atan:{},结束下降趋势。周期:{}=>{}'. + format(bar.datetime, self.atan, self.curPeriod.pre_mode, self.curPeriod.mode)) + if self.onPeriodChgFunc is not None: + self.onPeriodChgFunc(self.curPeriod) + + # 周期维持空 + else: + self.writeCtaLog(u'{} 角度向下{},周期维持:{}'. + format(bar.datetime, self.atan, self.curPeriod.mode)) + + return + + # 当前期趋势是多 + if self.curPeriod.mode == PERIOD_LONG: + # 多=》多极端 + if self.atan >= 0.8 and self.atan_list[-1] > self.atan_list[-2]: + self.curPeriod = CtaPeriod(mode=PERIOD_LONG_EXTREME, price=bar.close, pre_mode=PERIOD_LONG, dt=bar.datetime) + self.periods.append(self.curPeriod) + + self.writeCtaLog(u'{} 角度加速向上,Atan:{}，周期:{}=>{}'. + format(bar.datetime, self.atan, self.curPeriod.pre_mode, + self.curPeriod.mode)) + if self.onPeriodChgFunc is not None: + self.onPeriodChgFunc(self.curPeriod) + + # 多=》震荡 + elif -0.2 < self.atan < 0.2 or (self.atan <= -0.2 and self.atan_list[-2] >= 0.2): + self.curPeriod = CtaPeriod(mode=PERIOD_SHOCK, price=bar.close, pre_mode=PERIOD_LONG, dt=bar.datetime) + self.periods.append(self.curPeriod) + self.writeCtaLog(u'{} 角度平缓,Atan:{},结束上升趋势。周期:{}=>{}'. + format(bar.datetime, self.atan, self.curPeriod.pre_mode, self.curPeriod.mode)) + if self.onPeriodChgFunc is not None: + self.onPeriodChgFunc(self.curPeriod) + + # 多=》震荡 + elif self.atan < -0.2 and self.curPeriod.pre_mode == PERIOD_SHORT_EXTREME and self.atan_list[-1] < self.atan_list[-2] and bar.close < lastMid: + self.curPeriod = CtaPeriod(mode=PERIOD_SHOCK, price=bar.close, pre_mode=PERIOD_LONG, dt=bar.datetime) + self.periods.append(self.curPeriod) + self.writeCtaLog(u'{} 角度平缓,Atan:{},结束上升趋势。周期:{}=>{}'. + format(bar.datetime, self.atan, self.curPeriod.pre_mode, self.curPeriod.mode)) + + if self.onPeriodChgFunc is not None: + self.onPeriodChgFunc(self.curPeriod) + # 周期保持多 + else: + self.writeCtaLog(u'{} 角度向上,Atan:{},周期维持:{}'. + format(bar.datetime, self.atan, self.curPeriod.mode)) + return + + # 当前周期为多极端 + if self.curPeriod.mode == PERIOD_LONG_EXTREME: + # 多极端 =》 空 + if self.lineRsi1[-1] < self.lineRsi1[-2] \ + and max(self.lineRsi1[-5:-2]) >= 50 \ + and bar.close < lastMid: + + self.curPeriod = CtaPeriod(mode=PERIOD_SHORT, price=bar.close, pre_mode=PERIOD_LONG_EXTREME, + dt=bar.datetime) + self.periods.append(self.curPeriod) + + self.writeCtaLog(u'{} 角度高位反弹向下，Atan:{} , RSI {}=》{},{}下穿中轨{},周期：{}=》{}'. + format(bar.datetime, self.atan, self.lineRsi1[-2], self.lineRsi1[-1], + bar.close,lastMid, + self.curPeriod.pre_mode, self.curPeriod.mode)) + if self.onPeriodChgFunc is not None: + self.onPeriodChgFunc(self.curPeriod) + + # 多极端 =》多 + elif self.lineRsi1[-1] < self.lineRsi1[-2] \ + and bar.close > lastMid: + self.curPeriod = CtaPeriod(mode=PERIOD_LONG, price=bar.close, pre_mode=PERIOD_LONG_EXTREME, dt=bar.datetime) + self.periods.append(self.curPeriod) + self.writeCtaLog(u'{} 角度上加速放缓，Atan:{}, & RSI{}=>{}，周期：{}=》{}'. + format(bar.datetime, self.atan, self.lineRsi1[-2], self.lineRsi1[-1], + self.curPeriod.pre_mode, self.curPeriod.mode)) + if self.onPeriodChgFunc is not None: + self.onPeriodChgFunc(self.curPeriod) + + # 当前趋势保持多极端 + else: + self.writeCtaLog(u'{} 角度向上加速{},周期维持:{}'. + format(bar.datetime, self.atan, self.curPeriod.mode)) + + return + + # 当前周期为空极端 + if self.curPeriod.mode == PERIOD_SHORT_EXTREME: + # 空极端 =》多 + if self.lineRsi1[-1] > self.lineRsi1[-2] and min(self.lineRsi1[-5:-2]) <= 50 \ + and bar.close > lastMid: + + self.curPeriod = CtaPeriod(mode=PERIOD_LONG, price=bar.close, pre_mode=PERIOD_SHORT_EXTREME, dt=bar.datetime) + self.periods.append(self.curPeriod) + + self.writeCtaLog(u'{} 角度下极限低位反弹转折,Atan:{}, RSI:{}=>{},周期:{}=>{}'. + format(bar.datetime, self.atan, self.lineRsi1[-2], self.lineRsi1[-1], + self.curPeriod.pre_mode, self.curPeriod.mode)) + if self.onPeriodChgFunc is not None: + self.onPeriodChgFunc(self.curPeriod) + + # 空极端=》空 + elif self.lineRsi1[-1] > self.lineRsi1[-2] and bar.close < lastMid: + self.curPeriod = CtaPeriod(mode=PERIOD_SHORT, price=bar.close, pre_mode=PERIOD_SHORT_EXTREME, + dt=bar.datetime) + self.periods.append(self.curPeriod) + self.writeCtaLog(u'{} 角度下加速放缓，Atan:{},RSI:{}=>{}, ,周期：{}=>{}'. + format(bar.datetime, self.atan, self.lineRsi1[-2],self.lineRsi1[-1], + self.curPeriod.pre_mode, self.curPeriod.mode)) + if self.onPeriodChgFunc is not None: + self.onPeriodChgFunc(self.curPeriod) + + # 保持空极端趋势 + else: + self.writeCtaLog(u'{} 角度向下加速,Atan:{},周期维持:{}'. + format(bar.datetime, self.atan, self.curPeriod.mode)) + + return # ---------------------------------------------------------------------- def writeCtaLog(self, content): """记录CTA日志""" @@ -1511,14 +1767,12 @@ class CtaDayBar(object): self.onBarFunc = onBarFunc self.lineBar = [] - self.currTick = None self.lastTick = None self.shortSymbol = EMPTY_STRING # 商品的短代码 self.minDiff = 1 # 商品的最小价格单位 - def onTick(self, tick): """行情更新""" @@ -1526,10 +1780,8 @@ class CtaDayBar(object): self.currTick = tick self.__drawLineBar(tick) - self.lastTick = tick - def addBar(self, bar): """予以外部初始化程序增加bar""" l1 = len(self.lineBar) @@ -1556,7 +1808,6 @@ class CtaDayBar(object): lastBar.high = max(lastBar.high, bar.high) lastBar.low = min(lastBar.low, bar.low) - lastBar.mid4 = round((2 * lastBar.close + lastBar.high + lastBar.low) / 4, self.round_n) lastBar.mid5 = round((2 * lastBar.close + lastBar.open + lastBar.high + lastBar.low) / 5, self.round_n) @@ -1638,7 +1889,6 @@ class CtaDayBar(object): lastBar.low = min(lastBar.low, tick.lastPrice) lastBar.close = tick.lastPrice - # 更新Bar的颜色 if lastBar.close > lastBar.open: lastBar.color = COLOR_RED