合并1.6.1版本
This commit is contained in:
msincenselee
parent
67ea240ccd
commit
1de24b6d43
@ -1,14 +0,0 @@
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[
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{
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"name": "S22_M09M01",
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"className": "Strategy22",
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"vtSymbol": "SP m1609&m1701",
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"symbol": "SP m1609&m1701",
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"shortSymbol":"SP m1609&m1701",
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"D1Symbol": "m1609",
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"D2Symbol": "m1701",
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"minDiff":1,
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"inputSS":2
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}
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]
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File diff suppressed because it is too large
Load Diff
@ -1,294 +0,0 @@
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# encoding: UTF-8
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"""
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这里的Demo是一个最简单的策略实现，并未考虑太多实盘中的交易细节，如：
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1. 委托价格超出涨跌停价导致的委托失败
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2. 委托未成交，需要撤单后重新委托
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3. 断网后恢复交易状态
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4. 等等
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这些点是作者选择特意忽略不去实现，因此想实盘的朋友请自己多多研究CTA交易的一些细节，
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做到了然于胸后再去交易，对自己的money和时间负责。
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也希望社区能做出一个解决了以上潜在风险的Demo出来。
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"""
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from ctaBase import *
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from ctaTemplate import CtaTemplate
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########################################################################
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class DoubleEmaDemo(CtaTemplate):
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"""双指数均线策略Demo"""
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className = 'DoubleEmaDemo'
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author = u'用Python的交易员'
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# 策略参数
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fastK = 0.9 # 快速EMA参数
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slowK = 0.1 # 慢速EMA参数
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initDays = 10 # 初始化数据所用的天数
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# 策略变量
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bar = None
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barMinute = EMPTY_STRING
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fastMa = [] # 快速EMA均线数组
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fastMa0 = EMPTY_FLOAT # 当前最新的快速EMA
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fastMa1 = EMPTY_FLOAT # 上一根的快速EMA
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slowMa = [] # 与上面相同
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slowMa0 = EMPTY_FLOAT
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slowMa1 = EMPTY_FLOAT
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# 参数列表，保存了参数的名称
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paramList = ['name',
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'className',
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'author',
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'vtSymbol',
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'fastK',
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'slowK']
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# 变量列表，保存了变量的名称
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varList = ['inited',
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'trading',
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'pos',
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'fastMa0',
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'fastMa1',
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'slowMa0',
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'slowMa1']
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#----------------------------------------------------------------------
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def __init__(self, ctaEngine, setting):
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"""Constructor"""
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super(DoubleEmaDemo, self).__init__(ctaEngine, setting)
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# 注意策略类中的可变对象属性（通常是list和dict等），在策略初始化时需要重新创建，
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# 否则会出现多个策略实例之间数据共享的情况，有可能导致潜在的策略逻辑错误风险，
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# 策略类中的这些可变对象属性可以选择不写，全都放在__init__下面，写主要是为了阅读
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# 策略时方便（更多是个编程习惯的选择）
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self.fastMa = []
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self.slowMa = []
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#----------------------------------------------------------------------
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def onInit(self):
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"""初始化策略（必须由用户继承实现）"""
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self.writeCtaLog(u'双EMA演示策略初始化')
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initData = self.loadBar(self.initDays)
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for bar in initData:
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self.onBar(bar)
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self.putEvent()
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#----------------------------------------------------------------------
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def onStart(self):
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"""启动策略（必须由用户继承实现）"""
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self.writeCtaLog(u'双EMA演示策略启动')
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self.putEvent()
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#----------------------------------------------------------------------
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def onStop(self):
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"""停止策略（必须由用户继承实现）"""
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self.writeCtaLog(u'双EMA演示策略停止')
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self.putEvent()
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#----------------------------------------------------------------------
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def onTick(self, tick):
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"""收到行情TICK推送（必须由用户继承实现）"""
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# 计算K线
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tickMinute = tick.datetime.minute
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if tickMinute != self.barMinute:
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if self.bar:
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self.onBar(self.bar)
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bar = CtaBarData()
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bar.vtSymbol = tick.vtSymbol
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bar.symbol = tick.symbol
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bar.exchange = tick.exchange
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bar.open = tick.lastPrice
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bar.high = tick.lastPrice
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bar.low = tick.lastPrice
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bar.close = tick.lastPrice
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bar.date = tick.date
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bar.time = tick.time
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bar.datetime = tick.datetime # K线的时间设为第一个Tick的时间
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# 实盘中用不到的数据可以选择不算，从而加快速度
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#bar.volume = tick.volume
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#bar.openInterest = tick.openInterest
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self.bar = bar # 这种写法为了减少一层访问，加快速度
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self.barMinute = tickMinute # 更新当前的分钟
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else: # 否则继续累加新的K线
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bar = self.bar # 写法同样为了加快速度
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bar.high = max(bar.high, tick.lastPrice)
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bar.low = min(bar.low, tick.lastPrice)
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bar.close = tick.lastPrice
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#----------------------------------------------------------------------
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def onBar(self, bar):
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"""收到Bar推送（必须由用户继承实现）"""
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# 计算快慢均线
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if not self.fastMa0:
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self.fastMa0 = bar.close
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self.fastMa.append(self.fastMa0)
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else:
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self.fastMa1 = self.fastMa0
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self.fastMa0 = bar.close * self.fastK + self.fastMa0 * (1 - self.fastK)
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self.fastMa.append(self.fastMa0)
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if not self.slowMa0:
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self.slowMa0 = bar.close
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self.slowMa.append(self.slowMa0)
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else:
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self.slowMa1 = self.slowMa0
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self.slowMa0 = bar.close * self.slowK + self.slowMa0 * (1 - self.slowK)
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self.slowMa.append(self.slowMa0)
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# 判断买卖
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crossOver = self.fastMa0>self.slowMa0 and self.fastMa1<self.slowMa1 # 金叉上穿
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crossBelow = self.fastMa0<self.slowMa0 and self.fastMa1>self.slowMa1 # 死叉下穿
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# 金叉和死叉的条件是互斥
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# 所有的委托均以K线收盘价委托（这里有一个实盘中无法成交的风险，考虑添加对模拟市价单类型的支持）
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if crossOver:
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# 如果金叉时手头没有持仓，则直接做多
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if self.pos == 0:
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self.buy(bar.close, 1)
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# 如果有空头持仓，则先平空，再做多
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elif self.pos < 0:
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self.cover(bar.close, 1)
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self.buy(bar.close, 1)
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# 死叉和金叉相反
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elif crossBelow:
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if self.pos == 0:
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self.short(bar.close, 1)
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elif self.pos > 0:
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self.sell(bar.close, 1)
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self.short(bar.close, 1)
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# 发出状态更新事件
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self.putEvent()
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#----------------------------------------------------------------------
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def onOrder(self, order):
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"""收到委托变化推送（必须由用户继承实现）"""
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# 对于无需做细粒度委托控制的策略，可以忽略onOrder
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pass
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#----------------------------------------------------------------------
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def onTrade(self, trade):
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"""收到成交推送（必须由用户继承实现）"""
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# 对于无需做细粒度委托控制的策略，可以忽略onOrder
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pass
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########################################################################################
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class OrderManagementDemo(CtaTemplate):
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"""基于tick级别细粒度撤单追单测试demo"""
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className = 'OrderManagementDemo'
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author = u'用Python的交易员'
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# 策略参数
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initDays = 10 # 初始化数据所用的天数
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# 策略变量
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bar = None
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barMinute = EMPTY_STRING
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# 参数列表，保存了参数的名称
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paramList = ['name',
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'className',
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'author',
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'vtSymbol']
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# 变量列表，保存了变量的名称
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varList = ['inited',
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'trading',
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'pos']
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#----------------------------------------------------------------------
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def __init__(self, ctaEngine, setting):
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"""Constructor"""
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super(OrderManagementDemo, self).__init__(ctaEngine, setting)
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self.lastOrder = None
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self.orderType = ''
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#----------------------------------------------------------------------
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def onInit(self):
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"""初始化策略（必须由用户继承实现）"""
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self.writeCtaLog(u'双EMA演示策略初始化')
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initData = self.loadBar(self.initDays)
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for bar in initData:
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self.onBar(bar)
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self.putEvent()
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#----------------------------------------------------------------------
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def onStart(self):
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"""启动策略（必须由用户继承实现）"""
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self.writeCtaLog(u'双EMA演示策略启动')
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self.putEvent()
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#----------------------------------------------------------------------
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def onStop(self):
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"""停止策略（必须由用户继承实现）"""
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self.writeCtaLog(u'双EMA演示策略停止')
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self.putEvent()
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#----------------------------------------------------------------------
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def onTick(self, tick):
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"""收到行情TICK推送（必须由用户继承实现）"""
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# 建立不成交买单测试单
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if self.lastOrder == None:
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self.buy(tick.lastprice - 10.0, 1)
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# CTA委托类型映射
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if self.lastOrder != None and self.lastOrder.direction == u'多' and self.lastOrder.offset == u'开仓':
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self.orderType = u'买开'
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elif self.lastOrder != None and self.lastOrder.direction == u'多' and self.lastOrder.offset == u'平仓':
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self.orderType = u'买平'
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elif self.lastOrder != None and self.lastOrder.direction == u'空' and self.lastOrder.offset == u'开仓':
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self.orderType = u'卖开'
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elif self.lastOrder != None and self.lastOrder.direction == u'空' and self.lastOrder.offset == u'平仓':
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self.orderType = u'卖平'
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# 不成交，即撤单，并追单
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if self.lastOrder != None and self.lastOrder.status == u'未成交':
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self.cancelOrder(self.lastOrder.vtOrderID)
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self.lastOrder = None
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elif self.lastOrder != None and self.lastOrder.status == u'已撤销':
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# 追单并设置为不能成交
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self.sendOrder(self.orderType, self.tick.lastprice - 10, 1)
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self.lastOrder = None
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#----------------------------------------------------------------------
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def onBar(self, bar):
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"""收到Bar推送（必须由用户继承实现）"""
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pass
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#----------------------------------------------------------------------
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def onOrder(self, order):
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"""收到委托变化推送（必须由用户继承实现）"""
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# 对于无需做细粒度委托控制的策略，可以忽略onOrder
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self.lastOrder = order
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#----------------------------------------------------------------------
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def onTrade(self, trade):
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"""收到成交推送（必须由用户继承实现）"""
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# 对于无需做细粒度委托控制的策略，可以忽略onOrder
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pass
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@ -1,5 +0,0 @@
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{
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"domain": "http://api.wmcloud.com/data",
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"version": "v1",
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"token": "575593eb7696aec7339224c0fac2313780d8645f68b77369dcb35f8bcb419a0b"
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}
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@ -80,15 +80,19 @@ class CtaGrid(object):
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class CtaGridTrade(object):
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"""网格交易类
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包括两个方向的网格队列，
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v1, 基本版
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v2，增加更新最小价格跳动，增加动态上下网格间距
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"""
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def __init__(self, strategy, maxlots=5, height=2, win=2, vol=1):
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def __init__(self, strategy, maxlots=5, height=2, win=2, vol=1, minDiff = 1):
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"""初始化
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maxlots,最大网格数
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height，网格高度（绝对值，包含minDiff）
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win，盈利数（包含minDiff）
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vol，网格开仓数
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minDiff, 最小价格跳动
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"""
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self.minDiff = minDiff
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self.strategy = strategy
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@ -107,9 +111,11 @@ class CtaGridTrade(object):
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self.avg_up_open_price = EMPTY_FLOAT # 上网格开仓均价
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self.avg_dn_open_price = EMPTY_FLOAT # 下网格开仓均价
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def getVolume(self, gridIndex=EMPTY_INT):
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"""获取网格索引对应的开仓数量比例"""
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self.max_up_open_price = EMPTY_FLOAT # 上网格开仓均价
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self.min_dn_open_price = EMPTY_FLOAT # 下网格开仓均价
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def getVolumeRate(self, gridIndex=EMPTY_INT):
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"""获取网格索引对应的开仓数量比例"""
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if gridIndex >= len(self.volumeList) or gridIndex < 0:
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return 1
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rate = self.volumeList[gridIndex]
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@ -138,7 +144,7 @@ class CtaGridTrade(object):
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grid = CtaGrid(direction=DIRECTION_SHORT,
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openprice=upline+self.gridHeight*i,
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closeprice=upline+self.gridHeight*i-self.gridWin,
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volume=self.volume*self.getVolume(i))
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volume=self.volume*self.getVolumeRate(i))
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self.upGrids.append(grid)
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self.writeCtaLog(u'上网格{0}~{1}初始化完成'.format(upline,upline+self.gridHeight*self.maxLots))
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@ -160,7 +166,7 @@ class CtaGridTrade(object):
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grid = CtaGrid(direction=DIRECTION_LONG,
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openprice=dnline - self.gridHeight * i,
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closeprice=dnline - self.gridHeight * i + self.gridWin,
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volume=self.volume*self.getVolume(i))
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volume=self.volume*self.getVolumeRate(i))
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self.dnGrids.append(grid)
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self.writeCtaLog(u'下网格{0}~{1}初始化完成'.format(dnline,dnline-self.gridHeight*self.maxLots))
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@ -369,13 +375,20 @@ class CtaGridTrade(object):
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self.writeCtaLog(u'清除上网格[open={0}]'.format(x.openPrice))
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self.upGrids.remove(x)
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def rebuildGrids(self, direction, upline=EMPTY_FLOAT, dnline=EMPTY_FLOAT, midline=EMPTY_FLOAT):
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def rebuildGrids(self, direction, upline=EMPTY_FLOAT, dnline=EMPTY_FLOAT, midline=EMPTY_FLOAT, upRate=1, dnRate = 1):
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"""重新拉网
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清除未挂单的网格，
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在上轨/下轨位置重新挂单
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upRate , 上轨网格高度比率
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dnRate， 下轨网格高度比率
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"""
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self.writeCtaLog(u'重新拉网:upline:{0},dnline:{1}'.format(upline, dnline))
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# 检查上下网格的高度比率，不能低于0.5
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if upRate < 0.5 or dnRate < 0.5:
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upRate = max(0.5, upRate)
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dnRate = max(0.5, dnRate)
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if direction == DIRECTION_LONG:
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minPriceInOrder = midline
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removePrices = []
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@ -399,13 +412,15 @@ class CtaGridTrade(object):
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self.writeCtaLog(u'需要重建的网格数量:{0},起点:{1}'.format(lots, dnline))
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if lots > 0:
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for i in range(0, lots, 1):
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# 做多，开仓价为下阻力线-网格高度*i，平仓价为开仓价+止盈高度，开仓数量为缺省
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open_price = int((dnline - self.gridHeight * (i - 1 + dnRate)* dnRate) / self.minDiff ) * self.minDiff
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close_price = int((open_price + self.gridWin* dnRate)/self.minDiff) * self.minDiff
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grid = CtaGrid(direction=DIRECTION_LONG,
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openprice=dnline - self.gridHeight * i,
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closeprice=dnline - self.gridHeight * i + self.gridWin,
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volume=self.volume*self.getVolume(remainLots+i))
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openprice=open_price,
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closeprice=close_price,
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volume=self.volume*self.getVolumeRate(remainLots + i))
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self.dnGrids.append(grid)
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self.writeCtaLog(u'重新拉下网格:[{0}~{1}]'.format(dnline, dnline-self.gridHeight * lots))
|
||||
@ -434,10 +449,13 @@ class CtaGridTrade(object):
|
||||
if lots > 0:
|
||||
# 做空，开仓价为上阻力线+网格高度*i，平仓价为开仓价-止盈高度，开仓数量为缺省
|
||||
for i in range(0, lots, 1):
|
||||
open_price = int((upline + self.gridHeight *( i -1 + upRate) * upRate) / self.minDiff) * self.minDiff
|
||||
close_price = int((open_price - self.gridWin * upRate) / self.minDiff) * self.minDiff
|
||||
|
||||
grid = CtaGrid(direction=DIRECTION_SHORT,
|
||||
openprice=upline+self.gridHeight*i,
|
||||
closeprice=upline+self.gridHeight*i-self.gridWin,
|
||||
volume=self.volume*self.getVolume(remainLots+i))
|
||||
openprice=open_price,
|
||||
closeprice=close_price,
|
||||
volume=self.volume*self.getVolumeRate(remainLots + i))
|
||||
self.upGrids.append(grid)
|
||||
|
||||
self.writeCtaLog(u'重新拉上网格:[{0}~{1}]'.format(upline, upline+self.gridHeight * lots))
|
||||
@ -446,9 +464,15 @@ class CtaGridTrade(object):
|
||||
"""计算网格的平均开仓价"""
|
||||
up_open_list = [x for x in self.upGrids if x.openStatus]
|
||||
|
||||
self.max_up_open_price = -99999
|
||||
self.avg_up_open_price = -99999
|
||||
self.min_dn_open_price = 99999
|
||||
self.avg_dn_open_price = 99999
|
||||
|
||||
total_price = EMPTY_FLOAT
|
||||
total_volume = EMPTY_INT
|
||||
for x in up_open_list:
|
||||
self.max_up_open_price = max(self.max_up_open_price, x.openPrice)
|
||||
total_price += x.openPrice*x.volume
|
||||
total_volume += x.volume
|
||||
|
||||
@ -460,6 +484,7 @@ class CtaGridTrade(object):
|
||||
|
||||
dn_open_list = [x for x in self.dnGrids if x.openStatus]
|
||||
for x in dn_open_list:
|
||||
self.min_dn_open_price = min(self.min_dn_open_price,x.openPrice)
|
||||
total_price += x.openPrice*x.volume
|
||||
total_volume += x.volume
|
||||
|
||||
@ -468,6 +493,10 @@ class CtaGridTrade(object):
|
||||
|
||||
def save(self, direction):
|
||||
"""保存网格至本地Json文件"""
|
||||
|
||||
# 更新开仓均价
|
||||
self.recount_avg_open_price()
|
||||
|
||||
path = os.path.abspath(os.path.dirname(__file__))
|
||||
|
||||
# 保存上网格列表
|
||||
|
||||
@ -203,7 +203,7 @@ class CtaLineBar(object):
|
||||
# K线的布林特计算数据
|
||||
self.inputBollLen = EMPTY_INT # K线周期
|
||||
self.inputBollStdRate = 1.5 # 两倍标准差
|
||||
|
||||
self.lineBollClose = [] # 用于运算的close价格列表
|
||||
self.lineUpperBand = [] # 上轨
|
||||
self.lineMiddleBand = [] # 中线
|
||||
self.lineLowerBand = [] # 下轨
|
||||
|
||||
Loading…
Reference in New Issue
Block a user