From 208e962e9178818f53f24a9b8a52114d950e49ad Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Wed, 7 Nov 2018 10:47:28 +0800 Subject: [PATCH] =?UTF-8?q?[Add]=E6=96=B0=E5=A2=9ECTA=E6=A8=A1=E5=9D=97?= =?UTF-8?q?=E4=B8=8B=E7=9A=84=E5=8D=95=E6=A0=87=E7=9A=84=E6=B5=B7=E9=BE=9F?= =?UTF-8?q?=E4=BA=A4=E6=98=93=E7=AD=96=E7=95=A5?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../strategy/strategyBollChannel.py | 9 +- .../strategy/strategyTurtleTrading.py | 208 ++++++++++++++++++ 2 files changed, 210 insertions(+), 7 deletions(-) create mode 100644 vnpy/trader/app/ctaStrategy/strategy/strategyTurtleTrading.py diff --git a/vnpy/trader/app/ctaStrategy/strategy/strategyBollChannel.py b/vnpy/trader/app/ctaStrategy/strategy/strategyBollChannel.py index 10389bf8..04198166 100644 --- a/vnpy/trader/app/ctaStrategy/strategy/strategyBollChannel.py +++ b/vnpy/trader/app/ctaStrategy/strategy/strategyBollChannel.py @@ -88,14 +88,8 @@ class BollChannelStrategy(CtaTemplate): super(BollChannelStrategy, self).__init__(ctaEngine, setting) self.bg = BarGenerator(self.onBar, 15, self.onXminBar) # 创建K线合成器对象 - self.bg30 = BarGenerator(self.onBar, 30, self.on30minBar) self.am = ArrayManager() - - #---------------------------------------------------------------------- - def on30minBar(self, bar): - """""" - - + #---------------------------------------------------------------------- def onInit(self): """初始化策略（必须由用户继承实现）""" @@ -191,6 +185,7 @@ class BollChannelStrategy(CtaTemplate): #---------------------------------------------------------------------- def onTrade(self, trade): + """成交推送""" # 发出状态更新事件 self.putEvent() diff --git a/vnpy/trader/app/ctaStrategy/strategy/strategyTurtleTrading.py b/vnpy/trader/app/ctaStrategy/strategy/strategyTurtleTrading.py new file mode 100644 index 00000000..84fbe026 --- /dev/null +++ b/vnpy/trader/app/ctaStrategy/strategy/strategyTurtleTrading.py @@ -0,0 +1,208 @@ +# encoding: UTF-8 + +""" +单标的海龟交易策略，实现了完整海龟策略中的信号部分。 +""" + +from __future__ import division + +from vnpy.trader.vtObject import VtBarData +from vnpy.trader.vtConstant import DIRECTION_LONG, DIRECTION_SHORT +from vnpy.trader.app.ctaStrategy.ctaTemplate import (CtaTemplate, + BarGenerator, + ArrayManager) + + +######################################################################## +class TurtleTradingStrategy(CtaTemplate): + """海龟交易策略""" + className = 'TurtleTradingStrategy' + author = u'用Python的交易员' + + # 策略参数 + entryWindow = 55 # 入场通道窗口 + exitWindow = 20 # 出场通道窗口 + atrWindow = 20 # 计算ATR波动率的窗口 + 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 + entryUp = 0 # 入场通道上轨 + entryDown = 0 # 入场通道下轨 + exitUp = 0 # 出场通道上轨 + exitDown = 0 # 出场通道下轨 + atrVolatility = 0 # ATR波动率 + + longEntry = 0 # 多头入场价格 + shortEntry = 0 # 空头入场价格 + longStop = 0 # 多头止损价格 + shortStop = 0 # 空头止损价格 + + # 参数列表，保存了参数的名称 + paramList = ['name', + 'className', + 'author', + 'vtSymbol', + 'entryWindow', + 'exitWindow', + 'atrWindow', + 'initDays', + 'fixedSize'] + + # 变量列表，保存了变量的名称 + varList = ['inited', + 'trading', + 'pos', + 'entryUp', + 'entryDown', + 'exitUp', + 'exitDown', + 'longEntry', + 'shortEntry', + 'longStop', + 'shortStop'] + + # 同步列表，保存了需要保存到数据库的变量名称 + syncList = ['pos'] + + #---------------------------------------------------------------------- + def __init__(self, ctaEngine, setting): + """Constructor""" + super(TurtleTradingStrategy, self).__init__(ctaEngine, setting) + + self.bg = BarGenerator(self.onBar) + 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.bg.updateTick(tick) + + #---------------------------------------------------------------------- + def onBar(self, bar): + """收到Bar推送（必须由用户继承实现）""" + self.cancelAll() + + # 保存K线数据 + self.am.updateBar(bar) + if not self.am.inited: + return + + # 计算指标数值 + self.entryUp, self.entryDown = self.am.donchian(self.entryWindow) + self.exitUp, self.exitDown = self.am.donchian(self.exitWindow) + self.atrVolatility = self.am.atr(self.atrWindow) + + # 判断是否要进行交易 + if self.pos == 0: + self.longEntry = 0 + self.shortEntry = 0 + self.longStop = 0 + self.shortStop = 0 + + self.sendBuyOrders(self.entryUp) + self.sendShortOrders(self.entryDown) + + elif self.pos > 0: + # 加仓逻辑 + self.sendBuyOrders(self.longEntry) + + # 止损逻辑 + self.longStop = self.longEntry - self.atrVolatility * 2 + self.longStop = max(self.longStop, self.exitDown) + self.sell(self.longStop, abs(self.pos), True) + + elif self.pos < 0: + # 加仓逻辑 + self.sendShortOrders(self.shortEntry) + + # 止损逻辑 + self.shortStop = self.shortEntry + self.atrVolatility * 2 + self.shortStop = min(self.shortStop, self.exitUp) + self.cover(self.shortStop, abs(self.pos), True) + + # 同步数据到数据库 + self.saveSyncData() + + # 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): + """成交推送""" + if trade.direction == DIRECTION_LONG: + self.longEntry = trade.price + else: + self.shortEntry = trade.price + + # 发出状态更新事件 + self.putEvent() + + #---------------------------------------------------------------------- + def onStopOrder(self, so): + """停止单推送""" + pass + + #---------------------------------------------------------------------- + def sendBuyOrders(self, price): + """发出一系列的买入停止单""" + t = self.pos / self.fixedSize + + if t < 1: + self.buy(price, self.fixedSize, True) + + if t < 2: + self.buy(price + self.atrVolatility*0.5, self.fixedSize, True) + + if t < 3: + self.buy(price + self.atrVolatility, self.fixedSize, True) + + if t < 4: + self.buy(price + self.atrVolatility*1.5, self.fixedSize, True) + + #---------------------------------------------------------------------- + def sendShortOrders(self, price): + """""" + t = self.pos / self.fixedSize + + if t > -1: + self.short(price, self.fixedSize, True) + + if t > -2: + self.short(price - self.atrVolatility*0.5, self.fixedSize, True) + + if t > -3: + self.short(price - self.atrVolatility, self.fixedSize, True) + + if t > -4: + self.short(price - self.atrVolatility*1.5, self.fixedSize, True) +