[Add] TurtleSignalStrategy for cta strategy app

vnpy/app/cta_strategy/__init__.py

@@ -1,7 +1,11 @@
 from pathlib import Path
 
 from vnpy.trader.app import BaseApp
-from .base import APP_NAME
+from vnpy.trader.constant import Direction
+from vnpy.trader.object import TickData, BarData, TradeData, OrderData
+from vnpy.trader.utility import BarGenerator, ArrayManager
+
+from .base import APP_NAME, StopOrder
 from .engine import CtaEngine
 from .template import CtaTemplate
 

vnpy/app/cta_strategy/engine.py

@@ -118,6 +118,7 @@ class CtaEngine(BaseEngine):
             strategy.pos -= trade.volume
 
         self.call_strategy_func(strategy, strategy.on_trade, trade)
+        self.put_strategy_event(strategy)
 
     def check_stop_order(self, tick: TickData):
         """"""
@@ -393,7 +394,7 @@ class CtaEngine(BaseEngine):
         Stop a strategy.
         """
         strategy = self.strategies[strategy_name]
-        self.call_strategy_func(strategy, strategy.on_start)
+        self.call_strategy_func(strategy, strategy.on_stop)
         strategy.trading = False
 
         self.put_strategy_event(strategy)

vnpy/app/cta_strategy/strategies/turtle_signal_strategy.py

@@ -0,0 +1,163 @@
+from vnpy.app.cta_strategy import (
+    CtaTemplate,
+    StopOrder,
+    Direction,
+    TickData,
+    BarData,
+    TradeData,
+    OrderData,
+    StopOrder,
+    BarGenerator,
+    ArrayManager,
+)
+
+
+class TurtleSignalStrategy(CtaTemplate):
+    """"""
+
+    author = "用Python的交易员"
+
+    entry_window = 20
+    exit_window = 10
+    atr_window = 20
+    fixed_size = 1
+
+    entry_up = 0
+    entry_down = 0
+    exit_up = 0
+    exit_down = 0
+    atr_value = 0
+
+    long_entry = 0
+    short_entry = 0
+    long_stop = 0
+    short_stop = 0
+
+    parameters = ["entry_window", "exit_window", "atr_window", "fixed_size"]
+    variables = ["entry_up", "entry_down", "exit_up", "exit_down", "atr_value"]
+
+    def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
+        """"""
+        super(DoubleMaStrategy, self).__init__(
+            cta_engine, strategy_name, vt_symbol, setting
+        )
+
+        self.bg = BarGenerator(self.on_bar)
+        self.am = ArrayManager()
+
+    def on_init(self):
+        """
+        Callback when strategy is inited.
+        """
+        self.write_log("策略初始化")
+
+    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.am.update_bar(bar)
+        if not self.am.inited:
+            return
+
+        self.entry_up, self.entry_down = self.am.donchian(self.entry_window)
+        self.exit_up, self.exit_down = self.am.donchian(self.exit_window)
+
+        if not self.pos:
+            self.atr_value = self.am.atr(self.atr_value)
+
+            self.long_entry = 0
+            self.short_entry = 0
+            self.long_stop = 0
+            self.short_stop = 0
+
+            self.send_buy_orders(self.long_entry)
+            self.send_short_orders(self.short_entry)
+        elif self.pos < 0:
+            self.send_buy_orders(self.long_entry)
+
+            sell_price = max(self.long_stop, self.exit_down)
+            self.sell(sell_price, abs(self.pos), True)
+
+        elif self.pos > 0:
+            self.send_short_orders(self.short_entry)
+
+            cover_price = min(self.short_stop, self.exit_up)
+            self.cover(cover_price, abs(self.pos), True)
+
+        self.put_event()
+
+    def on_trade(self, trade: TradeData):
+        """
+        Callback of new trade data update.
+        """
+        if trade.dierction == Direction.LONG:
+            self.long_entry = trade.price
+            self.long_stop = self.long_entry - 2 * self.atr_value
+        else:
+            self.short_entry = trade.price
+            self.short_stop = self.short_entry + 2 * self.atr_value
+
+    def on_order(self, order: OrderData):
+        """
+        Callback of new order data update.
+        """
+        pass
+
+    def on_stop_order(self, stop_order: StopOrder):
+        """
+        Callback of stop order update.
+        """
+        pass
+
+    def send_buy_orders(self, price):
+        """"""
+        t = self.pos / self.fixed_size
+
+        if t < 1:
+            self.buy(price, self.fixed_size, True)
+
+        if t < 2:
+            self.buy(price + self.atr_value * 0.5, self.fixed_size, True)
+
+        if t < 3:
+            self.buy(price + self.atr_value, self.fixed_size, True)
+
+        if t < 4:
+            self.buy(price + self.atr_value * 1.5, self.fixed_size, True)
+
+    def send_short_orders(self, price):
+        """"""
+        t = self.pos / self.fixed_size
+
+        if t > -1:
+            self.short(price, self.fixed_size, True)
+
+        if t > -2:
+            self.short(price - self.atr_value * 0.5, self.fixed_size, True)
+
+        if t > -3:
+            self.short(price - self.atr_value, self.fixed_size, True)
+
+        if t > -4:
+            self.short(price - self.atr_value * 1.5, self.fixed_size, True)
+

vnpy/app/cta_strategy/template.py

@@ -99,12 +99,24 @@ class CtaTemplate(ABC):
         """
         pass
 
+    def on_stop(self):
+        """
+        Callback when strategy is stopped.
+        """
+        pass
+
     def on_tick(self, tick: TickData):
         """
         Callback of new tick data update.
         """
         pass
 
+    def on_bar(self, bar: BarData):
+        """
+        Callback of new bar data update.
+        """
+        pass
+
     def on_trade(self, trade: TradeData):
         """
         Callback of new trade data update.
@@ -123,12 +135,6 @@ class CtaTemplate(ABC):
         """
         pass
 
-    def on_bar(self, bar: BarData):
-        """
-        Callback of new bar data update.
-        """
-        pass
-
     def buy(self, price: float, volume: float, stop: bool = False):
         """
         Send buy order to open a long position.

vnpy/trader/ui/__init__.py

@@ -4,7 +4,7 @@ import sys
 import traceback
 
 import qdarkstyle
-from PyQt5 import QtGui, QtWidgets
+from PyQt5 import QtGui, QtWidgets, QtCore
 
 from .mainwindow import MainWindow
 from ..setting import SETTINGS

vnpy/trader/ui/mainwindow.py

@@ -104,11 +104,8 @@ class MainWindow(QtWidgets.QMainWindow):
         # App menu
         all_apps = self.main_engine.get_all_apps()
         for app in all_apps:
-            try:
-                ui_module = import_module(app.app_module + ".ui")
-                widget_class = getattr(ui_module, app.widget_name)
-            except ImportError:
-                continue
+            ui_module = import_module(app.app_module + ".ui")
+            widget_class = getattr(ui_module, app.widget_name)
 
             func = partial(self.open_widget, widget_class, app.app_name)
             icon_path = str(app.app_path.joinpath("ui", app.icon_name))