From 373766e8b17c4d7dc320b13a2f387f534875886f Mon Sep 17 00:00:00 2001
From: msincenselee <incenselee@hotmail.com>
Date: Sun, 17 Dec 2017 12:44:21 +0800
Subject: [PATCH] =?UTF-8?q?cta=20=E5=91=A8=E6=9C=9F=E7=B1=BB?=
MIME-Version: 1.0
Content-Type: text/plain; charset=UTF-8
Content-Transfer-Encoding: 8bit

---
 vnpy/trader/app/ctaStrategy/ctaPeriod.py | 45 ++++++++++++++++++++++++
 1 file changed, 45 insertions(+)
 create mode 100644 vnpy/trader/app/ctaStrategy/ctaPeriod.py

diff --git a/vnpy/trader/app/ctaStrategy/ctaPeriod.py b/vnpy/trader/app/ctaStrategy/ctaPeriod.py
new file mode 100644
index 00000000..1ecd9447
--- /dev/null
+++ b/vnpy/trader/app/ctaStrategy/ctaPeriod.py
@@ -0,0 +1,45 @@
+# encoding: UTF-8
+
+# 周期类，定义CTA的五种周期，及其周期变换矩阵
+
+from vnpy.trader.vtConstant import *
+from datetime import datetime
+
+PERIOD_INIT = u'init'               # 初始状态
+PERIOD_LONG = u'long'               # 周期方向做多
+PERIOD_SHORT = u'short'             # 周期方向做空
+PERIOD_SHOCK = u'shock'             # 震荡周期
+PERIOD_LONG_EXTREME = u'long_ext'   # 周期方向极端做多
+PERIOD_SHORT_EXTREME = u'short_ext' # 周期方向极端做空
+
+class CtaPeriod(object):
+    """CTA 周期"""
+
+    def __init__(self, mode, price, pre_mode=PERIOD_INIT, dt=datetime.now()):
+        """初始化函数"""
+        self.open = price         # 开始价格
+        self.close = price        # 结束价格
+        self.high = price         # 最高价格
+        self.low = price          # 最低价格
+
+        self.mode = mode         # 周期模式 PERIOD_XXX
+
+        self.pre_mode = pre_mode      # 上一周期
+
+        self.datatime = dt    # 周期的开始时间
+
+    def onPrice(self, price):
+        """更新周期的价格"""
+
+        if price > self.high:
+            self.high = price
+            self.close = price
+            return
+
+        if price < self.low:
+            self.low = price
+            self.close = price
+            return
+
+        self.close = price
+