增加周线，修复MinuteBar的第2根Bar的bug
This commit is contained in:
msincenselee
parent
335aee7fc7
commit
42323087ee
@ -25,6 +25,7 @@ PERIOD_SECOND = 'second' # 秒级别周期
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PERIOD_MINUTE = 'minute' # 分钟级别周期
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PERIOD_HOUR = 'hour' # 小时级别周期
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PERIOD_DAY = 'day' # 日级别周期
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PERIOD_WEEK = 'week' # 日级别周期
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AREA_LONG_A = 'LONG_A'
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AREA_LONG_B = 'LONG_B'
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@ -242,6 +243,9 @@ class CtaLineBar(object):
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self.paramList.append('inputSarAfLimit')
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self.paramList.append('inputGoldenN')
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self.paramList.append('activate_boll_ma_area')
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self.paramList.append('inputBiasLen')
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self.paramList.append('inputBias2Len')
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self.paramList.append('inputBias3Len')
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self.paramList.append('is_7x24')
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@ -540,6 +544,20 @@ class CtaLineBar(object):
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self.cur_area = None
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self.pre_area = None
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# BIAS
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self.inputBiasLen = EMPTY_INT
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self.inputBias2Len = EMPTY_INT
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self.inputBias3Len = EMPTY_INT
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self.lineBias = [] # BIAS1
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self.lineBias2 = [] # BIAS2
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self.lineBias3 = [] # BIAS3
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self.lastBias = EMPTY_FLOAT # bar内计算时，最后一个未关闭的bar的实时BIAS1值
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self.lastBias2 = EMPTY_FLOAT # bar内计算时，最后一个未关闭的bar的实时BIAS2值
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self.lastBias3 = EMPTY_FLOAT # bar内计算时，最后一个未关闭的bar的实时BIAS3值
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self._rt_Bias = None
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self._rt_Bias2 = None
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self._rt_Bias3 = None
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# 存为Bar文件，For TradeBlazer WJ
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# filename = u'../TestLogs/rb1801_{}_Min.csv'.format(datetime.now().strftime('%m%d_%H%M'))
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# self.min1File = open(filename, mode='w')
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@ -595,6 +613,7 @@ class CtaLineBar(object):
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def addBar(self, bar, bar_is_completed=False, bar_freq=1):
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"""
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予以外部初始化程序增加bar
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予以外部初始化程序增加bar
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:param bar:
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:param bar_is_completed: 插入的bar，其周期与K线周期一致，就设为True
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@ -714,6 +733,7 @@ class CtaLineBar(object):
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self.__recountSar()
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self.__recountGoldenSection()
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self.__recountArea(bar)
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self.__recountBias()
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self.export_to_csv(bar)
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# 实时计算
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@ -851,18 +871,20 @@ class CtaLineBar(object):
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if (self.inputBollLen > 0 or self.inputBollTBLen > 0) and len(self.lineUpperBand) > 0:
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msg = msg + u',Boll({}):std:{},mid:{},up:{},low:{},Atan:[mid:{},up:{},low:{}]'. \
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format(self.inputBollLen, round(self.lineUpperBand[-1], self.round_n),
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round(self.lineMiddleBand[-1], self.round_n), round(self.lineLowerBand[-1], self.round_n),
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round(self.lineBollStd[-1], self.round_n),
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format(self.inputBollLen, round(self.lineBollStd[-1], self.round_n),
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round(self.lineMiddleBand[-1], self.round_n),
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round(self.lineUpperBand[-1], self.round_n),
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round(self.lineLowerBand[-1], self.round_n),
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round(self.lineMiddleBandAtan[-1], 2) if len(self.lineMiddleBandAtan) > 0 else 0,
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round(self.lineUpperBandAtan[-1], 2) if len(self.lineUpperBandAtan) > 0 else 0,
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round(self.lineLowerBandAtan[-1], 2) if len(self.lineLowerBandAtan) > 0 else 0)
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if (self.inputBoll2Len > 0 or self.inputBoll2TBLen > 0) and len(self.lineUpperBand) > 0:
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msg = msg + u',Boll2({0}):std:{4},m:{2},u:{1},l:{3}'. \
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format(self.inputBoll2Len, round(self.lineUpperBand2[-1], self.round_n),
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round(self.lineMiddleBand2[-1], self.round_n), round(self.lineLowerBand2[-1], self.round_n),
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round(self.lineBollStd[-1], self.round_n))
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msg = msg + u',Boll2({}):std:{},m:{},u:{},l:{}'. \
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format(self.inputBoll2Len, round(self.lineBollStd[-1], self.round_n),
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round(self.lineMiddleBand2[-1], self.round_n),
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round(self.lineUpperBand2[-1], self.round_n),
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round(self.lineLowerBand2[-1], self.round_n))
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if self.inputMacdFastPeriodLen > 0 and len(self.lineDif) > 0:
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msg = msg + u',MACD({0},{1},{2}):Dif:{3},Dea{4},Macd:{5}'. \
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@ -914,6 +936,19 @@ class CtaLineBar(object):
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self.sar_count)
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if self.activate_boll_ma_area:
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msg = msg + 'Area:{}'.format(self.cur_area)
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if self.inputBiasLen > 0 and len(self.lineBias) > 0:
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msg = msg + u',Bias({}):{}]'. \
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format(self.inputBiasLen, round(self.lineBias[-1], self.round_n))
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if self.inputBias2Len > 0 and len(self.lineBias2) > 0:
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msg = msg + u',Bias2({}):{}]'. \
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format(self.inputBias2Len, round(self.lineBias2[-1], self.round_n))
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if self.inputBias3Len > 0 and len(self.lineBias3) > 0:
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msg = msg + u',Bias3({}):{}]'. \
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format(self.inputBias3Len, round(self.lineBias3[-1], self.round_n))
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return msg
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def firstTick(self, tick):
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@ -3539,11 +3574,8 @@ class CtaLineBar(object):
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:param:direction，多：检查是否有顶背离，空，检查是否有底背离
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:return:
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"""
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if len(self.lineSkTop) < 2 or len(self.lineSkButtom) < 2 :
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if len(self.lineSkTop) < 2 or len(self.lineSkButtom) < 2 or self._rt_SK is None or self._rt_SD is None:
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return False
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if runtime:
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if self._rt_SK is None or self._rt_SD is None:
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return False
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t1 = self.lineSkTop[-1]
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t2 = self.get_2nd_item(self.lineSkTop[:-1])
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@ -3983,6 +4015,168 @@ class CtaLineBar(object):
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self.cur_area = new_area
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self.pre_area = last_area
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def __recountBias(self):
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"""乖离率"""
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# BIAS1 : (CLOSE-MA(CLOSE,L1))/MA(CLOSE,L1)*100;
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if not (self.inputBiasLen > EMPTY_INT or self.inputBias2Len > EMPTY_INT or
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self.inputBias3Len > EMPTY_INT): # 不计算
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return
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l = len(self.lineBar)
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if self.inputBiasLen > EMPTY_INT:
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if l < min(6, self.inputBiasLen) + 1:
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self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算Bias需要：{1}'.
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format(len(self.lineBar), min(14, self.inputBiasLen) + 1))
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else:
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if l < self.inputBiasLen + 2:
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BiasLen = l - 1
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else:
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BiasLen = self.inputBiasLen
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# 不包含当前最新的Bar
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if self.mode == self.TICK_MODE:
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listClose = [x.close for x in self.lineBar[-BiasLen-1:-1]]
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else:
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listClose = [x.close for x in self.lineBar[-BiasLen:]]
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if len(self.lineBias) > self.inputBiasLen * 8:
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del self.lineBias[0]
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# 计算BIAS
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m = np.mean(listClose)
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bias = (listClose[-1] - m) / m * 100
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self.lineBias.append(bias) # 中轨
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self.lastBias = bias
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l = len(self.lineBar)
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if self.inputBias2Len > EMPTY_INT:
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if l < min(6, self.inputBias2Len) + 1:
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self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算Bias2需要：{1}'.
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format(len(self.lineBar), min(14, self.inputBias2Len) + 1))
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else:
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if l < self.inputBias2Len + 2:
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Bias2Len = l - 1
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else:
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Bias2Len = self.inputBias2Len
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# 不包含当前最新的Bar
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if self.mode == self.TICK_MODE:
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listClose = [x.close for x in self.lineBar[-Bias2Len-1:-1]]
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else:
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listClose = [x.close for x in self.lineBar[-Bias2Len:]]
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if len(self.lineBias2) > self.inputBias2Len * 8:
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del self.lineBias2[0]
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# 计算BIAS2
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m = np.mean(listClose)
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bias2 = (listClose[-1] - m) / m * 100
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self.lineBias2.append(bias2) # 中轨
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self.lastBias2 = bias2
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l = len(self.lineBar)
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if self.inputBias3Len > EMPTY_INT:
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if l < min(6, self.inputBias3Len) + 1:
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self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算Bias3需要：{1}'.
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format(len(self.lineBar), min(14, self.inputBias3Len) + 1))
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else:
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if l < self.inputBias3Len + 2:
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Bias3Len = l - 1
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else:
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Bias3Len = self.inputBias3Len
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# 不包含当前最新的Bar
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if self.mode == self.TICK_MODE:
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listClose = [x.close for x in self.lineBar[-Bias3Len-1:-1]]
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else:
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listClose = [x.close for x in self.lineBar[-Bias3Len:]]
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if len(self.lineBias3) > self.inputBias3Len * 8:
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del self.lineBias3[0]
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# 计算BIAS3
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m = np.mean(listClose)
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bias3 = (listClose[-1] - m) / m * 100
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self.lineBias3.append(bias3) # 中轨
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self.lastBias3 = bias3
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def rt_countBias(self):
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"""实时计算乖离率"""
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if not (self.inputBiasLen > EMPTY_INT or self.inputBias2Len or self.inputBias3Len > EMPTY_INT): # 不计算
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return
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close_len = len(self.lineClose)
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if self.inputBiasLen > EMPTY_INT:
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if close_len < min(6, self.inputBiasLen) + 1:
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return
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else:
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if close_len < self.inputBiasLen + 2:
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biasLen = close_len - 1
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else:
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biasLen = self.inputBiasLen
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listClose = [x.close for x in self.lineBar[-biasLen:]]
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# 计算BIAS
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m = np.mean(listClose)
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self._rt_Bias = (listClose[-1] - m) / m * 100
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if self.inputBias2Len > EMPTY_INT:
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if close_len < min(6, self.inputBias2Len) + 1:
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return
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else:
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if close_len < self.inputBias2Len + 2:
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biasLen = close_len - 1
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else:
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biasLen = self.inputBias2Len
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listClose = [x.close for x in self.lineBar[-biasLen:]]
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# 计算BIAS
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m = np.mean(listClose)
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self._rt_Bias2 = (listClose[-1] - m) / m * 100
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if self.inputBias3Len > EMPTY_INT:
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if close_len < min(6, self.inputBias3Len) + 1:
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return
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else:
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if close_len < self.inputBias3Len + 2:
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biasLen = close_len - 1
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else:
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biasLen = self.inputBias3Len
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listClose = [x.close for x in self.lineBar[-biasLen:]]
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# 计算BIAS
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m = np.mean(listClose)
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self._rt_Bias3 = (listClose[-1] - m) / m * 100
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def getRuntimeBias(self):
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"""获取实时BIAS计算值"""
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if self.rt_countBias in self.rt_funcs:
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return self._rt_Bias, self._rt_Bias2, self._rt_Bias3
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else:
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self.writeCtaLog(u'getRuntimeBias(),添加rt_countBias到实时函数中')
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self.rt_funcs.add(self.rt_countBias)
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self.rt_countBias()
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return self._rt_Bias, self._rt_Bias2, self._rt_Bias3
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@property
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def rt_Bias(self):
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self.check_rt_funcs(self.rt_countBias)
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return self._rt_Bias
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@property
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def rt_Bias2(self):
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self.check_rt_funcs(self.rt_countBias)
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return self._rt_Bias2
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@property
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def rt_Bias3(self):
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self.check_rt_funcs(self.rt_countBias)
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return self._rt_Bias3
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# ----------------------------------------------------------------------
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def writeCtaLog(self, content):
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"""记录CTA日志"""
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@ -4046,8 +4240,9 @@ class CtaLineBar(object):
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dt_index = dict_fieldnames.index('datetime')
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last_dt = self.get_csv_last_dt(file_name=file_name, dt_index=dt_index,
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line_length=sys.getsizeof(dict_data) / 8 + 1)
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if last_dt is not None and dt <= last_dt:
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if last_dt is not None and dt < last_dt:
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print(u'新增数据时间{}比最后一条记录时间{}早，不插入'.format(dt, last_dt))
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return
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with open(file_name, 'a', encoding='utf8', newline='') as csvWriteFile:
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@ -4269,6 +4464,11 @@ class CtaMinuteBar(CtaLineBar):
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if bar_is_completed:
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# self.m1_bars_count = 0
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self.onBar(bar)
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# 计算当前加入的 bar的1分钟，属于当日的第几个1分钟
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minutes_passed = (bar.datetime - datetime.strptime(bar.datetime.strftime('%Y-%m-%d'),
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'%Y-%m-%d')).total_seconds() / 60
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# 计算，当前的bar，属于当日的第几个bar
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self.bars_count = int(minutes_passed / self.barTimeInterval)
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return
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# 与最后一个BAR的时间比对，判断是否超过K线的周期
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@ -4398,9 +4598,9 @@ class CtaMinuteBar(CtaLineBar):
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# 不在同一交易日，推入新bar
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if self.curTradingDay != tick.tradingDay:
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self.writeCtaLog('{} drawLineBar() new_bar,{} curTradingDay:{},tick.tradingDay:{} bars_count={}'
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.format(self.name, tick.datetime.strftime("%Y-%m-%d %H:%M:%S"), self.curTradingDay,
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tick.tradingDay, self.bars_count))
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#self.writeCtaLog('{} drawLineBar() new_bar,{} curTradingDay:{},tick.tradingDay:{} bars_count={}'
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# .format(self.name, tick.datetime.strftime("%Y-%m-%d %H:%M:%S"), self.curTradingDay,
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# tick.tradingDay, self.bars_count))
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is_new_bar = True
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self.curTradingDay = tick.tradingDay
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@ -4411,8 +4611,8 @@ class CtaMinuteBar(CtaLineBar):
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if bars_passed != self.bars_count:
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is_new_bar = True
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self.bars_count = bars_passed
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self.writeCtaLog('{} drawLineBar() new_bar,{} bars_count={}'
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.format(self.name, tick.datetime, self.bars_count))
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#self.writeCtaLog('{} drawLineBar() new_bar,{} bars_count={}'
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# .format(self.name, tick.datetime, self.bars_count))
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self.last_minute = tick.datetime.minute
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@ -4672,9 +4872,9 @@ class CtaHourBar(CtaLineBar):
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tick.time = tick.datetime.strftime('%H:%M:%S')
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self.last_minute = tick.datetime.minute
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self.curTradingDay = tick.tradingDay
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self.writeCtaLog('{} drawLineBar() new_bar,{} curTradingDay:{},tick.tradingDay:{}'
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.format(self.name, tick.datetime.strftime("%Y-%m-%d %H:%M:%S"), self.curTradingDay,
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tick.tradingDay))
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#self.writeCtaLog('{} drawLineBar() new_bar,{} curTradingDay:{},tick.tradingDay:{}'
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# .format(self.name, tick.datetime.strftime("%Y-%m-%d %H:%M:%S"), self.curTradingDay,
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# tick.tradingDay))
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else:
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# 同一交易日，看分钟是否一致
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@ -4685,10 +4885,10 @@ class CtaHourBar(CtaLineBar):
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if self.is_7x24:
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# 数字货币，用前后时间间隔
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if (tick.datetime - lastBar.datetime).total_seconds() >= 3600 * self.barTimeInterval:
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self.writeCtaLog('{} drawLineBar() new_bar,{} - {} > 3600 * {} '
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.format(self.name, tick.datetime.strftime("%Y-%m-%d %H:%M:%S"),
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lastBar.datetime.strftime("%Y-%m-%d %H:%M:%S"),
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self.barTimeInterval))
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#self.writeCtaLog('{} drawLineBar() new_bar,{} - {} > 3600 * {} '
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# .format(self.name, tick.datetime.strftime("%Y-%m-%d %H:%M:%S"),
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# lastBar.datetime.strftime("%Y-%m-%d %H:%M:%S"),
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# self.barTimeInterval))
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is_new_bar = True
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# 去除分钟和秒数
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tick.datetime = datetime.strptime(tick.datetime.strftime('%Y-%m-%d %H:00:00'), '%Y-%m-%d %H:%M:%S')
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@ -4700,10 +4900,10 @@ class CtaHourBar(CtaLineBar):
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else:
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# 国内期货,用bar累加
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if self.m1_bars_count > 60 * self.barTimeInterval:
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self.writeCtaLog('{} drawLineBar() new_bar,{} {} > 60 * {} '
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.format(self.name, tick.datetime.strftime("%Y-%m-%d %H:%M:%S"),
|
||||
self.m1_bars_count,
|
||||
self.barTimeInterval))
|
||||
#self.writeCtaLog('{} drawLineBar() new_bar,{} {} > 60 * {} '
|
||||
# .format(self.name, tick.datetime.strftime("%Y-%m-%d %H:%M:%S"),
|
||||
# self.m1_bars_count,
|
||||
# self.barTimeInterval))
|
||||
is_new_bar = True
|
||||
# 去除秒数
|
||||
tick.datetime = datetime.strptime(tick.datetime.strftime('%Y-%m-%d %H:%M:00'), '%Y-%m-%d %H:%M:%S')
|
||||
@ -4958,6 +5158,277 @@ class CtaDayBar(CtaLineBar):
|
||||
|
||||
self.lastTick = tick
|
||||
|
||||
|
||||
class CtaWeekBar(CtaLineBar):
|
||||
"""
|
||||
周线级别K线
|
||||
"""
|
||||
|
||||
def __init__(self, strategy, onBarFunc, setting=None):
|
||||
self.had_night_market = False # 是否有夜市
|
||||
|
||||
if 'period' in setting:
|
||||
del setting['period']
|
||||
|
||||
if 'barTimeInterval' in setting:
|
||||
del setting['barTimeInterval']
|
||||
|
||||
super(CtaWeekBar, self).__init__(strategy, onBarFunc, setting)
|
||||
|
||||
# 使用周一作为周线时间
|
||||
self.use_monday = False
|
||||
# 开始的小时/分钟/秒
|
||||
self.bar_start_hour_dt = '21:00:00'
|
||||
|
||||
if self.is_7x24:
|
||||
# 数字货币，使用周一的开始时间
|
||||
self.use_monday = True
|
||||
self.bar_start_hour_dt = '00:00:00'
|
||||
else:
|
||||
# 判断是否期货
|
||||
if self.shortSymbol is not None:
|
||||
if len(self.shortSymbol)<=4:
|
||||
from vnpy.trader.vtFunction import getShortSymbol
|
||||
# 是期货
|
||||
if getShortSymbol(self.shortSymbol) in MARKET_DAY_ONLY:
|
||||
# 日盘期货
|
||||
self.use_monday = True
|
||||
if getShortSymbol(self.shortSymbol) in MARKET_ZJ:
|
||||
# 中金所
|
||||
self.bar_start_hour_dt = '09:15:00'
|
||||
else:
|
||||
# 其他日盘期货
|
||||
self.bar_start_hour_dt = '09:00:00'
|
||||
else:
|
||||
# 夜盘期货
|
||||
self.use_monday = False
|
||||
self.bar_start_hour_dt = '21:00:00'
|
||||
else:
|
||||
# 可能是股票
|
||||
self.use_monday = True
|
||||
self.bar_start_hour_dt = '09:30:00'
|
||||
else:
|
||||
# 可能是股票
|
||||
self.use_monday = True
|
||||
self.bar_start_hour_dt = '09:30:00'
|
||||
|
||||
def init_properties(self):
|
||||
"""
|
||||
初始化内部变量
|
||||
:return:
|
||||
"""
|
||||
|
||||
#self.paramList.append('barTimeInterval')
|
||||
#self.paramList.append('period')
|
||||
|
||||
self.paramList.append('inputPreLen')
|
||||
self.paramList.append('inputEma1Len')
|
||||
self.paramList.append('inputEma2Len')
|
||||
self.paramList.append('inputEma3Len')
|
||||
self.paramList.append('inputMa1Len')
|
||||
self.paramList.append('inputMa2Len')
|
||||
self.paramList.append('inputMa3Len')
|
||||
self.paramList.append('inputDmiLen')
|
||||
self.paramList.append('inputDmiMax')
|
||||
self.paramList.append('inputAtr1Len')
|
||||
self.paramList.append('inputAtr2Len')
|
||||
self.paramList.append('inputAtr3Len')
|
||||
self.paramList.append('inputVolLen')
|
||||
self.paramList.append('inputRsi1Len')
|
||||
self.paramList.append('inputRsi2Len')
|
||||
self.paramList.append('inputCmiLen')
|
||||
self.paramList.append('inputBollLen')
|
||||
self.paramList.append('inputBollTBLen')
|
||||
self.paramList.append('inputBollStdRate')
|
||||
self.paramList.append('inputBoll2Len')
|
||||
self.paramList.append('inputBoll2TBLen')
|
||||
self.paramList.append('inputBoll2StdRate')
|
||||
self.paramList.append('inputKdjLen')
|
||||
self.paramList.append('inputKdjTBLen')
|
||||
self.paramList.append('inputKdjSlowLen')
|
||||
self.paramList.append('inputKdjSmoothLen')
|
||||
self.paramList.append('inputCciLen')
|
||||
self.paramList.append('inputMacdFastPeriodLen')
|
||||
self.paramList.append('inputMacdSlowPeriodLen')
|
||||
self.paramList.append('inputMacdSignalPeriodLen')
|
||||
self.paramList.append('inputKF')
|
||||
self.paramList.append('inputSkd')
|
||||
self.paramList.append('inputSkdLen1')
|
||||
self.paramList.append('inputSkdLen2')
|
||||
self.paramList.append('inputYb')
|
||||
self.paramList.append('inputYbLen')
|
||||
self.paramList.append('inputYbRef')
|
||||
self.paramList.append('inputGoldenN')
|
||||
self.paramList.append('activate_boll_ma_area')
|
||||
self.paramList.append('is_7x24')
|
||||
|
||||
self.paramList.append('minDiff')
|
||||
self.paramList.append('shortSymbol')
|
||||
|
||||
self.paramList.append('name')
|
||||
|
||||
# 输入参数
|
||||
self.name = u'WeekBar'
|
||||
self.mode = self.TICK_MODE # 缺省为tick模式
|
||||
self.period = PERIOD_WEEK # 周线级别周期
|
||||
self.barTimeInterval = 1 # 为1周
|
||||
|
||||
self.barMinuteInterval = 60 * 24 * 7
|
||||
|
||||
def addBar(self, bar, bar_is_completed=False, bar_freq=1):
|
||||
"""
|
||||
予以外部初始化程序增加bar
|
||||
:param bar:
|
||||
:param bar_is_completed: 插入的bar，其周期与K线周期一致，就设为True
|
||||
:param bar_freq, bar对象得frequency
|
||||
:return:
|
||||
|
||||
# 国内期货,周线时间开始为周五晚上21点
|
||||
# 股票，周线开始时间为周一
|
||||
# 数字货币，周线的开始时间为周一
|
||||
|
||||
"""
|
||||
# 更新最后价格
|
||||
self.cur_price = bar.close
|
||||
|
||||
l1 = len(self.lineBar)
|
||||
|
||||
if l1 == 0:
|
||||
new_bar = copy.deepcopy(bar)
|
||||
new_bar.datetime = self.get_bar_start_dt(bar.datetime)
|
||||
self.writeCtaLog(u'周线开始时间:{}=>{}'.format(bar.datetime,new_bar.datetime))
|
||||
self.lineBar.append(new_bar)
|
||||
self.curTradingDay = bar.tradingDay if bar.tradingDay is not None else bar.date
|
||||
if bar_is_completed:
|
||||
self.onBar(bar)
|
||||
return
|
||||
|
||||
# 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 if bar.tradingDay is not None else bar.date
|
||||
|
||||
is_new_bar = False
|
||||
if bar_is_completed:
|
||||
is_new_bar = True
|
||||
|
||||
# 时间判断,与上一根Bar的时间，超过7天
|
||||
if (bar.datetime - lastBar.datetime).total_seconds()>= 60*60*24*7:
|
||||
is_new_bar = True
|
||||
self.curTradingDay = bar.tradingDay if bar.tradingDay is not None else bar.date
|
||||
|
||||
if is_new_bar:
|
||||
# 添加新的bar
|
||||
new_bar = copy.deepcopy(bar)
|
||||
new_bar.datetime = self.get_bar_start_dt(bar.datetime)
|
||||
self.writeCtaLog(u'新周线开始时间:{}=>{}'.format(bar.datetime, new_bar.datetime))
|
||||
self.lineBar.append(new_bar)
|
||||
# 将上一个Bar推送至OnBar事件
|
||||
self.onBar(lastBar)
|
||||
else:
|
||||
# 更新最后一个bar
|
||||
# 此段代码，针对一部分短周期生成长周期的k线更新，如3根5分钟k线，合并成1根15分钟k线。
|
||||
lastBar.close = bar.close
|
||||
lastBar.high = max(lastBar.high, bar.high)
|
||||
lastBar.low = min(lastBar.low, bar.low)
|
||||
lastBar.volume = lastBar.volume + bar.volume
|
||||
lastBar.dayVolume = lastBar.volume
|
||||
|
||||
lastBar.mid3 = round((lastBar.close + lastBar.high + lastBar.low) / 3, self.round_n)
|
||||
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)
|
||||
|
||||
# 实时计算
|
||||
self.runtime_recount()
|
||||
|
||||
def get_bar_start_dt(self,cur_dt):
|
||||
"""获取当前时间计算的周线Bar开始时间"""
|
||||
|
||||
if self.use_monday:
|
||||
# 使用周一. 例如当前是周二，weekday=1,相当于减去一天
|
||||
monday_dt = cur_dt.replace(hour=0,minute=0,second=0,microsecond=0) - timedelta(days=cur_dt.weekday())
|
||||
start_dt = datetime.strptime(monday_dt.strftime('%Y-%m-%d')+' '+self.bar_start_hour_dt,'%Y-%m-%d %H:%M:%S')
|
||||
return start_dt
|
||||
|
||||
else:
|
||||
# 使用周五
|
||||
week_day = cur_dt.weekday()
|
||||
|
||||
if week_day >= 5 or (week_day == 4 and cur_dt.hour > 20):
|
||||
# 周六或周天; 或者周五晚上21:00以后
|
||||
friday_dt = cur_dt.replace(hour=0, minute=0, second=0, microsecond=0) - timedelta(days=cur_dt.weekday()-4)
|
||||
else:
|
||||
# 周一~周五白天
|
||||
friday_dt = cur_dt.replace(hour=0, minute=0, second=0, microsecond=0) - timedelta(days=cur_dt.weekday()+2)
|
||||
|
||||
friday_night_dt = datetime.strptime(friday_dt.strftime('%Y-%m-%d') + ' ' + self.bar_start_hour_dt,
|
||||
'%Y-%m-%d %H:%M:%S')
|
||||
return friday_night_dt
|
||||
|
||||
|
||||
# ----------------------------------------------------------------------
|
||||
def drawLineBar(self, tick):
|
||||
"""
|
||||
生成 line Bar
|
||||
:param tick:
|
||||
:return:
|
||||
"""
|
||||
|
||||
l1 = len(self.lineBar)
|
||||
|
||||
# 保存第一个K线数据
|
||||
if l1 == 0:
|
||||
self.firstTick(tick)
|
||||
return
|
||||
|
||||
# 清除480周期前的数据，
|
||||
if l1 > self.max_hold_bars:
|
||||
del self.lineBar[0]
|
||||
|
||||
# 与最后一个BAR的时间比对，判断是否超过K线周期
|
||||
lastBar = self.lineBar[-1]
|
||||
|
||||
is_new_bar = False
|
||||
|
||||
# 交易日期不一致，新的交易日
|
||||
if (tick.datetime - lastBar.datetime).total_seconds() >= 60 * 60 * 24 * 7:
|
||||
is_new_bar = True
|
||||
|
||||
if is_new_bar:
|
||||
# 创建并推入新的Bar
|
||||
self.firstTick(tick)
|
||||
# 触发OnBar事件
|
||||
self.onBar(lastBar)
|
||||
|
||||
else:
|
||||
# 更新当前最后一个bar
|
||||
self.barFirstTick = False
|
||||
|
||||
# 更新最高价、最低价、收盘价、成交量
|
||||
lastBar.high = max(lastBar.high, tick.lastPrice)
|
||||
lastBar.low = min(lastBar.low, tick.lastPrice)
|
||||
lastBar.close = tick.lastPrice
|
||||
|
||||
# 更新日内总交易量，和bar内交易量
|
||||
lastBar.dayVolume = tick.volume
|
||||
if l1 == 1:
|
||||
# 针对第一个bar的tick volume更新
|
||||
lastBar.volume = tick.volume
|
||||
else:
|
||||
lastBar.volume = tick.volume - self.lineBar[-2].dayVolume
|
||||
|
||||
# 更新Bar的颜色
|
||||
if lastBar.close > lastBar.open:
|
||||
lastBar.color = COLOR_RED
|
||||
elif lastBar.close < lastBar.open:
|
||||
lastBar.color = COLOR_BLUE
|
||||
else:
|
||||
lastBar.color = COLOR_EQUAL
|
||||
|
||||
# 实时计算
|
||||
self.runtime_recount()
|
||||
|
||||
self.lastTick = tick
|
||||
|
||||
class test_strategy(object):
|
||||
|
||||
def __init__(self):
|
||||
@ -4966,10 +5437,12 @@ class test_strategy(object):
|
||||
self.shortSymbol = 'I'
|
||||
self.vtSymbol = 'I99'
|
||||
|
||||
self.lineM5 = None
|
||||
self.lineM30 = None
|
||||
self.lineH1 = None
|
||||
self.lineH2 = None
|
||||
self.lineD = None
|
||||
self.lineW = None
|
||||
|
||||
self.TMinuteInterval = 1
|
||||
|
||||
@ -4978,6 +5451,20 @@ class test_strategy(object):
|
||||
self.save_h2_bars = []
|
||||
self.save_d_bars = []
|
||||
|
||||
self.save_w_bars = []
|
||||
def createM5(self):
|
||||
lineM5Setting = {}
|
||||
lineM5Setting['name'] = u'M5'
|
||||
lineM5Setting['period'] = PERIOD_MINUTE
|
||||
lineM5Setting['barTimeInterval'] =5
|
||||
lineM5Setting['mode'] = CtaLineBar.TICK_MODE
|
||||
lineM5Setting['minDiff'] = self.minDiff
|
||||
lineM5Setting['shortSymbol'] = self.shortSymbol
|
||||
self.lineM5 = CtaMinuteBar(self, self.onBarM5, lineM5Setting)
|
||||
|
||||
def onBarM5(self,bar):
|
||||
self.writeCtaLog(self.lineM5.displayLastBar())
|
||||
|
||||
def createlineM30_with_macd(self):
|
||||
# 创建M30 K线
|
||||
lineM30Setting = {}
|
||||
@ -5081,8 +5568,26 @@ class test_strategy(object):
|
||||
lineDaySetting['shortSymbol'] = self.shortSymbol
|
||||
self.lineD = CtaDayBar(self, self.onBarD, lineDaySetting)
|
||||
|
||||
def createLineW(self):
|
||||
"""创建周线"""
|
||||
lineWeekSetting = {}
|
||||
lineWeekSetting['name'] = u'W1'
|
||||
lineWeekSetting['inputPreLen'] = 5
|
||||
lineWeekSetting['inputAtr1Len'] = 26
|
||||
lineWeekSetting['inputMa1Len'] = 5
|
||||
lineWeekSetting['inputMa2Len'] = 10
|
||||
lineWeekSetting['inputMa3Len'] = 18
|
||||
lineWeekSetting['inputYb'] = True
|
||||
lineWeekSetting['inputSkd'] = True
|
||||
lineWeekSetting['mode'] = CtaDayBar.TICK_MODE
|
||||
lineWeekSetting['minDiff'] = self.minDiff
|
||||
lineWeekSetting['shortSymbol'] = self.shortSymbol
|
||||
self.lineW = CtaWeekBar(self, self.onBarW, lineWeekSetting)
|
||||
|
||||
def onBar(self, bar):
|
||||
# print(u'tradingDay:{},dt:{},o:{},h:{},l:{},c:{},v:{}'.format(bar.tradingDay,bar.datetime, bar.open, bar.high, bar.low, bar.close, bar.volume))
|
||||
if self.lineW:
|
||||
self.lineW.addBar(bar, bar_freq=self.TMinuteInterval)
|
||||
if self.lineD:
|
||||
self.lineD.addBar(bar, bar_freq=self.TMinuteInterval)
|
||||
if self.lineH2:
|
||||
@ -5094,6 +5599,9 @@ class test_strategy(object):
|
||||
if self.lineM30:
|
||||
self.lineM30.addBar(bar, bar_freq=self.TMinuteInterval)
|
||||
|
||||
if self.lineM5:
|
||||
self.lineM5.addBar(bar,bar_freq=self.TMinuteInterval)
|
||||
|
||||
# if self.lineH2:
|
||||
# self.lineH2.skd_is_high_dead_cross(runtime=True, high_skd=30)
|
||||
# self.lineH2.skd_is_low_golden_cross(runtime=True, low_skd=70)
|
||||
@ -5173,6 +5681,25 @@ class test_strategy(object):
|
||||
'sd': self.lineD.lineSD[-1] if len(self.lineD.lineSD) > 0 else 0
|
||||
})
|
||||
|
||||
def onBarW(self, bar):
|
||||
self.writeCtaLog(self.lineW.displayLastBar())
|
||||
self.save_w_bars.append({
|
||||
'datetime': bar.datetime,
|
||||
'open': bar.open,
|
||||
'high': bar.high,
|
||||
'low': bar.low,
|
||||
'close': bar.close,
|
||||
'turnover': 0,
|
||||
'volume': bar.volume,
|
||||
'openInterest': 0,
|
||||
'ma5': self.lineW.lineMa1[-1] if len(self.lineW.lineMa1) > 0 else bar.close,
|
||||
'ma10': self.lineW.lineMa2[-1] if len(self.lineW.lineMa2) > 0 else bar.close,
|
||||
'ma18': self.lineW.lineMa3[-1] if len(self.lineW.lineMa3) > 0 else bar.close,
|
||||
'sk': self.lineW.lineSK[-1] if len(self.lineW.lineSK) > 0 else 0,
|
||||
'sd': self.lineW.lineSD[-1] if len(self.lineW.lineSD) > 0 else 0
|
||||
})
|
||||
|
||||
|
||||
def onTick(self, tick):
|
||||
print(u'{0},{1},ap:{2},av:{3},bp:{4},bv:{5}'.format(tick.datetime, tick.lastPrice, tick.askPrice1,
|
||||
tick.askVolume1, tick.bidPrice1, tick.bidVolume1))
|
||||
@ -5185,7 +5712,7 @@ class test_strategy(object):
|
||||
if len(self.save_m30_bars) > 0:
|
||||
outputFile = '{}_m30.csv'.format(self.vtSymbol)
|
||||
with open(outputFile, 'w', encoding='utf8', newline='') as f:
|
||||
fieldnames = ['datetime', 'open', 'price', 'high', 'low', 'close', 'turnover', 'volume', 'openInterest',
|
||||
fieldnames = ['datetime', 'open', 'high', 'low', 'close', 'turnover', 'volume', 'openInterest',
|
||||
'ma5', 'ma10', 'ma18', 'sk', 'sd']
|
||||
writer = csv.DictWriter(f=f, fieldnames=fieldnames, dialect='excel')
|
||||
writer.writeheader()
|
||||
@ -5195,7 +5722,7 @@ class test_strategy(object):
|
||||
if len(self.save_h1_bars) > 0:
|
||||
outputFile = '{}_h1.csv'.format(self.vtSymbol)
|
||||
with open(outputFile, 'w', encoding='utf8', newline='') as f:
|
||||
fieldnames = ['datetime', 'open', 'price', 'high', 'low', 'close', 'turnover', 'volume', 'openInterest',
|
||||
fieldnames = ['datetime', 'open', 'high', 'low', 'close', 'turnover', 'volume', 'openInterest',
|
||||
'ma5', 'ma10', 'ma18', 'sk', 'sd']
|
||||
writer = csv.DictWriter(f=f, fieldnames=fieldnames, dialect='excel')
|
||||
writer.writeheader()
|
||||
@ -5205,7 +5732,7 @@ class test_strategy(object):
|
||||
if len(self.save_h2_bars) > 0:
|
||||
outputFile = '{}_h2.csv'.format(self.vtSymbol)
|
||||
with open(outputFile, 'w', encoding='utf8', newline='') as f:
|
||||
fieldnames = ['datetime', 'open', 'price', 'high', 'low', 'close', 'turnover', 'volume', 'openInterest',
|
||||
fieldnames = ['datetime', 'open', 'high', 'low', 'close', 'turnover', 'volume', 'openInterest',
|
||||
'ma5', 'ma10', 'ma18', 'sk', 'sd']
|
||||
writer = csv.DictWriter(f=f, fieldnames=fieldnames, dialect='excel')
|
||||
writer.writeheader()
|
||||
@ -5215,20 +5742,33 @@ class test_strategy(object):
|
||||
if len(self.save_d_bars) > 0:
|
||||
outputFile = '{}_d.csv'.format(self.vtSymbol)
|
||||
with open(outputFile, 'w', encoding='utf8', newline='') as f:
|
||||
fieldnames = ['datetime', 'open', 'price', 'high', 'low', 'close', 'turnover', 'volume', 'openInterest',
|
||||
fieldnames = ['datetime', 'open', 'high', 'low', 'close', 'turnover', 'volume', 'openInterest',
|
||||
'ma5', 'ma10', 'ma18', 'sk', 'sd']
|
||||
writer = csv.DictWriter(f=f, fieldnames=fieldnames, dialect='excel')
|
||||
writer.writeheader()
|
||||
for row in self.save_d_bars:
|
||||
writer.writerow(row)
|
||||
|
||||
if len(self.save_w_bars) > 0:
|
||||
outputFile = '{}_w.csv'.format(self.vtSymbol)
|
||||
with open(outputFile, 'w', encoding='utf8', newline='') as f:
|
||||
fieldnames = ['datetime', 'open', 'high', 'low', 'close', 'turnover', 'volume', 'openInterest',
|
||||
'ma5', 'ma10', 'ma18', 'sk', 'sd']
|
||||
writer = csv.DictWriter(f=f, fieldnames=fieldnames, dialect='excel')
|
||||
writer.writeheader()
|
||||
for row in self.save_w_bars:
|
||||
writer.writerow(row)
|
||||
|
||||
if __name__ == '__main__':
|
||||
t = test_strategy()
|
||||
t.minDiff = 1
|
||||
t.shortSymbol = 'AP'
|
||||
t.vtSymbol = 'AP99'
|
||||
t.createlineM30_with_macd()
|
||||
t.minDiff = 0.5
|
||||
t.shortSymbol = 'J'
|
||||
t.vtSymbol = 'J99'
|
||||
|
||||
t.createM5()
|
||||
#t.createLineW()
|
||||
|
||||
#t.createlineM30_with_macd()
|
||||
|
||||
# 创建M30线
|
||||
#t.createLineM30()
|
||||
@ -5242,7 +5782,7 @@ if __name__ == '__main__':
|
||||
# 回测日线
|
||||
# t.createLineD()
|
||||
|
||||
filename = 'cache/{}_20170901_20181130_1m.csv'.format(t.vtSymbol)
|
||||
filename = 'cache/{}_20141201_20171231_1m.csv'.format(t.vtSymbol)
|
||||
|
||||
barTimeInterval = 60 # 60秒
|
||||
minDiff = 1 # 回测数据的最小跳动
|
||||
|
||||
Loading…
Reference in New Issue
Block a user