From 42323087eefca01bffbec29210ca63072581c78c Mon Sep 17 00:00:00 2001 From: msincenselee Date: Thu, 21 Mar 2019 10:55:13 +0800 Subject: [PATCH] =?UTF-8?q?=E5=A2=9E=E5=8A=A0=E5=91=A8=E7=BA=BF=EF=BC=8C?= =?UTF-8?q?=E4=BF=AE=E5=A4=8DMinuteBar=E7=9A=84=E7=AC=AC2=E6=A0=B9Bar?= =?UTF-8?q?=E7=9A=84bug?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/app/ctaStrategy/ctaLineBar.py | 614 ++++++++++++++++++++-- 1 file changed, 577 insertions(+), 37 deletions(-) diff --git a/vnpy/trader/app/ctaStrategy/ctaLineBar.py b/vnpy/trader/app/ctaStrategy/ctaLineBar.py index 45b50d00..c8b2b25a 100644 --- a/vnpy/trader/app/ctaStrategy/ctaLineBar.py +++ b/vnpy/trader/app/ctaStrategy/ctaLineBar.py @@ -25,6 +25,7 @@ PERIOD_SECOND = 'second' # 秒级别周期 PERIOD_MINUTE = 'minute' # 分钟级别周期 PERIOD_HOUR = 'hour' # 小时级别周期 PERIOD_DAY = 'day' # 日级别周期 +PERIOD_WEEK = 'week' # 日级别周期 AREA_LONG_A = 'LONG_A' AREA_LONG_B = 'LONG_B' @@ -242,6 +243,9 @@ class CtaLineBar(object): self.paramList.append('inputSarAfLimit') self.paramList.append('inputGoldenN') self.paramList.append('activate_boll_ma_area') + self.paramList.append('inputBiasLen') + self.paramList.append('inputBias2Len') + self.paramList.append('inputBias3Len') self.paramList.append('is_7x24') @@ -540,6 +544,20 @@ class CtaLineBar(object): self.cur_area = None self.pre_area = None + # BIAS + self.inputBiasLen = EMPTY_INT + self.inputBias2Len = EMPTY_INT + self.inputBias3Len = EMPTY_INT + self.lineBias = [] # BIAS1 + self.lineBias2 = [] # BIAS2 + self.lineBias3 = [] # BIAS3 + self.lastBias = EMPTY_FLOAT # bar内计算时，最后一个未关闭的bar的实时BIAS1值 + self.lastBias2 = EMPTY_FLOAT # bar内计算时，最后一个未关闭的bar的实时BIAS2值 + self.lastBias3 = EMPTY_FLOAT # bar内计算时，最后一个未关闭的bar的实时BIAS3值 + self._rt_Bias = None + self._rt_Bias2 = None + self._rt_Bias3 = None + # 存为Bar文件，For TradeBlazer WJ # filename = u'../TestLogs/rb1801_{}_Min.csv'.format(datetime.now().strftime('%m%d_%H%M')) # self.min1File = open(filename, mode='w') @@ -595,6 +613,7 @@ class CtaLineBar(object): def addBar(self, bar, bar_is_completed=False, bar_freq=1): """ 予以外部初始化程序增加bar + 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 @@ -714,6 +733,7 @@ class CtaLineBar(object): self.__recountSar() self.__recountGoldenSection() self.__recountArea(bar) + self.__recountBias() self.export_to_csv(bar) # 实时计算 @@ -851,18 +871,20 @@ class CtaLineBar(object): if (self.inputBollLen > 0 or self.inputBollTBLen > 0) and len(self.lineUpperBand) > 0: msg = msg + u',Boll({}):std:{},mid:{},up:{},low:{},Atan:[mid:{},up:{},low:{}]'. \ - format(self.inputBollLen, round(self.lineUpperBand[-1], self.round_n), - round(self.lineMiddleBand[-1], self.round_n), round(self.lineLowerBand[-1], self.round_n), - round(self.lineBollStd[-1], self.round_n), + format(self.inputBollLen, round(self.lineBollStd[-1], self.round_n), + round(self.lineMiddleBand[-1], self.round_n), + round(self.lineUpperBand[-1], self.round_n), + round(self.lineLowerBand[-1], self.round_n), round(self.lineMiddleBandAtan[-1], 2) if len(self.lineMiddleBandAtan) > 0 else 0, round(self.lineUpperBandAtan[-1], 2) if len(self.lineUpperBandAtan) > 0 else 0, round(self.lineLowerBandAtan[-1], 2) if len(self.lineLowerBandAtan) > 0 else 0) if (self.inputBoll2Len > 0 or self.inputBoll2TBLen > 0) and len(self.lineUpperBand) > 0: - msg = msg + u',Boll2({0}):std:{4},m:{2},u:{1},l:{3}'. \ - format(self.inputBoll2Len, round(self.lineUpperBand2[-1], self.round_n), - round(self.lineMiddleBand2[-1], self.round_n), round(self.lineLowerBand2[-1], self.round_n), - round(self.lineBollStd[-1], self.round_n)) + msg = msg + u',Boll2({}):std:{},m:{},u:{},l:{}'. \ + format(self.inputBoll2Len, round(self.lineBollStd[-1], self.round_n), + round(self.lineMiddleBand2[-1], self.round_n), + round(self.lineUpperBand2[-1], self.round_n), + round(self.lineLowerBand2[-1], self.round_n)) if self.inputMacdFastPeriodLen > 0 and len(self.lineDif) > 0: msg = msg + u',MACD({0},{1},{2}):Dif:{3},Dea{4},Macd:{5}'. \ @@ -914,6 +936,19 @@ class CtaLineBar(object): self.sar_count) if self.activate_boll_ma_area: msg = msg + 'Area:{}'.format(self.cur_area) + + if self.inputBiasLen > 0 and len(self.lineBias) > 0: + msg = msg + u',Bias({}):{}]'. \ + format(self.inputBiasLen, round(self.lineBias[-1], self.round_n)) + + if self.inputBias2Len > 0 and len(self.lineBias2) > 0: + msg = msg + u',Bias2({}):{}]'. \ + format(self.inputBias2Len, round(self.lineBias2[-1], self.round_n)) + + if self.inputBias3Len > 0 and len(self.lineBias3) > 0: + msg = msg + u',Bias3({}):{}]'. \ + format(self.inputBias3Len, round(self.lineBias3[-1], self.round_n)) + return msg def firstTick(self, tick): @@ -3539,11 +3574,8 @@ class CtaLineBar(object): :param:direction，多：检查是否有顶背离，空，检查是否有底背离 :return: """ - if len(self.lineSkTop) < 2 or len(self.lineSkButtom) < 2 : + if len(self.lineSkTop) < 2 or len(self.lineSkButtom) < 2 or self._rt_SK is None or self._rt_SD is None: return False - if runtime: - if self._rt_SK is None or self._rt_SD is None: - return False t1 = self.lineSkTop[-1] t2 = self.get_2nd_item(self.lineSkTop[:-1]) @@ -3983,6 +4015,168 @@ class CtaLineBar(object): self.cur_area = new_area self.pre_area = last_area + def __recountBias(self): + """乖离率""" + # BIAS1 : (CLOSE-MA(CLOSE,L1))/MA(CLOSE,L1)*100; + if not (self.inputBiasLen > EMPTY_INT or self.inputBias2Len > EMPTY_INT or + self.inputBias3Len > EMPTY_INT): # 不计算 + return + + l = len(self.lineBar) + if self.inputBiasLen > EMPTY_INT: + if l < min(6, self.inputBiasLen) + 1: + self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算Bias需要：{1}'. + format(len(self.lineBar), min(14, self.inputBiasLen) + 1)) + else: + if l < self.inputBiasLen + 2: + BiasLen = l - 1 + else: + BiasLen = self.inputBiasLen + + # 不包含当前最新的Bar + if self.mode == self.TICK_MODE: + listClose = [x.close for x in self.lineBar[-BiasLen-1:-1]] + else: + listClose = [x.close for x in self.lineBar[-BiasLen:]] + + if len(self.lineBias) > self.inputBiasLen * 8: + del self.lineBias[0] + + # 计算BIAS + m = np.mean(listClose) + bias = (listClose[-1] - m) / m * 100 + self.lineBias.append(bias) # 中轨 + self.lastBias = bias + + l = len(self.lineBar) + if self.inputBias2Len > EMPTY_INT: + if l < min(6, self.inputBias2Len) + 1: + self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算Bias2需要：{1}'. + format(len(self.lineBar), min(14, self.inputBias2Len) + 1)) + else: + if l < self.inputBias2Len + 2: + Bias2Len = l - 1 + else: + Bias2Len = self.inputBias2Len + + # 不包含当前最新的Bar + if self.mode == self.TICK_MODE: + listClose = [x.close for x in self.lineBar[-Bias2Len-1:-1]] + else: + listClose = [x.close for x in self.lineBar[-Bias2Len:]] + + if len(self.lineBias2) > self.inputBias2Len * 8: + del self.lineBias2[0] + + # 计算BIAS2 + m = np.mean(listClose) + bias2 = (listClose[-1] - m) / m * 100 + self.lineBias2.append(bias2) # 中轨 + self.lastBias2 = bias2 + + l = len(self.lineBar) + if self.inputBias3Len > EMPTY_INT: + if l < min(6, self.inputBias3Len) + 1: + self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算Bias3需要：{1}'. + format(len(self.lineBar), min(14, self.inputBias3Len) + 1)) + else: + if l < self.inputBias3Len + 2: + Bias3Len = l - 1 + else: + Bias3Len = self.inputBias3Len + + # 不包含当前最新的Bar + if self.mode == self.TICK_MODE: + listClose = [x.close for x in self.lineBar[-Bias3Len-1:-1]] + else: + listClose = [x.close for x in self.lineBar[-Bias3Len:]] + + if len(self.lineBias3) > self.inputBias3Len * 8: + del self.lineBias3[0] + + # 计算BIAS3 + m = np.mean(listClose) + bias3 = (listClose[-1] - m) / m * 100 + self.lineBias3.append(bias3) # 中轨 + self.lastBias3 = bias3 + + def rt_countBias(self): + """实时计算乖离率""" + if not (self.inputBiasLen > EMPTY_INT or self.inputBias2Len or self.inputBias3Len > EMPTY_INT): # 不计算 + return + + close_len = len(self.lineClose) + + if self.inputBiasLen > EMPTY_INT: + if close_len < min(6, self.inputBiasLen) + 1: + return + else: + if close_len < self.inputBiasLen + 2: + biasLen = close_len - 1 + else: + biasLen = self.inputBiasLen + + listClose = [x.close for x in self.lineBar[-biasLen:]] + + # 计算BIAS + m = np.mean(listClose) + self._rt_Bias = (listClose[-1] - m) / m * 100 + + if self.inputBias2Len > EMPTY_INT: + if close_len < min(6, self.inputBias2Len) + 1: + return + else: + if close_len < self.inputBias2Len + 2: + biasLen = close_len - 1 + else: + biasLen = self.inputBias2Len + + listClose = [x.close for x in self.lineBar[-biasLen:]] + + # 计算BIAS + m = np.mean(listClose) + self._rt_Bias2 = (listClose[-1] - m) / m * 100 + + if self.inputBias3Len > EMPTY_INT: + if close_len < min(6, self.inputBias3Len) + 1: + return + else: + if close_len < self.inputBias3Len + 2: + biasLen = close_len - 1 + else: + biasLen = self.inputBias3Len + + listClose = [x.close for x in self.lineBar[-biasLen:]] + + # 计算BIAS + m = np.mean(listClose) + self._rt_Bias3 = (listClose[-1] - m) / m * 100 + + def getRuntimeBias(self): + """获取实时BIAS计算值""" + if self.rt_countBias in self.rt_funcs: + return self._rt_Bias, self._rt_Bias2, self._rt_Bias3 + else: + self.writeCtaLog(u'getRuntimeBias(),添加rt_countBias到实时函数中') + self.rt_funcs.add(self.rt_countBias) + self.rt_countBias() + return self._rt_Bias, self._rt_Bias2, self._rt_Bias3 + + @property + def rt_Bias(self): + self.check_rt_funcs(self.rt_countBias) + return self._rt_Bias + + @property + def rt_Bias2(self): + self.check_rt_funcs(self.rt_countBias) + return self._rt_Bias2 + + @property + def rt_Bias3(self): + self.check_rt_funcs(self.rt_countBias) + return self._rt_Bias3 + # ---------------------------------------------------------------------- def writeCtaLog(self, content): """记录CTA日志""" @@ -4046,8 +4240,9 @@ class CtaLineBar(object): dt_index = dict_fieldnames.index('datetime') last_dt = self.get_csv_last_dt(file_name=file_name, dt_index=dt_index, line_length=sys.getsizeof(dict_data) / 8 + 1) - if last_dt is not None and dt <= last_dt: + if last_dt is not None and dt < last_dt: 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)) + return with open(file_name, 'a', encoding='utf8', newline='') as csvWriteFile: @@ -4269,6 +4464,11 @@ class CtaMinuteBar(CtaLineBar): if bar_is_completed: # self.m1_bars_count = 0 self.onBar(bar) + # 计算当前加入的 bar的1分钟，属于当日的第几个1分钟 + minutes_passed = (bar.datetime - datetime.strptime(bar.datetime.strftime('%Y-%m-%d'), + '%Y-%m-%d')).total_seconds() / 60 + # 计算，当前的bar，属于当日的第几个bar + self.bars_count = int(minutes_passed / self.barTimeInterval) return # 与最后一个BAR的时间比对，判断是否超过K线的周期 @@ -4398,9 +4598,9 @@ class CtaMinuteBar(CtaLineBar): # 不在同一交易日，推入新bar if self.curTradingDay != tick.tradingDay: - self.writeCtaLog('{} drawLineBar() new_bar,{} curTradingDay:{},tick.tradingDay:{} bars_count={}' - .format(self.name, tick.datetime.strftime("%Y-%m-%d %H:%M:%S"), self.curTradingDay, - tick.tradingDay, self.bars_count)) + #self.writeCtaLog('{} drawLineBar() new_bar,{} curTradingDay:{},tick.tradingDay:{} bars_count={}' + # .format(self.name, tick.datetime.strftime("%Y-%m-%d %H:%M:%S"), self.curTradingDay, + # tick.tradingDay, self.bars_count)) is_new_bar = True self.curTradingDay = tick.tradingDay @@ -4411,8 +4611,8 @@ class CtaMinuteBar(CtaLineBar): if bars_passed != self.bars_count: is_new_bar = True self.bars_count = bars_passed - self.writeCtaLog('{} drawLineBar() new_bar,{} bars_count={}' - .format(self.name, tick.datetime, self.bars_count)) + #self.writeCtaLog('{} drawLineBar() new_bar,{} bars_count={}' + # .format(self.name, tick.datetime, self.bars_count)) self.last_minute = tick.datetime.minute @@ -4672,9 +4872,9 @@ class CtaHourBar(CtaLineBar): tick.time = tick.datetime.strftime('%H:%M:%S') self.last_minute = tick.datetime.minute self.curTradingDay = tick.tradingDay - self.writeCtaLog('{} drawLineBar() new_bar,{} curTradingDay:{},tick.tradingDay:{}' - .format(self.name, tick.datetime.strftime("%Y-%m-%d %H:%M:%S"), self.curTradingDay, - tick.tradingDay)) + #self.writeCtaLog('{} drawLineBar() new_bar,{} curTradingDay:{},tick.tradingDay:{}' + # .format(self.name, tick.datetime.strftime("%Y-%m-%d %H:%M:%S"), self.curTradingDay, + # tick.tradingDay)) else: # 同一交易日，看分钟是否一致 @@ -4685,10 +4885,10 @@ class CtaHourBar(CtaLineBar): if self.is_7x24: # 数字货币，用前后时间间隔 if (tick.datetime - lastBar.datetime).total_seconds() >= 3600 * self.barTimeInterval: - self.writeCtaLog('{} drawLineBar() new_bar,{} - {} > 3600 * {} ' - .format(self.name, tick.datetime.strftime("%Y-%m-%d %H:%M:%S"), - lastBar.datetime.strftime("%Y-%m-%d %H:%M:%S"), - self.barTimeInterval)) + #self.writeCtaLog('{} drawLineBar() new_bar,{} - {} > 3600 * {} ' + # .format(self.name, tick.datetime.strftime("%Y-%m-%d %H:%M:%S"), + # lastBar.datetime.strftime("%Y-%m-%d %H:%M:%S"), + # self.barTimeInterval)) is_new_bar = True # 去除分钟和秒数 tick.datetime = datetime.strptime(tick.datetime.strftime('%Y-%m-%d %H:00:00'), '%Y-%m-%d %H:%M:%S') @@ -4700,10 +4900,10 @@ class CtaHourBar(CtaLineBar): else: # 国内期货,用bar累加 if self.m1_bars_count > 60 * 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)) + #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