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# encoding: UTF-8
"""
仅在知乎Live中分享，请勿外传。
基于布林通道通道的交易策略，适合用在股指上5分钟线上。
"""
from __future__ import division
import talib
import numpy as np
from vnpy.trader.vtObject import VtBarData
from vnpy.trader.vtConstant import EMPTY_STRING
from vnpy.trader.app.ctaStrategy.ctaTemplate import CtaTemplate, BarGenerator, ArrayManager
import csv
from vnpy.trader.vtConstant import (EMPTY_STRING, EMPTY_UNICODE,
EMPTY_FLOAT, EMPTY_INT)
from vnpy.event import Event
from vnpy.trader.vtGlobal import globalSetting
from vnpy.trader.vtEvent import *
from vnpy.trader.vtGateway import *
from vnpy.trader.language import text
from vnpy.trader.vtFunction import getTempPath
########################################################################
class MyBollingerBotStrategy(CtaTemplate):
"""基于布林通道的交易策略"""
className = 'MyBollingerBotStrategy'
author = 'yuanhui'
# 策略参数
bollWindow = 26 # 通道窗口数
entryDev = 2 # 开仓偏差
exitDev = 1.2 # 平仓偏差
trailingPrcnt = 0.4 # 移动止损百分比
maWindow = 10 # 过滤用均线窗口
initDays = 10 # 初始化数据所用的天数
fixedSize = 1 # 每次交易的数量
priceTick = 0.2 # 价格最小变动
DayTrendStatus='duotou' #DuoTou, KongTou,Panzheng
OnehourTrendstatus='panzhen'
FifteenMinTrendStatus='panzhen'
FiveMinTrendStatus='panzhen'
# 5Min策略变量
bollMid = 0 # 布林带中轨
BeforebollMid=0 #上一根K线的布林线中轨
bollStd = 0 # 布林带宽度
bollUp = 0 # 开仓上轨
Beforebollup=0 #上一根K线的布林线上轨
bollDown = 0 # 平仓下轨
beforebooldown=0 #上一根K线的布林线下轨
# 15Min策略变量
bollMid15 = 0 # 布林带中轨
BeforebollMid15=0 #上一根K线的布林线中轨
bollStd15 = 0 # 布林带宽度
bollUp15 = 0 # 开仓上轨
Beforebollup15=0 #上一根K线的布林线上轨
bollDown15 = 0 # 平仓下轨
beforebolldown15=0 #上一根K线的布林线下轨
maFilter = 0 # 均线过滤
maFilter1 = 0 # 上一期均线
intraTradeHigh = 0 # 持仓期内的最高点
longEntry = 0 # 多头开仓
longExit = 0 # 多头平仓
shortEntry=0
shortExit=0
deal=0
dealopen=0
orderList = [] # 保存委托代码的列表
# 参数列表，保存了参数的名称
paramList = ['name',
'className',
'author',
'vtSymbol',
'bollWindow',
'entryDev',
'exitDev',
'trailingPrcnt',
'maWindow',
'initDays',
'fixedSize',
'DayTrendStatus']
# 变量列表，保存了变量的名称
varList = ['inited',
'trading',
'pos',
'bollUp',
'bollDown',
'bollUp15',
'bollDown15',
'FifteenMinTrendStatus',
'FiveMinTrendStatus']
# 同步列表
syncList = ['pos',
'intraTradeHigh']
#----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(MyBollingerBotStrategy, self).__init__(ctaEngine, setting)
self.bm = BarGenerator(self.onBar, 5, self.onFiveBar)
self.am = ArrayManager()
self.bm15 = BarGenerator(self.onBar, 15, self.on15MinBar)
self.am15 = ArrayManager()
with open("datasig.csv","wb+") as csvfile:
writer = csv.writer(csvfile)
writer.writerow(["datetime","open","close","high","low","openInterest","volume","deal","pDown","pUp","dealOpen"])
with open("datasig15.csv","wb+") as csvfile:
writer = csv.writer(csvfile)
writer.writerow(["datetime","open","close","high","low","openInterest","volume","deal","pDown","pUp","dealOpen"])
#----------------------------------------------------------------------
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.bm.updateTick(tick)
#----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
#self.bm.updateBar(bar)
# 基于15分钟判断趋势过滤，因此先更新
self.bm15.updateBar(bar)
# 基于5分钟判断
self.bm.updateBar(bar)
print u"策略:",self.__dict__["name"]
print u"时间：%s,1分钟刷新，趋势状态,5分钟趋势%s,15分钟趋势%s,日趋势%s"%(bar.time,self.FiveMinTrendStatus,self.FifteenMinTrendStatus,self.DayTrendStatus)
#----------------------------------------------------------------------
def onFiveBar(self, bar):
"""收到5分钟K线"""
#计算上一个k线的布林中轨，上轨，下轨
self.BeforebollMid=self.am.sma(self.bollWindow)
self.Beforebollup,self.beforebooldown=self.am.boll(self.bollWindow,self.entryDev)
# 保存K线数据
self.am.updateBar(bar)
if not self.am.inited:
return
# 撤销之前发出的尚未成交的委托（包括限价单和停止单）
self.cancelAll()
orderList=[]
# 计算指标数值
self.bollMid = self.am.sma(self.bollWindow)
#self.bollStd = self.am.std(self.bollWindow)
self.bollUp,self.bollDown = self.am.boll(self.bollWindow,self.entryDev)
#self.boolDown = self.bollMid - self.bollStd * self.entryDev
#maArray = self.am.sma(self.maWindow, True)
#self.maFilter = maArray[-1]
#self.maFilter1 = maArray[-2]
#判断当前5Min布林线趋势状态
if bar.high > self.Beforebollup:
self.FiveMinTrendStatus='duotou'
elif bar.low < self.beforebooldown:
self.FiveMinTrendStatus='kongtou'
elif bar.low < self.BeforebollMid and self.FiveMinTrendStatus=='duotou':
self.FiveMinTrendStatus='panzhen'
elif bar.high > self.BeforebollMid and self.FiveMinTrendStatus=='kongtou':
self.FiveMinTrendStatus='panzhen'
if self.DayTrendStatus=='kongtou' and bar.high > self.bollMid15 and self.FifteenMinTrendStatus == 'kongtou':
self.FifteenMinTrendStatus=='panzhen'
if self.DayTrendStatus=='duotou' and bar.low < self.bollMid15 and self.FifteenMinTrendStatus == 'duotou':
self.FifteenMinTrendStatus=='panzhen'
# 判断是否要进行交易
print u"5分钟刷新，趋势状态,5分钟趋势%s,15分钟趋势%s"%(self.FiveMinTrendStatus,self.FifteenMinTrendStatus)
# 当前无仓位，发送OCO开仓委托
if self.pos == 0:
#self.intraTradeHigh = bar.high
if self.DayTrendStatus=='duotou' and (self.FifteenMinTrendStatus=='panzhen' or self.FifteenMinTrendStatus=='kongtou'):
orderList=self.buy(self.bollUp15+self.priceTick, self.fixedSize, True)
print u"委托多单，15分钟上轨开仓"
elif self.DayTrendStatus=='duotou' and self.FifteenMinTrendStatus=='duotou' and self.FiveMinTrendStatus=='duotou':
self.longEntry = bar.close
orderList=self.buy(self.longEntry+self.priceTick, self.fixedSize, True)
print u"委托多单，5分钟收盘价开仓"
elif self.DayTrendStatus=='duotou' and self.FifteenMinTrendStatus=='duotou' and (self.FiveMinTrendStatus=='panzhen' or self.FiveMinTrendStatus=='kongtou'):
self.longEntry=self.bollUp
orderList=self.buy(self.longEntry+self.priceTick, self.fixedSize, True)
print u"委托多单，5分钟上轨开仓"
elif self.DayTrendStatus=='kongtou' and (self.FifteenMinTrendStatus=='panzhen' or self.FifteenMinTrendStatus=='duotou') :
self.orderList=self.short(self.bollDown15-self.priceTick, self.fixedSize, True)
print u"委托空单，15分钟下轨开仓"
elif self.DayTrendStatus=='kongtou' and self.FifteenMinTrendStatus=='kongtou' and self.FiveMinTrendStatus=='kongtou':
self.shortEntry = bar.close
orderList=self.short(self.shortEntry-self.priceTick, self.fixedSize, True)
print u"委托空单，5分钟收盘价开仓"
elif self.DayTrendStatus=='kongtou' and self.FifteenMinTrendStatus=='kongtou' and (self.FiveMinTrendStatus=='panzhen' or self.FiveMinTrendStatus=='duotou'):
self.shortEntry=self.bollDown
orderList=self.short(self.shortEntry-self.priceTick, self.fixedSize, True)
print u"委托空单，5分钟下轨开仓"
# 持有多头仓位
elif self.pos > 0:
#self.intraTradeHigh = max(self.intraTradeHigh, bar.high)
#self.longExit = self.intraTradeHigh * (1 - self.trailingPrcnt/100)
#self.longExit = min(self.longExit, self.exitUp)
#self.longExit=self.boolDown
orderList=self.sell(self.bollDown-self.priceTick, abs(self.pos), True)
print u"委托止损单，5分钟下轨平仓"
# 持有空头仓位
elif self.pos < 0:
orderList=self.cover(self.bollUp+self.priceTick, abs(self.pos), True)
print u"委托止损单，5分钟上轨平仓"
with open("datasig.csv","ab+",) as csvfile:
writer = csv.writer(csvfile)
writer.writerow([bar.datetime,bar.open, bar.close, bar.high, bar.low,bar.openInterest,bar.volume,self.deal,0,0,self.dealopen])
self.deal=0
self.dealopen=0
if orderList:
print u"委托单成功单号",orderList
else:
print u"委托单失败"
# 发出状态更新事件
self.putEvent()
def on15MinBar(self, bar):
"""15分钟K线推送"""
#计算上一个k线的布林中轨，上轨，下轨
self.BeforebollMid15=self.am15.sma(self.bollWindow)
self.Beforebollup15,self.beforebolldown15=self.am15.boll(self.bollWindow,self.entryDev)
self.am15.updateBar(bar)
if not self.am15.inited:
return
# 计算指标数值
self.bollMid15 = self.am.sma(self.bollWindow)
self.bollUp15,self.bollDown15 = self.am.boll(self.bollWindow,self.entryDev)
#判断当前15Min布林线趋势状态
if bar.high > self.Beforebollup15 and bar.low > self.BeforebollMid15:
self.FifteenMinTrendStatus='duotou'
elif bar.low < self.beforebolldown15 and bar.high < self.Beforebollup15:
self.FifteenMinTrendStatus='kongtou'
elif bar.low < self.BeforebollMid15 and self.FifteenMinTrendStatus=='duotou':
self.FifteenMinTrendStatus='panzhen'
elif bar.high > self.BeforebollMid15 and self.FifteenMinTrendStatus=='kongtou':
self.FifteenMinTrendStatus='panzhen'
with open("datasig15.csv","ab+",) as csvfile:
writer = csv.writer(csvfile)
writer.writerow([bar.datetime,bar.open, bar.close, bar.high, bar.low,bar.openInterest,bar.volume,self.deal,0,0,self.dealopen])
print u"15分钟刷新，趋势状态,5分钟趋势%s,15分钟趋势%s"%(self.FiveMinTrendStatus,self.FifteenMinTrendStatus)
# 当前无仓位，发送OCO开仓委托
'''
if self.pos == 0:
self.intraTradeHigh = bar.high
if self.FifteenMinTrendStatus=='panzhen':
self.longEntry = self.bollUp15
self.shortEntry=self.booldown15
self.buy(self.longEntry, self.fixedSize, True)
self.short(self.shortEntry,self.fixedSize,True)
'''
#----------------------------------------------------------------------
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):
#打印信息
print u"委托单成交"
print trade.direction
print trade.offset
print "15min:",self.FifteenMinTrendStatus
print "5min:",self.FiveMinTrendStatus
# 发出状态更新事件
orderList=[]
if self.pos > 0 :
orderList=self.sell(self.bollDown-self.priceTick, abs(self.pos), True)
print u"委托止损单，5分钟下轨平仓"
elif self.pos < 0 :
orderList=self.cover(self.bollUp+self.priceTick, abs(self.pos), True)
print u"委托止损单，5分钟上轨平仓"
#打印信息
if orderList:
print u"委托单成功单号",orderList
else:
print u"委托单失败"
if trade.offset==OFFSET_OPEN:
if trade.direction==DIRECTION_LONG:
self.dealopen=1
self.FifteenMinTrendStatus='duotou'
self.FiveMinTrendStatus='duotou'
else:
self.dealopen=-1
self.FifteenMinTrendStatus='kongtou'
self.FiveMinTrendStatus='kongtou'
if trade.offset==OFFSET_CLOSE:
if trade.direction==DIRECTION_LONG:
self.deal=1
else:
self.deal=-1
self.putEvent()
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass