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[Add]实现K线合成器功能，自动管理合成K线相关的逻辑

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vn.py 2017-09-25 13:51:24 +08:00
parent eba153f3da
commit 553cf002d8
8 changed files with 325 additions and 276 deletions
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125
examples/CtaBacktesting/.ipynb_checkpoints/backtesting-checkpoint.ipynb
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156
examples/CtaBacktesting/backtesting.ipynb
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6
examples/CtaBacktesting/runBacktesting.py
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@ -11,7 +11,7 @@ from vnpy.trader.app.ctaStrategy.ctaBacktesting import BacktestingEngine, MINUTE
if __name__ == '__main__':
from vnpy.trader.app.ctaStrategy.strategy.strategyAtrRsi import AtrRsiStrategy
from vnpy.trader.app.ctaStrategy.strategy.strategyKingKeltner import KkStrategy
# 创建回测引擎
engine = BacktestingEngine()
@ -32,8 +32,8 @@ if __name__ == '__main__':
engine.setDatabase(MINUTE_DB_NAME, 'IF0000')
# 在引擎中创建策略对象
d = {'atrLength': 11}
engine.initStrategy(AtrRsiStrategy, d)
d = {}
engine.initStrategy(KkStrategy, d)
# 开始跑回测
engine.runBacktesting()

116
vnpy/trader/app/ctaStrategy/ctaTemplate.py
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@ -5,8 +5,9 @@
'''
from vnpy.trader.vtConstant import *
from vnpy.trader.vtObject import VtBarData
from vnpy.trader.app.ctaStrategy.ctaBase import *
from .ctaBase import *
########################################################################
@ -302,4 +303,117 @@ class TargetPosTemplate(CtaTemplate):
else:
vtOrderID = self.short(shortPrice, abs(posChange))
self.orderList.append(vtOrderID)
########################################################################
class BarManager(object):
"""
K线合成器，支持：
1. 基于Tick合成1分钟K线
2. 基于1分钟K线合成X分钟K线（X可以是2、3、5、10、15、30、60）
"""
#----------------------------------------------------------------------
def __init__(self, onBar, xmin=0, onXminBar=None):
"""Constructor"""
self.bar = None # 1分钟K线对象
self.onBar = onBar # 1分钟K线回调函数
self.xminBar = None # X分钟K线对象
self.xmin = xmin # X的值
self.onXminBar = onXminBar # X分钟K线的回调函数
self.lastTick = None # 上一TICK缓存对象
#----------------------------------------------------------------------
def updateTick(self, tick):
"""TICK更新"""
newMinute = False # 默认不是新的一分钟
# 尚未创建对象
if not self.bar:
self.bar = VtBarData()
newMinute = True
# 新的一分钟
elif self.bar.datetime.minute != tick.datetime.minute:
# 生成上一分钟K线的时间戳
self.bar.datetime = self.bar.datetime.replace(second=0, microsecond=0) # 将秒和微秒设为0
self.bar.date = self.bar.datetime.strftime('%Y%m%d')
self.bar.time = self.bar.datetime.strftime('%H:%M:%S.%f')
# 推送已经结束的上一分钟K线
self.onBar(self.bar)
# 创建新的K线对象
self.bar = VtBarData()
newMinute = True
# 初始化新一分钟的K线数据
if newMinute:
self.bar.vtSymbol = tick.vtSymbol
self.bar.symbol = tick.symbol
self.bar.exchange = tick.exchange
self.bar.open = tick.lastPrice
self.bar.high = tick.lastPrice
self.bar.low = tick.lastPrice
# 累加更新老一分钟的K线数据
else:
self.bar.high = max(self.bar.high, tick.lastPrice)
self.bar.low = min(self.bar.low, tick.lastPrice)
# 通用更新部分
self.bar.close = tick.lastPrice
self.bar.datetime = tick.datetime
self.bar.openInterest = tick.openInterest
if self.lastTick:
self.bar.volume += (tick.volume - self.lastTick.volume) # 当前K线内的成交量
# 缓存Tick
self.lastTick = tick
#----------------------------------------------------------------------
def updateBar(self, bar):
"""1分钟K线更新"""
newX = False # 默认不是新的X分钟
# 尚未创建对象
if not self.xminBar:
self.xminBar = VtBarData()
newX = True
# X分钟已经走完
elif not bar.datetime.minute % self.xmin: # 可以用X整除
# 生成上一X分钟K线的时间戳
self.xminBar.datetime = self.xminBar.datetime.replace(second=0, microsecond=0) # 将秒和微秒设为0
self.xminBar.date = self.xminBar.datetime.strftime('%Y%m%d')
self.xminBar.time = self.xminBar.datetime.strftime('%H:%M:%S.%f')
# 推送
self.onXminBar(self.xminBar)
# 创建新的K线
self.xminBar = VtBarData()
newX = True
# 初始化K线数据
if newX:
self.xminBar.vtSymbol = bar.vtSymbol
self.xminBar.symbol = bar.symbol
self.xminBar.exchange = bar.exchange
self.xminBar.open = bar.open
self.xminBar.high = bar.high
self.xminBar.low = bar.low
# 累加老K线
else:
self.xminBar.high = max(self.xminBar.high, bar.high)
self.xminBar.low = min(self.xminBar.low, bar.low)
# 通用部分
self.xminBar.close = bar.close
self.xminBar.datetime = bar.datetime
self.xminBar.openInterest = bar.openInterest
self.xminBar.volume += int(bar.volume)

38
vnpy/trader/app/ctaStrategy/strategy/strategyAtrRsi.py
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@ -15,7 +15,7 @@ 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
from vnpy.trader.app.ctaStrategy.ctaTemplate import CtaTemplate, BarManager
########################################################################
@ -34,9 +34,6 @@ class AtrRsiStrategy(CtaTemplate):
fixedSize = 1 # 每次交易的数量
# 策略变量
bar = None # K线对象
barMinute = EMPTY_STRING # K线当前的分钟
bufferSize = 100 # 需要缓存的数据的大小
bufferCount = 0 # 目前已经缓存了的数据的计数
highArray = np.zeros(bufferSize) # K线最高价的数组
@ -82,6 +79,9 @@ class AtrRsiStrategy(CtaTemplate):
"""Constructor"""
super(AtrRsiStrategy, self).__init__(ctaEngine, setting)
# 创建K线合成器对象
self.bm = BarManager(self.onBar)
# 注意策略类中的可变对象属性（通常是list和dict等），在策略初始化时需要重新创建，
# 否则会出现多个策略实例之间数据共享的情况，有可能导致潜在的策略逻辑错误风险，
# 策略类中的这些可变对象属性可以选择不写，全都放在__init__下面，写主要是为了阅读
@ -118,35 +118,7 @@ class AtrRsiStrategy(CtaTemplate):
#----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
# 计算K线
tickMinute = tick.datetime.minute
if tickMinute != self.barMinute:
if self.bar:
self.onBar(self.bar)
bar = VtBarData()
bar.vtSymbol = tick.vtSymbol
bar.symbol = tick.symbol
bar.exchange = tick.exchange
bar.open = tick.lastPrice
bar.high = tick.lastPrice
bar.low = tick.lastPrice
bar.close = tick.lastPrice
bar.date = tick.date
bar.time = tick.time
bar.datetime = tick.datetime # K线的时间设为第一个Tick的时间
self.bar = bar # 这种写法为了减少一层访问，加快速度
self.barMinute = tickMinute # 更新当前的分钟
else: # 否则继续累加新的K线
bar = self.bar # 写法同样为了加快速度
bar.high = max(bar.high, tick.lastPrice)
bar.low = min(bar.low, tick.lastPrice)
bar.close = tick.lastPrice
self.bm.updateTick(tick)
#----------------------------------------------------------------------
def onBar(self, bar):

37
vnpy/trader/app/ctaStrategy/strategy/strategyDualThrust.py
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@ -8,7 +8,7 @@ from datetime import time
from vnpy.trader.vtObject import VtBarData
from vnpy.trader.vtConstant import EMPTY_STRING
from vnpy.trader.app.ctaStrategy.ctaTemplate import CtaTemplate
from vnpy.trader.app.ctaStrategy.ctaTemplate import CtaTemplate, BarManager
########################################################################
@ -25,8 +25,6 @@ class DualThrustStrategy(CtaTemplate):
initDays = 10
# 策略变量
bar = None # K线对象
barMinute = EMPTY_STRING # K线当前的分钟
barList = [] # K线对象的列表
dayOpen = 0
@ -65,6 +63,7 @@ class DualThrustStrategy(CtaTemplate):
"""Constructor"""
super(DualThrustStrategy, self).__init__(ctaEngine, setting)
self.bm = BarManager(self.onBar)
self.barList = []
#----------------------------------------------------------------------
@ -94,36 +93,8 @@ class DualThrustStrategy(CtaTemplate):
#----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
# 计算K线
tickMinute = tick.datetime.minute
if tickMinute != self.barMinute:
if self.bar:
self.onBar(self.bar)
bar = VtBarData()
bar.vtSymbol = tick.vtSymbol
bar.symbol = tick.symbol
bar.exchange = tick.exchange
bar.open = tick.lastPrice
bar.high = tick.lastPrice
bar.low = tick.lastPrice
bar.close = tick.lastPrice
bar.date = tick.date
bar.time = tick.time
bar.datetime = tick.datetime # K线的时间设为第一个Tick的时间
self.bar = bar # 这种写法为了减少一层访问，加快速度
self.barMinute = tickMinute # 更新当前的分钟
else: # 否则继续累加新的K线
bar = self.bar # 写法同样为了加快速度
bar.high = max(bar.high, tick.lastPrice)
bar.low = min(bar.low, tick.lastPrice)
bar.close = tick.lastPrice
self.bm.updateTick(tick)
#----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""

42
vnpy/trader/app/ctaStrategy/strategy/strategyEmaDemo.py
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@ -15,7 +15,7 @@ from __future__ import division
from vnpy.trader.vtObject import VtBarData
from vnpy.trader.vtConstant import EMPTY_STRING, EMPTY_FLOAT
from vnpy.trader.app.ctaStrategy.ctaTemplate import CtaTemplate
from vnpy.trader.app.ctaStrategy.ctaTemplate import CtaTemplate, BarManager
########################################################################
@ -30,9 +30,6 @@ class EmaDemoStrategy(CtaTemplate):
initDays = 10 # 初始化数据所用的天数
# 策略变量
bar = None
barMinute = EMPTY_STRING
fastMa = [] # 快速EMA均线数组
fastMa0 = EMPTY_FLOAT # 当前最新的快速EMA
fastMa1 = EMPTY_FLOAT # 上一根的快速EMA
@ -63,6 +60,8 @@ class EmaDemoStrategy(CtaTemplate):
"""Constructor"""
super(EmaDemoStrategy, self).__init__(ctaEngine, setting)
self.bm = BarManager(self.onBar)
# 注意策略类中的可变对象属性（通常是list和dict等），在策略初始化时需要重新创建，
# 否则会出现多个策略实例之间数据共享的情况，有可能导致潜在的策略逻辑错误风险，
# 策略类中的这些可变对象属性可以选择不写，全都放在__init__下面，写主要是为了阅读
@ -96,40 +95,7 @@ class EmaDemoStrategy(CtaTemplate):
#----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
# 计算K线
tickMinute = tick.datetime.minute
if tickMinute != self.barMinute:
if self.bar:
self.onBar(self.bar)
bar = VtBarData()
bar.vtSymbol = tick.vtSymbol
bar.symbol = tick.symbol
bar.exchange = tick.exchange
bar.open = tick.lastPrice
bar.high = tick.lastPrice
bar.low = tick.lastPrice
bar.close = tick.lastPrice
bar.date = tick.date
bar.time = tick.time
bar.datetime = tick.datetime # K线的时间设为第一个Tick的时间
# 实盘中用不到的数据可以选择不算，从而加快速度
#bar.volume = tick.volume
#bar.openInterest = tick.openInterest
self.bar = bar # 这种写法为了减少一层访问，加快速度
self.barMinute = tickMinute # 更新当前的分钟
else: # 否则继续累加新的K线
bar = self.bar # 写法同样为了加快速度
bar.high = max(bar.high, tick.lastPrice)
bar.low = min(bar.low, tick.lastPrice)
bar.close = tick.lastPrice
self.bm.updateTick(tick)
#----------------------------------------------------------------------
def onBar(self, bar):

81
vnpy/trader/app/ctaStrategy/strategy/strategyKingKeltner.py
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@ -17,7 +17,7 @@ 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
from vnpy.trader.app.ctaStrategy.ctaTemplate import CtaTemplate, BarManager
########################################################################
@ -34,10 +34,6 @@ class KkStrategy(CtaTemplate):
fixedSize = 1 # 每次交易的数量
# 策略变量
bar = None # 1分钟K线对象
barMinute = EMPTY_STRING # K线当前的分钟
fiveBar = None # 1分钟K线对象
bufferSize = 100 # 需要缓存的数据的大小
bufferCount = 0 # 目前已经缓存了的数据的计数
highArray = np.zeros(bufferSize) # K线最高价的数组
@ -77,6 +73,8 @@ class KkStrategy(CtaTemplate):
"""Constructor"""
super(KkStrategy, self).__init__(ctaEngine, setting)
self.bm = BarManager(self.onBar, 5, self.onFiveBar) # 创建K线合成器对象
#----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
@ -103,83 +101,18 @@ class KkStrategy(CtaTemplate):
#----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
# 聚合为1分钟K线
tickMinute = tick.datetime.minute
if tickMinute != self.barMinute:
if self.bar:
self.onBar(self.bar)
bar = VtBarData()
bar.vtSymbol = tick.vtSymbol
bar.symbol = tick.symbol
bar.exchange = tick.exchange
bar.open = tick.lastPrice
bar.high = tick.lastPrice
bar.low = tick.lastPrice
bar.close = tick.lastPrice
bar.date = tick.date
bar.time = tick.time
bar.datetime = tick.datetime # K线的时间设为第一个Tick的时间
self.bar = bar # 这种写法为了减少一层访问，加快速度
self.barMinute = tickMinute # 更新当前的分钟
else: # 否则继续累加新的K线
bar = self.bar # 写法同样为了加快速度
bar.high = max(bar.high, tick.lastPrice)
bar.low = min(bar.low, tick.lastPrice)
bar.close = tick.lastPrice
"""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）"""
# 如果当前是一个5分钟走完（分钟线的时间戳是当前分钟的开始时间戳，因此要+1）
if (bar.datetime.minute + 1) % 5 == 0:
# 如果已经有聚合5分钟K线
if self.fiveBar:
# 将最新分钟的数据更新到目前5分钟线中
fiveBar = self.fiveBar
fiveBar.high = max(fiveBar.high, bar.high)
fiveBar.low = min(fiveBar.low, bar.low)
fiveBar.close = bar.close
# 推送5分钟线数据
self.onFiveBar(fiveBar)
# 清空5分钟线数据缓存
self.fiveBar = None
else:
# 如果没有缓存则新建
if not self.fiveBar:
fiveBar = VtBarData()
fiveBar.vtSymbol = bar.vtSymbol
fiveBar.symbol = bar.symbol
fiveBar.exchange = bar.exchange
fiveBar.open = bar.open
fiveBar.high = bar.high
fiveBar.low = bar.low
fiveBar.close = bar.close
fiveBar.date = bar.date
fiveBar.time = bar.time
fiveBar.datetime = bar.datetime
self.fiveBar = fiveBar
else:
fiveBar = self.fiveBar
fiveBar.high = max(fiveBar.high, bar.high)
fiveBar.low = min(fiveBar.low, bar.low)
fiveBar.close = bar.close
self.bm.updateBar(bar)
#----------------------------------------------------------------------
def onFiveBar(self, bar):
"""收到5分钟K线"""
print bar.datetime, bar.open, bar.high, bar.low, bar.close
# 撤销之前发出的尚未成交的委托（包括限价单和停止单）
for orderID in self.orderList:
self.cancelOrder(orderID)