[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
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@ -11,7 +11,7 @@ from vnpy.trader.app.ctaStrategy.ctaBacktesting import BacktestingEngine, MINUTE
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if __name__ == '__main__':
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from vnpy.trader.app.ctaStrategy.strategy.strategyAtrRsi import AtrRsiStrategy
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from vnpy.trader.app.ctaStrategy.strategy.strategyKingKeltner import KkStrategy
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# 创建回测引擎
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engine = BacktestingEngine()
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@ -32,8 +32,8 @@ if __name__ == '__main__':
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engine.setDatabase(MINUTE_DB_NAME, 'IF0000')
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# 在引擎中创建策略对象
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d = {'atrLength': 11}
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engine.initStrategy(AtrRsiStrategy, d)
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d = {}
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engine.initStrategy(KkStrategy, d)
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# 开始跑回测
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engine.runBacktesting()
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@ -5,8 +5,9 @@
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'''
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from vnpy.trader.vtConstant import *
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from vnpy.trader.vtObject import VtBarData
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from vnpy.trader.app.ctaStrategy.ctaBase import *
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from .ctaBase import *
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########################################################################
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@ -303,3 +304,116 @@ class TargetPosTemplate(CtaTemplate):
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vtOrderID = self.short(shortPrice, abs(posChange))
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self.orderList.append(vtOrderID)
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########################################################################
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class BarManager(object):
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"""
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K线合成器，支持：
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1. 基于Tick合成1分钟K线
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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）
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"""
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#----------------------------------------------------------------------
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def __init__(self, onBar, xmin=0, onXminBar=None):
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"""Constructor"""
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self.bar = None # 1分钟K线对象
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self.onBar = onBar # 1分钟K线回调函数
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self.xminBar = None # X分钟K线对象
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self.xmin = xmin # X的值
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self.onXminBar = onXminBar # X分钟K线的回调函数
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self.lastTick = None # 上一TICK缓存对象
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#----------------------------------------------------------------------
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def updateTick(self, tick):
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"""TICK更新"""
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newMinute = False # 默认不是新的一分钟
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# 尚未创建对象
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if not self.bar:
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self.bar = VtBarData()
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newMinute = True
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# 新的一分钟
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elif self.bar.datetime.minute != tick.datetime.minute:
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# 生成上一分钟K线的时间戳
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self.bar.datetime = self.bar.datetime.replace(second=0, microsecond=0) # 将秒和微秒设为0
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self.bar.date = self.bar.datetime.strftime('%Y%m%d')
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self.bar.time = self.bar.datetime.strftime('%H:%M:%S.%f')
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# 推送已经结束的上一分钟K线
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self.onBar(self.bar)
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# 创建新的K线对象
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self.bar = VtBarData()
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newMinute = True
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# 初始化新一分钟的K线数据
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if newMinute:
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self.bar.vtSymbol = tick.vtSymbol
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self.bar.symbol = tick.symbol
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self.bar.exchange = tick.exchange
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self.bar.open = tick.lastPrice
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self.bar.high = tick.lastPrice
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self.bar.low = tick.lastPrice
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# 累加更新老一分钟的K线数据
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else:
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self.bar.high = max(self.bar.high, tick.lastPrice)
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self.bar.low = min(self.bar.low, tick.lastPrice)
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# 通用更新部分
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self.bar.close = tick.lastPrice
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self.bar.datetime = tick.datetime
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self.bar.openInterest = tick.openInterest
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if self.lastTick:
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self.bar.volume += (tick.volume - self.lastTick.volume) # 当前K线内的成交量
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# 缓存Tick
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self.lastTick = tick
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#----------------------------------------------------------------------
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def updateBar(self, bar):
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"""1分钟K线更新"""
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newX = False # 默认不是新的X分钟
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# 尚未创建对象
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if not self.xminBar:
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self.xminBar = VtBarData()
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newX = True
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# X分钟已经走完
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elif not bar.datetime.minute % self.xmin: # 可以用X整除
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# 生成上一X分钟K线的时间戳
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self.xminBar.datetime = self.xminBar.datetime.replace(second=0, microsecond=0) # 将秒和微秒设为0
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self.xminBar.date = self.xminBar.datetime.strftime('%Y%m%d')
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self.xminBar.time = self.xminBar.datetime.strftime('%H:%M:%S.%f')
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# 推送
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self.onXminBar(self.xminBar)
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# 创建新的K线
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self.xminBar = VtBarData()
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newX = True
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# 初始化K线数据
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if newX:
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self.xminBar.vtSymbol = bar.vtSymbol
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self.xminBar.symbol = bar.symbol
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self.xminBar.exchange = bar.exchange
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self.xminBar.open = bar.open
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self.xminBar.high = bar.high
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self.xminBar.low = bar.low
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# 累加老K线
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else:
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self.xminBar.high = max(self.xminBar.high, bar.high)
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self.xminBar.low = min(self.xminBar.low, bar.low)
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# 通用部分
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self.xminBar.close = bar.close
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self.xminBar.datetime = bar.datetime
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self.xminBar.openInterest = bar.openInterest
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self.xminBar.volume += int(bar.volume)
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@ -15,7 +15,7 @@ import numpy as np
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from vnpy.trader.vtObject import VtBarData
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from vnpy.trader.vtConstant import EMPTY_STRING
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from vnpy.trader.app.ctaStrategy.ctaTemplate import CtaTemplate
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from vnpy.trader.app.ctaStrategy.ctaTemplate import CtaTemplate, BarManager
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########################################################################
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@ -34,9 +34,6 @@ class AtrRsiStrategy(CtaTemplate):
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fixedSize = 1 # 每次交易的数量
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# 策略变量
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bar = None # K线对象
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barMinute = EMPTY_STRING # K线当前的分钟
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bufferSize = 100 # 需要缓存的数据的大小
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bufferCount = 0 # 目前已经缓存了的数据的计数
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highArray = np.zeros(bufferSize) # K线最高价的数组
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@ -82,6 +79,9 @@ class AtrRsiStrategy(CtaTemplate):
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"""Constructor"""
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super(AtrRsiStrategy, self).__init__(ctaEngine, setting)
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# 创建K线合成器对象
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self.bm = BarManager(self.onBar)
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# 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，
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# 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，
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# 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
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@ -118,35 +118,7 @@ class AtrRsiStrategy(CtaTemplate):
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#----------------------------------------------------------------------
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def onTick(self, tick):
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"""收到行情TICK推送（必须由用户继承实现）"""
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# 计算K线
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tickMinute = tick.datetime.minute
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if tickMinute != self.barMinute:
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if self.bar:
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self.onBar(self.bar)
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bar = VtBarData()
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bar.vtSymbol = tick.vtSymbol
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bar.symbol = tick.symbol
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bar.exchange = tick.exchange
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bar.open = tick.lastPrice
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bar.high = tick.lastPrice
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bar.low = tick.lastPrice
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bar.close = tick.lastPrice
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bar.date = tick.date
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bar.time = tick.time
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bar.datetime = tick.datetime # K线的时间设为第一个Tick的时间
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self.bar = bar # 这种写法为了减少一层访问，加快速度
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self.barMinute = tickMinute # 更新当前的分钟
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else: # 否则继续累加新的K线
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bar = self.bar # 写法同样为了加快速度
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bar.high = max(bar.high, tick.lastPrice)
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bar.low = min(bar.low, tick.lastPrice)
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bar.close = tick.lastPrice
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self.bm.updateTick(tick)
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#----------------------------------------------------------------------
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def onBar(self, bar):
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@ -8,7 +8,7 @@ from datetime import time
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from vnpy.trader.vtObject import VtBarData
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from vnpy.trader.vtConstant import EMPTY_STRING
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from vnpy.trader.app.ctaStrategy.ctaTemplate import CtaTemplate
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from vnpy.trader.app.ctaStrategy.ctaTemplate import CtaTemplate, BarManager
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########################################################################
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@ -25,8 +25,6 @@ class DualThrustStrategy(CtaTemplate):
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initDays = 10
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# 策略变量
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bar = None # K线对象
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barMinute = EMPTY_STRING # K线当前的分钟
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barList = [] # K线对象的列表
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dayOpen = 0
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@ -65,6 +63,7 @@ class DualThrustStrategy(CtaTemplate):
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"""Constructor"""
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super(DualThrustStrategy, self).__init__(ctaEngine, setting)
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self.bm = BarManager(self.onBar)
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self.barList = []
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#----------------------------------------------------------------------
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@ -94,35 +93,7 @@ class DualThrustStrategy(CtaTemplate):
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#----------------------------------------------------------------------
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def onTick(self, tick):
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"""收到行情TICK推送（必须由用户继承实现）"""
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# 计算K线
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tickMinute = tick.datetime.minute
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if tickMinute != self.barMinute:
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if self.bar:
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self.onBar(self.bar)
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bar = VtBarData()
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bar.vtSymbol = tick.vtSymbol
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bar.symbol = tick.symbol
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bar.exchange = tick.exchange
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bar.open = tick.lastPrice
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bar.high = tick.lastPrice
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bar.low = tick.lastPrice
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bar.close = tick.lastPrice
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bar.date = tick.date
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bar.time = tick.time
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bar.datetime = tick.datetime # K线的时间设为第一个Tick的时间
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self.bar = bar # 这种写法为了减少一层访问，加快速度
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self.barMinute = tickMinute # 更新当前的分钟
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else: # 否则继续累加新的K线
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bar = self.bar # 写法同样为了加快速度
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bar.high = max(bar.high, tick.lastPrice)
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bar.low = min(bar.low, tick.lastPrice)
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bar.close = tick.lastPrice
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self.bm.updateTick(tick)
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#----------------------------------------------------------------------
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def onBar(self, bar):
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@ -15,7 +15,7 @@ from __future__ import division
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from vnpy.trader.vtObject import VtBarData
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from vnpy.trader.vtConstant import EMPTY_STRING, EMPTY_FLOAT
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from vnpy.trader.app.ctaStrategy.ctaTemplate import CtaTemplate
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from vnpy.trader.app.ctaStrategy.ctaTemplate import CtaTemplate, BarManager
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########################################################################
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@ -30,9 +30,6 @@ class EmaDemoStrategy(CtaTemplate):
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initDays = 10 # 初始化数据所用的天数
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# 策略变量
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bar = None
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barMinute = EMPTY_STRING
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fastMa = [] # 快速EMA均线数组
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fastMa0 = EMPTY_FLOAT # 当前最新的快速EMA
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fastMa1 = EMPTY_FLOAT # 上一根的快速EMA
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@ -63,6 +60,8 @@ class EmaDemoStrategy(CtaTemplate):
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"""Constructor"""
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super(EmaDemoStrategy, self).__init__(ctaEngine, setting)
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self.bm = BarManager(self.onBar)
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# 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，
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# 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，
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# 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
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@ -96,40 +95,7 @@ class EmaDemoStrategy(CtaTemplate):
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#----------------------------------------------------------------------
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def onTick(self, tick):
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"""收到行情TICK推送（必须由用户继承实现）"""
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# 计算K线
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tickMinute = tick.datetime.minute
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if tickMinute != self.barMinute:
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if self.bar:
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self.onBar(self.bar)
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bar = VtBarData()
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bar.vtSymbol = tick.vtSymbol
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bar.symbol = tick.symbol
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bar.exchange = tick.exchange
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bar.open = tick.lastPrice
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bar.high = tick.lastPrice
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bar.low = tick.lastPrice
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bar.close = tick.lastPrice
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bar.date = tick.date
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bar.time = tick.time
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bar.datetime = tick.datetime # K线的时间设为第一个Tick的时间
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# 实盘中用不到的数据可以选择不算，从而加快速度
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#bar.volume = tick.volume
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#bar.openInterest = tick.openInterest
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self.bar = bar # 这种写法为了减少一层访问，加快速度
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self.barMinute = tickMinute # 更新当前的分钟
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else: # 否则继续累加新的K线
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bar = self.bar # 写法同样为了加快速度
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bar.high = max(bar.high, tick.lastPrice)
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bar.low = min(bar.low, tick.lastPrice)
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bar.close = tick.lastPrice
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self.bm.updateTick(tick)
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#----------------------------------------------------------------------
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def onBar(self, bar):
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@ -17,7 +17,7 @@ import numpy as np
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from vnpy.trader.vtObject import VtBarData
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from vnpy.trader.vtConstant import EMPTY_STRING
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from vnpy.trader.app.ctaStrategy.ctaTemplate import CtaTemplate
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from vnpy.trader.app.ctaStrategy.ctaTemplate import CtaTemplate, BarManager
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########################################################################
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@ -34,10 +34,6 @@ class KkStrategy(CtaTemplate):
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fixedSize = 1 # 每次交易的数量
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# 策略变量
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bar = None # 1分钟K线对象
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barMinute = EMPTY_STRING # K线当前的分钟
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fiveBar = None # 1分钟K线对象
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bufferSize = 100 # 需要缓存的数据的大小
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bufferCount = 0 # 目前已经缓存了的数据的计数
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highArray = np.zeros(bufferSize) # K线最高价的数组
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@ -77,6 +73,8 @@ class KkStrategy(CtaTemplate):
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"""Constructor"""
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super(KkStrategy, self).__init__(ctaEngine, setting)
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self.bm = BarManager(self.onBar, 5, self.onFiveBar) # 创建K线合成器对象
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#----------------------------------------------------------------------
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def onInit(self):
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"""初始化策略（必须由用户继承实现）"""
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@ -104,82 +102,17 @@ class KkStrategy(CtaTemplate):
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#----------------------------------------------------------------------
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def onTick(self, tick):
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"""收到行情TICK推送（必须由用户继承实现）"""
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# 聚合为1分钟K线
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tickMinute = tick.datetime.minute
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if tickMinute != self.barMinute:
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if self.bar:
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self.onBar(self.bar)
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bar = VtBarData()
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bar.vtSymbol = tick.vtSymbol
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bar.symbol = tick.symbol
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bar.exchange = tick.exchange
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bar.open = tick.lastPrice
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bar.high = tick.lastPrice
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bar.low = tick.lastPrice
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bar.close = tick.lastPrice
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bar.date = tick.date
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bar.time = tick.time
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bar.datetime = tick.datetime # K线的时间设为第一个Tick的时间
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self.bar = bar # 这种写法为了减少一层访问，加快速度
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self.barMinute = tickMinute # 更新当前的分钟
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else: # 否则继续累加新的K线
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bar = self.bar # 写法同样为了加快速度
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bar.high = max(bar.high, tick.lastPrice)
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bar.low = min(bar.low, tick.lastPrice)
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bar.close = tick.lastPrice
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self.bm.updateTick(tick)
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#----------------------------------------------------------------------
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def onBar(self, bar):
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"""收到Bar推送（必须由用户继承实现）"""
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# 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）
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if (bar.datetime.minute + 1) % 5 == 0:
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# 如果已经有聚合5分钟K线
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if self.fiveBar:
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# 将最新分钟的数据更新到目前5分钟线中
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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)
|
||||
|
||||
Loading…
Reference in New Issue
Block a user