diff --git a/examples/VnTrader/MystrategyBollingerBot.py b/examples/VnTrader/MystrategyBollingerBot.py deleted file mode 100644 index d1afb40f..00000000 --- a/examples/VnTrader/MystrategyBollingerBot.py +++ /dev/null @@ -1,362 +0,0 @@ -# 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 \ No newline at end of file