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