增加目标持仓交易策略模板,感谢量衍投资

This commit is contained in:
chenxy123 2017-03-05 15:51:28 +08:00
parent 3784c78140
commit 6b8ae72c9b

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@ -171,3 +171,128 @@ class CtaTemplate(object):
"""查询当前运行的环境"""
return self.ctaEngine.engineType
########################################################################
class TargetPosTemplate(CtaTemplate):
"""
允许直接通过修改目标持仓来实现交易的策略模板
开发策略时无需再调用buy/sell/cover/short这些具体的委托指令
只需在策略逻辑运行完成后调用setTargetPos设置目标持仓底层算法
会自动完成相关交易适合不擅长管理交易挂撤单细节的用户
使用该模板开发策略时请在以下回调方法中先调用母类的方法
onTick
onBar
onOrder
假设策略名为TestStrategy请在onTick回调中加上
super(TestStrategy, self).onTick(tick)
其他方法类同
"""
className = 'TargetPosTemplate'
author = u'量衍投资'
# 目标持仓模板的基本变量
tickAdd = 1 # 委托时相对基准价格的超价
lastTick = None # 最新tick数据
lastBar = None # 最新bar数据
targetPos = EMPTY_INT # 目标持仓
orderList = [] # 委托号列表
# 变量列表,保存了变量的名称
varList = ['inited',
'trading',
'pos',
'targetPos']
#----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(TargetPosTemplate, self).__init__(ctaEngine, setting)
#----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情推送"""
self.lastTick = tick
# 实盘模式下需要根据tick的实时推送执行自动开平仓操作
self.trade()
#----------------------------------------------------------------------
def onBar(self, bar):
"""收到K线推送"""
self.lastBar = bar
#----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托推送"""
if order.status == STATUS_ALLTRADED or order.stauts == STATUS_CANCELLED:
self.orderList.remove(order.vtOrderID)
#----------------------------------------------------------------------
def setTargetPos(self, targetPos):
"""设置目标仓位"""
self.targetPos = targetPos
self.trade()
#----------------------------------------------------------------------
def trade(self):
"""执行交易"""
# 先撤销之前的委托
for vtOrderID in self.orderList:
self.cancelOrder(vtOrderID)
# 如果目标仓位和实际仓位一致,则不进行任何操作
posChange = self.targetPos - self.pos
if not posChange:
return
# 确定委托基准价格有tick数据时优先使用否则使用bar
longPrice = 0
shortPrice = 0
if self.lastTick:
if posChange > 0:
longPrice = self.lastTick.askPrice1 + self.tickAdd
else:
shortPrice = self.lastTick.bidPrice1 - self.tickAdd
else:
if posChange > 0:
longPrice = self.lastBar.close + self.tickAdd
else:
shortPrice = self.lastBar.close - self.tickAdd
# 回测模式下,采用合并平仓和反向开仓委托的方式
if self.getEngineType() == ENGINETYPE_BACKTESTING:
if posChange > 0:
vtOrderID = self.buy(longPrice, abs(posChange))
else:
vtOrderID = self.short(shortPrice, abs(posChange))
self.orderList.append(vtOrderID)
# 实盘模式下,首先确保之前的委托都已经结束(全成、撤销)
# 然后先发平仓委托,等待成交后,再发送新的开仓委托
else:
# 检查之前委托都已结束
if self.orderList:
return
# 买入
if posChange > 0:
if self.pos < 0:
vtOrderID = self.cover(longPrice, abs(self.pos))
else:
vtOrderID = self.buy(longPrice, abs(posChange))
# 卖出
else:
if self.pos > 0:
vtOrderID = self.sell(shortPrice, abs(self.pos))
else:
vtOrderID = self.short(shortPrice, abs(posChange))
self.orderList.append(vtOrderID)