Create atr_rsi_strategy.py

vnpy/app/cta_strategy/strategies/atr_rsi_strategy.py

@@ -0,0 +1,133 @@
+from vnpy.app.cta_strategy import (
+    CtaTemplate,
+    StopOrder,
+    Direction,
+    TickData,
+    BarData,
+    TradeData,
+    OrderData,
+    BarGenerator,
+    ArrayManager,   
+)
+
+
+class AtrRsiStrategy(CtaTemplate):
+    """"""
+
+    author = '用Python的交易员'
+
+    atr_length = 22            
+    atr_ma_length = 10        
+    rsi_length = 5           
+    rsi_entry = 16          
+    trailing_percent = 0.8            
+    fixed_size = 1           
+
+    atr_value = 0                       
+    atr_ma = 0                          
+    rsi_value = 0                       
+    rsi_buy = 0                         
+    rsi_sell = 0                        
+    intra_trade_high = 0                 
+    intra_trade_low = 0                  
+
+    parameters= [ 'atr_length', 'atr_ma_length', 'rsi_length', 'rsi_entry', 'trailing_percent','fixed_size']    
+    variables= ['atr_value','atr_ma','rsi_value','rsi_buy','rsi_sell']  
+    
+
+    def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
+        """"""
+        super(AtrRsiStrategy, self).__init__(
+            cta_engine, strategy_name, vt_symbol, setting
+        ) 
+        self.bg = BarGenerator(self.on_bar)
+        self.am = ArrayManager()
+        
+    def on_init(self):
+        """
+        Callback when strategy is inited.
+        """
+        self.write_log("策略初始化")
+
+        self.rsi_buy = 50 + self.rsi_entry
+        self.rsi_sell = 50 - self.rsi_entry
+
+        self.load_bar(10)
+
+    def on_start(self):
+        """
+        Callback when strategy is started.
+        """
+        self.write_log("策略启动")
+        
+    def on_stop(self):
+        """
+        Callback when strategy is stopped.
+        """
+        self.write_log("策略停止")
+
+    def on_tick(self, tick: TickData):
+        """
+        Callback of new tick data update.
+        """
+        self.bg.update_tick(tick)
+
+    def on_bar(self, bar: BarData):
+        """
+        Callback of new bar data update.
+        """
+        self.cancel_all()
+
+        am = self.am
+        am.update_bar(bar)
+        if not am.inited:
+            return
+
+        atr_array = am.atr(self.atr_length, array=True)
+        self.atr_value = atr_array[-1]
+        self.atr_ma = atr_array[-self.atr_ma_length:].mean()       
+        self.rsi_value = am.rsi(self.rsi_length)
+
+        if self.pos == 0:
+            self.intra_trade_high = bar.high_price
+            self.intra_trade_low = bar.low_price
+
+            if self.atr_value > self.atr_ma:
+                if self.rsi_value > self.rsi_buy:
+                    self.buy(bar.close_price+5, self.fixed_size)
+                elif self.rsi_value < self.rsi_sell:
+                    self.short(bar.close_price-5, self.fixed_size)
+
+        elif self.pos > 0:
+            self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
+            self.intra_trade_low = bar.low_price
+            
+            long_stop = self.intra_trade_high * (1-self.trailing_percent/100)
+            self.sell(long_stop, abs(self.pos), stop=True)
+            
+        elif self.pos < 0:
+            self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
+            self.intra_trade_high = bar.high_price
+
+            short_stop = self.intra_trade_low * (1+self.trailing_percent/100)
+            self.cover(short_stop, abs(self.pos), stop=True)
+
+        self.put_event()
+        
+    def on_order(self, order: OrderData):
+        """
+        Callback of new order data update.
+        """
+        pass
+
+    def on_trade(self, trade: TradeData):
+        """
+        Callback of new trade data update.
+        """
+        self.put_event()
+
+    def on_stop_order(self, stop_order: StopOrder):
+        """
+        Callback of stop order update.
+        """
+        pass