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[Mod]change filename of MultiTimeframStrategy

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This commit is contained in:
vn.py 2019-02-21 09:22:59 +08:00
parent d0ff8f904d
commit 760da8e7d2
1 changed files with 38 additions and 39 deletions
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77
vnpy/app/cta_strategy/strategies/multi_time_frame_strategy.py → vnpy/app/cta_strategy/strategies/multi_timeframe_strategy.py
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@ -1,53 +1,54 @@
from vnpy.app.cta_strategy import ( from vnpy.app.cta_strategy import (
CtaTemplate, CtaTemplate,
StopOrder, StopOrder,
Direction,
TickData, TickData,
BarData, BarData,
TradeData, TradeData,
OrderData, OrderData,
BarGenerator, BarGenerator,
ArrayManager, ArrayManager,
) )
class MultiTimeframeStrategy(CtaTemplate): class MultiTimeframeStrategy(CtaTemplate):
"""""" """"""
author = '用Python的交易员' author = '用Python的交易员'
rsi_signal = 20 rsi_signal = 20
rsi_window = 14 rsi_window = 14
fast_window = 5 fast_window = 5
slow_window = 20 slow_window = 20
fixed_size = 1 fixed_size = 1
rsi_value = 0 rsi_value = 0
rsi_long = 0 rsi_long = 0
rsi_short = 0 rsi_short = 0
fast_ma = 0 fast_ma = 0
slow_ma = 0 slow_ma = 0
ma_trend = 0 ma_trend = 0
parameters = ['rsi_signal', 'rsi_window',
'fast_window', 'slow_window',
'fixed_size']
variables = ['rsi_value', 'rsi_long', 'rsi_short',
'fast_ma', 'slow_ma', 'ma_trend']
parameters = [ 'rsi_signal', 'rsi_window', 'fast_window', 'slow_window','fixed_size']
variables = ['rsi_value','rsi_long','rsi_short','fast_ma','slow_ma','ma_trend']
def __init__(self, cta_engine, strategy_name, vt_symbol, setting): def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
"""""" """"""
super(MultiTimeframeStrategy, self).__init__( super(MultiTimeframeStrategy, self).__init__(
cta_engine, strategy_name, vt_symbol, setting cta_engine, strategy_name, vt_symbol, setting
) )
self.rsi_long = 50 + self.rsi_signal self.rsi_long = 50 + self.rsi_signal
self.rsi_short = 50 - self.rsi_signal self.rsi_short = 50 - self.rsi_signal
self.bg5 = BarGenerator(self.on_bar,5, self.on_5min_bar) self.bg5 = BarGenerator(self.on_bar, 5, self.on_5min_bar)
self.am5 = ArrayManager() self.am5 = ArrayManager()
self.bg15 = BarGenerator(self.on_bar,15, self.on_15min_bar) self.bg15 = BarGenerator(self.on_bar, 15, self.on_15min_bar)
self.am15 = ArrayManager() self.am15 = ArrayManager()
def on_init(self): def on_init(self):
""" """
Callback when strategy is inited. Callback when strategy is inited.
@ -60,7 +61,7 @@ class MultiTimeframeStrategy(CtaTemplate):
Callback when strategy is started. Callback when strategy is started.
""" """
self.write_log("策略启动") self.write_log("策略启动")
def on_stop(self): def on_stop(self):
""" """
Callback when strategy is stopped. Callback when strategy is stopped.
@ -79,15 +80,15 @@ class MultiTimeframeStrategy(CtaTemplate):
""" """
self.bg5.update_bar(bar) self.bg5.update_bar(bar)
self.bg15.update_bar(bar) self.bg15.update_bar(bar)
def on_5min_bar(self, bar:BarData): def on_5min_bar(self, bar: BarData):
"""""" """"""
self.cancel_all() self.cancel_all()
self.am5.update_bar(bar) self.am5.update_bar(bar)
if not self.am5.inited: if not self.am5.inited:
return return
if not self.ma_trend: if not self.ma_trend:
return return
@ -95,30 +96,29 @@ class MultiTimeframeStrategy(CtaTemplate):
if self.pos == 0: if self.pos == 0:
if self.ma_trend > 0 and self.rsi_value >= self.rsi_long: if self.ma_trend > 0 and self.rsi_value >= self.rsi_long:
self.buy(bar.close_price+5, self.fixed_size) self.buy(bar.close_price + 5, self.fixed_size)
elif self.ma_trend < 0 and self.rsi_value <= self.rsi_short: elif self.ma_trend < 0 and self.rsi_value <= self.rsi_short:
self.short(bar.close_price-5, self.fixed_size) self.short(bar.close_price - 5, self.fixed_size)
elif self.pos > 0: elif self.pos > 0:
if self.ma_trend < 0 or self.rsi_value < 50: if self.ma_trend < 0 or self.rsi_value < 50:
self.sell(bar.close_price-5, abs(self.pos)) self.sell(bar.close_price - 5, abs(self.pos))
elif self.pos < 0: elif self.pos < 0:
if self.ma_trend > 0 or self.rsi_value > 50: if self.ma_trend > 0 or self.rsi_value > 50:
self.cover(bar.close_price+5, abs(self.pos)) self.cover(bar.close_price + 5, abs(self.pos))
self.put_event() self.put_event()
def on_15min_bar(self, bar:BarData): def on_15min_bar(self, bar: BarData):
"""""" """"""
self.am15.update_bar(bar) self.am15.update_bar(bar)
if not self.am15.inited: if not self.am15.inited:
return return
self.fast_ma = self.am15.sma(self.fast_window) self.fast_ma = self.am15.sma(self.fast_window)
self.slow_ma = self.am15.sma(self.slow_window) self.slow_ma = self.am15.sma(self.slow_window)
if self.fast_ma > self.slow_ma: if self.fast_ma > self.slow_ma:
self.ma_trend = 1 self.ma_trend = 1
else: else:
@ -141,4 +141,3 @@ class MultiTimeframeStrategy(CtaTemplate):
Callback of stop order update. Callback of stop order update.
""" """
pass pass