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增加King Keltner策略

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This commit is contained in:
chenxy123 2017-03-06 22:07:24 +08:00
parent 6b8ae72c9b
commit 85f31e7423
5 changed files with 339 additions and 21 deletions
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39
vn.lhang/vnlhang.py
View File

@ -6,6 +6,8 @@ import hashlib
import requests
from Queue import Queue, Empty
from threading import Thread
from time import sleep
LHANG_API_ROOT ="https://api.lhang.com/v1/"
@ -48,16 +50,18 @@ class LhangApi(object):
self.apiKey = ''
self.secretKey = ''
self.interval = 1 # 每次请求的间隔等待
self.active = False # API工作状态
self.reqID = 0 # 请求编号
self.reqQueue = Queue() # 请求队列
self.reqThread = Thread(target=self.processQueue) # 请求处理线程
#----------------------------------------------------------------------
def init(self, apiKey, secretKey):
def init(self, apiKey, secretKey, interval):
"""初始化"""
self.apiKey = apiKey
self.secretKey = secretKey
self.interval = interval
self.active = True
self.reqThread.start()
@ -66,6 +70,8 @@ class LhangApi(object):
def exit(self):
"""退出"""
self.active = False
if self.reqThread.isAlive():
self.reqThread.join()
#----------------------------------------------------------------------
@ -107,15 +113,18 @@ class LhangApi(object):
# 请求失败
if data is None:
error = u'请求失败'
self.onError(error, reqID)
self.onError(error, req, reqID)
elif 'error_code' in data:
error = u'请求出错，错误代码：%s' % data['error_code']
self.onError(error, reqID)
self.onError(error, req, reqID)
# 请求成功
else:
if self.DEBUG:
print callback.__name__
callback(data, reqID)
callback(data, req, reqID)
# 流控等待
sleep(self.interval)
except Empty:
pass
@ -138,9 +147,9 @@ class LhangApi(object):
return self.reqID
#----------------------------------------------------------------------
def onError(self, error, reqID):
def onError(self, error, req, reqID):
"""错误推送"""
print error, reqID
print error, req, reqID
###############################################
# 行情接口
@ -192,22 +201,22 @@ class LhangApi(object):
return self.sendRequest(function, params, callback)
#----------------------------------------------------------------------
def onGetTicker(self, data, reqID):
def onGetTicker(self, data, req, reqID):
"""查询行情回调"""
print data, reqID
# ----------------------------------------------------------------------
def onGetDepth(self, data, reqID):
def onGetDepth(self, data, req, reqID):
"""查询深度回调"""
print data, reqID
# ----------------------------------------------------------------------
def onGetTrades(self, data, reqID):
def onGetTrades(self, data, req, reqID):
"""查询历史成交"""
print data, reqID
# ----------------------------------------------------------------------
def onGetKline(self, data, reqID):
def onGetKline(self, data, req, reqID):
"""查询Ｋ线回报"""
print data, reqID
@ -272,27 +281,27 @@ class LhangApi(object):
return self.sendRequest(function, params, callback)
# ----------------------------------------------------------------------
def onGetUserInfo(self, data, reqID):
def onGetUserInfo(self, data, req, reqID):
"""查询Ｋ线回报"""
print data, reqID
# ----------------------------------------------------------------------
def onCreateOrder(self, data, reqID):
def onCreateOrder(self, data, req, reqID):
"""委托回报"""
print data, reqID
# ----------------------------------------------------------------------
def onCancelOrder(self, data, reqID):
def onCancelOrder(self, data, req, reqID):
"""撤单回报"""
print data, reqID
# ----------------------------------------------------------------------
def onGetOrdersInfo(self, data, reqID):
def onGetOrdersInfo(self, data, req, reqID):
"""查询委托回报"""
print data, reqID
# ----------------------------------------------------------------------
def onGetOrdersInfoHistory(self, data, reqID):
def onGetOrdersInfoHistory(self, data, req, reqID):
"""撤单回报"""
print data, reqID

10
vn.trader/ctaAlgo/CTA_setting.json
View File

@ -2,12 +2,18 @@
{
"name": "double ema",
"className": "EmaDemoStrategy",
"vtSymbol": "IF1702"
"vtSymbol": "IF1706"
},
{
"name": "atr rsi",
"className": "AtrRsiStrategy",
"vtSymbol": "IC1702"
"vtSymbol": "IC1706"
},
{
"name": "king keltner",
"className": "KkStrategy",
"vtSymbol": "IH1706"
}
]

1
vn.trader/ctaAlgo/ctaBacktesting.py
View File

@ -434,6 +434,7 @@ class BacktestingEngine(object):
self.limitOrderDict[orderID] = order
# 从字典中删除该限价单
if stopOrderID in self.workingStopOrderDict:
del self.workingStopOrderDict[stopOrderID]
#----------------------------------------------------------------------

300
vn.trader/ctaAlgo/strategy/strategyKingKeltner.py Normal file
View File

@ -0,0 +1,300 @@
# encoding: UTF-8
"""
基于King Keltner通道的交易策略，适合用在股指上，
展示了OCO委托和5分钟K线聚合的方法。
注意事项：
1. 作者不对交易盈利做任何保证，策略代码仅供参考
2. 本策略需要用到talib，没有安装的用户请先参考www.vnpy.org上的教程安装
3. 将IF0000_1min.csv用ctaHistoryData.py导入MongoDB后，直接运行本文件即可回测策略
"""
from __future__ import division
from ctaBase import *
from ctaTemplate import CtaTemplate
import talib
import numpy as np
########################################################################
class KkStrategy(CtaTemplate):
"""基于King Keltner通道的交易策略"""
className = 'KkStrategy'
author = u'用Python的交易员'
# 策略参数
kkLength = 32 # 计算通道中值的窗口数
kkDev = 2.2 # 计算通道宽度的偏差
initDays = 10 # 初始化数据所用的天数
fixedSize = 1 # 每次交易的数量
# 策略变量
bar = None # 1分钟K线对象
barMinute = EMPTY_STRING # K线当前的分钟
fiveBar = None # 1分钟K线对象
bufferSize = 100 # 需要缓存的数据的大小
bufferCount = 0 # 目前已经缓存了的数据的计数
highArray = np.zeros(bufferSize) # K线最高价的数组
lowArray = np.zeros(bufferSize) # K线最低价的数组
closeArray = np.zeros(bufferSize) # K线收盘价的数组
atrValue = 0 # 最新的ATR指标数值
kkMid = 0 # KK通道中轨
kkUp = 0 # KK通道上轨
kkDown = 0 # KK通道下轨
buyOrderID = None # OCO委托买入开仓的委托号
shortOrderID = None # OCO委托卖出开仓的委托号
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',
'kkLength',
'kkDev']
# 变量列表，保存了变量的名称
varList = ['inited',
'trading',
'pos',
'atrValue',
'kkMid',
'kkUp',
'kkDown']
#----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(KkStrategy, self).__init__(ctaEngine, setting)
#----------------------------------------------------------------------
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）"""
# 聚合为1分钟K线
tickMinute = tick.datetime.minute
if tickMinute != self.barMinute:
if self.bar:
self.onBar(self.bar)
bar = CtaBarData()
bar.vtSymbol = tick.vtSymbol
bar.symbol = tick.symbol
bar.exchange = tick.exchange
bar.open = tick.lastPrice
bar.high = tick.lastPrice
bar.low = tick.lastPrice
bar.close = tick.lastPrice
bar.date = tick.date
bar.time = tick.time
bar.datetime = tick.datetime # K线的时间设为第一个Tick的时间
self.bar = bar # 这种写法为了减少一层访问，加快速度
self.barMinute = tickMinute # 更新当前的分钟
else: # 否则继续累加新的K线
bar = self.bar # 写法同样为了加快速度
bar.high = max(bar.high, tick.lastPrice)
bar.low = min(bar.low, tick.lastPrice)
bar.close = tick.lastPrice
#----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
# 如果当前是一个5分钟走完
if bar.datetime.minute % 5 == 0:
# 如果已经有聚合5分钟K线
if self.fiveBar:
# 将最新分钟的数据更新到目前5分钟线中
fiveBar = self.fiveBar
fiveBar.high = max(fiveBar.high, bar.high)
fiveBar.low = min(fiveBar.low, bar.low)
fiveBar.close = bar.close
# 推送5分钟线数据
self.onFiveBar(fiveBar)
# 清空5分钟线数据缓存
self.fiveBar = None
else:
# 如果没有缓存则新建
if not self.fiveBar:
fiveBar = CtaBarData()
fiveBar.vtSymbol = bar.vtSymbol
fiveBar.symbol = bar.symbol
fiveBar.exchange = bar.exchange
fiveBar.open = bar.open
fiveBar.high = bar.high
fiveBar.low = bar.low
fiveBar.close = bar.close
fiveBar.date = bar.date
fiveBar.time = bar.time
fiveBar.datetime = bar.datetime
self.fiveBar = fiveBar
else:
fiveBar = self.fiveBar
fiveBar.high = max(fiveBar.high, bar.high)
fiveBar.low = min(fiveBar.low, bar.low)
fiveBar.close = bar.close
#----------------------------------------------------------------------
def onFiveBar(self, bar):
"""收到5分钟K线"""
# 撤销之前发出的尚未成交的委托（包括限价单和停止单）
for orderID in self.orderList:
self.cancelOrder(orderID)
self.orderList = []
# 保存K线数据
self.closeArray[0:self.bufferSize-1] = self.closeArray[1:self.bufferSize]
self.highArray[0:self.bufferSize-1] = self.highArray[1:self.bufferSize]
self.lowArray[0:self.bufferSize-1] = self.lowArray[1:self.bufferSize]
self.closeArray[-1] = bar.close
self.highArray[-1] = bar.high
self.lowArray[-1] = bar.low
self.bufferCount += 1
if self.bufferCount < self.bufferSize:
return
# 计算指标数值
self.atrValue = talib.ATR(self.highArray,
self.lowArray,
self.closeArray,
self.kkLength)[-1]
self.kkMid = talib.MA(self.closeArray, self.kkLength)[-1]
self.kkUp = self.kkMid + self.atrValue * self.kkDev
self.kkDown = self.kkMid - self.atrValue * self.kkdev
# 判断是否要进行交易
# 当前无仓位，发送OCO开仓委托
if self.pos == 0:
self.sendOcoOrder(self.kkUp, self.kkDown, self.fixedSize)
# 持有多头仓位
elif self.pos > 0 and bar.close < self.kkUp:
orderID = self.sell(bar.close*0.97, abs(self.pos))
self.orderList.append(orderID)
# 持有空头仓位
elif self.pos < 0 and bar.close > self.kkDown:
orderID = self.buy(bar.close*1.03, abs(self.pos))
self.orderList.append(orderID)
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
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):
# 多头开仓成交后，撤消空头委托
if self.pos > 0:
self.cancelOrder(self.shortOrderID)
if self.buyOrderID in self.orderList:
self.orderList.remove(self.buyOrderID)
if self.shortOrderID in self.orderList:
self.orderList.remove(self.shortOrderID)
# 反之同样
elif self.pos < 0:
self.cancelOrder(self.buyOrderID)
if self.buyOrderID in self.orderList:
self.orderList.remove(self.buyOrderID)
if self.shortOrderID in self.orderList:
self.orderList.remove(self.shortOrderID)
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
def sendOcoOrder(self, buyPrice, shortPrice, volume):
"""
发送OCO委托
OCO(One Cancel Other)委托：
1. 主要用于实现区间突破入场
2. 包含两个方向相反的停止单
3. 一个方向的停止单成交后会立即撤消另一个方向的
"""
# 发送双边的停止单委托，并记录委托号
self.buyOrderID = self.buy(buyPrice, volume, True)
self.shortOrderID = self.short(shortPrice, volume, True)
# 将委托号记录到列表中
self.orderList.append(self.buyOrderID)
self.orderList.append(self.shortOrderID)
if __name__ == '__main__':
# 提供直接双击回测的功能
# 导入PyQt4的包是为了保证matplotlib使用PyQt4而不是PySide，防止初始化出错
from ctaBacktesting import *
from PyQt4 import QtCore, QtGui
# 创建回测引擎
engine = BacktestingEngine()
# 设置引擎的回测模式为K线
engine.setBacktestingMode(engine.BAR_MODE)
# 设置回测用的数据起始日期
engine.setStartDate('20120101')
# 设置产品相关参数
engine.setSlippage(0.2) # 股指1跳
engine.setRate(0.3/10000) # 万0.3
engine.setSize(300) # 股指合约大小
# 设置使用的历史数据库
engine.setDatabase(MINUTE_DB_NAME, 'IF0000')
# 在引擎中创建策略对象
d = {}
engine.initStrategy(KkStrategy, d)
# 开始跑回测
engine.runBacktesting()
# 显示回测结果
engine.showBacktestingResult()

2
vn.trader/lhangGateway/vnlhang.py
View File

@ -70,6 +70,8 @@ class LhangApi(object):
def exit(self):
"""退出"""
self.active = False
if self.reqThread.isAlive():
self.reqThread.join()
#----------------------------------------------------------------------