Create multi_time_frame_strategy.py

vnpy/app/cta_strategy/strategies/multi_time_frame_strategy.py

@@ -0,0 +1,144 @@
+from vnpy.app.cta_strategy import (
+    CtaTemplate,
+    StopOrder,
+    Direction,
+    TickData,
+    BarData,
+    TradeData,
+    OrderData,
+    BarGenerator,
+    ArrayManager,   
+)
+
+
+class MultiTimeframeStrategy(CtaTemplate):
+    """"""
+
+    author = '用Python的交易员'
+
+    rsi_signal = 20          
+    rsi_window = 14          
+    fast_window = 5          
+    slow_window = 20         
+    fixed_size = 1           
+    
+    rsi_value = 0                        
+    rsi_long = 0                         
+    rsi_short = 0                        
+    fast_ma = 0                         
+    slow_ma = 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']  
+    
+    def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
+        """"""
+        super(MultiTimeframeStrategy, self).__init__(
+            cta_engine, strategy_name, vt_symbol, setting
+        ) 
+
+        self.rsi_long = 50 + self.rsi_signal
+        self.rsi_short = 50 - self.rsi_signal
+        
+        self.bg5 = BarGenerator(self.on_bar,5, self.on_5min_bar)
+        self.am5 = ArrayManager()
+
+        self.bg15 = BarGenerator(self.on_bar,15, self.on_15min_bar)
+        self.am15 = ArrayManager()
+        
+    def on_init(self):
+        """
+        Callback when strategy is inited.
+        """
+        self.write_log("策略初始化")
+        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.bg5.update_tick(tick)
+
+    def on_bar(self, bar: BarData):
+        """
+        Callback of new bar data update.
+        """
+        self.bg5.update_bar(bar)
+        self.bg15.update_bar(bar)
+        
+    def on_5min_bar(self, bar:BarData):
+        """"""
+        self.cancel_all()
+
+        self.am5.update_bar(bar)
+        if not self.am5.inited:
+            return
+        
+        if not self.ma_trend:
+            return
+
+        self.rsi_value = self.am5.rsi(self.rsi_window)
+
+        if self.pos == 0:
+            if self.ma_trend > 0 and self.rsi_value >= self.rsi_long:
+                self.buy(bar.close_price+5, self.fixed_size)               
+            elif self.ma_trend < 0 and self.rsi_value <= self.rsi_short:
+                self.short(bar.close_price-5, self.fixed_size)
+
+        elif self.pos > 0:
+            if self.ma_trend < 0 or self.rsi_value < 50:
+                self.sell(bar.close_price-5, abs(self.pos))
+            
+        elif self.pos < 0:
+            if self.ma_trend > 0 or self.rsi_value > 50:
+                self.cover(bar.close_price+5, abs(self.pos))
+
+        self.put_event()
+    
+
+    def on_15min_bar(self, bar:BarData):
+        """"""
+        self.am15.update_bar(bar)        
+        if not self.am15.inited:
+            return
+        
+        self.fast_ma = self.am15.sma(self.fast_window)
+        self.slow_ma = self.am15.sma(self.slow_window)
+        
+        if self.fast_ma > self.slow_ma:
+            self.ma_trend = 1
+        else:
+            self.ma_trend = -1
+
+    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
+