Create boll_channel_strategy.py

vnpy/app/cta_strategy/strategies/boll_channel_strategy.py

@@ -0,0 +1,134 @@
+from vnpy.app.cta_strategy import (
+    CtaTemplate,
+    StopOrder,
+    Direction,
+    TickData,
+    BarData,
+    TradeData,
+    OrderData,
+    BarGenerator,
+    ArrayManager,
+)
+
+
+class BollChannelStrategy(CtaTemplate):
+    """"""
+    
+    author = '用Python的交易员'
+    
+    boll_window = 18                     
+    boll_dev = 3.4                      
+    cci_window = 10                      
+    atr_window = 30                      
+    sl_multiplier = 5.2                  
+    fixed_size = 1                      
+    
+    boll_up = 0                         
+    boll_down = 0                        
+    cci_value = 0                        
+    atr_value = 0                        
+    
+    intra_trade_high = 0                 
+    intra_trade_low = 0                  
+    long_stop = 0                       
+    short_stop = 0                       
+   
+    parameters = [ 'boll_window', 'boll_dev', 'cci_window', 'atr_window', 'sl_multiplier', 'fixed_size']    
+    variables = ['boll_up', 'boll_down', 'cci_value', 'atr_value', 'intra_trade_high', 'intra_trade_low', 'long_stop', 'short_stop']        
+
+    def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
+        """"""
+        super(BollChannelStrategy, self).__init__(
+            cta_engine, strategy_name, vt_symbol, setting
+        )
+        
+        self.bg = BarGenerator(self.on_bar,15, self.on_15min_bar)        
+        self.am = 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.bg.update_tick(tick)
+
+    def on_bar(self, bar:BarData):
+        """
+        Callback of new bar data update.
+        """        
+        self.bg.update_bar(bar)
+    
+    def on_15min_bar(self, bar:BarData):
+        """"""
+        self.cancel_all()
+    
+        am = self.am        
+        am.update_bar(bar)        
+        if not am.inited:
+            return
+        
+        self.boll_up, self.boll_down = am.boll(self.boll_window, self.boll_dev)
+        self.cci_value = am.cci(self.cci_window)
+        self.atr_value = am.atr(self.atr_window)
+        
+        if self.pos == 0:
+            self.intra_trade_high = bar.high_price
+            self.intra_trade_low = bar.low_price            
+            
+            if self.cci_value > 0:
+                self.buy(self.boll_up, self.fixed_size, True)                
+            elif self.cci_value < 0:
+                self.short(self.boll_down, self.fixed_size, True)
+    
+        elif self.pos > 0:
+            self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
+            self.intra_trade_low = bar.low_price
+
+            self.long_stop = self.intra_trade_high - self.atr_value * self.sl_multiplier            
+            self.sell(self.long_stop, abs(self.pos), True)
+    
+        elif self.pos < 0:
+            self.intra_trade_high = bar.high_price
+            self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
+            
+            self.short_stop = self.intra_trade_low + self.atr_value * self.sl_multiplier            
+            self.cover(self.short_stop, abs(self.pos), 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
+