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[update] 基础组件更新

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This commit is contained in:
msincenselee 2021-08-30 09:04:30 +08:00
parent 344f877bda
commit 98ab549e0d
16 changed files with 889 additions and 440 deletions
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233
prod/jobs/refill_tdx_stock_bars.py
View File

@ -3,6 +3,7 @@
下载通达信股票合约1分钟&日线bar => vnpy项目目录/bar_data/
上海股票 => SSE子目录
深圳股票 => SZSE子目录
修改为多进程模式
"""
import os
import sys
@ -10,6 +11,10 @@ import csv
import json
from collections import OrderedDict
import pandas as pd
from multiprocessing import Pool
from concurrent.futures import ThreadPoolExecutor
from copy import copy
vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..'))
if vnpy_root not in sys.path:
@ -35,97 +40,163 @@ api_01 = TdxStockData()
# 额外需要数据下载的基金列表
stock_list = load_json('stock_list.json')
# 强制更新缓存
api_01.cache_config()
symbol_dict = api_01.symbol_dict
#
# thread_executor = ThreadPoolExecutor(max_workers=1)
# thread_tasks = []
# 下载所有的股票数据
num_stocks = 0
for period in ['1min', '1day']:
for symbol in symbol_dict.keys():
symbol_info = symbol_dict[symbol]
stock_code = symbol_info['code']
if ('stock_type' in symbol_info.keys() and symbol_info['stock_type'] in ['stock_cn', 'cb_cn']) or stock_code in stock_list:
# if stock_code in stock_list:
# print(symbol_info['code'])
if symbol_info['exchange'] == 'SZSE':
exchange_name = '深交所'
exchange = Exchange.SZSE
else:
exchange_name = '上交所'
exchange = Exchange.SSE
else:
continue
num_stocks += 1
stock_name = symbol_info.get('name')
print(f'开始更新:{exchange_name}/{stock_name}, 代码:{stock_code}')
bar_file_folder = os.path.abspath(os.path.join(bar_data_folder, f'{exchange.value}'))
if not os.path.exists(bar_file_folder):
os.makedirs(bar_file_folder)
# csv数据文件名
bar_file_path = os.path.abspath(os.path.join(bar_file_folder, f'{stock_code}_{period[0:2]}.csv'))
def refill(symbol_info):
period = symbol_info['period']
progress = symbol_info['progress']
# print("{}_{}".format(period, symbol_info['code']))
# return
stock_code = symbol_info['code']
# 如果文件存在，
if os.path.exists(bar_file_path):
# 取最后一条时间
last_dt = get_csv_last_dt(bar_file_path)
else:
last_dt = None
# if stock_code in stock_list:
# print(symbol_info['code'])
if symbol_info['exchange'] == 'SZSE':
exchange_name = '深交所'
exchange = Exchange.SZSE
else:
exchange_name = '上交所'
exchange = Exchange.SSE
if last_dt:
start_dt = last_dt - timedelta(days=1)
print(f'文件{bar_file_path}存在，最后时间:{start_date}')
else:
start_dt = datetime.strptime(start_date, '%Y%m%d')
print(f'文件{bar_file_path}不存在，或读取最后记录错误,开始时间:{start_date}')
# num_stocks += 1
result, bars = api_01.get_bars(symbol=stock_code,
period=period,
callback=None,
start_dt=start_dt,
return_bar=False)
# [dict] => dataframe
if not result or len(bars) == 0:
continue
stock_name = symbol_info.get('name')
print(f'开始更新:{exchange_name}/{stock_name}, 代码:{stock_code}')
bar_file_folder = os.path.abspath(os.path.join(bar_data_folder, f'{exchange.value}'))
if not os.path.exists(bar_file_folder):
os.makedirs(bar_file_folder)
# csv数据文件名
p_name = period.replace('min', 'm').replace('day', 'd').replace('hour', 'h')
bar_file_path = os.path.abspath(os.path.join(bar_file_folder, f'{stock_code}_{p_name}.csv'))
# 全新数据
if last_dt is None:
data_df = pd.DataFrame(bars)
data_df.set_index('datetime', inplace=True)
data_df = data_df.sort_index()
# print(data_df.head())
print(data_df.tail())
data_df.to_csv(bar_file_path, index=True)
print(f'首次更新{stock_code} {stock_name}数据 => 文件{bar_file_path}')
# 如果文件存在，
if os.path.exists(bar_file_path):
# 取最后一条时间
last_dt = get_csv_last_dt(bar_file_path)
else:
last_dt = None
# 增量更新
else:
# 获取标题
headers = []
with open(bar_file_path, "r", encoding='utf8') as f:
reader = csv.reader(f)
for header in reader:
headers = header
break
if last_dt:
start_dt = last_dt - timedelta(days=1)
print(f'文件{bar_file_path}存在，最后时间:{start_dt}')
else:
start_dt = datetime.strptime(start_date, '%Y%m%d')
print(f'文件{bar_file_path}不存在，或读取最后记录错误,开始时间:{start_date}')
bar_count = 0
# 写入所有大于最后bar时间的数据
# with open(bar_file_path, 'a', encoding='utf8', newline='\n') as csvWriteFile:
with open(bar_file_path, 'a', encoding='utf8') as csvWriteFile:
d1 = datetime.now()
result, bars = api_01.get_bars(symbol=stock_code,
period=period,
callback=None,
start_dt=start_dt,
return_bar=False)
# [dict] => dataframe
if not result or len(bars) == 0:
return
writer = csv.DictWriter(f=csvWriteFile, fieldnames=headers, dialect='excel',
extrasaction='ignore')
for bar in bars:
if bar['datetime'] <= last_dt:
continue
bar_count += 1
writer.writerow(bar)
need_resample = False
# 全新数据
if last_dt is None:
data_df = pd.DataFrame(bars)
data_df.set_index('datetime', inplace=True)
data_df = data_df.sort_index()
# print(data_df.head())
print(data_df.tail())
data_df.to_csv(bar_file_path, index=True)
d2 = datetime.now()
microseconds = (d1 - d1).microseconds
print(f'{progress}% 首次更新{stock_code} {stock_name}数据 {microseconds} 毫秒=> 文件{bar_file_path}')
need_resample = True
print(f'更新{stock_code} {stock_name} 数据 => 文件{bar_file_path}, 最后记录:{bars[-1]}')
# 增量更新
else:
# 获取标题
headers = []
with open(bar_file_path, "r", encoding='utf8') as f:
reader = csv.reader(f)
for header in reader:
headers = header
break
# 输出 5、15、30分钟的数据
if period == '1min':
out_files, err_msg = resample_bars_file(vnpy_root=vnpy_root, symbol=stock_code, exchange=exchange, x_mins=[5,15,30])
bar_count = 0
# 写入所有大于最后bar时间的数据
# with open(bar_file_path, 'a', encoding='utf8', newline='\n') as csvWriteFile:
with open(bar_file_path, 'a', encoding='utf8') as csvWriteFile:
msg = 'tdx股票数据补充完毕: num_stocks={}'.format(num_stocks)
send_wx_msg(content=msg)
os._exit(0)
writer = csv.DictWriter(f=csvWriteFile, fieldnames=headers, dialect='excel',
extrasaction='ignore')
for bar in bars:
if bar['datetime'] <= last_dt:
continue
bar_count += 1
writer.writerow(bar)
if not need_resample:
need_resample = True
d2 = datetime.now()
microseconds = round((d2 - d1).microseconds / 100, 0)
print(f'{progress}%,更新{stock_code} {stock_name} 数据 {microseconds}毫秒 => 文件{bar_file_path}, 最后记录:{bars[-1]}')
# 采用多线程方式输出 5、15、30分钟的数据
# if period == '1min' and need_resample:
# task = thread_executor.submit(resample, stock_code, exchange, [5, 15, 30])
# thread_tasks.append(task)
def resample(symbol, exchange, x_mins=[5, 15, 30]):
"""
更新多周期文件
:param symbol:
:param exchange:
:param x_mins:
:return:
"""
d1 = datetime.now()
out_files, err_msg = resample_bars_file(vnpy_root=vnpy_root,
symbol=symbol,
exchange=exchange,
x_mins=x_mins)
d2 = datetime.now()
microseconds = round((d2 - d1).microseconds / 100, 0)
if len(err_msg) > 0:
print(err_msg, file=sys.stderr)
if out_files:
print(f'{microseconds}毫秒,生成 =>{out_files}')
if __name__ == '__main__':
# 下载所有的股票数据
num_progress = 0
total_tasks = len(symbol_dict.keys()) * 2
tasks = []
for period in ['1min', '5min', '15min', '30min', '1hour', '1day']:
for symbol in symbol_dict.keys():
info = copy(symbol_dict[symbol])
stock_code = info['code']
if ('stock_type' in info.keys() and info['stock_type'] in ['stock_cn',
'cb_cn']) or stock_code in stock_list:
info['period'] = period
tasks.append(info)
# if len(tasks) > 12:
# break
total_tasks = len(tasks)
for task in tasks:
num_progress += 1
task['progress'] = round(100 * num_progress / total_tasks, 2)
p = Pool(12)
p.map(refill, tasks)
p.close()
p.join()
#
msg = 'tdx股票数据补充完毕: num_stocks={}'.format(total_tasks)
send_wx_msg(content=msg)
os._exit(0)

6
vnpy/app/cta_crypto/back_testing.py
View File

@ -1921,7 +1921,7 @@ class BackTestingEngine(object):
# 返回回测结果
d = {}
d['init_capital'] = self.init_capital
d['profit'] = self.cur_capital - self.init_capital
d['profit'] = self.net_capital - self.init_capital
d['net_capital'] = self.net_capital
d['max_capital'] = self.max_net_capital # 取消原 maxCapital
@ -2006,8 +2006,8 @@ class BackTestingEngine(object):
result_info.update({u'期末资金': d['net_capital']})
self.output(u'期末资金：\t%s' % format_number(d['net_capital']))
result_info.update({u'平仓盈亏': d['profit']})
self.output(u'平仓盈亏：\t%s' % format_number(d['profit']))
result_info.update({u'总盈亏': d['profit']})
self.output(u'总盈亏：\t%s' % format_number(d['profit']))
result_info.update({u'资金最高净值': d['max_capital']})
self.output(u'资金最高净值：\t%s' % format_number(d['max_capital']))

4
vnpy/app/cta_crypto/template.py
View File

@ -1316,7 +1316,7 @@ class CtaFutureTemplate(CtaTemplate):
up_grids_info = ""
for grid in list(self.gt.up_grids):
if not grid.open_status and grid.order_status:
if grid.open_status and grid.order_status:
up_grids_info += f'平空中: [已平:{grid.traded_volume} => 目标:{grid.volume}, 委托时间:{grid.order_time}]\n'
if len(grid.order_ids) > 0:
up_grids_info += f'委托单号:{grid.order_ids}'
@ -1333,7 +1333,7 @@ class CtaFutureTemplate(CtaTemplate):
dn_grids_info = ""
for grid in list(self.gt.dn_grids):
if not grid.open_status and grid.order_status:
if grid.open_status and grid.order_status:
dn_grids_info += f'平多中: [已平:{grid.traded_volume} => 目标:{grid.volume}, 委托时间:{grid.order_time}]\n'
if len(grid.order_ids) > 0:
dn_grids_info += f'委托单号:{grid.order_ids}'

35
vnpy/app/cta_strategy_pro/portfolio_testing.py
View File

@ -452,7 +452,14 @@ class PortfolioTestingEngine(BackTestingEngine):
ticks = []
if not os.path.isfile(file_path):
self.write_log(u'{}文件不存在'.format(file_path))
return None
file_path = os.path.abspath(
os.path.join(
tick_folder,
tick_date.strftime('%Y%m'),
'{}_{}.csv'.format(symbol.lower(), tick_date.strftime('%Y%m%d'))))
if not os.path.isfile(file_path):
self.write_log(u'{}文件不存在'.format(file_path))
return None
try:
df = pd.read_csv(file_path, parse_dates=False)
# datetime,symbol,exchange,last_price,highest,lowest,volume,amount,open_interest,upper_limit,lower_limit,
@ -589,8 +596,32 @@ class PortfolioTestingEngine(BackTestingEngine):
time=dt.strftime('%H:%M:%S.%f'),
trading_day=test_day.strftime('%Y-%m-%d'),
last_price=last_price,
volume=tick_data['volume']
volume=tick_data['volume'],
ask_price_1=float(tick_data.get('ask_price_1',0)),
ask_volume_1=int(tick_data.get('ask_volume_1',0)),
bid_price_1=float(tick_data.get('bid_price_1',0)),
bid_volume_1=int(tick_data.get('bid_volume_1',0))
)
if tick_data.get('ask_price_5',0) > 0:
tick.ask_price_2 = float(tick_data.get('ask_price_2',0))
tick.ask_volume_2 = int(tick_data.get('ask_volume_2', 0))
tick.bid_price_2 = float(tick_data.get('bid_price_2', 0))
tick.bid_volume_2 = int(tick_data.get('bid_volume_2', 0))
tick.ask_price_3 = float(tick_data.get('ask_price_3', 0))
tick.ask_volume_3 = int(tick_data.get('ask_volume_3', 0)),
tick.bid_price_3 = float(tick_data.get('bid_price_3', 0)),
tick.bid_volume_3 = int(tick_data.get('bid_volume_3', 0))
tick.ask_price_4 = float(tick_data.get('ask_price_4', 0))
tick.ask_volume_4 = int(tick_data.get('ask_volume_4', 0)),
tick.bid_price_4 = float(tick_data.get('bid_price_4', 0)),
tick.bid_volume_4 = int(tick_data.get('bid_volume_4', 0))
tick.ask_price_5 = float(tick_data.get('ask_price_5', 0))
tick.ask_volume_5 = int(tick_data.get('ask_volume_5', 0)),
tick.bid_price_5 = float(tick_data.get('bid_price_5', 0)),
tick.bid_volume_5 = int(tick_data.get('bid_volume_5', 0))
self.new_tick(tick)

20
vnpy/component/base.py
View File

@ -5,6 +5,9 @@ import sys
from abc import ABC
from enum import Enum
from logging import INFO, ERROR
import json
import numpy as np
import datetime
from vnpy.trader.constant import Direction # noqa
@ -71,3 +74,20 @@ class CtaComponent(ABC):
self.strategy.write_log(msg=content, level=level)
else:
print(content, file=sys.stderr)
class MyEncoder(json.JSONEncoder):
"""
自定义转换器，处理np,datetime等不能被json转换得问题
"""
def default(self, obj):
if isinstance(obj, np.integer):
return int(obj)
elif isinstance(obj, np.floating):
return float(obj)
elif isinstance(obj, np.ndarray):
return obj.tolist()
elif isinstance(obj, datetime):
return obj.strftime('%Y-%m-%d %H:%M:%S')
else:
return super(MyEncoder, self).default(obj)

4
vnpy/component/cta_grid_trade.py
View File

@ -10,7 +10,7 @@ import traceback
from collections import OrderedDict
from datetime import datetime
from vnpy.trader.utility import get_folder_path
from vnpy.component.base import Direction, CtaComponent
from vnpy.component.base import Direction, CtaComponent,MyEncoder
"""
网格交易，用于套利单
@ -894,7 +894,7 @@ class CtaGridTrade(CtaComponent):
data = self.to_json()
with open(grid_json_file, 'w', encoding='utf8') as f:
json_data = json.dumps(data, indent=4, ensure_ascii=False)
json_data = json.dumps(data, indent=4, ensure_ascii=False, cls=MyEncoder)
f.write(json_data)
self.write_log(u'GrideTrade保存文件{}完成'.format(grid_json_file))

234
vnpy/component/cta_line_bar.py
View File

@ -28,8 +28,9 @@ from vnpy.component.base import (
MARKET_ZJ)
from vnpy.component.cta_period import CtaPeriod, Period
from vnpy.trader.object import BarData, TickData
from vnpy.trader.constant import Interval, Color
from vnpy.trader.constant import Interval, Color, ChanSignals
from vnpy.trader.utility import round_to, get_trading_date, get_underlying_symbol
from vnpy.component.cta_utility import check_chan_xt,check_chan_xt_three_bi, check_qsbc_2nd
try:
from vnpy.component.chanlun import ChanGraph, ChanLibrary
@ -206,6 +207,8 @@ class CtaLineBar(object):
self.export_bi_filename = None # 通过缠论笔csv文件
self.export_zs_filename = None # 通过缠论的笔中枢csv文件
self.export_duan_filename = None # 通过缠论的线段csv文件
self.export_xt_filename = None # 缠论笔的形态csv文件, 满足 strategy_name_xt_n_signals.csv
# n 会转换为 3，5，7，9，11，13
self.pre_bi_start = None # 前一个笔的时间
self.pre_zs_start = None # 前一个中枢的时间
@ -295,6 +298,8 @@ class CtaLineBar(object):
self.param_list.append('para_ema1_len') # 三条EMA均线
self.param_list.append('para_ema2_len')
self.param_list.append('para_ema3_len')
self.param_list.append('para_ema4_len')
self.param_list.append('para_ema5_len')
self.param_list.append('para_dmi_len')
self.param_list.append('para_dmi_max')
@ -365,6 +370,7 @@ class CtaLineBar(object):
self.param_list.append('para_bd_len')
self.param_list.append('para_active_chanlun') # 激活缠论
self.param_list.append('para_active_chan_xt') # 激活缠论的形态分析
def init_properties(self):
"""
@ -417,6 +423,8 @@ class CtaLineBar(object):
self.para_ema1_len = 0 # 13 # 第一根EMA均线的周期长度
self.para_ema2_len = 0 # 21 # 第二根EMA均线的周期长度
self.para_ema3_len = 0 # 120 # 第三根EMA均线的周期长度
self.para_ema4_len = 0 # 120 # 第四根EMA均线的周期长度
self.para_ema5_len = 0 # 120 # 第五根EMA均线的周期长度
self.para_dmi_len = 0 # 14 # DMI的计算周期
self.para_dmi_max = 0 # 30 # Dpi和Mdi的突破阈值
@ -538,10 +546,14 @@ class CtaLineBar(object):
self.line_ema1 = [] # K线的EMA1均线，周期是para_ema1_len1，不包含当前bar
self.line_ema2 = [] # K线的EMA2均线，周期是para_ema1_len2，不包含当前bar
self.line_ema3 = [] # K线的EMA3均线，周期是para_ema1_len3，不包含当前bar
self.line_ema4 = [] # K线的EMA4均线，周期是para_ema1_len4，不包含当前bar
self.line_ema5 = [] # K线的EMA5均线，周期是para_ema1_len5，不包含当前bar
self._rt_ema1 = None # K线的实时EMA(para_ema1_len)
self._rt_ema2 = None # K线的实时EMA(para_ema2_len)
self._rt_ema3 = None # K线的实时EMA(para_ema3_len)
self._rt_ema4 = None # K线的实时EMA(para_ema4_len)
self._rt_ema5 = None # K线的实时EMA(para_ema5_len)
# K线的DMI( Pdi，Mdi，ADX，Adxr) 计算数据
self.cur_pdi = 0 # bar内的升动向指标，即做多的比率
@ -793,6 +805,14 @@ class CtaLineBar(object):
self._bi_zs_list = [] # 笔中枢列表
self._duan_list = [] # 段列表
self._duan_zs_list = [] # 段中枢列表
self.para_active_chan_xt = False # 是否激活czsc缠论形态识别
self.xt_3_signals = [] # czsc 三笔信号列表 {'bi_start'最后一笔开始,'bi_end'最后一笔结束,'signal'}
self.xt_5_signals = [] # czsc 五笔信号列表 {'bi_start'最后一笔开始,'bi_end'最后一笔结束,'signal'}
self.xt_7_signals = [] # czsc 七笔信号列表 {'bi_start'最后一笔开始,'bi_end'最后一笔结束,'signal'}
self.xt_9_signals = [] # czsc 九笔信号列表 {'bi_start'最后一笔开始,'bi_end'最后一笔结束,'signal'}
self.xt_11_signals = [] # czsc 11笔信号列表 {'bi_start'最后一笔开始,'bi_end'最后一笔结束,'signal'}
self.xt_13_signals = [] # czsc 13笔信号列表 {'bi_start'最后一笔开始,'bi_end'最后一笔结束,'signal'}
self.xt_2nd_signals = [] # 趋势背驰2买或趋势背驰2卖信号
def set_params(self, setting: dict = {}):
"""设置参数"""
@ -828,7 +848,7 @@ class CtaLineBar(object):
return
self.cur_datetime = tick.datetime
self.cur_tick = copy.copy(tick)
self.cur_tick = tick #copy.copy(tick)
# 兼容 标准套利合约，它没有last_price
if self.cur_tick.last_price is None or self.cur_tick.last_price == 0:
@ -842,7 +862,7 @@ class CtaLineBar(object):
self.cur_price = self.cur_tick.last_price
# 3.生成x K线，若形成新Bar，则触发OnBar事件
self.generate_bar(copy.copy(self.cur_tick))
self.generate_bar(self.cur_tick) # copy.copy(self.cur_tick)
# 更新curPeriod的High，low
if self.cur_period is not None:
@ -864,8 +884,8 @@ class CtaLineBar(object):
self.cur_datetime = bar.datetime + timedelta(minutes=bar_freq)
if self.bar_len == 0:
new_bar = copy.deepcopy(bar)
self.line_bar.append(new_bar)
#new_bar = copy.deepcopy(bar)
self.line_bar.append(bar)
self.cur_trading_day = bar.trading_day
self.on_bar(bar)
return
@ -910,8 +930,8 @@ class CtaLineBar(object):
if is_new_bar:
# 添加新的bar
new_bar = copy.deepcopy(bar)
self.line_bar.append(new_bar)
#new_bar = copy.deepcopy(bar)
self.line_bar.append(bar) # new_bar
# 将上一个Bar推送至OnBar事件
self.on_bar(lastBar)
@ -1008,6 +1028,9 @@ class CtaLineBar(object):
# 输出缠论=》csv文件
self.export_chan()
# 识别缠论分笔形态
self.update_chan_xt()
# 回调上层调用者，将合成的 x分钟bar，回调给策略 def on_bar_x(self, bar: BarData):函数
if self.cb_on_bar:
self.cb_on_bar(bar=bar)
@ -1121,6 +1144,12 @@ class CtaLineBar(object):
if self.para_ema3_len > 0 and len(self.line_ema3) > 0:
msg = msg + u',EMA({0}):{1}'.format(self.para_ema3_len, self.line_ema3[-1])
if self.para_ema4_len > 0 and len(self.line_ema4) > 0:
msg = msg + u',EMA({0}):{1}'.format(self.para_ema4_len, self.line_ema4[-1])
if self.para_ema5_len > 0 and len(self.line_ema5) > 0:
msg = msg + u',EMA({0}):{1}'.format(self.para_ema5_len, self.line_ema5[-1])
if self.para_dmi_len > 0 and len(self.line_pdi) > 0:
msg = msg + u',Pdi:{1};Mdi:{1};Adx:{2}'.format(self.line_pdi[-1], self.line_mdi[-1], self.line_adx[-1])
@ -2506,13 +2535,16 @@ class CtaLineBar(object):
def __count_ema(self):
"""计算K线的EMA1 和EMA2"""
if not (self.para_ema1_len > 0 or self.para_ema2_len > 0 or self.para_ema3_len > 0): # 不计算
if not (self.para_ema1_len > 0 or self.para_ema2_len > 0 or self.para_ema3_len > 0
or self.para_ema4_len > 0 or self.para_ema5_len > 0): # 不计算
return
ema1_data_len = min(self.para_ema1_len * 4, self.para_ema1_len + 40) if self.para_ema1_len > 0 else 0
ema2_data_len = min(self.para_ema2_len * 4, self.para_ema2_len + 40) if self.para_ema2_len > 0 else 0
ema3_data_len = min(self.para_ema3_len * 4, self.para_ema3_len + 40) if self.para_ema3_len > 0 else 0
max_data_len = max(ema1_data_len, ema2_data_len, ema3_data_len)
ema4_data_len = min(self.para_ema4_len * 4, self.para_ema4_len + 40) if self.para_ema4_len > 0 else 0
ema5_data_len = min(self.para_ema5_len * 4, self.para_ema5_len + 40) if self.para_ema5_len > 0 else 0
max_data_len = max(ema1_data_len, ema2_data_len, ema3_data_len, ema4_data_len, ema5_data_len)
# 1、lineBar满足长度才执行计算
if self.bar_len < max_data_len:
self.write_log(u'数据未充分,当前Bar数据数量：{0}，计算EMA需要：{1}'.
@ -2524,7 +2556,7 @@ class CtaLineBar(object):
count_len = min(self.para_ema1_len, self.bar_len - 1)
# 3、获取前InputN周期(不包含当前周期）的K线
barEma1 = ta.EMA(self.close_array[-ema1_data_len:], count_len)[-1]
barEma1 = ta.EMA(self.close_array[-self.para_ema1_len * 4:], count_len)[-1]
if np.isnan(barEma1):
return
barEma1 = round(float(barEma1), self.round_n)
@ -2539,7 +2571,7 @@ class CtaLineBar(object):
# 3、获取前InputN周期(不包含当前周期）的自适应均线
barEma2 = ta.EMA(self.close_array[-ema2_data_len:], count_len)[-1]
barEma2 = ta.EMA(self.close_array[-self.para_ema2_len * 4:], count_len)[-1]
if np.isnan(barEma2):
return
barEma2 = round(float(barEma2), self.round_n)
@ -2553,7 +2585,7 @@ class CtaLineBar(object):
count_len = min(self.bar_len - 1, self.para_ema3_len)
# 3、获取前InputN周期(不包含当前周期）的自适应均线
barEma3 = ta.EMA(self.close_array[-ema3_data_len:], count_len)[-1]
barEma3 = ta.EMA(self.close_array[-self.para_ema3_len * 4:], count_len)[-1]
if np.isnan(barEma3):
return
barEma3 = round(float(barEma3), self.round_n)
@ -2562,16 +2594,47 @@ class CtaLineBar(object):
del self.line_ema3[0]
self.line_ema3.append(barEma3)
# 计算第四条EMA均线
if self.para_ema4_len > 0:
count_len = min(self.bar_len - 1, self.para_ema4_len)
# 3、获取前InputN周期(不包含当前周期）的自适应均线
barEma4 = ta.EMA(self.close_array[-self.para_ema4_len * 4:], count_len)[-1]
if np.isnan(barEma4):
return
barEma4 = round(float(barEma4), self.round_n)
if len(self.line_ema4) > self.max_hold_bars:
del self.line_ema4[0]
self.line_ema4.append(barEma4)
# 计算第五条EMA均线
if self.para_ema5_len > 0:
count_len = min(self.bar_len - 1, self.para_ema5_len)
# 3、获取前InputN周期(不包含当前周期）的自适应均线
barEma5 = ta.EMA(self.close_array[-self.para_ema5_len * 4:], count_len)[-1]
if np.isnan(barEma5):
return
barEma5 = round(float(barEma5), self.round_n)
if len(self.line_ema5) > self.max_hold_bars:
del self.line_ema5[0]
self.line_ema5.append(barEma5)
def rt_count_ema(self):
"""计算K线的EMA1 和EMA2"""
if not (self.para_ema1_len > 0 or self.para_ema2_len > 0 or self.para_ema3_len > 0): # 不计算
if not (self.para_ema1_len > 0 or self.para_ema2_len > 0 or self.para_ema3_len > 0
or self.para_ema4_len > 0 or self.para_ema5_len > 0): # 不计算
return
ema1_data_len = min(self.para_ema1_len * 4, self.para_ema1_len + 40) if self.para_ema1_len > 0 else 0
ema2_data_len = min(self.para_ema2_len * 4, self.para_ema2_len + 40) if self.para_ema2_len > 0 else 0
ema3_data_len = min(self.para_ema3_len * 4, self.para_ema3_len + 40) if self.para_ema3_len > 0 else 0
max_data_len = max(ema1_data_len, ema2_data_len, ema3_data_len)
ema4_data_len = min(self.para_ema4_len * 4, self.para_ema4_len + 40) if self.para_ema4_len > 0 else 0
ema5_data_len = min(self.para_ema5_len * 4, self.para_ema5_len + 40) if self.para_ema5_len > 0 else 0
max_data_len = max(ema1_data_len, ema2_data_len, ema3_data_len, ema4_data_len, ema5_data_len)
# 1、lineBar满足长度才执行计算
if self.bar_len < max_data_len:
return
@ -2581,7 +2644,7 @@ class CtaLineBar(object):
count_len = min(self.para_ema1_len, self.bar_len)
# 3、获取前InputN周期(不包含当前周期）的K线
barEma1 = ta.EMA(np.append(self.close_array[-ema1_data_len:], [self.cur_price]), count_len)[-1]
barEma1 = ta.EMA(np.append(self.close_array[-self.para_ema1_len * 4:], [self.cur_price]), count_len)[-1]
if np.isnan(barEma1):
return
self._rt_ema1 = round(float(barEma1), self.round_n)
@ -2592,7 +2655,7 @@ class CtaLineBar(object):
# 3、获取前InputN周期(不包含当前周期）的自适应均线
barEma2 = ta.EMA(np.append(self.close_array[-ema2_data_len:], [self.cur_price]), count_len)[-1]
barEma2 = ta.EMA(np.append(self.close_array[-self.para_ema2_len * 4:], [self.cur_price]), count_len)[-1]
if np.isnan(barEma2):
return
self._rt_ema2 = round(float(barEma2), self.round_n)
@ -2602,11 +2665,31 @@ class CtaLineBar(object):
count_len = min(self.bar_len, self.para_ema3_len)
# 3、获取前InputN周期(不包含当前周期）的自适应均线
barEma3 = ta.EMA(np.append(self.close_array[-ema3_data_len:], [self.cur_price]), count_len)[-1]
barEma3 = ta.EMA(np.append(self.close_array[-self.para_ema3_len * 4:], [self.cur_price]), count_len)[-1]
if np.isnan(barEma3):
return
self._rt_ema3 = round(float(barEma3), self.round_n)
# 计算第四条EMA均线
if self.para_ema4_len > 0:
count_len = min(self.bar_len, self.para_ema4_len)
# 3、获取前InputN周期(不包含当前周期）的自适应均线
barEma4 = ta.EMA(np.append(self.close_array[-self.para_ema4_len * 4:], [self.cur_price]), count_len)[-1]
if np.isnan(barEma4):
return
self._rt_ema4 = round(float(barEma4), self.round_n)
# 计算第五条EMA均线
if self.para_ema5_len > 0:
count_len = min(self.bar_len, self.para_ema5_len)
# 3、获取前InputN周期(不包含当前周期）的自适应均线
barEma5 = ta.EMA(np.append(self.close_array[-self.para_ema5_len * 4:], [self.cur_price]), count_len)[-1]
if np.isnan(barEma5):
return
self._rt_ema5 = round(float(barEma5), self.round_n)
@property
def rt_ema1(self):
self.check_rt_funcs(self.rt_count_ema)
@ -2628,6 +2711,20 @@ class CtaLineBar(object):
return self.line_ema3[-1]
return self._rt_ema3
@property
def rt_ema4(self):
self.check_rt_funcs(self.rt_count_ema)
if self._rt_ema4 is None and len(self.line_ema4) > 0:
return self.line_ema4[-1]
return self._rt_ema4
@property
def rt_ema5(self):
self.check_rt_funcs(self.rt_count_ema)
if self._rt_ema5 is None and len(self.line_ema5) > 0:
return self.line_ema5[-1]
return self._rt_ema5
def __count_dmi(self):
"""计算K线的DMI数据和条件"""
@ -5806,7 +5903,7 @@ class CtaLineBar(object):
return False
# 当前段包含的分笔，必须大于3
if len(cur_duan.bi_list) < 3:
if len(cur_duan.bi_list) <= 3:
return False
# 获取倒数第二根同向分笔的结束dif值或macd值
@ -6132,6 +6229,79 @@ class CtaLineBar(object):
return False
def update_chan_xt(self):
"""更新缠论形态"""
if not self.para_active_chan_xt:
return
bi_len = len(self.bi_list)
if bi_len < 3:
return
if self.cur_fenxing.is_rt:
return
bi_n = min(15, bi_len)
price = self.cur_bi.low if self.cur_bi.direction == -1 else self.cur_bi.high
for n in range(3, bi_n, 2):
# => 信号
if n == 3:
signal = check_chan_xt_three_bi(self, self.bi_list[-n:])
else:
signal = check_chan_xt(self, self.bi_list[-n:])
# => 信号列表
xt_signals = getattr(self, f'xt_{n}_signals')
if xt_signals is None:
continue
# => 上一信号
cur_signal = xt_signals[-1] if len(xt_signals) > 0 else None
# 不同笔开始时间
if cur_signal is None or cur_signal.get("start", "") != self.cur_bi.start:
# 新增
xt_signals.append({'start': self.cur_bi.start,
'end': self.cur_bi.end,
'price': price,
'signal': signal})
if len(xt_signals) > 200:
del xt_signals[0]
if cur_signal is not None and self.export_xt_filename :
self.append_data(
file_name=self.export_xt_filename.replace('_n_',f'_{n}_'),
dict_data=cur_signal,
field_names=["start", "end", "price", "signal"]
)
# 直接更新
else:
xt_signals[-1].update({'end': self.cur_bi.end, 'price': price,'signal': signal})
# 是否趋势二买
qsbc_2nd = ChanSignals.Other.value
if self.cur_bi.direction == -1:
if check_qsbc_2nd(big_kline=self, small_kline=None, signal_direction=Direction.LONG):
qsbc_2nd = ChanSignals.Q2L0.value
else:
if check_qsbc_2nd(big_kline=self, small_kline=None,signal_direction=Direction.SHORT):
qsbc_2nd = ChanSignals.Q2S0.value
cur_signal = self.xt_2nd_signals[-1] if len(self.xt_2nd_signals) > 0 else None
# 不同笔开始时间
if cur_signal is None or cur_signal.get("start", "") != self.cur_bi.start:
# 新增
self.xt_2nd_signals.append({'start': self.cur_bi.start,
'end': self.cur_bi.end,
'price': price,
'signal': qsbc_2nd})
if cur_signal and self.export_xt_filename:
self.append_data(
file_name=self.export_xt_filename.replace('_n_', f'_2nd_'),
dict_data=cur_signal,
field_names=["start", "end", "price", "signal"]
)
# 直接更新
else:
self.xt_2nd_signals[-1].update({'end': self.cur_bi.end, 'price': price, 'signal': qsbc_2nd})
def write_log(self, content):
"""记录CTA日志"""
@ -6338,6 +6508,22 @@ class CtaLineBar(object):
'type': 'line'
}
indicators.update({indicator.get('name'): copy.copy(indicator)})
if isinstance(self.para_ema4_len, int) and self.para_ema4_len > 0:
indicator = {
'name': 'EMA{}'.format(self.para_ema4_len),
'attr_name': 'line_ema4',
'is_main': True,
'type': 'line'
}
indicators.update({indicator.get('name'): copy.copy(indicator)})
if isinstance(self.para_ema5_len, int) and self.para_ema5_len > 0:
indicator = {
'name': 'EMA{}'.format(self.para_ema5_len),
'attr_name': 'line_ema5',
'is_main': True,
'type': 'line'
}
indicators.update({indicator.get('name'): copy.copy(indicator)})
# MA 均线 （主图）
if isinstance(self.para_ma1_len, int) and self.para_ma1_len > 0:
@ -6820,9 +7006,9 @@ class CtaMinuteBar(CtaLineBar):
is_new_bar = True
if is_new_bar:
new_bar = copy.deepcopy(bar)
#new_bar = copy.deepcopy(bar)
# 添加新的bar
self.line_bar.append(new_bar)
self.line_bar.append(bar) # new_bar
# 将上一个Bar推送至OnBar事件
self.on_bar(lastBar)
else:
@ -7261,8 +7447,8 @@ class CtaDayBar(CtaLineBar):
bar_len = len(self.line_bar)
if bar_len == 0:
new_bar = copy.deepcopy(bar)
self.line_bar.append(new_bar)
#new_bar = copy.deepcopy(bar)
self.line_bar.append(bar) # new_bar
self.cur_trading_day = bar.trading_day if bar.trading_day is not None else get_trading_date(bar.datetime)
if bar_is_completed:
self.on_bar(bar)
@ -7288,8 +7474,8 @@ class CtaDayBar(CtaLineBar):
if is_new_bar:
# 添加新的bar
new_bar = copy.deepcopy(bar)
self.line_bar.append(new_bar)
#new_bar = copy.deepcopy(bar)
self.line_bar.append(bar) # new_bar
# 将上一个Bar推送至OnBar事件
self.on_bar(lastBar)
else:

6
vnpy/component/cta_period.py
View File

@ -1,6 +1,6 @@
# encoding: UTF-8
# 周期类，定义CTA的五种周期，及其周期变换矩阵
# 周期状态类，定义CTA的多种周期状态，及其状态变换矩阵
from enum import Enum
from datetime import datetime
@ -9,8 +9,12 @@ from datetime import datetime
class Period(Enum):
INIT = u'初始状态'
LONG = u'多'
LONG_STOP = u'止涨'
SHORT = u'空'
SHORT_STOP = u'止跌'
SHOCK = u'震荡'
SHOCK_LONG = u'震荡偏多'
SHOCK_SHORT = u'震荡偏空'
LONG_EXTREME = u'极端多'
SHORT_EXTREME = u'极端空'

20
vnpy/component/cta_policy.py
View File

@ -4,7 +4,7 @@ import os
import json
from datetime import datetime
from collections import OrderedDict
from vnpy.component.base import CtaComponent
from vnpy.component.base import CtaComponent, MyEncoder
from vnpy.trader.utility import get_folder_path
TNS_STATUS_OBSERVATE = 'observate'
@ -15,24 +15,6 @@ TNS_STATUS_CLOSED = 'closed'
import numpy as np
class MyEncoder(json.JSONEncoder):
"""
自定义转换器，处理np,datetime等不能被json转换得问题
"""
def default(self, obj):
if isinstance(obj, np.integer):
return int(obj)
elif isinstance(obj, np.floating):
return float(obj)
elif isinstance(obj, np.ndarray):
return obj.tolist()
elif isinstance(obj, datetime):
return obj.strftime('%Y-%m-%d %H:%M:%S')
else:
return super(MyEncoder, self).default(obj)
class CtaPolicy(CtaComponent):
"""
策略的持久化Policy组件

585
vnpy/component/cta_utility.py
View File

@ -4,15 +4,16 @@
from vnpy.trader.constant import ChanSignals, Direction
from vnpy.component.chanlun.pyChanlun import ChanBi, ChanDuan, ChanObject
from vnpy.component.cta_line_bar import CtaLineBar
# from vnpy.component.cta_line_bar import CtaLineBar
from typing import List, Union
# 所有底背驰信号集合
DI_BEICHI_SIGNALS = [ChanSignals.LA0.value, ChanSignals.LA1.value, ChanSignals.LA2.value, ChanSignals.LA3.value,
ChanSignals.LB0.value, ChanSignals.LB1.value, ChanSignals.LB2.value, ChanSignals.LB3.value]
DI_BEICHI_SIGNALS = [ChanSignals.LA0.value,
ChanSignals.LB0.value]
# 所有顶背驰信号集合
DING_BEICHI_SIGNALS = [ChanSignals.SA0.value, ChanSignals.SA1.value, ChanSignals.SA2.value, ChanSignals.SA3.value,
ChanSignals.SB0.value, ChanSignals.SB1.value, ChanSignals.SB2.value, ChanSignals.SB3.value]
DING_BEICHI_SIGNALS = [ChanSignals.SA0.value,
ChanSignals.SB0.value]
def duan_bi_is_end(duan: ChanDuan, direction: Direction) -> bool:
@ -37,7 +38,7 @@ def duan_bi_is_end(duan: ChanDuan, direction: Direction) -> bool:
return False
def check_duan_not_rt(kline: CtaLineBar, direction: Direction) -> bool:
def check_duan_not_rt(kline, direction: Direction) -> bool:
"""
检查某一个K线当前线段是否非实时
:param kline:
@ -58,7 +59,7 @@ def check_duan_not_rt(kline: CtaLineBar, direction: Direction) -> bool:
return True
def check_bi_not_rt(kline: CtaLineBar, direction: Direction) -> bool:
def check_bi_not_rt(kline, direction: Direction) -> bool:
"""
检查某一个K线当前分笔是否非实时并符合判断方向
:param kline:
@ -83,9 +84,9 @@ def check_bi_not_rt(kline: CtaLineBar, direction: Direction) -> bool:
if direction == 1:
# 判断还没走完的bar，是否满足顶分型
if float(kline.cur_fenxing.high) == float(kline.high_array[-1]) \
and kline.cur_fenxing.index == kline.index_list[-1] \
and kline.line_bar[-1].datetime.strftime('%Y-%m-%d %H:%M:%S') > kline.cur_fenxing.index\
and kline.line_bar[-1].high_price < float(kline.cur_fenxing.high) \
and kline.cur_fenxing.index == kline.index_list[-1] \
and kline.line_bar[-1].datetime.strftime('%Y-%m-%d %H:%M:%S') > kline.cur_fenxing.index \
and kline.line_bar[-1].high_price < float(kline.cur_fenxing.high) \
and kline.line_bar[-1].low_price < kline.line_bar[-2].low_price:
return True
@ -103,7 +104,7 @@ def check_bi_not_rt(kline: CtaLineBar, direction: Direction) -> bool:
return True
def check_fx_power(kline: CtaLineBar, direction: Direction) -> str:
def check_fx_power(kline, direction: Direction) -> str:
"""
获取分型强弱
:param kline: 本级别K线
@ -165,7 +166,7 @@ def check_fx_power(kline: CtaLineBar, direction: Direction) -> str:
return ret
def check_chan_xt(kline: CtaLineBar, bi_list: List[ChanObject]) -> str:
def check_chan_xt(kline, bi_list: List[ChanObject]) -> str:
"""
获取缠论得形态
如果提供得是段内得bi_list，一般可以算出该线段是否有背驰，
@ -189,12 +190,12 @@ def check_chan_xt(kline: CtaLineBar, bi_list: List[ChanObject]) -> str:
return v
def check_chan_xt_three_bi(kline: CtaLineBar, bi_list: List[ChanObject]):
def check_chan_xt_three_bi(kline, bi_list: List[ChanObject]):
"""
获取指定3分笔得形态
（含有三笔）
:param kline:
:param bi_list:
:param kline: ctaLineBar对象
:param bi_list: 笔列表
:return:
"""
v = ChanSignals.Other.value
@ -207,64 +208,148 @@ def check_chan_xt_three_bi(kline: CtaLineBar, bi_list: List[ChanObject]):
# 最后一笔是下跌
if bi_3.direction == -1:
# X3LA0~向下不重合
# ^
# / \
# / \
# /
# \ /
# \ /
# v
if bi_3.low > bi_1.high:
v = ChanSignals.X3LA0.value
# X3LB0~向下奔走型中枢
# X3LB0~向下奔走型
# ^
# / \
# / \
# \ / \
# \ /
# \ /
# v
if bi_2.low < bi_3.low < bi_1.high < bi_2.high:
v = ChanSignals.X3LB0.value
# X3LC0~向下三角收敛中枢
# X3LC0~向下收敛
# \
# \ ^
# \ / \
# \ / \
# \ /
# \ /
# v
if bi_1.high > bi_3.high and bi_1.low < bi_3.low:
v = ChanSignals.X3LC0.value
# 向下三角扩张中枢
# X3LD0~向下扩张
# ^
# / \
# \ / \
# \ / \
# v \
# \
if bi_1.high < bi_3.high and bi_1.low > bi_3.low:
v = ChanSignals.X3LD0.value
# X3LE0~向下盘背中枢， X3LF0~向下无背中枢
# X3LE0~向下盘背， X3LF0~向下无背
if bi_3.low < bi_1.low and bi_3.high < bi_1.high:
if bi_3.height < bi_1.height:
# X3LE0~向下盘背中枢
# X3LE0~向下盘背
# \
# \
# \ ^
# \ / \
# \ / \
# v \
# \
v = ChanSignals.X3LE0.value
else:
# X3LF0~向下无背中枢
# \
# \ ^
# \ / \
# \ / \
# v \
# \
# \
v = ChanSignals.X3LF0.value
# 上涨线段
elif bi_3.direction == 1:
# X3SA0~向上不重合
if bi_3.high > bi_1.low:
# ^
# / \
# / \
# \
# \ /
# \ /
# v
if bi_3.high < bi_1.low:
v = ChanSignals.X3SA0.value
# X3SB0~向上奔走型中枢
# X3SB0~向上奔走型
# ^
# / \
# / \ /
# / \ /
# \ /
# v
if bi_2.low < bi_1.low < bi_3.high < bi_2.high:
v = ChanSignals.X3SB0.value
# X3SC0~向上三角收敛中枢
# X3SC0~向上收敛
# ^
# / \
# / \ /
# / \ /
# / v
# /
if bi_1.high > bi_3.high and bi_1.low < bi_3.low:
v = ChanSignals.X3SC0.value
# X3SD0~向上三角扩张中枢
# X3SD0~向上扩张
# /
# ^ /
# / \ /
# / \ /
# / \ /
# v
if bi_1.high < bi_3.high and bi_1.low > bi_3.low:
v = ChanSignals.X3SD0.value
# X3SE0~向上盘背中枢，X3SF0~向上无背中枢
# X3SE0~向上盘背，X3SF0~向上无背
if bi_3.low > bi_1.low and bi_3.high > bi_1.high:
if bi_3.height < bi_1.height:
# X3SE0~向上盘背中枢
# X3SE0~向上盘背
# /
# ^ /
# / \ /
# / \ /
# / \ /
# / v
# /
# /
v = ChanSignals.X3SE0.value
else:
# X3SF0~向上无背中枢
# X3SF0~向上无背
# /
# /
# ^ /
# / \ /
# / \ /
# / \ /
# / v
# /
v = ChanSignals.X3SF0.value
return v
def check_chan_xt_five_bi(kline: CtaLineBar, bi_list: List[ChanObject]):
def check_chan_xt_five_bi(kline, bi_list: List[ChanObject]):
"""识别当前5笔形态
:param cur_duan: 当前线段
:return: str
"""
:param kline: ctaLineBar对象
:param bi_list: 笔列表
:return: str
"""
v = ChanSignals.Other.value
if len(bi_list) != 5:
@ -282,77 +367,77 @@ def check_chan_xt_five_bi(kline: CtaLineBar, bi_list: List[ChanObject]):
# aAb式底背驰
if min(bi_2.high, bi_4.high) > max(bi_2.low, bi_4.low) and max_high == bi_1.high and bi_5.height < bi_1.height:
if (min_low == bi_3.low and bi_5.low < bi_1.low) or (min_low == bi_5.low):
v = ChanSignals.LA0.value
return ChanSignals.LA0.value # "底背驰”五笔aAb式
# 类趋势底背驰( 笔5 的强度比笔1、笔3低）
if max_high == bi_1.high and min_low == bi_5.low and bi_4.high < bi_2.low \
and bi_5.height < max(bi_3.height, bi_1.height) \
and bi_5.atan < max(bi_3.atan, bi_1.atan):
v = ChanSignals.LA0.value
return ChanSignals.LA0.value # "底背驰" 五笔类趋势
# 上颈线突破
if (min_low == bi_1.low and bi_5.high > min(bi_1.high, bi_2.high) > bi_5.low > bi_1.low) \
or (min_low == bi_3.low and bi_5.high > bi_3.high > bi_5.low > bi_3.low):
v = ChanSignals.LG0.value
return ChanSignals.LG0.value # 上颈线突破 五笔
# 五笔三买，要求bi_5.high是最高点, 或者bi_4.height，超过笔2、笔3两倍
if max(bi_1.low, bi_3.low) < min(bi_1.high, bi_3.high) < bi_5.low:
if min_low < max(bi_1.low, bi_3.low) < min(bi_1.high, bi_3.high) < bi_5.low:
if bi_5.high == max_high:
v = ChanSignals.LI0.value
elif bi_4.low == min_low and bi_1.high == max_high \
v = ChanSignals.LI0.value # 类三买， 五笔
elif bi_3.low == min_low and bi_1.high == max_high \
and bi_4.height > max(bi_1.height, bi_2.height, bi_3.height) \
and bi_4.height > 2 * max(bi_2.height, bi_3.height):
v = ChanSignals.LI0.value
v = ChanSignals.LI0.value # 类三买， 五笔
# 向上三角扩张中枢
if bi_1.high < bi_3.high < bi_5.high and bi_1.low > bi_3.low > bi_5.low:
v = ChanSignals.LJ0.value
# 向上三角收敛中枢
if bi_1.high > bi_3.high > bi_5.high and bi_1.low < bi_3.low < bi_5.low:
v = ChanSignals.LK0.value
# # 向上三角扩张中枢
# if bi_1.high < bi_3.high < bi_5.high and bi_1.low > bi_3.low > bi_5.low:
# v = ChanSignals.LJ0.value
#
# # 向上三角收敛中枢
# if bi_1.high > bi_3.high > bi_5.high and bi_1.low < bi_3.low < bi_5.low:
# v = ChanSignals.LK0.value
# 上涨线段，寻找顶背驰
elif direction == 1:
# aAb式顶背驰
# aAb式顶背驰，类一卖
if min(bi_2.high, bi_4.high) > max(bi_2.low, bi_4.low) and min_low == bi_1.low and bi_5.height < bi_1.height:
if (max_high == bi_3.high and bi_5.high > bi_1.high) or (max_high == bi_5.high):
v = ChanSignals.SA0.value
return ChanSignals.SA0.value # k3='基础形态', v1='顶背驰', v2='五笔aAb式'
# 类趋势顶背驰
# 类趋势顶背驰，类一卖
if min_low == bi_1.low and max_high == bi_5.high \
and bi_5.height < max(bi_1.height, bi_3.height) \
and bi_5.atan < max(bi_1.atan, bi_3.atan) \
and bi_4.low > bi_2.high:
v = ChanSignals.SA0.value
return ChanSignals.SA0.value # k3='基础形态', v1='顶背驰', v2='五笔类趋势')
# 下颈线突破
if (max_high == bi_1.high and bi_5.low < max(bi_1.low, bi_2.low) < bi_5.high < max_high) \
or (max_high == bi_3.high and bi_5.low < bi_3.low < bi_5.high < max_high):
v = ChanSignals.SG0.value
return ChanSignals.SG0.value # k3='基础形态', v1='下颈线突破', v2='五笔')
# 五笔三卖，要求bi_5.low是最低点，中枢可能是1~3
if min(bi_1.high, bi_3.high) > max(bi_1.low, bi_3.low) > bi_5.high:
if bi_5.low == min_low:
v = ChanSignals.SI0.value
elif bi_4.high == max_high and bi_1.low == min_low \
and bi_4.height > max(bi_1.height, bi_2.height, bi_3.height)\
and bi_4.height > 2 * max(bi_2.height,bi_3.height):
v = ChanSignals.SI0.value
return ChanSignals.SI0.value
elif bi_3.high == max_high and bi_1.low == min_low \
and bi_4.height > max(bi_1.height, bi_2.height, bi_3.height) \
and bi_4.height > 2 * max(bi_2.height, bi_3.height):
return ChanSignals.SI0.value # k3='基础形态', v1='类三卖', v2='五笔')
# elif bi_1.high == max_high and bi_1.low == min_low:
# 向下三角扩张中枢
if bi_1.high < bi_3.high < bi_5.high and bi_1.low > bi_3.low > bi_5.low:
v = ChanSignals.SJ0.value
# 向下三角收敛中枢
if bi_1.high > bi_3.high > bi_5.high and bi_1.low < bi_3.low < bi_5.low:
v = ChanSignals.SK0.value
# # 向下三角扩张中枢
# if bi_1.high < bi_3.high < bi_5.high and bi_1.low > bi_3.low > bi_5.low:
# v = ChanSignals.SJ0.value
#
# # 向下三角收敛中枢
# if bi_1.high > bi_3.high > bi_5.high and bi_1.low < bi_3.low < bi_5.low:
# v = ChanSignals.SK0.value
return v
def check_chan_xt_seven_bi(kline: CtaLineBar, bi_list: List[ChanObject]):
def check_chan_xt_seven_bi(kline, bi_list: List[ChanObject]):
"""
识别当前7笔的形态
:param cur_duan:
@ -371,80 +456,80 @@ def check_chan_xt_seven_bi(kline: CtaLineBar, bi_list: List[ChanObject]):
# aAbcd式底背驰, d.高度斜率 小于 b.高度斜率
if min(bi_2.high, bi_4.high) > max(bi_2.low, bi_4.low) > bi_6.high \
and bi_7.height < bi_5.height and bi_7.atan <= bi_5.atan:
v = ChanSignals.LA0.value
v = ChanSignals.LA0.value # k3='基础形态', v1='底背驰', v2='七笔aAbcd式')
# abcAd式底背驰
if bi_2.low > min(bi_4.high, bi_6.high) > max(bi_4.low, bi_6.low) \
and bi_7.height < (bi_1.high - bi_3.low) \
and bi_7.atan < (bi_1.atan + bi_3.atan) / 2:
v = ChanSignals.LA0.value
v = ChanSignals.LA0.value # k3='基础形态', v1='底背驰', v2='七笔abcAd式')
# aAb式底背驰
if min(bi_2.high, bi_4.high, bi_6.high) > max(bi_2.low, bi_4.low, bi_6.low) \
and bi_7.height < bi_1.height and bi_7.atan <= bi_1.atan:
v = ChanSignals.LA0.value
v = ChanSignals.LA0.value # k3='基础形态', v1='底背驰', v2='七笔aAb式'
# 类趋势底背驰
if bi_2.low > bi_4.high and bi_4.low > bi_6.high \
and bi_7.height < max(bi_5.height, bi_3.height, bi_1.height)\
and bi_7.height < max(bi_5.height, bi_3.height, bi_1.height) \
and bi_7.atan < max(bi_5.atan, bi_3.atan, bi_1.atan):
v = ChanSignals.LA0.value
v = ChanSignals.LA0.value # k3='基础形态', v1='底背驰', v2='七笔类趋势'
# 向上中枢完成
if bi_4.low == min_low and min(bi_1.high, bi_3.high) > max(bi_1.low, bi_3.low) \
and min(bi_5.high, bi_7.high) > max(bi_5.low, bi_7.low) \
and max(bi_4.high, bi_6.high) > min(bi_3.high, bi_4.high):
if max(bi_1.low, bi_3.low) < max(bi_5.high, bi_7.high):
v = ChanSignals.LH0.value
v = ChanSignals.LH0.value # k3='基础形态', v1='向上中枢完成', v2='七笔')
# 七笔三买，567回调
# 七笔三买，567回调 ：1~3构成中枢，最低点在1~3，最高点在5~7，5~7的最低点大于1~3的最高点
if bi_5.high == max_high and bi_5.high > bi_7.high \
and bi_5.low > bi_7.low > min(bi_1.high, bi_3.high) > max(bi_1.low, bi_3.low):
v = ChanSignals.LI0.value
#
v = ChanSignals.LI0.value # k3='基础形态', v1='类三买', v2='七笔'
elif bi_7.direction == 1:
# 顶背驰
if bi_1.low == min_low and bi_7.high == max_high:
# aAbcd式顶背驰
if bi_6.low > min(bi_2.high, bi_4.high) > max(bi_2.low, bi_4.low) \
and bi_7.height < bi_5.height and bi_7.atan <= bi_5.atan:
v = ChanSignals.SA0.value
v = ChanSignals.SA0.value # k3='基础形态', v1='顶背驰', v2='七笔aAbcd式'
# abcAd式顶背驰
if min(bi_4.high, bi_6.high) > max(bi_4.low, bi_6.low) > bi_2.high \
and bi_7.height < (bi_3.high - bi_1.low) \
and bi_7.atan < (bi_1.atan + bi_3.atan) / 2:
v = ChanSignals.SA0.value
v = ChanSignals.SA0.value # k3='基础形态', v1='顶背驰', v2='七笔abcAd式'
# aAb式顶背驰
if min(bi_2.high, bi_4.high, bi_6.high) > max(bi_2.low, bi_4.low, bi_6.low) \
and bi_7.height < bi_1.height and bi_7.atan <= bi_1.atan:
v = ChanSignals.SA0.value
v = ChanSignals.SA0.value # k3='基础形态', v1='顶背驰', v2='七笔aAb式'
# 类趋势顶背驰
if bi_2.high < bi_4.low and bi_4.high < bi_6.low \
and bi_7.height < max(bi_5.height, bi_3.height, bi_1.height)\
and bi_7.height < max(bi_5.height, bi_3.height, bi_1.height) \
and bi_7.atan < max(bi_5.atan, bi_3.atan, bi_1.atan):
v = ChanSignals.SA0.value
v = ChanSignals.SA0.value # k3='基础形态', v1='顶背驰', v2='七笔类趋势'
# 向下中枢完成
if bi_4.high == max_high and min(bi_1.high, bi_3.high) > max(bi_1.low, bi_3.low) \
and min(bi_5.high, bi_7.high) > max(bi_5.low, bi_7.low) \
and min(bi_4.low, bi_6.low) < max(bi_3.low, bi_4.low):
if min(bi_1.high, bi_3.high) > min(bi_5.low, bi_7.low):
v = ChanSignals.SH0.value
v = ChanSignals.SH0.value # k3='基础形态', v1='向下中枢完成', v2='七笔'
# 七笔三卖，567回调，中枢可能在1~3
# 七笔三卖，567回调 1~3构成中枢，最高点在1~3，最低点在5~7，5~7的最高点小于1~3的最低点
if bi_5.low == min_low and bi_5.low < bi_7.low \
and min(bi_1.high, bi_3.high) > max(bi_1.low, bi_3.low) > bi_7.high > bi_5.high:
v = ChanSignals.SI0.value
v = ChanSignals.SI0.value # k3='基础形态', v1='类三卖', v2='七笔'
return v
def check_chan_xt_nine_bi(kline: CtaLineBar, bi_list: List[ChanObject]):
def check_chan_xt_nine_bi(kline, bi_list: List[ChanObject]):
"""
获取线段得形态（9分笔）
获取线段得买卖点（9分笔）
:param cur_duan:
:return:
"""
@ -460,72 +545,126 @@ def check_chan_xt_nine_bi(kline: CtaLineBar, bi_list: List[ChanObject]):
# 依据最后一笔得方向进行判断
if direction == -1:
if min_low == bi_9.low and max_high == bi_1.high:
# aAbBc式底背驰
if min(bi_2.high, bi_4.high) > max(bi_2.low, bi_4.low) > bi_6.high \
and min(bi_6.high, bi_8.high) > max(bi_6.low, bi_8.low) \
and min(bi_2.low, bi_4.low) > max(bi_6.high, bi_8.high) \
and bi_9.height < bi_5.height and bi_7.atan <= bi_5.atan:
v = ChanSignals.LA0.value
# aAb式底背驰
# aAb式类一买
if min(bi_2.high, bi_4.high, bi_6.high, bi_8.high) > max(bi_2.low, bi_4.low, bi_6.low, bi_8.low) \
and bi_9.height < bi_1.height and bi_9.atan <= bi_1.atan \
and bi_3.low >= bi_1.low and bi_7.high <= bi_9.high:
v = ChanSignals.LA0.value
return ChanSignals.Q1L0.value # k3='类买卖点', v1='类一买', v2='九笔aAb式'
# aAbcd式底背驰
# aAbcd式类一买
if min(bi_2.high, bi_4.high, bi_6.high) > max(bi_2.low, bi_4.low, bi_6.low) > bi_8.high \
and bi_9.height < bi_7.height and bi_9.atan <= bi_7.atan:
v = ChanSignals.LA0.value
return ChanSignals.Q1L0.value # k3='类买卖点', v1='类一买', v2='九笔aAbcd式'
# ABC式底背驰
# ABC式类一买
if bi_3.low < bi_1.low and bi_7.high > bi_9.high \
and min(bi_4.high, bi_6.high) > max(bi_4.low, bi_6.low) \
and (bi_1.high - bi_3.low) > (bi_7.high - bi_9.low):
v = ChanSignals.LA0.value
return ChanSignals.Q1L0.value # k3='类买卖点', v1='类一买', v2='九笔ABC式'
# 九笔三买(789回调）中枢可能在3~7内
if min_low == bi_1.low and max_high == bi_9.high \
and bi_9.low > min([x.high for x in [bi_3, bi_5, bi_7]]) > max([x.low for x in [bi_3, bi_5, bi_7]]):
v = ChanSignals.LI0.value
# 类趋势一买
if bi_8.high < bi_6.low < bi_6.high < bi_4.high < bi_2.low \
and bi_9.atan < max([bi_1.atan, bi_3.atan, bi_5.atan, bi_7.atan]):
return ChanSignals.Q1L0.value # k3='类买卖点', v1='类一买', v2='九笔类趋势'
# 9笔 aAbBc式类一买（2~4构成中枢A，6~8构成中枢B，9背驰）
if max_high == max(bi_1.high, bi_3.high) and min_low == bi_9.low \
and min(bi_2.high, bi_4.high) > max(bi_2.low, bi_4.low) > bi_6.high \
and min(bi_6.high, bi_8.high) > max(bi_6.low, bi_8.low) \
and min(bi_2.low, bi_4.low) > max(bi_6.high, bi_8.high) \
and bi_9.height < bi_5.height and bi_9.atan <= bi_5.atan:
return ChanSignals.Q1L0.value # k3='类买卖点', v1='类一买', v2='九笔aAb式')
# 九笔GG 类三买（1357构成中枢，最低点在3或5）
if max_high == bi_9.high > bi_9.low \
> max([x.high for x in [bi_1, bi_3, bi_5, bi_7]]) \
> min([x.high for x in [bi_1, bi_3, bi_5, bi_7]]) \
> max([x.low for x in [bi_1, bi_3, bi_5, bi_7]]) \
> min([x.low for x in [bi_3, bi_5]]) == min_low:
return ChanSignals.Q3L0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类三买', v2='九笔GG三买')
# 类三买（357构成中枢，8的力度小于2，9回调不跌破GG构成三买）
if bi_8.height < bi_2.height and max_high == bi_9.high > bi_9.low \
> max([x.high for x in [bi_3, bi_5, bi_7]]) \
> min([x.high for x in [bi_3, bi_5, bi_7]]) \
> max([x.low for x in [bi_3, bi_5, bi_7]]) > bi_1.low == min_low:
return ChanSignals.Q3L0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类三买', v2='九笔GG三买')
# # 九笔三买(789回调）中枢可能在3~7内
# if min_low == bi_1.low and max_high == bi_9.high \
# and bi_9.low > min([x.high for x in [bi_3, bi_5, bi_7]]) > max([x.low for x in [bi_3, bi_5, bi_7]]):
# v = ChanSignals.Q3L0.value
if min_low == bi_5.low and max_high == bi_1.high and bi_4.high < bi_2.low: # 前五笔构成向下类趋势
zd = max([x.low for x in [bi_5, bi_7]])
zg = min([x.high for x in [bi_5, bi_7]])
gg = max([x.high for x in [bi_5, bi_7]])
if zg > zd and bi_8.high > gg: # 567构成中枢，且8的高点大于gg
if bi_9.low > zg:
return ChanSignals.Q3L0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类三买', v2='九笔ZG三买')
# 类二买
if bi_9.high > gg > zg > bi_9.low > zd:
return ChanSignals.Q2L0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类二买', v2='九笔')
elif direction == 1:
if max_high == bi_9.high and min_low == bi_1.low:
# aAbBc式顶背驰
if bi_6.low > min(bi_2.high, bi_4.high) > max(bi_2.low, bi_4.low) \
and min(bi_6.high, bi_8.high) > max(bi_6.low, bi_8.low) \
and max(bi_2.high, bi_4.high) < min(bi_6.low, bi_8.low) \
and bi_9.height < bi_5.height and bi_9.atan <= bi_5.atan:
v = ChanSignals.SA0.value
# aAb式顶背驰
# 倒9笔是最高点，倒一笔是最低点
if max_high == bi_9.high and min_low == bi_1.low:
# aAb式类一卖
if min(bi_2.high, bi_4.high, bi_6.high, bi_8.high) > max(bi_2.low, bi_4.low, bi_6.low, bi_8.low) \
and bi_9.height < bi_1.height and bi_9.atan <= bi_1.atan \
and bi_3.high <= bi_1.high and bi_7.low >= bi_9.low:
v = ChanSignals.SA0.value
return ChanSignals.Q1S0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类一卖', v2='九笔aAb式')
# aAbcd式顶背驰
# aAbcd式类一卖
if bi_8.low > min(bi_2.high, bi_4.high, bi_6.high) > max(bi_2.low, bi_4.low, bi_6.low) \
and bi_9.height < bi_7.height and bi_9.atan <= bi_7.atan:
v = ChanSignals.SA0.value
return ChanSignals.Q1S0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类一卖', v2='九笔aAbcd式')
# ABC式顶背驰
# ABC式类一卖
if bi_3.high > bi_1.high and bi_7.low < bi_9.low \
and min(bi_4.high, bi_6.high) > max(bi_4.low, bi_6.low) \
and (bi_3.high - bi_1.low) > (bi_9.high - bi_7.low):
v = ChanSignals.SA0.value
return ChanSignals.Q1S0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类一卖', v2='九笔ABC式')
# 九笔三卖
# 类趋势类一卖
if bi_8.low > bi_6.high > bi_6.low > bi_4.high > bi_4.low > bi_2.high \
and bi_9.atan < max([bi_1.atan, bi_3.atan, bi_5.atan, bi_7.atan]):
return ChanSignals.Q1S0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类一卖', v2='九笔类趋势')
# aAbBc式类一卖
if max_high == bi_9.high and min_low == min(bi_1.low, bi_3.low) \
and bi_6.low > min(bi_2.high, bi_4.high) > max(bi_2.low, bi_4.low) \
and min(bi_6.high, bi_8.high) > max(bi_6.low, bi_8.low) \
and max(bi_2.high, bi_4.high) < min(bi_6.low, bi_8.low) \
and bi_9.height < bi_5.height and bi_9.atan <= bi_5.atan:
return ChanSignals.Q1S0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类一卖', v2='九笔aAbBc式')
# 九笔类三卖
if max_high == bi_1.high and min_low == bi_9.low \
and bi_9.high < max([x.low for x in [bi_3, bi_5, bi_7]]) < min([x.high for x in [bi_3, bi_5, bi_7]]):
v = ChanSignals.SI0.value
return ChanSignals.Q3S0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类三卖', v2='九笔')
if min_low == bi_1.low and max_high == bi_5.high and bi_2.high < bi_4.low: # 前五笔构成向上类趋势
zd = max([x.low for x in [bi_5, bi_7]])
zg = min([x.high for x in [bi_5, bi_7]])
dd = min([x.low for x in [bi_5, bi_7]])
if zg > zd and bi_8.low < dd: # 567构成中枢，且8的低点小于dd
if bi_9.high < zd:
return ChanSignals.Q3S0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类三卖', v2='九笔ZD三卖')
# 类二卖
if dd < zd <= bi_9.high < zg:
return ChanSignals.Q2S0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类二卖', v2='九笔')
return v
def check_chan_xt_eleven_bi(kline: CtaLineBar, bi_list: List[ChanObject]):
def check_chan_xt_eleven_bi(kline, bi_list: List[ChanObject]):
"""
获取线段得背驰形态（含11个分笔）
获取线段得的类买卖点（含11个分笔）
:param cur_duan:
:return:
"""
@ -538,95 +677,126 @@ def check_chan_xt_eleven_bi(kline: CtaLineBar, bi_list: List[ChanObject]):
max_high = max([x.high for x in bi_list])
min_low = min([x.low for x in bi_list])
# 11笔向下，寻找买点
if direction == -1:
# 1笔最高，11笔最低
if min_low == bi_11.low and max_high == bi_1.high:
# aAbBc式底背驰，bi_2-bi_6构成A
if min(bi_2.high, bi_4.high, bi_6.high) > max(bi_2.low, bi_4.low, bi_6.low) > bi_8.high \
and min(bi_8.high, bi_10.high) > max(bi_8.low, bi_10.low) \
and min(bi_2.low, bi_4.low, bi_6.low) > max(bi_8.high, bi_10.high) \
and bi_11.height < bi_7.height and bi_11.atan <= bi_7.atan:
v = ChanSignals.LA0.value
# aAbBc式底背驰，bi_6-bi_10构成B
if min(bi_2.high, bi_4.high) > max(bi_2.low, bi_4.low) > bi_6.high \
and min(bi_6.high, bi_8.high, bi_10.high) > max(bi_6.low, bi_8.low, bi_10.low) \
and min(bi_2.low, bi_4.low) > max(bi_6.high, bi_8.high, bi_10.high) \
and bi_11.height < bi_5.height and bi_11.atan <= bi_5.atan:
v = ChanSignals.LA0.value
# ABC式底背驰，A5B3C3
# ABC式类一买，A5B3C3
if bi_5.low == min([x.low for x in [bi_1, bi_3, bi_5]]) \
and bi_9.low > bi_11.low and bi_9.high > bi_11.high \
and bi_8.high > bi_6.low and bi_1.high - bi_5.low > bi_9.high - bi_11.low:
v = ChanSignals.LA0.value
# C内部背驰
if bi_11.height < bi_9.height:
v = ChanSignals.LB0.value
return ChanSignals.Q1L0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类一买', v2="11笔A5B3C3式")
# ABC式底背驰，A3B3C5
# ABC式类一买，A3B3C5
if bi_1.high > bi_3.high and bi_1.low > bi_3.low \
and bi_7.high == max([x.high for x in [bi_7, bi_9, bi_11]]) \
and bi_6.high > bi_4.low and bi_1.high - bi_3.low > bi_7.high - bi_11.low:
v = ChanSignals.LA0.value
# C内部背驰
if bi_11.height < max(bi_9.height, bi_7.height) and bi_11.atan <= max(bi_9.atan, bi_7.atan):
v = ChanSignals.LB0.value
return ChanSignals.Q1L0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类一买', v2="11笔A3B3C5式")
# ABC式底背驰，A3B5C3
# ABC式类一买，A3B5C3
if bi_1.low > bi_3.low and min(bi_4.high, bi_6.high, bi_8.high) > max(bi_4.low, bi_6.low, bi_8.low) \
and bi_9.high > bi_11.high and bi_1.high - bi_3.low > bi_9.high - bi_11.low:
v = ChanSignals.LA0.value
# C内部背驰
if bi_11.height < max(bi_9.height, bi_7.height) and bi_11.atan <= max(bi_9.atan, bi_7.atan):
v = ChanSignals.LB0.value
v = ChanSignals.Q1L0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类一买', v2="11笔A3B5C3式")
# a1Ab式类一买，a1（1~7构成的类趋势）
if bi_2.low > bi_4.high > bi_4.low > bi_6.high > bi_5.low > bi_7.low and bi_10.high > bi_8.low:
return ChanSignals.Q1L0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类一买', v2="11笔a1Ab式")
# 类二买：1~9构成类趋势，11不创新低,斜率低于9
if min_low == bi_9.low < bi_8.high < bi_6.low < bi_6.high < bi_4.low < bi_4.high < bi_2.low < bi_1.high == max_high \
and bi_11.low > bi_9.low and bi_9.atan > bi_11.atan:
return ChanSignals.Q2L0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类二买', v2="11笔")
# 类二买（1~7构成盘整背驰，246构成下跌中枢，9/11构成上涨中枢，且上涨中枢ZG大于下跌中枢ZG）
if bi_7.atan < bi_1.atan and min_low == bi_7.low < max([x.low for x in [bi_2, bi_4, bi_6]]) \
< min([x.high for x in [bi_2, bi_4, bi_6]]) < max(
[x.high for x in [bi_9, bi_11]]) < bi_1.high == max_high \
and bi_11.low > min([x.low for x in [bi_2, bi_4, bi_6]]) \
and min([x.high for x in [bi_9, bi_11]]) > max([x.low for x in [bi_9, bi_11]]):
return ChanSignals.Q2L0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类二买', v2="11笔")
# 类二买（1~7为区间极值，9~11构成上涨中枢，上涨中枢GG大于4~6的最大值，上涨中枢DD大于4~6的最小值）
if max_high == bi_1.high and min_low == bi_7.low \
and min(bi_9.high, bi_11.high) > max(bi_9.low, bi_11.low) \
and max(bi_11.high, bi_9.high) > max(bi_4.high, bi_6.high) \
and min(bi_9.low, bi_11.low) > min(bi_4.low, bi_6.low):
return ChanSignals.Q2L0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类二买', v2="11笔")
# 类三买（1~9构成大级别中枢，10离开，11回调不跌破GG）
gg = max([x.high for x in [bi_1, bi_2, bi_3]])
zg = min([x.high for x in [bi_1, bi_2, bi_3]])
zd = max([x.low for x in [bi_1, bi_2, bi_3]])
dd = min([x.low for x in [bi_1, bi_2, bi_3]])
if max_high == bi_11.high and bi_11.low > zg > zd \
and gg > bi_5.low and gg > bi_7.low and gg > bi_9.low \
and dd < bi_5.high and dd < bi_7.high and dd < bi_9.high:
return ChanSignals.Q3L0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类三买', v2="11笔GG三买")
# 11笔向上，寻找卖点
elif direction == 1:
# 1笔最低，11笔最高
if max_high == bi_11.high and min_low == bi_1.low:
# aAbBC式顶背驰，bi_2-bi_6构成A
if bi_8.low > min(bi_2.high, bi_4.high, bi_6.high) >= max(bi_2.low, bi_4.low, bi_6.low) \
and min(bi_8.high, bi_10.high) >= max(bi_8.low, bi_10.low) \
and max(bi_2.high, bi_4.high, bi_6.high) < min(bi_8.low, bi_10.low) \
and bi_11.height < bi_7.height and bi_11.atan <= bi_7.atan:
v = ChanSignals.SA0.value
# aAbBC式顶背驰，bi_6-bi_10构成B
if bi_6.low > min(bi_2.high, bi_4.high) >= max(bi_2.low, bi_4.low) \
and min(bi_6.high, bi_8.high, bi_10.high) >= max(bi_6.low, bi_8.low, bi_10.low) \
and max(bi_2.high, bi_4.high) < min(bi_6.low, bi_8.low, bi_10.low) \
and bi_11.height < bi_7.height and bi_11.atan <= bi_7.atan:
v = ChanSignals.SA0.value
# ABC式顶背驰，A5B3C3
if bi_5.high == max([bi_1.high, bi_3.high, bi_5.high]) and bi_9.low < bi_11.low and bi_9.high < bi_11.high \
and bi_8.low < bi_6.high and bi_11.high - bi_9.low < bi_5.high - bi_1.low:
v = ChanSignals.SA0.value
# C内部背驰
if bi_11.height < bi_9.height and bi_11.atan <= bi_9.atan:
v = ChanSignals.SB0.value
return ChanSignals.Q1S0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类一卖', v2="11笔A5B3C3式")
# ABC式顶背驰，A3B3C5
if bi_7.low == min([bi_11.low, bi_9.low, bi_7.low]) and bi_1.high < bi_3.high and bi_1.low < bi_3.low \
and bi_6.low < bi_4.high and bi_11.high - bi_7.low < bi_3.high - bi_1.low:
v = ChanSignals.SA0.value
# C内部背驰
if bi_11.height < max(bi_9.height, bi_7.height) and bi_11.atan <= max(bi_9.atan, bi_7.atan):
v = ChanSignals.SB0.value
return ChanSignals.Q1S0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类一卖', v2="11笔A3B3C5式")
# ABC式顶背驰，A3B5C3
if bi_1.high < bi_3.high and min(bi_4.high, bi_6.high, bi_8.high) > max(bi_4.low, bi_6.low, bi_8.low) \
and bi_9.low < bi_11.low and bi_3.high - bi_1.low > bi_11.high - bi_9.low:
v = ChanSignals.SA0.value
# C内部背驰
if bi_11.height < max(bi_9.height, bi_7.height) and bi_11.atan <= max(bi_9.atan, bi_7.atan):
v = ChanSignals.SB0.value
return ChanSignals.Q1S0.value
# a1Ab式类一卖，a1（1~7构成的类趋势）
if bi_2.high < bi_4.low < bi_4.high < bi_6.low < bi_5.high < bi_7.high and bi_10.low < bi_8.high:
return ChanSignals.Q1S0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类一卖', v2="11笔a1Ab式")
# 类二卖：1~9构成类趋势，11不创新高
if max_high == bi_9.high > bi_8.low > bi_6.high > bi_6.low > bi_4.high > bi_4.low > bi_2.high > bi_1.low == min_low \
and bi_11.high < bi_9.high and bi_9.atan > bi_11.atan:
return ChanSignals.Q1S0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类二卖', v2="11笔")
# 类二卖（1~7构成盘整背驰，246构成上涨中枢，9/11构成下跌中枢，且下跌中枢DD小于上涨中枢ZD）
if bi_7.atan < bi_1.atan and max_high == bi_7.high \
> min([x.high for x in [bi_2, bi_4, bi_6]]) \
> max([x.low for x in [bi_2, bi_4, bi_6]]) \
> min([x.low for x in [bi_9, bi_11]]) \
> bi_1.low == min_low \
and bi_11.high < max([x.high for x in [bi_2, bi_4, bi_6]]) \
and max([x.low for x in [bi_9, bi_11]]) < min([x.high for x in [bi_9, bi_11]]):
return ChanSignals.Q2S0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类二卖', v2="11笔")
# 类二卖（1~7为区间极值，9~11构成下跌中枢，下跌中枢DD小于4~6的最小值，下跌中枢GG小于4~6的最大值）
if min_low == bi_1.low and max_high == bi_7.high \
and max(bi_9.low, bi_11.low) < min(bi_9.high, bi_11.high) \
and min(bi_11.low, bi_9.low) < min(bi_4.low, bi_6.low) \
and max(bi_9.high, bi_11.high) < max(bi_4.high, bi_6.high):
return ChanSignals.Q2S0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类二卖', v2="11笔")
# 类三卖（1~9构成大级别中枢，10离开，11回调不涨破DD）
gg = min([x.low for x in [bi_1, bi_2, bi_3]])
zg = max([x.low for x in [bi_1, bi_2, bi_3]])
zd = min([x.high for x in [bi_1, bi_2, bi_3]])
dd = max([x.high for x in [bi_1, bi_2, bi_3]])
if min_low == bi_11.low and bi_11.high < zd < zg \
and dd < bi_5.high and dd < bi_7.high and dd < bi_9.high \
and gg > bi_5.low and gg > bi_7.low and gg > bi_9.low:
return ChanSignals.Q3S0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类三卖', v2="11笔GG三买")
return v
def check_chan_xt_thirteen_bi(kline: CtaLineBar, bi_list: List[ChanObject]):
def check_chan_xt_thirteen_bi(kline, bi_list: List[ChanObject]):
"""
获取线段得背驰形态（含13个分笔）
:param cur_duan:
获取线段得形态（含13个分笔）
:param kline:
:param bi_list: 由远及近的十三笔
:return:
"""
v = ChanSignals.Other.value
@ -641,78 +811,48 @@ def check_chan_xt_thirteen_bi(kline: CtaLineBar, bi_list: List[ChanObject]):
# 下跌线段时，判断背驰类型
if direction == -1:
if min_low == bi_13.low and max_high == bi_1.high:
# aAbBc式底背驰，bi_2-bi_6构成A，bi_8-bi_12构成B
if min(bi_2.high, bi_4.high, bi_6.high) > max(bi_2.low, bi_4.low, bi_6.low) > bi_8.high \
and min(bi_8.high, bi_10.high, bi_12.high) > max(bi_8.low, bi_10.low, bi_12.low) \
and min(bi_2.low, bi_4.low, bi_6.low) > max(bi_8.high, bi_10.high, bi_12.high) \
and bi_13.height < bi_7.height and bi_13.atan <= bi_7.atan:
v = ChanSignals.LA0.value
# ABC式底背驰，A5B3C5
# ABC式类一买，A5B3C5
if bi_5.low < min(bi_1.low, bi_3.low) and bi_9.high > max(bi_11.high, bi_13.high) \
and bi_8.high > bi_6.low and bi_1.high - bi_5.low > bi_9.high - bi_13.low:
v = ChanSignals.LA0.value
return ChanSignals.Q1L0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类一买', v2="13笔A5B3C5式")
if bi_13.height < max(bi_11.height, bi_9.height) and bi_13.atan <= max(bi_11.atan, bi_9.atan):
v = ChanSignals.LB0.value
# ABC式底背驰，A3B5C5
# ABC式类一买，A3B5C5
if bi_3.low < min(bi_1.low, bi_5.low) and bi_9.high > max(bi_11.high, bi_13.high) \
and min(bi_4.high, bi_6.high, bi_8.high) > max(bi_4.low, bi_6.low, bi_8.low) \
and bi_1.high - bi_3.low > bi_9.high - bi_13.low:
v = ChanSignals.LA0.value
if bi_13.height < max(bi_11.height, bi_9.height) and bi_13.atan <= max(bi_11.atan, bi_9.atan):
v = ChanSignals.LB0.value
return ChanSignals.Q1L0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类一买', v2="13笔A3B5C5式")
# ABC式底背驰，A5B5C3
if bi_5.low < min(bi_1.low, bi_3.low) and bi_11.high > max(bi_9.high, bi_13.high) \
and min(bi_6.high, bi_8.high, bi_10.high) > max(bi_6.low, bi_8.low, bi_10.low) \
and bi_1.high - bi_5.low > bi_11.high - bi_13.low:
v = ChanSignals.LA0.value
if bi_13.height < bi_11.height and bi_13.atan <= bi_11.atan:
v = ChanSignals.LB0.value
return ChanSignals.Q1L0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类一买', v2="13笔A5B5C3式")
# 上涨线段时，判断背驰类型
elif direction == 1:
if max_high == bi_13.high and min_low == bi_1.low:
# aAbBC式顶背驰，bi_2-bi_6构成A，bi_8-bi_12构成B
if bi_8.low > min(bi_2.high, bi_4.high, bi_6.high) >= max(bi_2.low, bi_4.low, bi_6.low) \
and min(bi_8.high, bi_10.high, bi_12.high) >= max(bi_8.low, bi_10.low, bi_12.low) \
and max(bi_2.high, bi_4.high, bi_6.high) < min(bi_8.low, bi_10.low, bi_12.low) \
and bi_13.height < bi_7.height and bi_13.atan <= bi_7.atan:
v = ChanSignals.SA0.value
# ABC式顶背驰，A5B3C5
if bi_5.high > max(bi_3.high, bi_1.high) and bi_9.low < min(bi_11.low, bi_13.low) \
and bi_8.low < bi_6.high and bi_5.high - bi_1.low > bi_13.high - bi_9.low:
v = ChanSignals.SA0.value
# C内部顶背驰，形成双重顶背驰
if bi_13.height < max(bi_11.height, bi_9.height) and bi_13.atan <= max(bi_11.atan, bi_9.atan):
v = ChanSignals.SB0.value
return ChanSignals.Q1S0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类一卖', v2="13笔A5B3C5式")
# ABC式顶背驰，A3B5C5
if bi_3.high > max(bi_5.high, bi_1.high) and bi_9.low < min(bi_11.low, bi_13.low) \
and min(bi_4.high, bi_6.high, bi_8.high) > max(bi_4.low, bi_6.low, bi_8.low) \
and bi_3.high - bi_1.low > bi_13.high - bi_9.low:
v = ChanSignals.SA0.value
# C内部顶背驰，形成双重顶背驰
if bi_13.height < max(bi_11.height, bi_9.height) and bi_13.atan <= max(bi_11.atan, bi_9.atan):
v = ChanSignals.SB0.value
return ChanSignals.Q1S0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类一卖', v2="13笔A3B5C5式")
# ABC式顶背驰，A5B5C3
if bi_5.high > max(bi_3.high, bi_1.high) and bi_11.low < min(bi_9.low, bi_13.low) \
and min(bi_6.high, bi_8.high, bi_10.high) > max(bi_6.low, bi_8.low, bi_10.low) \
and bi_5.high - bi_1.low > bi_13.high - bi_11.low:
v = ChanSignals.SA0.value
# C内部顶背驰，形成双重顶背驰
if bi_13.height < bi_11.height and bi_13.atan <= bi_11.atan:
v = ChanSignals.SB0.value
return ChanSignals.Q1S0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类一卖', v2="13笔A5B5C3式")
return v
def check_pzbc_1st(big_kline: CtaLineBar, small_kline: Union[CtaLineBar, None], signal_direction: Direction):
# def check_pzbc_1st(big_kline, small_kline: Union[CtaLineBar, None], signal_direction: Direction):
def check_pzbc_1st(big_kline, small_kline, signal_direction: Direction):
"""
判断中枢盘整背驰1买/1卖信号
big_kline当前线段为调整段，与信号方向相反，线段具有盘整一个中枢，
@ -806,7 +946,8 @@ def check_pzbc_1st(big_kline: CtaLineBar, small_kline: Union[CtaLineBar, None],
return False
def check_qsbc_1st(big_kline: CtaLineBar, small_kline: Union[CtaLineBar, None], signal_direction: Direction):
# def check_qsbc_1st(big_kline, small_kline: Union[CtaLineBar, None], signal_direction: Direction):
def check_qsbc_1st(big_kline, small_kline, signal_direction: Direction):
"""
判断趋势背驰1买/1卖信号
big_kline当前线段为趋势，与信号方向相反，线段具有2个中枢，
@ -890,7 +1031,8 @@ def check_qsbc_1st(big_kline: CtaLineBar, small_kline: Union[CtaLineBar, None],
return False
def check_pz3bc_1st(big_kline: CtaLineBar, small_kline: Union[CtaLineBar, None], signal_direction: Direction):
# def check_pz3bc_1st(big_kline, small_kline: Union[CtaLineBar, None], signal_direction: Direction):
def check_pz3bc_1st(big_kline, small_kline, signal_direction: Direction):
"""
判断三卖后盘整背驰一买/三买后盘整背驰1卖信号
big_kline当前线段与信号方向相反，线段具有盘整一个中枢，离开中枢的一笔力度与三买/卖信号后的一笔对比（高度、斜率）
@ -966,7 +1108,8 @@ def check_pz3bc_1st(big_kline: CtaLineBar, small_kline: Union[CtaLineBar, None],
return False
def check_qjt_1st(big_kline: CtaLineBar, small_kline: Union[CtaLineBar, None], signal_direction: Direction):
# def check_qjt_1st(big_kline, small_kline: Union[CtaLineBar, None], signal_direction: Direction):
def check_qjt_1st(big_kline, small_kline, signal_direction: Direction):
"""
判断区间套一买/区间套1卖信号
big_kline当前线段与信号方向相反，线段具有盘整一个中枢，
@ -1038,7 +1181,8 @@ def check_qjt_1st(big_kline: CtaLineBar, small_kline: Union[CtaLineBar, None], s
return False
def check_qsbc_2nd(big_kline: CtaLineBar, small_kline: Union[CtaLineBar, None], signal_direction: Direction):
# def check_qsbc_2nd(big_kline, small_kline: Union[CtaLineBar, None], signal_direction: Direction):
def check_qsbc_2nd(big_kline, small_kline, signal_direction: Direction):
"""
判断趋势背驰1买/1卖后的二买、二卖信号
big_kline当前线段为趋势，与信号方向相反，线段具有2个中枢，
@ -1136,8 +1280,9 @@ def check_qsbc_2nd(big_kline: CtaLineBar, small_kline: Union[CtaLineBar, None],
return True
def check_zs_3rd(big_kline: CtaLineBar,
small_kline: Union[CtaLineBar, None],
# : Union[CtaLineBar, None]
def check_zs_3rd(big_kline,
small_kline,
signal_direction: Direction,
first_zs: bool = True,
all_zs: bool = True):
@ -1181,7 +1326,7 @@ def check_zs_3rd(big_kline: CtaLineBar,
zs_list = [zs for zs in big_kline.bi_zs_list[-3:] if zs.start >= big_kline.cur_duan.start]
zs_num = len(zs_list)
# 是否现在线段得首个中枢后的三买三卖
if first_zs and zs_num> 1:
if first_zs and zs_num > 1:
return False
else:
# 中枢需要与当前线段有交集[部分交集、或中枢完全在当前段内形成]

3
vnpy/data/stock/adjust_factor.py
View File

@ -112,7 +112,7 @@ def download_adjust_factor():
login_msg = bs.login()
if login_msg.error_code != '0':
print(f'证券宝登录错误代码:{login_msg.error_code}, 错误信息:{login_msg.error_msg}')
return
return None
for k, v in base_dict.items():
if v.get('类型') != '股票':
@ -127,6 +127,7 @@ def download_adjust_factor():
save_data_to_pkb2(factor_dict, cache_file_name)
print(f'保存除权除息至文件:{cache_file_name}')
return factor_dict
if __name__ == '__main__':
download_adjust_factor()

57
vnpy/gateway/pb/pb_gateway.py
View File

@ -415,7 +415,7 @@ class PbGateway(BaseGateway):
def process_timer_event(self, event) -> None:
""""""
self.count += 1
if self.count < 2:
if self.count < 5:
return
self.count = 0
@ -1116,10 +1116,26 @@ class PbTdApi(object):
'{}{}.dbf'.format(
PB_FILE_NAMES.get('accounts'),
self.trading_date)))
copy_dbf = os.path.abspath(os.path.join(self.account_folder,
'{}{}_{}.dbf'.format(
PB_FILE_NAMES.get('accounts'),
self.trading_date,
datetime.now().strftime('%H%M'))))
try:
if not os.path.exists(account_dbf):
return
if os.path.exists(copy_dbf):
os.remove(copy_dbf)
# =》转移至于新文件
os.rename(account_dbf, copy_dbf)
if not os.path.exists(copy_dbf):
return
# dbf => 资金帐号信息
self.gateway.write_log(f'扫描资金帐号信息:{account_dbf}')
table = dbf.Table(account_dbf, codepage='cp936')
self.gateway.write_log(f'扫描资金帐号信息:{copy_dbf}')
table = dbf.Table(copy_dbf, codepage='cp936')
table.open(dbf.READ_ONLY)
for data in table:
# ["资金账户"]
@ -1137,6 +1153,8 @@ class PbTdApi(object):
table.close()
self.warning_dict.pop('query_account', None)
if os.path.exists(copy_dbf):
os.remove(copy_dbf)
except Exception as ex:
err_msg = f'dbf扫描资金帐号异常:{str(ex)}'
@ -1200,10 +1218,24 @@ class PbTdApi(object):
'{}{}.dbf'.format(
PB_FILE_NAMES.get('positions'),
self.trading_date)))
copy_dbf = os.path.abspath(os.path.join(self.account_folder,
'{}{}_{}.dbf'.format(
PB_FILE_NAMES.get('positions'),
self.trading_date,
datetime.now().strftime('%H%M'))))
try:
if not os.path.exists(position_dbf):
return
if os.path.exists(copy_dbf):
os.remove(copy_dbf)
os.rename(position_dbf, copy_dbf)
if not os.path.exists(copy_dbf):
return
# dbf => 股票持仓信息
self.gateway.write_log(f'扫描股票持仓信息:{position_dbf}')
table = dbf.Table(position_dbf, codepage='cp936')
self.gateway.write_log(f'扫描股票持仓信息:{copy_dbf}')
table = dbf.Table(copy_dbf, codepage='cp936')
table.open(dbf.READ_ONLY)
for data in table:
if str(data.zjzh).strip() != self.userid:
@ -1242,6 +1274,9 @@ class PbTdApi(object):
table.close()
self.warning_dict.pop('query_position', None)
if os.path.exists(copy_dbf):
os.remove(copy_dbf)
except Exception as ex:
err_msg = f'dbf扫描股票持仓异常:{str(ex)}'
@ -1325,6 +1360,8 @@ class PbTdApi(object):
PB_FILE_NAMES.get('orders'),
self.trading_date)))
try:
if not os.path.exists(orders_dbf):
return
# dbf => 股票委托信息
self.gateway.write_log(f'扫描股票委托信息:{orders_dbf}')
table = dbf.Table(orders_dbf, codepage='cp936')
@ -1506,8 +1543,9 @@ class PbTdApi(object):
'{}{}.dbf'.format(
PB_FILE_NAMES.get('update_orders'),
self.trading_date)))
# dbf => 所有委托记录
try:
if not os.path.exists(orders_dbf):
return
# dbf => 所有成交记录
self.gateway.write_log(f'扫描所有委托查询:{orders_dbf}')
table = dbf.Table(orders_dbf, codepage='cp936')
@ -1686,6 +1724,8 @@ class PbTdApi(object):
PB_FILE_NAMES.get('trades'),
self.trading_date)))
try:
if not os.path.exists(trades_dbf):
return
# dbf => 股票成交信息
self.gateway.write_log(f'扫描股票成交信息:{trades_dbf}')
table = dbf.Table(trades_dbf, codepage='cp936')
@ -1824,6 +1864,8 @@ class PbTdApi(object):
self.trading_date)))
try:
if not os.path.exists(trades_dbf):
return
# dbf => 所有成交记录
self.gateway.write_log(f'扫描所有成交记录:{trades_dbf}')
table = dbf.Table(trades_dbf, codepage='cp936')
@ -1981,6 +2023,9 @@ class PbTdApi(object):
dbf_file = os.path.abspath(os.path.join(self.order_folder,
'{}{}.dbf'.format(PB_FILE_NAMES.get('send_order'), self.trading_date)))
try:
if not os.path.exists(dbf_file):
return
table = dbf.Table(dbf_file, codepage='cp936')
table.open(dbf.READ_ONLY)
for record in table:

97
vnpy/trader/constant.py
View File

@ -214,85 +214,20 @@ class ChanSignals(Enum):
LB0 = "LB0~双重底背驰"
LG0 = "LG0~上颈线突破"
LH0 = "LH0~向上中枢完成"
LI0 = "LI0~三买"
LI0 = "LI0~类三买"
LJ0 = "LJ0~向上三角扩张中枢"
LK0 = "LK0~向上三角收敛中枢"
LL0 = "LL0~向上平台型中枢"
# ------------------------------------------------------------------------------------------------------------------
LA1 = "LA1~底背驰特例一"
LA2 = "LA2~底背驰特例二"
LA3 = "LA3~底背驰特例三"
LB1 = "LB1~双重底背驰特例一"
LB2 = "LB2~双重底背驰特例二"
LB3 = "LB3~双重底背驰特例三"
LG1 = "LG1~上颈线突破特例一"
LG2 = "LG2~上颈线突破特例二"
LG3 = "LG3~上颈线突破特例三"
LH1 = "LH1~向上中枢完成特例一"
LH2 = "LH2~向上中枢完成特例二"
LH3 = "LH3~向上中枢完成特例三"
LI1 = "LI1~三买特例一"
LI2 = "LI2~三买特例二"
LI3 = "LI3~三买特例三"
LJ1 = "LJ1~向上三角扩张中枢特例一"
LJ2 = "LJ2~向上三角扩张中枢特例二"
LJ3 = "LJ3~向上三角扩张中枢特例三"
LK1 = "LK1~向上三角收敛中枢特例一"
LK2 = "LK2~向上三角收敛中枢特例二"
LK3 = "LK3~向上三角收敛中枢特例三"
LL1 = "LL1~向上平台型中枢特例一"
LL2 = "LL2~向上平台型中枢特例二"
LL3 = "LL3~向上平台型中枢特例三"
# ------------------------------------------------------------------------------------------------------------------
SA0 = "SA0~顶背驰"
SB0 = "SB0~双重顶背驰"
SG0 = "SG0~下颈线突破"
SH0 = "SH0~向下中枢完成"
SI0 = "SI0~三卖"
SI0 = "SI0~类三卖"
SJ0 = "SJ0~向下三角扩张中枢"
SK0 = "SK0~向下三角收敛中枢"
SL0 = "SL0~向下平台型中枢"
# ------------------------------------------------------------------------------------------------------------------
SA1 = "SA1~顶背驰特例一"
SA2 = "SA2~顶背驰特例二"
SA3 = "SA3~顶背驰特例三"
SB1 = "SB1~双重顶背驰特例一"
SB2 = "SB2~双重顶背驰特例二"
SB3 = "SB3~双重顶背驰特例三"
SG1 = "SG1~下颈线突破特例一"
SG2 = "SG2~下颈线突破特例二"
SG3 = "SG3~下颈线突破特例三"
SH1 = "SH1~向下中枢完成特例一"
SH2 = "SH2~向下中枢完成特例二"
SH3 = "SH3~向下中枢完成特例三"
SI1 = "SI1~三卖特例一"
SI2 = "SI2~三卖特例二"
SI3 = "SI3~三卖特例三"
SJ1 = "SJ1~向下三角扩张中枢特例一"
SJ2 = "SJ2~向下三角扩张中枢特例二"
SJ3 = "SJ3~向下三角扩张中枢特例三"
SK1 = "SK1~向下三角收敛中枢特例一"
SK2 = "SK2~向下三角收敛中枢特例二"
SK3 = "SK3~向下三角收敛中枢特例三"
SL1 = "SL1~向下平台型中枢特例一"
SL2 = "SL2~向下平台型中枢特例二"
SL3 = "SL3~向下平台型中枢特例三"
# --------------------------------------------------------------------------------------------
# 信号值编码规则：
@ -304,16 +239,24 @@ class ChanSignals(Enum):
# 三笔形态信号
# --------------------------------------------------------------------------------------------
X3LA0 = "X3LA0~向下不重合"
X3LB0 = "X3LB0~向下奔走型中枢"
X3LC0 = "X3LC0~向下三角收敛中枢"
X3LD0 = "X3LD0~向下三角扩张中枢"
X3LE0 = "X3LE0~向下盘背中枢"
X3LF0 = "X3LF0~向下无背中枢"
X3LB0 = "X3LB0~向下奔走型"
X3LC0 = "X3LC0~向下收敛"
X3LD0 = "X3LD0~向下扩张"
X3LE0 = "X3LE0~向下盘背"
X3LF0 = "X3LF0~向下无背"
X3SA0 = "X3SA0~向上不重合"
X3SB0 = "X3SB0~向上奔走型中枢"
X3SC0 = "X3SC0~向上三角收敛中枢"
X3SD0 = "X3SD0~向上三角扩张中枢"
X3SE0 = "X3SE0~向上盘背中枢"
X3SF0 = "X3SF0~向上无背中枢"
X3SB0 = "X3SB0~向上奔走型"
X3SC0 = "X3SC0~向上收敛"
X3SD0 = "X3SD0~向上扩张"
X3SE0 = "X3SE0~向上盘背"
X3SF0 = "X3SF0~向上无背"
# 趋势类买卖点
Q1L0 = "Q1L0~趋势类一买"
Q2L0 = "Q2L0~趋势类二买"
Q3L0 = "Q2L0~趋势类三买"
Q1S0 = "Q1S0~趋势类一卖"
Q2S0 = "Q2S0~趋势类二卖"
Q3S0 = "Q2S0~趋势类三卖"

14
vnpy/trader/engine.py
View File

@ -171,6 +171,8 @@ class MainEngine:
gateway = self.get_gateway(gateway_name)
if gateway:
return gateway.get_default_setting()
else:
self.write_error(f'获取网格设置时，找不到{gateway_name}')
return None
def get_all_gateway_names(self) -> List[str]:
@ -209,6 +211,8 @@ class MainEngine:
except Exception as ex:
msg = f'gateway:{gateway_name}启动连接失败:{str(ex)}'
self.write_log(msg=msg)
else:
self.write_error(f'连接{gateway_name}时，系统找不到{gateway_name}')
def subscribe(self, req: SubscribeRequest, gateway_name: str) -> None:
"""
@ -219,6 +223,8 @@ class MainEngine:
gateway = self.get_gateway(gateway_name)
if gateway:
gateway.subscribe(req)
else:
self.write_error(f'订阅合约时，找不到{gateway_name}')
else:
for gateway in self.gateways.values():
if gateway:
@ -239,6 +245,7 @@ class MainEngine:
if gateway:
return gateway.send_order(req)
else:
self.write_error(f'发送委托时，找不到{gateway_name}')
return ""
def cancel_order(self, req: CancelRequest, gateway_name: str) -> bool:
@ -253,6 +260,8 @@ class MainEngine:
gateway = self.get_gateway(gateway_name)
if gateway:
return gateway.cancel_order(req)
else:
self.write_error(f'撤单时，找不到{gateway_name}')
return False
def send_orders(self, reqs: Sequence[OrderRequest], gateway_name: str) -> List[str]:
@ -263,6 +272,7 @@ class MainEngine:
if gateway:
return gateway.send_orders(reqs)
else:
self.write_error(f'批量发单时，找不到{gateway_name}')
return ["" for req in reqs]
def cancel_orders(self, reqs: Sequence[CancelRequest], gateway_name: str) -> None:
@ -271,6 +281,8 @@ class MainEngine:
gateway = self.get_gateway(gateway_name)
if gateway:
gateway.cancel_orders(reqs)
else:
self.write_error(f'批量撤单时，找不到{gateway_name}')
def query_history(self, req: HistoryRequest, gateway_name: str) -> Optional[List[BarData]]:
"""
@ -280,7 +292,7 @@ class MainEngine:
if gateway:
return gateway.query_history(req)
else:
self.write_error(f'网关为空，请检查合约得网关是否与连接得网关一致')
self.write_error(f'找不到网关{gateway_name}，请检查合约得网关是否与连接得网关一致')
return None
def close(self) -> None:

7
vnpy/trader/object.py
View File

@ -135,6 +135,7 @@ class OrderData(BaseData):
symbol: str
exchange: Exchange
orderid: str
name: str = ""
sys_orderid: str = ""
accountid: str = ""
type: OrderType = OrderType.LIMIT
@ -153,6 +154,8 @@ class OrderData(BaseData):
self.vt_symbol = f"{self.symbol}.{self.exchange.value}"
self.vt_orderid = f"{self.gateway_name}.{self.orderid}"
self.vt_accountid = f"{self.gateway_name}.{self.accountid}"
if len(self.name) == 0:
self.name = self.vt_symbol
def is_active(self) -> bool:
"""
@ -184,6 +187,7 @@ class TradeData(BaseData):
exchange: Exchange
orderid: str
tradeid: str
name: str = ""
sys_orderid: str = ""
accountid: str = ""
@ -208,7 +212,8 @@ class TradeData(BaseData):
self.vt_orderid = f"{self.gateway_name}.{self.orderid}"
self.vt_tradeid = f"{self.gateway_name}.{self.tradeid}"
self.vt_accountid = f"{self.gateway_name}.{self.accountid}"
if len(self.name) == 0:
self.name = self.vt_symbol
@dataclass
class PositionData(BaseData):

4
vnpy/trader/utility.py
View File

@ -347,6 +347,9 @@ def get_csv_last_dt(file_name, dt_index=0, dt_format='%Y-%m-%d %H:%M:%S', line_l
:param line_length: 行数据的长度
:return: None，文件不存在，或者时间格式不正确
"""
if not os.path.exists(file_name):
return False
with open(file_name, 'r') as f:
f_size = os.path.getsize(file_name)
if f_size < line_length:
@ -1442,3 +1445,4 @@ def get_remote_file(remote_ip, remote_file_path, mode='rb'):
except Exception as ex:
print(u'打开远程目录异常:{}'.format(str(ex)))
return None