From 9a5cdbe3e864b6e9da952cd915bd39983f745d85 Mon Sep 17 00:00:00 2001
From: "vn.py" <xiaoyou.chen@foxmail.com>
Date: Sun, 10 Nov 2019 16:11:05 +0800
Subject: [PATCH] [Add] statitical arbitrage strategy, close #1382

---
 .../statistical_arbitrage_strategy.py         | 176 ++++++++++++++++++
 1 file changed, 176 insertions(+)
 create mode 100644 vnpy/app/spread_trading/strategies/statistical_arbitrage_strategy.py

diff --git a/vnpy/app/spread_trading/strategies/statistical_arbitrage_strategy.py b/vnpy/app/spread_trading/strategies/statistical_arbitrage_strategy.py
new file mode 100644
index 00000000..173c12ec
--- /dev/null
+++ b/vnpy/app/spread_trading/strategies/statistical_arbitrage_strategy.py
@@ -0,0 +1,176 @@
+from vnpy.trader.utility import BarGenerator, ArrayManager
+from vnpy.app.spread_trading import (
+    SpreadStrategyTemplate,
+    SpreadAlgoTemplate,
+    SpreadData,
+    OrderData,
+    TradeData,
+    TickData,
+    BarData
+)
+
+
+class StatisticalArbitrageStrategy(SpreadStrategyTemplate):
+    """"""
+
+    author = "用Python的交易员"
+
+    boll_window = 20
+    boll_dev = 2
+    max_pos = 10
+    payup = 10
+    interval = 5
+
+    spread_pos = 0.0
+    boll_up = 0.0
+    boll_down = 0.0
+    boll_mid = 0.0
+
+    parameters = [
+        "boll_window",
+        "boll_dev",
+        "max_pos",
+        "payup",
+        "interval"
+    ]
+    variables = [
+        "spread_pos",
+        "boll_up",
+        "boll_down",
+        "boll_mid"
+    ]
+
+    def __init__(
+        self,
+        strategy_engine,
+        strategy_name: str,
+        spread: SpreadData,
+        setting: dict
+    ):
+        """"""
+        super().__init__(
+            strategy_engine, strategy_name, spread, setting
+        )
+
+        self.bg = BarGenerator(self.on_spread_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")
+
+        self.put_event()
+
+    def on_spread_data(self):
+        """
+        Callback when spread price is updated.
+        """
+        tick = self.get_spread_tick()
+        self.on_spread_tick(tick)
+
+    def on_spread_tick(self, tick: TickData):
+        """
+        Callback when new spread tick data is generated.
+        """
+        self.bg.update_tick(tick)
+
+    def on_spread_bar(self, bar: BarData):
+        """
+        Callback when spread bar data is generated.
+        """
+        self.am.update_bar(bar)
+        if not self.am.inited:
+            return
+
+        self.boll_mid = self.am.sma(self.boll_window)
+        self.boll_up, self.boll_down = self.am.boll(
+            self.boll_window, self.boll_dev)
+
+        if not self.spread_pos:
+            if bar.close_price >= self.boll_up:
+                self.start_short_algo(
+                    bar.close_price - 10,
+                    self.max_pos,
+                    payup=self.payup,
+                    interval=self.interval
+                )
+            elif bar.close_price <= self.boll_down:
+                self.start_long_algo(
+                    bar.close_price + 10,
+                    self.max_pos,
+                    payup=self.payup,
+                    interval=self.interval
+                )
+        elif self.spread_pos < 0:
+            if bar.close_price <= self.boll_mid:
+                self.start_long_algo(
+                    bar.close_price + 10,
+                    abs(self.spread_pos),
+                    payup=self.payup,
+                    interval=self.interval
+                )
+        else:
+            if bar.close_price >= self.boll_mid:
+                self.start_short_algo(
+                    bar.close_price - 10,
+                    abs(self.spread_pos),
+                    payup=self.payup,
+                    interval=self.interval
+                )
+
+    def on_spread_pos(self):
+        """
+        Callback when spread position is updated.
+        """
+        self.spread_pos = self.get_spread_pos()
+        self.put_event()
+
+    def on_spread_algo(self, algo: SpreadAlgoTemplate):
+        """
+        Callback when algo status is updated.
+        """
+        pass
+
+    def on_order(self, order: OrderData):
+        """
+        Callback when order status is updated.
+        """
+        pass
+
+    def on_trade(self, trade: TradeData):
+        """
+        Callback when new trade data is received.
+        """
+        pass
+
+    def stop_open_algos(self):
+        """"""
+        if self.buy_algoid:
+            self.stop_algo(self.buy_algoid)
+
+        if self.short_algoid:
+            self.stop_algo(self.short_algoid)
+
+    def stop_close_algos(self):
+        """"""
+        if self.sell_algoid:
+            self.stop_algo(self.sell_algoid)
+
+        if self.cover_algoid:
+            self.stop_algo(self.cover_algoid)