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Merge branch 'v2.0.1-DEV' of https://github.com/vnpy/vnpy into v2.0.1-DEV

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This commit is contained in:
vn.py 2019-03-29 16:14:01 +08:00
commit 9b216c1668
6 changed files with 31 additions and 31 deletions
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10
vnpy/app/cta_strategy/strategies/boll_channel_strategy.py
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@ -13,7 +13,7 @@ from vnpy.app.cta_strategy import (
class BollChannelStrategy(CtaTemplate):
""""""
author = '用Python的交易员'
author = "用Python的交易员"
boll_window = 18
boll_dev = 3.4
@ -32,10 +32,10 @@ class BollChannelStrategy(CtaTemplate):
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']
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):
""""""

6
vnpy/app/cta_strategy/strategies/double_ma_strategy.py
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@ -11,7 +11,7 @@ from vnpy.app.cta_strategy import (
class DoubleMaStrategy(CtaTemplate):
author = '用Python的交易员'
author = "用Python的交易员"
fast_window = 10
slow_window = 20
@ -22,8 +22,8 @@ class DoubleMaStrategy(CtaTemplate):
slow_ma0 = 0.0
slow_ma1 = 0.0
parameters = ['fast_window', 'slow_window']
variables = ['fast_ma0', 'fast_ma1', 'slow_ma0', 'slow_ma1']
parameters = ["fast_window", "slow_window"]
variables = ["fast_ma0", "fast_ma1", "slow_ma0", "slow_ma1"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""

18
vnpy/app/cta_strategy/strategies/dual_thrust_strategy.py
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@ -14,13 +14,13 @@ from vnpy.app.cta_strategy import (
class DualThrustStrategy(CtaTemplate):
""""""
author = u'用Python的交易员'
author = "用Python的交易员"
fixed_size = 1
k1 = 0.4
k2 = 0.6
barList = []
bars = []
day_open = 0
day_high = 0
@ -34,8 +34,8 @@ class DualThrustStrategy(CtaTemplate):
long_entered = False
short_entered = False
parameters = ['k1', 'k2', "fixed_size"]
variables = ['range', 'long_entry', 'short_entry', 'exit_time']
parameters = ["k1", "k2", "fixed_size"]
variables = ["range", "long_entry", "short_entry", "exit_time"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
@ -45,7 +45,7 @@ class DualThrustStrategy(CtaTemplate):
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
self.barList = []
self.bars = []
def on_init(self):
"""
@ -78,12 +78,12 @@ class DualThrustStrategy(CtaTemplate):
"""
self.cancel_all()
self.barList.append(bar)
if len(self.barList) <= 2:
self.bars.append(bar)
if len(self.bars) <= 2:
return
else:
self.barList.pop(0)
last_bar = self.barList[-2]
self.bars.pop(0)
last_bar = self.bars[-2]
if last_bar.datetime.date() != bar.datetime.date():
if self.day_high:

14
vnpy/app/cta_strategy/strategies/multi_signal_strategy.py
View File

@ -134,7 +134,7 @@ class MaSignal(CtaSignal):
class MultiSignalStrategy(TargetPosTemplate):
""""""
author = '用Python的交易员'
author = "用Python的交易员"
rsi_window = 14
rsi_level = 20
@ -145,9 +145,9 @@ class MultiSignalStrategy(TargetPosTemplate):
signal_pos = {}
parameters = ['rsi_window', 'rsi_level', 'cci_window',
'cci_level', 'fast_window', 'slow_window']
variables = ['signal_pos', 'target_pos']
parameters = ["rsi_window", "rsi_level", "cci_window",
"cci_level", "fast_window", "slow_window"]
variables = ["signal_pos", "target_pos"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
@ -210,9 +210,9 @@ class MultiSignalStrategy(TargetPosTemplate):
def calculate_target_pos(self):
""""""
self.signal_pos['rsi'] = self.rsi_signal.get_signal_pos()
self.signal_pos['cci'] = self.cci_signal.get_signal_pos()
self.signal_pos['ma'] = self.ma_signal.get_signal_pos()
self.signal_pos["rsi"] = self.rsi_signal.get_signal_pos()
self.signal_pos["cci"] = self.cci_signal.get_signal_pos()
self.signal_pos["ma"] = self.ma_signal.get_signal_pos()
target_pos = 0
for v in self.signal_pos.values():

12
vnpy/app/cta_strategy/strategies/multi_timeframe_strategy.py
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@ -12,7 +12,7 @@ from vnpy.app.cta_strategy import (
class MultiTimeframeStrategy(CtaTemplate):
""""""
author = '用Python的交易员'
author = "用Python的交易员"
rsi_signal = 20
rsi_window = 14
@ -27,12 +27,12 @@ class MultiTimeframeStrategy(CtaTemplate):
slow_ma = 0
ma_trend = 0
parameters = ['rsi_signal', 'rsi_window',
'fast_window', 'slow_window',
'fixed_size']
parameters = ["rsi_signal", "rsi_window",
"fast_window", "slow_window",
"fixed_size"]
variables = ['rsi_value', 'rsi_long', 'rsi_short',
'fast_ma', 'slow_ma', 'ma_trend']
variables = ["rsi_value", "rsi_long", "rsi_short",
"fast_ma", "slow_ma", "ma_trend"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""

2
vnpy/app/cta_strategy/strategies/test_strategy.py
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@ -12,7 +12,7 @@ from time import time
class TestStrategy(CtaTemplate):
""""""
author = '用Python的交易员'
author = "用Python的交易员"
test_trigger = 10