From a265deb3a160f0144a693ba64f02016d97e215ec Mon Sep 17 00:00:00 2001 From: msincenselee Date: Wed, 14 Apr 2021 16:04:15 +0800 Subject: [PATCH] =?UTF-8?q?[update]=20K=E7=BA=BF?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/component/cta_line_bar.py | 264 +++++----- vnpy/component/cta_renko_bar.py | 883 +++++++++++++++++++++++--------- 2 files changed, 770 insertions(+), 377 deletions(-) diff --git a/vnpy/component/cta_line_bar.py b/vnpy/component/cta_line_bar.py index 37085d6b..008ee431 100644 --- a/vnpy/component/cta_line_bar.py +++ b/vnpy/component/cta_line_bar.py @@ -493,13 +493,13 @@ class CtaLineBar(object): self.line_pre_high = [] # K线的前para_pre_len的的最高 self.line_pre_low = [] # K线的前para_pre_len的的最低 # 唐其安高点、低点清单（相当于缠论的分型） - self.tqn_high_list = [] # 所有的创新高的高点(分型）清单 { "price":xxx, "datetime": "yyyy-mm-dd HH:MM:SS"} - self.tqn_low_list = [] # 所有的创新低的低点（分型）清单 { "price":xxx, "datetime": "yyyy-mm-dd HH:MM:SS"} + self.tqa_high_list = [] # 所有的创新高的高点(分型）清单 { "price":xxx, "datetime": "yyyy-mm-dd HH:MM:SS"} + self.tqa_low_list = [] # 所有的创新低的低点（分型）清单 { "price":xxx, "datetime": "yyyy-mm-dd HH:MM:SS"} # 唐其安笔清单，相当与缠论的笔,最后一笔是未完成的 - self.tqn_bi_list = [] + self.tqa_bi_list = [] # 唐其安中枢清单，相当于缠论的中枢 - self.cur_tqn_zs = {} # 当前唐其安中枢。 - self.tqn_zs_list = [] + self.cur_tqa_zs = {} # 当前唐其安中枢。 + self.tqa_zs_list = [] self.line_ma1 = [] # K线的MA(para_ma1_len)均线，不包含未走完的bar self.line_ma2 = [] # K线的MA(para_ma2_len)均线，不包含未走完的bar @@ -1462,35 +1462,35 @@ class CtaLineBar(object): if len(self.line_macd) > 0: d.update({'macd': self.line_macd[-1]}) # 当前不存在最后的高点，创建一个 - if len(self.tqn_high_list) == 0: - self.tqn_high_list.append(d) + if len(self.tqa_high_list) == 0: + self.tqa_high_list.append(d) return # 如果存在最后的高点，最后的低点 - last_low_time = self.tqn_low_list[-1].get('datetime', None) if len(self.tqn_low_list) > 0 else None - last_high_time = self.tqn_high_list[-1].get('datetime', None) if len( - self.tqn_high_list) > 0 else None - last_high_price = self.tqn_high_list[-1].get('price') if len( - self.tqn_high_list) > 0 else None + last_low_time = self.tqa_low_list[-1].get('datetime', None) if len(self.tqa_low_list) > 0 else None + last_high_time = self.tqa_high_list[-1].get('datetime', None) if len( + self.tqa_high_list) > 0 else None + last_high_price = self.tqa_high_list[-1].get('price') if len( + self.tqa_high_list) > 0 else None # 低点的时间，比高点的时间更晚, 添加一个新的高点 if last_low_time is not None and last_high_time is not None and last_high_time < last_low_time: # 添加一个新的高点 - self.tqn_high_list.append(d) + self.tqa_high_list.append(d) # 创建一个未走完的笔，低点-> 高点 - self.create_tqn_bi(direction=Direction.LONG) + self.create_tqa_bi(direction=Direction.LONG) # 输出确定的一笔（高点->低点) =>csv文件 - self.export_tqn_bi() + self.export_tqa_bi() # 计算是否有中枢 - self.update_tqn_zs() + self.update_tqa_zs() return # 延续当前的高点 if pre_high > last_high_price: - self.tqn_high_list[-1].update(d) + self.tqa_high_list[-1].update(d) self.update_tnq_bi(point=d, direction=Direction.LONG) # 计算是否有中枢 - self.update_tqn_zs() + self.update_tqa_zs() # 产生新得低点 if pre_low < self.line_pre_low[-2] and pre_high == self.line_pre_high[-2]: @@ -1505,38 +1505,38 @@ class CtaLineBar(object): d.update({'macd': self.line_macd[-1]}) # 当前不存在最后的低点，创建一个 - if len(self.tqn_low_list) == 0: - self.tqn_low_list.append(d) + if len(self.tqa_low_list) == 0: + self.tqa_low_list.append(d) return # 如果存在最后的高点，最后的低点 - last_low_time = self.tqn_low_list[-1].get('datetime', None) if len( - self.tqn_low_list) > 0 else None - last_high_time = self.tqn_high_list[-1].get('datetime', None) if len( - self.tqn_high_list) > 0 else None - last_low_price = self.tqn_low_list[-1].get('price', None) if len( - self.tqn_low_list) > 0 else None + last_low_time = self.tqa_low_list[-1].get('datetime', None) if len( + self.tqa_low_list) > 0 else None + last_high_time = self.tqa_high_list[-1].get('datetime', None) if len( + self.tqa_high_list) > 0 else None + last_low_price = self.tqa_low_list[-1].get('price', None) if len( + self.tqa_low_list) > 0 else None # 高点的时间，比低点的时间更晚, 添加一个新的低点 if last_low_time is not None and last_high_time is not None and last_low_time < last_high_time: # 添加一个新的低点 - self.tqn_low_list.append(d) + self.tqa_low_list.append(d) # 创建一个未走完的笔， 高点->低点 - self.create_tqn_bi(direction=Direction.SHORT) + self.create_tqa_bi(direction=Direction.SHORT) # 输出确定的一笔（低点->高点) =>csv文件 - self.export_tqn_bi() + self.export_tqa_bi() # 计算是否有中枢 - self.update_tqn_zs() + self.update_tqa_zs() return # 延续当前的低点 if pre_low < last_low_price: - self.tqn_low_list[-1].update(d) + self.tqa_low_list[-1].update(d) self.update_tnq_bi(point=d, direction=Direction.SHORT) # 计算是否有中枢 - self.update_tqn_zs() + self.update_tqa_zs() - def create_tqn_bi(self, direction): + def create_tqa_bi(self, direction): """ 创建唐其安的笔，该笔未走完的 :param direction: 笔的方向 direction Direction.Long, Direction.Short @@ -1548,15 +1548,15 @@ class CtaLineBar(object): else: direction = -1 - if len(self.tqn_bi_list) > self.max_hold_bars: # 维持最大缓存数量 超过则删除最前面 - del self.tqn_bi_list[0] + if len(self.tqa_bi_list) > self.max_hold_bars: # 维持最大缓存数量 超过则删除最前面 + del self.tqa_bi_list[0] # 从低=>高得线段, self.line_low_list[-1] => self.line_high_list[-1] if direction == 1: - if len(self.tqn_low_list) < 1: + if len(self.tqa_low_list) < 1: return - low_point = self.tqn_low_list[-1] - high_point = self.tqn_high_list[-1] + low_point = self.tqa_low_list[-1] + high_point = self.tqa_high_list[-1] d = { "start": low_point.get('datetime'), "end": high_point.get('datetime'), @@ -1565,14 +1565,14 @@ class CtaLineBar(object): "high": high_point.get('price'), "low": low_point.get('price') } - self.tqn_bi_list.append(d) + self.tqa_bi_list.append(d) # 从高=>低得线段, self.line_high_list[-1] => self.line_low_list[-1] else: - if len(self.tqn_high_list) < 1: + if len(self.tqa_high_list) < 1: return - high_point = self.tqn_high_list[-1] - low_point = self.tqn_low_list[-1] + high_point = self.tqa_high_list[-1] + low_point = self.tqa_low_list[-1] d = { "start": high_point.get('datetime'), "end": low_point.get('datetime'), @@ -1581,7 +1581,7 @@ class CtaLineBar(object): "high": high_point.get('price'), "low": low_point.get('price') } - self.tqn_bi_list.append(d) + self.tqa_bi_list.append(d) def update_tnq_bi(self, point, direction): """ @@ -1590,7 +1590,7 @@ class CtaLineBar(object): :param direction: :return: """ - if len(self.tqn_bi_list) < 1: + if len(self.tqa_bi_list) < 1: return # Direction => int @@ -1599,7 +1599,7 @@ class CtaLineBar(object): else: direction = -1 - bi = self.tqn_bi_list[-1] + bi = self.tqa_bi_list[-1] if bi.get('direction') != direction: return # 方向为多 @@ -1617,7 +1617,7 @@ class CtaLineBar(object): "low": point.get('price'), }) - def export_tqn_bi(self): + def export_tqa_bi(self): """ 唐其安高点、低点形成的笔，输出.csv文件 start.end,direction,height,high,low @@ -1628,12 +1628,12 @@ class CtaLineBar(object): if self.export_tqa_bi_filename is None: return - if len(self.tqn_bi_list) < 2: + if len(self.tqa_bi_list) < 2: return # 直接插入倒数第二条记录，即已经走完的笔 self.append_data(file_name=self.export_tqa_bi_filename, - dict_data=self.tqn_bi_list[-2], + dict_data=self.tqa_bi_list[-2], field_names=["start", "end", "direction", "height", "high", "low"] ) @@ -1645,10 +1645,10 @@ class CtaLineBar(object): # # 从低=>高得线段, self.line_low_list[-2] => self.line_high_list[-1] # if direction == 1: - # if len(self.tqn_low_list) < 2: + # if len(self.tqa_low_list) < 2: # return - # low_point = self.tqn_low_list[-2] - # high_point = self.tqn_high_list[-1] + # low_point = self.tqa_low_list[-2] + # high_point = self.tqa_high_list[-1] # d = { # "start": low_point.get('datetime'), # "end": high_point.get('datetime'), @@ -1657,7 +1657,7 @@ class CtaLineBar(object): # "high": high_point.get('price'), # "low": low_point.get('price') # } - # if len(self.tqn_bi_list) < 2: + # if len(self.tqa_bi_list) < 2: # return # # self.append_data(file_name=self.export_bi_filename, @@ -1666,10 +1666,10 @@ class CtaLineBar(object): # ) # 从高=>低得线段, self.line_high_list[-2] => self.line_low_list[-1] # else: - # if len(self.tqn_high_list) < 2: + # if len(self.tqa_high_list) < 2: # return - # high_point = self.tqn_high_list[-2] - # low_point = self.tqn_low_list[-1] + # high_point = self.tqa_high_list[-2] + # low_point = self.tqa_low_list[-1] # d = { # "start": high_point.get('datetime'), # "end": low_point.get('datetime'), @@ -1683,7 +1683,7 @@ class CtaLineBar(object): # field_names=["start", "end", "direction", "height", "high", "low"] # ) - def update_tqn_zs(self): + def update_tqa_zs(self): """ 更新唐其安中枢 这里跟缠论的中枢不同，主要根据最后一笔，判断是否与前2、前三，形成中枢。 @@ -1692,19 +1692,19 @@ class CtaLineBar(object): 如果形成，更新；如果不形成，则剔除 :return: """ - if len(self.tqn_bi_list) < 4: + if len(self.tqa_bi_list) < 4: return - cur_bi = self.tqn_bi_list[-1] # 当前笔 - second_bi = self.tqn_bi_list[-2] # 倒数第二笔 - third_bi = self.tqn_bi_list[-3] # 倒数第三笔 - four_bi = self.tqn_bi_list[-4] # 倒数第四笔 + cur_bi = self.tqa_bi_list[-1] # 当前笔 + second_bi = self.tqa_bi_list[-2] # 倒数第二笔 + third_bi = self.tqa_bi_list[-3] # 倒数第三笔 + four_bi = self.tqa_bi_list[-4] # 倒数第四笔 # 当前笔的方向 direction = cur_bi.get('direction') # 当前没有中枢 - if len(self.cur_tqn_zs) == 0: + if len(self.cur_tqa_zs) == 0: # 1,3 的重叠的线段 first_third_high = min(third_bi.get('high'), cur_bi.get('high')) first_third_low = max(third_bi.get('low'), cur_bi.get('low')) @@ -1716,7 +1716,7 @@ class CtaLineBar(object): # 上涨中 1-3，2-4 形成重叠 if second_four_low <= first_third_low < second_four_high <= first_third_high: # 中枢的方向按照第四笔 - self.cur_tqn_zs = { + self.cur_tqa_zs = { "direction": four_bi.get('direction'), # 段的方向：进入笔的方向 "start": four_bi.get('end'), # zs的开始 "end": cur_bi.get("end"), # zs的结束时间 @@ -1728,15 +1728,15 @@ class CtaLineBar(object): "exit_start": cur_bi.get('start') } # 更新中枢高度 - self.cur_tqn_zs.update({ - "height": self.cur_tqn_zs.get('high') - self.cur_tqn_zs.get('low') + self.cur_tqa_zs.update({ + "height": self.cur_tqa_zs.get('high') - self.cur_tqa_zs.get('low') }) return # 下跌中 1-3，2-4 形成重叠 if first_third_low <= second_four_low < first_third_high <= second_four_high: # 中枢的方向按照第四笔 - self.cur_tqn_zs = { + self.cur_tqa_zs = { "direction": four_bi.get('direction'), # 段的方向：进入笔的方向 "start": four_bi.get('end'), # zs的开始 "end": cur_bi.get("end"), # zs的结束时间 @@ -1748,8 +1748,8 @@ class CtaLineBar(object): "exit_start": cur_bi.get('start') } # 更新中枢高度 - self.cur_tqn_zs.update({ - "height": self.cur_tqn_zs.get('high') - self.cur_tqn_zs.get('low') + self.cur_tqa_zs.update({ + "height": self.cur_tqa_zs.get('high') - self.cur_tqa_zs.get('low') }) return @@ -1757,112 +1757,112 @@ class CtaLineBar(object): # 当前存在中枢 # 最后一笔是多，且低点在中枢高点上方，中枢确认结束 - if direction == 1 and cur_bi.get('low') > self.cur_tqn_zs.get('high'): + if direction == 1 and cur_bi.get('low') > self.cur_tqa_zs.get('high'): self.export_tqa_zs() - self.cur_tqn_zs = {} + self.cur_tqa_zs = {} return # 最后一笔是空，且高点在中枢下方，中枢确认结束 - if direction == -1 and cur_bi.get('high') < self.cur_tqn_zs.get('low'): + if direction == -1 and cur_bi.get('high') < self.cur_tqa_zs.get('low'): self.export_tqa_zs() - self.cur_tqn_zs = {} + self.cur_tqa_zs = {} return # 当前笔，是zs的最后一笔 - if cur_bi.get("start") == self.cur_tqn_zs.get("exit_start"): + if cur_bi.get("start") == self.cur_tqa_zs.get("exit_start"): # 当前笔是做多,判断是否创新高 if direction == 1: # 对比中枢之前所有的确认高点，不能超过 - zs_highs = self.cur_tqn_zs.get("highs", [self.cur_tqn_zs.get('high')]) + zs_highs = self.cur_tqa_zs.get("highs", [self.cur_tqa_zs.get('high')]) min_high = min(zs_highs) new_high = min(min_high, cur_bi.get('high')) # 当前笔的高度为最短，在生长，则更新中枢的结束时间和高度 - if min_high >= new_high > self.cur_tqn_zs.get('high'): - self.cur_tqn_zs.update({ + if min_high >= new_high > self.cur_tqa_zs.get('high'): + self.cur_tqa_zs.update({ "end": cur_bi.get('end'), "high": new_high}) # 更新中枢高度 - self.cur_tqn_zs.update({ - "height": self.cur_tqn_zs.get('high') - self.cur_tqn_zs.get('low') + self.cur_tqa_zs.update({ + "height": self.cur_tqa_zs.get('high') - self.cur_tqa_zs.get('low') }) else: # 对比中枢之前所有的确认低点，不能超过 - zs_lows = self.cur_tqn_zs.get("lows", [self.cur_tqn_zs.get('low')]) + zs_lows = self.cur_tqa_zs.get("lows", [self.cur_tqa_zs.get('low')]) max_low = max(zs_lows) new_low = max(max_low, cur_bi.get('low')) # 下跌笔在生长，中枢底部在扩展 - if max_low < new_low < self.cur_tqn_zs.get('low'): - self.cur_tqn_zs.update({ + if max_low < new_low < self.cur_tqa_zs.get('low'): + self.cur_tqa_zs.update({ "end": cur_bi.get('end'), "low": new_low}) # 更新中枢高度 - self.cur_tqn_zs.update({ - "height": self.cur_tqn_zs.get('high') - self.cur_tqn_zs.get('low') + self.cur_tqa_zs.update({ + "height": self.cur_tqa_zs.get('high') - self.cur_tqa_zs.get('low') }) # 当前笔 不是中枢最后一笔， 方向是回归中枢的 else: # 向下的一笔，且回落中枢高位下方，变成中枢的最后一笔 - if direction == -1 and cur_bi.get('low') < self.cur_tqn_zs.get('high') \ - and cur_bi.get('high') > self.cur_tqn_zs.get('low'): + if direction == -1 and cur_bi.get('low') < self.cur_tqa_zs.get('high') \ + and cur_bi.get('high') > self.cur_tqa_zs.get('low'): # 对比中枢之前所有的确认低点，不能超过 - zs_lows = self.cur_tqn_zs.get("lows", [self.cur_tqn_zs.get('low')]) + zs_lows = self.cur_tqa_zs.get("lows", [self.cur_tqa_zs.get('low')]) max_low = max(zs_lows) new_low = max(max_low, cur_bi.get('low')) # 下跌笔在生长，中枢底部在扩展 - if max_low < new_low < self.cur_tqn_zs.get('low'): - self.cur_tqn_zs.update({ + if max_low < new_low < self.cur_tqa_zs.get('low'): + self.cur_tqa_zs.update({ "end": cur_bi.get('end'), "low": new_low}) # 更新中枢高度 - self.cur_tqn_zs.update({ - "height": self.cur_tqn_zs.get('high') - self.cur_tqn_zs.get('low') + self.cur_tqa_zs.update({ + "height": self.cur_tqa_zs.get('high') - self.cur_tqa_zs.get('low') }) # 更新中枢的确认高点，更新最后一笔 - zs_highs = self.cur_tqn_zs.get("highs", [self.cur_tqn_zs.get('high')]) + zs_highs = self.cur_tqa_zs.get("highs", [self.cur_tqa_zs.get('high')]) zs_highs.append(cur_bi.get('high')) - self.cur_tqn_zs.update({ + self.cur_tqa_zs.update({ "highs": zs_highs, # 确认的高点清单（后续不能超过） "exit_direction": cur_bi.get('direction'), # 离开笔的方向 "exit_start": cur_bi.get('start') }) # 最后一笔的时间，若比中枢的结束时间晚，就更新 - if self.cur_tqn_zs.get('end') < cur_bi.get('start'): - self.cur_tqn_zs.update({"end": cur_bi.get("start")}) + if self.cur_tqa_zs.get('end') < cur_bi.get('start'): + self.cur_tqa_zs.update({"end": cur_bi.get("start")}) # 向上的一笔，回抽中枢下轨上方，变成中枢的一笔 - if direction == 1 and cur_bi.get('high') > self.cur_tqn_zs.get('low') \ - and cur_bi.get('low') < self.cur_tqn_zs.get('high'): + if direction == 1 and cur_bi.get('high') > self.cur_tqa_zs.get('low') \ + and cur_bi.get('low') < self.cur_tqa_zs.get('high'): # 对比中枢之前所有的确认高点，不能超过 - zs_highs = self.cur_tqn_zs.get("highs", [self.cur_tqn_zs.get('high')]) + zs_highs = self.cur_tqa_zs.get("highs", [self.cur_tqa_zs.get('high')]) min_high = min(zs_highs) new_high = min(min_high, cur_bi.get('high')) # 当前笔的高度为最短，在生长，则更新中枢的结束时间和高度 - if min_high >= new_high > self.cur_tqn_zs.get('high'): - self.cur_tqn_zs.update({ + if min_high >= new_high > self.cur_tqa_zs.get('high'): + self.cur_tqa_zs.update({ "end": cur_bi.get('end'), "high": new_high}) # 更新中枢高度 - self.cur_tqn_zs.update({ - "height": self.cur_tqn_zs.get('high') - self.cur_tqn_zs.get('low') + self.cur_tqa_zs.update({ + "height": self.cur_tqa_zs.get('high') - self.cur_tqa_zs.get('low') }) # 更新中枢的确认低点，更新最后一笔 - zs_lows = self.cur_tqn_zs.get("lows", [self.cur_tqn_zs.get('low')]) + zs_lows = self.cur_tqa_zs.get("lows", [self.cur_tqa_zs.get('low')]) zs_lows.append(cur_bi.get('low')) - self.cur_tqn_zs.update({ + self.cur_tqa_zs.update({ "lows": zs_lows, # 确认的低点清单（后续不能超过） "exit_direction": cur_bi.get('direction'), # 离开笔的方向 "exit_start": cur_bi.get('start') }) # 最后一笔的时间，若比中枢的结束时间晚，就更新 - if self.cur_tqn_zs.get('end') < cur_bi.get('start'): - self.cur_tqn_zs.update({"end": cur_bi.get("start")}) + if self.cur_tqa_zs.get('end') < cur_bi.get('start'): + self.cur_tqa_zs.update({"end": cur_bi.get("start")}) def export_tqa_zs(self): """ @@ -1872,12 +1872,12 @@ class CtaLineBar(object): if self.export_tqa_zs_filename is None: return - if len(self.cur_tqn_zs) < 1: + if len(self.cur_tqa_zs) < 1: return # 将当前中枢的信息写入 self.append_data(file_name=self.export_tqa_zs_filename, - dict_data=self.cur_tqn_zs, + dict_data=self.cur_tqa_zs, field_names=["start", "end", "direction", "height", "high", "low"] ) @@ -2173,14 +2173,16 @@ class CtaLineBar(object): golden_cross = False dead_cross = False - if self.line_ma1[-1] > self.line_ma1[-2] \ - and self.line_ma1[-1] > self.line_ma2[-1] \ - and self.line_ma1[-2] <= self.line_ma2[-2]: + # if self.line_ma1[-1] > self.line_ma1[-2] \ + # and self.line_ma1[-1] > self.line_ma2[-1] \ + # and self.line_ma1[-2] <= self.line_ma2[-2]: + if self.ma12_count <=0 and self.line_ma1[-1] > self.line_ma2[-1]: golden_cross = True - if self.line_ma1[-1] < self.line_ma1[-2] \ - and self.line_ma1[-1] < self.line_ma2[-1] \ - and self.line_ma1[-2] >= self.line_ma2[-2]: + # if self.line_ma1[-1] < self.line_ma1[-2] \ + # and self.line_ma1[-1] < self.line_ma2[-1] \ + # and self.line_ma1[-2] >= self.line_ma2[-2]: + if self.ma12_count >=0 and self.line_ma1[-1] < self.line_ma2[-1]: dead_cross = True if self.ma12_count <= 0: @@ -2212,14 +2214,16 @@ class CtaLineBar(object): if len(self.line_ma2) >= 2 and len(self.line_ma3) > 2: golden_cross = False dead_cross = False - if self.line_ma2[-1] > self.line_ma2[-2] \ - and self.line_ma2[-1] > self.line_ma3[-1] \ - and self.line_ma2[-2] <= self.line_ma3[-2]: + # if self.line_ma2[-1] > self.line_ma2[-2] \ + # and self.line_ma2[-1] > self.line_ma3[-1] \ + # and self.line_ma2[-2] <= self.line_ma3[-2]: + if self.ma23_count <=0 and self.line_ma2[-1] > self.line_ma3[-1]: golden_cross = True - if self.line_ma2[-1] < self.line_ma2[-2] \ - and self.line_ma2[-1] < self.line_ma3[-1] \ - and self.line_ma2[-2] >= self.line_ma3[-2]: + # if self.line_ma2[-1] < self.line_ma2[-2] \ + # and self.line_ma2[-1] < self.line_ma3[-1] \ + # and self.line_ma2[-2] >= self.line_ma3[-2]: + if self.ma23_count >= 0 and self.line_ma2[-1] < self.line_ma3[-1]: dead_cross = True if self.ma23_count <= 0: @@ -2251,14 +2255,16 @@ class CtaLineBar(object): if len(self.line_ma1) >= 2 and len(self.line_ma3) > 2: golden_cross = False dead_cross = False - if self.line_ma1[-1] > self.line_ma1[-2] \ - and self.line_ma1[-1] > self.line_ma3[-1] \ - and self.line_ma1[-2] <= self.line_ma3[-2]: + # if self.line_ma1[-1] > self.line_ma1[-2] \ + # and self.line_ma1[-1] > self.line_ma3[-1] \ + # and self.line_ma1[-2] <= self.line_ma3[-2]: + if self.ma13_count <=0 and self.line_ma1[-1] > self.line_ma3[-1]: golden_cross = True - if self.line_ma1[-1] < self.line_ma1[-2] \ - and self.line_ma1[-1] < self.line_ma3[-1] \ - and self.line_ma1[-2] >= self.line_ma3[-2]: + # if self.line_ma1[-1] < self.line_ma1[-2] \ + # and self.line_ma1[-1] < self.line_ma3[-1] \ + # and self.line_ma1[-2] >= self.line_ma3[-2]: + if self.ma13_count >=0 and self.line_ma1[-1] < self.line_ma3[-1]: dead_cross = True if self.ma13_count <= 0: @@ -4123,7 +4129,7 @@ class CtaLineBar(object): return False # 底部背离，只能在零轴下方才判断 - if s1_dif_min > 0 or s1_dif_min > 0: + if s1_dif_min > 0 or s2_dif_min > 0: return False # 价格创新低，dif没有创新低 @@ -5570,13 +5576,15 @@ class CtaLineBar(object): """返回段得平均高度""" if not self.chanlun_calculated: self.__count_chanlun() - return round(sum([d.height for d in self.duan_list[-duan_len:]]) / duan_len, self.round_n) + duan_list = self.duan_list[-duan_len:] + return round(sum([d.height for d in duan_list]) / max(1,len(duan_list)), self.round_n) def bi_height_ma(self, bi_len=20): """返回分笔得平均高度""" if not self.chanlun_calculated: self.__count_chanlun() - return round(sum([bi.height for bi in self.bi_list[-bi_len:]]) / bi_len, self.round_n) + bi_list = self.bi_list[-bi_len:] + return round(sum([bi.height for bi in bi_list]) / max(1,len(bi_list)), self.round_n) def export_chan(self): """ diff --git a/vnpy/component/cta_renko_bar.py b/vnpy/component/cta_renko_bar.py index 01637228..b287ace0 100644 --- a/vnpy/component/cta_renko_bar.py +++ b/vnpy/component/cta_renko_bar.py @@ -154,20 +154,20 @@ class CtaRenkoBar(object): self.cur_bar = None # K线数据对象,代表当前还没有走完的renko bar self.line_bar = [] # renko bar缓存数据队列 self.bar_len = 0 - self.max_hold_bars = 3000 + self.max_hold_bars = 2000 # K 线的相关计算结果数据 self.line_pre_high = [] # K线的前para_pre_len的的最高 self.line_pre_low = [] # K线的前para_pre_len的的最低 # 唐其安高点、低点清单（相当于缠论的分型） - self.tqn_high_list = [] # 所有的创新高的高点(分型）清单 { "price":xxx, "datetime": "yyyy-mm-dd HH:MM:SS"} - self.tqn_low_list = [] # 所有的创新低的低点（分型）清单 { "price":xxx, "datetime": "yyyy-mm-dd HH:MM:SS"} + self.tqa_high_list = [] # 所有的创新高的高点(分型）清单 { "price":xxx, "datetime": "yyyy-mm-dd HH:MM:SS"} + self.tqa_low_list = [] # 所有的创新低的低点（分型）清单 { "price":xxx, "datetime": "yyyy-mm-dd HH:MM:SS"} # 唐其安笔清单，相当与缠论的笔,最后一笔是未完成的 - self.tqn_bi_list = [] + self.tqa_bi_list = [] # 唐其安中枢清单，相当于缠论的中枢 - self.cur_tqn_zs = {} # 当前唐其安中枢。 - self.tqn_zs_list = [] + self.cur_tqa_zs = {} # 当前唐其安中枢。 + self.tqa_zs_list = [] self.line_ma1 = [] # K线的MA1均线，周期是InputMaLen1，不包含当前bar self.line_ma2 = [] # K线的MA2均线，周期是InputMaLen2，不包含当前bar @@ -181,10 +181,23 @@ class CtaRenkoBar(object): self._rt_ma1_atan = None self._rt_ma2_atan = None self._rt_ma3_atan = None + self.ma12_count = 0 # ma1 与 ma2 ,金叉/死叉后第几根bar self.ma13_count = 0 # ma1 与 ma3 ,金叉/死叉后第几根bar self.ma23_count = 0 # ma2 与 ma3 ,金叉/死叉后第几根bar + self.ma12_cross = None # ma1 与 ma2 ,金叉/死叉的点数值 + self.ma13_cross = None # ma1 与 ma3 ,金叉/死叉的点数值 + self.ma23_cross = None # ma2 与 ma3 ,金叉/死叉的点数值 + + self.ma12_cross_list = [] # ma1 与 ma2 金叉、死叉得点 列表 + self.ma13_cross_list = [] # ma1 与 ma3 金叉、死叉得点 列表 + self.ma23_cross_list = [] # ma2 与 ma3 金叉、死叉得点 列表 + + self.ma12_cross_price = None # ma1 与 ma2 ,金叉/死叉时，K线价格数值 + self.ma13_cross_price = None # ma1 与 ma3 ,金叉/死叉时，K线价格数值 + self.ma23_cross_price = None # ma2 与 ma3 ,金叉/死叉时，K线价格数值 + self.line_ema1 = [] # K线的EMA1均线，周期是InputEmaLen1，包含当前bar self.line_ema1_mtm3_rate = [] # K线的EMA1均线 的momentum(3) 动能 self.line_ema1_mtm12_rate = [] # K线的EMA1均线 的momentum(12) 动能 @@ -240,7 +253,7 @@ class CtaRenkoBar(object): self.rsi_top_list = [] # 记录RSI的最高峰，只保留 inputRsiLen个 self.rsi_buttom_list = [] # 记录RSI的最低谷，只保留 inputRsiLen个 - self.cur_rsi_top_buttom = None # 最近的一个波峰/波谷 + self.cur_rsi_top_buttom = {} # 最近的一个波峰/波谷 # K线的CMI计算数据 self.para_cmi_len = 0 @@ -316,13 +329,15 @@ class CtaRenkoBar(object): self.para_macd_signal_len = 0 self.line_dif = [] # DIF = EMA12 - EMA26，即为talib-MACD返回值macd + self.dict_dif = {} # datetime str: dif mapping self.line_dea = [] # DEA = （前一日DEA X 8/10 + 今日DIF X 2/10），即为talib-MACD返回值 self.line_macd = [] # (dif-dea)*2，但是talib中MACD的计算是bar = (dif-dea)*1,国内一般是乘以2 + self.dict_macd = {} # datetime str: macd mapping self.macd_segment_list = [] # macd 金叉/死叉的段列表，记录价格的最高/最低，Dif的最高，最低，Macd的最高/最低，Macd面接 self._rt_dif = None self._rt_dea = None self._rt_macd = None - self.cur_macd_count = 0 + self.cur_macd_count = 0 # macd 金叉/死叉 self.cur_macd_cross = 0 # 最近一次金叉/死叉的点位 self.cur_macd_cross_price = 0 # 最近一次发生金叉/死叉的价格 self.rt_macd_count = 0 # 实时金叉/死叉, default = 0； -1 实时死叉； 1：实时金叉 @@ -333,6 +348,9 @@ class CtaRenkoBar(object): self.macd_top_divergence = False # mcad 面积 与price 顶背离 self.macd_buttom_divergence = False # mcad 面积 与price 底背离 + self.line_macd_chn_upper = [] + self.line_macd_chn_lower = [] + # K 线的CCI计算数据 self.para_cci_len = 0 self.line_cci = [] @@ -405,9 +423,6 @@ class CtaRenkoBar(object): self.cur_p618 = None # HH-(HH-LL) * 0.618; self.cur_p809 = None # HH-(HH-LL) * 0.809; - # 是否7x24小时运行（ 一般为数字货币） - self.is_7x24 = False - # (实时运行时，或者addbar小于bar得周期时，不包含最后一根Bar） self.index_list = [] self.open_array = np.zeros(self.max_hold_bars) # 与lineBar一致得开仓价清单 @@ -440,8 +455,16 @@ class CtaRenkoBar(object): self.export_filename = None self.export_fields = [] - self.export_bi_filename = None # 通过唐其安通道输出得笔csv文件(不是缠论得笔) - self.export_zs_filename = None # 通过唐其安通道输出的中枢csv文件（不是缠论的笔中枢） + self.export_tqa_bi_filename = None # 通过唐其安通道输出得笔csv文件(不是缠论得笔) + self.export_tqa_zs_filename = None # 通过唐其安通道输出的中枢csv文件（不是缠论的笔中枢） + + 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.pre_bi_start = None # 前一个笔的时间 + self.pre_zs_start = None # 前一个中枢的时间 + self.pre_duan_start = None # 启动实时得函数 self.rt_funcs = set() @@ -761,6 +784,9 @@ class CtaRenkoBar(object): self.chanlun_calculated = False + # 输出缠论=》csv文件 + self.export_chan() + # 回调上层调用者 self.cb_on_bar(bar, self.name) @@ -910,7 +936,7 @@ class CtaRenkoBar(object): if self.dif_buttom_divergence: msg = msg + u'Dif底背离 ' if self.macd_buttom_divergence: - msg = msg + u'MACD低背离 ' + msg = msg + u'MACD底背离 ' if self.para_active_kf and len(self.line_state_mean) > 0: msg = msg + u',Kalman:{0}'.format(self.line_state_mean[-1]) @@ -945,6 +971,9 @@ class CtaRenkoBar(object): datetime=tick.datetime) # 创建新的K线 self.cur_bar.symbol = tick.symbol # 取最新的RenkoHeight + if self.kilo_height > 0: + self.height = round(self.kilo_height * open /1000, self.round_n) + self.cur_bar.height = self.height if open > 0: @@ -1138,7 +1167,7 @@ class CtaRenkoBar(object): # 将之前的barRenko 复制带颜色的bar推入K线 bar.high_price = round(basePrice + bar.height, self.round_n) bar.close_price = round(basePrice + bar.height, self.round_n) - # bar.low = basePrice 保留下影线 + # bar.low = basePrice 保留下影线 bar.open_price = round(basePrice, self.round_n) bar.color = Color.RED @@ -1240,35 +1269,35 @@ class CtaRenkoBar(object): if len(self.line_macd) > 0: d.update({'macd': self.line_macd[-1]}) # 当前不存在最后的高点，创建一个 - if len(self.tqn_high_list) == 0: - self.tqn_high_list.append(d) + if len(self.tqa_high_list) == 0: + self.tqa_high_list.append(d) return # 如果存在最后的高点，最后的低点 - last_low_time = self.tqn_low_list[-1].get('datetime', None) if len(self.tqn_low_list) > 0 else None - last_high_time = self.tqn_high_list[-1].get('datetime', None) if len( - self.tqn_high_list) > 0 else None - last_high_price = self.tqn_high_list[-1].get('price') if len( - self.tqn_high_list) > 0 else None + last_low_time = self.tqa_low_list[-1].get('datetime', None) if len(self.tqa_low_list) > 0 else None + last_high_time = self.tqa_high_list[-1].get('datetime', None) if len( + self.tqa_high_list) > 0 else None + last_high_price = self.tqa_high_list[-1].get('price') if len( + self.tqa_high_list) > 0 else None # 低点的时间，比高点的时间更晚, 添加一个新的高点 if last_low_time is not None and last_high_time is not None and last_high_time < last_low_time: # 添加一个新的高点 - self.tqn_high_list.append(d) + self.tqa_high_list.append(d) # 创建一个未走完的笔，低点-> 高点 - self.create_tqn_bi(direction=Direction.LONG) + self.create_tqa_bi(direction=Direction.LONG) # 输出确定的一笔（高点->低点) =>csv文件 - self.export_tqn_bi() + self.export_tqa_bi() # 计算是否有中枢 - self.update_tqn_zs() + self.update_tqa_zs() return # 延续当前的高点 if pre_high > last_high_price: - self.tqn_high_list[-1].update(d) + self.tqa_high_list[-1].update(d) self.update_tnq_bi(point=d, direction=Direction.LONG) # 计算是否有中枢 - self.update_tqn_zs() + self.update_tqa_zs() # 产生新得低点 if pre_low < self.line_pre_low[-2] and pre_high == self.line_pre_high[-2]: @@ -1283,38 +1312,38 @@ class CtaRenkoBar(object): d.update({'macd': self.line_macd[-1]}) # 当前不存在最后的低点，创建一个 - if len(self.tqn_low_list) == 0: - self.tqn_low_list.append(d) + if len(self.tqa_low_list) == 0: + self.tqa_low_list.append(d) return # 如果存在最后的高点，最后的低点 - last_low_time = self.tqn_low_list[-1].get('datetime', None) if len( - self.tqn_low_list) > 0 else None - last_high_time = self.tqn_high_list[-1].get('datetime', None) if len( - self.tqn_high_list) > 0 else None - last_low_price = self.tqn_low_list[-1].get('price', None) if len( - self.tqn_low_list) > 0 else None + last_low_time = self.tqa_low_list[-1].get('datetime', None) if len( + self.tqa_low_list) > 0 else None + last_high_time = self.tqa_high_list[-1].get('datetime', None) if len( + self.tqa_high_list) > 0 else None + last_low_price = self.tqa_low_list[-1].get('price', None) if len( + self.tqa_low_list) > 0 else None # 高点的时间，比低点的时间更晚, 添加一个新的低点 if last_low_time is not None and last_high_time is not None and last_low_time < last_high_time: # 添加一个新的低点 - self.tqn_low_list.append(d) + self.tqa_low_list.append(d) # 创建一个未走完的笔， 高点->低点 - self.create_tqn_bi(direction=Direction.SHORT) + self.create_tqa_bi(direction=Direction.SHORT) # 输出确定的一笔（低点->高点) =>csv文件 - self.export_tqn_bi() + self.export_tqa_bi() # 计算是否有中枢 - self.update_tqn_zs() + self.update_tqa_zs() return # 延续当前的低点 if pre_low < last_low_price: - self.tqn_low_list[-1].update(d) + self.tqa_low_list[-1].update(d) self.update_tnq_bi(point=d, direction=Direction.SHORT) # 计算是否有中枢 - self.update_tqn_zs() + self.update_tqa_zs() - def create_tqn_bi(self, direction): + def create_tqa_bi(self, direction): """ 创建唐其安的笔，该笔未走完的 :param direction: 笔的方向 direction Direction.Long, Direction.Short @@ -1326,15 +1355,15 @@ class CtaRenkoBar(object): else: direction = -1 - if len(self.tqn_bi_list) > self.max_hold_bars: # 维持最大缓存数量 超过则删除最前面 - del self.tqn_bi_list[0] + if len(self.tqa_bi_list) > self.max_hold_bars: # 维持最大缓存数量 超过则删除最前面 + del self.tqa_bi_list[0] # 从低=>高得线段, self.line_low_list[-1] => self.line_high_list[-1] if direction == 1: - if len(self.tqn_low_list) < 1: + if len(self.tqa_low_list) < 1: return - low_point = self.tqn_low_list[-1] - high_point = self.tqn_high_list[-1] + low_point = self.tqa_low_list[-1] + high_point = self.tqa_high_list[-1] d = { "start": low_point.get('datetime'), "end": high_point.get('datetime'), @@ -1343,14 +1372,14 @@ class CtaRenkoBar(object): "high": high_point.get('price'), "low": low_point.get('price') } - self.tqn_bi_list.append(d) + self.tqa_bi_list.append(d) # 从高=>低得线段, self.line_high_list[-1] => self.line_low_list[-1] else: - if len(self.tqn_high_list) < 1: + if len(self.tqa_high_list) < 1: return - high_point = self.tqn_high_list[-1] - low_point = self.tqn_low_list[-1] + high_point = self.tqa_high_list[-1] + low_point = self.tqa_low_list[-1] d = { "start": high_point.get('datetime'), "end": low_point.get('datetime'), @@ -1359,7 +1388,7 @@ class CtaRenkoBar(object): "high": high_point.get('price'), "low": low_point.get('price') } - self.tqn_bi_list.append(d) + self.tqa_bi_list.append(d) def update_tnq_bi(self, point, direction): """ @@ -1368,7 +1397,7 @@ class CtaRenkoBar(object): :param direction: :return: """ - if len(self.tqn_bi_list) < 1: + if len(self.tqa_bi_list) < 1: return # Direction => int @@ -1377,7 +1406,7 @@ class CtaRenkoBar(object): else: direction = -1 - bi = self.tqn_bi_list[-1] + bi = self.tqa_bi_list[-1] if bi.get('direction') != direction: return # 方向为多 @@ -1395,7 +1424,7 @@ class CtaRenkoBar(object): "low": point.get('price'), }) - def export_tqn_bi(self): + def export_tqa_bi(self): """ 唐其安高点、低点形成的笔，输出.csv文件 start.end,direction,height,high,low @@ -1403,15 +1432,15 @@ class CtaRenkoBar(object): :param: direction Direction.Long, Direction.Short :return: """ - if self.export_bi_filename is None: + if self.export_tqa_bi_filename is None: return - if len(self.tqn_bi_list) < 2: + if len(self.tqa_bi_list) < 2: return # 直接插入倒数第二条记录，即已经走完的笔 - self.append_data(file_name=self.export_bi_filename, - dict_data=self.tqn_bi_list[-2], + self.append_data(file_name=self.export_tqa_bi_filename, + dict_data=self.tqa_bi_list[-2], field_names=["start", "end", "direction", "height", "high", "low"] ) @@ -1423,10 +1452,10 @@ class CtaRenkoBar(object): # # 从低=>高得线段, self.line_low_list[-2] => self.line_high_list[-1] # if direction == 1: - # if len(self.tqn_low_list) < 2: + # if len(self.tqa_low_list) < 2: # return - # low_point = self.tqn_low_list[-2] - # high_point = self.tqn_high_list[-1] + # low_point = self.tqa_low_list[-2] + # high_point = self.tqa_high_list[-1] # d = { # "start": low_point.get('datetime'), # "end": high_point.get('datetime'), @@ -1435,19 +1464,19 @@ class CtaRenkoBar(object): # "high": high_point.get('price'), # "low": low_point.get('price') # } - # if len(self.tqn_bi_list) < 2: + # if len(self.tqa_bi_list) < 2: # return # - # self.append_data(file_name=self.export_bi_filename, + # self.append_data(file_name=self.export_tqa_bi_filename, # dict_data=d, # field_names=["start","end", "direction", "height", "high", "low"] # ) # 从高=>低得线段, self.line_high_list[-2] => self.line_low_list[-1] # else: - # if len(self.tqn_high_list) < 2: + # if len(self.tqa_high_list) < 2: # return - # high_point = self.tqn_high_list[-2] - # low_point = self.tqn_low_list[-1] + # high_point = self.tqa_high_list[-2] + # low_point = self.tqa_low_list[-1] # d = { # "start": high_point.get('datetime'), # "end": low_point.get('datetime'), @@ -1456,12 +1485,12 @@ class CtaRenkoBar(object): # "high": high_point.get('price'), # "low": low_point.get('price') # } - # self.append_data(file_name=self.export_bi_filename, + # self.append_data(file_name=self.export_tqa_bi_filename, # dict_data=d, # field_names=["start", "end", "direction", "height", "high", "low"] # ) - def update_tqn_zs(self): + def update_tqa_zs(self): """ 更新唐其安中枢 这里跟缠论的中枢不同，主要根据最后一笔，判断是否与前2、前三，形成中枢。 @@ -1470,19 +1499,19 @@ class CtaRenkoBar(object): 如果形成，更新；如果不形成，则剔除 :return: """ - if len(self.tqn_bi_list) < 4: + if len(self.tqa_bi_list) < 4: return - cur_bi = self.tqn_bi_list[-1] # 当前笔 - second_bi = self.tqn_bi_list[-2] # 倒数第二笔 - third_bi = self.tqn_bi_list[-3] # 倒数第三笔 - four_bi = self.tqn_bi_list[-4] # 倒数第四笔 + cur_bi = self.tqa_bi_list[-1] # 当前笔 + second_bi = self.tqa_bi_list[-2] # 倒数第二笔 + third_bi = self.tqa_bi_list[-3] # 倒数第三笔 + four_bi = self.tqa_bi_list[-4] # 倒数第四笔 # 当前笔的方向 direction = cur_bi.get('direction') # 当前没有中枢 - if len(self.cur_tqn_zs) == 0: + if len(self.cur_tqa_zs) == 0: # 1,3 的重叠的线段 first_third_high = min(third_bi.get('high'), cur_bi.get('high')) first_third_low = max(third_bi.get('low'), cur_bi.get('low')) @@ -1494,7 +1523,7 @@ class CtaRenkoBar(object): # 上涨中 1-3，2-4 形成重叠 if second_four_low <= first_third_low < second_four_high <= first_third_high: # 中枢的方向按照第四笔 - self.cur_tqn_zs = { + self.cur_tqa_zs = { "direction": four_bi.get('direction'), # 段的方向：进入笔的方向 "start": four_bi.get('end'), # zs的开始 "end": cur_bi.get("end"), # zs的结束时间 @@ -1506,15 +1535,15 @@ class CtaRenkoBar(object): "exit_start": cur_bi.get('start') } # 更新中枢高度 - self.cur_tqn_zs.update({ - "height": self.cur_tqn_zs.get('high') - self.cur_tqn_zs.get('low') + self.cur_tqa_zs.update({ + "height": self.cur_tqa_zs.get('high') - self.cur_tqa_zs.get('low') }) return # 下跌中 1-3，2-4 形成重叠 if first_third_low <= second_four_low < first_third_high <= second_four_high: # 中枢的方向按照第四笔 - self.cur_tqn_zs = { + self.cur_tqa_zs = { "direction": four_bi.get('direction'), # 段的方向：进入笔的方向 "start": four_bi.get('end'), # zs的开始 "end": cur_bi.get("end"), # zs的结束时间 @@ -1526,8 +1555,8 @@ class CtaRenkoBar(object): "exit_start": cur_bi.get('start') } # 更新中枢高度 - self.cur_tqn_zs.update({ - "height": self.cur_tqn_zs.get('high') - self.cur_tqn_zs.get('low') + self.cur_tqa_zs.update({ + "height": self.cur_tqa_zs.get('high') - self.cur_tqa_zs.get('low') }) return @@ -1535,127 +1564,127 @@ class CtaRenkoBar(object): # 当前存在中枢 # 最后一笔是多，且低点在中枢高点上方，中枢确认结束 - if direction == 1 and cur_bi.get('low') > self.cur_tqn_zs.get('high'): - self.export_tqn_zs() - self.cur_tqn_zs = {} + if direction == 1 and cur_bi.get('low') > self.cur_tqa_zs.get('high'): + self.export_tqa_zs() + self.cur_tqa_zs = {} return # 最后一笔是空，且高点在中枢下方，中枢确认结束 - if direction == -1 and cur_bi.get('high') < self.cur_tqn_zs.get('low'): - self.export_tqn_zs() - self.cur_tqn_zs = {} + if direction == -1 and cur_bi.get('high') < self.cur_tqa_zs.get('low'): + self.export_tqa_zs() + self.cur_tqa_zs = {} return # 当前笔，是zs的最后一笔 - if cur_bi.get("start") == self.cur_tqn_zs.get("exit_start"): + if cur_bi.get("start") == self.cur_tqa_zs.get("exit_start"): # 当前笔是做多,判断是否创新高 if direction == 1: # 对比中枢之前所有的确认高点，不能超过 - zs_highs = self.cur_tqn_zs.get("highs", [self.cur_tqn_zs.get('high')]) + zs_highs = self.cur_tqa_zs.get("highs", [self.cur_tqa_zs.get('high')]) min_high = min(zs_highs) new_high = min(min_high, cur_bi.get('high')) # 当前笔的高度为最短，在生长，则更新中枢的结束时间和高度 - if min_high >= new_high > self.cur_tqn_zs.get('high'): - self.cur_tqn_zs.update({ + if min_high >= new_high > self.cur_tqa_zs.get('high'): + self.cur_tqa_zs.update({ "end": cur_bi.get('end'), "high": new_high}) # 更新中枢高度 - self.cur_tqn_zs.update({ - "height": self.cur_tqn_zs.get('high') - self.cur_tqn_zs.get('low') + self.cur_tqa_zs.update({ + "height": self.cur_tqa_zs.get('high') - self.cur_tqa_zs.get('low') }) else: # 对比中枢之前所有的确认低点，不能超过 - zs_lows = self.cur_tqn_zs.get("lows", [self.cur_tqn_zs.get('low')]) + zs_lows = self.cur_tqa_zs.get("lows", [self.cur_tqa_zs.get('low')]) max_low = max(zs_lows) new_low = max(max_low, cur_bi.get('low')) # 下跌笔在生长，中枢底部在扩展 - if max_low < new_low < self.cur_tqn_zs.get('low'): - self.cur_tqn_zs.update({ + if max_low < new_low < self.cur_tqa_zs.get('low'): + self.cur_tqa_zs.update({ "end": cur_bi.get('end'), "low": new_low}) # 更新中枢高度 - self.cur_tqn_zs.update({ - "height": self.cur_tqn_zs.get('high') - self.cur_tqn_zs.get('low') + self.cur_tqa_zs.update({ + "height": self.cur_tqa_zs.get('high') - self.cur_tqa_zs.get('low') }) # 当前笔 不是中枢最后一笔， 方向是回归中枢的 else: # 向下的一笔，且回落中枢高位下方，变成中枢的最后一笔 - if direction == -1 and cur_bi.get('low') < self.cur_tqn_zs.get('high') \ - and cur_bi.get('high') > self.cur_tqn_zs.get('low'): + if direction == -1 and cur_bi.get('low') < self.cur_tqa_zs.get('high') \ + and cur_bi.get('high') > self.cur_tqa_zs.get('low'): # 对比中枢之前所有的确认低点，不能超过 - zs_lows = self.cur_tqn_zs.get("lows", [self.cur_tqn_zs.get('low')]) + zs_lows = self.cur_tqa_zs.get("lows", [self.cur_tqa_zs.get('low')]) max_low = max(zs_lows) new_low = max(max_low, cur_bi.get('low')) # 下跌笔在生长，中枢底部在扩展 - if max_low < new_low < self.cur_tqn_zs.get('low'): - self.cur_tqn_zs.update({ + if max_low < new_low < self.cur_tqa_zs.get('low'): + self.cur_tqa_zs.update({ "end": cur_bi.get('end'), "low": new_low}) # 更新中枢高度 - self.cur_tqn_zs.update({ - "height": self.cur_tqn_zs.get('high') - self.cur_tqn_zs.get('low') + self.cur_tqa_zs.update({ + "height": self.cur_tqa_zs.get('high') - self.cur_tqa_zs.get('low') }) # 更新中枢的确认高点，更新最后一笔 - zs_highs = self.cur_tqn_zs.get("highs", [self.cur_tqn_zs.get('high')]) + zs_highs = self.cur_tqa_zs.get("highs", [self.cur_tqa_zs.get('high')]) zs_highs.append(cur_bi.get('high')) - self.cur_tqn_zs.update({ + self.cur_tqa_zs.update({ "highs": zs_highs, # 确认的高点清单（后续不能超过） "exit_direction": cur_bi.get('direction'), # 离开笔的方向 "exit_start": cur_bi.get('start') }) # 最后一笔的时间，若比中枢的结束时间晚，就更新 - if self.cur_tqn_zs.get('end') < cur_bi.get('start'): - self.cur_tqn_zs.update({"end": cur_bi.get("start")}) + if self.cur_tqa_zs.get('end') < cur_bi.get('start'): + self.cur_tqa_zs.update({"end": cur_bi.get("start")}) # 向上的一笔，回抽中枢下轨上方，变成中枢的一笔 - if direction == 1 and cur_bi.get('high') > self.cur_tqn_zs.get('low') \ - and cur_bi.get('low') < self.cur_tqn_zs.get('high'): + if direction == 1 and cur_bi.get('high') > self.cur_tqa_zs.get('low') \ + and cur_bi.get('low') < self.cur_tqa_zs.get('high'): # 对比中枢之前所有的确认高点，不能超过 - zs_highs = self.cur_tqn_zs.get("highs", [self.cur_tqn_zs.get('high')]) + zs_highs = self.cur_tqa_zs.get("highs", [self.cur_tqa_zs.get('high')]) min_high = min(zs_highs) new_high = min(min_high, cur_bi.get('high')) # 当前笔的高度为最短，在生长，则更新中枢的结束时间和高度 - if min_high >= new_high > self.cur_tqn_zs.get('high'): - self.cur_tqn_zs.update({ + if min_high >= new_high > self.cur_tqa_zs.get('high'): + self.cur_tqa_zs.update({ "end": cur_bi.get('end'), "high": new_high}) # 更新中枢高度 - self.cur_tqn_zs.update({ - "height": self.cur_tqn_zs.get('high') - self.cur_tqn_zs.get('low') + self.cur_tqa_zs.update({ + "height": self.cur_tqa_zs.get('high') - self.cur_tqa_zs.get('low') }) # 更新中枢的确认低点，更新最后一笔 - zs_lows = self.cur_tqn_zs.get("lows", [self.cur_tqn_zs.get('low')]) + zs_lows = self.cur_tqa_zs.get("lows", [self.cur_tqa_zs.get('low')]) zs_lows.append(cur_bi.get('low')) - self.cur_tqn_zs.update({ + self.cur_tqa_zs.update({ "lows": zs_lows, # 确认的低点清单（后续不能超过） "exit_direction": cur_bi.get('direction'), # 离开笔的方向 "exit_start": cur_bi.get('start') }) # 最后一笔的时间，若比中枢的结束时间晚，就更新 - if self.cur_tqn_zs.get('end') < cur_bi.get('start'): - self.cur_tqn_zs.update({"end": cur_bi.get("start")}) + if self.cur_tqa_zs.get('end') < cur_bi.get('start'): + self.cur_tqa_zs.update({"end": cur_bi.get("start")}) - def export_tqn_zs(self): + def export_tqa_zs(self): """ 输出唐其安中枢 =》 csv文件 :return: """ - if self.export_zs_filename is None: + if self.export_tqa_zs_filename is None: return - if len(self.cur_tqn_zs) < 1: + if len(self.cur_tqa_zs) < 1: return # 将当前中枢的信息写入 - self.append_data(file_name=self.export_zs_filename, - dict_data=self.cur_tqn_zs, + self.append_data(file_name=self.export_tqa_zs_filename, + dict_data=self.cur_tqa_zs, field_names=["start", "end", "direction", "height", "high", "low"] ) @@ -2011,6 +2040,8 @@ class CtaRenkoBar(object): if self.para_ma1_len > 0: count_len = min(self.para_ma1_len, self.bar_len) bar_ma1 = ta.MA(self.close_array[-count_len:], count_len)[-1] + if np.isnan(bar_ma1): + return bar_ma1 = round(float(bar_ma1), self.round_n) if len(self.line_ma1) > self.max_hold_bars: @@ -2029,6 +2060,8 @@ class CtaRenkoBar(object): if self.para_ma2_len > 0: count_len = min(self.para_ma2_len, self.bar_len) bar_ma2 = ta.MA(self.close_array[-count_len:], count_len)[-1] + if np.isnan(bar_ma2): + return bar_ma2 = round(float(bar_ma2), self.round_n) if len(self.line_ma2) > self.max_hold_bars: @@ -2047,6 +2080,8 @@ class CtaRenkoBar(object): if self.para_ma3_len > 0: count_len = min(self.para_ma3_len, self.bar_len) bar_ma3 = ta.MA(self.close_array[-count_len:], count_len)[-1] + if np.isnan(bar_ma3): + return bar_ma3 = round(float(bar_ma3), self.round_n) if len(self.line_ma3) > self.max_hold_bars: @@ -2076,12 +2111,26 @@ class CtaRenkoBar(object): if self.ma12_count <= 0: if golden_cross: self.ma12_count = 1 + self.ma12_cross = round((self.line_ma1[-1] + self.line_ma2[-1]) / 2, self.round_n) + self.ma12_cross_list.append({'cross': self.ma12_cross, + 'price': self.cur_price, + 'datetime': self.cur_datetime.strftime('%Y-%m-%d %H:%M:%S'), + 'type': 'gc'}) + self.check_cross_type(self.ma12_cross_list) + self.ma12_cross_price = self.cur_price elif self.line_ma1[-1] < self.line_ma2[-1]: self.ma12_count -= 1 elif self.ma12_count >= 0: if dead_cross: self.ma12_count = -1 + self.ma12_cross = round((self.line_ma1[-1] + self.line_ma2[-1]) / 2, self.round_n) + self.ma12_cross_list.append({'cross': self.ma12_cross, + 'price': self.cur_price, + 'datetime': self.cur_datetime.strftime('%Y-%m-%d %H:%M:%S'), + 'type': 'dc'}) + self.check_cross_type(self.ma12_cross_list) + self.ma12_cross_price = self.cur_price elif self.line_ma1[-1] > self.line_ma2[-1]: self.ma12_count += 1 @@ -2101,12 +2150,26 @@ class CtaRenkoBar(object): if self.ma23_count <= 0: if golden_cross: self.ma23_count = 1 + self.ma23_cross = round((self.line_ma2[-1] + self.line_ma3[-1]) / 2, self.round_n) + self.ma23_cross_list.append({'cross': self.ma23_cross, + 'price': self.cur_price, + 'datetime': self.cur_datetime.strftime('%Y-%m-%d %H:%M:%S'), + 'type': 'gc'}) + self.check_cross_type(self.ma23_cross_list) + self.ma23_cross_price = self.cur_price elif self.line_ma2[-1] < self.line_ma3[-1]: self.ma23_count -= 1 elif self.ma23_count >= 0: if dead_cross: self.ma23_count = -1 + self.ma23_cross = round((self.line_ma2[-1] + self.line_ma3[-1]) / 2, self.round_n) + self.ma23_cross_list.append({'cross': self.ma23_cross, + 'price': self.cur_price, + 'datetime': self.cur_datetime.strftime('%Y-%m-%d %H:%M:%S'), + 'type': 'dc'}) + self.check_cross_type(self.ma23_cross_list) + self.ma23_cross_price = self.cur_price elif self.line_ma2[-1] > self.line_ma3[-1]: self.ma23_count += 1 @@ -2124,15 +2187,78 @@ class CtaRenkoBar(object): if self.ma13_count <= 0: if golden_cross: self.ma13_count = 1 + self.ma13_cross = round((self.line_ma1[-1] + self.line_ma3[-1]) / 2, self.round_n) + self.ma13_cross_list.append({'cross': self.ma13_cross, + 'price': self.cur_price, + 'datetime': self.cur_datetime.strftime('%Y-%m-%d %H:%M:%S'), + 'type': 'gc'}) + self.check_cross_type(self.ma13_cross_list) + self.ma13_cross_price = self.cur_price elif self.line_ma1[-1] < self.line_ma3[-1]: self.ma13_count -= 1 elif self.ma13_count >= 0: if dead_cross: self.ma13_count = -1 + self.ma13_cross = round((self.line_ma1[-1] + self.line_ma3[-1]) / 2, self.round_n) + self.ma13_cross_list.append({'cross': self.ma13_cross, + 'price': self.cur_price, + 'datetime': self.cur_datetime.strftime('%Y-%m-%d %H:%M:%S'), + 'type': 'dc'}) + self.check_cross_type(self.ma13_cross_list) + self.ma13_cross_price = self.cur_price elif self.line_ma1[-1] > self.line_ma3[-1]: self.ma13_count += 1 + def check_cross_type(self, cross_list): + """依据缠论，检测其属于背驰得交叉，还是纠缠得交叉""" + if len(cross_list) <= 1 or not self.para_active_chanlun or len(self.duan_list) == 0: + return + + # 交叉得信息 + c_dict = cross_list[-1] + c_type = c_dict.get('type') + c_time = c_dict.get('datetime') + p_time = cross_list[-2].get('datetime') + + # 金叉 + if c_type == 'gc': + direction = Direction.SHORT + else: + direction = Direction.LONG + + # 交叉之前，最后一个线段 + duan = [d for d in self.duan_list[-2:] if d.end > p_time] + if len(duan) > 0: + cur_duan = duan[-1] + # # 判断，线段是否存在中枢背驰 + # zs_beichi = self.is_zs_beichi_inside_duan(direction=direction, cur_duan=cur_duan) + # if zs_beichi: + # c_dict.update({'zs_beichi': True}) + # + # # 判断是否存在段内分笔背驰 + # bi_beichi = self.is_bi_beichi_inside_duan(direction=direction, cur_duan=cur_duan) + # if bi_beichi: + # c_dict.update({'bi_beichi': True}) + # + # # 判断是否存在段内两个同向分笔得macd面积背驰 + # macd_beichi = self.is_fx_macd_divergence(direction=direction, cur_duan=cur_duan) + # if macd_beichi: + # c_dict.update({'macd_beichi': True}) + + # 判断是否存在走势背驰 + zoushi_beichi = self.is_zoushi_beichi(direction=direction, cur_duan=cur_duan) + if zoushi_beichi: + c_dict.update({'zoushi_beichi': True}) + + # 检查当前交叉，是否在最后一个中枢内 + zs = [z for z in self.bi_zs_list[-2:] if z.end > p_time] + if len(zs) > 0: + cur_zs = zs[-1] + c_cross = c_dict.get('cross') + if cur_zs.high > c_cross > cur_zs.low: + c_dict.update({"inside_zs": True}) + def rt_count_ma(self): """ 实时计算MA得值 @@ -3046,15 +3172,21 @@ class CtaRenkoBar(object): if len(self.line_dif) > self.max_hold_bars: del self.line_dif[0] - self.line_dif.append(round(dif_list[-1], self.round_n)) + dif = round(dif_list[-1], self.round_n) + self.line_dif.append(dif) if len(self.line_dea) > self.max_hold_bars: del self.line_dea[0] self.line_dea.append(round(dea_list[-1], self.round_n)) + macd = round(macd_list[-1] * 2, self.round_n) if len(self.line_macd) > self.max_hold_bars: del self.line_macd[0] - self.line_macd.append(round(macd_list[-1] * 2, self.round_n)) # 国内一般是2倍 + self.line_macd.append(macd) # 国内一般是2倍 + + if len(self.index_list) > 0: + self.dict_dif.update({self.index_list[-1]: dif}) + self.dict_macd.update({self.index_list[-1]: macd}) # 更新 “段”（金叉-》死叉；或 死叉-》金叉) segment = self.macd_segment_list[-1] if len(self.macd_segment_list) > 0 else {} @@ -3062,6 +3194,13 @@ class CtaRenkoBar(object): # 创建新的段 if (self.line_macd[-1] > 0 and self.cur_macd_count <= 0) or \ (self.line_macd[-1] < 0 and self.cur_macd_count >= 0): + + # 上一个segment的高低点，作为上、下轨道 + if len(self.macd_segment_list) > 1: + seg = self.macd_segment_list[-2] + self.line_macd_chn_upper.append(seg['max_price']) + self.line_macd_chn_lower.append(seg['min_price']) + segment = {} # 金叉/死叉，更新位置&价格 self.cur_macd_count, self.rt_macd_count = (1, 1) if self.line_macd[-1] > 0 else (-1, -1) @@ -3071,12 +3210,20 @@ class CtaRenkoBar(object): self.rt_macd_cross_price = self.cur_macd_cross_price # 更新段 segment.update({ + 'start': self.cur_datetime.strftime("%Y-%m-%d %H:%M:%S.%f"), + 'end': self.cur_datetime.strftime("%Y-%m-%d %H:%M:%S.%f"), + 'cross': self.cur_macd_cross, 'macd_count': self.cur_macd_count, 'max_price': self.high_array[-1], 'min_price': self.low_array[-1], + 'max_close': self.close_array[-1], + 'min_close': self.close_array[-1], 'max_dif': self.line_dif[-1], 'min_dif': self.line_dif[-1], - 'macd_area': abs(self.line_macd[-1])}) + 'macd_area': abs(self.line_macd[-1]), + 'max_macd': self.line_macd[-1], + 'min_macd': self.line_macd[-1] + }) self.macd_segment_list.append(segment) # 新得能量柱>0，判断是否有底背离，同时，取消原有顶背离 @@ -3095,16 +3242,20 @@ class CtaRenkoBar(object): else: # 继续金叉 - if self.line_macd[-1] > 0 and self.cur_macd_count > 0: + if self.line_macd[-1] > 0 and self.cur_macd_count >= 0: self.cur_macd_count += 1 segment.update({ + 'end': self.cur_datetime.strftime("%Y-%m-%d %H:%M:%S.%f"), 'macd_count': self.cur_macd_count, 'max_price': max(segment.get('max_price', self.high_array[-1]), self.high_array[-1]), 'min_price': min(segment.get('min_price', self.low_array[-1]), self.low_array[-1]), + 'max_close': max(segment.get('max_close', self.close_array[-1]), self.close_array[-1]), + 'min_close': min(segment.get('min_close', self.close_array[-1]), self.close_array[-1]), 'max_dif': max(segment.get('max_dif', self.line_dif[-1]), self.line_dif[-1]), 'min_dif': min(segment.get('min_dif', self.line_dif[-1]), self.line_dif[-1]), - 'macd_area': segment.get('macd_area', 0) + abs(self.line_macd[-1]) + 'macd_area': segment.get('macd_area', 0) + abs(self.line_macd[-1]), + 'max_macd': max(segment.get('max_macd', self.line_macd[-1]), self.line_macd[-1]) }) # 取消实时得记录 self.rt_macd_count = 0 @@ -3112,24 +3263,37 @@ class CtaRenkoBar(object): self.rt_macd_cross_price = 0 # 继续死叉 - elif self.line_macd[-1] > 0 and self.cur_macd_count > 0: + elif self.line_macd[-1] < 0 and self.cur_macd_count <= 0: self.cur_macd_count -= 1 segment.update({ + 'end': self.cur_datetime.strftime("%Y-%m-%d %H:%M:%S.%f"), 'macd_count': self.cur_macd_count, 'max_price': max(segment.get('max_price', self.high_array[-1]), self.high_array[-1]), 'min_price': min(segment.get('min_price', self.low_array[-1]), self.low_array[-1]), + 'max_close': max(segment.get('max_close', self.close_array[-1]), self.close_array[-1]), + 'min_close': min(segment.get('min_close', self.close_array[-1]), self.close_array[-1]), 'max_dif': max(segment.get('max_dif', self.line_dif[-1]), self.line_dif[-1]), 'min_dif': min(segment.get('min_dif', self.line_dif[-1]), self.line_dif[-1]), - 'macd_area': segment.get('macd_area', 0) + abs(self.line_macd[-1]) + 'macd_area': segment.get('macd_area', 0) + abs(self.line_macd[-1]), + 'min_macd': min(segment.get('min_macd', self.line_macd[-1]), self.line_macd[-1]) }) # 取消实时得记录 self.rt_macd_count = 0 self.rt_macd_cross = 0 self.rt_macd_cross_price = 0 - # 删除超过10个的macd段 - if len(self.macd_segment_list) > 10: + # 延续上一个segment的高低点，作为上、下轨道 + if len(self.line_macd_chn_upper) > 0: + self.line_macd_chn_upper.append(self.line_macd_chn_upper[-1]) + self.line_macd_chn_lower.append(self.line_macd_chn_lower[-1]) + + # 删除超过200个的macd段 + if len(self.macd_segment_list) > 200: self.macd_segment_list.pop(0) + if len(self.line_macd_chn_upper) > self.max_hold_bars: + del self.line_macd_chn_upper[0] + if len(self.line_macd_chn_lower) > self.max_hold_bars: + del self.line_macd_chn_lower[0] def rt_count_macd(self): """ @@ -3170,6 +3334,16 @@ class CtaRenkoBar(object): del self.line_macd[0] self.line_macd.append(round(macd_list[-1] * 2, self.round_n)) # 国内一般是2倍 + # 通过bar的时间，获取dif值 + + def get_dif_by_dt(self, str_dt): + return self.dict_dif.get(str_dt, None) + + # 通过bar的时间，获取macd值 + + def get_macd_by_dt(self, str_dt): + return self.dict_macd.get(str_dt, None) + @property def rt_dif(self): self.check_rt_funcs(self.rt_count_macd) @@ -3196,9 +3370,20 @@ class CtaRenkoBar(object): 检查MACD DIF是否与价格有背离 :param: direction，多：检查是否有顶背离，空，检查是否有底背离 """ - s1, s2 = None, None # s1,倒数的一个匹配段；s2，倒数第二个匹配段 - for seg in reversed(self.macd_segment_list): + seg_lens = len(self.macd_segment_list) + if seg_lens <= 2: + return False + # if s1_time and s2_time: + # dif 1 = self.get_dif_by_dt(s1_time) + # dif_2 = self.get_last_bar_str(s2_time) + # + # if direction == Direction.LONG: + # if dif_2 + + s1, s2 = None, None # s1,倒数的一个匹配段；s2，倒数第二个匹配段 + for idx in range(seg_lens): + seg = self.macd_segment_list[-idx - 1] if direction == Direction.LONG: if seg.get('macd_count', 0) > 0: if s1 is None: @@ -3220,6 +3405,8 @@ class CtaRenkoBar(object): return False if direction == Direction.LONG: + s1_macd_counts = s1.get('macd_count', 1) + s2_macd_counts = s2.get('macd_count', 1) s1_max_price = s1.get('max_price', None) s2_max_price = s2.get('max_price', None) s1_dif_max = s1.get('max_dif', None) @@ -3227,6 +3414,10 @@ class CtaRenkoBar(object): if s1_max_price is None or s2_max_price is None or s1_dif_max is None and s2_dif_max is None: return False + # 上升段，累计的bar数量，不能低于6 + if s1_macd_counts < 4 or s2_macd_counts < 4: + return False + # 顶背离，只能在零轴上方才判断 if s1_dif_max < 0 or s2_dif_max < 0: return False @@ -3236,6 +3427,8 @@ class CtaRenkoBar(object): return True if direction == Direction.SHORT: + s1_macd_counts = s1.get('macd_count', 1) + s2_macd_counts = s2.get('macd_count', 1) s1_min_price = s1.get('min_price', None) s2_min_price = s2.get('min_price', None) s1_dif_min = s1.get('min_dif', None) @@ -3243,6 +3436,10 @@ class CtaRenkoBar(object): if s1_min_price is None or s2_min_price is None or s1_dif_min is None and s2_dif_min is None: return False + # 每个下跌段，累计的bar数量，不能低于6 + if abs(s1_macd_counts) < 4 or abs(s2_macd_counts) < 4: + return False + # 底部背离，只能在零轴下方才判断 if s1_dif_min > 0 or s1_dif_min > 0: return False @@ -3253,54 +3450,83 @@ class CtaRenkoBar(object): return False - def is_macd_divergence(self, direction): + def is_macd_divergence(self, direction, s1_time=None, s2_time=None): """ 检查MACD 能量柱是否与价格有背离 :param: direction，多：检查是否有顶背离，空，检查是否有底背离 + :param: s1_time, 指定在这个时间得能量柱区域s1， 不填写时，缺省为倒数第一个匹配段 + :param: s2_time, 指定在这个时间得能量柱区域s2， 不填写时，缺省为倒数第一个匹配段 """ + seg_lens = len(self.macd_segment_list) + if seg_lens <= 2: + return False s1, s2 = None, None # s1,倒数的一个匹配段；s2，倒数第二个匹配段 - for seg in reversed(self.macd_segment_list): + if s1_time and s2_time: + s1 = [s for s in self.macd_segment_list if s['start'] < s1_time < s['end']] + s2 = [s for s in self.macd_segment_list if s['start'] < s2_time < s['end']] + if len(s1) != 1 or len(s2) != 1: + return False + s1 = s1[-1] + s2 = s2[-1] - if direction == Direction.LONG: - if seg.get('macd_count', 0) > 0: - if s1 is None: - s1 = seg - continue - elif s2 is None: - s2 = seg - break - else: - if seg.get('macd_count', 0) < 0: - if s1 is None: - s1 = seg - continue - elif s2 is None: - s2 = seg - break + # 指定匹配段，必须与direction一致 + if direction in [Direction.LONG, 1] and (s1['macd_count'] < 0 or s2['macd_count']) < 0: + return False + if direction in [Direction.SHORT, -1] and (s1['macd_count'] > 0 or s2['macd_count']) > 0: + return False + + else: + # 没有指定能量柱子区域，从列表中选择 + for idx in range(seg_lens): + seg = self.macd_segment_list[-idx - 1] + if direction in [Direction.LONG, 1]: + if seg.get('macd_count', 0) > 0: + if s1 is None: + s1 = seg + continue + elif s2 is None: + s2 = seg + break + else: + if seg.get('macd_count', 0) < 0: + if s1 is None: + s1 = seg + continue + elif s2 is None: + s2 = seg + break if not all([s1, s2]): return False - if direction == Direction.LONG: + if direction in [Direction.LONG, 1]: + s1_macd_counts = s1.get('macd_count', 1) + s2_macd_counts = s2.get('macd_count', 1) s1_max_price = s1.get('max_price', None) s2_max_price = s2.get('max_price', None) s1_area = s1.get('macd_area', None) s2_area = s2.get('macd_area', None) if s1_max_price is None or s2_max_price is None or s1_area is None and s2_area is None: return False - + # 上升段，累计的bar数量，不能低于6 + if s1_macd_counts < 6 or s2_macd_counts < 6: + return False # 价格创新高（超过前高得0.99）；MACD能量柱没有创更大面积 if s1_max_price >= s2_max_price * 0.99 and s1_area < s2_area: return True - if direction == Direction.SHORT: + if direction in [Direction.SHORT, -1]: + s1_macd_counts = s1.get('macd_count', 1) + s2_macd_counts = s2.get('macd_count', 1) s1_min_price = s1.get('min_price', None) s2_min_price = s2.get('min_price', None) s1_area = s1.get('macd_area', None) s2_area = s2.get('macd_area', None) if s1_min_price is None or s2_min_price is None or s1_area is None and s2_area is None: return False - + # 每个下跌段，累计的bar数量，不能低于6 + if abs(s1_macd_counts) < 6 or abs(s2_macd_counts) < 6: + return False # 价格创新低，MACD能量柱没有创更大面积 if s1_min_price <= s2_min_price * 1.01 and s1_area < s2_area: return True @@ -4103,109 +4329,227 @@ class CtaRenkoBar(object): self.__count_chanlun() return self._duan_list + @property + def cur_duan(self): + """当前线段""" + return self.duan_list[-1] if len(self.duan_list) > 0 else None + + @property + def pre_duan(self): + """倒数第二个线段""" + return self.duan_list[-2] if len(self.duan_list) > 1 else None + + @property + def tre_duan(self): + """倒数第三个线段""" + return self.duan_list[-3] if len(self.duan_list) > 2 else None + @property def duan_zs_list(self): if not self.chanlun_calculated: self.__count_chanlun() return self._duan_zs_list - def is_bi_beichi_inside_duan(self, direction): - """当前段内的笔，是否形成背驰""" - if len(self._duan_list) == 0: + def duan_height_ma(self, duan_len=20): + """返回段得平均高度""" + if not self.chanlun_calculated: + self.__count_chanlun() + duan_list = self.duan_list[-duan_len:] + return round(sum([d.height for d in duan_list]) / max(1, len(duan_list)), self.round_n) + + def bi_height_ma(self, bi_len=20): + """返回分笔得平均高度""" + if not self.chanlun_calculated: + self.__count_chanlun() + bi_list = self.bi_list[-bi_len:] + return round(sum([bi.height for bi in bi_list]) / max(1, len(bi_list)), self.round_n) + + def export_chan(self): + """ + 输出缠论 =》 csv文件 + :return: + """ + if not self.para_active_chanlun: + return + + if self.export_bi_filename: + # csv 文件 "start", "end", "direction", "height", "high", "low" + # 获取最后记录的start 开始时间 + if self.pre_bi_start is None: + self.pre_bi_start = self.get_csv_last_dt(self.export_bi_filename, dt_index=0) + if isinstance(self.pre_bi_start, datetime): + self.pre_bi_start = self.pre_bi_start.strftime("%Y-%m-%d %H:%M:%S.%f") + + # 获取所有未写入文件的笔 + bi_list = [bi for bi in self.bi_list[:-1] if (not self.pre_bi_start) or bi.start > self.pre_bi_start] + for bi in bi_list: + self.append_data( + file_name=self.export_bi_filename, + dict_data={"start": bi.start, "end": bi.end, "direction": int(bi.direction), + "height": float(bi.high - bi.low), "high": float(bi.high), "low": float(bi.low)}, + field_names=["start", "end", "direction", "height", "high", "low"] + ) + self.pre_bi_start = bi.start + + if self.export_zs_filename: + # csv 文件 "start", "end", "direction", "height", "high", "low" + # 获取最后记录的start 开始时间 + if self.pre_zs_start is None: + self.pre_zs_start = self.get_csv_last_dt(self.export_zs_filename, dt_index=0) + if isinstance(self.pre_zs_start, datetime): + self.pre_zs_start = self.pre_zs_start.strftime("%Y-%m-%d %H:%M:%S.%f") + + # 获取所有未写入文件的zs + zs_list = [zs for zs in self.bi_zs_list[:-1] if (not self.pre_zs_start) or zs.start > self.pre_zs_start] + for zs in zs_list: + self.append_data( + file_name=self.export_zs_filename, + dict_data={"start": zs.start, "end": zs.end, "direction": int(zs.direction), + "height": float(zs.high - zs.low), "high": float(zs.high), "low": float(zs.low)}, + field_names=["start", "end", "direction", "height", "high", "low"] + ) + self.pre_zs_start = zs.start + + if self.export_duan_filename: + # csv 文件 "start", "end", "direction", "height", "high", "low" + # 获取最后记录的start 开始时间 + if self.pre_duan_start is None: + self.pre_duan_start = self.get_csv_last_dt(self.export_duan_filename, dt_index=0) + if isinstance(self.pre_duan_start, datetime): + self.pre_duan_start = self.pre_duan_start.strftime("%Y-%m-%d %H:%M:%S.%f") + + # 获取所有未写入文件的笔 + duan_list = [duan for duan in self.duan_list[:-1] if + (not self.pre_duan_start) or duan.start > self.pre_duan_start] + for duan in duan_list: + self.append_data( + file_name=self.export_duan_filename, + dict_data={"start": duan.start, "end": duan.end, "direction": int(duan.direction), + "height": float(duan.high - duan.low), "high": float(duan.high), "low": float(duan.low)}, + field_names=["start", "end", "direction", "height", "high", "low"] + ) + self.pre_duan_start = duan.start + + def is_duan(self, direction): + """当前最新一线段，是否与输入方向一致""" + if isinstance(direction, Direction): + direction = 1 if direction == Direction.LONG else -1 + if len(self.duan_list) == 0: return False + return self.duan_list[-1].direction == direction + + def is_bi_beichi_inside_duan(self, direction, cur_duan=None): + """ + 当前段内的笔，是否形成背驰 + :param direction: + :param cur_duan: 指定某一线段 + :return: + """ # Direction => int if isinstance(direction, Direction): direction = 1 if direction == Direction.LONG else -1 - # 分型需要确认 - if self.fenxing_list[-1].is_rt: - return False + if cur_duan is None: + if len(self.duan_list) == 0: + return False - # 当前段 - duan = self._duan_list[-1] - if duan.direction != direction: + # 分型需要确认 + if self.fenxing_list[-1].is_rt: + return False + + # 取当前段 + cur_duan = self.duan_list[-1] + # 获取最近2个匹配direction的分型 + fx_list = [fx for fx in self._fenxing_list[-4:] if fx.direction == direction] + if len(fx_list) != 2: + return False + + # 这里是排除段的信号出错，获取了很久之前的一段，而不是最新的一段 + if cur_duan.end < fx_list[0].index: + return False + + if cur_duan.direction != direction: return False # 当前段包含的分笔，必须大于等于5(缠论里面，如果只有三个分笔，背驰的力度比较弱） - if len(duan.bi_list) < 5: - return False - - # 获取最近2个匹配direction的分型 - fx_list = [fx for fx in self._fenxing_list[-4:] if fx.direction == direction] - if len(fx_list) != 2: - return False - - # 这里是排除段的信号出错，获取了很久之前的一段，而不是最新的一段 - if duan.end < fx_list[0].index: + if len(cur_duan.bi_list) < 5: return False # 分笔与段同向 - if duan.bi_list[-1].direction != direction \ - or duan.bi_list[-3].direction != direction \ - or duan.bi_list[-5].direction != direction: + if cur_duan.bi_list[-1].direction != direction \ + or cur_duan.bi_list[-3].direction != direction \ + or cur_duan.bi_list[-5].direction != direction: return False # 背驰: 同向分笔，逐笔提升，最后一笔，比上一同向笔，短,斜率也比上一同向笔小 if direction == 1: - if duan.bi_list[-1].low > duan.bi_list[-3].low > duan.bi_list[-5].low \ - and duan.bi_list[-1].low > duan.bi_list[-5].high \ - and duan.bi_list[-1].height < duan.bi_list[-3].height \ - and duan.bi_list[-1].atan < duan.bi_list[-3].atan: + if cur_duan.bi_list[-1].low > cur_duan.bi_list[-3].low > cur_duan.bi_list[-5].low \ + and cur_duan.bi_list[-1].low > cur_duan.bi_list[-5].high \ + and cur_duan.bi_list[-1].height < cur_duan.bi_list[-3].height \ + and cur_duan.bi_list[-1].atan < cur_duan.bi_list[-3].atan: return True if direction == -1: - if duan.bi_list[-1].high < duan.bi_list[-3].high < duan.bi_list[-5].high \ - and duan.bi_list[-1].high < duan.bi_list[-5].low \ - and duan.bi_list[-1].height < duan.bi_list[-3].height \ - and duan.bi_list[-1].atan < duan.bi_list[-3].atan: + if cur_duan.bi_list[-1].high < cur_duan.bi_list[-3].high < cur_duan.bi_list[-5].high \ + and cur_duan.bi_list[-1].high < cur_duan.bi_list[-5].low \ + and cur_duan.bi_list[-1].height < cur_duan.bi_list[-3].height \ + and cur_duan.bi_list[-1].atan < cur_duan.bi_list[-3].atan: return True return False - def is_fx_macd_divergence(self, direction): + def is_fx_macd_divergence(self, direction, cur_duan=None, use_macd=False): """ 分型的macd背离 :param direction: 1，-1 或者 Direction.LONG（判断是否顶背离）, Direction.SHORT（判断是否底背离） - + : cur_duan 当前段 + : use_macd 使用macd红柱，绿柱进行比较 :return: """ if isinstance(direction, Direction): direction = 1 if direction == Direction.LONG else -1 - # 当前段 - duan = self._duan_list[-1] + if cur_duan is None: - if duan.direction != direction: + if len(self.duan_list) == 0: + return False + # 当前段 + cur_duan = self.duan_list[-1] + + # 获取最近2个匹配direction的分型 + fx_list = [fx for fx in self._fenxing_list[-4:] if fx.direction == direction] + if len(fx_list) != 2: + return False + + # 这里是排除段的信号出错，获取了很久之前的一段，而不是最新的一段 + if cur_duan.end < fx_list[0].index: + return False + + if cur_duan.direction != direction: return False # 当前段包含的分笔，必须大于3 - if len(duan.bi_list) <= 3: + if len(cur_duan.bi_list) < 3: return False - # 获取最近2个匹配direction的分型 - fx_list = [fx for fx in self._fenxing_list[-4:] if fx.direction == direction] - if len(fx_list) != 2: - return False - - # 这里是排除段的信号出错，获取了很久之前的一段，而不是最新的一段 - if duan.end < fx_list[0].index: - return False - - pre_dif = self.get_dif_by_dt(fx_list[0].index) - cur_dif = self.get_dif_by_dt(fx_list[1].index) - if pre_dif is None or cur_dif is None: + # 获取倒数第二根同向分笔的结束dif值或macd值 + pre_value = self.get_macd_by_dt(cur_duan.bi_list[-3].end) if use_macd else self.get_dif_by_dt( + cur_duan.bi_list[-3].end) + cur_value = self.get_macd_by_dt(cur_duan.bi_list[-1].end) if use_macd else self.get_dif_by_dt( + cur_duan.bi_list[-1].end) + if pre_value is None or cur_value is None: return False if direction == 1: # 前顶分型顶部价格 - pre_price = fx_list[0].high + pre_price = cur_duan.bi_list[-3].high # 当前顶分型顶部价格 - cur_price = fx_list[1].high - if pre_price < cur_price and pre_dif >= cur_dif and 0 < self.line_dif[-1] < self.line_dif[-2]: + cur_price = cur_duan.bi_list[-1].high + if pre_price < cur_price and pre_value >= cur_value > 0: return True else: - pre_price = fx_list[0].low - cur_price = fx_list[1].low - if pre_price > cur_price and pre_dif <= cur_dif and self.line_dif[-2] < self.line_dif[-1] < 0: + pre_price = cur_duan.bi_list[-3].low + cur_price = cur_duan.bi_list[-1].low + if pre_price > cur_price and pre_value <= cur_value < 0: return True return False @@ -4213,6 +4557,7 @@ class CtaRenkoBar(object): def is_2nd_opportunity(self, direction): """ 是二买、二卖机会 + 线段内必须至少有一个以上中枢 【二买】当前线段下行，最后2笔不在线段中，最后一笔与下行线段同向，该笔底部不破线段底部，底分型出现且确认 【二卖】当前线段上行，最后2笔不在线段中，最后一笔与上行线段同向，该笔顶部不破线段顶部，顶分型出现且确认 :param direction: 1、Direction.LONG, 当前线段的方向, 判断是否二卖机会； -1 Direction.SHORT， 判断是否二买 @@ -4223,12 +4568,22 @@ class CtaRenkoBar(object): direction = 1 if direction == Direction.LONG else -1 # 具备段 - if len(self.duan_list) < 1: + if len(self.duan_list) < 2: return False cur_duan = self.duan_list[-1] if cur_duan.direction != direction: return False + # 检查是否具有两个连续得笔中枢 + zs_list = [zs for zs in self.bi_zs_list[-5:] if zs.end > self.duan_list[-2].start] + if len(zs_list) <2: + return False + pre_zs,cur_zs = zs_list[-2:] + if direction == 1 and pre_zs.high > cur_zs.low: + return False + if direction == -1 and pre_zs.low < cur_zs.high: + return False + # 当前段到最新bar之间的笔列表（此时未出现中枢） extra_bi_list = [bi for bi in self.bi_list[-3:] if bi.end > cur_duan.end] if len(extra_bi_list) < 2: @@ -4252,7 +4607,7 @@ class CtaRenkoBar(object): return False - def is_contain_zs_inside_duan(self, direction, zs_num): + def is_contain_zs_inside_duan(self, direction, cur_duan=None, zs_num=1): """最近段，符合方向，并且至少包含zs_num个中枢""" # Direction => int @@ -4262,16 +4617,22 @@ class CtaRenkoBar(object): # 具备中枢 if len(self.bi_zs_list) < zs_num: return False - # 具备段 - if len(self.duan_list) < 1: - return False - cur_duan = self.duan_list[-1] + if cur_duan is None: + # 具备段 + if len(self.duan_list) < 1: + return False + cur_duan = self.duan_list[-1] + if cur_duan.direction != direction: return False # 段的开始时间，至少大于前zs_num个中枢的结束时间 - if cur_duan.start > self.bi_zs_list[-zs_num].end: + # if cur_duan.start > self.bi_zs_list[-zs_num].end: + # return False + zs_list = [zs for zs in self.bi_zs_list if zs.end > cur_duan.start and zs.start < cur_duan.end] + + if len(zs_list) < zs_num: return False return True @@ -4303,7 +4664,7 @@ class CtaRenkoBar(object): return False - def is_zs_beichi_inside_duan(self, direction): + def is_zs_beichi_inside_duan(self, direction, cur_duan=None): """是否中枢盘整背驰，进入笔、离去笔，高度，能量背驰""" # Direction => int @@ -4313,16 +4674,23 @@ class CtaRenkoBar(object): # 具备中枢 if len(self.bi_zs_list) < 1: return False - # 具备段 - if len(self.duan_list) < 1: - return False - # 最后线段 - cur_duan = self.duan_list[-1] - if cur_duan.direction != direction: - return False - # 线段内的笔中枢（取前三个就可以了） - zs_list_inside_duan = [zs for zs in self.bi_zs_list[-3:] if zs.start >= cur_duan.start] + if cur_duan is None: + # 具备段 + if len(self.duan_list) < 1: + return False + # 最后线段 + cur_duan = self.duan_list[-1] + if cur_duan.direction != direction: + return False + + # 分型需要确认 + if self.fenxing_list[-1].is_rt: + return False + + # 线段内的笔中枢（取前10个就可以了） + zs_list_inside_duan = [zs for zs in self.bi_zs_list[-10:] if + zs.start >= cur_duan.start and zs.end <= cur_duan.end] # 无中枢，或者超过1个中枢，都不符合中枢背驰 if len(zs_list_inside_duan) != 1: @@ -4334,10 +4702,6 @@ class CtaRenkoBar(object): if cur_duan.bi_list[-1].end != cur_zs.bi_list[-1].end: return False - # 分型需要确认 - if self.fenxing_list[-1].is_rt: - return False - # 找出中枢得进入笔 entry_bi = cur_zs.bi_list[0] if entry_bi.direction != direction: @@ -4417,10 +4781,11 @@ class CtaRenkoBar(object): return False - def is_zoushi_beichi(self, direction): + def is_zoushi_beichi(self, direction, cur_duan=None): """ 判断是否走势背驰 - :param direction: + :param direction: 走势方向 + :param cur_duan: 走势线段， :return: """ # Direction => int @@ -4430,16 +4795,26 @@ class CtaRenkoBar(object): # 具备中枢 if len(self.bi_zs_list) < 1: return False - # 具备段 - if len(self.duan_list) < 1: - return False - # 最后线段 - cur_duan = self.duan_list[-1] + if cur_duan is None: + # 具备段 + if len(self.duan_list) < 1: + return False + + # 最后线段 + cur_duan = self.duan_list[-1] + + # 判断分型 + fx_list = [fx for fx in self.fenxing_list[-4:] if fx.direction == direction] + if len(fx_list) > 0: + if fx_list[-1].is_rt: + return False + if cur_duan.direction != direction: return False - # 线段内的笔中枢（取前三个就可以了） - zs_list_inside_duan = [zs for zs in self.bi_zs_list[-3:] if zs.start >= cur_duan.start] + # 线段内的笔中枢（取前10个就可以了） + zs_list_inside_duan = [zs for zs in self.bi_zs_list[-10:] if + zs.start >= cur_duan.start and zs.end <= cur_duan.end] # 少于2个中枢，都不符合走势背驰 if len(zs_list_inside_duan) < 2: @@ -4471,14 +4846,13 @@ class CtaRenkoBar(object): if bi_leave_cur_zs.start != self.bi_list[-1].start: return False - fx = [fx for fx in self.fenxing_list[-2:] if fx.direction == direction][-1] - if fx.is_rt: - return False - # 中枢间的分笔，能量大于最后分笔，形成走势背驰 if bi_between_zs.height > bi_leave_cur_zs.height and bi_between_zs.atan > bi_leave_cur_zs.atan: return True + if self.is_macd_divergence(direction=direction, s1_time=bi_leave_cur_zs.end, s2_time=bi_between_zs.end): + return True + return False # ---------------------------------------------------------------------- @@ -4504,6 +4878,11 @@ class CtaRenkoBar(object): continue field_names.append(field_name) if source == 'bar': + # if type_ == 'datetime': + # dt = getattr(bar, str(attr_name), None) + # if dt: + # save_dict[field_name] = dt.strftime('%Y-%m-%d %H:%M:%S.%f') + # else: save_dict[field_name] = getattr(bar, str(attr_name), None) else: if type_ == 'list': @@ -4584,7 +4963,7 @@ class CtaRenkoBar(object): writer.writerow(dict_data) else: dt = dict_data.get('datetime', None) - if dt is not None: + if dt is not None and isinstance(dt, datetime): dt_index = dict_fieldnames.index('datetime') last_dt = self.get_csv_last_dt(file_name=file_name, dt_index=dt_index, line_length=sys.getsizeof(dict_data) / 8 + 1) @@ -4606,6 +4985,8 @@ class CtaRenkoBar(object): :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 None with open(file_name, 'r') as f: f_size = os.path.getsize(file_name) if f_size < line_length: @@ -4616,7 +4997,11 @@ class CtaRenkoBar(object): datas = row.split(',') if len(datas) > dt_index + 1: try: - last_dt = datetime.strptime(datas[dt_index], '%Y-%m-%d %H:%M:%S') + str_dt = datas[dt_index] + if '.' in str_dt: + last_dt = datetime.strptime(datas[dt_index], '%Y-%m-%d %H:%M:%S.%f') + else: + last_dt = datetime.strptime(datas[dt_index], '%Y-%m-%d %H:%M:%S') return last_dt except Exception: return None