[Mod]将BarGenerator和ArrayManager移动到vtUtility.py中，Close #1084
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vn.py
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@ -30,9 +30,6 @@ rq.init(USERNAME, PASSWORD)
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FIELDS = ['open', 'high', 'low', 'close', 'volume']
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#print (rq.all_instruments(type='Future'))
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#print(rq.get_price('IF99', frequency='1m', fields=FIELDS))
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#----------------------------------------------------------------------
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def generateVtBar(row, symbol):
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"""生成K线"""
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@ -4,11 +4,8 @@
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本文件包含了CTA引擎中的策略开发用模板，开发策略时需要继承CtaTemplate类。
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'''
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import numpy as np
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import talib
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from vnpy.trader.vtConstant import *
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from vnpy.trader.vtObject import VtBarData
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from vnpy.trader.vtUtility import BarGenerator, ArrayManager
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from .ctaBase import *
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@ -201,7 +198,6 @@ class CtaTemplate(object):
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return self.ctaEngine.getPriceTick(self)
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########################################################################
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class TargetPosTemplate(CtaTemplate):
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"""
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@ -341,282 +337,6 @@ class TargetPosTemplate(CtaTemplate):
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self.orderList.extend(l)
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########################################################################
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class BarGenerator(object):
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"""
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K线合成器，支持：
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1. 基于Tick合成1分钟K线
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2. 基于1分钟K线合成X分钟K线（X可以是2、3、5、10、15、30 ）
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"""
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#----------------------------------------------------------------------
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def __init__(self, onBar, xmin=0, onXminBar=None):
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"""Constructor"""
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self.bar = None # 1分钟K线对象
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self.onBar = onBar # 1分钟K线回调函数
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self.xminBar = None # X分钟K线对象
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self.xmin = xmin # X的值
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self.onXminBar = onXminBar # X分钟K线的回调函数
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self.lastTick = None # 上一TICK缓存对象
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#----------------------------------------------------------------------
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def updateTick(self, tick):
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"""TICK更新"""
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newMinute = False # 默认不是新的一分钟
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# 尚未创建对象
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if not self.bar:
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self.bar = VtBarData()
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newMinute = True
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# 新的一分钟
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elif self.bar.datetime.minute != tick.datetime.minute:
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# 生成上一分钟K线的时间戳
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self.bar.datetime = self.bar.datetime.replace(second=0, microsecond=0) # 将秒和微秒设为0
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self.bar.date = self.bar.datetime.strftime('%Y%m%d')
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self.bar.time = self.bar.datetime.strftime('%H:%M:%S.%f')
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# 推送已经结束的上一分钟K线
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self.onBar(self.bar)
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# 创建新的K线对象
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self.bar = VtBarData()
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newMinute = True
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# 初始化新一分钟的K线数据
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if newMinute:
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self.bar.vtSymbol = tick.vtSymbol
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self.bar.symbol = tick.symbol
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self.bar.exchange = tick.exchange
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self.bar.open = tick.lastPrice
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self.bar.high = tick.lastPrice
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self.bar.low = tick.lastPrice
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# 累加更新老一分钟的K线数据
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else:
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self.bar.high = max(self.bar.high, tick.lastPrice)
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self.bar.low = min(self.bar.low, tick.lastPrice)
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# 通用更新部分
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self.bar.close = tick.lastPrice
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self.bar.datetime = tick.datetime
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self.bar.openInterest = tick.openInterest
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if self.lastTick:
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volumeChange = tick.volume - self.lastTick.volume # 当前K线内的成交量
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self.bar.volume += max(volumeChange, 0) # 避免夜盘开盘lastTick.volume为昨日收盘数据，导致成交量变化为负的情况
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# 缓存Tick
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self.lastTick = tick
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#----------------------------------------------------------------------
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def updateBar(self, bar):
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"""1分钟K线更新"""
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# 尚未创建对象
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if not self.xminBar:
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self.xminBar = VtBarData()
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self.xminBar.vtSymbol = bar.vtSymbol
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self.xminBar.symbol = bar.symbol
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self.xminBar.exchange = bar.exchange
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self.xminBar.open = bar.open
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self.xminBar.high = bar.high
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self.xminBar.low = bar.low
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self.xminBar.datetime = bar.datetime # 以第一根分钟K线的开始时间戳作为X分钟线的时间戳
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# 累加老K线
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else:
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self.xminBar.high = max(self.xminBar.high, bar.high)
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self.xminBar.low = min(self.xminBar.low, bar.low)
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# 通用部分
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self.xminBar.close = bar.close
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self.xminBar.openInterest = bar.openInterest
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self.xminBar.volume += int(bar.volume)
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# X分钟已经走完
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if not (bar.datetime.minute + 1) % self.xmin: # 可以用X整除
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# 生成上一X分钟K线的时间戳
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self.xminBar.datetime = self.xminBar.datetime.replace(second=0, microsecond=0) # 将秒和微秒设为0
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self.xminBar.date = self.xminBar.datetime.strftime('%Y%m%d')
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self.xminBar.time = self.xminBar.datetime.strftime('%H:%M:%S.%f')
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# 推送
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self.onXminBar(self.xminBar)
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# 清空老K线缓存对象
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self.xminBar = None
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#----------------------------------------------------------------------
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def generate(self):
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"""手动强制立即完成K线合成"""
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self.onBar(self.bar)
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self.bar = None
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########################################################################
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class ArrayManager(object):
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"""
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K线序列管理工具，负责：
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1. K线时间序列的维护
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2. 常用技术指标的计算
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"""
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#----------------------------------------------------------------------
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def __init__(self, size=100):
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"""Constructor"""
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self.count = 0 # 缓存计数
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self.size = size # 缓存大小
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self.inited = False # True if count>=size
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self.openArray = np.zeros(size) # OHLC
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self.highArray = np.zeros(size)
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self.lowArray = np.zeros(size)
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self.closeArray = np.zeros(size)
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self.volumeArray = np.zeros(size)
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#----------------------------------------------------------------------
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def updateBar(self, bar):
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"""更新K线"""
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self.count += 1
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if not self.inited and self.count >= self.size:
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self.inited = True
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self.openArray[0:self.size-1] = self.openArray[1:self.size]
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self.highArray[0:self.size-1] = self.highArray[1:self.size]
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self.lowArray[0:self.size-1] = self.lowArray[1:self.size]
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self.closeArray[0:self.size-1] = self.closeArray[1:self.size]
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self.volumeArray[0:self.size-1] = self.volumeArray[1:self.size]
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self.openArray[-1] = bar.open
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self.highArray[-1] = bar.high
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self.lowArray[-1] = bar.low
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self.closeArray[-1] = bar.close
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self.volumeArray[-1] = bar.volume
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#----------------------------------------------------------------------
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@property
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def open(self):
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"""获取开盘价序列"""
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return self.openArray
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#----------------------------------------------------------------------
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@property
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def high(self):
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"""获取最高价序列"""
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return self.highArray
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#----------------------------------------------------------------------
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@property
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def low(self):
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"""获取最低价序列"""
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return self.lowArray
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#----------------------------------------------------------------------
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@property
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def close(self):
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"""获取收盘价序列"""
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return self.closeArray
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#----------------------------------------------------------------------
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@property
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def volume(self):
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"""获取成交量序列"""
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return self.volumeArray
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#----------------------------------------------------------------------
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def sma(self, n, array=False):
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"""简单均线"""
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result = talib.SMA(self.close, n)
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if array:
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return result
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return result[-1]
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#----------------------------------------------------------------------
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def std(self, n, array=False):
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"""标准差"""
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result = talib.STDDEV(self.close, n)
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if array:
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return result
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return result[-1]
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#----------------------------------------------------------------------
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def cci(self, n, array=False):
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"""CCI指标"""
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result = talib.CCI(self.high, self.low, self.close, n)
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if array:
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return result
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return result[-1]
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#----------------------------------------------------------------------
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def atr(self, n, array=False):
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"""ATR指标"""
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result = talib.ATR(self.high, self.low, self.close, n)
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if array:
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return result
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return result[-1]
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#----------------------------------------------------------------------
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def rsi(self, n, array=False):
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"""RSI指标"""
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result = talib.RSI(self.close, n)
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if array:
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return result
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return result[-1]
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#----------------------------------------------------------------------
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def macd(self, fastPeriod, slowPeriod, signalPeriod, array=False):
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"""MACD指标"""
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macd, signal, hist = talib.MACD(self.close, fastPeriod,
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slowPeriod, signalPeriod)
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if array:
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return macd, signal, hist
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return macd[-1], signal[-1], hist[-1]
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#----------------------------------------------------------------------
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def adx(self, n, array=False):
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"""ADX指标"""
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result = talib.ADX(self.high, self.low, self.close, n)
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if array:
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return result
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return result[-1]
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#----------------------------------------------------------------------
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def boll(self, n, dev, array=False):
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"""布林通道"""
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mid = self.sma(n, array)
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std = self.std(n, array)
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up = mid + std * dev
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down = mid - std * dev
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return up, down
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#----------------------------------------------------------------------
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def keltner(self, n, dev, array=False):
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"""肯特纳通道"""
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mid = self.sma(n, array)
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atr = self.atr(n, array)
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up = mid + atr * dev
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down = mid - atr * dev
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return up, down
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#----------------------------------------------------------------------
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def donchian(self, n, array=False):
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"""唐奇安通道"""
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up = talib.MAX(self.high, n)
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down = talib.MIN(self.low, n)
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if array:
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return up, down
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return up[-1], down[-1]
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########################################################################
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class CtaSignal(object):
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"""
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@ -647,9 +367,3 @@ class CtaSignal(object):
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def getSignalPos(self):
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"""获取信号仓位"""
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return self.signalPos
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@ -21,7 +21,7 @@ from vnpy.event import Event
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from vnpy.trader.vtEvent import *
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from vnpy.trader.vtFunction import todayDate, getJsonPath
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from vnpy.trader.vtObject import VtSubscribeReq, VtLogData, VtBarData, VtTickData
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from vnpy.trader.app.ctaStrategy.ctaTemplate import BarGenerator
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from vnpy.trader.vtUtility import BarGenerator
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from .drBase import *
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from .language import text
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283
vnpy/trader/vtUtility.py
Normal file
283
vnpy/trader/vtUtility.py
Normal file
@ -0,0 +1,283 @@
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# encoding: UTF-8
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import numpy as np
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import talib
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from vnpy.trader.vtObject import VtBarData
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########################################################################
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class BarGenerator(object):
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"""
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K线合成器，支持：
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1. 基于Tick合成1分钟K线
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2. 基于1分钟K线合成X分钟K线（X可以是2、3、5、10、15、30 ）
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"""
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#----------------------------------------------------------------------
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def __init__(self, onBar, xmin=0, onXminBar=None):
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"""Constructor"""
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self.bar = None # 1分钟K线对象
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self.onBar = onBar # 1分钟K线回调函数
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self.xminBar = None # X分钟K线对象
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self.xmin = xmin # X的值
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self.onXminBar = onXminBar # X分钟K线的回调函数
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self.lastTick = None # 上一TICK缓存对象
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#----------------------------------------------------------------------
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def updateTick(self, tick):
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"""TICK更新"""
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newMinute = False # 默认不是新的一分钟
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# 尚未创建对象
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if not self.bar:
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self.bar = VtBarData()
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newMinute = True
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# 新的一分钟
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elif self.bar.datetime.minute != tick.datetime.minute:
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# 生成上一分钟K线的时间戳
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self.bar.datetime = self.bar.datetime.replace(second=0, microsecond=0) # 将秒和微秒设为0
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self.bar.date = self.bar.datetime.strftime('%Y%m%d')
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self.bar.time = self.bar.datetime.strftime('%H:%M:%S.%f')
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# 推送已经结束的上一分钟K线
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self.onBar(self.bar)
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# 创建新的K线对象
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self.bar = VtBarData()
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newMinute = True
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# 初始化新一分钟的K线数据
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if newMinute:
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self.bar.vtSymbol = tick.vtSymbol
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self.bar.symbol = tick.symbol
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self.bar.exchange = tick.exchange
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self.bar.open = tick.lastPrice
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self.bar.high = tick.lastPrice
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self.bar.low = tick.lastPrice
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# 累加更新老一分钟的K线数据
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else:
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self.bar.high = max(self.bar.high, tick.lastPrice)
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self.bar.low = min(self.bar.low, tick.lastPrice)
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# 通用更新部分
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self.bar.close = tick.lastPrice
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self.bar.datetime = tick.datetime
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self.bar.openInterest = tick.openInterest
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if self.lastTick:
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volumeChange = tick.volume - self.lastTick.volume # 当前K线内的成交量
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self.bar.volume += max(volumeChange, 0) # 避免夜盘开盘lastTick.volume为昨日收盘数据，导致成交量变化为负的情况
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# 缓存Tick
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self.lastTick = tick
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#----------------------------------------------------------------------
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def updateBar(self, bar):
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"""1分钟K线更新"""
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# 尚未创建对象
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if not self.xminBar:
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self.xminBar = VtBarData()
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self.xminBar.vtSymbol = bar.vtSymbol
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self.xminBar.symbol = bar.symbol
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self.xminBar.exchange = bar.exchange
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self.xminBar.open = bar.open
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self.xminBar.high = bar.high
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self.xminBar.low = bar.low
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self.xminBar.datetime = bar.datetime # 以第一根分钟K线的开始时间戳作为X分钟线的时间戳
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# 累加老K线
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else:
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self.xminBar.high = max(self.xminBar.high, bar.high)
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self.xminBar.low = min(self.xminBar.low, bar.low)
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# 通用部分
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self.xminBar.close = bar.close
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self.xminBar.openInterest = bar.openInterest
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self.xminBar.volume += int(bar.volume)
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# X分钟已经走完
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if not (bar.datetime.minute + 1) % self.xmin: # 可以用X整除
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# 生成上一X分钟K线的时间戳
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self.xminBar.datetime = self.xminBar.datetime.replace(second=0, microsecond=0) # 将秒和微秒设为0
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self.xminBar.date = self.xminBar.datetime.strftime('%Y%m%d')
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self.xminBar.time = self.xminBar.datetime.strftime('%H:%M:%S.%f')
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# 推送
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self.onXminBar(self.xminBar)
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# 清空老K线缓存对象
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self.xminBar = None
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#----------------------------------------------------------------------
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def generate(self):
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"""手动强制立即完成K线合成"""
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self.onBar(self.bar)
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self.bar = None
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########################################################################
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class ArrayManager(object):
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"""
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K线序列管理工具，负责：
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1. K线时间序列的维护
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2. 常用技术指标的计算
|
||||
"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, size=100):
|
||||
"""Constructor"""
|
||||
self.count = 0 # 缓存计数
|
||||
self.size = size # 缓存大小
|
||||
self.inited = False # True if count>=size
|
||||
|
||||
self.openArray = np.zeros(size) # OHLC
|
||||
self.highArray = np.zeros(size)
|
||||
self.lowArray = np.zeros(size)
|
||||
self.closeArray = np.zeros(size)
|
||||
self.volumeArray = np.zeros(size)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def updateBar(self, bar):
|
||||
"""更新K线"""
|
||||
self.count += 1
|
||||
if not self.inited and self.count >= self.size:
|
||||
self.inited = True
|
||||
|
||||
self.openArray[0:self.size-1] = self.openArray[1:self.size]
|
||||
self.highArray[0:self.size-1] = self.highArray[1:self.size]
|
||||
self.lowArray[0:self.size-1] = self.lowArray[1:self.size]
|
||||
self.closeArray[0:self.size-1] = self.closeArray[1:self.size]
|
||||
self.volumeArray[0:self.size-1] = self.volumeArray[1:self.size]
|
||||
|
||||
self.openArray[-1] = bar.open
|
||||
self.highArray[-1] = bar.high
|
||||
self.lowArray[-1] = bar.low
|
||||
self.closeArray[-1] = bar.close
|
||||
self.volumeArray[-1] = bar.volume
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@property
|
||||
def open(self):
|
||||
"""获取开盘价序列"""
|
||||
return self.openArray
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@property
|
||||
def high(self):
|
||||
"""获取最高价序列"""
|
||||
return self.highArray
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@property
|
||||
def low(self):
|
||||
"""获取最低价序列"""
|
||||
return self.lowArray
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@property
|
||||
def close(self):
|
||||
"""获取收盘价序列"""
|
||||
return self.closeArray
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@property
|
||||
def volume(self):
|
||||
"""获取成交量序列"""
|
||||
return self.volumeArray
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sma(self, n, array=False):
|
||||
"""简单均线"""
|
||||
result = talib.SMA(self.close, n)
|
||||
if array:
|
||||
return result
|
||||
return result[-1]
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def std(self, n, array=False):
|
||||
"""标准差"""
|
||||
result = talib.STDDEV(self.close, n)
|
||||
if array:
|
||||
return result
|
||||
return result[-1]
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def cci(self, n, array=False):
|
||||
"""CCI指标"""
|
||||
result = talib.CCI(self.high, self.low, self.close, n)
|
||||
if array:
|
||||
return result
|
||||
return result[-1]
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def atr(self, n, array=False):
|
||||
"""ATR指标"""
|
||||
result = talib.ATR(self.high, self.low, self.close, n)
|
||||
if array:
|
||||
return result
|
||||
return result[-1]
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def rsi(self, n, array=False):
|
||||
"""RSI指标"""
|
||||
result = talib.RSI(self.close, n)
|
||||
if array:
|
||||
return result
|
||||
return result[-1]
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def macd(self, fastPeriod, slowPeriod, signalPeriod, array=False):
|
||||
"""MACD指标"""
|
||||
macd, signal, hist = talib.MACD(self.close, fastPeriod,
|
||||
slowPeriod, signalPeriod)
|
||||
if array:
|
||||
return macd, signal, hist
|
||||
return macd[-1], signal[-1], hist[-1]
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def adx(self, n, array=False):
|
||||
"""ADX指标"""
|
||||
result = talib.ADX(self.high, self.low, self.close, n)
|
||||
if array:
|
||||
return result
|
||||
return result[-1]
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def boll(self, n, dev, array=False):
|
||||
"""布林通道"""
|
||||
mid = self.sma(n, array)
|
||||
std = self.std(n, array)
|
||||
|
||||
up = mid + std * dev
|
||||
down = mid - std * dev
|
||||
|
||||
return up, down
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def keltner(self, n, dev, array=False):
|
||||
"""肯特纳通道"""
|
||||
mid = self.sma(n, array)
|
||||
atr = self.atr(n, array)
|
||||
|
||||
up = mid + atr * dev
|
||||
down = mid - atr * dev
|
||||
|
||||
return up, down
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def donchian(self, n, array=False):
|
||||
"""唐奇安通道"""
|
||||
up = talib.MAX(self.high, n)
|
||||
down = talib.MIN(self.low, n)
|
||||
|
||||
if array:
|
||||
return up, down
|
||||
return up[-1], down[-1]
|
||||
Loading…
Reference in New Issue
Block a user