Create king_keltner_strategy.py

vnpy/app/cta_strategy/strategies/king_keltner_strategy.py

@@ -0,0 +1,152 @@
+from vnpy.app.cta_strategy import (
+    CtaTemplate,
+    StopOrder,
+    Direction,
+    TickData,
+    BarData,
+    TradeData,
+    OrderData,
+    BarGenerator,
+    ArrayManager,
+)
+
+class KingKeltnerStrategy(CtaTemplate):
+    """"""
+
+    author = '用Python的交易员'
+
+    kk_length = 11           
+    kk_dev = 1.6            
+    trailing_percent = 0.8     
+    fixed_size = 1          
+
+    kk_up = 0                           
+    kk_down = 0                          
+    intra_trade_high = 0                  
+    intra_trade_low = 0                   
+
+    buy_orderidList = []                 
+    short_orderidList = []               
+    orderList = []                      
+
+    parameters = [ 'kk_length', 'kk_dev','fixed_size']    
+    variables = ['kk_up','kk_down']
+    
+    def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
+        """"""
+        super(KingKeltnerStrategy, self).__init__(
+            cta_engine, strategy_name, vt_symbol, setting
+        )
+       
+        self.bg = BarGenerator(self.on_bar,5 ,self.on_5min_bar)       
+        self.am = ArrayManager()
+        
+        buy_orderidList = []               
+        short_orderidList = []             
+        orderList = []                     
+        
+    def on_init(self):
+        """
+        Callback when strategy is inited.
+        """
+        self.write_log("策略初始化")
+        self.load_bar(10)
+
+    def on_start(self):
+        """
+        Callback when strategy is started.
+        """
+        self.write_log("策略启动")
+        
+    def on_stop(self):
+        """
+        Callback when strategy is stopped.
+        """
+        self.write_log("策略停止")
+
+    def on_tick(self, tick: TickData):
+        """
+        Callback of new tick data update.
+        """
+        self.bg.update_tick(tick)
+
+    def on_bar(self, bar: BarData):
+        """
+        Callback of new bar data update.
+        """
+        self.bg.update_bar(bar)
+    
+    def on_5min_bar(self, bar:BarData):
+        """"""
+        for orderid in self.orderList:            
+            self.cancel_order(orderid)
+        self.orderList = []
+    
+        am = self.am
+        am.update_bar(bar)
+        if not am.inited:
+            return
+        
+        self.kk_up, self.kk_down = am.keltner(self.kk_length, self.kk_dev)
+        
+        if self.pos == 0:
+            self.intra_trade_high = bar.high_price
+            self.intra_trade_low = bar.low_price            
+            self.send_oco_order(self.kk_up, self.kk_down, self.fixed_size)
+    
+        elif self.pos > 0:
+            self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
+            self.intra_trade_low = bar.low_price
+            
+            vt_orderid = self.sell(self.intra_trade_high*(1-self.trailing_percent/100), 
+                          abs(self.pos), True)
+            self.orderList.append(vt_orderid)
+    
+        elif self.pos < 0:
+            self.intra_trade_high = bar.high_price
+            self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
+            
+            vt_orderid = self.cover(self.intra_trade_low*(1+self.trailing_percent/100), 
+                           abs(self.pos), True)
+            self.orderList.append(vt_orderid)
+    
+        self.put_event()     
+
+    def on_order(self, order: OrderData):
+        """
+        Callback of new order data update.
+        """
+        pass
+
+    def on_trade(self, trade: TradeData):
+        """
+        Callback of new trade data update.
+        """
+        if self.pos != 0:
+            if self.pos > 0:
+                for short_orderid in self.short_orderidList:
+                    self.cancel_order(short_orderid)
+
+            elif self.pos < 0:
+                for buy_orderid in self.buy_orderidList:
+                    self.cancel_order(buy_orderid)
+            
+            for orderid in (self.buy_orderidList + self.short_orderidList):
+                if orderid in self.orderList:
+                    self.orderList.remove(orderid)
+                
+        self.put_event()
+        
+    def send_oco_order(self, buy_price, short_price, volume):
+        """"""
+        self.buy_orderidList = self.buy(buy_price, volume, True)
+        self.short_orderidList = self.short(short_price, volume, True)
+        
+        self.orderList.append(self.buy_orderidList)
+        self.orderList.append(self.short_orderidList)
+
+    def on_stop_order(self, stop_order: StopOrder):
+        """
+        Callback of stop order update.
+        """
+        pass