From b94065902a244098dfacc04f6e085a19929ace35 Mon Sep 17 00:00:00 2001 From: msincenselee Date: Fri, 8 May 2020 10:15:05 +0800 Subject: [PATCH] [bug fix] --- README.md | 14 ++ vnpy/app/account_recorder/engine.py | 4 +- vnpy/app/cta_stock/base.py | 2 +- vnpy/app/cta_stock/engine.py | 35 +-- vnpy/app/cta_stock/ui/widget.py | 8 +- vnpy/app/cta_strategy_pro/back_testing.py | 6 +- .../app/cta_strategy_pro/portfolio_testing.py | 23 +- vnpy/component/cta_line_bar.py | 233 +++++++++++++++--- vnpy/data/tdx/tdx_stock_data.py | 5 - vnpy/gateway/binancef/binancef_gateway.py | 4 +- vnpy/trader/setting.py | 2 + 11 files changed, 268 insertions(+), 68 deletions(-) diff --git a/README.md b/README.md index 7b5adbf3..7767cfa6 100644 --- a/README.md +++ b/README.md @@ -83,6 +83,20 @@ - 支持bar方式回测/组合回测 - 增强期货交易模板 +13、 增加App: cta_stock, 包括： + + - 增加baostock数据源，可下载股票基本信息，复权因子，非复权5Min数据k线，满足大部分Cta策略的回测了。 + - 使用tdx的历史逐笔成交数据，可缓存每日数据=>pkb2文件，支持tick回测。 + - 独立的CTA引擎 cta_stock，运行股票CTA策略时，替代原版cta_strategy引擎 + - 提供股票专用模板，支持目标股票买入卖出，市场盘面算法交易，支持策略多股票持久化 + - 支持策略中获取账号资金/可用余额/当前仓位/风控仓位 + - 支持策略中获取账号所有股票持仓 + - 支持bar/tick方式回测/组合回测 + - 支持可转债日内交易回测，支持动态前复权。 + - 支持盘前复权信息事件【待更新】 + + + 大佳 QQ/Wechat：28888502 diff --git a/vnpy/app/account_recorder/engine.py b/vnpy/app/account_recorder/engine.py index b125c412..2ff12352 100644 --- a/vnpy/app/account_recorder/engine.py +++ b/vnpy/app/account_recorder/engine.py @@ -327,7 +327,7 @@ class AccountRecorder(BaseEngine): def update_order(self, event: Event): """更新当日记录""" order = event.data - self.write_log(u'记录委托日志:{}'.format(order.__dict__)) + # self.write_log(u'记录委托日志:{}'.format(order.__dict__)) if len(order.sys_orderid) == 0: # 未有系统的委托编号，不做持久化 return @@ -441,7 +441,7 @@ class AccountRecorder(BaseEngine): def update_strategy_snapshot(self, event: Event): """更新策略切片""" snapshot = event.data - self.write_log(f"保存切片,{snapshot.get('account_id')},策略:{snapshot.get('strategy')}") + # self.write_log(f"保存切片,{snapshot.get('account_id')},策略:{snapshot.get('strategy')}") klines = snapshot.pop('klines', None) if klines: self.write_log(f"转换 =>BSON.binary.Binary") diff --git a/vnpy/app/cta_stock/base.py b/vnpy/app/cta_stock/base.py index bb7793e5..727de14e 100644 --- a/vnpy/app/cta_stock/base.py +++ b/vnpy/app/cta_stock/base.py @@ -5,7 +5,7 @@ Defines constants and objects used in CtaCrypto App. from dataclasses import dataclass, field from enum import Enum from datetime import timedelta -from vnpy.trader.constant import Direction, Offset, Interval +from vnpy.trader.constant import Direction, Offset, Interval, Exchange APP_NAME = "CtaStock" STOPORDER_PREFIX = "STOP" diff --git a/vnpy/app/cta_stock/engine.py b/vnpy/app/cta_stock/engine.py index 259e090e..4d116412 100644 --- a/vnpy/app/cta_stock/engine.py +++ b/vnpy/app/cta_stock/engine.py @@ -1,5 +1,5 @@ """ -数字货币CTA策略运行引擎 +股票CTA策略运行引擎 华富资产： """ @@ -154,7 +154,7 @@ class CtaEngine(BaseEngine): self.load_strategy_class() self.load_strategy_setting() - self.write_log("CTA策略数字货币引擎初始化成功") + self.write_log("CTA策略股票引擎初始化成功") def close(self): """停止所属有的策略""" @@ -218,8 +218,9 @@ class CtaEngine(BaseEngine): # 主动获取所有策略得持仓信息 all_strategy_pos = self.get_all_strategy_pos() - # 比对仓位，使用上述获取得持仓信息，不用重复获取 - self.compare_pos(strategy_pos_list=copy(all_strategy_pos)) + if dt.minute % 5 == 0: + # 比对仓位，使用上述获取得持仓信息，不用重复获取 + self.compare_pos(strategy_pos_list=copy(all_strategy_pos)) # 推送到事件 self.put_all_strategy_pos_event(all_strategy_pos) @@ -1456,7 +1457,7 @@ class CtaEngine(BaseEngine): d.update(strategy.get_parameters()) return d - def compare_pos(self): + def compare_pos(self,strategy_pos_list=[]): """ 对比账号&策略的持仓,不同的话则发出微信提醒 :return: @@ -1468,7 +1469,8 @@ class CtaEngine(BaseEngine): self.write_log(u'开始对比账号&策略的持仓') # 获取当前策略得持仓 - strategy_pos_list = self.get_all_strategy_pos() + if len(strategy_pos_list) == 0: + strategy_pos_list = self.get_all_strategy_pos() self.write_log(u'策略持仓清单:{}'.format(strategy_pos_list)) # 需要进行对比得合约集合（来自策略持仓/账号持仓） @@ -1520,12 +1522,11 @@ class CtaEngine(BaseEngine): compare_info = '' for vt_symbol in sorted(vt_symbols): # 发送不一致得结果 - symbol_pos = compare_pos.pop(vt_symbol) - d_long = { - 'account_id': self.engine_config.get('account_id', '-'), - 'vt_symbol': vt_symbol, - 'direction': Direction.LONG.value, - 'strategy_list': symbol_pos.get('多单策略', [])} + symbol_pos = compare_pos.pop(vt_symbol, { + '账号多单': 0, + '策略多单': 0, + '多单策略': [] + }) # 多单都一致 if round(symbol_pos['账号多单'], 7) == round(symbol_pos['策略多单'], 7): @@ -1596,7 +1597,7 @@ class CtaEngine(BaseEngine): self.add_strategy( class_name=strategy_config["class_name"], strategy_name=strategy_name, - vt_symbol=strategy_config["vt_symbol"], + vt_symbols=strategy_config["vt_symbols"], setting=strategy_config["setting"], auto_init=strategy_config.get('auto_init', False), auto_start=strategy_config.get('auto_start', False) @@ -1612,7 +1613,7 @@ class CtaEngine(BaseEngine): old_config = self.strategy_setting.get('strategy_name', {}) new_config = { "class_name": strategy.__class__.__name__, - "vt_symbol": strategy.vt_symbol, + "vt_symbols": strategy.vt_symbols, "auto_init": auto_init, "auto_start": auto_start, "setting": setting @@ -1631,7 +1632,7 @@ class CtaEngine(BaseEngine): """ if strategy_name not in self.strategy_setting: return - self.write_log(f'移除CTA数字货币引擎{strategy_name}的配置') + self.write_log(f'移除CTA股票引擎{strategy_name}的配置') self.strategy_setting.pop(strategy_name) save_json(self.setting_filename, self.strategy_setting) @@ -1698,7 +1699,7 @@ class CtaEngine(BaseEngine): if strategy: subject = f"{strategy.strategy_name}" else: - subject = "CTA策略数字货币引擎" + subject = "CTA策略股票引擎" self.main_engine.send_email(subject, msg) @@ -1712,6 +1713,6 @@ class CtaEngine(BaseEngine): if strategy: subject = f"{strategy.strategy_name}" else: - subject = "CTACRYPTO引擎" + subject = "CTASTOCK引擎" send_wx_msg(content=f'{subject}:{msg}') diff --git a/vnpy/app/cta_stock/ui/widget.py b/vnpy/app/cta_stock/ui/widget.py index 935f912d..726b2e31 100644 --- a/vnpy/app/cta_stock/ui/widget.py +++ b/vnpy/app/cta_stock/ui/widget.py @@ -142,7 +142,7 @@ class CtaManager(QtWidgets.QWidget): if n == editor.Accepted: setting = editor.get_setting() - vt_symbol = setting.pop("vt_symbol") + vt_symbols = setting.pop("vt_symbols").split(",") strategy_name = setting.pop("strategy_name") auto_init = setting.pop("auto_init", False) auto_start = setting.pop("auto_start", False) @@ -206,12 +206,12 @@ class StrategyManager(QtWidgets.QFrame): save_button.clicked.connect(self.save_strategy) strategy_name = self._data["strategy_name"] - vt_symbol = self._data["vt_symbol"] + #vt_symbol = self._data["vt_symbol"] class_name = self._data["class_name"] author = self._data["author"] label_text = ( - f"{strategy_name} - {vt_symbol} ({class_name} by {author})" + f"{strategy_name} - ({class_name} by {author})" ) label = QtWidgets.QLabel(label_text) label.setAlignment(QtCore.Qt.AlignCenter) @@ -411,7 +411,7 @@ class SettingEditor(QtWidgets.QDialog): if self.class_name: self.setWindowTitle(f"添加策略：{self.class_name}") button_text = "添加" - parameters = {"strategy_name": "", "vt_symbol": "", "auto_init": True, "auto_start": True} + parameters = {"strategy_name": "", "vt_symbols": "", "auto_init": True, "auto_start": True} parameters.update(self.parameters) else: diff --git a/vnpy/app/cta_strategy_pro/back_testing.py b/vnpy/app/cta_strategy_pro/back_testing.py index d2baa03e..e87be15c 100644 --- a/vnpy/app/cta_strategy_pro/back_testing.py +++ b/vnpy/app/cta_strategy_pro/back_testing.py @@ -1158,9 +1158,13 @@ class BackTestingEngine(object): # 3. 则在实际中的成交价会是100而不是105，因为委托发出时市场的最优价格是100 if buy_cross: trade_price = min(order.price, buy_best_cross_price) - else: trade_price = max(order.price, sell_best_cross_price) + + # renko bar较为特殊，使用委托价进行成交 + if trade.vt_symbol.startswith('future_renko'): + trade_price = order.price + trade.price = trade_price # 记录该合约来自哪个策略实例 diff --git a/vnpy/app/cta_strategy_pro/portfolio_testing.py b/vnpy/app/cta_strategy_pro/portfolio_testing.py index 7cbc5b34..05de1207 100644 --- a/vnpy/app/cta_strategy_pro/portfolio_testing.py +++ b/vnpy/app/cta_strategy_pro/portfolio_testing.py @@ -85,10 +85,31 @@ class PortfolioTestingEngine(BackTestingEngine): "date": str, "time": str } + if vt_symbol.startswith('future_renko'): + data_types.update({ + "color": str, + "seconds": int, + "high_seconds": int, + "low_seconds": int, + "height": float, + "up_band": float, + "down_band": float, + "low_time": str, + "high_time": str + }) # 加载csv文件 =》 dateframe symbol_df = pd.read_csv(bar_file, dtype=data_types) + if len(symbol_df)==0: + self.write_error(f'回测时加载{vt_symbol} csv文件{bar_file}失败。') + return False + + first_dt = symbol_df.iloc[0]['datetime'] + if '.' in first_dt: + datetime_format = "%Y-%m-%d %H:%M:%S.%f" + else: + datetime_format = "%Y-%m-%d %H:%M:%S" # 转换时间，str =》 datetime - symbol_df["datetime"] = pd.to_datetime(symbol_df["datetime"], format="%Y-%m-%d %H:%M:%S") + symbol_df["datetime"] = pd.to_datetime(symbol_df["datetime"], format=datetime_format) # 设置时间为索引 symbol_df = symbol_df.set_index("datetime") diff --git a/vnpy/component/cta_line_bar.py b/vnpy/component/cta_line_bar.py index 391ec482..1773157b 100644 --- a/vnpy/component/cta_line_bar.py +++ b/vnpy/component/cta_line_bar.py @@ -12,6 +12,7 @@ import sys import traceback import talib as ta import numpy as np +import pandas as pd import csv from collections import OrderedDict @@ -49,6 +50,14 @@ def get_cta_bar_type(bar_name: str): return CtaDayBar, 1 else: return CtaDayBar, int(interval) + + if bar_name.startswith('W'): + interval = bar_name.replace('W', '') + if len(interval) == 0: + return CtaWeekBar, 1 + else: + return CtaWeekBar, int(interval) + raise Exception(u'{}参数错误'.format(bar_name)) @@ -298,6 +307,9 @@ class CtaLineBar(object): self.paramList.append('para_bias2_len') self.paramList.append('para_bias3_len') + self.paramList.append('para_skdj_n') + self.paramList.append('para_skdj_m') + self.paramList.append('para_bd_len') self.paramList.append('is_7x24') @@ -403,6 +415,9 @@ class CtaLineBar(object): self.para_yb_ref = 1 # 趋势线参照周期 self.para_yb_len = 10 # 趋势线观测周期 + self.para_skdj_m = 0 # 3 # SKDJ NN + self.para_skdj_n = 0 # 9 # SKDJ MM + self.para_golden_n = 0 # 黄金分割的观测周期（一般设置为60，或120） self.para_active_area = False # 是否激活区域划分 @@ -494,12 +509,12 @@ class CtaLineBar(object): self.line_upper_atan = [] self.line_middle_atan = [] self.line_lower_atan = [] - self._rt_upper = 0 - self._rt_middle = 0 - self._rt_lower = 0 - self._rt_upper_atan = 0 - self._rt_middle_atan = 0 - self._rt_lower_atan = 0 + self._rt_upper = None + self._rt_middle = None + self._rt_lower = None + self._rt_upper_atan = None + self._rt_middle_atan = None + self._rt_lower_atan = None self.cur_upper = 0 # 最后一根K的Boll上轨数值（与MinDiff取整） self.cur_middle = 0 # 最后一根K的Boll中轨数值（与MinDiff取整） @@ -560,13 +575,19 @@ class CtaLineBar(object): # K 线的CCI计算数据 self.line_cci = [] + self.line_cci_ema = [] self.cur_cci = None + self.cur_cci_ema = None self._rt_cci = None + self._rt_cci_ema = None # 卡尔曼过滤器 self.kf = None self.line_state_mean = [] # 卡尔曼均线 + self.line_state_upper = [] # 卡尔曼均线+2标准差 + self.line_state_lower = [] # 卡尔曼均线-2标准差 self.line_state_covar = [] # 方差 + self.cur_state_std = None # SAR 抛物线 self.cur_sar_direction = '' # up/down @@ -639,6 +660,12 @@ class CtaLineBar(object): self._bd_fast = 0 self._bd_slow = 0 + # SKDJ + self.line_skdj_k = [] + self.line_skdj_d = [] + self.cur_skdj_k = 0 + self.cur_skdj_d = 0 + def set_params(self, setting: dict = {}): """设置参数""" d = self.__dict__ @@ -816,6 +843,7 @@ class CtaLineBar(object): self.__count_area(bar) self.__count_bias() self.__count_bd() + self.__count_skdj() self.export_to_csv(bar) self.rt_executed = False @@ -968,8 +996,8 @@ class CtaLineBar(object): round(self.line_d[-1], self.round_n), round(self.line_j[-1], self.round_n)) - if self.para_cci_len > 0 and len(self.line_cci) > 0: - msg = msg + u',Cci({0}):{1}'.format(self.para_cci_len, self.line_cci[-1]) + if self.para_cci_len > 0 and len(self.line_cci) > 0 and len(self.line_cci_ema) > 0: + msg = msg + u',Cci({0}):{1}, EMA(Cci):{2}'.format(self.para_cci_len, self.line_cci[-1], self.line_cci_ema[-1]) if (self.para_boll_len > 0 or self.para_boll_tb_len > 0) and len(self.line_boll_upper) > 0: msg = msg + u',Boll({}):std:{},mid:{},up:{},low:{},Atan:[mid:{},up:{},low:{}]'. \ @@ -1246,6 +1274,33 @@ class CtaLineBar(object): del self.line_pre_low[0] self.line_pre_low.append(preLow) + def get_sar(self, direction, cur_sar, cur_af=0, sar_limit=0.2, sar_step=0.02): + """ + 抛物线计算方法 + :param direction: Direction + :param cur_sar: 当前抛物线价格 + :param cur_af: 当前抛物线价格 + :param sar_limit: 最大加速范围 + :param sar_step: 加速因子 + :return: 新的 + """ + if np.isnan(self.high_array[-1]): + return cur_sar, cur_af + # 向上抛物线 + if direction == Direction.LONG: + af = min(sar_limit, cur_af + sar_step) + ep = self.high_array[-1] + sar = cur_sar + af * (ep - cur_sar) + return sar, af + # 向下抛物线 + elif direction == Direction.SHORT: + af = min(sar_limit, cur_af + sar_step) + ep = self.low_array[-1] + sar = cur_sar + af * (ep - cur_sar) + return sar, af + else: + return cur_sar, cur_af + def __count_sar(self): """计算K线的SAR""" @@ -1280,19 +1335,28 @@ class CtaLineBar(object): self.cur_sar_count = 0 self.line_sar_top.append(self.line_bar[-2].high_price) # SAR的谷顶 self.line_sar_buttom.append(self.line_bar[-2].low_price) # SAR的波底 + + # 当前处于上升抛物线 elif len(self.line_sar_sr_up) > 0: + + # # K线low，仍然在上升抛物线上方，延续 if self.low_array[-1] > self.line_sar_sr_up[-1]: + sr0 = self.line_sar_sr_up[-1] ep0 = self.high_array[-1] # 文华使用前一个K线的最高价 af0 = min(self.para_sar_limit, self.line_sar_af_up[-1] + self.para_sar_step) # 文华的af随着K线的数目增加而递增，没有判断新高 + # 计算出新的抛物线价格 sr = sr0 + af0 * (ep0 - sr0) + self.line_sar_sr_up.append(sr) self.line_sar_ep_up.append(ep0) self.line_sar_af_up.append(af0) self.line_sar.append(sr) self.cur_sar_count += 1 # self.write_log('Up: sr0={},ep0={},af0={},sr={}'.format(sr0, ep0, af0, sr)) + + # K线最低，触碰上升的抛物线 =》 转为 下降抛物线 elif self.low_array[-1] <= self.line_sar_sr_up[-1]: ep0 = max(self.high_array[-len(self.line_sar_sr_up):]) sr0 = ep0 @@ -2982,17 +3046,46 @@ class CtaLineBar(object): format(len(self.line_bar), self.para_cci_len + 2)) return - # 计算第1根RSI曲线 + # HIGH = self.high_array[self.high_array > 0] + # LOW = self.low_array[self.low_array > 0] + # CLOSE = self.close_array[self.close_array > 0] + # min_length = min([len(HIGH), len(LOW), len(CLOSE)]) + # if min_length < (self.para_cci_len + 10): + # return + # HIGH = HIGH[-min_length:] + # LOW = LOW[-min_length:] + # CLOSE = CLOSE[-min_length:] + # TP = (HIGH + LOW + CLOSE) / 3 - cur_cci = ta.CCI(high=self.high_array[-2 * self.para_cci_len:], low=self.low_array[-2 * self.para_cci_len:], - close=self.close_array[-2 * self.para_cci_len:], timeperiod=self.para_cci_len)[-1] + TP = self.mid3_array[-self.para_cci_len:] + # MA = pd.Series(data=TP).rolling(window=self.para_cci_len).mean().values + # MD = pd.Series(data=(TP - MA)).abs().rolling(window=self.para_cci_len).mean().values + # CCI = (TP - MA) / (0.015 * MD) + MA = np.mean(TP) + MD = np.mean(np.abs(TP - MA)) + CCI = (TP[-1] - MA) / (0.015 * MD) - self.cur_cci = round(float(cur_cci), self.round_n) + self.cur_cci = round(CCI, self.round_n) + + # cur_cci = ta.CCI(high=self.high_array[-2 * self.para_cci_len:], low=self.low_array[-2 * self.para_cci_len:], + # close=self.close_array[-2 * self.para_cci_len:], timeperiod=self.para_cci_len)[-1] + + # self.cur_cci = round(float(cur_cci), self.round_n) if len(self.line_cci) > self.max_hold_bars: del self.line_cci[0] self.line_cci.append(self.cur_cci) + if len(self.line_cci) < 30: + self.cur_cci_ema = self.cur_cci + else: + self.cur_cci_ema = self.__ema(self.__ema(self.__ema(self.line_cci[-30:], 3), 2), 2)[-1] + + if len(self.line_cci_ema) > self.max_hold_bars: + del self.line_cci_ema[0] + self.line_cci_ema.append(self.cur_cci_ema) + + def rt_count_cci(self): """实时计算CCI值""" if self.para_cci_len <= 0: @@ -3004,11 +3097,19 @@ class CtaLineBar(object): format(len(self.line_bar), self.para_cci_len + 2)) return - self._rt_cci = ta.CCI(high=np.append(self.high_array[-2 * self.para_cci_len:], [self.line_bar[-1].high_price]), - low=np.append(self.low_array[-2 * self.para_cci_len:], [self.line_bar[-1].low_price]), - close=np.append(self.close_array[-2 * self.para_cci_len:], - [self.line_bar[-1].close_price]), - timeperiod=self.para_cci_len)[-1] + HIGH = np.append(self.high_array[-2 * self.para_cci_len:], [self.line_bar[-1].high_price]) + LOW = np.append(self.low_array[-2 * self.para_cci_len:], [self.line_bar[-1].low_price]) + CLOSE = np.append(self.close_array[-2 * self.para_cci_len:],[self.line_bar[-1].close_price]) + TP = (HIGH + LOW + CLOSE) / 3 + TP = TP[-self.para_cci_len:] + MA = np.mean(TP) + MD = np.mean(np.abs(TP - MA)) + CCI = (TP[-1] - MA) / (0.015 * MD) + + self._rt_cci = CCI + rt_line_cci = np.append(self.line_cci[-30:], [CCI]) + self._rt_cci_ema = self.__ema(self.__ema(self.__ema(rt_line_cci, 3), 2), 2)[-1] + @property def rt_cci(self): @@ -3021,7 +3122,7 @@ class CtaLineBar(object): """计算卡尔曼过滤器均线""" if not self.para_active_kf or self.kf is None: return - if self.bar_len < 2: + if self.bar_len < 26: return if len(self.line_state_mean) == 0 or len(self.line_state_covar) == 0: @@ -3035,9 +3136,10 @@ class CtaLineBar(object): self.write_log(u'导入卡尔曼过滤器失败,需先安装 pip install pykalman') self.para_active_kf = False - state_means, state_covariances = self.kf.filter(self.close_array) + state_means, state_covariances = self.kf.filter(self.close_array[-1]) m = state_means[-1].item() c = state_covariances[-1].item() + else: m = self.line_state_mean[-1] c = self.line_state_covar[-1] @@ -3047,13 +3149,22 @@ class CtaLineBar(object): observation=self.close_array[-1]) m = state_means[-1].item() c = state_covariances[-1].item() - + std_len = 26 if self.bar_len > 26 else self.bar_len + std = np.std(self.close_array[-std_len:], ddof=1) + self.cur_state_std = std if len(self.line_state_mean) > self.max_hold_bars: del self.line_state_mean[0] if len(self.line_state_covar) > self.max_hold_bars: del self.line_state_covar[0] + if len(self.line_state_upper) > self.max_hold_bars: + del self.line_state_upper[0] + if len(self.line_state_lower) > self.max_hold_bars: + del self.line_state_lower[0] + + self.line_state_upper.append(m + 3 * std) self.line_state_mean.append(m) + self.line_state_lower.append(m - 3 * std) self.line_state_covar.append(c) def __count_period(self, bar): @@ -4025,6 +4136,15 @@ class CtaLineBar(object): return self.line_bias3[-1] return self._rt_bias3 + def __ema(self, data, span): + return pd.Series(data=data).ewm(span=span, adjust=False).mean().values + + def __iema(self, this_value, prev_value, span): + return (2 * prev_value + (span - 1) * this_value) / (span + 1) + + def __std(self, data, span): + return pd.Series(data=data).rolling(window=span).std().values + def __count_bd(self): """计算波段快/慢线""" # @@ -4032,18 +4152,25 @@ class CtaLineBar(object): # 不计算 return - if len(self.line_bar) < 2 * self.para_bd_len: + # 修改 By Huang Jianwei + var2 = self.mid4_array + var2 = var2[var2 > 0] + if len(var2) < (5 * self.para_bd_len): return + var3 = self.__ema(var2, self.para_bd_len) + var4 = self.__std(var2, self.para_bd_len) - mid4_ema_array = ta.EMA(self.mid4_array, self.para_bd_len) + ## 检查是否有不合理的std + var4_mask = var4 < 1e-5 # 找出不合理的std + var4[var4_mask] = 1e-5 # 用一个小的正数替换 + var5 = ((var2 - var3) / var4 * 100 + 200) / 4 # 计算var5 + var5[var4_mask] = 0 # 把不合理的std计算的结果抹掉，用0填充 + # 因为var2-var3是一种类似乖离率的东西，长期均值是接近0的，所以用0填充有合理性 - mid4_std = np.std(self.mid4_array[-self.para_bd_len:], ddof=1) - - mid4_ema_diff_array = self.mid4_array - mid4_ema_array - var5_array = (mid4_ema_diff_array / mid4_std * 100 + 200) / 4 - var6_array = (ta.EMA(var5_array, 5) - 25) * 1.56 - fast_array = ta.EMA(var6_array, 2) * 1.22 - slow_array = ta.EMA(fast_array, 2) + var6 = (self.__ema(var5, 5) - 25) * 1.56 + fast_array = self.__ema(var6, 2) * 1.22 + slow_array = self.__ema(fast_array, 2) + # 修改完毕 # 快线/慢线最后记录，追加到line_bd_fast/ list_bd_slow中 if len(self.line_bd_fast) > self.max_hold_bars: @@ -4069,27 +4196,29 @@ class CtaLineBar(object): # 不计算 return - if len(self.line_bar) < 2 * self.para_bd_len: + var2 = self.close_array[self.close_array>0] + if len(var2) < (5 * self.para_bd_len): return bar_mid4 = (self.line_bar[-1].close_price * 2 + self.line_bar[-1].high_price + self.line_bar[-1].low_price)/4 bar_mid4 = round(bar_mid4, self.round_n) mid4_array = np.append(self.mid4_array, [bar_mid4]) - mid4_ema_array = ta.EMA(mid4_array, self.para_bd_len) + mid4_ema_array = self.__ema(mid4_array, self.para_bd_len) - mid4_std = np.std(mid4_array[-self.para_bd_len:], ddof=1) + mid4_std = self.__std(mid4_array, self.para_bd_len) mid4_ema_diff_array = mid4_array - mid4_ema_array var5_array = (mid4_ema_diff_array / mid4_std * 100 + 200) / 4 - var6_array = (ta.EMA(var5_array, 5) - 25) * 1.56 - fast_array = ta.EMA(var6_array, 2) * 1.22 - slow_array = ta.EMA(fast_array, 2) + var6_array = (self.__ema(var5_array, 5) - 25) * 1.56 + fast_array = self.__ema(var6_array, 2) * 1.22 + slow_array = self.__ema(fast_array, 2) self._bd_fast = fast_array[-1] self._bd_slow = slow_array[-1] @property def rt_bd_fast(self): + """波段快线（实时值）""" self.check_rt_funcs(self.rt_count_bd) if self._bd_fast is None and len(self.para_bd_len) > 0: return self.line_bd_fast[-1] @@ -4097,12 +4226,46 @@ class CtaLineBar(object): @property def rt_bd_slow(self): + """波段慢线(实时值）""" self.check_rt_funcs(self.rt_count_bd) if self._bd_slow is None and len(self.para_bd_len) > 0: return self.line_bd_slow[-1] return self._bd_slow + def __count_skdj(self): + """计算波段快/慢线""" + # + if self.para_skdj_m <= 0 or self.para_skdj_n <= 0: + # 不计算 + return + + if len(self.line_bar) < 5 * min(self.para_skdj_m, self.para_skdj_n): + return + + NN = self.para_skdj_n + MM = self.para_skdj_m + + LOWV = pd.Series(data=self.low_array).rolling(window=NN).min().values + HIGHV = pd.Series(data=self.high_array).rolling(window=NN).max().values + CLOSE = self.close_array + RSV = self.__ema((CLOSE-LOWV)/(HIGHV-LOWV)*100, MM) + K = self.__ema(RSV, MM) + D = pd.Series(data=K).rolling(window=MM).mean().values + + + if len(self.line_skdj_k) > self.max_hold_bars: + self.line_skdj_k.pop(0) + if not np.isnan(K[-1]): + self.line_skdj_k.append(K[-1]) + self.cur_skdj_k = K[-1] + + if len(self.line_skdj_d) > self.max_hold_bars: + self.line_skdj_d.pop(0) + if not np.isnan(D[-1]): + self.line_skdj_d.append(D[-1]) + self.cur_skdj_d = D[-1] + def write_log(self, content): """记录CTA日志""" self.strategy.write_log(u'[' + self.name + u']' + content) diff --git a/vnpy/data/tdx/tdx_stock_data.py b/vnpy/data/tdx/tdx_stock_data.py index 685dc6a6..ca5574f6 100644 --- a/vnpy/data/tdx/tdx_stock_data.py +++ b/vnpy/data/tdx/tdx_stock_data.py @@ -75,7 +75,6 @@ class TdxStockData(object): self.strategy = strategy self.best_ip = None - self.symbol_exchange_dict = {} # tdx合约与vn交易所的字典 self.symbol_market_dict = {} # tdx合约与tdx市场的字典 self.config = get_cache_config(TDX_STOCK_CONFIG) @@ -211,12 +210,10 @@ class TdxStockData(object): tdx_code, market_str = symbol.split('.') # 1, 上交所 ， 0， 深交所 market_id = 1 if market_str.upper() in ['XSHG', Exchange.SSE.value] else 0 - self.symbol_exchange_dict.update({tdx_code: symbol}) # tdx合约与vn交易所的字典 self.symbol_market_dict.update({tdx_code: market_id}) # tdx合约与tdx市场的字典 else: market_id = get_tdx_market_code(symbol) tdx_code = symbol - self.symbol_exchange_dict.update({symbol: symbol}) # tdx合约与vn交易所的字典 self.symbol_market_dict.update({symbol: market_id}) # tdx合约与tdx市场的字典 name = self.get_name(tdx_code, market_id) @@ -416,12 +413,10 @@ class TdxStockData(object): if '.' in symbol: tdx_code, market_str = symbol.split('.') market_code = 1 if market_str.upper() in ['XSHG', Exchange.SSE.value] else 0 - self.symbol_exchange_dict.update({tdx_code: symbol}) # tdx合约与vn交易所的字典 self.symbol_market_dict.update({tdx_code: market_code}) # tdx合约与tdx市场的字典 else: market_code = get_tdx_market_code(symbol) tdx_code = symbol - self.symbol_exchange_dict.update({symbol: symbol}) # tdx合约与vn交易所的字典 self.symbol_market_dict.update({symbol: market_code}) # tdx合约与tdx市场的字典 symbol_config = self.symbol_dict.get(f'{tdx_code}_{market_code}', {}) diff --git a/vnpy/gateway/binancef/binancef_gateway.py b/vnpy/gateway/binancef/binancef_gateway.py index 21f1d7b2..a86b7d3c 100644 --- a/vnpy/gateway/binancef/binancef_gateway.py +++ b/vnpy/gateway/binancef/binancef_gateway.py @@ -562,8 +562,8 @@ class BinancefRestApi(RestClient): gateway_name=self.gateway_name, ) self.gateway.on_position(position) - if position.symbol == 'BTCUSDT': - self.gateway.write_log(f'{position.__dict__}\n {d}') + #if position.symbol == 'BTCUSDT': + # self.gateway.write_log(f'{position.__dict__}\n {d}') # self.gateway.write_log("持仓信息查询成功") def on_query_order(self, data: dict, request: Request) -> None: diff --git a/vnpy/trader/setting.py b/vnpy/trader/setting.py index 9a0e2aab..ce485fab 100644 --- a/vnpy/trader/setting.py +++ b/vnpy/trader/setting.py @@ -33,6 +33,8 @@ SETTINGS: Dict[str, Any] = { "database.user": "root", "database.password": "", "database.authentication_source": "admin", # for mongodb + + "huafu.data_source": "" # 华富资产自建数据源 } # Load global setting from json file.