[Add]新增多信号CTA策略开发功能，close #567

examples/CtaBacktesting/.ipynb_checkpoints/backtesting_IF-checkpoint.ipynb

@@ -2,7 +2,7 @@
  "cells": [
   {
    "cell_type": "code",
-   "execution_count": null,
+   "execution_count": 1,
    "metadata": {
     "collapsed": false
    },
@@ -11,13 +11,14 @@
     "%matplotlib inline\n",
     "\n",
     "from vnpy.trader.app.ctaStrategy.ctaBacktesting import BacktestingEngine, OptimizationSetting, MINUTE_DB_NAME\n",
-    "from vnpy.trader.app.ctaStrategy.strategy.strategyAtrRsi import AtrRsiStrategy\n",
+    "#from vnpy.trader.app.ctaStrategy.strategy.strategyAtrRsi import AtrRsiStrategy\n",
-    "from vnpy.trader.app.ctaStrategy.strategy.strategyMultiTimeframe import MultiTimeframeStrategy"
+    "#from vnpy.trader.app.ctaStrategy.strategy.strategyMultiTimeframe import MultiTimeframeStrategy\n",
+    "from vnpy.trader.app.ctaStrategy.strategy.strategyMultiSignal import MultiSignalStrategy"
    ]
   },
   {
    "cell_type": "code",
-   "execution_count": null,
+   "execution_count": 2,
    "metadata": {
     "collapsed": true
    },
@@ -29,7 +30,7 @@
   },
   {
    "cell_type": "code",
-   "execution_count": null,
+   "execution_count": 3,
    "metadata": {
     "collapsed": false
    },
@@ -38,12 +39,12 @@
     "# 设置回测使用的数据\n",
     "engine.setBacktestingMode(engine.BAR_MODE)    # 设置引擎的回测模式为K线\n",
     "engine.setDatabase(MINUTE_DB_NAME, 'IF0000')  # 设置使用的历史数据库\n",
-    "engine.setStartDate('20120101')               # 设置回测用的数据起始日期"
+    "engine.setStartDate('20100101')               # 设置回测用的数据起始日期"
    ]
   },
   {
    "cell_type": "code",
-   "execution_count": null,
+   "execution_count": 4,
    "metadata": {
     "collapsed": true
    },
@@ -59,7 +60,7 @@
   },
   {
    "cell_type": "code",
-   "execution_count": null,
+   "execution_count": 8,
    "metadata": {
     "collapsed": false
    },
@@ -68,16 +69,31 @@
     "# 在引擎中创建策略对象\n",
     "d = {'atrLength': 11}                     # 策略参数配置\n",
     "#engine.initStrategy(AtrRsiStrategy, d)    # 创建策略对象\n",
-    "engine.initStrategy(MultiTimeframeStrategy, d)    # 创建策略对象"
+    "#ngine.initStrategy(MultiTimeframeStrategy, d)    \n",
+    "engine.initStrategy(MultiSignalStrategy, {})    "
    ]
   },
   {
    "cell_type": "code",
-   "execution_count": null,
+   "execution_count": 9,
    "metadata": {
     "collapsed": false
    },
-   "outputs": [],
+   "outputs": [
+    {
+     "name": "stdout",
+     "output_type": "stream",
+     "text": [
+      "2017-12-15 23:01:54.728000\t开始载入数据\n",
+      "2017-12-15 23:01:54.765000\t载入完成，数据量：0\n",
+      "2017-12-15 23:01:54.765000\t开始回测\n",
+      "2017-12-15 23:01:54.765000\t策略初始化完成\n",
+      "2017-12-15 23:01:54.765000\t策略启动完成\n",
+      "2017-12-15 23:01:54.765000\t开始回放数据\n",
+      "2017-12-15 23:01:54.766000\t数据回放结束\n"
+     ]
+    }
+   ],
    "source": [
     "# 运行回测\n",
     "engine.runBacktesting()          # 运行回测"

vnpy/trader/app/ctaStrategy/ctaTemplate.py

@@ -600,4 +600,42 @@ class ArrayManager(object):
         
         if array:
             return up, down
-        return up[-1], down[-1]
+        return up[-1], down[-1]
+    
+
+########################################################################
+class CtaSignal(object):
+    """
+    CTA策略信号，负责纯粹的信号生成（目标仓位），不参与具体交易管理
+    """
+
+    #----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        self.signalPos = 0      # 信号仓位
+    
+    #----------------------------------------------------------------------
+    def onBar(self, bar):
+        """K线推送"""
+        pass
+    
+    #----------------------------------------------------------------------
+    def onTick(self, tick):
+        """Tick推送"""
+        pass
+        
+    #----------------------------------------------------------------------
+    def setSignalPos(self, pos):
+        """设置信号仓位"""
+        self.signalPos = pos
+        
+    #----------------------------------------------------------------------
+    def getSignalPos(self):
+        """获取信号仓位"""
+        return self.signalPos
+        
+        
+        
+        
+    
+    

vnpy/trader/app/ctaStrategy/strategy/strategyMultiSignal.py

@@ -0,0 +1,251 @@
+# encoding: UTF-8
+
+"""
+一个多信号组合策略，基于的信号包括：
+RSI（1分钟）：大于70为多头、低于30为空头
+CCI（1分钟）：大于10为多头、低于-10为空头
+MA（5分钟）：快速大于慢速为多头、低于慢速为空头
+"""
+
+from vnpy.trader.vtObject import VtBarData
+from vnpy.trader.vtConstant import EMPTY_STRING
+from vnpy.trader.app.ctaStrategy.ctaTemplate import (TargetPosTemplate, 
+                                                     CtaSignal,
+                                                     BarGenerator, 
+                                                     ArrayManager)
+
+
+########################################################################
+class RsiSignal(CtaSignal):
+    """RSI信号"""
+
+    #----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        super(RsiSignal, self).__init__()
+        
+        self.rsiWindow = 14
+        self.rsiLevel = 20
+        self.rsiLong = 50 + self.rsiLevel
+        self.rsiShort = 50 - self.rsiLevel
+        
+        self.bg = BarGenerator(self.onBar)
+        self.am = ArrayManager()
+        
+    #----------------------------------------------------------------------
+    def onTick(self, tick):
+        """Tick更新"""
+        self.bg.updateTick(tick)
+        
+    #----------------------------------------------------------------------
+    def onBar(self, bar):
+        """K线更新"""
+        self.am.updateBar(bar)
+        
+        if not self.am.inited:
+            self.setSignalPos(0)
+            
+        rsiValue = self.am.rsi(self.rsiWindow)
+        
+        if rsiValue >= self.rsiLong:
+            self.setSignalPos(1)
+        elif rsiValue <= self.rsiShort:
+            self.setSignalPos(-1)
+        else:
+            self.setSignalPos(0)
+
+
+########################################################################
+class CciSignal(CtaSignal):
+    """CCI信号"""
+
+    #----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        super(CciSignal, self).__init__()
+        
+        self.cciWindow = 30
+        self.cciLevel = 10
+        self.cciLong = self.cciLevel
+        self.cciShort = -self.cciLevel
+        
+        self.bg = BarGenerator(self.onBar)
+        self.am = ArrayManager()        
+        
+    #----------------------------------------------------------------------
+    def onTick(self, tick):
+        """Tick更新"""
+        self.bg.updateTick(tick)
+        
+    #----------------------------------------------------------------------
+    def onBar(self, bar):
+        """K线更新"""
+        self.am.updateBar(bar)
+        
+        if not self.am.inited:
+            self.setSignalPos(0)
+            
+        cciValue = self.am.cci(self.cciWindow)
+        
+        if cciValue >= self.cciLong:
+            self.setSignalPos(1)
+        elif cciValue<= self.cciShort:
+            self.setSignalPos(-1)    
+        else:
+            self.setSignalPos(0)
+    
+
+########################################################################
+class MaSignal(CtaSignal):
+    """双均线信号"""
+    
+    #----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        super(MaSignal, self).__init__()
+        
+        self.fastWindow = 5
+        self.slowWindow = 20
+        
+        self.bg = BarGenerator(self.onBar, 5, self.onFiveBar)
+        self.am = ArrayManager()        
+        
+    #----------------------------------------------------------------------
+    def onTick(self, tick):
+        """Tick更新"""
+        self.bg.updateTick(tick)
+        
+    #----------------------------------------------------------------------
+    def onBar(self, bar):
+        """K线更新"""
+        self.bg.updateBar(bar)
+    
+    #----------------------------------------------------------------------
+    def onFiveBar(self, bar):
+        """5分钟K线更新"""
+        self.am.updateBar(bar)
+        
+        if not self.am.inited:
+            self.setSignalPos(0)
+            
+        fastMa = self.am.sma(self.fastWindow)
+        slowMa = self.am.sma(self.slowWindow)
+        
+        if fastMa > slowMa:
+            self.setSignalPos(1)
+        elif fastMa < slowMa:
+            self.setSignalPos(-1)
+        else:
+            self.setSignalPos(0)
+    
+
+########################################################################
+class MultiSignalStrategy(TargetPosTemplate):
+    """跨时间周期交易策略"""
+    className = 'MultiSignalStrategy'
+    author = u'用Python的交易员'
+
+    # 策略参数
+    initDays = 10           # 初始化数据所用的天数
+    fixedSize = 1           # 每次交易的数量
+
+    # 策略变量
+    signalPos = {}          # 信号仓位
+    
+    # 参数列表，保存了参数的名称
+    paramList = ['name',
+                 'className',
+                 'author',
+                 'vtSymbol']    
+
+    # 变量列表，保存了变量的名称
+    varList = ['inited',
+               'trading',
+               'pos',
+               'signalPos',
+               'targetPos']
+
+    # 同步列表，保存了需要保存到数据库的变量名称
+    syncList = ['pos']
+
+    #----------------------------------------------------------------------
+    def __init__(self, ctaEngine, setting):
+        """Constructor"""
+        super(MultiSignalStrategy, self).__init__(ctaEngine, setting)
+
+        self.rsiSignal = RsiSignal()
+        self.cciSignal = CciSignal()
+        self.maSignal = MaSignal()
+        
+        self.signalPos = {
+            "rsi": 0,
+            "cci": 0,
+            "ma": 0
+        }
+        
+    #----------------------------------------------------------------------
+    def onInit(self):
+        """初始化策略（必须由用户继承实现）"""
+        self.writeCtaLog(u'%s策略初始化' %self.name)
+
+        # 载入历史数据，并采用回放计算的方式初始化策略数值
+        initData = self.loadBar(self.initDays)
+        for bar in initData:
+            self.onBar(bar)
+
+        self.putEvent()
+
+    #----------------------------------------------------------------------
+    def onStart(self):
+        """启动策略（必须由用户继承实现）"""
+        self.writeCtaLog(u'%s策略启动' %self.name)
+        self.putEvent()
+
+    #----------------------------------------------------------------------
+    def onStop(self):
+        """停止策略（必须由用户继承实现）"""
+        self.writeCtaLog(u'%s策略停止' %self.name)
+        self.putEvent()
+
+    #----------------------------------------------------------------------
+    def onTick(self, tick):
+        """收到行情TICK推送（必须由用户继承实现）"""
+        super(MultiSignalStrategy, self).onTick(tick)
+        
+        self.rsiSignal.onTick(tick)
+        self.cciSignal.onTick(tick)
+        self.maSignal.onTick(tick)
+        
+    #----------------------------------------------------------------------
+    def onBar(self, bar):
+        """收到Bar推送（必须由用户继承实现）"""
+        super(MultiSignalStrategy, self).onBar(bar)
+        
+        self.rsiSignal.onBar(bar)
+        self.cciSignal.onBar(bar)
+        self.maSignal.onBar(bar)
+        
+        self.signalPos['rsi'] = self.rsiSignal.getSignalPos()
+        self.signalPos['cci'] = self.cciSignal.getSignalPos()
+        self.signalPos['ma'] = self.maSignal.getSignalPos()
+        
+        targetPos = 0
+        for v in self.signalPos.values():
+            targetPos += v
+            
+        self.setTargetPos(targetPos)
+        
+    #----------------------------------------------------------------------
+    def onOrder(self, order):
+        """收到委托变化推送（必须由用户继承实现）"""
+        super(MultiSignalStrategy, self).onOrder(order)
+
+    #----------------------------------------------------------------------
+    def onTrade(self, trade):
+        # 发出状态更新事件
+        self.putEvent()
+
+    #----------------------------------------------------------------------
+    def onStopOrder(self, so):
+        """停止单推送"""
+        pass