Merge pull request #1395 from 1122455801/Mod_double_ma_strategy

[Mod] double_ma_strategy

vnpy/app/cta_strategy/strategies/double_ma_strategy.py

@@ -1,20 +1,119 @@
-from vnpy.app.cta_strategy import CtaTemplate
+from vnpy.app.cta_strategy import (
+    CtaTemplate,
+    StopOrder,
+    Direction,
+    TickData,
+    BarData,
+    TradeData,
+    OrderData,
+    BarGenerator,
+    ArrayManager,
+)
 
 
 class DoubleMaStrategy(CtaTemplate):
-    author = "用Python的交易员"
+    author = '用Python的交易员'
+    
+    fast_window = 10     
+    slow_window = 20     
 
-    fast_window = 10
-    slow_window = 20
-
-    fast_ma = 0.0
-    slow_ma = 0.0
-
-    parameters = ["fast_window", "slow_window"]
-    variables = ["fast_ma", "slow_ma"]
+    fast_ma0 = 0.0   
+    fast_ma1 = 0.0   
 
+    slow_ma0 = 0.0
+    slow_ma1 = 0.0
+    
+    parameters = [ 'fast_window', 'slow_window']    
+    variables = ['fast_ma0','fast_ma1','slow_ma0','slow_ma1']  
+    
     def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
         """"""
         super(DoubleMaStrategy, self).__init__(
             cta_engine, strategy_name, vt_symbol, setting
         )
+
+        self.bg = BarGenerator(self.on_bar)
+        self.am = ArrayManager()
+        
+    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")
+        self.put_event()
+
+    def on_stop(self):
+        """
+        Callback when strategy is stopped.
+        """
+        self.write_log("策略停止")
+
+        self.put_event()
+
+    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.
+        """
+
+        am = self.am        
+        am.update_bar(bar)
+        if not am.inited:
+            return
+        
+        fast_ma = am.sma(self.fast_window, array=True)
+        self.fast_ma0 = fast_ma[-1]
+        self.fast_ma1 = fast_ma[-2]
+        
+        slow_ma = am.sma(self.slow_window, array=True)
+        self.slow_ma0 = slow_ma[-1]
+        self.slow_ma1 = slow_ma[-2]
+
+        cross_over = self.fast_ma0>self.slow_ma0 and self.fast_ma1<self.slow_ma1     
+        cross_below = self.fast_ma0<self.slow_ma0 and self.fast_ma1>self.slow_ma1    
+        
+        if cross_over:
+            if self.pos == 0:
+                self.buy(bar.close_price, 1)
+            elif self.pos < 0:
+                self.cover(bar.close_price, 1)
+                self.buy(bar.close_price, 1)
+
+        elif cross_below:
+            if self.pos == 0:
+                self.short(bar.close_price, 1)
+            elif self.pos > 0:
+                self.sell(bar.close_price, 1)
+                self.short(bar.close_price, 1)
+                
+        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.
+        """
+        self.put_event()
+
+    def on_stop_order(self, stop_order: StopOrder):
+        """
+        Callback of stop order update.
+        """
+        pass