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[Mod]限制海龟策略的长短信号同一时间只允许一个交易

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vn.py 2018-11-11 13:59:02 +08:00
parent ce0931c977
commit d223c9fea1
1 changed files with 17 additions and 3 deletions
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20
examples/TurtleStrategy/turtleStrategy.py
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@ -55,7 +55,7 @@ class TurtleSignal(object):
self.atrWindow = atrWindow # 计算ATR周期数 self.atrWindow = atrWindow # 计算ATR周期数
self.profitCheck = profitCheck # 是否检查上一笔盈利 self.profitCheck = profitCheck # 是否检查上一笔盈利
self.am = ArrayManager() # K线容器 self.am = ArrayManager(60) # K线容器
self.atrVolatility = 0 # ATR波动率 self.atrVolatility = 0 # ATR波动率
self.entryUp = 0 # 入场通道 self.entryUp = 0 # 入场通道
@ -79,7 +79,7 @@ class TurtleSignal(object):
self.result = None # 当前的交易 self.result = None # 当前的交易
self.resultList = [] # 交易列表 self.resultList = [] # 交易列表
self.bar = None # 最新K线 self.bar = None # 最新K线
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def onBar(self, bar): def onBar(self, bar):
"""""" """"""
@ -137,7 +137,7 @@ class TurtleSignal(object):
return return
# 没有仓位或者持有空头仓位的时候，可以做空（加仓） # 没有仓位或者持有空头仓位的时候，可以做空（加仓）
elif self.pos <= 0: if self.pos <= 0:
if bar.low <= self.shortEntry1 and self.pos > -1: if bar.low <= self.shortEntry1 and self.pos > -1:
self.short(self.shortEntry1, 1) self.short(self.shortEntry1, 1)
@ -269,6 +269,8 @@ class TurtlePortfolio(object):
self.posDict = {} # 每个品种的持仓情况 self.posDict = {} # 每个品种的持仓情况
self.totalLong = 0 # 总的多头持仓 self.totalLong = 0 # 总的多头持仓
self.totalShort = 0 # 总的空头持仓 self.totalShort = 0 # 总的空头持仓
self.tradingDict = {} # 交易中的信号字典
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def init(self, vtSymbolList): def init(self, vtSymbolList):
@ -333,6 +335,18 @@ class TurtlePortfolio(object):
volume = min(volume, abs(pos)) volume = min(volume, abs(pos))
# 获取当前交易中的信号，如果不是本信号，则忽略
currentSignal = self.tradingDict.get(signal.vtSymbol, None)
if currentSignal and currentSignal is not signal:
return
# 开仓则缓存该信号的交易状态
if offset == OFFSET_OPEN:
self.tradingDict[signal.vtSymbol] = signal
# 平仓则清除该信号
else:
self.tradingDict.pop(signal.vtSymbol)
self.sendOrder(signal.vtSymbol, direction, offset, price, volume) self.sendOrder(signal.vtSymbol, direction, offset, price, volume)
#---------------------------------------------------------------------- #----------------------------------------------------------------------