diff --git a/requirements.txt b/requirements.txt index 6255c9e2..b4ea7f0e 100644 --- a/requirements.txt +++ b/requirements.txt @@ -1,6 +1,6 @@ six PyQt5 -pyqtgraph +pyqtgraph==0.10.0 dataclasses; python_version<="3.6" qdarkstyle requests diff --git a/vnpy/api/easytrader/remoteclient.py b/vnpy/api/easytrader/remoteclient.py index 15a46e72..93a3c7f8 100644 --- a/vnpy/api/easytrader/remoteclient.py +++ b/vnpy/api/easytrader/remoteclient.py @@ -2,12 +2,11 @@ import requests from .utils.misc import file2dict +from vnpy.rpc import RpcClient -def use(broker, host, port=1430, **kwargs): - return RemoteClient(broker, host, port) - +TIMEOUT = 10 class RemoteClient: def __init__(self, broker, host, port=1430, **kwargs): self._s = requests.session() @@ -44,7 +43,8 @@ class RemoteClient: params["broker"] = self._broker - response = self._s.post(self._api + "/prepare", json=params) + # prepare需要启动同花顺客户端,需要的时间比较长,所以超时给长一些时间 + response = self._s.post(self._api + "/prepare", json=params, timeout=60) if response.status_code >= 300: raise Exception(response.json()["error"]) return response.json() @@ -76,7 +76,7 @@ class RemoteClient: return self.common_get("exit") def common_get(self, endpoint): - response = self._s.get(self._api + "/" + endpoint) + response = self._s.get(self._api + "/" + endpoint, timeout=TIMEOUT) if response.status_code >= 300: print(Exception(response.json()["error"])) return response.json() @@ -85,7 +85,7 @@ class RemoteClient: params = locals().copy() params.pop("self") - response = self._s.post(self._api + "/buy", json=params) + response = self._s.post(self._api + "/buy", json=params, timeout=TIMEOUT) if response.status_code >= 300: raise Exception(response.json()["error"]) return response.json() @@ -94,7 +94,7 @@ class RemoteClient: params = locals().copy() params.pop("self") - response = self._s.post(self._api + "/sell", json=params) + response = self._s.post(self._api + "/sell", json=params, timeout=TIMEOUT) if response.status_code >= 300: raise Exception(response.json()["error"]) return response.json() @@ -103,7 +103,69 @@ class RemoteClient: params = locals().copy() params.pop("self") - response = self._s.post(self._api + "/cancel_entrust", json=params) + response = self._s.post(self._api + "/cancel_entrust", json=params, timeout=TIMEOUT) if response.status_code >= 300: raise Exception(response.json()["error"]) return response.json() + +########### +# written by 黄健威 +# 以下是新增加的ZMQ Client +# 整个接口对外保持和原来的一致 +# 通过对原requests接口的“鸭子类型替换”来实现透明化 + +def use(broker, host, port=1430, use_zmq=True, **kwargs): + if use_zmq: + return ZMQRemoteClient(broker, host, port) + else: + return RemoteClient(broker, host, port) + +class ZMQResponse(object): + # 这个类是模仿requests的返回结果 + def __init__(self, status_code, data) -> None: + self.data = data + self.status_code = status_code + + def json(self): + return self.data + +class MyRpcClient(RpcClient): + # 这个类把vnpy原生的rpc组件中的超时输出去除 + # 原版rpc组件中,如果上一个请求后30秒内没有新的请求,会输出一段提示 + def on_disconnected(self): + pass + +class ZMQSession(object): + # 这个类是模仿requests的Session + def __init__(self, host, port) -> None: + req_addr = "tcp://{}:{}".format(host, port) + sub_addr = "tcp://{}:{}".format(host, port+1) + + self._rpc_client = MyRpcClient() + self._rpc_client.start(req_addr, sub_addr) + + def post(self, url, json=None, timeout=10): + name = url.split("/")[-1] + data, status_code = self._rpc_client.call_func(name, json) + resp = ZMQResponse(status_code, data) + return resp + + def get(self, url, json=None, timeout=10): + return self.post(url, json, timeout) + + def __del__(self): + # 当进程开始销毁对象时,显式调用stop来杀死后台的zmq线程,避免死锁无法退出 + self._rpc_client.stop() + +class ZMQRemoteClient(RemoteClient): + # 对原RemoteClient的重载 + def __init__(self, broker, host, port=1430, **kwargs): + self._broker = broker + + # api这个项目已经不需要了 + self._api = "" + # 替换Session + self._s = ZMQSession(host, port) + + def __del__(self): + del self._s \ No newline at end of file diff --git a/vnpy/app/cta_crypto/engine.py b/vnpy/app/cta_crypto/engine.py index 43f8ba15..3b88356e 100644 --- a/vnpy/app/cta_crypto/engine.py +++ b/vnpy/app/cta_crypto/engine.py @@ -15,6 +15,7 @@ from collections import defaultdict from pathlib import Path from typing import Any, Callable from datetime import datetime, timedelta +from time import sleep from collections import OrderedDict from concurrent.futures import ThreadPoolExecutor from copy import copy @@ -1072,6 +1073,10 @@ class CtaEngine(BaseEngine): self.write_log(f'{strategy_name} => 启动交易') self.start_strategy(strategy_name) + # 等待3秒,避免快速重新请求rest数据 + self.write_log(f'等待3秒') + sleep(3) + except Exception as ex: msg = f'{strategy_name} => 执行on_init异常:{str(ex)}' self.write_error(msg) @@ -1822,6 +1827,7 @@ class CtaEngine(BaseEngine): self.strategy_setting = load_json(self.setting_filename) for strategy_name, strategy_config in self.strategy_setting.items(): + self.write_log(f'开始加载{strategy_name}') self.add_strategy( class_name=strategy_config["class_name"], strategy_name=strategy_name, @@ -1831,6 +1837,7 @@ class CtaEngine(BaseEngine): auto_start=strategy_config.get('auto_start', False) ) + def update_strategy_setting(self, strategy_name: str, setting: dict, auto_init: bool = False, auto_start: bool = False): """ diff --git a/vnpy/app/cta_strategy_pro/portfolio_testing.py b/vnpy/app/cta_strategy_pro/portfolio_testing.py index a27971e4..d8d1e8a0 100644 --- a/vnpy/app/cta_strategy_pro/portfolio_testing.py +++ b/vnpy/app/cta_strategy_pro/portfolio_testing.py @@ -335,7 +335,8 @@ class PortfolioTestingEngine(BackTestingEngine): last_trading_day = bar.trading_day # 第二个交易日,撤单 - self.cancel_orders() + if not symbol.startswith('future_renko'): + self.cancel_orders() # 更新持仓缓存 self.update_pos_buffer() diff --git a/vnpy/app/cta_strategy_pro/template.py b/vnpy/app/cta_strategy_pro/template.py index 86f7e8aa..7917226c 100644 --- a/vnpy/app/cta_strategy_pro/template.py +++ b/vnpy/app/cta_strategy_pro/template.py @@ -1386,6 +1386,7 @@ class CtaProFutureTemplate(CtaProTemplate): if active_order['offset'] != Offset.OPEN: grid.open_status = False grid.close_status = True + grid.open_time = None self.write_log(f'{grid.direction.value}单已平仓完毕,order_price:{order.price}' + f',volume:{order.volume}') @@ -1396,6 +1397,7 @@ class CtaProFutureTemplate(CtaProTemplate): # 开仓完毕( buy, short) else: grid.open_status = True + grid.open_time = self.cur_datetime self.write_log(f'{grid.direction.value}单已开仓完毕,order_price:{order.price}' + f',volume:{order.volume}') diff --git a/vnpy/component/cta_line_bar.py b/vnpy/component/cta_line_bar.py index bedcb44e..792947e0 100644 --- a/vnpy/component/cta_line_bar.py +++ b/vnpy/component/cta_line_bar.py @@ -5535,6 +5535,11 @@ class CtaLineBar(object): # 当前bar已计算 self.chanlun_calculated = True + @property + def cur_fenxing(self): + """当前分型""" + return self.fenxing_list[-1] if len(self.fenxing_list) > 0 else None + @property def fenxing_list(self): if not self.chanlun_calculated: @@ -5590,12 +5595,6 @@ class CtaLineBar(object): self.__count_chanlun() return self._duan_zs_list - @property - def duan_zs_list(self): - if not self.chanlun_calculated: - self.__count_chanlun() - return self._duan_zs_list - @property def cur_duan_zs(self): """当前段中枢""" @@ -6106,6 +6105,7 @@ class CtaLineBar(object): return False + def write_log(self, content): """记录CTA日志""" self.strategy.write_log(u'[' + self.name + u']' + content) diff --git a/vnpy/component/cta_utility.py b/vnpy/component/cta_utility.py index a8e5ab8c..d3f44c9a 100644 --- a/vnpy/component/cta_utility.py +++ b/vnpy/component/cta_utility.py @@ -5,7 +5,7 @@ from vnpy.trader.constant import ChanSignals, Direction from vnpy.component.chanlun.pyChanlun import ChanBi, ChanDuan, ChanObject from vnpy.component.cta_line_bar import CtaLineBar -from typing import List +from typing import List, Union # 所有底背驰信号集合 DI_BEICHI_SIGNALS = [ChanSignals.LA0.value, ChanSignals.LA1.value, ChanSignals.LA2.value, ChanSignals.LA3.value, @@ -60,7 +60,7 @@ def check_duan_not_rt(kline: CtaLineBar, direction: Direction) -> bool: def check_bi_not_rt(kline: CtaLineBar, direction: Direction) -> bool: """ - 检查某一个K线当前分笔是否非实时 + 检查某一个K线当前分笔是否非实时并符合判断方向 :param kline: :param Direction: :return: @@ -82,6 +82,68 @@ def check_bi_not_rt(kline: CtaLineBar, direction: Direction) -> bool: return True +def check_fx_power(kline: CtaLineBar, direction: Direction) -> str: + """ + 获取分型强弱 + :param kline: 本级别K线 + :param direction: 分型方向: 1:顶分型;-1:底分型 + :return: 强,普通,弱,不匹配 + """ + ret = '不匹配' + + # 不存在分型,或者分型还没结束,不做判断 + if not kline.cur_fenxing or kline.cur_fenxing.is_rt: + return ret + + direction = 1 if direction == Direction.LONG else -1 + + # 分型方向不一致 + if kline.cur_fenxing.direction != direction: + return ret + + # 分型前x根bar + pre_bars = [bar for bar in kline.line_bar[-10:] if + bar.datetime.strftime('%Y-%m-%d %H:%M:%S') < kline.cur_fenxing.index] + + if len(pre_bars) == 0: + return ret + pre_bar = pre_bars[-1] + + # 分型后x根bar + extra_bars = \ + [bar for bar in kline.line_bar[-10:] if bar.datetime.strftime('%Y-%m-%d %H:%M:%S') > kline.cur_fenxing.index] + + # 分型后,有三根bar + if len(extra_bars) < 3: + return ret + + # 处理顶分型 + if kline.cur_fenxing.direction == 1: + # 顶分型后第一根bar的低点,没有超过前bar的低点 + if extra_bars[0].low_price >= pre_bar.low_price: + return '普通' + + # 找到正确形态,第二、第三根bar,都站在顶分型之下 + if pre_bar.low_price >= extra_bars[1].high_price > extra_bars[2].high_price: + return '强' + + return '普通' + + # 处理底分型 + if kline.cur_fenxing.direction == -1: + # 底分型后第一根bar的高点,没有超过前bar的高点 + if extra_bars[0].high_price <= pre_bar.high_price: + return '弱' + + # 找到正确形态,第二、第三根bar,都站在底分型之上 + if pre_bar.high_price <= extra_bars[1].low_price < extra_bars[2].low_price: + return '强' + + return '普通' + + return ret + + def check_chan_xt(kline: CtaLineBar, bi_list: List[ChanObject]) -> str: """ 获取缠论得形态 @@ -100,8 +162,8 @@ def check_chan_xt(kline: CtaLineBar, bi_list: List[ChanObject]) -> str: return check_chan_xt_nine_bi(kline, bi_list) if len(bi_list) == 11: return check_chan_xt_eleven_bi(kline, bi_list) - if len(bi_list) == 13: - return check_chan_xt_thirteen_bi(kline, bi_list) + if len(bi_list) >= 13: + return check_chan_xt_thirteen_bi(kline, bi_list[-13:]) return v @@ -201,9 +263,10 @@ def check_chan_xt_five_bi(kline: CtaLineBar, bi_list: List[ChanObject]): if (min_low == bi_3.low and bi_5.low < bi_1.low) or (min_low == bi_5.low): v = ChanSignals.LA0.value - # 类趋势底背驰 - if max_high == bi_1.high and min_low == bi_5.low and bi_4.high < bi_2.low and bi_5.height < max(bi_3.height, - bi_1.height): + # 类趋势底背驰( 笔5 的强度比笔1、笔3低) + if max_high == bi_1.high and min_low == bi_5.low and bi_4.high < bi_2.low \ + and bi_5.height < max(bi_3.height, bi_1.height) \ + and bi_5.atan < max(bi_3.atan, bi_1.atan): v = ChanSignals.LA0.value # 上颈线突破 @@ -231,8 +294,10 @@ def check_chan_xt_five_bi(kline: CtaLineBar, bi_list: List[ChanObject]): v = ChanSignals.SA0.value # 类趋势顶背驰 - if min_low == bi_1.low and max_high == bi_5.high and bi_5.height < max(bi_1.height, - bi_3.height) and bi_4.low > bi_2.high: + if min_low == bi_1.low and max_high == bi_5.high \ + and bi_5.height < max(bi_1.height, bi_3.height) \ + and bi_5.atan < max(bi_1.atan, bi_3.atan) \ + and bi_4.low > bi_2.high: v = ChanSignals.SA0.value # 下颈线突破 @@ -240,7 +305,7 @@ def check_chan_xt_five_bi(kline: CtaLineBar, bi_list: List[ChanObject]): or (max_high == bi_3.high and bi_5.low < bi_3.low < bi_5.high < max_high): v = ChanSignals.SG0.value - # 五笔三卖,要求bi_5.low是最低点 + # 五笔三卖,要求bi_5.low是最低点,中枢可能是1~3 if min(bi_1.high, bi_3.high) > max(bi_1.low, bi_3.low) > bi_5.high and bi_5.low == min_low: v = ChanSignals.SI0.value @@ -271,21 +336,26 @@ def check_chan_xt_seven_bi(kline: CtaLineBar, bi_list: List[ChanObject]): if bi_7.direction == -1: if bi_1.high == max_high and bi_7.low == min_low: - # aAbcd式底背驰 - if min(bi_2.high, bi_4.high) > max(bi_2.low, bi_4.low) > bi_6.high and bi_7.height < bi_5.height: + # aAbcd式底背驰, d.高度斜率 小于 b.高度斜率 + if min(bi_2.high, bi_4.high) > max(bi_2.low, bi_4.low) > bi_6.high \ + and bi_7.height < bi_5.height and bi_7.atan <= bi_5.atan: v = ChanSignals.LA0.value # abcAd式底背驰 - if bi_2.low > min(bi_4.high, bi_6.high) > max(bi_4.low, bi_6.low) and bi_7.height < (bi_1.high - bi_3.low): + if bi_2.low > min(bi_4.high, bi_6.high) > max(bi_4.low, bi_6.low) \ + and bi_7.height < (bi_1.high - bi_3.low) \ + and bi_7.atan < (bi_1.atan + bi_3.atan) / 2: v = ChanSignals.LA0.value # aAb式底背驰 - if min(bi_2.high, bi_4.high, bi_6.high) > max(bi_2.low, bi_4.low, bi_6.low) and bi_7.height < bi_1.height: + if min(bi_2.high, bi_4.high, bi_6.high) > max(bi_2.low, bi_4.low, bi_6.low) \ + and bi_7.height < bi_1.height and bi_7.atan <= bi_1.atan: v = ChanSignals.LA0.value # 类趋势底背驰 - if bi_2.low > bi_4.high and bi_4.low > bi_6.high and bi_7.height < max(bi_5.height, bi_3.height, - bi_1.height): + if bi_2.low > bi_4.high and bi_4.low > bi_6.high \ + and bi_7.height < max(bi_5.height, bi_3.height, bi_1.height)\ + and bi_7.atan < max(bi_5.atan, bi_3.atan, bi_1.atan): v = ChanSignals.LA0.value # 向上中枢完成 @@ -304,20 +374,25 @@ def check_chan_xt_seven_bi(kline: CtaLineBar, bi_list: List[ChanObject]): # 顶背驰 if bi_1.low == min_low and bi_7.high == max_high: # aAbcd式顶背驰 - if bi_6.low > min(bi_2.high, bi_4.high) > max(bi_2.low, bi_4.low) and bi_7.height < bi_5.height: + if bi_6.low > min(bi_2.high, bi_4.high) > max(bi_2.low, bi_4.low) \ + and bi_7.height < bi_5.height and bi_7.atan <= bi_5.atan: v = ChanSignals.SA0.value # abcAd式顶背驰 - if min(bi_4.high, bi_6.high) > max(bi_4.low, bi_6.low) > bi_2.high and bi_7.height < (bi_3.high - bi_1.low): + if min(bi_4.high, bi_6.high) > max(bi_4.low, bi_6.low) > bi_2.high \ + and bi_7.height < (bi_3.high - bi_1.low) \ + and bi_7.atan < (bi_1.atan + bi_3.atan) / 2: v = ChanSignals.SA0.value # aAb式顶背驰 - if min(bi_2.high, bi_4.high, bi_6.high) > max(bi_2.low, bi_4.low, bi_6.low) and bi_7.height < bi_1.height: + if min(bi_2.high, bi_4.high, bi_6.high) > max(bi_2.low, bi_4.low, bi_6.low) \ + and bi_7.height < bi_1.height and bi_7.atan <= bi_1.atan: v = ChanSignals.SA0.value # 类趋势顶背驰 - if bi_2.high < bi_4.low and bi_4.high < bi_6.low and bi_7.height < max(bi_5.height, bi_3.height, - bi_1.height): + if bi_2.high < bi_4.low and bi_4.high < bi_6.low \ + and bi_7.height < max(bi_5.height, bi_3.height, bi_1.height)\ + and bi_7.atan < max(bi_5.atan, bi_3.atan, bi_1.atan): v = ChanSignals.SA0.value # 向下中枢完成 @@ -327,7 +402,7 @@ def check_chan_xt_seven_bi(kline: CtaLineBar, bi_list: List[ChanObject]): if min(bi_1.high, bi_3.high) > min(bi_5.low, bi_7.low): v = ChanSignals.SH0.value - # 七笔三卖,567回调 + # 七笔三卖,567回调,中枢可能在1~3 if bi_5.low == min_low and bi_5.low < bi_7.low \ and min(bi_1.high, bi_3.high) > max(bi_1.low, bi_3.low) > bi_7.high > bi_5.high: v = ChanSignals.SI0.value @@ -357,17 +432,18 @@ def check_chan_xt_nine_bi(kline: CtaLineBar, bi_list: List[ChanObject]): if min(bi_2.high, bi_4.high) > max(bi_2.low, bi_4.low) > bi_6.high \ and min(bi_6.high, bi_8.high) > max(bi_6.low, bi_8.low) \ and min(bi_2.low, bi_4.low) > max(bi_6.high, bi_8.high) \ - and bi_9.height < bi_5.height: + and bi_9.height < bi_5.height and bi_7.atan <= bi_5.atan: v = ChanSignals.LA0.value # aAb式底背驰 if min(bi_2.high, bi_4.high, bi_6.high, bi_8.high) > max(bi_2.low, bi_4.low, bi_6.low, bi_8.low) \ - and bi_9.height < bi_1.height and bi_3.low >= bi_1.low and bi_7.high <= bi_9.high: + and bi_9.height < bi_1.height and bi_9.atan <= bi_1.atan \ + and bi_3.low >= bi_1.low and bi_7.high <= bi_9.high: v = ChanSignals.LA0.value # aAbcd式底背驰 if min(bi_2.high, bi_4.high, bi_6.high) > max(bi_2.low, bi_4.low, bi_6.low) > bi_8.high \ - and bi_9.height < bi_7.height: + and bi_9.height < bi_7.height and bi_9.atan <= bi_7.atan: v = ChanSignals.LA0.value # ABC式底背驰 @@ -376,7 +452,7 @@ def check_chan_xt_nine_bi(kline: CtaLineBar, bi_list: List[ChanObject]): and (bi_1.high - bi_3.low) > (bi_7.high - bi_9.low): v = ChanSignals.LA0.value - # 九笔三买 + # 九笔三买(789回调)中枢可能在3~7内 if min_low == bi_1.low and max_high == bi_9.high \ and bi_9.low > min([x.high for x in [bi_3, bi_5, bi_7]]) > max([x.low for x in [bi_3, bi_5, bi_7]]): v = ChanSignals.LI0.value @@ -387,17 +463,18 @@ def check_chan_xt_nine_bi(kline: CtaLineBar, bi_list: List[ChanObject]): if bi_6.low > min(bi_2.high, bi_4.high) > max(bi_2.low, bi_4.low) \ and min(bi_6.high, bi_8.high) > max(bi_6.low, bi_8.low) \ and max(bi_2.high, bi_4.high) < min(bi_6.low, bi_8.low) \ - and bi_9.height < bi_5.height: + and bi_9.height < bi_5.height and bi_9.atan <= bi_5.atan: v = ChanSignals.SA0.value # aAb式顶背驰 if min(bi_2.high, bi_4.high, bi_6.high, bi_8.high) > max(bi_2.low, bi_4.low, bi_6.low, bi_8.low) \ - and bi_9.height < bi_1.height and bi_3.high <= bi_1.high and bi_7.low >= bi_9.low: + and bi_9.height < bi_1.height and bi_9.atan <= bi_1.atan \ + and bi_3.high <= bi_1.high and bi_7.low >= bi_9.low: v = ChanSignals.SA0.value # aAbcd式顶背驰 if bi_8.low > min(bi_2.high, bi_4.high, bi_6.high) > max(bi_2.low, bi_4.low, bi_6.low) \ - and bi_9.height < bi_7.height: + and bi_9.height < bi_7.height and bi_9.atan <= bi_7.atan: v = ChanSignals.SA0.value # ABC式顶背驰 @@ -435,14 +512,14 @@ def check_chan_xt_eleven_bi(kline: CtaLineBar, bi_list: List[ChanObject]): if min(bi_2.high, bi_4.high, bi_6.high) > max(bi_2.low, bi_4.low, bi_6.low) > bi_8.high \ and min(bi_8.high, bi_10.high) > max(bi_8.low, bi_10.low) \ and min(bi_2.low, bi_4.low, bi_6.low) > max(bi_8.high, bi_10.high) \ - and bi_11.height < bi_7.height: + and bi_11.height < bi_7.height and bi_11.atan <= bi_7.atan: v = ChanSignals.LA0.value # aAbBc式底背驰,bi_6-bi_10构成B if min(bi_2.high, bi_4.high) > max(bi_2.low, bi_4.low) > bi_6.high \ and min(bi_6.high, bi_8.high, bi_10.high) > max(bi_6.low, bi_8.low, bi_10.low) \ and min(bi_2.low, bi_4.low) > max(bi_6.high, bi_8.high, bi_10.high) \ - and bi_11.height < bi_5.height: + and bi_11.height < bi_5.height and bi_11.atan <= bi_5.atan: v = ChanSignals.LA0.value # ABC式底背驰,A5B3C3 @@ -460,7 +537,7 @@ def check_chan_xt_eleven_bi(kline: CtaLineBar, bi_list: List[ChanObject]): and bi_6.high > bi_4.low and bi_1.high - bi_3.low > bi_7.high - bi_11.low: v = ChanSignals.LA0.value # C内部背驰 - if bi_11.height < max(bi_9.height, bi_7.height): + if bi_11.height < max(bi_9.height, bi_7.height) and bi_11.atan <= max(bi_9.atan, bi_7.atan): v = ChanSignals.LB0.value # ABC式底背驰,A3B5C3 @@ -468,7 +545,7 @@ def check_chan_xt_eleven_bi(kline: CtaLineBar, bi_list: List[ChanObject]): and bi_9.high > bi_11.high and bi_1.high - bi_3.low > bi_9.high - bi_11.low: v = ChanSignals.LA0.value # C内部背驰 - if bi_11.height < max(bi_9.height, bi_7.height): + if bi_11.height < max(bi_9.height, bi_7.height) and bi_11.atan <= max(bi_9.atan, bi_7.atan): v = ChanSignals.LB0.value elif direction == 1: @@ -477,14 +554,14 @@ def check_chan_xt_eleven_bi(kline: CtaLineBar, bi_list: List[ChanObject]): if bi_8.low > min(bi_2.high, bi_4.high, bi_6.high) >= max(bi_2.low, bi_4.low, bi_6.low) \ and min(bi_8.high, bi_10.high) >= max(bi_8.low, bi_10.low) \ and max(bi_2.high, bi_4.high, bi_6.high) < min(bi_8.low, bi_10.low) \ - and bi_11.height < bi_7.height: + and bi_11.height < bi_7.height and bi_11.atan <= bi_7.atan: v = ChanSignals.SA0.value # aAbBC式顶背驰,bi_6-bi_10构成B if bi_6.low > min(bi_2.high, bi_4.high) >= max(bi_2.low, bi_4.low) \ and min(bi_6.high, bi_8.high, bi_10.high) >= max(bi_6.low, bi_8.low, bi_10.low) \ and max(bi_2.high, bi_4.high) < min(bi_6.low, bi_8.low, bi_10.low) \ - and bi_11.height < bi_7.height: + and bi_11.height < bi_7.height and bi_11.atan <= bi_7.atan: v = ChanSignals.SA0.value # ABC式顶背驰,A5B3C3 @@ -492,7 +569,7 @@ def check_chan_xt_eleven_bi(kline: CtaLineBar, bi_list: List[ChanObject]): and bi_8.low < bi_6.high and bi_11.high - bi_9.low < bi_5.high - bi_1.low: v = ChanSignals.SA0.value # C内部背驰 - if bi_11.height < bi_9.height: + if bi_11.height < bi_9.height and bi_11.atan <= bi_9.atan: v = ChanSignals.SB0.value # ABC式顶背驰,A3B3C5 @@ -500,7 +577,7 @@ def check_chan_xt_eleven_bi(kline: CtaLineBar, bi_list: List[ChanObject]): and bi_6.low < bi_4.high and bi_11.high - bi_7.low < bi_3.high - bi_1.low: v = ChanSignals.SA0.value # C内部背驰 - if bi_11.height < max(bi_9.height, bi_7.height): + if bi_11.height < max(bi_9.height, bi_7.height) and bi_11.atan <= max(bi_9.atan, bi_7.atan): v = ChanSignals.SB0.value # ABC式顶背驰,A3B5C3 @@ -508,7 +585,7 @@ def check_chan_xt_eleven_bi(kline: CtaLineBar, bi_list: List[ChanObject]): and bi_9.low < bi_11.low and bi_3.high - bi_1.low > bi_11.high - bi_9.low: v = ChanSignals.SA0.value # C内部背驰 - if bi_11.height < max(bi_9.height, bi_7.height): + if bi_11.height < max(bi_9.height, bi_7.height) and bi_11.atan <= max(bi_9.atan, bi_7.atan): v = ChanSignals.SB0.value return v @@ -536,7 +613,7 @@ def check_chan_xt_thirteen_bi(kline: CtaLineBar, bi_list: List[ChanObject]): if min(bi_2.high, bi_4.high, bi_6.high) > max(bi_2.low, bi_4.low, bi_6.low) > bi_8.high \ and min(bi_8.high, bi_10.high, bi_12.high) > max(bi_8.low, bi_10.low, bi_12.low) \ and min(bi_2.low, bi_4.low, bi_6.low) > max(bi_8.high, bi_10.high, bi_12.high) \ - and bi_13.height < bi_7.height: + and bi_13.height < bi_7.height and bi_13.atan <= bi_7.atan: v = ChanSignals.LA0.value # ABC式底背驰,A5B3C5 @@ -544,7 +621,7 @@ def check_chan_xt_thirteen_bi(kline: CtaLineBar, bi_list: List[ChanObject]): and bi_8.high > bi_6.low and bi_1.high - bi_5.low > bi_9.high - bi_13.low: v = ChanSignals.LA0.value - if bi_13.height < max(bi_11.height, bi_9.height): + if bi_13.height < max(bi_11.height, bi_9.height) and bi_13.atan <= max(bi_11.atan, bi_9.atan): v = ChanSignals.LB0.value # ABC式底背驰,A3B5C5 @@ -553,7 +630,7 @@ def check_chan_xt_thirteen_bi(kline: CtaLineBar, bi_list: List[ChanObject]): and bi_1.high - bi_3.low > bi_9.high - bi_13.low: v = ChanSignals.LA0.value - if bi_13.height < max(bi_11.height, bi_9.height): + if bi_13.height < max(bi_11.height, bi_9.height) and bi_13.atan <= max(bi_11.atan, bi_9.atan): v = ChanSignals.LB0.value # ABC式底背驰,A5B5C3 @@ -562,7 +639,7 @@ def check_chan_xt_thirteen_bi(kline: CtaLineBar, bi_list: List[ChanObject]): and bi_1.high - bi_5.low > bi_11.high - bi_13.low: v = ChanSignals.LA0.value - if bi_13.height < bi_11.height: + if bi_13.height < bi_11.height and bi_13.atan <= bi_11.atan: v = ChanSignals.LB0.value # 上涨线段时,判断背驰类型 @@ -572,7 +649,7 @@ def check_chan_xt_thirteen_bi(kline: CtaLineBar, bi_list: List[ChanObject]): if bi_8.low > min(bi_2.high, bi_4.high, bi_6.high) >= max(bi_2.low, bi_4.low, bi_6.low) \ and min(bi_8.high, bi_10.high, bi_12.high) >= max(bi_8.low, bi_10.low, bi_12.low) \ and max(bi_2.high, bi_4.high, bi_6.high) < min(bi_8.low, bi_10.low, bi_12.low) \ - and bi_13.height < bi_7.height: + and bi_13.height < bi_7.height and bi_13.atan <= bi_7.atan: v = ChanSignals.SA0.value # ABC式顶背驰,A5B3C5 @@ -580,7 +657,7 @@ def check_chan_xt_thirteen_bi(kline: CtaLineBar, bi_list: List[ChanObject]): and bi_8.low < bi_6.high and bi_5.high - bi_1.low > bi_13.high - bi_9.low: v = ChanSignals.SA0.value # C内部顶背驰,形成双重顶背驰 - if bi_13.height < max(bi_11.height, bi_9.height): + if bi_13.height < max(bi_11.height, bi_9.height) and bi_13.atan <= max(bi_11.atan, bi_9.atan): v = ChanSignals.SB0.value # ABC式顶背驰,A3B5C5 @@ -589,7 +666,7 @@ def check_chan_xt_thirteen_bi(kline: CtaLineBar, bi_list: List[ChanObject]): and bi_3.high - bi_1.low > bi_13.high - bi_9.low: v = ChanSignals.SA0.value # C内部顶背驰,形成双重顶背驰 - if bi_13.height < max(bi_11.height, bi_9.height): + if bi_13.height < max(bi_11.height, bi_9.height) and bi_13.atan <= max(bi_11.atan, bi_9.atan): v = ChanSignals.SB0.value # ABC式顶背驰,A5B5C3 @@ -598,6 +675,561 @@ def check_chan_xt_thirteen_bi(kline: CtaLineBar, bi_list: List[ChanObject]): and bi_5.high - bi_1.low > bi_13.high - bi_11.low: v = ChanSignals.SA0.value # C内部顶背驰,形成双重顶背驰 - if bi_13.height < bi_11.height: + if bi_13.height < bi_11.height and bi_13.atan <= bi_11.atan: v = ChanSignals.SB0.value return v + + +def check_pzbc_1st(big_kline: CtaLineBar, small_kline: Union[CtaLineBar, None], signal_direction: Direction): + """ + 判断中枢盘整背驰1买/1卖信号 + big_kline当前线段为调整段,与信号方向相反,线段具有盘整一个中枢, + 进入中枢与离开中枢的一笔力度对比(高度、斜率) + :param big_kline: 本级别K线 + :param small_kline: 次级别K线(可选,可以是None) + :param signal_direction: 信号方向 + :return: + """ + direction = 1 if signal_direction == Direction.LONG else -1 + + # 排除 + # 没有前线段、没有笔中枢 + # 当前线段方向与判断方向一致、 + # 前线段比当前线段高度小 + if not big_kline.pre_duan \ + or not big_kline.cur_bi_zs \ + or big_kline.cur_duan.direction == direction \ + or big_kline.pre_duan.height < big_kline.cur_duan.height: + return False + + # 如果有次级别K线时,也要判断方向 + if small_kline and (not small_kline.pre_duan or small_kline.cur_duan.direction == direction): + return False + + # 当前线段必须有5笔 + if len(big_kline.cur_duan.bi_list) < 5: + return False + + # 线段内,只允许有一个中枢 + if len([zs for zs in big_kline.bi_zs_list[-3:] if zs.start > big_kline.cur_duan.start]) > 1: + return False + + # 当前笔中枢必须在当前线段之内 + if big_kline.cur_bi_zs.start < big_kline.cur_duan.start: + return False + + # 当前线段的高低点,与最高、最低分笔一致(不会出现区间套) + if signal_direction == Direction.LONG: + # 当前最后一笔,就是线段的最后一笔 + if not duan_bi_is_end(big_kline.cur_duan, Direction.SHORT): + return False + # 当前的线段,已经具备底分型 + if not check_duan_not_rt(big_kline, Direction.SHORT): + return False + # 当前的笔,走完,具备底分型 + if not check_bi_not_rt(big_kline, Direction.SHORT): + return False + else: + if not duan_bi_is_end(big_kline.cur_duan, Direction.LONG): + return False + if not check_duan_not_rt(big_kline, Direction.LONG): + return False + # 笔走完 + if not check_bi_not_rt(big_kline, Direction.LONG): + return False + + # 中枢的进入笔、离开笔 + # 中枢的首笔与线段不同向,则选择中枢之前的一笔和最后的一笔 + if big_kline.cur_bi_zs.bi_list[0].direction != big_kline.cur_duan.direction: + entry_bi_list = [bi for bi in big_kline.cur_duan.bi_list if bi.end <= big_kline.cur_bi_zs.start] + exit_bi_list = [bi for bi in big_kline.cur_duan.bi_list if bi.end > big_kline.cur_bi_zs.end] + if not (len(entry_bi_list) >= 1 and len(exit_bi_list) == 1): + return False + entry_bi = entry_bi_list[-1] + exit_bi = exit_bi_list[0] + + # 中枢首笔跟线段同向 + else: + entry_bi = big_kline.cur_bi_zs.bi_list[0] + exit_bi = big_kline.cur_duan.bi_list[-1] + + # 进入笔的高度,要高于离开笔,或者,进入笔的斜率,要大于离开笔 + if entry_bi.height > exit_bi.height or entry_bi.atan > exit_bi.atan: + + # 分析次级别K线,判断其是否也发生线段背驰 + if small_kline: + if len(small_kline.cur_duan.bi_list) > 1: + if (small_kline.cur_duan.bi_list[0].height > small_kline.cur_duan.bi_list[-1].height \ + and small_kline.cur_duan.bi_list[0].atan > small_kline.cur_duan.bi_list[-1].atan) \ + or (small_kline.cur_duan.bi_list[-3].height > small_kline.cur_duan.bi_list[-1].height \ + and small_kline.cur_duan.bi_list[-3].atan > small_kline.cur_duan.bi_list[-1].atan): + return True + else: + return True + + # 判断是否macd背驰 + if big_kline.is_macd_divergence(big_kline.cur_duan.direction, exit_bi.end, entry_bi.end): + return True + + return False + + +def check_qsbc_1st(big_kline: CtaLineBar, small_kline: Union[CtaLineBar, None], signal_direction: Direction): + """ + 判断趋势背驰1买/1卖信号 + big_kline当前线段为趋势,与信号方向相反,线段具有2个中枢, + 进入最后中枢与离开中枢的一笔力度对比(高度、斜率) + :param big_kline: 本级别K线 + :param small_kline: 次级别K线(可选,可以是None) + :param signal_direction: 信号方向 + :return: + """ + direction = 1 if signal_direction == Direction.LONG else -1 + # 排除 + # 没有前线段、没有笔中枢 + # 当前线段方向与判断方向一致 + if not big_kline.pre_duan \ + or not big_kline.cur_bi_zs \ + or big_kline.cur_duan.direction == direction: + return False + + # 如果有次级别K线时,也要判断方向 + if small_kline and (not small_kline.pre_duan or small_kline.cur_duan.direction == direction): + return False + + # 线段内,至少有2个或以上中枢 + if len([zs for zs in big_kline.bi_zs_list[-4:] if zs.start > big_kline.cur_duan.start]) < 2: + return False + + # 当前线段的高低点,与最高、最低分笔一致(不会出现区间套) + if signal_direction == Direction.LONG: + + # 笔走完 + if not check_bi_not_rt(big_kline, Direction.SHORT): + return False + + if not check_duan_not_rt(big_kline, Direction.SHORT): + return False + + # 最后一笔 + if not duan_bi_is_end(big_kline.cur_duan, Direction.SHORT): + return False + + else: + # 笔走完 + if not check_bi_not_rt(big_kline, Direction.LONG): + return False + if not check_duan_not_rt(big_kline, Direction.LONG): + return False + # 最后一笔 + if not duan_bi_is_end(big_kline.cur_duan, Direction.LONG): + return False + + # 中枢的进入笔、离开笔 + entry_bi_list = [bi for bi in big_kline.cur_duan.bi_list if bi.end <= big_kline.cur_bi_zs.start] + exit_bi_list = [bi for bi in big_kline.cur_duan.bi_list if bi.end > big_kline.cur_bi_zs.end] + if not (len(entry_bi_list) >= 1 and len(exit_bi_list) == 1): + return False + + # 离开中枢的一笔,其middle必须也不在中枢内 + if signal_direction == Direction.LONG and exit_bi_list[0].middle > big_kline.cur_bi_zs.low: + return False + if signal_direction == Direction.SHORT and exit_bi_list[0].middle < big_kline.cur_bi_zs.high: + return False + + # 进入中枢一笔,与离开中枢笔,方向必须相同 + if entry_bi_list[-1].direction != exit_bi_list[-1].direction: + return False + + # 进入笔的高度,要高于离开笔,或者,进入笔的斜率,要大于离开笔 + if entry_bi_list[-1].height > exit_bi_list[0].height and entry_bi_list[-1].atan > exit_bi_list[0].atan: + + # 分析次级别K线,判断其是否也发生线段背驰 + if small_kline: + if len(small_kline.cur_duan.bi_list) > 1: + if (small_kline.cur_duan.bi_list[0].height > small_kline.cur_duan.bi_list[-1].height \ + and small_kline.cur_duan.bi_list[0].atan > small_kline.cur_duan.bi_list[-1].atan) \ + or (small_kline.cur_duan.bi_list[-3].height > small_kline.cur_duan.bi_list[-1].height \ + and small_kline.cur_duan.bi_list[-3].atan > small_kline.cur_duan.bi_list[-1].atan): + return True + else: + return True + + return False + + +def check_pz3bc_1st(big_kline: CtaLineBar, small_kline: Union[CtaLineBar, None], signal_direction: Direction): + """ + 判断三卖后盘整背驰一买/三买后盘整背驰1卖信号 + big_kline当前线段与信号方向相反,线段具有盘整一个中枢,离开中枢的一笔力度与三买/卖信号后的一笔对比(高度、斜率) + :param big_kline: 本级别K线 + :param small_kline: 次级别K线(可选,可以是None) + :param signal_direction: 信号方向 + :return: + """ + direction = 1 if signal_direction == Direction.LONG else -1 + + # 排除 + # 没有前线段、没有笔中枢 + # 当前线段方向与判断方向一致、 + if not big_kline.pre_duan \ + or not big_kline.cur_bi_zs \ + or big_kline.cur_duan.direction == direction: + return False + + # 如果有次级别K线时,也要判断方向 + if small_kline and (not small_kline.pre_duan or small_kline.cur_duan.direction == direction): + return False + + # 当前线段必须有5笔 + if len(big_kline.cur_duan.bi_list) < 5: + return False + + # 当前笔中枢必须在当前线段之内 + if big_kline.cur_bi_zs.start < big_kline.cur_duan.start: + return False + + # 当前线段的高低点,与最高、最低分笔一致(不会出现区间套) + if signal_direction == Direction.LONG: + # 下跌线段与下跌笔为最低点 + if not duan_bi_is_end(big_kline.cur_duan, Direction.SHORT): + return False + # 下跌线段具有底分 + if not check_duan_not_rt(big_kline, Direction.SHORT): + return False + # 下跌笔具有底分 + if not check_bi_not_rt(big_kline, Direction.SHORT): + return False + else: + # 上涨线段与上涨笔为最高点 + if not duan_bi_is_end(big_kline.cur_duan, Direction.LONG): + return False + # 上涨线段具有顶分 + if not check_duan_not_rt(big_kline, Direction.LONG): + return False + + # 上涨笔具有顶分 + if not check_bi_not_rt(big_kline, Direction.LONG): + return False + + # 中枢的离开笔,有三笔 + exit_bi_list = [bi for bi in big_kline.cur_duan.bi_list if bi.end > big_kline.cur_bi_zs.end] + if len(exit_bi_list) != 3: + return False + + # 离开中枢首笔的高度,要高于末笔笔,或者,斜率要大于末笔 + if exit_bi_list[0].height > exit_bi_list[-1].height and exit_bi_list[0].atan > exit_bi_list[-1].atan: + + # 分析次级别K线,判断其是否也发生线段背驰 + if small_kline: + if len(small_kline.cur_duan.bi_list) > 1: + if (small_kline.cur_duan.bi_list[0].height > small_kline.cur_duan.bi_list[-1].height \ + and small_kline.cur_duan.bi_list[0].atan > small_kline.cur_duan.bi_list[-1].atan) \ + or (small_kline.cur_duan.bi_list[-3].height > small_kline.cur_duan.bi_list[-1].height \ + and small_kline.cur_duan.bi_list[-3].atan > small_kline.cur_duan.bi_list[-1].atan): + return True + else: + return True + + return False + + +def check_qjt_1st(big_kline: CtaLineBar, small_kline: Union[CtaLineBar, None], signal_direction: Direction): + """ + 判断区间套一买/区间套1卖信号 + big_kline当前线段与信号方向相反,线段具有盘整一个中枢, + [一买信号为例] + 中枢前下跌一笔a,中枢后,存在两个下跌笔b、c, + b比a力度小,c比b力度小(高度、斜率) + :param big_kline: 本级别K线 + :param small_kline: 次级别K线(可选,可以是None) + :param signal_direction: 信号方向 + :return: + """ + direction = 1 if signal_direction == Direction.LONG else -1 + + # 排除 + # 没有前线段、没有笔中枢 + # 当前线段方向与判断方向一致、 + if not big_kline.pre_duan \ + or not big_kline.cur_bi_zs \ + or big_kline.cur_duan.direction == direction: + return False + + # 如果有次级别K线时,也要判断方向 + if small_kline and (not small_kline.pre_duan or small_kline.cur_duan.direction == direction): + return False + + # 当前笔中枢必须在当前线段之内 + if big_kline.cur_bi_zs.start < big_kline.cur_duan.start: + return False + + # 当前线段结束需要等于当前笔结束 + if big_kline.cur_duan.end != big_kline.cur_bi.end: + return False + + # 寻找做多信号时,要求当前下跌笔底分型成立 + if signal_direction == Direction.LONG: + # 笔走完 + if not check_bi_not_rt(big_kline, Direction.SHORT): + return False + + # 寻找做空信号时,要求当前上涨笔顶分型成立 + else: + # 笔走完 + if not check_bi_not_rt(big_kline, Direction.LONG): + return False + + # 进入中枢前的一笔 + entry_bi_list = [bi for bi in big_kline.cur_duan.bi_list if bi.end <= big_kline.cur_bi_zs.start] + + # 中枢的离开笔,有三笔 + exit_bi_list = [bi for bi in big_kline.cur_duan.bi_list if bi.end > big_kline.cur_bi_zs.end] + if len(entry_bi_list) < 1 or len(exit_bi_list) != 3: + return False + + # c笔的高度,要高于b笔,高于进入笔a, c笔斜率要大于b笔> 进入笔a + if exit_bi_list[0].height > exit_bi_list[-1].height > entry_bi_list[-1].height \ + and exit_bi_list[0].atan > exit_bi_list[-1].atan > entry_bi_list[-1].atan: + + # 分析次级别K线,判断其是否也发生线段背驰 + if small_kline: + if len(small_kline.cur_duan.bi_list) > 1: + if (small_kline.cur_duan.bi_list[0].height > small_kline.cur_duan.bi_list[-1].height \ + and small_kline.cur_duan.bi_list[0].atan > small_kline.cur_duan.bi_list[-1].atan) \ + or (small_kline.cur_duan.bi_list[-3].height > small_kline.cur_duan.bi_list[-1].height \ + and small_kline.cur_duan.bi_list[-3].atan > small_kline.cur_duan.bi_list[-1].atan): + return True + else: + return True + + return False + + +def check_qsbc_2nd(big_kline: CtaLineBar, small_kline: Union[CtaLineBar, None], signal_direction: Direction): + """ + 判断趋势背驰1买/1卖后的二买、二卖信号 + big_kline当前线段为趋势,与信号方向相反,线段具有2个中枢, + 或者 big_kline的 tre_duan,pre_duan,cur_duan 为趋势,之间具有两个以上连续方向的中枢 + cur_duan的末端一笔,形成趋势背驰,或者末端一笔超长时,其次级别形成具有背驰信号 + big_kline当前段外具有两笔,最后一笔具有确认分型,斜率比cur_duan末笔的斜率小 + :param big_kline: 本级别K线 + :param small_kline: 次级别K线(可选,可以是None) + :param signal_direction: 信号方向 + :return: + """ + direction = 1 if signal_direction == Direction.LONG else -1 + # 排除 + # 没有前线段、没有笔中枢 + # 当前线段方向与判断方向一致 + if not big_kline.pre_duan \ + or not big_kline.cur_bi_zs \ + or big_kline.cur_duan.direction == direction: + return False + + # 二买信号时,当前笔必须时下跌笔+底分型 + if signal_direction == Direction.LONG: + # 若不是下跌笔,并且下跌笔没有底分型 + if not check_bi_not_rt(big_kline, Direction.SHORT): + return False + # 二卖信号时,当前笔必须是上涨笔+顶分型 + else: + # 若不是上涨笔,并且上涨笔没有顶分型 + if not check_bi_not_rt(big_kline, Direction.LONG): + return False + + # 当前线段内,至少有2个或以上中枢 + has_2_continue_zs = False + bi_zs_in_cur_duan = [zs for zs in big_kline.bi_zs_list[-4:] if zs.start > big_kline.cur_duan.start] + if len(bi_zs_in_cur_duan) >= 2: + # 两个连续下跌的中枢,可以进一步判断是否满足二买做多 + if signal_direction == Direction.LONG and bi_zs_in_cur_duan[-2].low > bi_zs_in_cur_duan[-1].low: + has_2_continue_zs = True + # 两个连续上升的中枢,可以进一步判断是否满足二卖做空 + if signal_direction == Direction.SHORT and bi_zs_in_cur_duan[-2].high < bi_zs_in_cur_duan[-1].high: + has_2_continue_zs = True + + # 当前线段内,不足两个中枢,判断前三个线段内,是否具有两个或两个以上中枢 + elif big_kline.tre_duan: + # 找出三个线段内的所有中枢 + bi_zs_after_tre_duan = [zs for zs in big_kline.bi_zs_list[-4:] if zs.start > big_kline.tre_duan.start] + if len(bi_zs_after_tre_duan) >= 2: + if signal_direction == Direction.LONG \ + and big_kline.tre_duan.high > big_kline.cur_duan.high \ + and bi_zs_after_tre_duan[-2].low > bi_zs_after_tre_duan[-1].low: + has_2_continue_zs = True + if signal_direction == Direction.SHORT \ + and big_kline.tre_duan.low < big_kline.cur_duan.low \ + and bi_zs_after_tre_duan[-2].high < bi_zs_after_tre_duan[-1].high: + has_2_continue_zs = True + + # 找不出两个连续同向的中枢,就不能进一步判断是否存在二买二卖 + if not has_2_continue_zs: + return False + + # 当前线段外的两笔 + extra_bi_list = [bi for bi in big_kline.bi_list[-3:] if bi.start >= big_kline.cur_duan.end] + if len(extra_bi_list) != 2: + return False + + # 线段外一笔的高度,不能超过线段最后一笔高度 + if extra_bi_list[0].height > big_kline.cur_duan.bi_list[-1].height: + return False + + # 最后一笔的高度,不能超过最后一段的高度的黄金分割38% + if extra_bi_list[-1].height > big_kline.cur_duan.height * 0.38: + return False + + # 二买情况下 + if direction == Direction.LONG: + # 当前线段的第二低点 + if len(big_kline.cur_duan.bi_list) > 1: + second_low = min([bi.low for bi in big_kline.cur_duan.bi_list[:-1]]) + else: + second_low = min([bi.low for bi in big_kline.bi_list[-5:-1]]) + + # 反抽上涨分笔,高度不能打破第二低点 + if extra_bi_list[0].high > second_low: + return False + else: + # 当前线段的第二高点 + if len(big_kline.cur_duan.bi_list) > 1: + second_high = max([bi.high for bi in big_kline.cur_duan.bi_list[:-1]]) + else: + second_high = max([bi.high for bi in big_kline.bi_list[-5:-1]]) + # 反抽下跌分笔,低点不能打破第二高点 + if extra_bi_list[0].low < second_high: + return False + + return True + + +def check_zs_3rd(big_kline: CtaLineBar, + small_kline: Union[CtaLineBar, None], + signal_direction: Direction, + first_zs: bool = True, + all_zs: bool = True): + """ + 三买三卖信号 + :param big_kline: 本级别K线 + :param small_kline: 次级别K线 + :param signal_direction: 信号方向。Direction.LONG: 三买信号, Direction.SHORT, 三卖信号 + :param first_zs: 线段内得首个三买三卖(即第一个中枢后才有效) + :param all_zs: True 中枢的开始,在线段开始点之后, False: 中枢结束在线段的开始点之后 + :return: + """ + # Diection => 1/-1 + direction = 1 if signal_direction == Direction.LONG else -1 + + if not big_kline.pre_duan or not big_kline.cur_bi_zs: + return + + # 排除,须满足:当前段的方向 == 信号方向, 当前笔的方向 != 信号方向 + if big_kline.cur_duan.direction != direction or big_kline.cur_bi.direction == direction: + return False + + # 当前线段结束,与当前回调笔位置一致 + if big_kline.cur_duan.end != big_kline.cur_bi.start: + return False + + zs_num = 0 + + # 中枢与当前线段交集的判断 + if all_zs: + + # 信号线段,必须至少含有5个分笔(如果含有1个分笔的,可能是强二买信号) + if len(big_kline.cur_duan.bi_list) < 3: + return False + + # 当前中枢需要完全在当前线段内 + if big_kline.cur_bi_zs.start < big_kline.cur_duan.start: + return False + + # 当前段之后的所有包含中枢 + zs_list = [zs for zs in big_kline.bi_zs_list[-3:] if zs.start >= big_kline.cur_duan.start] + zs_num = len(zs_list) + # 是否现在线段得首个中枢后的三买三卖 + if first_zs and zs_num> 1: + return False + else: + # 中枢需要与当前线段有交集[部分交集、或中枢完全在当前段内形成] + if big_kline.cur_bi_zs.end < big_kline.cur_duan.start: + return False + + # 当前段之后的所有交集中枢 + zs_list = [zs for zs in big_kline.bi_zs_list[-3:] if zs.end > big_kline.cur_duan.start] + zs_num = len(zs_list) + # 是否现在线段得首个中枢后的三买三卖 + if first_zs and zs_num > 1: + return False + + if not first_zs and zs_num > 1: + # 中枢的进入笔、离开笔 + # 中枢的首笔与线段不同向,则选择中枢之前的一笔和最后的一笔 + if big_kline.cur_bi_zs.bi_list[0].direction != big_kline.cur_duan.direction: + entry_bi_list = [bi for bi in big_kline.cur_duan.bi_list if bi.end <= big_kline.cur_bi_zs.start] + exit_bi_list = [bi for bi in big_kline.cur_duan.bi_list if bi.end > big_kline.cur_bi_zs.end] + if not (len(entry_bi_list) >= 1 and len(exit_bi_list) == 1): + return False + entry_bi = entry_bi_list[-1] + exit_bi = exit_bi_list[0] + + # 中枢首笔跟线段同向 + else: + entry_bi = big_kline.cur_bi_zs.bi_list[0] + exit_bi = big_kline.cur_duan.bi_list[-1] + # + # # 防止属于中枢盘整 + if entry_bi.height > exit_bi.height and entry_bi.atan > exit_bi.atan: + return False + + # 判断三买信号 + if signal_direction == Direction.LONG: + + # 本级别最后一笔,具有底分型 + if not check_bi_not_rt(big_kline, Direction.SHORT): + return + + # 线段最后一笔,与中枢有交集,且笔的中心,不在中枢内 + if big_kline.cur_duan.bi_list[-1].low > big_kline.cur_bi_zs.high \ + or big_kline.cur_duan.bi_list[-1].middle <= big_kline.cur_bi_zs.high: + return False + + # # 线段的最后一笔,长度不能超过平均长度的两倍 + # if big_kline.cur_duan.bi_list[-1].height > big_kline.bi_height_ma() * 2: + # return False + + # 下跌笔不落中枢,一般使用笔的底部必须在中枢上方。为了防止毛刺,这里用了分型的高位在中枢上方即可 + if big_kline.cur_fenxing.high <= big_kline.cur_bi_zs.high: + return False + + # 判断三卖信号 + if signal_direction == Direction.SHORT: + + # 本级别最后一笔,具有顶分型 + if not check_bi_not_rt(big_kline, Direction.LONG): + return + + # 线段最后一笔,与中枢有交集,且笔的中心,不在中枢内 + if big_kline.cur_duan.bi_list[-1].high < big_kline.cur_bi_zs.low \ + or big_kline.cur_duan.bi_list[-1].middle >= big_kline.cur_bi_zs.low: + return False + + # # 线段的最后一笔,长度不能超过平均长度的两倍 + # if big_kline.cur_duan.bi_list[-1].height > big_kline.bi_height_ma() * 2: + # return False + + # 上涨分笔不回中枢,一般使用笔的顶部必须在中枢下方。为了防止毛刺,这里用了分型的低位在中枢下方即可 + if big_kline.cur_fenxing.low >= big_kline.cur_bi_zs.low: + return False + + # 分析次级别K线,判断其是否也发生线段背驰 + if small_kline: + if len(small_kline.cur_duan.bi_list) > 1: + if small_kline.cur_duan.bi_list[0].height > small_kline.cur_duan.bi_list[-1].height \ + or small_kline.cur_duan.bi_list[0].atan > small_kline.cur_duan.bi_list[-1].atan \ + or small_kline.cur_duan.bi_list[-3].height > small_kline.cur_duan.bi_list[-1].height \ + or small_kline.cur_duan.bi_list[-3].atan > small_kline.cur_duan.bi_list[-1].atan: + return True + else: + return True diff --git a/vnpy/gateway/ctp/ctp_gateway.py b/vnpy/gateway/ctp/ctp_gateway.py index e73016d0..f48f62cd 100644 --- a/vnpy/gateway/ctp/ctp_gateway.py +++ b/vnpy/gateway/ctp/ctp_gateway.py @@ -564,37 +564,37 @@ class CtpGateway(BaseGateway): def close(self): """""" if self.md_api: - self.write_log('断开行情API') + self.write_log('断开行情API',on_log=True) tmp1 = self.md_api self.md_api = None tmp1.close() if self.l2_md_api: - self.write_log('断开五档行情API') + self.write_log('断开五档行情API',on_log=True) tmp1 = self.l2_md_api self.l2_md_api = None tmp1.close() if self.td_api: - self.write_log('断开交易API') + self.write_log('断开交易API',on_log=True) tmp2 = self.td_api self.td_api = None tmp2.close() if self.tdx_api: - self.write_log(u'断开tdx指数行情API') + self.write_log(u'断开tdx指数行情API',on_log=True) tmp3 = self.tdx_api self.tdx_api = None tmp3.close() if self.rabbit_api: - self.write_log(u'断开rabbit MQ tdx指数行情API') + self.write_log(u'断开rabbit MQ tdx指数行情API',on_log=True) tmp4 = self.rabbit_api self.rabbit_api = None tmp4.close() if self.tq_api: - self.write_log(u'天勤行情API') + self.write_log(u'断开天勤行情API',on_log=True) tmp5 = self.tq_api self.tq_api = None tmp5.close() @@ -659,7 +659,7 @@ class CtpMdApi(MdApi): """ Callback when front server is connected. """ - self.gateway.write_log(f"{self.name}行情服务器连接成功") + self.gateway.write_log(f"{self.name}行情服务器连接成功",on_log=True) self.connect_status = True self.login() self.gateway.status.update( @@ -671,7 +671,7 @@ class CtpMdApi(MdApi): """ self.login_status = False self.connect_status = False - self.gateway.write_log(f"{self.name}行情服务器连接断开,原因{reason}") + self.gateway.write_log(f"{self.name}行情服务器连接断开,原因{reason}",on_log=True) self.gateway.status.update( {f'{self.name}md_con': False, f'{self.name}md_dis_con_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')}) @@ -681,7 +681,7 @@ class CtpMdApi(MdApi): """ if not error["ErrorID"]: self.login_status = True - self.gateway.write_log(f"{self.name}行情服务器登录成功") + self.gateway.write_log(f"{self.name}行情服务器登录成功",on_log=True) for symbol in self.subscribed: self.subscribeMarketData(symbol) @@ -877,7 +877,7 @@ class CtpTdApi(TdApi): def onFrontConnected(self): """""" - self.gateway.write_log("交易服务器连接成功") + self.gateway.write_log("交易服务器连接成功",on_log=True) self.connect_status = True if self.auth_code: self.gateway.write_log("向交易服务器提交授权码验证") @@ -889,7 +889,7 @@ class CtpTdApi(TdApi): def onFrontDisconnected(self, reason: int): """""" self.login_status = False - self.gateway.write_log(f"交易服务器连接断开,原因{reason}") + self.gateway.write_log(f"交易服务器连接断开,原因{reason}",on_log=True) self.gateway.status.update({'td_con': False, 'td_dis_con_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')}) def onRspAuthenticate(self, data: dict, error: dict, reqid: int, last: bool): @@ -910,7 +910,7 @@ class CtpTdApi(TdApi): self.sessionid = data["SessionID"] self.login_status = True self.gateway.status.update({'td_con': True, 'td_con_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')}) - self.gateway.write_log("交易帐号登录完成") + self.gateway.write_log("交易帐号登录完成",on_log=True) # Confirm settlement req = { @@ -971,7 +971,7 @@ class CtpTdApi(TdApi): """ Callback of settlment info confimation. """ - self.gateway.write_log("结算信息确认成功") + self.gateway.write_log("结算信息确认成功",on_log=True) while True: self.reqid += 1 @@ -1594,7 +1594,7 @@ class TdxMdApi(): # 创建api连接对象实例 try: if self.api is None or not self.connection_status: - self.gateway.write_log(u'开始连接通达信行情服务器') + self.gateway.write_log(u'开始连接通达信行情服务器',on_log=True) self.api = TdxExHq_API(heartbeat=True, auto_retry=True, raise_exception=True) # 选取最佳服务器 @@ -1619,12 +1619,12 @@ class TdxMdApi(): self.thread.start() except Exception as ex: - self.gateway.write_log(u'连接服务器tdx异常:{},{}'.format(str(ex), traceback.format_exc())) + self.gateway.write_log(u'连接服务器tdx异常:{},{}'.format(str(ex), traceback.format_exc()),on_log=True) return def close(self): """退出API""" - self.gateway.write_log(u'退出tdx API') + self.gateway.write_log(u'退出tdx API',on_log=True) self.connection_status = False if self.thread: @@ -2110,7 +2110,7 @@ class TqMdApi(): from tqsdk import TqApi self.api = TqApi(url="wss://u.shinnytech.com/t/md/front/mobile") except Exception as e: - self.gateway.write_log(f'天勤行情API接入异常'.format(str(e))) + self.gateway.write_log(f'天勤行情API接入异常'.format(str(e)),on_log=True) if self.api: self.is_connected = True self.gateway.write_log(f'天勤行情API已连接') @@ -2216,7 +2216,7 @@ class TqMdApi(): self.quote_objs.append((req.vt_symbol, quote)) self.subscribe_array.append(req.vt_symbol) except Exception as ex: - self.gateway.write_log('订阅天勤行情异常:{}'.format(str(ex))) + self.gateway.write_log('订阅天勤行情异常:{}'.format(str(ex)),on_log=True) def query_contracts(self) -> None: """""" @@ -2317,4 +2317,4 @@ class TqMdApi(): if self.update_thread: self.update_thread.join() except Exception as e: - self.gateway.write_log('退出天勤行情api异常:{}'.format(str(e))) + self.gateway.write_log('退出天勤行情api异常:{}'.format(str(e)),on_log=True) diff --git a/vnpy/gateway/ths/ths_gateway.py b/vnpy/gateway/ths/ths_gateway.py index 6d8ceef8..6d20ef9b 100644 --- a/vnpy/gateway/ths/ths_gateway.py +++ b/vnpy/gateway/ths/ths_gateway.py @@ -173,23 +173,28 @@ class ThsGateway(BaseGateway): def connect(self, setting: dict) -> None: """连接""" - userid = setting["资金账号"] - password = setting["登录密码"] + try: + userid = setting["资金账号"] + password = setting["登录密码"] - # 运行easytrader restful 服务端的IP地址、端口 - host = setting["RPC IP"] - port = setting["RPC Port"] - force_restart = setting.get('强制重启',False) + # 运行easytrader restful 服务端的IP地址、端口 + host = setting["RPC IP"] + port = setting["RPC Port"] + force_restart = setting.get('强制重启',False) - self.md_api.connect() - self.td_api.connect(user_id=userid, - user_pwd=password, - host=host, - port=port, - force_restart=force_restart) - # self.tq_api = TqMdApi(self) - # self.tq_api.connect() - self.init_query() + self.md_api.connect() + self.td_api.connect(user_id=userid, + user_pwd=password, + host=host, + port=port, + force_restart=force_restart) + # self.tq_api = TqMdApi(self) + # self.tq_api.connect() + self.init_query() + + except Exception as ex: + msg = f'{self.gateway_name}连接行情和交易接口异常:{str(ex)}' + self.write_error(msg) def close(self) -> None: """""" @@ -248,6 +253,8 @@ class ThsGateway(BaseGateway): self.count = 0 self.query_functions = [self.query_orders, self.query_trades, self.query_account, self.query_position] + def check_status(self): + self.write_log(self.status) class TdxMdApi(object): """通达信行情和基础数据""" @@ -403,7 +410,7 @@ class TdxMdApi(object): self.pool.map_async(self.run, range(n)) # 设置上层的连接状态 - self.gateway.tdxConnected = True + self.gateway.tdx_connected = True def reconnect(self, i): """ @@ -884,14 +891,21 @@ class ThsTdApi(object): self.password = user_pwd self.rpc_host = host self.rpc_port = port + self.gateway.write_log(f'{self.gateway_name}开始连接{host}:{port}') + try: + # 创建 easy客户端 + self.api = easytrader_use(broker='pingan_ths', host=self.rpc_host, port=self.rpc_port) - # 创建 easy客户端 - self.api = easytrader_use(broker='pingan_ths', host=self.rpc_host, port=self.rpc_port) + # 输入参数(资金账号、密码) + self.api.prepare(exe_path='C:\\THS\\xiadan.exe', user=self.userid, password=self.password,force_restart=force_restart) - # 输入参数(资金账号、密码) - self.api.prepare(exe_path='C:\\THS\\xiadan.exe', user=self.userid, password=self.password,force_restart=force_restart) + self.login_status = True - self.login_status = True + except Exception as ex: + msg = f'{self.gateway_name}连接{host}:{port}异常:{str(ex)}' + self.gateway.write_error(msg) + from vnpy.trader.util_wechat import send_wx_msg + send_wx_msg(msg) def reconnect(self): """连接"""