From dec9cd0299796c59c0a6461c047a1bef7d1ce69f Mon Sep 17 00:00:00 2001 From: msincenselee Date: Fri, 30 Sep 2016 08:50:24 +0800 Subject: [PATCH] =?UTF-8?q?=E5=A2=9E=E5=8A=A0TICK=5FMODE=E5=92=8CBAR=5FMOD?= =?UTF-8?q?E=EF=BC=8C=E6=94=AF=E6=8C=81=E5=9B=9E=E6=B5=8B=E3=80=82?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vn.trader/ctaAlgo/ctaLineBar.py | 195 +++++++++++++++++++++++++++----- 1 file changed, 169 insertions(+), 26 deletions(-) diff --git a/vn.trader/ctaAlgo/ctaLineBar.py b/vn.trader/ctaAlgo/ctaLineBar.py index d1931eff..e4a414e4 100644 --- a/vn.trader/ctaAlgo/ctaLineBar.py +++ b/vn.trader/ctaAlgo/ctaLineBar.py @@ -39,6 +39,12 @@ class CtaLineBar(object): """ + # 区别： + # -使用tick模式时，当tick到达后，最新一个lineBar[-1]是当前的正在拟合的bar，不断累积tick，传统按照OnBar来计算的话，是使用LineBar[-2]。 + # -使用bar模式时，当一个bar到达时，lineBar[-1]是当前生成出来的Bar,不再更新 + TICK_MODE = 'tick' + BAR_MODE = 'bar' + # 参数列表，保存了参数的名称 paramList = ['vtSymbol'] @@ -52,6 +58,8 @@ class CtaLineBar(object): self.paramList.append('inputPreLen') self.paramList.append('inputEma1Len') self.paramList.append('inputEma2Len') + self.paramList.append('inputMa1Len') + self.paramList.append('inputMa2Len') self.paramList.append('inputDmiLen') self.paramList.append('inputDmiMax') self.paramList.append('inputAtr1Len') @@ -75,10 +83,16 @@ class CtaLineBar(object): # 输入参数 self.name = u'LineBar' + + self.mode = self.TICK_MODE + self.barTimeInterval = 300 self.inputPreLen = EMPTY_INT #1 + self.inputMa1Len = EMPTY_INT # 60 + self.inputMa2Len = EMPTY_INT # 240 + self.inputEma1Len = EMPTY_INT # 13 self.inputEma2Len = EMPTY_INT # 21 @@ -115,10 +129,14 @@ class CtaLineBar(object): self.preHigh = [] # K线的前inputPreLen的的最高 self.preLow = [] # K线的前inputPreLen的的最低 - self.lineEma1 = [] # K线的EMA1均线，周期是InputEmaLen1，包含当前bar + + self.lineMa1 = [] # K线的MA1均线，周期是InputMaLen1，不包含当前bar + self.lineMa2 = [] # K线的MA2均线，周期是InputMaLen2，不包含当前bar + + self.lineEma1 = [] # K线的EMA1均线，周期是InputEmaLen1，不包含当前bar self.lineEma1MtmRate = [] # K线的EMA1均线 的momentum(3) 动能 - self.lineEma2 = [] # K线的EMA2均线，周期是InputEmaLen2，包含当前bar + self.lineEma2 = [] # K线的EMA2均线，周期是InputEmaLen2，不包含当前bar self.lineEma2MtmRate = [] # K线的EMA2均线 的momentum(3) 动能 # K线的DMI( Pdi，Mdi，ADX，Adxr) 计算数据 @@ -202,6 +220,10 @@ class CtaLineBar(object): d[key] = setting[key] + def setMode(self,mode): + """Tick/Bar模式""" + self.mode = mode + def onTick(self, tick): """行情更新 :type tick: object @@ -247,6 +269,7 @@ class CtaLineBar(object): """OnBar事件""" # 计算相关数据 self.__recountPreHighLow() + self.__recountMa() self.__recountEma() self.__recountDmi() self.__recountAtr() @@ -261,14 +284,25 @@ class CtaLineBar(object): def displayLastBar(self): """显示最后一个Bar的信息""" - msg = self.name + msg = u'['+self.name+u']' + + if self.mode == self.TICK_MODE: + displayBar = self.lineBar[-2] + else: + displayBar = self.lineBar[-1] if len(self.lineBar) < 2: return msg msg = msg + u'{0} o:{1};h{2};l:{3};c:{4},v:{5}'.\ - format(self.lineBar[-2].datetime, self.lineBar[-2].open, self.lineBar[-2].high, - self.lineBar[-2].low, self.lineBar[-2].close, self.lineBar[-2].volume) + format(displayBar.datetime, displayBar.open, displayBar.high, + displayBar.low, displayBar.close, displayBar.volume) + + if self.inputMa1Len > 0 and len(self.lineMa1) > 0: + msg = msg + u',MA({0}):{1}'.format(self.inputMa1Len, self.lineMa1[-1]) + + if self.inputMa2Len > 0 and len(self.lineMa2) > 0: + msg = msg + u',MA({0}):{1}'.format(self.inputMa2Len, self.lineMa2[-1]) if self.inputEma1Len > 0 and len(self.lineEma1) > 0: msg = msg + u',EMA({0}):{1}'.format(self.inputEma1Len, self.lineEma1[-1]) @@ -469,7 +503,12 @@ class CtaLineBar(object): preHigh = EMPTY_FLOAT preLow = EMPTY_FLOAT - for i in range(len(self.lineBar)-2, len(self.lineBar)-2-self.inputPreLen, -1): + if self.mode == self.TICK_MODE: + idx = 2 + else: + idx = 1 + + for i in range(len(self.lineBar)-idx, len(self.lineBar)-idx-self.inputPreLen, -1): if self.lineBar[i].high > preHigh or preHigh == EMPTY_FLOAT: preHigh = self.lineBar[i].high # 前InputPreLen周期高点 @@ -488,8 +527,61 @@ class CtaLineBar(object): self.preLow.append(preLow) #---------------------------------------------------------------------- + def __recountMa(self): + """计算K线的MA1 和MA2""" + l = len(self.lineBar) + # 1、lineBar满足长度才执行计算 + if len(self.lineBar) < max(7, self.inputMa1Len, self.inputMa2Len)+2: + self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算MA需要：{1}'. + format(len(self.lineBar), max(7, self.inputMa1Len, self.inputMa2Len)+2)) + return + # 计算第一条MA均线 + if self.inputMa1Len > 0: + + if self.inputMa1Len > l: + ma1Len = l + else: + ma1Len = self.inputMa1Len + + # 3、获取前InputN周期(不包含当前周期）的K线 + if self.mode == self.TICK_MODE: + listClose=[x.close for x in self.lineBar[-ma1Len - 1:-1]] + else: + listClose=[x.close for x in self.lineBar[-ma1Len:]] + + barMa1 = ta.MA(numpy.array(listClose, dtype=float), ma1Len)[-1] + + barMa1 = round(float(barMa1), 3) + + if len(self.lineMa1) > self.inputMa1Len*8: + del self.lineMa1[0] + self.lineMa1.append(barMa1) + + # 计算第二条MA均线 + if self.inputMa2Len > 0: + + if self.inputMa2Len > l: + ma2Len = l + else: + ma2Len = self.inputMa2Len + + # 3、获取前InputN周期(不包含当前周期）的K线 + if self.mode == self.TICK_MODE: + listClose=[x.close for x in self.lineBar[-ma2Len - 1:-1]] + else: + listClose=[x.close for x in self.lineBar[-ma2Len:]] + + barMa2 = ta.MA(numpy.array(listClose, dtype=float), ma2Len)[-1] + + barMa2 = round(float(barMa2), 3) + + if len(self.lineMa2) > self.inputMa2Len*8: + del self.lineMa2[0] + self.lineMa2.append(barMa2) + + #---------------------------------------------------------------------- def __recountEma(self): """计算K线的EMA1 和EMA2""" l = len(self.lineBar) @@ -508,8 +600,11 @@ class CtaLineBar(object): else: ema1Len = self.inputEma1Len - # 3、获取前InputN周期(不包含当前周期）的自适应均线 - listClose=[x.close for x in self.lineBar[-ema1Len - 1:-1]] + # 3、获取前InputN周期(不包含当前周期）的K线 + if self.mode == self.TICK_MODE: + listClose=[x.close for x in self.lineBar[-ema1Len - 1:-1]] + else: + listClose=[x.close for x in self.lineBar[-ema1Len:]] barEma1 = ta.EMA(numpy.array(listClose, dtype=float), ema1Len)[-1] @@ -528,7 +623,11 @@ class CtaLineBar(object): ema2Len = self.inputEma2Len # 3、获取前InputN周期(不包含当前周期）的自适应均线 - listClose=[x.close for x in self.lineBar[-ema2Len - 1:-1]] + if self.mode == self.TICK_MODE: + listClose=[x.close for x in self.lineBar[-ema2Len - 1:-1]] + else: + listClose=[x.close for x in self.lineBar[-ema2Len:]] + barEma2 = ta.EMA(numpy.array(listClose, dtype=float), ema2Len)[-1] barEma2 = round(float(barEma2), 3) @@ -555,7 +654,12 @@ class CtaLineBar(object): barPdm = EMPTY_FLOAT # InputP周期内的做多价差之和 barMdm = EMPTY_FLOAT # InputP周期内的做空价差之和 - for i in range(len(self.lineBar)-2, len(self.lineBar)-2-self.inputDmiLen, -1): # 周期 inputDmiLen + if self.mode == self.TICK_MODE: + idx = 2 + else: + idx = 1 + + for i in range(len(self.lineBar)-idx, len(self.lineBar)-idx-self.inputDmiLen, -1): # 周期 inputDmiLen # 3.1、计算TR1 # 当前周期最高与最低的价差 @@ -686,6 +790,11 @@ class CtaLineBar(object): format(len(self.lineBar), maxAtrLen+1)) return + if self.mode == self.TICK_MODE: + idx = 2 + else: + idx = 1 + # 首次计算 if (self.inputAtr1Len > 0 and len(self.lineAtr1) < 1) \ or (self.inputAtr2Len > 0 and len(self.lineAtr2) < 1) \ @@ -697,7 +806,8 @@ class CtaLineBar(object): barTr3 = EMPTY_FLOAT # 获取inputAtr3Len周期内的价差最大值之和 j = 0 - for i in range(len(self.lineBar)-2, len(self.lineBar)-2-maxAtrLen, -1): # 周期 inputP + + for i in range(len(self.lineBar)-idx, len(self.lineBar)-idx-maxAtrLen, -1): # 周期 inputP # 3.1、计算TR # 当前周期最高与最低的价差 @@ -721,11 +831,11 @@ class CtaLineBar(object): else: # 只计算一个 # 当前周期最高与最低的价差 - high_low_spread = self.lineBar[-2].high - self.lineBar[-2].low + high_low_spread = self.lineBar[0-idx].high - self.lineBar[0-idx].low # 当前周期最高与昨收价的价差 - high_preclose_spread = abs(self.lineBar[-2].high - self.lineBar[-3].close) + high_preclose_spread = abs(self.lineBar[0-idx].high - self.lineBar[-1-idx].close) # 当前周期最低与昨收价的价差 - low_preclose_spread = abs(self.lineBar[-2].low - self.lineBar[-3].close) + low_preclose_spread = abs(self.lineBar[0-idx].low - self.lineBar[-1-idx].close) # 最大价差 barTr1 = max(high_low_spread, high_preclose_spread, low_preclose_spread) @@ -777,7 +887,10 @@ class CtaLineBar(object): format(len(self.lineBar), self.inputVolLen+1)) return - listVol = [x.volume for x in self.lineBar[-self.inputVolLen-1: -1]] + if self.mode == self.TICK_MODE: + listVol = [x.volume for x in self.lineBar[-self.inputVolLen-1: -1]] + else: + listVol = [x.volume for x in self.lineBar[-self.inputVolLen:]] sumVol = ta.SUM(numpy.array(listVol, dtype=float), timeperiod=self.inputVolLen)[-1] @@ -801,7 +914,11 @@ class CtaLineBar(object): # 计算第1根RSI曲线 # 3、inputRsi1Len(包含当前周期）的相对强弱 - listClose=[x.close for x in self.lineBar[-self.inputRsi1Len - 2:-1]] + if self.mode == self.TICK_MODE: + listClose=[x.close for x in self.lineBar[-self.inputRsi1Len - 2:-1]] + else: + listClose=[x.close for x in self.lineBar[-self.inputRsi1Len-1:]] + barRsi = ta.RSI(numpy.array(listClose, dtype=float), self.inputRsi1Len)[-1] barRsi = round(float(barRsi), 3) @@ -846,7 +963,11 @@ class CtaLineBar(object): if len(self.lineBar) < self.inputRsi2Len+2: return - listClose=[x.close for x in self.lineBar[-self.inputRsi2Len - 2:]] + if self.mode == self.TICK_MODE: + listClose=[x.close for x in self.lineBar[-self.inputRsi2Len - 2:-1]] + else: + listClose=[x.close for x in self.lineBar[-self.inputRsi2Len - 1:]] + barRsi = ta.RSI(numpy.array(listClose, dtype=float), self.inputRsi2Len)[-1] barRsi = round(float(barRsi), 3) @@ -876,14 +997,20 @@ class CtaLineBar(object): format(len(self.lineBar), self.inputCmiLen)) return - listClose =[x.close for x in self.lineBar[-self.inputCmiLen:-1]] + if self.mode == self.TICK_MODE: + listClose =[x.close for x in self.lineBar[-self.inputCmiLen-1:-1]] + idx = 2 + else: + listClose =[x.close for x in self.lineBar[-self.inputCmiLen:]] + idx = 1 + hhv = max(listClose) llv = min(listClose) if hhv==llv: cmi = 100 else: - cmi = abs(self.lineBar[-1].close-self.lineBar[-2].close)*100/(hhv-llv) + cmi = abs(self.lineBar[0-idx].close-self.lineBar[-1-idx].close)*100/(hhv-llv) cmi = round(cmi, 2) @@ -909,7 +1036,10 @@ class CtaLineBar(object): bollLen = self.inputBollLen # 不包含当前最新的Bar - listClose=[x.close for x in self.lineBar[-bollLen - 1:-1]] + if self.mode == self.TICK_MODE: + listClose=[x.close for x in self.lineBar[-bollLen - 1:-1]] + else: + listClose=[x.close for x in self.lineBar[-bollLen :]] # upper, middle, lower = ta.BBANDS(numpy.array(listClose, dtype=float), timeperiod=bollLen, nbdevup=self.inputBollStdRate, @@ -950,7 +1080,11 @@ class CtaLineBar(object): self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算KDJ需要：{1}'.format(len(self.lineBar), self.inputKdjLen+1)) return - listClose =[x.close for x in self.lineBar[-self.inputKdjLen:-1]] + if self.mode == self.TICK_MODE: + listClose =[x.close for x in self.lineBar[-self.inputKdjLen-1:-1]] + else: + listClose =[x.close for x in self.lineBar[-self.inputKdjLen:]] + hhv = max(listClose) llv = min(listClose) @@ -996,8 +1130,8 @@ class CtaLineBar(object): 差离值（DIF）的计算： DIF = EMA12 - EMA26，即为talib-MACD返回值macd 根据差离值计算其9日的EMA，即离差平均值，是所求的DEA值。 今日DEA = （前一日DEA X 8/10 + 今日DIF X 2/10），即为talib-MACD返回值signal - DIF与它自己的移动平均之间差距的大小一般BAR=（DIF-DEA)2，即为MACD柱状图。 - 但是talib中MACD的计算是bar = (dif-dea)1 + DIF与它自己的移动平均之间差距的大小一般BAR=（DIF-DEA)*2，即为MACD柱状图。 + 但是talib中MACD的计算是bar = (dif-dea)*1 """ @@ -1005,17 +1139,26 @@ class CtaLineBar(object): if self.inputMacdSlowPeriodLen <= EMPTY_INT: return if self.inputMacdSignalPeriodLen <= EMPTY_INT: return - maxLen = max(self.inputMacdFastPeriodLen,self.inputMacdSlowPeriodLen)+self.inputMacdSignalPeriodLen + maxLen = max(self.inputMacdFastPeriodLen,self.inputMacdSlowPeriodLen)+self.inputMacdSignalPeriodLen+1 + + maxLen = maxLen * 3 # 注：数据长度需要足够，才能准确。测试过，3倍长度才可以与国内的文华等软件一致 if len(self.lineBar) < maxLen: self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算MACD需要：{1}'.format(len(self.lineBar), maxLen)) return - listClose =[x.close for x in self.lineBar[-maxLen:-1]] + if self.mode == self.TICK_MODE: + listClose =[x.close for x in self.lineBar[-maxLen:-1]] + else: + listClose =[x.close for x in self.lineBar[-maxLen-1:]] dif, dea, macd = ta.MACD(numpy.array(listClose, dtype=float), fastperiod=self.inputMacdFastPeriodLen, slowperiod=self.inputMacdSlowPeriodLen, signalperiod=self.inputMacdSignalPeriodLen) + #dif, dea, macd = ta.MACDEXT(numpy.array(listClose, dtype=float), + # fastperiod=self.inputMacdFastPeriodLen, fastmatype=1, + # slowperiod=self.inputMacdSlowPeriodLen, slowmatype=1, + # signalperiod=self.inputMacdSignalPeriodLen, signalmatype=1) if len(self.lineDif) > maxLen: del self.lineDif[0] @@ -1027,7 +1170,7 @@ class CtaLineBar(object): if len(self.lineMacd) > maxLen: del self.lineMacd[0] - self.lineMacd.append(macd[-1]*2) + self.lineMacd.append(macd[-1]*2) # 国内一般是2倍 # ---------------------------------------------------------------------- def writeCtaLog(self, content):