diff --git a/vnpy/trader/app/ctaStrategy/ctaLineBar.py b/vnpy/trader/app/ctaStrategy/ctaLineBar.py index fd6e1da1..763e31fe 100644 --- a/vnpy/trader/app/ctaStrategy/ctaLineBar.py +++ b/vnpy/trader/app/ctaStrategy/ctaLineBar.py @@ -9,6 +9,7 @@ from datetime import datetime,timedelta import talib as ta import numpy as np import math +import decimal import copy,csv from pykalman import KalmanFilter import traceback @@ -25,6 +26,19 @@ PERIOD_MINUTE = 'minute' # 分钟级别周期 PERIOD_HOUR = 'hour' # 小时级别周期 PERIOD_DAY = 'day' # 日级别周期 +def getCtaBarByType(bar_type): + assert isinstance(bar_type,str) + if bar_type == PERIOD_SECOND: + return CtaLineBar + if bar_type == PERIOD_MINUTE: + return CtaMinuteBar + if bar_type == PERIOD_HOUR: + return CtaHourBar + if bar_type == PERIOD_DAY: + return CtaDayBar + + raise Exception('no matched CTA bar type:{}'.format(bar_type)) + class CtaLineBar(object): """CTA K线""" """ 使用方法: @@ -129,7 +143,9 @@ class CtaLineBar(object): # 修正精度 if self.minDiff < 1: - self.round_n = 7 + + exponent = decimal.Decimal(str(self.minDiff)) + self.round_n = abs(exponent.as_tuple().exponent) ## 导入卡尔曼过滤器 if self.inputKF: @@ -168,8 +184,15 @@ class CtaLineBar(object): self.paramList.append('inputRsi2Len') self.paramList.append('inputCmiLen') self.paramList.append('inputBollLen') + self.paramList.append('inputBollTBLen') self.paramList.append('inputBollStdRate') + self.paramList.append('inputBoll2Len') + self.paramList.append('inputBoll2TBLen') + self.paramList.append('inputBoll2StdRate') self.paramList.append('inputKdjLen') + self.paramList.append('inputKdjTBLen') + self.paramList.append('inputKdjSlowLen') + self.paramList.append('inputKdjSmoothLen') self.paramList.append('inputCciLen') self.paramList.append('inputMacdFastPeriodLen') self.paramList.append('inputMacdSlowPeriodLen') @@ -179,6 +202,8 @@ class CtaLineBar(object): self.paramList.append('inputYb') self.paramList.append('inputYbLen') self.paramList.append('inputYbRef') + self.paramList.append('inputSarAfStep') + self.paramList.append('inputSarAfLimit') self.paramList.append('is_7x24') self.paramList.append('minDiff') @@ -194,6 +219,26 @@ class CtaLineBar(object): self.barMinuteInterval = self.barTimeInterval / 60 + def __getstate__(self): + """移除Pickle dump()时不支持的Attribute""" + state = self.__dict__.copy() + # Remove the unpicklable entries. + for key in self.__dict__.keys(): + if 'strategy' in key: + del state[key] + if 'Func' in key: + del state[key] + return state + + def __setstate__(self, state): + """Pickle load()""" + self.__dict__.update(state) + + def restore(self, state): + """从Pickle中恢复数据""" + for key in state.__dict__.keys(): + self.__dict__[key] = state.__dict__[key] + def init_indicators(self): """ 定义所有的指标数据""" @@ -286,6 +331,7 @@ class CtaLineBar(object): # K线的布林特计算数据 self.inputBollLen = EMPTY_INT # K线周期 + self.inputBollTBLen = EMPTY_INT # K线周期 self.inputBollStdRate = 1.5 # 两倍标准差 self.lineBollClose = [] # 用于运算的close价格列表 self.lineUpperBand = [] # 上轨 @@ -297,13 +343,30 @@ class CtaLineBar(object): self.lastBollMiddle = EMPTY_FLOAT # 最后一根K的Boll中轨数值（与MinDiff取整） self.lastBollLower = EMPTY_FLOAT # 最后一根K的Boll下轨数值（与MinDiff取整+1） + self.inputBoll2Len = EMPTY_INT # K线周期 + self.inputBoll2TBLen = EMPTY_INT # K线周期 + self.inputBoll2StdRate = 1.5 # 两倍标准差 + self.lineBoll2Close = [] # 用于运算的close价格列表 + self.lineUpperBand2 = [] # 上轨 + self.lineMiddleBand2 = [] # 中线 + self.lineLowerBand2 = [] # 下轨 + self.lineBoll2Std = [] # 标准差 + + self.lastBoll2Upper = EMPTY_FLOAT # 最后一根K的Boll2上轨数值（与MinDiff取整） + self.lastBoll2Middle = EMPTY_FLOAT # 最后一根K的Boll2中轨数值（与MinDiff取整） + self.lastBoll2Lower = EMPTY_FLOAT # 最后一根K的Boll2下轨数值（与MinDiff取整+1） + # K线的KDJ指标计算数据 self.inputKdjLen = EMPTY_INT # KDJ指标的长度,缺省是9 + self.inputKdjTBLen = EMPTY_INT # KDJ指标的长度,缺省是9 ( for TB) + self.inputKdjSlowLen = EMPTY_INT + self.inputKdjSmoothLen = EMPTY_INT self.lineK = [] # K为快速指标 self.lineD = [] # D为慢速指标 self.lineJ = [] # self.lineKdjTop = [] # 记录KDJ最高峰，只保留 inputKdjLen个 self.lineKdjButtom = [] # 记录KDJ的最低谷，只保留 inputKdjLen个 + self.lineKdjRSV = [] # RSV self.lastKdjTopButtom = {} # 最近的一个波峰/波谷 self.lastK = EMPTY_FLOAT # bar内计算时，最后一个未关闭的bar的实时K值 self.lastD = EMPTY_FLOAT # bar内计算时，最后一个未关闭的bar的实时值 @@ -341,6 +404,7 @@ class CtaLineBar(object): self.lineSarSrDown = [] self.lineSarEpDown = [] self.lineSarAfDown = [] + self.sar_count = 0 # SAR 上升下降变化后累加 # 周期 self.atan = None @@ -376,6 +440,13 @@ class CtaLineBar(object): self.skd_rt_last_cross = 0 # 实时金叉/死叉的位置 self.skd_rt_cross_price = 0 # 发生实时金叉死叉时的价格 + # 存为Bar文件，For TradeBlazer WJ + # filename = u'../TestLogs/rb1801_{}_Min.csv'.format(datetime.now().strftime('%m%d_%H%M')) + # self.min1File = open(filename, mode='w') + # # For VNPY Min1 + # barMsg = u"datetime,close,date,high,instrument_id,limit_down,limit_up,low,open,open_interest,time,trading_date,total_turnover,volume,symbol\n" + # self.min1File.write(barMsg) + def setParam(self, setting): """设置参数""" d = self.__dict__ @@ -415,6 +486,7 @@ class CtaLineBar(object): # 4.执行 bar内计算 self.__recountKdj(countInBar=True) + self.__recountKdj_TB(countInBar=True) def addBar(self, bar, bar_is_completed=False, bar_freq=1): """ @@ -444,7 +516,8 @@ class CtaLineBar(object): if self.period == PERIOD_SECOND and (bar.datetime-lastBar.datetime).seconds >= self.barTimeInterval: is_new_bar = True - elif self.period == PERIOD_MINUTE and (bar.datetime - lastBar.datetime).seconds >= self.barTimeInterval*60: + elif self.period == PERIOD_MINUTE and (int((bar.datetime - datetime.strptime(bar.datetime.strftime('%Y-%m-%d'), '%Y-%m-%d')).total_seconds() / 60 / self.barTimeInterval) != + int((lastBar.datetime - datetime.strptime(lastBar.datetime.strftime('%Y-%m-%d'), '%Y-%m-%d')).total_seconds() / 60 / self.barTimeInterval)): # (bar.datetime - lastBar.datetime).seconds >= self.barTimeInterval*60: is_new_bar = True elif self.period == PERIOD_HOUR: @@ -456,6 +529,11 @@ class CtaLineBar(object): elif self.barTimeInterval == 4 and bar.datetime.hour != lastBar.datetime.hour \ and bar.datetime.hour in {1, 9, 13, 21}: is_new_bar = True + else: + cur_bars_in_day = int(bar.datetime.hour / self.barTimeInterval) + last_bars_in_day = int(lastBar.datetime.hour / self.barTimeInterval) + if cur_bars_in_day != last_bars_in_day: + is_new_bar = True # elif self.period == PERIOD_DAY and bar.datetime.date != lastBar.datetime.date : elif self.period == PERIOD_DAY and bar.tradingDay != lastBar.tradingDay: # Using tradingDay instead of calanda day @@ -497,6 +575,7 @@ class CtaLineBar(object): self.__recountRsi() self.__recountCmi() self.__recountKdj() + self.__recountKdj_TB() self.__recountBoll() self.__recountMacd() self.__recountCci() @@ -549,8 +628,8 @@ class CtaLineBar(object): else: displayBar = self.lineBar[-1] - msg = msg + u'{0} o:{1};h:{2};l:{3};c:{4},v:{5}'.\ - format(displayBar.date+' '+displayBar.time, displayBar.open, displayBar.high, + msg = msg + u'[td:{}] ad:{} o:{};h:{};l:{};c:{},v:{}'.\ + format(displayBar.tradingDay, displayBar.date+' '+displayBar.time, displayBar.open, displayBar.high, displayBar.low, displayBar.close, displayBar.volume) if self.inputMa1Len > 0 and len(self.lineMa1) > 0: @@ -606,7 +685,18 @@ class CtaLineBar(object): msg = msg + u',Rsi({0}):{1}'.format(self.inputRsi2Len, self.lineRsi2[-1]) if self.inputKdjLen > 0 and len(self.lineK) > 0: - msg = msg + u',KDJ({0}):{1},{2},{3}'.format(self.inputKdjLen, + msg = msg + u',KDJ({},{},{}):{},{},{}'.format(self.inputKdjLen, + self.inputKdjSlowLen, + self.inputKdjSmoothLen, + round(self.lineK[-1], self.round_n), + round(self.lineD[-1], self.round_n), + round(self.lineJ[-1], self.round_n)) + + if self.inputKdjTBLen > 0 and len(self.lineK) > 0: + msg = msg + u',KDJ_TB({},{},{}):{},{},{},{}'.format(self.inputKdjTBLen, + self.inputKdjSlowLen, + self.inputKdjSmoothLen, + round(self.lineKdjRSV[-1], self.round_n), round(self.lineK[-1], self.round_n), round(self.lineD[-1], self.round_n), round(self.lineJ[-1], self.round_n)) @@ -614,10 +704,15 @@ class CtaLineBar(object): if self.inputCciLen > 0 and len(self.lineCci) > 0: msg = msg + u',Cci({0}):{1}'.format(self.inputCciLen, self.lineCci[-1]) - if self.inputBollLen > 0 and len(self.lineUpperBand)>0: - msg = msg + u',Boll({0}):u:{1},m:{2},l:{3}'.\ + if (self.inputBollLen > 0 or self.inputBollTBLen > 0) and len(self.lineUpperBand)>0: + msg = msg + u',Boll({0}):std:{4},m:{2},u:{1},l:{3}'.\ format(self.inputBollLen, round(self.lineUpperBand[-1], self.round_n), - round(self.lineMiddleBand[-1], self.round_n), round(self.lineLowerBand[-1]), self.round_n) + round(self.lineMiddleBand[-1], self.round_n), round(self.lineLowerBand[-1], self.round_n), round(self.lineBollStd[-1], self.round_n)) + + if (self.inputBoll2Len > 0 or self.inputBoll2TBLen > 0) and len(self.lineUpperBand)>0: + msg = msg + u',Boll2({0}):std:{4},m:{2},u:{1},l:{3}'.\ + format(self.inputBoll2Len, round(self.lineUpperBand2[-1], self.round_n), + round(self.lineMiddleBand2[-1], self.round_n), round(self.lineLowerBand2[-1], self.round_n), round(self.lineBollStd[-1], self.round_n)) if self.inputMacdFastPeriodLen >0 and len(self.lineDif)>0: msg = msg + u',MACD({0},{1},{2}):Dif:{3},Dea{4},Macd:{5}'.\ @@ -646,7 +741,7 @@ class CtaLineBar(object): if self.inputSarAfStep > 0 and self.inputSarAfLimit > 0: if len(self.lineSar) > 1: - msg = msg + u',Sar:{},{}(h={},l={})'.format(self.lineSarDirection, round(self.lineSar[-2], self.round_n), self.lineSarTop[-1], self.lineSarButtom[-1]) + msg = msg + u',Sar:{},{}(h={},l={}),#{}'.format(self.lineSarDirection, round(self.lineSar[-2], self.round_n), self.lineSarTop[-1], self.lineSarButtom[-1], self.sar_count) return msg @@ -738,40 +833,80 @@ class CtaLineBar(object): # 满足时间要求 # 1,秒周期，tick的时间，距离最后一个bar的开始时间，已经超出bar的时间周期（barTimeInterval） - # 2，分钟、小时周期，取整=0 - # 3、日周期，开盘时间 - # 4、不是最后一个结束tick + # 2，分钟周期，tick的时间属于的bar不等于最后一个bar的时间属于的bar + # 3，小时周期，取整=0 + # 4、日周期，开盘时间 + # 5、不是最后一个结束tick is_new_bar = False if self.lastTick is None: # Fix for Min10, 13:30 could not generate self.lastTick = tick - # self.writeCtaLog('__drawLineBar: datetime={}, lastPrice={}, endtick={}'.format(tick.datetime.strftime("%Y%m%d %H:%M:%S"), tick.lastPrice, endtick)) - if ((self.period == PERIOD_SECOND and (tick.datetime-lastBar.datetime).seconds >= self.barTimeInterval) \ - or - (self.period == PERIOD_MINUTE and tick.datetime.minute % self.barTimeInterval == 0 - and tick.datetime.minute != self.lastTick.datetime.minute) - or - (self.period == PERIOD_HOUR and self.barTimeInterval == 1 and tick.datetime - and tick.datetime.hour != self.lastTick.datetime.hour) - or - (self.period == PERIOD_HOUR and self.barTimeInterval == 2 and tick.datetime - and tick.datetime.hour != self.lastTick.datetime.hour - and tick.datetime.hour in {1, 9, 11, 13, 21, 23}) - or - (self.period == PERIOD_HOUR and self.barTimeInterval == 4 and tick.datetime - and tick.datetime.hour != self.lastTick.datetime.hour - and tick.datetime.hour in {1, 9, 13, 21}) - or (self.period == PERIOD_DAY and tick.datetime - and (tick.datetime.hour == 21 or tick.datetime.hour == 9) - and 14 <= self.lastTick.datetime.hour <= 15) - ) and not endtick: + # self.writeCtaLog('drawLineBar: datetime={}, lastPrice={}, endtick={}'.format(tick.datetime.strftime("%Y%m%d %H:%M:%S"), tick.lastPrice, endtick)) + if not endtick: + if self.period == PERIOD_SECOND: + if (tick.datetime-lastBar.datetime).total_seconds() >= self.barTimeInterval: + is_new_bar = True + elif self.period == PERIOD_MINUTE: + # 时间到达整点分钟数，例如5分钟的 0,5,15,20,,.与上一个tick的分钟数不是同一分钟 + cur_bars_in_day = int(((tick.datetime - datetime.strptime(tick.datetime.strftime('%Y-%m-%d'), + '%Y-%m-%d')).total_seconds() / 60 / self.barTimeInterval)) + last_bars_in_day = int(((lastBar.datetime - datetime.strptime(lastBar.datetime.strftime('%Y-%m-%d'), + '%Y-%m-%d')).total_seconds() / 60 / self.barTimeInterval)) + + if cur_bars_in_day != last_bars_in_day: + is_new_bar = True + + elif self.period == PERIOD_HOUR: + if self.barTimeInterval == 1 and tick.datetime is not None and tick.datetime.hour != self.lastTick.datetime.hour: + is_new_bar = True + + elif not self.is_7x24 and self.barTimeInterval == 2 and tick.datetime is not None \ + and tick.datetime.hour != self.lastTick.datetime.hour \ + and tick.datetime.hour in {1, 9, 11, 13, 21, 23}: + is_new_bar = True + + elif not self.is_7x24 and self.barTimeInterval == 4 and tick.datetime is not None \ + and tick.datetime.hour != self.lastTick.datetime.hour \ + and tick.datetime.hour in {1, 9, 13, 21}: + is_new_bar = True + else: + cur_bars_in_day = int (tick.datetime.hour / self.barTimeInterval) + last_bars_in_day = int( lastBar.datetime.hour / self.barTimeInterval) + if cur_bars_in_day != last_bars_in_day: + is_new_bar = True + + elif self.period == PERIOD_DAY: + if not self.is_7x24: + if tick.datetime is not None \ + and (tick.datetime.hour == 21 or tick.datetime.hour == 9) \ + and 14 <= self.lastTick.datetime.hour <= 15: + is_new_bar = True + else: + if tick.date != lastBar.date: + is_new_bar = True + + if is_new_bar: # 创建并推入新的Bar self.firstTick(tick) # 触发OnBar事件 self.onBar(lastBar) + # 存为Bar文件，For TradeBlazer WJ + # barMsg = u"{},{},{},{},{},{},{}\n".format(lastBar.datetime.strftime('%Y/%m/%d %H:%M'), lastBar.open, lastBar.high, + # lastBar.low, lastBar.close, lastBar.volume, lastBar.openInterest) + # self.writeCtaLog('drawLineBar: ' + barMsg) + # self.min1File.write(barMsg) + # + # # 存为Bar文件，For VNPY Min1 WJ + # # "datetime,close,date,high,instrument_id,limit_down,limit_up,low,open,open_interest,time,trading_date,total_turnover,volume,symbol\n" + # lastBar.datetime = lastBar.datetime + timedelta(seconds=60) + # barMsg = u"{},{},{},{},{},{},{},{},{},{},{},{},{},{},{}\n".format(lastBar.datetime.strftime('%Y%m%d%H%M%S'), lastBar.close, lastBar.datetime.strftime('%Y%m%d'), + # lastBar.high, lastBar.symbol, 0, 99999, lastBar.low, lastBar.open, lastBar.openInterest, lastBar.datetime.strftime('%H%M%S'), + # lastBar.tradingDay, 100, lastBar.volume, lastBar.vtSymbol) + # self.min1File.write(barMsg) + else: # 更新当前最后一个bar self.barFirstTick = False @@ -874,6 +1009,7 @@ class CtaLineBar(object): self.lineSarAfUp.append(af0) self.lineSar.append(sr0) self.lineSarDirection = 'up' + self.sar_count = 0 else: # 标记为下跌趋势 sr0 = max(listHigh[0:]) @@ -884,6 +1020,7 @@ class CtaLineBar(object): self.lineSarAfDown.append(af0) self.lineSar.append(sr0) self.lineSarDirection = 'down' + self.sar_count = 0 self.lineSarTop.append(self.lineBar[-2].high) # SAR的谷顶 self.lineSarButtom.append(self.lineBar[-2].low) # SAR的波底 elif len(self.lineSarSrUp) > 0: @@ -897,6 +1034,7 @@ class CtaLineBar(object): self.lineSarEpUp.append(ep0) self.lineSarAfUp.append(af0) self.lineSar.append(sr) + self.sar_count += 1 # self.debugCtaLog('Up: sr0={},ep0={},af0={},sr={}'.format(sr0, ep0, af0, sr)) elif listLow[-1] <= self.lineSarSrUp[-1]: ep0 = max(listHigh[-len(self.lineSarSrUp):]) @@ -923,6 +1061,7 @@ class CtaLineBar(object): self.lineSarEpDown.append(ep0) self.lineSarAfDown.append(af0) self.lineSar.append(sr) + self.sar_count = 0 # self.debugCtaLog('Down: sr0={},ep0={},af0={},sr={}'.format(sr0, ep0, af0, sr)) elif len(self.lineSarSrDown) > 0: if listHigh[-1] < self.lineSarSrDown[-1]: @@ -935,6 +1074,7 @@ class CtaLineBar(object): self.lineSarEpDown.append(ep0) self.lineSarAfDown.append(af0) self.lineSar.append(sr) + self.sar_count -= 1 # self.debugCtaLog('Down: sr0={},ep0={},af0={},sr={}'.format(sr0, ep0, af0, sr)) elif listHigh[-1] >= self.lineSarSrDown[-1]: ep0 = min(listLow[-len(self.lineSarSrDown):]) @@ -961,6 +1101,7 @@ class CtaLineBar(object): self.lineSarEpUp.append(ep0) self.lineSarAfUp.append(af0) self.lineSar.append(sr) + self.sar_count = 0 self.debugCtaLog('Up: sr0={},ep0={},af0={},sr={}'.format(sr0, ep0, af0, sr)) if self.lineSarTop[-1] < self.lineBar[-2].high: @@ -1619,54 +1760,184 @@ class CtaLineBar(object): def __recountBoll(self): """布林特线""" - if self.inputBollLen <= EMPTY_INT: return + if not (self.inputBollLen > EMPTY_INT or self.inputBoll2Len > EMPTY_INT or + self.inputBollTBLen > EMPTY_INT or self.inputBoll2TBLen > EMPTY_INT): # 不计算 + return l = len(self.lineBar) - if l < min(14, self.inputBollLen)+1: - self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算Boll需要：{1}'. - format(len(self.lineBar), min(14, self.inputBollLen)+1)) - return + if self.inputBollLen > EMPTY_INT: + if l < min(14, self.inputBollLen)+1: + self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算Boll需要：{1}'. + format(len(self.lineBar), min(14, self.inputBollLen)+1)) + else: + if l < self.inputBollLen+2: + bollLen = l-1 + else: + bollLen = self.inputBollLen - if l < self.inputBollLen+2: - bollLen = l-1 - else: - bollLen = self.inputBollLen + # 不包含当前最新的Bar + 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 :]] - # 不包含当前最新的Bar - 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(np.array(listClose, dtype=float), - timeperiod=bollLen, nbdevup=self.inputBollStdRate, - nbdevdn=self.inputBollStdRate, matype=0) - if len(self.lineUpperBand) > self.inputBollLen*8: - del self.lineUpperBand[0] - if len(self.lineMiddleBand) > self.inputBollLen*8: - del self.lineMiddleBand[0] - if len(self.lineLowerBand) > self.inputBollLen*8: - del self.lineLowerBand[0] - if len(self.lineBollStd) > self.inputBollLen * 8: - del self.lineBollStd[0] + upper, middle, lower = ta.BBANDS(np.array(listClose, dtype=float), + timeperiod=bollLen, nbdevup=self.inputBollStdRate, + nbdevdn=self.inputBollStdRate, matype=0) + if len(self.lineUpperBand) > self.inputBollLen*8: + del self.lineUpperBand[0] + if len(self.lineMiddleBand) > self.inputBollLen*8: + del self.lineMiddleBand[0] + if len(self.lineLowerBand) > self.inputBollLen*8: + del self.lineLowerBand[0] + if len(self.lineBollStd) > self.inputBollLen * 8: + del self.lineBollStd[0] - # 1标准差 - std = (upper[-1] - lower[-1]) / (self.inputBollStdRate*2) - self.lineBollStd.append(std) + # 1标准差 + std = (upper[-1] - lower[-1]) / (self.inputBollStdRate*2) + self.lineBollStd.append(std) - u = round(upper[-1], self.round_n) - self.lineUpperBand.append(u) # 上轨 - self.lastBollUpper = u - u % self.minDiff # 上轨取整 + u = round(upper[-1], self.round_n) + self.lineUpperBand.append(u) # 上轨 + self.lastBollUpper = u - u % self.minDiff # 上轨取整 - m = round(middle[-1], self.round_n) - self.lineMiddleBand.append(m) # 中轨 - self.lastBollMiddle = m - m % self.minDiff # 中轨取整 + m = round(middle[-1], self.round_n) + self.lineMiddleBand.append(m) # 中轨 + self.lastBollMiddle = m - m % self.minDiff # 中轨取整 - l = round(lower[-1], self.round_n) - self.lineLowerBand.append(l) # 下轨 - self.lastBollLower = l - l % self.minDiff # 下轨取整 + l = round(lower[-1], self.round_n) + self.lineLowerBand.append(l) # 下轨 + self.lastBollLower = l - l % self.minDiff # 下轨取整 + l = len(self.lineBar) + if self.inputBoll2Len > EMPTY_INT: + if l < min(14, self.inputBoll2Len)+1: + self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算Boll2需要：{1}'. + format(len(self.lineBar), min(14, self.inputBoll2Len)+1)) + else: + if l < self.inputBoll2Len+2: + boll2Len = l-1 + else: + boll2Len = self.inputBoll2Len + + # 不包含当前最新的Bar + if self.mode == self.TICK_MODE: + listClose=[x.close for x in self.lineBar[-boll2Len - 1:-1]] + else: + listClose=[x.close for x in self.lineBar[-boll2Len :]] + + upper, middle, lower = ta.BBANDS(np.array(listClose, dtype=float), + timeperiod=boll2Len, nbdevup=self.inputBoll2StdRate, + nbdevdn=self.inputBoll2StdRate, matype=0) + if len(self.lineUpperBand2) > self.inputBoll2Len * 8: + del self.lineUpperBand2[0] + if len(self.lineMiddleBand2) > self.inputBoll2Len * 8: + del self.lineMiddleBand2[0] + if len(self.lineLowerBand2) > self.inputBoll2Len * 8: + del self.lineLowerBand2[0] + if len(self.lineBoll2Std) > self.inputBoll2Len * 8: + del self.lineBoll2Std[0] + + # 1标准差 + std = (upper[-1] - lower[-1]) / (self.inputBoll2StdRate*2) + self.lineBoll2Std.append(std) + + u = round(upper[-1], self.round_n) + self.lineUpperBand2.append(u) # 上轨 + self.lastBoll2Upper = u - u % self.minDiff # 上轨取整 + + m = round(middle[-1], self.round_n) + self.lineMiddleBand2.append(m) # 中轨 + self.lastBoll2Middle = m - m % self.minDiff # 中轨取整 + + l = round(lower[-1], self.round_n) + self.lineLowerBand2.append(l) # 下轨 + self.lastBoll2Lower = l - l % self.minDiff # 下轨取整 + + l = len(self.lineBar) + if self.inputBollTBLen > EMPTY_INT: + if l < min(14, self.inputBollTBLen)+1: + self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算Boll需要：{1}'. + format(len(self.lineBar), min(14, self.inputBollTBLen)+1)) + else: + if l < self.inputBollTBLen+2: + bollLen = l-1 + else: + bollLen = self.inputBollTBLen + + # 不包含当前最新的Bar + 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 :]] + + if len(self.lineUpperBand) > self.inputBollTBLen*8: + del self.lineUpperBand[0] + if len(self.lineMiddleBand) > self.inputBollTBLen*8: + del self.lineMiddleBand[0] + if len(self.lineLowerBand) > self.inputBollTBLen*8: + del self.lineLowerBand[0] + if len(self.lineBollStd) > self.inputBollTBLen * 8: + del self.lineBollStd[0] + + # 1标准差 + std = np.std(listClose, ddof=1) + self.lineBollStd.append(std) + + m = np.mean(listClose) + self.lineMiddleBand.append(m) # 中轨 + self.lastBollMiddle = m - m % self.minDiff # 中轨取整 + + u = m + self.inputBollStdRate * std + self.lineUpperBand.append(u) # 上轨 + self.lastBollUpper = u - u % self.minDiff # 上轨取整 + + l = m - self.inputBollStdRate * std + self.lineLowerBand.append(l) # 下轨 + self.lastBollLower = l - l % self.minDiff # 下轨取整 + + l = len(self.lineBar) + if self.inputBoll2TBLen > EMPTY_INT: + if l < min(14, self.inputBoll2TBLen)+1: + self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算Boll2需要：{1}'. + format(len(self.lineBar), min(14, self.inputBoll2TBLen)+1)) + else: + if l < self.inputBoll2TBLen+2: + boll2Len = l-1 + else: + boll2Len = self.inputBoll2TBLen + + # 不包含当前最新的Bar + if self.mode == self.TICK_MODE: + listClose=[x.close for x in self.lineBar[-boll2Len - 1:-1]] + else: + listClose=[x.close for x in self.lineBar[-boll2Len :]] + + if len(self.lineUpperBand2) > self.inputBoll2TBLen*8: + del self.lineUpperBand2[0] + if len(self.lineMiddleBand2) > self.inputBoll2TBLen*8: + del self.lineMiddleBand2[0] + if len(self.lineLowerBand2) > self.inputBoll2TBLen*8: + del self.lineLowerBand2[0] + if len(self.lineBoll2Std) > self.inputBoll2TBLen * 8: + del self.lineBoll2Std[0] + + # 1标准差 + std = np.std(listClose, ddof=1) + self.lineBoll2Std.append(std) + + m = np.mean(listClose) + self.lineMiddleBand2.append(m) # 中轨 + self.lastBoll2Middle = m - m % self.minDiff # 中轨取整 + + u = m + self.inputBoll2StdRate * std + self.lineUpperBand2.append(u) # 上轨 + self.lastBoll2Upper = u - u % self.minDiff # 上轨取整 + + l = m - self.inputBoll2StdRate * std + self.lineLowerBand2.append(l) # 下轨 + self.lastBoll2Lower = l - l % self.minDiff # 下轨取整 def __recountKdj(self, countInBar = False): """KDJ指标""" @@ -1694,6 +1965,12 @@ 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 + if self.inputKdjSlowLen == EMPTY_INT: + self.inputKdjSlowLen = 3 + if self.inputKdjSmoothLen == EMPTY_INT: + self.inputKdjSmoothLen = 3 + + inputKdjLen = min(self.inputKdjLen, len(self.lineBar)) # 数据是Tick模式，非bar内计算 if self.mode == self.TICK_MODE and not countInBar: listClose =[x.close for x in self.lineBar[-self.inputKdjLen-1:-1]] @@ -1710,7 +1987,7 @@ class CtaLineBar(object): llv = min(listLow) if len(self.lineK) > 0: - lastK = self.lineK[-1] + lastK = self.lineK[-1] else: lastK = 0 @@ -1722,17 +1999,19 @@ class CtaLineBar(object): if hhv == llv: rsv = 50 else: - rsv = (listClose - llv)/(hhv - llv) * 100 + rsv = (listClose[-1] - llv)/(hhv - llv) * 100 - k = 2*lastK/3 + rsv/3 + self.lineKdjRSV.append(rsv) + + k = (self.inputKdjSlowLen-1)*lastK/self.inputKdjSlowLen + rsv/self.inputKdjSlowLen if k < 0: k = 0 if k > 100: k = 100 - d = 2*lastD/3 + k/3 + d = (self.inputKdjSmoothLen-1)*lastD/self.inputKdjSmoothLen + k/self.inputKdjSmoothLen if d < 0: d = 0 if d > 100: d = 100 - j = 3*k - 2*d + j = self.inputKdjSmoothLen*k - (self.inputKdjSmoothLen-1)*d if countInBar: self.lastD = d @@ -1761,7 +2040,7 @@ class CtaLineBar(object): t={} t["Type"] = u'T' t["J"] = self.lineJ[-2] - t["Close"] = self.lineBar[-1-idx].high + t["Close"] = self.lineBar[-1-idx].close if len(self.lineKdjTop) > self.inputKdjLen: del self.lineKdjTop[0] @@ -1775,13 +2054,149 @@ class CtaLineBar(object): b={} b["Type"] = u'B' b["J"] = self.lineJ[-2] - b["Close"] = self.lineBar[-1-idx].low + b["Close"] = self.lineBar[-1-idx].close if len(self.lineKdjButtom) > self.inputKdjLen: del self.lineKdjButtom[0] self.lineKdjButtom.append(b) self.lastKdjTopButtom = self.lineKdjButtom[-1] + def __recountKdj_TB(self, countInBar=False): + """KDJ指标""" + """ + KDJ指标的中文名称又叫随机指标，是一个超买超卖指标,最早起源于期货市场，由乔治·莱恩（George Lane）首创。 + 随机指标KDJ最早是以KD指标的形式出现，而KD指标是在威廉指标的基础上发展起来的。 + 不过KD指标只判断股票的超买超卖的现象，在KDJ指标中则融合了移动平均线速度上的观念，形成比较准确的买卖信号依据。在实践中，K线与D线配合J线组成KDJ指标来使用。 + KDJ指标在设计过程中主要是研究最高价、最低价和收盘价之间的关系，同时也融合了动量观念、强弱指标和移动平均线的一些优点。 + 因此，能够比较迅速、快捷、直观地研判行情，被广泛用于股市的中短期趋势分析，是期货和股票市场上最常用的技术分析工具。 +  + 第一步 计算RSV：即未成熟随机值（Raw Stochastic Value）。 + RSV 指标主要用来分析市场是处于“超买”还是“超卖”状态： + - RSV高于80%时候市场即为超买状况，行情即将见顶，应当考虑出仓； + - RSV低于20%时候，市场为超卖状况，行情即将见底，此时可以考虑加仓。 +     N日RSV=(N日收盘价-N日内最低价）÷(N日内最高价-N日内最低价）×100% +     第二步 计算K值：当日K值 = 2/3前1日K值 + 1/3当日RSV ;  +     第三步 计算D值：当日D值 = 2/3前1日D值 + 1/3当日K值；  +     第四步 计算J值：当日J值 = 3当日K值 - 2当日D值.  + + """ + if self.inputKdjTBLen <= EMPTY_INT: return + + # if len(self.lineBar) < self.inputKdjTBLen + 1: + # if not countInBar: + # 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.inputKdjTBLen + 1)) + # return + + if self.inputKdjSlowLen == EMPTY_INT: + self.inputKdjSlowLen = 3 + if self.inputKdjSmoothLen == EMPTY_INT: + self.inputKdjSmoothLen = 3 + + if len(self.lineBar) < self.inputKdjTBLen + 1: + inputKdjTBLen = len(self.lineBar) + # 数据是Tick模式，非bar内计算 + if self.mode == self.TICK_MODE and not countInBar: + listClose = [x.close for x in self.lineBar[0:-1]] + listHigh = [x.high for x in self.lineBar[0:-1]] + listLow = [x.low for x in self.lineBar[0:-1]] + idx = 2 + else: + listClose = [x.close for x in self.lineBar] + listHigh = [x.high for x in self.lineBar] + listLow = [x.low for x in self.lineBar] + idx = 1 + else: + # 数据是Tick模式，非bar内计算 + if self.mode == self.TICK_MODE and not countInBar: + listClose = [x.close for x in self.lineBar[-self.inputKdjTBLen - 1:-1]] + listHigh = [x.high for x in self.lineBar[-self.inputKdjTBLen - 1:-1]] + listLow = [x.low for x in self.lineBar[-self.inputKdjTBLen - 1:-1]] + idx = 2 + else: + listClose = [x.close for x in self.lineBar[-self.inputKdjTBLen:]] + listHigh = [x.high for x in self.lineBar[-self.inputKdjTBLen:]] + listLow = [x.low for x in self.lineBar[-self.inputKdjTBLen:]] + idx = 1 + + hhv = max(listHigh) + llv = min(listLow) + + if len(self.lineK) > 0: + lastK = self.lineK[-1] + else: + lastK = 0 + + if len(self.lineD) > 0: + lastD = self.lineD[-1] + else: + lastD = 0 + + if hhv == llv: + rsv = 50 + else: + rsv = (listClose[-1] - llv) / (hhv - llv) * 100 + + self.lineKdjRSV.append(rsv) + + k = (self.inputKdjSlowLen - 1) * lastK / self.inputKdjSlowLen + rsv / self.inputKdjSlowLen + if k < 0: k = 0 + if k > 100: k = 100 + + d = (self.inputKdjSmoothLen - 1) * lastD / self.inputKdjSmoothLen + k / self.inputKdjSmoothLen + if d < 0: d = 0 + if d > 100: d = 100 + + j = self.inputKdjSmoothLen * k - (self.inputKdjSmoothLen - 1) * d + + msg = 'hhv={}, llv={}, rsv={}, k={}, d={}, j={}'.format(hhv, llv,rsv, k, d, j) + if countInBar: + self.lastD = d + self.lastK = k + self.lastJ = j + return + + if len(self.lineK) > self.inputKdjTBLen * 8: + del self.lineK[0] + self.lineK.append(k) + + if len(self.lineD) > self.inputKdjTBLen * 8: + del self.lineD[0] + self.lineD.append(d) + + l = len(self.lineJ) + if l > self.inputKdjTBLen * 8: + del self.lineJ[0] + self.lineJ.append(j) + + # 增加KDJ的J谷顶和波底 + if l > 3: + # 峰 + if self.lineJ[-1] < self.lineJ[-2] and self.lineJ[-3] <= self.lineJ[-2]: + + t = {} + t["Type"] = u'T' + t["J"] = self.lineJ[-2] + t["Close"] = self.lineBar[-1 - idx].close + + if len(self.lineKdjTop) > self.inputKdjTBLen: + del self.lineKdjTop[0] + + self.lineKdjTop.append(t) + self.lastKdjTopButtom = self.lineKdjTop[-1] + + # 谷 + elif self.lineJ[-1] > self.lineJ[-2] and self.lineJ[-3] >= self.lineJ[-2]: + + b = {} + b["Type"] = u'B' + b["J"] = self.lineJ[-2] + b["Close"] = self.lineBar[-1 - idx].close + + if len(self.lineKdjButtom) > self.inputKdjTBLen: + del self.lineKdjButtom[0] + self.lineKdjButtom.append(b) + self.lastKdjTopButtom = self.lineKdjButtom[-1] + def __recountMacd(self): """ Macd计算方法： @@ -2664,12 +3079,42 @@ class CtaLineBar(object): writer.writeheader() writer.writerow(dict_data) else: + dt = dict_data.get('datetime',None) + if dt is not None: + dt_index = dict_fieldnames.index('datetime') + last_dt = self.get_csv_last_dt(file_name=file_name,dt_index=dt_index,line_length=sys.getsizeof(dict_data)/8+1) + if last_dt is not None and dt<= last_dt: + print(u'新增数据时间{}比最后一条记录时间{}早，不插入'.format(dt,last_dt)) + return + with open(file_name, 'a', encoding='utf8', newline='') as csvWriteFile: writer = csv.DictWriter(f=csvWriteFile, fieldnames=dict_fieldnames, dialect='excel') writer.writerow(dict_data) except Exception as ex: print(u'{}.append_data exception:{}/{}'.format(self.name,str(ex),traceback.format_exc())) + def get_csv_last_dt(self, file_name,dt_index=0,line_length=1000): + """ + 获取csv文件最后一行的日期数据(第dt_index个字段必须是 '%Y-%m-%d %H:%M:%S'格式 + :param file_name:文件名 + :param line_length: 行数据的长度 + :return: None，文件不存在，或者时间格式不正确 + """ + with open(file_name, 'r') as f: + f_size = os.path.getsize(file_name) + if f_size < line_length: + line_length = f_size + f.seek(f_size - line_length) # 移动到最后1000个字节 + for row in f.readlines()[-1:]: + + datas = row.split(',') + if len(datas) > dt_index+1: + try: + last_dt = datetime.strptime(datas[dt_index], '%Y-%m-%d %H:%M:%S') + return last_dt + except: + return None + return None class CtaMinuteBar(CtaLineBar): """ @@ -2683,9 +3128,11 @@ class CtaMinuteBar(CtaLineBar): super(CtaMinuteBar, self).__init__(strategy, onBarFunc, setting) - # bar内得分钟数量累计 - self.m1_bars_count = 0 - self.last_minute = None + # 一天内bar的数量累计 + self.bars_count = 0 + self.minutes_adjust = -15 + + self.lastMinuteBar = CtaBarData() def init_properties(self): """ @@ -2711,8 +3158,15 @@ class CtaMinuteBar(CtaLineBar): self.paramList.append('inputRsi2Len') self.paramList.append('inputCmiLen') self.paramList.append('inputBollLen') + self.paramList.append('inputBollTBLen') self.paramList.append('inputBollStdRate') + self.paramList.append('inputBoll2Len') + self.paramList.append('inputBoll2TBLen') + self.paramList.append('inputBoll2StdRate') self.paramList.append('inputKdjLen') + self.paramList.append('inputKdjTBLen') + self.paramList.append('inputKdjSlowLen') + self.paramList.append('inputKdjSmoothLen') self.paramList.append('inputCciLen') self.paramList.append('inputMacdFastPeriodLen') self.paramList.append('inputMacdSlowPeriodLen') @@ -2726,6 +3180,7 @@ class CtaMinuteBar(CtaLineBar): self.paramList.append('inputTangentLen') self.paramList.append('inputSarAfStep') self.paramList.append('inputSarAfLimit') + self.paramList.append('is_7x24') self.paramList.append('minDiff') self.paramList.append('shortSymbol') @@ -2748,6 +3203,9 @@ class CtaMinuteBar(CtaLineBar): :param bar_freq, bar对象得frequency :return: """ + #self.writeCtaLog("addBar(): {}, o={}, h={}, l={}, c={}, v={}".format(bar.datetime.strftime("%Y%m%d %H:%M:%S"), + # bar.open, bar.high, bar.low, bar.close, bar.volume + #)) if bar.tradingDay is None: bar.tradingDay = self.getTradingDate(bar.datetime) @@ -2769,17 +3227,42 @@ class CtaMinuteBar(CtaLineBar): if bar_is_completed: is_new_bar = True + minutes_passed = (bar.datetime - datetime.strptime(bar.datetime.strftime('%Y-%m-%d'), '%Y-%m-%d')).total_seconds() / 60 + if self.shortSymbol in MARKET_ZJ: + if int(bar.datetime.strftime('%H%M')) > 1130 and int(bar.datetime.strftime('%H%M')) < 1600: + # 扣除11:30到13:00的中场休息的90分钟 + minutes_passed = minutes_passed - 90 + else: + if int(bar.datetime.strftime('%H%M')) > 1015 and int(bar.datetime.strftime('%H%M')) <= 1130: + # 扣除10:15到10:30的中场休息的15分钟 + minutes_passed = minutes_passed - 15 + elif int(bar.datetime.strftime('%H%M')) > 1130 and int(bar.datetime.strftime('%H%M')) < 1600: + # 扣除(10:15到10:30的中场休息的15分钟)&(11:30到13:30的中场休息的120分钟) + minutes_passed = minutes_passed - 135 + bars_passed = int(minutes_passed / self.barTimeInterval) + + # 不在同一交易日，推入新bar if self.curTradingDay != bar.tradingDay: is_new_bar = True self.curTradingDay = bar.tradingDay + self.bars_count = bars_passed + #self.writeCtaLog("drawLineBar(): {}, m1_bars_count={}".format(bar.datetime.strftime("%Y%m%d %H:%M:%S"), + # self.m1_bars_count)) + else: + if bars_passed != self.bars_count: + is_new_bar = True + self.bars_count = bars_passed - if self.m1_bars_count + bar_freq > self.barTimeInterval: + #self.writeCtaLog("addBar(): {}, bars_count={}".format(bar.datetime.strftime("%Y%m%d %H:%M:%S"), + # self.bars_count)) + + # 数字货币，如果bar的前后距离，超过周期，重新开启一个新的bar + if self.is_7x24 and (bar.datetime - lastBar.datetime).total_seconds() >= 60 * self.barTimeInterval: is_new_bar = True if is_new_bar: # 添加新的bar self.lineBar.append(bar) - self.m1_bars_count = bar_freq # 将上一个Bar推送至OnBar事件 self.onBar(lastBar) return @@ -2796,7 +3279,6 @@ class CtaMinuteBar(CtaLineBar): lastBar.mid4 = round((2*lastBar.close + lastBar.high + lastBar.low)/4, self.round_n) lastBar.mid5 = round((2*lastBar.close + lastBar.open + lastBar.high + lastBar.low)/5, self.round_n) - self.m1_bars_count += bar_freq # ---------------------------------------------------------------------- def drawLineBar(self, tick): @@ -2808,9 +3290,24 @@ class CtaMinuteBar(CtaLineBar): l1 = len(self.lineBar) + minutes_passed = (tick.datetime - datetime.strptime(tick.datetime.strftime('%Y-%m-%d'), '%Y-%m-%d')).total_seconds() / 60 + if self.shortSymbol in MARKET_ZJ: + if int(tick.datetime.strftime('%H%M')) > 1130 and int(tick.datetime.strftime('%H%M')) < 1600: + # 扣除11:30到13:00的中场休息的90分钟 + minutes_passed = minutes_passed - 90 + else: + if int(tick.datetime.strftime('%H%M')) > 1015 and int(tick.datetime.strftime('%H%M')) <= 1130: + # 扣除10:15到10:30的中场休息的15分钟 + minutes_passed = minutes_passed - 15 + elif int(tick.datetime.strftime('%H%M')) > 1130 and int(tick.datetime.strftime('%H%M')) < 1600: + # 扣除(10:15到10:30的中场休息的15分钟)&(11:30到13:30的中场休息的120分钟) + minutes_passed = minutes_passed - 135 + bars_passed = int(minutes_passed / self.barTimeInterval) + # 保存第一个K线数据 if l1 == 0: self.firstTick(tick) + self.bars_count = bars_passed return # 清除480周期前的数据， @@ -2841,23 +3338,43 @@ class CtaMinuteBar(CtaLineBar): if self.shortSymbol in NIGHT_MARKET_ZZ or self.shortSymbol in NIGHT_MARKET_DL: if tick.datetime.hour == 23 and tick.datetime.minute == 30: endtick = True + + if endtick is True: + return + + is_new_bar = False + # 不在同一交易日，推入新bar if self.curTradingDay != tick.tradingDay: + self.writeCtaLog('{} drawLineBar() new_bar,{} curTradingDay:{},tick.tradingDay:{} bars_count={}' + .format(self.name, tick.datetime.strftime("%Y-%m-%d %H:%M:%S"),self.curTradingDay, + tick.tradingDay,self.bars_count)) + is_new_bar = True self.curTradingDay = tick.tradingDay - else: - # 同一交易日，看分钟是否一致 - if tick.datetime.minute != self.last_minute and not endtick: - self.m1_bars_count += 1 - self.last_minute = tick.datetime.minute + self.bars_count = bars_passed - if self.m1_bars_count > self.barTimeInterval: - is_new_bar = True + else: + # 同一交易日，看过去了多少个周期的Bar + if bars_passed != self.bars_count: + is_new_bar = True + self.bars_count = bars_passed + self.writeCtaLog('{} drawLineBar() new_bar,{} bars_count={}' + .format(self.name, tick.datetime, self.bars_count)) + + self.last_minute = tick.datetime.minute + + # 数字货币市场，分钟是连续的，所以只判断是否取整，或者与上一根bar的距离 + if self.is_7x24: + if (tick.datetime.minute % self.barTimeInterval== 0 and tick.datetime.minute != lastBar.datetime.minute) or (tick.datetime-lastBar.datetime).total_seconds() > self.barTimeInterval*60: + #self.writeCtaLog('{} drawLineBar() new_bar,{} lastbar:{}, bars_count={}' + # .format(self.name, tick.datetime, lastBar.datetime, + # self.bars_count)) + is_new_bar = True if is_new_bar: # 创建并推入新的Bar self.firstTick(tick) - self.m1_bars_count = 1 # 触发OnBar事件 self.onBar(lastBar) else: @@ -2889,7 +3406,6 @@ class CtaMinuteBar(CtaLineBar): lastBar.mid4 = round((2 * lastBar.close + lastBar.high + lastBar.low) / 4, self.round_n) lastBar.mid5 = round((2 * lastBar.close + lastBar.open + lastBar.high + lastBar.low) / 5, self.round_n) - class CtaHourBar(CtaLineBar): """ 小时级别K线 @@ -2930,8 +3446,15 @@ class CtaHourBar(CtaLineBar): self.paramList.append('inputRsi2Len') self.paramList.append('inputCmiLen') self.paramList.append('inputBollLen') + self.paramList.append('inputBollTBLen') self.paramList.append('inputBollStdRate') + self.paramList.append('inputBoll2Len') + self.paramList.append('inputBoll2TBLen') + self.paramList.append('inputBoll2StdRate') self.paramList.append('inputKdjLen') + self.paramList.append('inputKdjTBLen') + self.paramList.append('inputKdjSlowLen') + self.paramList.append('inputKdjSmoothLen') self.paramList.append('inputCciLen') self.paramList.append('inputMacdFastPeriodLen') self.paramList.append('inputMacdSlowPeriodLen') @@ -2941,6 +3464,7 @@ class CtaHourBar(CtaLineBar): self.paramList.append('inputYb') self.paramList.append('inputYbLen') self.paramList.append('inputYbRef') + self.paramList.append('is_7x24') self.paramList.append('minDiff') self.paramList.append('shortSymbol') @@ -2984,10 +3508,18 @@ class CtaHourBar(CtaLineBar): if bar_is_completed: is_new_bar = True + if self.curTradingDay is None: + self.curTradingDay = bar.tradingDay + if self.curTradingDay != bar.tradingDay: is_new_bar = True self.curTradingDay = bar.tradingDay + if self.is_7x24: + if (bar.datetime - lastBar.datetime).total_seconds() >=60 * self.barTimeInterval: + is_new_bar = True + self.curTradingDay = bar.tradingDay + if self.m1_bars_count + bar_freq > 60 * self.barTimeInterval: is_new_bar = True @@ -3069,6 +3601,14 @@ class CtaHourBar(CtaLineBar): self.m1_bars_count += 1 self.last_minute = tick.datetime.minute + if self.is_7x24: + if (tick.datetime - lastBar.datetime).total_seconds() >= 3600 * self.barTimeInterval: + is_new_bar = True + if len(tick.tradingDay) >0: + self.curTradingDay = tick.tradingDay + else: + self.curTradingDay = tick.date + if self.m1_bars_count > 60 * self.barTimeInterval: is_new_bar = True @@ -3122,12 +3662,6 @@ class CtaHourBar(CtaLineBar): self.skd_is_high_dead_cross(runtime=True, high_skd=self.highSkd) self.skd_is_low_golden_cross(runtime=True,low_skd=self.lowSkd) - - - - - - class CtaDayBar(CtaLineBar): """ 日线级别K线 @@ -3167,8 +3701,15 @@ class CtaDayBar(CtaLineBar): self.paramList.append('inputRsi2Len') self.paramList.append('inputCmiLen') self.paramList.append('inputBollLen') + self.paramList.append('inputBollTBLen') self.paramList.append('inputBollStdRate') + self.paramList.append('inputBoll2Len') + self.paramList.append('inputBoll2TBLen') + self.paramList.append('inputBoll2StdRate') self.paramList.append('inputKdjLen') + self.paramList.append('inputKdjTBLen') + self.paramList.append('inputKdjSlowLen') + self.paramList.append('inputKdjSmoothLen') self.paramList.append('inputCciLen') self.paramList.append('inputMacdFastPeriodLen') self.paramList.append('inputMacdSlowPeriodLen') @@ -3178,6 +3719,7 @@ class CtaDayBar(CtaLineBar): self.paramList.append('inputYb') self.paramList.append('inputYbLen') self.paramList.append('inputYbRef') + self.paramList.append('is_7x24') self.paramList.append('minDiff') self.paramList.append('shortSymbol') @@ -3188,10 +3730,9 @@ class CtaDayBar(CtaLineBar): self.name = u'DayBar' self.mode = self.TICK_MODE # 缺省为tick模式 self.period = PERIOD_DAY # 日线级别周期 - self.barTimeInterval = 1 # 缺省为小时周期 - - self.barMinuteInterval = 60*8 + self.barTimeInterval = 1 # 缺省为1天 + self.barMinuteInterval = 60*24 def addBar(self, bar, bar_is_completed=False,bar_freq=1): """ @@ -3219,10 +3760,10 @@ class CtaDayBar(CtaLineBar): if bar_is_completed: is_new_bar = True - # 夜盘时间判断 - if self.had_night_market and bar.datetime.hour >= 21 and lastBar.datetime.hour < 21: - is_new_bar = True - self.curTradingDay = bar.tradingDay if bar.tradingDay is not None else bar.date + # 夜盘时间判断（当前的bar时间在21点后，上一根Bar的时间在21点前 + if not self.is_7x24 and bar.datetime.hour >= 21 and lastBar.datetime.hour < 21: + is_new_bar = True + self.curTradingDay = bar.tradingDay if bar.tradingDay is not None else bar.date # 日期判断 if not is_new_bar and lastBar.tradingDay != self.curTradingDay: @@ -3275,9 +3816,14 @@ class CtaDayBar(CtaLineBar): is_new_bar = False - if tick.tradingDay != lastBar.tradingDay: + # 交易日期不一致，新的交易日 + if len(tick.tradingDay)> 0 and tick.tradingDay != lastBar.tradingDay: is_new_bar = True + # 数字货币方面，如果当前tick 日期与bar的日期不一致.(取消，按照上面的统一处理，因为币安是按照UTC时间算的每天开始，ok是按照北京时间开始) + #if self.is_7x24 and tick.date != lastBar.date: + # is_new_bar = True + if is_new_bar: # 创建并推入新的Bar self.firstTick(tick) @@ -3359,6 +3905,23 @@ class TestStrategy(object): lineM30Setting['shortSymbol'] = self.shortSymbol self.lineM30 = CtaLineBar(self, self.onBarM30, lineM30Setting) + self.lineM30.export_filename = os.path.abspath( + os.path.join(os.getcwd(), + u'export_{}_{}.csv'.format(self.vtSymbol, self.lineM30.name))) + + self.lineM30.export_fields = [ + {'name': 'datetime', 'source': 'bar', 'attr': 'datetime', 'type_': 'datetime'}, + {'name': 'open', 'source': 'bar', 'attr': 'open', 'type_': 'float'}, + {'name': 'high', 'source': 'bar', 'attr': 'high', 'type_': 'float'}, + {'name': 'low', 'source': 'bar', 'attr': 'low', 'type_': 'float'}, + {'name': 'close', 'source': 'bar', 'attr': 'close', 'type_': 'float'}, + {'name': 'turnover', 'source': 'bar', 'attr': 'turnover', 'type_': 'float'}, + {'name': 'volume', 'source': 'bar', 'attr': 'volume', 'type_': 'float'}, + {'name': 'openInterest', 'source': 'bar', 'attr': 'openInterest', 'type_': 'float'}, + {'name': 'kf', 'source': 'lineBar', 'attr': 'lineStateMean', 'type_': 'list'} + ] + + def createLineH1(self): # 创建2小时K线 lineH2Setting = {} @@ -3551,13 +4114,13 @@ if __name__ == '__main__': t.shortSymbol = 'J' t.vtSymbol = 'J99' # 创建M30线 - #t.createLineM30() + t.createLineM30() # 回测1小时线 #t.createLineH1() # 回测2小时线 - t.createLineH2() + #t.createLineH2() # 回测日线 #t.createLineD()