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[Mod]reformat code

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This commit is contained in:
vn.py 2019-02-23 16:01:19 +08:00
parent a9f652607c
commit e6f8060e99
12 changed files with 297 additions and 272 deletions
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1
vnpy/__init__.py
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@ -0,0 +1 @@
__version__ == "2.0"

34
vnpy/app/cta_strategy/backtesting.py
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@ -201,10 +201,10 @@ class BacktestingEngine:
s = (
DbBarData.select()
.where(
(DbBarData.vt_symbol == self.vt_symbol) &
(DbBarData.interval == self.interval) &
(DbBarData.datetime >= self.start) &
(DbBarData.datetime <= self.end)
(DbBarData.vt_symbol == self.vt_symbol)
& (DbBarData.interval == self.interval)
& (DbBarData.datetime >= self.start)
& (DbBarData.datetime <= self.end)
)
.order_by(DbBarData.datetime)
)
@ -213,9 +213,9 @@ class BacktestingEngine:
s = (
DbTickData.select()
.where(
(DbTickData.vt_symbol == self.vt_symbol) &
(DbTickData.datetime >= self.start) &
(DbTickData.datetime <= self.end)
(DbTickData.vt_symbol == self.vt_symbol)
& (DbTickData.datetime >= self.start)
& (DbTickData.datetime <= self.end)
)
.order_by(DbTickData.datetime)
)
@ -567,15 +567,15 @@ class BacktestingEngine:
# Check whether limit orders can be filled.
long_cross = (
order.direction == Direction.LONG and
order.price >= long_cross_price and
long_cross_price > 0
order.direction == Direction.LONG
and order.price >= long_cross_price
and long_cross_price > 0
)
short_cross = (
order.direction == Direction.SHORT and
order.price <= short_cross_price and
short_cross_price > 0
order.direction == Direction.SHORT
and order.price <= short_cross_price
and short_cross_price > 0
)
if not long_cross and not short_cross:
@ -635,13 +635,13 @@ class BacktestingEngine:
for stop_order in list(self.active_stop_orders.values()):
# Check whether stop order can be triggered.
long_cross = (
stop_order.direction == Direction.LONG and
stop_order.price <= long_cross_price
stop_order.direction == Direction.LONG
and stop_order.price <= long_cross_price
)
short_cross = (
stop_order.direction == Direction.SHORT and
stop_order.price >= short_cross_price
stop_order.direction == Direction.SHORT
and stop_order.price >= short_cross_price
)
if not long_cross and not short_cross:

14
vnpy/app/cta_strategy/engine.py
View File

@ -405,10 +405,10 @@ class CtaEngine(BaseEngine):
s = (
DbBarData.select()
.where(
(DbBarData.vt_symbol == vt_symbol) &
(DbBarData.interval == interval) &
(DbBarData.datetime >= start) &
(DbBarData.datetime <= end)
(DbBarData.vt_symbol == vt_symbol)
& (DbBarData.interval == interval)
& (DbBarData.datetime >= start)
& (DbBarData.datetime <= end)
)
.order_by(DbBarData.datetime)
)
@ -425,9 +425,9 @@ class CtaEngine(BaseEngine):
s = (
DbTickData.select()
.where(
(DbBarData.vt_symbol == vt_symbol) &
(DbBarData.datetime >= start) &
(DbBarData.datetime <= end)
(DbBarData.vt_symbol == vt_symbol)
& (DbBarData.datetime >= start)
& (DbBarData.datetime <= end)
)
.order_by(DbBarData.datetime)
)

61
vnpy/app/cta_strategy/strategies/atr_rsi_strategy.py
View File

@ -1,13 +1,12 @@
from vnpy.app.cta_strategy import (
CtaTemplate,
StopOrder,
Direction,
TickData,
BarData,
TradeData,
OrderData,
BarGenerator,
ArrayManager,
ArrayManager,
)
@ -16,33 +15,33 @@ class AtrRsiStrategy(CtaTemplate):
author = '用Python的交易员'
atr_length = 22
atr_ma_length = 10
rsi_length = 5
rsi_entry = 16
trailing_percent = 0.8
fixed_size = 1
atr_length = 22
atr_ma_length = 10
rsi_length = 5
rsi_entry = 16
trailing_percent = 0.8
fixed_size = 1
atr_value = 0
atr_ma = 0
rsi_value = 0
rsi_buy = 0
rsi_sell = 0
intra_trade_high = 0
intra_trade_low = 0
atr_value = 0
atr_ma = 0
rsi_value = 0
rsi_buy = 0
rsi_sell = 0
intra_trade_high = 0
intra_trade_low = 0
parameters= [ 'atr_length', 'atr_ma_length', 'rsi_length', 'rsi_entry', 'trailing_percent','fixed_size']
variables= ['atr_value','atr_ma','rsi_value','rsi_buy','rsi_sell']
parameters = ['atr_length', 'atr_ma_length', 'rsi_length',
'rsi_entry', 'trailing_percent', 'fixed_size']
variables = ['atr_value', 'atr_ma', 'rsi_value', 'rsi_buy', 'rsi_sell']
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super(AtrRsiStrategy, self).__init__(
cta_engine, strategy_name, vt_symbol, setting
)
)
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
def on_init(self):
"""
Callback when strategy is inited.
@ -59,7 +58,7 @@ class AtrRsiStrategy(CtaTemplate):
Callback when strategy is started.
"""
self.write_log("策略启动")
def on_stop(self):
"""
Callback when strategy is stopped.
@ -85,7 +84,7 @@ class AtrRsiStrategy(CtaTemplate):
atr_array = am.atr(self.atr_length, array=True)
self.atr_value = atr_array[-1]
self.atr_ma = atr_array[-self.atr_ma_length:].mean()
self.atr_ma = atr_array[-self.atr_ma_length:].mean()
self.rsi_value = am.rsi(self.rsi_length)
if self.pos == 0:
@ -94,26 +93,28 @@ class AtrRsiStrategy(CtaTemplate):
if self.atr_value > self.atr_ma:
if self.rsi_value > self.rsi_buy:
self.buy(bar.close_price+5, self.fixed_size)
self.buy(bar.close_price + 5, self.fixed_size)
elif self.rsi_value < self.rsi_sell:
self.short(bar.close_price-5, self.fixed_size)
self.short(bar.close_price - 5, self.fixed_size)
elif self.pos > 0:
self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
self.intra_trade_low = bar.low_price
long_stop = self.intra_trade_high * (1-self.trailing_percent/100)
long_stop = self.intra_trade_high * \
(1 - self.trailing_percent / 100)
self.sell(long_stop, abs(self.pos), stop=True)
elif self.pos < 0:
self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
self.intra_trade_high = bar.high_price
short_stop = self.intra_trade_low * (1+self.trailing_percent/100)
short_stop = self.intra_trade_low * \
(1 + self.trailing_percent / 100)
self.cover(short_stop, abs(self.pos), stop=True)
self.put_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
@ -130,4 +131,4 @@ class AtrRsiStrategy(CtaTemplate):
"""
Callback of stop order update.
"""
pass
pass

90
vnpy/app/cta_strategy/strategies/boll_channel_strategy.py
View File

@ -1,7 +1,6 @@
from vnpy.app.cta_strategy import (
CtaTemplate,
StopOrder,
Direction,
TickData,
BarData,
TradeData,
@ -13,38 +12,40 @@ from vnpy.app.cta_strategy import (
class BollChannelStrategy(CtaTemplate):
""""""
author = '用Python的交易员'
boll_window = 18
boll_dev = 3.4
cci_window = 10
atr_window = 30
sl_multiplier = 5.2
fixed_size = 1
boll_up = 0
boll_down = 0
cci_value = 0
atr_value = 0
intra_trade_high = 0
intra_trade_low = 0
long_stop = 0
short_stop = 0
parameters = [ 'boll_window', 'boll_dev', 'cci_window', 'atr_window', 'sl_multiplier', 'fixed_size']
variables = ['boll_up', 'boll_down', 'cci_value', 'atr_value', 'intra_trade_high', 'intra_trade_low', 'long_stop', 'short_stop']
boll_window = 18
boll_dev = 3.4
cci_window = 10
atr_window = 30
sl_multiplier = 5.2
fixed_size = 1
boll_up = 0
boll_down = 0
cci_value = 0
atr_value = 0
intra_trade_high = 0
intra_trade_low = 0
long_stop = 0
short_stop = 0
parameters = ['boll_window', 'boll_dev', 'cci_window',
'atr_window', 'sl_multiplier', 'fixed_size']
variables = ['boll_up', 'boll_down', 'cci_value', 'atr_value',
'intra_trade_high', 'intra_trade_low', 'long_stop', 'short_stop']
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super(BollChannelStrategy, self).__init__(
cta_engine, strategy_name, vt_symbol, setting
)
self.bg = BarGenerator(self.on_bar,15, self.on_15min_bar)
self.bg = BarGenerator(self.on_bar, 15, self.on_15min_bar)
self.am = ArrayManager()
def on_init(self):
"""
Callback when strategy is inited.
@ -70,49 +71,49 @@ class BollChannelStrategy(CtaTemplate):
"""
self.bg.update_tick(tick)
def on_bar(self, bar:BarData):
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
"""
self.bg.update_bar(bar)
def on_15min_bar(self, bar:BarData):
def on_15min_bar(self, bar: BarData):
""""""
self.cancel_all()
am = self.am
am.update_bar(bar)
am = self.am
am.update_bar(bar)
if not am.inited:
return
self.boll_up, self.boll_down = am.boll(self.boll_window, self.boll_dev)
self.cci_value = am.cci(self.cci_window)
self.atr_value = am.atr(self.atr_window)
if self.pos == 0:
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
self.intra_trade_low = bar.low_price
if self.cci_value > 0:
self.buy(self.boll_up, self.fixed_size, True)
self.buy(self.boll_up, self.fixed_size, True)
elif self.cci_value < 0:
self.short(self.boll_down, self.fixed_size, True)
elif self.pos > 0:
self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
self.intra_trade_low = bar.low_price
self.long_stop = self.intra_trade_high - self.atr_value * self.sl_multiplier
self.long_stop = self.intra_trade_high - self.atr_value * self.sl_multiplier
self.sell(self.long_stop, abs(self.pos), True)
elif self.pos < 0:
self.intra_trade_high = bar.high_price
self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
self.short_stop = self.intra_trade_low + self.atr_value * self.sl_multiplier
self.short_stop = self.intra_trade_low + self.atr_value * self.sl_multiplier
self.cover(self.short_stop, abs(self.pos), True)
self.put_event()
self.put_event()
def on_order(self, order: OrderData):
"""
@ -131,4 +132,3 @@ class BollChannelStrategy(CtaTemplate):
Callback of stop order update.
"""
pass

39
vnpy/app/cta_strategy/strategies/double_ma_strategy.py
View File

@ -1,7 +1,6 @@
from vnpy.app.cta_strategy import (
CtaTemplate,
StopOrder,
Direction,
TickData,
BarData,
TradeData,
@ -13,19 +12,19 @@ from vnpy.app.cta_strategy import (
class DoubleMaStrategy(CtaTemplate):
author = '用Python的交易员'
fast_window = 10
slow_window = 20
fast_ma0 = 0.0
fast_ma1 = 0.0
fast_window = 10
slow_window = 20
fast_ma0 = 0.0
fast_ma1 = 0.0
slow_ma0 = 0.0
slow_ma1 = 0.0
parameters = [ 'fast_window', 'slow_window']
variables = ['fast_ma0','fast_ma1','slow_ma0','slow_ma1']
parameters = ['fast_window', 'slow_window']
variables = ['fast_ma0', 'fast_ma1', 'slow_ma0', 'slow_ma1']
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super(DoubleMaStrategy, self).__init__(
@ -34,7 +33,7 @@ class DoubleMaStrategy(CtaTemplate):
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
def on_init(self):
"""
Callback when strategy is inited.
@ -62,28 +61,28 @@ class DoubleMaStrategy(CtaTemplate):
Callback of new tick data update.
"""
self.bg.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
am = self.am
am = self.am
am.update_bar(bar)
if not am.inited:
return
fast_ma = am.sma(self.fast_window, array=True)
self.fast_ma0 = fast_ma[-1]
self.fast_ma1 = fast_ma[-2]
slow_ma = am.sma(self.slow_window, array=True)
self.slow_ma0 = slow_ma[-1]
self.slow_ma1 = slow_ma[-2]
cross_over = self.fast_ma0>self.slow_ma0 and self.fast_ma1<self.slow_ma1
cross_below = self.fast_ma0<self.slow_ma0 and self.fast_ma1>self.slow_ma1
cross_over = self.fast_ma0 > self.slow_ma0 and self.fast_ma1 < self.slow_ma1
cross_below = self.fast_ma0 < self.slow_ma0 and self.fast_ma1 > self.slow_ma1
if cross_over:
if self.pos == 0:
self.buy(bar.close_price, 1)
@ -97,7 +96,7 @@ class DoubleMaStrategy(CtaTemplate):
elif self.pos > 0:
self.sell(bar.close_price, 1)
self.short(bar.close_price, 1)
self.put_event()
def on_order(self, order: OrderData):
@ -116,4 +115,4 @@ class DoubleMaStrategy(CtaTemplate):
"""
Callback of stop order update.
"""
pass
pass

43
vnpy/app/cta_strategy/strategies/dual_thrust_strategy.py
View File

@ -2,7 +2,6 @@ from datetime import time
from vnpy.app.cta_strategy import (
CtaTemplate,
StopOrder,
Direction,
TickData,
BarData,
TradeData,
@ -14,19 +13,19 @@ from vnpy.app.cta_strategy import (
class DualThrustStrategy(CtaTemplate):
""""""
author = u'用Python的交易员'
fixed_size = 1
k1 = 0.4
k2 = 0.6
barList = []
barList = []
day_open = 0
day_high = 0
day_low = 0
range = 0
long_entry = 0
short_entry = 0
@ -35,10 +34,9 @@ class DualThrustStrategy(CtaTemplate):
long_entered = False
short_entered = False
parameters = ['k1', 'k2', "fixed_size"]
variables = ['range', 'long_entry', 'short_entry', 'exit_time']
parameters = [ 'k1', 'k2', "fixed_size"]
variables = ['range','long_entry','short_entry','exit_time']
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super(DualThrustStrategy, self).__init__(
@ -61,7 +59,7 @@ class DualThrustStrategy(CtaTemplate):
Callback when strategy is started.
"""
self.write_log("策略启动")
def on_stop(self):
"""
Callback when strategy is stopped.
@ -73,26 +71,26 @@ class DualThrustStrategy(CtaTemplate):
Callback of new tick data update.
"""
self.bg.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.cancel_all()
self.barList.append(bar)
self.barList.append(bar)
if len(self.barList) <= 2:
return
else:
self.barList.pop(0)
last_bar = self.barList[-2]
if last_bar.datetime.date() != bar.datetime.date():
if self.day_high:
self.range = self.day_high - self.day_low
self.long_entry = bar.open_price + self.k1 * self.range
self.short_entry = bar.open_price - self.k2 * self.range
self.short_entry = bar.open_price - self.k2 * self.range
self.day_open = bar.open_price
self.day_high = bar.high_price
self.day_low = bar.low_price
@ -113,30 +111,31 @@ class DualThrustStrategy(CtaTemplate):
self.buy(self.long_entry, self.fixed_size, stop=True)
else:
if not self.short_entered:
self.short(self.short_entry, self.fixed_size, stop=True)
self.short(self.short_entry,
self.fixed_size, stop=True)
elif self.pos > 0:
self.long_entered = True
self.sell(self.short_entry, self.fixed_size, stop=True)
if not self.short_entered:
self.short(self.short_entry, self.fixed_size, stop=True)
elif self.pos < 0:
self.short_entered = True
self.cover(self.long_entry, self.fixed_size, stop=True)
if not self.long_entered:
self.buy(self.long_entry, self.fixed_size, stop=True)
else:
if self.pos > 0:
self.sell(bar.close_price * 0.99, abs(self.pos))
elif self.pos < 0:
self.cover(bar.close_price * 1.01, abs(self.pos))
self.put_event()
def on_order(self, order: OrderData):
@ -155,4 +154,4 @@ class DualThrustStrategy(CtaTemplate):
"""
Callback of stop order update.
"""
pass
pass

86
vnpy/app/cta_strategy/strategies/king_keltner_strategy.py
View File

@ -1,7 +1,6 @@
from vnpy.app.cta_strategy import (
CtaTemplate,
StopOrder,
Direction,
TickData,
BarData,
TradeData,
@ -10,41 +9,38 @@ from vnpy.app.cta_strategy import (
ArrayManager,
)
class KingKeltnerStrategy(CtaTemplate):
""""""
author = '用Python的交易员'
kk_length = 11
kk_dev = 1.6
trailing_percent = 0.8
fixed_size = 1
kk_length = 11
kk_dev = 1.6
trailing_percent = 0.8
fixed_size = 1
kk_up = 0
kk_down = 0
intra_trade_high = 0
intra_trade_low = 0
kk_up = 0
kk_down = 0
intra_trade_high = 0
intra_trade_low = 0
buy_orderidList = []
short_orderidList = []
orderList = []
buy_orderidList = []
short_orderidList = []
orderList = []
parameters = ['kk_length', 'kk_dev', 'fixed_size']
variables = ['kk_up', 'kk_down']
parameters = [ 'kk_length', 'kk_dev','fixed_size']
variables = ['kk_up','kk_down']
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super(KingKeltnerStrategy, self).__init__(
cta_engine, strategy_name, vt_symbol, setting
)
self.bg = BarGenerator(self.on_bar,5 ,self.on_5min_bar)
self.bg = BarGenerator(self.on_bar, 5, self.on_5min_bar)
self.am = ArrayManager()
buy_orderidList = []
short_orderidList = []
orderList = []
def on_init(self):
"""
Callback when strategy is inited.
@ -57,7 +53,7 @@ class KingKeltnerStrategy(CtaTemplate):
Callback when strategy is started.
"""
self.write_log("策略启动")
def on_stop(self):
"""
Callback when strategy is stopped.
@ -75,42 +71,42 @@ class KingKeltnerStrategy(CtaTemplate):
Callback of new bar data update.
"""
self.bg.update_bar(bar)
def on_5min_bar(self, bar:BarData):
def on_5min_bar(self, bar: BarData):
""""""
for orderid in self.orderList:
for orderid in self.orderList:
self.cancel_order(orderid)
self.orderList = []
am = self.am
am.update_bar(bar)
if not am.inited:
return
self.kk_up, self.kk_down = am.keltner(self.kk_length, self.kk_dev)
if self.pos == 0:
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
self.intra_trade_low = bar.low_price
self.send_oco_order(self.kk_up, self.kk_down, self.fixed_size)
elif self.pos > 0:
self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
self.intra_trade_low = bar.low_price
vt_orderid = self.sell(self.intra_trade_high*(1-self.trailing_percent/100),
abs(self.pos), True)
vt_orderid = self.sell(self.intra_trade_high * (1 - self.trailing_percent / 100),
abs(self.pos), True)
self.orderList.append(vt_orderid)
elif self.pos < 0:
self.intra_trade_high = bar.high_price
self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
vt_orderid = self.cover(self.intra_trade_low*(1+self.trailing_percent/100),
abs(self.pos), True)
vt_orderid = self.cover(self.intra_trade_low * (1 + self.trailing_percent / 100),
abs(self.pos), True)
self.orderList.append(vt_orderid)
self.put_event()
self.put_event()
def on_order(self, order: OrderData):
"""
@ -130,18 +126,18 @@ class KingKeltnerStrategy(CtaTemplate):
elif self.pos < 0:
for buy_orderid in self.buy_orderidList:
self.cancel_order(buy_orderid)
for orderid in (self.buy_orderidList + self.short_orderidList):
if orderid in self.orderList:
self.orderList.remove(orderid)
self.put_event()
def send_oco_order(self, buy_price, short_price, volume):
""""""
self.buy_orderidList = self.buy(buy_price, volume, True)
self.short_orderidList = self.short(short_price, volume, True)
self.orderList.append(self.buy_orderidList)
self.orderList.append(self.short_orderidList)
@ -149,4 +145,4 @@ class KingKeltnerStrategy(CtaTemplate):
"""
Callback of stop order update.
"""
pass
pass

91
vnpy/app/cta_strategy/strategies/multi_signal_strategy.py
View File

@ -1,7 +1,5 @@
from vnpy.app.cta_strategy import (
CtaTemplate,
StopOrder,
Direction,
TickData,
BarData,
TradeData,
@ -16,7 +14,7 @@ from vnpy.app.cta_strategy import (
class RsiSignal(CtaSignal):
""""""
def __init__(self, rsi_window , rsi_level):
def __init__(self, rsi_window: int, rsi_level: float):
"""Constructor"""
super(RsiSignal, self).__init__()
@ -27,7 +25,7 @@ class RsiSignal(CtaSignal):
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
@ -38,12 +36,12 @@ class RsiSignal(CtaSignal):
"""
Callback of new bar data update.
"""
self.am.update_bar(bar)
self.am.update_bar(bar)
if not self.am.inited:
self.set_signal_pos(0)
rsi_value = self.am.rsi(self.rsi_window)
if rsi_value >= self.rsi_long:
self.set_signal_pos(1)
elif rsi_value <= self.rsi_short:
@ -51,10 +49,11 @@ class RsiSignal(CtaSignal):
else:
self.set_signal_pos(0)
class CciSignal(CtaSignal):
""""""
def __init__(self, cci_window, cci_level):
def __init__(self, cci_window: int, cci_level: float):
""""""
super(CciSignal, self).__init__()
@ -64,8 +63,8 @@ class CciSignal(CtaSignal):
self.cci_short = -self.cci_level
self.bg = BarGenerator(self.on_bar)
self.am = ArrayManager()
self.am = ArrayManager()
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
@ -76,32 +75,33 @@ class CciSignal(CtaSignal):
"""
Callback of new bar data update.
"""
self.am.update_bar(bar)
self.am.update_bar(bar)
if not self.am.inited:
self.set_signal_pos(0)
cci_value = self.am.cci(self.cci_window)
if cci_value >= self.cci_long:
self.set_signal_pos(1)
elif cci_value<= self.cci_short:
self.set_signal_pos(-1)
elif cci_value <= self.cci_short:
self.set_signal_pos(-1)
else:
self.set_signal_pos(0)
class MaSignal(CtaSignal):
""""""
def __init__(self, fast_window, slow_window):
def __init__(self, fast_window: int, slow_window: int):
""""""
super(MaSignal, self).__init__()
self.fast_window = fast_window
self.slow_window = slow_window
self.bg = BarGenerator(self.on_bar, 5, self.on_5min_bar)
self.am = ArrayManager()
self.am = ArrayManager()
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
@ -113,16 +113,16 @@ class MaSignal(CtaSignal):
Callback of new bar data update.
"""
self.bg.update_bar(bar)
def on_5min_bar(self, bar:BarData):
def on_5min_bar(self, bar: BarData):
""""""
self.am.update_bar(bar)
self.am.update_bar(bar)
if not self.am.inited:
self.set_signal_pos(0)
fast_ma = self.am.sma(self.fast_window)
slow_ma = self.am.sma(self.slow_window)
if fast_ma > slow_ma:
self.set_signal_pos(1)
elif fast_ma < slow_ma:
@ -133,20 +133,21 @@ class MaSignal(CtaSignal):
class MultiSignalStrategy(TargetPosTemplate):
""""""
author ='用Python的交易员'
rsi_window= 14
author = '用Python的交易员'
rsi_window = 14
rsi_level = 20
cci_window = 30
cci_level = 10
fast_window = 5
slow_window = 20
signal_pos = {}
parameters = ['rsi_window','rsi_level','cci_window','cci_level','fast_window','slow_window']
variables = ['signal_pos','target_pos']
signal_pos = {}
parameters = ['rsi_window', 'rsi_level', 'cci_window',
'cci_level', 'fast_window', 'slow_window']
variables = ['signal_pos', 'target_pos']
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
@ -157,13 +158,13 @@ class MultiSignalStrategy(TargetPosTemplate):
self.rsi_signal = RsiSignal(self.rsi_window, self.rsi_level)
self.cci_signal = CciSignal(self.cci_window, self.cci_level)
self.ma_signal = MaSignal(self.fast_window, self.slow_window)
self.signal_pos = {
"rsi": 0,
"cci": 0,
"ma": 0
}
def on_init(self):
"""
Callback when strategy is inited.
@ -176,7 +177,7 @@ class MultiSignalStrategy(TargetPosTemplate):
Callback when strategy is started.
"""
self.write_log("策略启动")
def on_stop(self):
"""
Callback when strategy is stopped.
@ -188,37 +189,37 @@ class MultiSignalStrategy(TargetPosTemplate):
Callback of new tick data update.
"""
super(MultiSignalStrategy, self).on_tick(tick)
self.rsi_signal.on_tick(tick)
self.cci_signal.on_tick(tick)
self.ma_signal.on_tick(tick)
self.calculate_target_pos()
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
super(MultiSignalStrategy, self).on_bar(bar)
self.rsi_signal.on_bar(bar)
self.cci_signal.on_bar(bar)
self.ma_signal.on_bar(bar)
self.calculate_target_pos()
def calculate_target_pos(self):
""""""
self.signal_pos['rsi'] = self.rsi_signal.get_signal_pos()
self.signal_pos['cci'] = self.cci_signal.get_signal_pos()
self.signal_pos['ma'] = self.ma_signal.get_signal_pos()
target_pos = 0
for v in self.signal_pos.values():
target_pos += v
self.set_target_pos(target_pos)
def on_order(self, order: OrderData):
"""
Callback of new order data update.
@ -235,4 +236,4 @@ class MultiSignalStrategy(TargetPosTemplate):
"""
Callback of stop order update.
"""
pass
pass

65
vnpy/app/cta_strategy/template.py
View File

@ -2,10 +2,10 @@
from abc import ABC
from typing import Any, Callable
from vnpy.trader.constant import Interval
from vnpy.trader.constant import Interval, Status
from vnpy.trader.object import BarData, TickData, OrderData, TradeData
from .base import CtaOrderType, StopOrder
from .base import CtaOrderType, StopOrder, EngineType
class CtaTemplate(ABC):
@ -246,8 +246,8 @@ class CtaSignal(ABC):
def __init__(self):
""""""
self.signal_pos = 0
self.signal_pos = 0
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
@ -260,26 +260,25 @@ class CtaSignal(ABC):
"""
pass
def set_signal_pos(self, pos):
""""""
self.signal_pos = pos
def get_signal_pos(self):
""""""
return self.signal_pos
class TargetPosTemplate(CtaTemplate):
""""""
author = '量衍投资'
tick_add = 1
last_tick = None
last_bar = None
target_pos = 0
orderList = []
tick_add = 1
last_tick = None
last_bar = None
target_pos = 0
orderList = []
variables = ['target_pos']
@ -287,74 +286,74 @@ class TargetPosTemplate(CtaTemplate):
""""""
super(TargetPosTemplate, self).__init__(
cta_engine, strategy_name, vt_symbol, setting
)
)
def on_tick(self, tick:TickData):
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.last_tick = tick
if self.trading:
self.trade()
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.last_bar = bar
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
if order.status == Status.ALLTRADED or order.status == Status.CANCELLED:
if order.status == Status.ALLTRADED or order.status == Status.CANCELLED:
if order.vt_orderid in self.orderList:
self.orderList.remove(order.vt_orderid)
def set_target_pos(self, target_pos):
""""""
self.target_pos = target_pos
self.target_pos = target_pos
self.trade()
def trade(self):
""""""
self.cancel_all()
pos_change = self.target_pos - self.pos
if not pos_change:
return
long_price = 0
short_price = 0
if self.last_tick:
if pos_change > 0:
long_price = self.last_tick.ask_price_1 + self.tick_add
if self.last_tick.limit_up:
long_price = min(long_price, self.last_tick.limit_up)
long_price = min(long_price, self.last_tick.limit_up)
else:
short_price = self.last_tick.bid_price_1 - self.tick_add
if self.last_tick.limit_down:
short_price = max(short_price, self.last_tick.limit_down)
short_price = max(short_price, self.last_tick.limit_down)
else:
if pos_change > 0:
long_price = self.last_bar.close_price + self.tick_add
else:
short_price = self.last_bar.close_price - self.tick_add
if self.get_engine_type() == EngineType.BACKTESTING:
if pos_change > 0:
vt_orderid = self.buy(long_price, abs(pos_change))
else:
vt_orderid = self.short(short_price, abs(pos_change))
self.orderList.append(vt_orderid)
else:
if self.orderList:
return
if pos_change > 0:
if self.pos < 0:
if pos_change < abs(self.pos):
@ -371,4 +370,4 @@ class TargetPosTemplate(CtaTemplate):
vt_orderid = self.sell(short_price, abs(self.pos))
else:
vt_orderid = self.short(short_price, abs(pos_change))
self.orderList.append(vt_orderid)
self.orderList.append(vt_orderid)

42
vnpy/gateway/ctp/ctp_gateway.py
View File

@ -4,7 +4,39 @@
from datetime import datetime
from vnpy.api.ctp import *
from vnpy.api.ctp import (
MdApi,
TdApi,
THOST_FTDC_OAS_Submitted,
THOST_FTDC_OAS_Accepted,
THOST_FTDC_OAS_Rejected,
THOST_FTDC_OST_NoTradeQueueing,
THOST_FTDC_OST_PartTradedQueueing,
THOST_FTDC_OST_AllTraded,
THOST_FTDC_OST_Canceled,
THOST_FTDC_D_Buy,
THOST_FTDC_D_Sell,
THOST_FTDC_PD_Long,
THOST_FTDC_PD_Short,
THOST_FTDC_OPT_LimitPrice,
THOST_FTDC_OPT_AnyPrice,
THOST_FTDC_OF_Open,
THOST_FTDC_OFEN_Close,
THOST_FTDC_OFEN_CloseYesterday,
THOST_FTDC_OFEN_CloseToday,
THOST_FTDC_PC_Futures,
THOST_FTDC_PC_Options,
THOST_FTDC_CP_CallOptions,
THOST_FTDC_CP_PutOptions,
THOST_FTDC_HF_Speculation,
THOST_FTDC_CC_Immediately,
THOST_FTDC_FCC_NotForceClose,
THOST_FTDC_TC_GFD,
THOST_FTDC_VC_AV,
THOST_FTDC_TC_IOC,
THOST_FTDC_VC_CV,
THOST_FTDC_AF_Delete
)
from vnpy.trader.constant import (
Direction,
Offset,
@ -84,6 +116,7 @@ symbol_exchange_map = {}
symbol_name_map = {}
symbol_size_map = {}
class CtpGateway(BaseGateway):
"""
VN Trader Gateway for CTP .
@ -489,7 +522,7 @@ class CtpTdApi(TdApi):
account = AccountData(
accountid=data["AccountID"],
balance=data["Balance"],
frozen=data["FrozenMargin"]+data["FrozenCash"]+data["FrozenCommission"],
frozen=data["FrozenMargin"] + data["FrozenCash"] + data["FrozenCommission"],
gateway_name=self.gateway_name
)
account.available = data["Available"]
@ -734,7 +767,4 @@ class CtpTdApi(TdApi):
def close(self):
""""""
if self.connect_status:
self.exit()
self.exit()

3
vnpy/gateway/futu/futu_gateway.py
View File

@ -322,8 +322,7 @@ class FutuGateway(BaseGateway):
account = AccountData(
accountid=f"{self.gateway_name}_{self.market}",
balance=float(row["total_assets"]),
frozen=(float(row["total_assets"]) -
float(row["avl_withdrawal_cash"])),
frozen=(float(row["total_assets"]) - float(row["avl_withdrawal_cash"])),
gateway_name=self.gateway_name,
)
self.on_account(account)