From e94e4e7d0bf0014bf69c8478cfe11ab784b523e6 Mon Sep 17 00:00:00 2001 From: msincenselee Date: Tue, 8 May 2018 08:51:28 +0800 Subject: [PATCH] =?UTF-8?q?=E5=A2=9E=E5=8A=A0=E5=B0=8F=E6=97=B6/=E6=97=A5?= =?UTF-8?q?=E7=BA=BFbar=E7=B1=BB=E5=9E=8B?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/app/ctaStrategy/ctaLineBar.py | 854 ++++++++++++++++++++-- 1 file changed, 789 insertions(+), 65 deletions(-) diff --git a/vnpy/trader/app/ctaStrategy/ctaLineBar.py b/vnpy/trader/app/ctaStrategy/ctaLineBar.py index bb854809..dcd1d458 100644 --- a/vnpy/trader/app/ctaStrategy/ctaLineBar.py +++ b/vnpy/trader/app/ctaStrategy/ctaLineBar.py @@ -2,17 +2,19 @@ # AUTHOR:李来佳 # WeChat/QQ: 28888502 +# 广东华富资产管理 - -from datetime import datetime +from datetime import datetime,timedelta import talib as ta import numpy as np import math import copy,csv from pykalman import KalmanFilter +import traceback from vnpy.trader.app.ctaStrategy.ctaBase import * from vnpy.trader.vtConstant import * +from vnpy.trader.vtConstant import DIRECTION_LONG, DIRECTION_SHORT from vnpy.trader.app.ctaStrategy.ctaPeriod import * DEBUGCTALOG = True @@ -70,6 +72,15 @@ class CtaLineBar(object): # 创建内部变量 self.init_properties() + self.ma12_count = 0 # ma1 与 ma2 ,金叉/死叉后第几根bar + self.ma13_count = 0 # ma1 与 ma3 ,金叉/死叉后第几根bar + self.ma23_count = 0 # ma2 与 ma3 ,金叉/死叉后第几根bar + + self.skd_divergence = 0 # 背离，>0,底背离， < 0 顶背离 + self.lineSkTop = [] # SK 高位 + self.lineSkButtom = [] # SK 低位 + self.skd_last_cross = 0 # 最近一次金叉/死叉的点位 + if setting: self.setParam(setting) @@ -123,6 +134,8 @@ class CtaLineBar(object): self.paramList.append('inputKF') self.paramList.append('inputSkd') self.paramList.append('inputYb') + self.paramList.append('inputYbLen') + self.paramList.append('inputYbRef') self.paramList.append('minDiff') self.paramList.append('shortSymbol') @@ -288,14 +301,20 @@ class CtaLineBar(object): self.inputSkd = False self.inputSkdLen1 = 13 # 周期1 self.inputSkdLen2 = 8 # 周期2 + self.lineSkdRSI = [] # 参照的RSI + self.lineSkdSTO = [] # 根据RSI演算的STO self.lineSK = [] # 快线 self.lineSD = [] # 慢线 - self.lowSkd = 30 - self.highSkd = 70 + self.lowSkd = 25 + self.highSkd = 75 + self.skd_count = 0 # 当前金叉/死叉后累加 # 多空趋势线 self.inputYb = False self.lineYb = [] + self.inputYbRef = 1 + self.inputYbLen = 10 + self.yb_count = 0 # 当前黄/蓝累加 def setParam(self, setting): """设置参数""" @@ -321,6 +340,7 @@ class CtaLineBar(object): if tick.datetime.hour == 8 or tick.datetime.hour == 20: self.writeCtaLog(u'竞价排名tick时间:{0}'.format(tick.datetime)) return + if self.lastTick is None: self.lastTick = tick @@ -329,8 +349,6 @@ class CtaLineBar(object): # 3.生成x K线，若形成新Bar，则触发OnBar事件 self.__drawLineBar(tick) - self.lastTick = tick - # 更新curPeriod的High，low if self.curPeriod is not None: if self.curTick.lastPrice is None: @@ -341,11 +359,12 @@ class CtaLineBar(object): # 4.执行 bar内计算 self.__recountKdj(countInBar=True) - def addBar(self, bar, bar_is_completed=False): + def addBar(self, bar, bar_is_completed=False, bar_freq=1): """ 予以外部初始化程序增加bar :param bar: :param bar_is_completed: 插入的bar，其周期与K线周期一致，就设为True + :return: """ l1 = len(self.lineBar) @@ -451,9 +470,22 @@ class CtaLineBar(object): if self.inputMa2Len > 0 and len(self.lineMa2) > 0: msg = msg + u',MA({0}):{1}'.format(self.inputMa2Len, self.lineMa2[-1]) + if self.ma12_count == 1: + msg = msg + u'MA{}金叉MA{}'.format(self.inputMa1Len,self.inputMa2Len) + elif self.ma12_count == -1: + msg = msg + u'MA{}死叉MA{}'.format(self.inputMa1Len,self.inputMa2Len) if self.inputMa3Len > 0 and len(self.lineMa3) > 0: msg = msg + u',MA({0}):{1}'.format(self.inputMa3Len, self.lineMa3[-1]) + if self.ma13_count == 1: + msg = msg + u'MA{}金叉MA{}'.format(self.inputMa1Len,self.inputMa3Len) + elif self.ma13_count == -1: + msg = msg + u'MA{}死叉MA{}'.format(self.inputMa1Len,self.inputMa3Len) + + if self.ma23_count == 1: + msg = msg + u'MA{}金叉MA{}'.format(self.inputMa2Len, self.inputMa3Len) + elif self.ma23_count == -1: + msg = msg + u'MA{}死叉MA{}'.format(self.inputMa2Len, self.inputMa3Len) if self.inputEma1Len > 0 and len(self.lineEma1) > 0: msg = msg + u',EMA({0}):{1}'.format(self.inputEma1Len, self.lineEma1[-1]) @@ -461,6 +493,9 @@ class CtaLineBar(object): if self.inputEma2Len > 0 and len(self.lineEma2) > 0: msg = msg + u',EMA({0}):{1}'.format(self.inputEma2Len, self.lineEma2[-1]) + if self.inputEma3Len > 0 and len(self.lineEma3) > 0: + msg = msg + u',EMA({0}):{1}'.format(self.inputEma3Len, self.lineEma3[-1]) + if self.inputDmiLen > 0 and len(self.linePdi) > 0: msg = msg + u',Pdi:{1};Mdi:{1};Adx:{2}'.format(self.linePdi[-1], self.lineMdi[-1], self.lineAdx[-1]) @@ -506,9 +541,20 @@ class CtaLineBar(object): if self.inputKF and len(self.lineStateMean) > 0: msg = msg + u',Kalman:{0}'.format(self.lineStateMean[-1]) - if self.inputSkd and len(self.lineSK) > 0 and len(self.lineSD) > 0: - msg = msg + u',SK:{}/SD:{}'.format( self.lineSK[-1],self.lineSD[-1]) + if self.inputSkd and len(self.lineSK) > 1 and len(self.lineSD) > 1: + golden_cross = self.lineSK[-1] > self.lineSK[-2] and self.lineSK[-1] > self.lineSD[-1] and self.lineSK[-2] < self.lineSD[-2] + dead_cross = self.lineSK[-1] < self.lineSK[-2] and self.lineSK[-1] < self.lineSD[-1] and self.lineSK[-2] > self.lineSD[-2] + msg = msg + u',SK:{}/SD:{}{}{},count:{}'\ + .format(round(self.lineSK[-1], 2), round(self.lineSD[-1], 2), u'金叉' if golden_cross else u'', u'死叉' if dead_cross else u'', self.skd_count) + if self.skd_divergence == 1: + msg = msg + u'底背离' + elif self.skd_divergence == -1: + msg = msg + u'顶背离' + + if self.inputYb and len(self.lineYb) > 1: + c = 'Blue' if self.lineYb[-1] < self.lineYb[-2] else 'Yellow' + msg = msg + u',YB:{},[{}({})]'.format(self.lineYb[-1], c, self.yb_count) return msg def __firstTick(self, tick): @@ -658,6 +704,9 @@ class CtaLineBar(object): else: lastBar.color = COLOR_EQUAL + if not endtick: + self.lastTick = tick + # ---------------------------------------------------------------------- def __recountPreHighLow(self): """计算 K线的前周期最高和最低""" @@ -772,24 +821,111 @@ class CtaLineBar(object): del self.lineMa3[0] self.lineMa3.append(barMa3) + # 计算MA1，MA2，MA3的金叉死叉 + if len(self.lineMa1)>=2 and len(self.lineMa2) > 2: + golden_cross = self.lineMa1[-1] > self.lineMa1[-2] and self.lineMa1[-1] > self.lineMa2[-1] and self.lineMa1[-2]<=self.lineMa2[-2] + dead_cross = self.lineMa1[-1] < self.lineMa1[-2] and self.lineMa1[-1] < self.lineMa2[-1] and self.lineMa1[-2]>=self.lineMa2[-2] + + if self.ma12_count <= 0: + if golden_cross: + self.ma12_count = 1 + elif self.lineMa1[-1] < self.lineMa2[-1]: + self.ma12_count -= 1 + + elif self.ma12_count >= 0: + if dead_cross: + self.ma12_count = -1 + elif self.lineMa1[-1] > self.lineMa2[-1]: + self.ma12_count += 1 + + if len(self.lineMa2) >= 2 and len(self.lineMa3) > 2: + golden_cross = self.lineMa2[-1] > self.lineMa2[-2] and self.lineMa2[-1] > self.lineMa3[-1] \ + and self.lineMa2[-2] <= self.lineMa3[-2] + dead_cross = self.lineMa2[-1] < self.lineMa2[-2] and self.lineMa2[-1] < self.lineMa3[-1] and\ + self.lineMa2[-2] >= self.lineMa3[-2] + + if self.ma23_count <= 0: + if golden_cross: + self.ma23_count = 1 + elif self.lineMa2[-1] < self.lineMa3[-1]: + self.ma23_count -= 1 + + elif self.ma23_count >= 0: + if dead_cross: + self.ma23_count = -1 + elif self.lineMa2[-1] > self.lineMa3[-1]: + self.ma23_count += 1 + + if len(self.lineMa1) >= 2 and len(self.lineMa3) > 2: + golden_cross = self.lineMa1[-1] > self.lineMa1[-2] and self.lineMa1[-1] > self.lineMa3[-1]\ + and self.lineMa1[-2] <= self.lineMa3[-2] + dead_cross = self.lineMa1[-1] < self.lineMa1[-2] and self.lineMa1[-1] < self.lineMa3[-1] \ + and self.lineMa1[-2] >= self.lineMa3[-2] + + if self.ma13_count <= 0: + if golden_cross: + self.ma13_count = 1 + elif self.lineMa1[-1] < self.lineMa3[-1]: + self.ma13_count -= 1 + + elif self.ma13_count >= 0: + if dead_cross: + self.ma13_count = -1 + elif self.lineMa1[-1] > self.lineMa3[-1]: + self.ma13_count += 1 + + def getRuntimeMa(self, ma_num): + """ + 实时计算MA得值 + :param ma_num:第几条均线, 1，对应inputMa1Len,,,, + :return: + """ + if ma_num not in [1, 2, 3]: + return None + + ma_len = 1 + if ma_num == 1 and self.inputMa1Len > 0: + ma_len = self.inputMa1Len + elif ma_num == 2 and self.inputMa2Len > 0: + ma_len = self.inputMa2Len + elif ma_num == 3 and self.inputMa3Len > 0: + ma_len = self.inputMa3Len + else: + return None + ma_data_len = ma_len + 2 + + if len(self.lineBar) < ma_data_len: + self.debugCtaLog(u'数据未充分,当前Bar数据数量：{}，计算实时MA {} 需要：{}'. + format(len(self.lineBar), ma_len, ma_data_len)) + return None + + # 3、获取前InputN周期(不包含当前周期）的K线 + listClose = [x.close for x in self.lineBar[-ma_data_len:]] + barMa = ta.MA(np.array(listClose, dtype=float), ma_len)[-1] + barMa = round(float(barMa), self.round_n) + + return barMa + #---------------------------------------------------------------------- def __recountEma(self): """计算K线的EMA1 和EMA2""" - if not (self.inputEma1Len > 0 or self.inputEma2Len >0 or self.inputEma3Len > 0 ): # 不计算 + if not (self.inputEma1Len > 0 or self.inputEma2Len >0 or self.inputEma3Len > 0): # 不计算 return l = len(self.lineBar) - + ema1_data_len = min(self.inputEma1Len * 4, self.inputEma1Len + 40) if self.inputEma1Len > 0 else 0 + ema2_data_len = min(self.inputEma2Len * 4, self.inputEma2Len + 40) if self.inputEma2Len > 0 else 0 + ema3_data_len = min(self.inputEma3Len * 4, self.inputEma3Len + 40) if self.inputEma3Len > 0 else 0 + max_data_len = max(ema1_data_len, ema2_data_len, ema3_data_len) # 1、lineBar满足长度才执行计算 - if len(self.lineBar) < max(7, self.inputEma1Len, self.inputEma2Len, self.inputEma3Len)+2: + if len(self.lineBar) < max_data_len: self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算EMA需要：{1}'. - format(len(self.lineBar), max(7, self.inputEma1Len, self.inputEma2Len, self.inputEma3Len)+2)) + format(len(self.lineBar), max_data_len)) return # 计算第一条EMA均线 if self.inputEma1Len > 0: - if self.inputEma1Len > l: ema1Len = l else: @@ -797,9 +933,9 @@ class CtaLineBar(object): # 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]] + listClose=[x.close for x in self.lineBar[-ema1_data_len - 1:-1]] else: - listClose=[x.close for x in self.lineBar[-ema1Len:]] + listClose=[x.close for x in self.lineBar[-ema1_data_len:]] barEma1 = ta.EMA(np.array(listClose, dtype=float), ema1Len)[-1] @@ -818,9 +954,9 @@ class CtaLineBar(object): # 3、获取前InputN周期(不包含当前周期）的自适应均线 if self.mode == self.TICK_MODE: - listClose=[x.close for x in self.lineBar[-ema2Len - 1:-1]] + listClose=[x.close for x in self.lineBar[-ema2_data_len - 1:-1]] else: - listClose=[x.close for x in self.lineBar[-ema2Len:]] + listClose=[x.close for x in self.lineBar[-ema2_data_len:]] barEma2 = ta.EMA(np.array(listClose, dtype=float), ema2Len)[-1] @@ -839,11 +975,11 @@ class CtaLineBar(object): # 3、获取前InputN周期(不包含当前周期）的自适应均线 if self.mode == self.TICK_MODE: - listClose = [x.close for x in self.lineBar[-ema3Len - 1:-1]] + listClose = [x.close for x in self.lineBar[-ema3_data_len - 1:-1]] else: - listClose = [x.close for x in self.lineBar[-ema3Len:]] + listClose = [x.close for x in self.lineBar[-ema3_data_len:]] - barEma3 = ta.EMA(np.array(listClose, dtype=float), ema3Len)[-1] + barEma3 = ta.EMA(np.array(listClose, dtype=float), ema3_data_len)[-1] barEma3 = round(float(barEma3), self.round_n) @@ -851,6 +987,37 @@ class CtaLineBar(object): del self.lineEma3[0] self.lineEma3.append(barEma3) + def getRuntimeEma(self, ema_num): + """ + 实时计算EMA得值 + :param ema_num:第几条均线, 1，对应inputEma1Len,,,, + :return: + """ + if ema_num not in [1, 2, 3]: + return None + + ema_len = 1 + if ema_num == 1 and self.inputEma1Len > 0: + ema_len = self.inputEma1Len + elif ema_num == 2 and self.inputEma2Len > 0: + ema_len = self.inputEma2Len + elif ema_num == 3 and self.inputEma3Len > 0: + ema_len = self.inputEma3Len + else: + return None + + ema_data_len = min(ema_len*2, ema_len + 20) + # 1、lineBar满足长度才执行计算 + if len(self.lineBar) < ema_data_len: + self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算实时EMA需要：{1}'. + format(len(self.lineBar), ema_data_len)) + return + + listClose = [x.close for x in self.lineBar[-ema_data_len - 1:]] + rtEma = ta.EMA(np.array(listClose, dtype=float), ema_len)[-1] + rtEma = round(float(rtEma), self.round_n) + return rtEma + def __recountDmi(self): """计算K线的DMI数据和条件""" @@ -1787,67 +1954,361 @@ class CtaLineBar(object): if not self.inputSkd: return - if len(self.lineBar) < max(self.inputSkdLen1, self.inputSkdLen2) * 4: + data_len = max(self.inputSkdLen1 * 2, self.inputSkdLen1 + 20) + if len(self.lineBar) data_len: + del self.lineSkdRSI[0] + self.lineSkdRSI.append(last_rsi) - # 计算优化后的RSI指标 - #rsi1 = 100 * ta.SMA(np.maximum(np_close - np_pre_close,0),self.inputSkdLen1) / ta.SMA(np.abs(np_close - np_pre_close),self.inputSkdLen1) - rsi1 = ta.RSI(np_close, self.inputSkdLen1) + if len(self.lineSkdRSI) < self.inputSkdLen2: + return - rsi1 = np.where(np.isnan(rsi1), 0, rsi1) + # 计算最后根的最高价/最低价 + rsi_HHV = max(self.lineSkdRSI[-self.inputSkdLen2:]) + rsi_LLV = min(self.lineSkdRSI[-self.inputSkdLen2:]) - rsi1_HHV = ta.MAX(rsi1, self.inputSkdLen2) - rsi1_LLV = ta.MIN(rsi1, self.inputSkdLen2) + # 计算STO + if rsi_HHV == rsi_LLV: + sto = 0 + else: + sto = 100 * (last_rsi - rsi_LLV)/(rsi_HHV - rsi_LLV) + sto_len = len(self.lineSkdSTO) + if sto_len > data_len * 2: + del self.lineSkdSTO[0] + self.lineSkdSTO.append(sto) - sto = (np.abs(rsi1_HHV - rsi1_LLV) > 1e-5).astype(int) * ( 100 * (rsi1 - rsi1_LLV)/(rsi1_HHV - rsi1_LLV + 1e-5)) - sto = np.where(np.isnan(sto), 0, sto) - sk = ta.EMA(sto, 5) - sk = np.where(np.isnan(sk), 0, sk) - sd = ta.EMA(sk, 3) - - if len(self.lineSK) > 60*8: + # 根据STO，计算SK = EMA(STO,5) + if sto_len < 5: + return + sk = ta.EMA(np.array(self.lineSkdSTO, dtype=float), 5)[-1] + if len(self.lineSK) > data_len*2: del self.lineSK[0] + self.lineSK.append(sk) - self.lineSK.append(sk[-1]) + if len(self.lineSK) < 3: + return - if len(self.lineSD) > 60 * 8: + sd = ta.EMA(np.array(self.lineSK, dtype=float), 3)[-1] + if len(self.lineSD) > data_len*2: del self.lineSD[0] + self.lineSD.append(sd) - self.lineSD.append(sd[-1]) + if len(self.lineSD) < 2: + return + + for t in self.lineSkTop[-1:]: + t['bars'] += 1 + + for b in self.lineSkButtom[-1:]: + b['bars'] += 1 + + # 记录所有SK的顶部和底部 + # 峰(顶部) + if self.lineSK[-1] < self.lineSK[-2] and self.lineSK[-3] < self.lineSK[-2]: + t={} + t['type'] = u'T' + t['sk'] = self.lineSK[-2] + t['price'] = max([bar.high for bar in self.lineBar[-4:]]) + t['time'] = self.lineBar[-1].datetime + t['bars'] = 0 + if len(self.lineSkTop) > self.inputSkdLen2: + del self.lineSkTop[0] + self.lineSkTop.append(t) + if self.skd_count >0: + # 检查是否有顶背离 + if self.is_sk_divergence(direction=DIRECTION_LONG): + self.skd_divergence = -1 + + # 谷(底部) + elif self.lineSK[-1] > self.lineSK[-2] and self.lineSK[-3] > self.lineSK[-2]: + b={} + b['type'] = u'B' + b['sk'] = self.lineSK[-2] + b['price'] = min([bar.low for bar in self.lineBar[-4:]]) + b['time'] = self.lineBar[-1].datetime + b['bars'] = 0 + if len(self.lineSkButtom) > self.inputSkdLen2: + del self.lineSkButtom[0] + self.lineSkButtom.append(b) + if self.skd_count < 0: + # 检查是否有底背离 + if self.is_sk_divergence(direction=DIRECTION_SHORT): + self.skd_divergence = 1 + + # 判断是否金叉和死叉 + golden_cross = self.lineSK[-1] > self.lineSK[-2] and self.lineSK[-2] < self.lineSD[-2] \ + and self.lineSK[-1] > self.lineSD[-1] + + dead_cross = self.lineSK[-1] < self.lineSK[-2] and self.lineSK[-2] > self.lineSD[-2] \ + and self.lineSK[-1] < self.lineSD[-1] + + if self.skd_count <= 0: + if golden_cross: + # 金叉 + self.skd_count = 1 + self.skd_last_cross = (self.lineSK[-1] + self.lineSK[-2] + self.lineSD[-1] + self.lineSD[-2])/4 + if self.skd_divergence < 0: + # 若原来是顶背离，消失 + self.skd_divergence = 0 + + elif self.lineSK[-1] < self.lineSK[-2]: + # 延续死叉 + self.skd_count -= 1 + # 延续顶背离 + if self.skd_divergence < 0: + self.skd_divergence -= 1 + return + + elif self.skd_count >= 0: + if dead_cross: + self.skd_count = -1 + self.skd_last_cross = (self.lineSK[-1] + self.lineSK[-2] + self.lineSD[-1] + self.lineSD[-2]) / 4 + # 若原来是底背离，消失 + if self.skd_divergence > 0: + self.skd_divergence = 0 + + elif self.lineSK[-1] > self.lineSK[-2]: + # 延续金叉 + self.skd_count += 1 + # 延续底背离 + if self.skd_divergence > 0: + self.skd_divergence += 1 + + def get_2nd_item(self, line): + """ + 获取第二个合适的选项 + :param line: + :return: + """ + bars = 0 + for item in reversed(line): + bars += item['bars'] + if bars > 5: + return item + + return line[0] + + def is_sk_divergence(self, direction, runtime=False): + """ + 检查是否有背离 + :param:direction，多：检查是否有顶背离，空，检查是否有底背离 + :return: + """ + if len(self.lineSkTop) < 2 or len(self.lineSkButtom) < 2: + return False + + t1 = self.lineSkTop[-1] + t2 = self.get_2nd_item(self.lineSkTop[:-1]) + b1 = self.lineSkButtom[-1] + b2 = self.get_2nd_item(self.lineSkButtom[:-1]) + + if runtime: + sk, sd = self.getRuntimeSKD() + # 峰(顶部) + if sk < self.lineSK[-1] and self.lineSK[-2] < self.lineSK[-1]: + t1 = {} + t1['type'] = u'T' + t1['sk'] = self.lineSK[-1] + t1['price'] = max([bar.high for bar in self.lineBar[-4:]]) + t1['time'] = self.lineBar[-1].datetime + t1['bars'] = 0 + t2 = self.get_2nd_item(self.lineSkTop) + # 谷(底部) + elif sk > self.lineSK[-1] and self.lineSK[-2] > self.lineSK[-1]: + b1 = {} + b1['type'] = u'B' + b1['sk'] = self.lineSK[-1] + b1['price'] = min([bar.low for bar in self.lineBar[-4:]]) + b1['time'] = self.lineBar[-1].datetime + b1['bars'] = 0 + b2 = self.get_2nd_item(self.lineSkButtom) + + # 检查顶背离 + if direction == DIRECTION_LONG: + t1_price = t1.get('price', 0) + t2_price = t2.get('price', 0) + t1_sk = t1.get('sk', 0) + t2_sk = t2.get('sk', 0) + b1_sk = b1.get('sk', 0) + + t2_t1_price_rate = ((t1_price - t2_price) / t2_price) if t2_price != 0 else 0 + t2_t1_sk_rate = ((t1_sk - t2_sk)/ t2_sk) if t2_sk !=0 else 0 + # 背离：价格创新高，SK指标没有创新高 + if t2_t1_price_rate > 0 and t2_t1_sk_rate < 0 and b1_sk > self.highSkd : + return True + + elif direction == DIRECTION_SHORT: + b1_price = b1.get('price', 0) + b2_price = b2.get('price', 0) + b1_sk = b1.get('sk', 0) + b2_sk = b2.get('sk', 0) + t1_sk = t1.get('sk', 0) + b2_b1_price_rate = ((b1_price - b2_price) / b2_price) if b2_price != 0 else 0 + b2_b1_sk_rate = ((b1_sk - b2_sk) / b2_sk) if b2_sk != 0 else 0 + # 背离：价格创新低，指标没有创新低 + if b2_b1_price_rate < 0 and b2_b1_sk_rate > 0 and t1_sk < self.lowSkd: + return True + + return False + + def getRuntimeSKD(self): + """ + 获取实时SKD + :return: + """ + if not self.inputSkd: + return 0, 0 + + data_len = max(self.inputSkdLen1 * 2, self.inputSkdLen1 + 20) + if len(self.lineBar) 0 else 0,self.lineSD[-1] if len(self.lineSD) > 0 else 0 + + sto_list = self.lineSkdSTO[:] + sto_list.append(sto) + + sk = ta.EMA(np.array(sto_list, dtype=float), 5)[-1] + + sk_list = self.lineSK[:] + sk_list.append(sk) + if len(sk_list) < 5: + return sk, self.lineSD[-1] if len(self.lineSD) > 0 else 0 + sd = ta.EMA(np.array(sk_list, dtype=float), 3)[-1] + + return sk, sd + + def skd_is_risk(self, direction, dist=15, runtime=False): + """ + 检查SDK的方向风险 + :return: + """ + if not self.inputSkd or len(self.lineSK)<2: + return False + + if runtime: + sk, _ = self.getRuntimeSKD() + else: + sk = self.lineSK[-1] + if direction == DIRECTION_LONG and sk >= 100 - dist: + return True + + if direction == DIRECTION_SHORT and sk <= dist: + return True + + return False + + def skd_is_high_dead_cross(self, runtime=False): + """ + 检查是否高位死叉 + :return: + """ + if not self.inputSkd or len(self.lineSK) < self.inputSkdLen2: + return False + + skd_count = self.skd_count + sdk_last_cross = self.skd_last_cross + if runtime: + sk, sd = self.getRuntimeSKD() + # 判断是否金叉和死叉 + golden_cross = sk > self.lineSK[-1] and self.lineSK[-1] < self.lineSD[-1] and sk > sd + dead_cross = sk < self.lineSK[-1] and self.lineSK[-1] > self.lineSD[-1] and sk < sd + if skd_count <= 0 and golden_cross: + # 金叉 + skd_count = 1 + sdk_last_cross = (sk + self.lineSK[-1] + sd + self.lineSD[-1])/4 + elif skd_count >=0 and dead_cross: + skd_count = -1 + sdk_last_cross = (sk + self.lineSK[-1] + sd + self.lineSD[-1]) / 4 + + # 高位死叉 + if skd_count < 0 and sdk_last_cross > self.highSkd: + return True + + return False + + def skd_is_low_golden_cross(self, runtime=False): + """ + 检查是否低位死叉 + :return: + """ + if not self.inputSkd or len(self.lineSK) < self.inputSkdLen2: + return False + + skd_count = self.skd_count + sdk_last_cross = self.skd_last_cross + if runtime: + sk,sd = self.getRuntimeSKD() + # 判断是否金叉和死叉 + golden_cross = sk > self.lineSK[-1] and self.lineSK[-1] < self.lineSD[-1] and sk > sd + dead_cross = sk < self.lineSK[-1] and self.lineSK[-1] > self.lineSD[-1] and sk < sd + if skd_count <= 0 and golden_cross: + # 金叉 + skd_count = 1 + sdk_last_cross = (sk + self.lineSK[-1] + sd + self.lineSD[-1]) / 4 + elif skd_count >=0 and dead_cross: + skd_count = -1 + sdk_last_cross = (sk + self.lineSK[-1] + sd + self.lineSD[-1]) / 4 + + # 低位金叉 + if skd_count > 0 and sdk_last_cross < self.lowSkd: + return True + + return False def __recountYB(self): """某种趋势线""" - if not self.inputYb: + if not self.inputYb and not self.inputYbLen: + return + + if self.inputYbRef < 1: + self.debugCtaLog(u'参数 self.inputYbRef:{}不能低于1'.format(self.inputYbRef)) return # 1、lineBar满足长度才执行计算 - if len(self.lineBar) < 20: + if len(self.lineBar) < 4 * self.inputYbLen: self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算YB 需要：{1}'. - format(len(self.lineBar), 20)) + format(len(self.lineBar), 4 * self.inputYbLen)) return - emaLen = 10 - + emaLen = self.inputYbLen # 3、获取前InputN周期(不包含当前周期）的K线 if self.mode == self.TICK_MODE: - list_mid3 = [x.mid3 for x in self.lineBar[-emaLen - 1:-1]] + list_mid3 = [x.mid3 for x in self.lineBar[-emaLen*4 - 1:-1]] else: - list_mid3 = [x.mid3 for x in self.lineBar[-emaLen:]] - + list_mid3 = [x.mid3 for x in self.lineBar[-emaLen*4:]] bar_mid3_ema10 = ta.EMA(np.array(list_mid3, dtype=float), emaLen)[-1] - bar_mid3_ema10 = round(float(bar_mid3_ema10), self.round_n) if len(self.lineYb) > emaLen*4: @@ -1855,6 +2316,40 @@ class CtaLineBar(object): self.lineYb.append(bar_mid3_ema10) + if len(self.lineYb) < self.inputYbRef + 1: + return + + if self.lineYb[-1] > self.lineYb[-1 - self.inputYbRef]: + self.yb_count = self.yb_count + 1 if self.yb_count >= 0 else 1 + else: + self.yb_count = self.yb_count - 1 if self.yb_count <= 0 else -1 + + def getRuningYb(self): + """ + 获取未完结的bar计算出来的YB值 + :return: None，空值；float,计算值 + """ + if not self.inputYb and not self.inputYbLen: + return None + + if self.inputYbRef < 1: + self.debugCtaLog(u'参数 self.inputYbRef:{}不能低于1'.format(self.inputYbRef)) + return None + + # 1、lineBar满足长度才执行计算 + if len(self.lineBar) < 4 * self.inputYbLen: + self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算YB 需要：{1}'. + format(len(self.lineBar), 4 * self.inputYbLen)) + return None + + emaLen = self.inputYbLen + # 3、获取前InputN周期(包含当前周期）的K线 + list_mid3 = [x.mid3 for x in self.lineBar[-emaLen*4:-1]] + last_bar_mid3 = (self.lineBar[-1].close + self.lineBar[-1].high + self.lineBar[-1].low)/3 + list_mid3.append(last_bar_mid3) + bar_mid3_ema10 = ta.EMA(np.array(list_mid3, dtype=float), emaLen)[-1] + bar_mid3_ema10 = round(float(bar_mid3_ema10), self.round_n) + return bar_mid3_ema10 # ---------------------------------------------------------------------- def writeCtaLog(self, content): """记录CTA日志""" @@ -1865,9 +2360,33 @@ class CtaLineBar(object): if DEBUGCTALOG: self.strategy.writeCtaLog(u'['+self.name+u'-DEBUG]'+content) + def getTradingDate(self, dt=None): + """ + 根据输入的时间，返回交易日的日期 + :param dt: + :return: + """ + tradingDay = '' + if dt is None: + dt = datetime.now() + + if dt.hour >= 21: + if dt.isoweekday() == 5: + # 星期五=》星期一 + return (dt + timedelta(days=3)).strftime('%Y-%m-%d') + else: + # 第二天 + return (dt + timedelta(days=1)).strftime('%Y-%m-%d') + elif dt.hour < 8 and dt.isoweekday() == 6: + # 星期六=>星期一 + return (dt + timedelta(days=2)).strftime('%Y-%m-%d') + else: + return dt.strftime('%Y-%m-%d') + class CtaHourBar(CtaLineBar): """ 小时级别K线 + 对比基类CtaLineBar """ def __init__(self, strategy, onBarFunc, setting=None ): @@ -1876,6 +2395,10 @@ class CtaHourBar(CtaLineBar): super(CtaHourBar, self).__init__(strategy, onBarFunc, setting) + # bar内得分钟数量累计 + self.m1_bars_count = 0 + self.last_minute = None + def init_properties(self): """ 初始化内部变量 @@ -1909,6 +2432,8 @@ class CtaHourBar(CtaLineBar): self.paramList.append('inputKF') self.paramList.append('inputSkd') self.paramList.append('inputYb') + self.paramList.append('inputYbLen') + self.paramList.append('inputYbRef') self.paramList.append('minDiff') self.paramList.append('shortSymbol') @@ -1921,7 +2446,7 @@ class CtaHourBar(CtaLineBar): self.period = PERIOD_HOUR # 小时级别周期 self.barTimeInterval = 1 # 缺省为小时周期 - self.barMinuteInterval = 60 + self.barMinuteInterval = 60 # self.inputPreLen = EMPTY_INT # 1 @@ -2074,46 +2599,63 @@ class CtaHourBar(CtaLineBar): self.inputSkd = False self.inputSkdLen1 = 13 # 周期1 self.inputSkdLen2 = 8 # 周期2 + self.lineSkdRSI = [] # 参照的RSI + self.lineSkdSTO = [] # 根据RSI演算的STO self.lineSK = [] # 快线 self.lineSD = [] # 慢线 self.lowSkd = 30 self.highSkd = 70 + self.skd_count = 0 # 当前金叉/死叉后累加 # 多空趋势线 self.inputYb = False self.lineYb = [] + self.inputYbRef = 1 + self.inputYbLen = 10 + self.yb_count = 0 # 当前黄/蓝累加 - def addBar(self, bar, bar_is_completed=False): + def addBar(self, bar, bar_is_completed=False, bar_freq=1): """ 予以外部初始化程序增加bar :param bar: :param bar_is_completed: 插入的bar，其周期与K线周期一致，就设为True + :param bar_freq, bar对象得frequency :return: """ + if bar.tradingDay is None: + bar.tradingDay = self.getTradingDate(bar.datetime) + l1 = len(self.lineBar) if l1 == 0: self.lineBar.append(bar) - self.curTradingDay = bar.date - self.onBar(bar) + self.curTradingDay = bar.tradingDay + self.m1_bars_count += bar_freq + if bar_is_completed: + self.m1_bars_count = 0 + self.onBar(bar) return # 与最后一个BAR的时间比对，判断是否超过K线的周期 lastBar = self.lineBar[-1] - self.curTradingDay = bar.tradingDay if bar.tradingDay is not None else bar.date is_new_bar = False if bar_is_completed: is_new_bar = True - if bar.datetime.hour > lastBar.datetime.hour and bar.datetime.hour > lastBar.datetime.hour + self.barTimeInterval: + if self.curTradingDay != bar.tradingDay: is_new_bar = True - elif bar.datetime.hour < lastBar.datetime.hour and (bar.datetime.hour + 24) > lastBar.datetime.hour + self.barTimeInterval: + self.curTradingDay = bar.tradingDay + + + + if self.m1_bars_count + bar_freq > 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 @@ -2126,9 +2668,11 @@ class CtaHourBar(CtaLineBar): lastBar.volume = lastBar.volume + bar.volume lastBar.dayVolume = bar.dayVolume + lastBar.mid3 = round((lastBar.close + lastBar.high + lastBar.low) / 4, self.round_n) 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): """ @@ -2147,20 +2691,47 @@ class CtaHourBar(CtaLineBar): # 清除480周期前的数据， if l1 > 60 * 8: del self.lineBar[0] + # 处理日内的间隔时段最后一个tick，如10:15分，11:30分，15:00 和 2:30分 + endtick = False + if (tick.datetime.hour == 10 and tick.datetime.minute == 15) \ + or (tick.datetime.hour == 11 and tick.datetime.minute == 30) \ + or (tick.datetime.hour == 15 and tick.datetime.minute == 00) \ + or (tick.datetime.hour == 2 and tick.datetime.minute == 30): + endtick = True + + # 夜盘1:30收盘 + if self.shortSymbol in NIGHT_MARKET_SQ2 and tick.datetime.hour == 1 and tick.datetime.minute == 00: + endtick = True + + # 夜盘23:00收盘 + if self.shortSymbol in NIGHT_MARKET_SQ3 and tick.datetime.hour == 23 and tick.datetime.minute == 00: + endtick = True + # 夜盘23:30收盘 + 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 # 与最后一个BAR的时间比对，判断是否超过K线周期 lastBar = self.lineBar[-1] - is_new_bar = False - if tick.datetime.hour > lastBar.datetime.hour and tick.datetime.hour > lastBar.datetime.hour + self.barTimeInterval: + # 不在同一交易日，推入新bar + if self.curTradingDay != tick.tradingDay: is_new_bar = True - elif tick.datetime.hour < lastBar.datetime.hour and (tick.datetime.hour + 24) > lastBar.datetime.hour + self.barTimeInterval: + 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 + + if self.m1_bars_count > 60 * self.barTimeInterval: 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) @@ -2189,6 +2760,13 @@ class CtaHourBar(CtaLineBar): else: lastBar.color = COLOR_EQUAL + lastBar.mid3 = round((lastBar.close + lastBar.high + lastBar.low) / 4, self.round_n) + 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) + + if not endtick: + self.lastTick = tick + class CtaDayBar(CtaLineBar): """ 日线级别K线 @@ -2204,6 +2782,7 @@ class CtaDayBar(CtaLineBar): super(CtaDayBar, self).__init__(strategy, onBarFunc, setting) + def init_properties(self): """ 初始化内部变量 @@ -2237,6 +2816,8 @@ class CtaDayBar(CtaLineBar): self.paramList.append('inputKF') self.paramList.append('inputSkd') self.paramList.append('inputYb') + self.paramList.append('inputYbLen') + self.paramList.append('inputYbRef') self.paramList.append('minDiff') self.paramList.append('shortSymbol') @@ -2402,20 +2983,27 @@ class CtaDayBar(CtaLineBar): self.inputSkd = False self.inputSkdLen1 = 13 # 周期1 self.inputSkdLen2 = 8 # 周期2 + self.lineSkdRSI = [] # 参照的RSI + self.lineSkdSTO = [] # 根据RSI演算的STO self.lineSK = [] # 快线 self.lineSD = [] # 慢线 self.lowSkd = 30 self.highSkd = 70 + self.skd_count = 0 # 当前金叉/死叉后累加 # 多空趋势线 self.inputYb = False self.lineYb = [] + self.inputYbRef = 1 + self.inputYbLen = 10 + self.yb_count = 0 # 当前黄/蓝累加 - def addBar(self, bar, bar_is_completed=False): + def addBar(self, bar, bar_is_completed=False,bar_freq=1): """ 予以外部初始化程序增加bar :param bar: :param bar_is_completed: 插入的bar，其周期与K线周期一致，就设为True + :param bar_freq, bar对象得frequency :return: """ l1 = len(self.lineBar) @@ -2462,6 +3050,7 @@ class CtaDayBar(CtaLineBar): lastBar.volume = lastBar.volume + bar.volume lastBar.dayVolume = lastBar.volume + lastBar.mid3 = round(( lastBar.close + lastBar.high + lastBar.low) / 3, self.round_n) 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) @@ -2492,7 +3081,6 @@ class CtaDayBar(CtaLineBar): if tick.tradingDay != lastBar.tradingDay: is_new_bar = True - if is_new_bar: # 创建并推入新的Bar self.__firstTick(tick) @@ -2524,3 +3112,139 @@ class CtaDayBar(CtaLineBar): else: lastBar.color = COLOR_EQUAL + self.lastTick = tick + +class TestStrategy(object): + + def __init__(self): + + self.minDiff = 1 + self.shortSymbol = 'I' + self.vtSymbol = 'I99' + self.lineH2 = None + self.lineD = None + + def createLineH2(self): + # 创建2小时K线 + lineH2Setting = {} + lineH2Setting['name'] = u'H2' + lineH2Setting['period'] = PERIOD_HOUR + lineH2Setting['barTimeInterval'] = 2 + lineH2Setting['inputPreLen'] = 5 + lineH2Setting['inputMa1Len'] = 10 + lineH2Setting['inputRsi1Len'] = 7 + lineH2Setting['inputRsi2Len'] = 14 + + lineH2Setting['inputYb'] = True + lineH2Setting['inputSkd'] = True + lineH2Setting['mode'] = CtaLineBar.TICK_MODE + lineH2Setting['minDiff'] = self.minDiff + lineH2Setting['shortSymbol'] = self.shortSymbol + self.lineH2 = CtaHourBar(self, self.onBarH2, lineH2Setting) + + def createLineD(self): + # 创建的日K线 + lineDaySetting = {} + lineDaySetting['name'] = u'D1' + lineDaySetting['barTimeInterval'] = 1 + lineDaySetting['inputPreLen'] = 5 + lineDaySetting['inputAtr1Len'] = 26 + lineDaySetting['inputMa1Len'] = 5 + lineDaySetting['inputMa2Len'] = 10 + lineDaySetting['inputMa3Len'] = 18 + lineDaySetting['inputYb'] = True + lineDaySetting['mode'] = CtaDayBar.TICK_MODE + lineDaySetting['minDiff'] = self.minDiff + lineDaySetting['shortSymbol'] = self.shortSymbol + self.lineD = CtaDayBar(self, self.onBarD, lineDaySetting) + + def onBar(self, bar): + #print(u'tradingDay:{},dt:{},o:{},h:{},l:{},c:{},v:{}'.format(bar.tradingDay,bar.datetime, bar.open, bar.high, bar.low, bar.close, bar.volume)) + if self.lineD: + self.lineD.addBar(bar) + if self.lineH2: + self.lineH2.addBar(bar) + + def onBarH2(self, bar): + self.writeCtaLog(self.lineH2.displayLastBar()) + + def onBarD(self, bar): + self.writeCtaLog(self.lineD.displayLastBar()) + + def onTick(self, tick): + print(u'{0},{1},ap:{2},av:{3},bp:{4},bv:{5}'.format(tick.datetime, tick.lastPrice, tick.askPrice1, tick.askVolume1, tick.bidPrice1, tick.bidVolume1)) + + def writeCtaLog(self, content): + print(content) + +if __name__ == '__main__': + t = TestStrategy() + # 回测2小时线 + t.createLineH2() + + # 回测日线 + #t.createLineD() + + filename = 'cache/I99_20141201_20171231_1m.csv' + + barTimeInterval = 60 # 60秒 + minDiff = 0.5 #回测数据的最小跳动 + + def pickPrice(price, minDiff): + return int(price / minDiff) * minDiff + + import csv + csvfile = open(filename,'r',encoding='utf8') + reader = csv.DictReader((line.replace('\0', '') for line in csvfile), delimiter=",") + last_tradingDay = None + for row in reader: + try: + bar = CtaBarData() + bar.symbol = t.vtSymbol + bar.vtSymbol = t.vtSymbol + + # 从tb导出的csv文件 + #bar.open = float(row['Open']) + #bar.high = float(row['High']) + #bar.low = float(row['Low']) + #bar.close = float(row['Close']) + #bar.volume = float(row['TotalVolume'])# + #barEndTime = datetime.strptime(row['Date']+' ' + row['Time'], '%Y/%m/%d %H:%M:%S') + + # 从ricequant导出的csv文件 + + bar.open = pickPrice(float(row['open']),minDiff) + bar.high = pickPrice(float(row['high']), minDiff) + bar.low = pickPrice(float(row['low']), minDiff) + bar.close = pickPrice( float(row['close']), minDiff) + + bar.volume = float(row['volume']) + barEndTime = datetime.strptime(row['index'], '%Y-%m-%d %H:%M:%S') + + # 使用Bar的开始时间作为datetime + bar.datetime = barEndTime - timedelta(seconds=barTimeInterval) + + bar.date = bar.datetime.strftime('%Y-%m-%d') + bar.time = bar.datetime.strftime('%H:%M:%S') + if 'trading_date' in row: + bar.tradingDay = row['trading_date'] + else: + if bar.datetime.hour >=21: + if bar.datetime.isoweekday() == 5: + # 星期五=》星期一 + bar.tradingDay = (barEndTime + timedelta(days=3)).strftime('%Y-%m-%d') + else: + # 第二天 + bar.tradingDay = (barEndTime + timedelta(days=1)).strftime('%Y-%m-%d') + elif bar.datetime.hour < 8 and bar.datetime.isoweekday() == 6: + # 星期六=>星期一 + bar.tradingDay = (barEndTime + timedelta(days=2)).strftime('%Y-%m-%d') + else: + bar.tradingDay = bar.date + + t.onBar(bar) + + except Exception as ex: + t.writeCtaLog(u'{0}:{1}'.format(Exception, ex)) + traceback.print_exc() + break \ No newline at end of file