diff --git a/README.md b/README.md index 790dcf61..ec521d4b 100644 --- a/README.md +++ b/README.md @@ -74,6 +74,7 @@ QQ/Wechat：28888502 wget -c https://mirrors.tuna.tsinghua.edu.cn/anaconda/archive/Anaconda3-4.3.1-Linux-x86_64.sh chmod a+x Anaconda3-4.3.1-Linux-x86_64.sh ./Anaconda3-4.3.1-Linux-x86_64.sh + . # 配置为国内的镜像 conda config --add channels https://mirrors.tuna.tsinghua.edu.cn/anaconda/pkgs/free/ diff --git a/vnpy/trader/app/ctaStrategy/ctaBacktesting.py b/vnpy/trader/app/ctaStrategy/ctaBacktesting.py index 0a0c1d68..d4a6d581 100644 --- a/vnpy/trader/app/ctaStrategy/ctaBacktesting.py +++ b/vnpy/trader/app/ctaStrategy/ctaBacktesting.py @@ -1920,7 +1920,7 @@ class BacktestingEngine(object): self.writeCtaLog(u'请指定回测数据文件') return - if not self.dataStartDate: + if not self.strategyStartDate: self.writeCtaLog(u'回测开始日期未设置。') return @@ -1942,8 +1942,8 @@ class BacktestingEngine(object): #self.output(u'开始回测') - #self.strategy.inited = True self.strategy.onInit() + self.strategy.trading = False self.output(u'策略初始化完成') self.output(u'开始回放数据') @@ -2013,18 +2013,24 @@ class BacktestingEngine(object): else: bar.tradingDay = bar.date - if self.dataStartDate <= bar.datetime <= self.dataEndDate: + if self.strategyStartDate <= bar.datetime <= self.dataEndDate: if last_tradingDay != bar.tradingDay: if last_tradingDay is not None: self.savingDailyData(datetime.strptime(last_tradingDay, '%Y-%m-%d'), self.capital, self.maxCapital,self.totalCommission,benchmark=bar.close) last_tradingDay = bar.tradingDay - # Check the order triggers and deliver the bar to the Strategy - if self.useBreakoutMode is False: - self.newBar(bar) - else: - self.newBarForBreakout(bar) + if self.dataStartDate >= bar.datetime: + continue + + if bar.datetime > self.dataEndDate: + continue + + # Check the order triggers and deliver the bar to the Strategy + if self.useBreakoutMode is False: + self.newBar(bar) + else: + self.newBarForBreakout(bar) if not self.strategy.trading and self.strategyStartDate < bar.datetime: self.strategy.trading = True @@ -2046,7 +2052,7 @@ class BacktestingEngine(object): added by IncenseLee """ self.capital = self.initCapital # 更新设置期初资金 - if not self.dataStartDate: + if not self.strategyStartDate: self.writeCtaLog(u'回测开始日期未设置。') return @@ -2068,9 +2074,9 @@ class BacktestingEngine(object): self.strategy.onInit() self.output(u'策略初始化完成') - self.strategy.trading = True - self.strategy.onStart() - self.output(u'策略启动完成') + #self.strategy.trading = True + #self.strategy.onStart() + #self.output(u'策略启动完成') self.output(u'开始载入数据') @@ -2140,8 +2146,7 @@ class BacktestingEngine(object): # .format(bar.date+' '+bar.time, bar.open, bar.high, # bar.low, bar.close, bar.volume, bar.tradingDay, self.lineH2.m1_bars_count)) - # if not (bar.datetime < self.dataStartDate or bar.datetime >= self.dataEndDate): - if True: + if self.strategyStartDate <= bar.datetime <= self.dataEndDate: if last_tradingDay == 0: last_tradingDay = bar.tradingDay elif last_tradingDay != bar.tradingDay: @@ -2149,16 +2154,21 @@ class BacktestingEngine(object): self.savingDailyData(last_tradingDay, self.capital, self.maxCapital, self.totalCommission) last_tradingDay = bar.tradingDay - # Simulate latest tick and send it to Strategy - simTick = self.__barToTick(bar) - # self.tick = simTick - self.strategy.curTick = simTick + # Simulate latest tick and send it to Strategy + #simTick = self.__barToTick(bar) + # self.tick = simTick + #self.strategy.curTick = simTick - # Check the order triggers and deliver the bar to the Strategy - if self.useBreakoutMode is False: - self.newBar(bar) - else: - self.newBarForBreakout(bar) + # Check the order triggers and deliver the bar to the Strategy + if self.useBreakoutMode is False: + self.newBar(bar) + else: + self.newBarForBreakout(bar) + + if not self.strategy.trading and self.strategyStartDate < bar.datetime: + self.strategy.trading = True + self.strategy.onStart() + self.output(u'策略启动完成') if self.netCapital < 0: self.writeCtaError(u'净值低于0，回测停止') @@ -2378,8 +2388,10 @@ class BacktestingEngine(object): if not self.strategy.name: self.strategy.name = self.strategy.className - self.strategy.onInit() - self.strategy.onStart() + if setting.get('auto_init',False): + self.strategy.onInit() + if setting.get('auto_start',False): + self.strategy.onStart() # --------------------------------------------------------------------- def saveStrategyData(self): @@ -3851,7 +3863,7 @@ class BacktestingEngine(object): return d, capitalNetList, capitalList - #---------------------------------------------------------------------- + # ---------------------------------------------------------------------- def showBacktestingResult(self): """显示回测结果""" if self.calculateMode != self.REALTIME_MODE: diff --git a/vnpy/trader/app/ctaStrategy/ctaBase.py b/vnpy/trader/app/ctaStrategy/ctaBase.py index a6710445..d45b3f2f 100644 --- a/vnpy/trader/app/ctaStrategy/ctaBase.py +++ b/vnpy/trader/app/ctaStrategy/ctaBase.py @@ -33,15 +33,25 @@ ATRRATE_JUMP = 1 STOPORDERPREFIX = 'CtaStopOrder.' # 各类商品所在市场 -NIGHT_MARKET_SQ1 = {'AU': 0, 'AG': 0} -NIGHT_MARKET_SQ2 = {'CU': 0, 'PB': 0, 'AL': 0, 'ZN': 0, 'FU': 0, 'BU': 0, 'WR': 0} -NIGHT_MARKET_SQ3 = {'RU': 0, 'RB': 0, 'HC': 0} +# 上期所夜盘，9:00~10:15, 10:30~11:30, 13:30~15:00, 21:00 ~2:30 +NIGHT_MARKET_SQ1 = {'AU': 0, 'AG': 0,'SC':0} +# 上期所夜盘，9:00~10:15, 10:30~11:30, 13:30~15:00, 21:00 ~1:00 +NIGHT_MARKET_SQ2 = {'CU': 0, 'PB': 0, 'AL': 0, 'ZN': 0, 'FU': 0, 'BU': 0, 'WR': 0,'NI':0} +# 上期所夜盘，9:00~10:15, 10:30~11:30, 13:30~15:00, 21:00 ~23:00 +NIGHT_MARKET_SQ3 = {'RU': 0, 'RB': 0, 'HC': 0,'SP':0} +# 郑商所夜盘，9:00~10:15, 10:30~11:30, 13:30~15:00, 21:00 ~23:30 NIGHT_MARKET_ZZ = {'TA': 0, 'JR': 0, 'OI': 0, 'RO': 0, 'PM': 0, 'WT': 0, 'WS': 0, 'WH': 0, 'CF': 0, 'SR': 0, 'FG': 0, - 'ME': 0, 'MA': 0, 'RS': 0, 'RM': 0, 'TC': 0, 'RI': 0, 'ER': 0} + 'ME': 0, 'MA': 0, 'RS': 0, 'RM': 0, 'TC': 0, 'RI': 0, 'ER': 0,'ZC':0} +# 郑商所夜盘，9:00~10:15, 10:30~11:30, 13:30~15:00, 21:00 ~23:30 NIGHT_MARKET_DL = {'V': 0, 'L': 0, 'BB': 0, 'I': 0, 'FB': 0, 'C': 0, 'PP': 0, 'A': 0, 'B': 0, 'M': 0, 'Y': 0, 'P': 0, 'JM': 0, 'J': 0} +# 中金日盘，9:15 ~11:30, 13:00~15:15 MARKET_ZJ = {'IC': 0, 'IF': 0, 'IH': 0, 'T': 0, 'TF': 0} + +# 只有日盘得合约 +MARKET_DAY_ONLY = {'IC': 0, 'IF': 0, 'IH': 0, 'T': 0, 'TF': 0,'PP':0,'JD':0,'BB':0,'C':0,'CS':0,'FB':0,'L':0,'V':0, + 'JR':0, 'LR':0,'PM':0,'RI':0,'RS':0,'SM':0,'WH':0,'AP':0} # 数据库名称 SETTING_DB_NAME = 'VnTrader_Setting_Db' POSITION_DB_NAME = 'VnTrader_Position_Db' @@ -76,7 +86,6 @@ class StopOrder(object): self.stopOrderID = EMPTY_STRING # 停止单的本地编号 self.status = EMPTY_STRING # 停止单状态 - ######################################################################## class CtaBarData(object): """K线数据""" @@ -101,7 +110,7 @@ class CtaBarData(object): self.volume = EMPTY_INT # 成交量 self.dayVolume = EMPTY_INT # 当日累计成交量（ctp是提供这个的） self.openInterest = EMPTY_INT # 持仓量 - self.color = COLOR_EQUAL # k 线颜色,COLOR_RED，COLOR_BLUE,COLOR_EQUAL + self.color = COLOR_EQUAL # k 线颜色,COLOR_RED，COLOR_BLUE,COLOR_EQUAL self.traded = False self.tradeStatus = EMPTY_STRING # 当前bar的交易情况: CTAORDER_BUY 、CTAORDER_SELL、 diff --git a/vnpy/trader/app/ctaStrategy/ctaEngine.py b/vnpy/trader/app/ctaStrategy/ctaEngine.py index 006e1a99..c5b285fc 100644 --- a/vnpy/trader/app/ctaStrategy/ctaEngine.py +++ b/vnpy/trader/app/ctaStrategy/ctaEngine.py @@ -38,8 +38,9 @@ from vnpy.trader.app.ctaStrategy.ctaBase import * from vnpy.trader.setup_logger import setup_logger from vnpy.trader.vtFunction import todayDate, getJsonPath from vnpy.trader.util_mail import sendmail +from vnpy.trader.vtGlobal import globalSetting # 加载 strategy目录下所有的策略 -from vnpy.trader.app.ctaStrategy.strategy import STRATEGY_CLASS +from vnpy.trader.app.ctaStrategy.strategy import STRATEGY_CLASS,reloadStrategyModule try: from vnpy.trader.util_wechat import * except: @@ -463,7 +464,15 @@ class CtaEngine(object): tick = event.dict_['data'] tick = copy.copy(tick) # 移除待订阅的合约清单 - if tick.vtSymbol in self.pendingSubcribeSymbols: + if '.' in tick.vtSymbol: + symbol = tick.vtSymbol.split('.')[0] + else: + symbol = tick.vtSymbol + if symbol in self.pendingSubcribeSymbols : + self.writeCtaLog(u'已成功订阅{0}，从待订阅清单中移除'.format(symbol)) + del self.pendingSubcribeSymbols[symbol] + + if tick.vtSymbol in self.pendingSubcribeSymbols : self.writeCtaLog(u'已成功订阅{0}，从待订阅清单中移除'.format(tick.vtSymbol)) del self.pendingSubcribeSymbols[tick.vtSymbol] @@ -500,6 +509,10 @@ class CtaEngine(object): order = event.dict_['data'] # order.vtOrderID 在gateway中，已经格式化为 gatewayName.vtOrderID + self.writeCtaLog(u'{}vt报单,orderID:{}'.format(order.vtOrderID,order.orderID)) + self.writeCtaLog(u'symbol{},totalVol:{},tradedVol:{},offset:{},price:{},direction:{},status:{}' + .format( order.vtSymbol, order.totalVolume, order.tradedVolume, + order.offset, order.price, order.direction, order.status)) # 2.判断order是否在策略的映射字典中 if order.vtOrderID in self.orderStrategyDict: @@ -534,6 +547,24 @@ class CtaEngine(object): # else: # strategy.pos -= trade.volume + # 根据策略名称，写入 data\straetgy_name_trade.csv文件 + strategy_name = getattr(strategy,'name',None) + trade_fields = ['symbol','exchange','vtSymbol','tradeID','vtTradeID','orderID','vtOrderID','direction','offset','price','volume','tradeTime'] + trade_dict = OrderedDict() + try: + for k in trade_fields: + if k == 'tradeTime': + trade_dict[k] = datetime.now().strftime('%Y-%m-%d')+' '+ getattr(trade, k, EMPTY_STRING) + else: + trade_dict[k] = getattr(trade,k,EMPTY_STRING) + + if strategy_name is not None: + trade_file = os.path.abspath(os.path.join(self.get_data_path(),'{}_trade.csv'.format(strategy_name))) + self.append_data(file_name=trade_file,dict_data=trade_dict) + except Exception as ex: + self.writeCtaError(u'写入交易记录csv出错：{},{}'.format(str(ex),traceback.format_exc())) + + # 推送到策略onTrade事件 self.callStrategyFunc(strategy, strategy.onTrade, trade) # 更新持仓缓存数据 @@ -686,7 +717,38 @@ class CtaEngine(object): return l - # ---------------------------------------------------------------------- + # ---------------------------------------------------------------------- + # 保存记录相关 + def append_data(self, file_name, dict_data, field_names=None): + """ + 添加数据到csv文件中 + :param file_name: csv的文件全路径 + :param dict_data: OrderedDict + :return: + """ + if not isinstance(dict_data, dict): + self.writeCtaError(u'append_data，输入数据不是dict') + return + + dict_fieldnames = list(dict_data.keys()) if field_names is None else field_names + + if not isinstance(dict_fieldnames, list): + self.writeCtaError(u'append_data，输入字段不是list') + return + try: + if not os.path.exists(file_name): + self.writeCtaLog(u'create csv file:{}'.format(file_name)) + with open(file_name, 'a', encoding='utf8', newline='') as csvWriteFile: + writer = csv.DictWriter(f=csvWriteFile, fieldnames=dict_fieldnames, dialect='excel') + self.writeCtaLog(u'write csv header:{}'.format(dict_fieldnames)) + writer.writeheader() + writer.writerow(dict_data) + else: + with open(file_name, 'a', encoding='utf8', newline='') as csvWriteFile: + writer = csv.DictWriter(f=csvWriteFile, fieldnames=dict_fieldnames, dialect='excel',extrasaction='ignore') + writer.writerow(dict_data) + except Exception as ex: + self.writeCtaError(u'append_data exception:{}'.format(str(ex))) # 日志相关 def writeCtaLog(self, content, strategy_name=None): @@ -741,8 +803,11 @@ class CtaEngine(object): self.createLogger(strategy_name=strategy_name) try: self.strategy_loggers[strategy_name].error(content) + except Exception as ex: - pass + print('{}'.format(datetime.now()), file=sys.stderr) + print('could not create cta logger for {},excption:{},trace:{}'.format(strategy_name,str(ex),traceback.format_exc())) + print(content, file=sys.stderr) self.mainEngine.writeError(content) @@ -832,6 +897,24 @@ class CtaEngine(object): print(u'Warning, can not find {0} in contracts'.format(symbol)) self.writeCtaLog(u'交易合约{}无法找到，添加到待订阅列表'.format(symbol)) self.pendingSubcribeSymbols[symbol] = strategy + try: + req = VtSubscribeReq() + req.symbol = symbol + + self.mainEngine.subscribe(req,None) + + except Exception as ex: + self.writeCtaError(u'重新订阅{}异常:{},{}'.format(symbol, str(ex), traceback.format_exc())) + return + + if strategy is not None: + if symbol not in self.tickStrategyDict: + self.tickStrategyDict.update({symbol:[strategy]}) + else: + strategies = self.tickStrategyDict.get(symbol,[]) + if strategy not in strategies: + strategies.append(strategy) + self.tickStrategyDict.update({symbol: strategies}) def checkUnsubscribedSymbols(self, event): """持仓更新信息时，检查未提交的合约""" @@ -844,12 +927,21 @@ class CtaEngine(object): # continue dt = datetime.now() # 若为中金所的合约，白天才提交订阅请求 - if s in MARKET_ZJ and not (9 < dt.hour < 16): + if s in MARKET_DAY_ONLY and not (9 < dt.hour < 16): continue self.writeCtaLog(u'重新提交合约{0}订阅请求'.format(symbol)) strategy = self.pendingSubcribeSymbols[symbol] self.subscribe(strategy=strategy, symbol=symbol) + else: + try: + req = VtSubscribeReq() + req.symbol = symbol + self.mainEngine.subscribe(req, None) + + except Exception as ex: + self.writeCtaError(u'重新订阅{}异常:{},{}'.format(symbol, str(ex), traceback.format_exc())) + return # ---------------------------------------------------------------------- # 策略相关（加载/初始化/启动/停止) @@ -874,7 +966,7 @@ class CtaEngine(object): return RUNING - def loadStrategy(self, setting, is_dispatch=False): + def loadStrategy(self, setting, is_dispatch=False,reload_module_name=EMPTY_STRING): """ 载入策略 :param setting: 策略设置参数 @@ -889,6 +981,11 @@ class CtaEngine(object): self.mainEngine.writeCritical(u'载入策略出错：%s' % e) return False + # 运行时，强制重新加载策略class + if len(reload_module_name)>0: + moduleName = 'vnpy.trader.app.ctaStrategy.strategy.' + reload_module_name + reloadStrategyModule(moduleName) + # 获取策略类 strategyClass = STRATEGY_CLASS.get(className, None) if not strategyClass: @@ -1016,25 +1113,35 @@ class CtaEngine(object): # strategy.inited = True else: self.writeCtaLog(u'请勿重复初始化策略实例：%s' % name) + return True + else: self.writeCtaError(u'策略实例不存在：%s' % name) + return False def startStrategy(self, name): """启动策略""" # 1.判断策略名称是否存在字典中 if name in self.strategyDict: - # 2.提取策略 - strategy = self.strategyDict[name] + try: + # 2.提取策略 + strategy = self.strategyDict[name] + + # 3.判断策略是否运行 + if strategy.inited and not strategy.trading: + # 4.设置运行状态 + strategy.trading = True + # 5.启动策略 + self.callStrategyFunc(strategy, strategy.onStart) + except Exception as ex: + self.writeCtaError(u'start Strategy:{} Exception:{},{}'.format(name,str(ex),traceback.format_exc())) + return False + return True - # 3.判断策略是否运行 - if strategy.inited and not strategy.trading: - # 4.设置运行状态 - strategy.trading = True - # 5.启动策略 - self.callStrategyFunc(strategy, strategy.onStart) else: self.writeCtaError(u'策略实例不存在：%s' % name) + return False def stopStrategy(self, name): """停止策略运行""" @@ -1059,8 +1166,85 @@ class CtaEngine(object): for stopOrderID, so in self.workingStopOrderDict.items(): if so.strategy is strategy: self.cancelStopOrder(stopOrderID) + + return True else: self.writeCtaError(u'策略实例不存在：%s' % name) + return False + + def reloadStrategy(self,strategy_name,strategy_setting=None): + """ + 重新加载策略 + :param strategy_name:策略实例名 + :param strategy_setting: 新的策略设置 + :return: + """ + if strategy_setting: + if strategy_name != strategy_setting.get('name',None): + msg = u'重新加载策略，配置参数name:{}与{}不一致'.format(strategy_setting.get('name',None),strategy_name) + self.writeCtaError(msg) + return False,msg + + # 更新配置 + self.writeCtaLog(u'使用新的配置:{}'.format(strategy_setting)) + self.settingDict.update({strategy_name:strategy_setting}) + self.saveSetting() + + else: + self.writeCtaLog(u'重新加载{}中的{}配置'.format(self.settingfilePath,strategy_name)) + with open(self.settingfilePath,'r',encoding='UTF-8') as f: + settings = json.load(f) + for setting in settings: + if strategy_name == setting.get('name', None): + strategy_setting = copy.copy(setting) + self.writeCtaLog(u'配置:{}'.format(strategy_setting)) + self.settingDict.update({strategy_name: strategy_setting}) + + if strategy_setting is None: + msg = u'{}文件没有{}的配置'.format(self.settingfilePath,strategy_name) + self.writeCtaError(msg) + return False,msg + + self.writeCtaLog(u'开始移除运行中的策略{}'.format(strategy_name)) + try: + strategy = self.strategyDict.get(strategy_name,None) + if strategy: + # 1、将运行dict的策略移除. + self.strategyDict[strategy_name] = None + self.writeCtaLog(u'将运行dict的策略{}关联移除'.format(strategy_name)) + self.strategyDict.pop(strategy_name, None) + + strategy.trading = False + + # 2、撤销所有委托单 + if hasattr(strategy, 'cancelAllOrders'): + self.writeCtaLog(u'撤销所有委托单') + strategy.cancelAllOrders() + + # 3、移除行情订阅信息 + self.writeCtaLog(u'将策略{}从合约-策略列表中移除'.format(strategy.name)) + for vtSymbol in list(self.tickStrategyDict.keys()): + symbol_strategy_list = self.tickStrategyDict.get(vtSymbol,[]) + if strategy in symbol_strategy_list: + self.writeCtaLog(u'移除策略{}的{}订阅'.format(strategy_name, vtSymbol)) + symbol_strategy_list.remove(strategy) + + strategy = None + + except Exception as ex: + errMsg = u'移除策略异常:{},{}'.format(str(ex), traceback.format_exc()) + self.writeCtaCritical(errMsg) + traceback.print_exc() + return False, errMsg + + try: + self.writeCtaLog(u'重新加载策略:{}'.format(strategy_name)) + self.loadStrategy(setting=strategy_setting,reload_module_name=strategy_setting.get('strategy_module',EMPTY_STRING)) + return True,u'重新加载策略:{}成功'.format(strategy_name) + except Exception as ex: + errMsg = u'加载策略{}异常:{},{}'.format(strategy_name,str(ex), traceback.format_exc()) + self.writeCtaCritical(errMsg) + return False, errMsg def removeStrategy(self, strategy_name): """ @@ -1068,8 +1252,10 @@ class CtaEngine(object): :param strategy_name: 策略实例名 :return: True/False，errMsg """ + self.writeCtaLog(u'开始移除策略{}'.format(strategy_name)) # 移除策略设置,下次启动不再执行该设置 if strategy_name in self.settingDict: + self.writeCtaLog(u'移除CTA_Setting中策略{}配置'.format(strategy_name)) self.settingDict.pop(strategy_name, None) try: @@ -1089,15 +1275,15 @@ class CtaEngine(object): # 3、将策略的持仓，登记在dispatch_long_pos/dispatch_short_pos,移除json文件 if strategy.inited and strategy.position is not None and ( strategy.position.longPos != 0 or strategy.position.shortPos != 0): + pos_list = self.getStategyPos(name=strategy.name,strategy=strategy) strategy.inited = False - pos_list = strategy.getPositions() self.writeCtaLog(u'被移除策略{}的持仓情况:{}'.format(strategy.name, pos_list)) if len(pos_list) > 0: for pos in pos_list: # 添加多头持仓 - if pos['direction'] == DIRECTION_LONG and pos['volume'] > 0: - symbol = pos['vtSymbol'] - + if pos['direction'] in [DIRECTION_LONG,'long'] and pos['volume'] > 0: + symbol = pos['symbol'] + # 这里有bug，盘前调度，超时时间一定要设置到开盘时间 d = { 'strategy_group': self.strategy_group, 'strategy': strategy.name, @@ -1119,9 +1305,9 @@ class CtaEngine(object): self.mainEngine.dbInsert(MATRIX_DB_NAME, POSITION_DISPATCH_HISTORY_COLL_NAME, h) # 添加空头持仓 - if pos['direction'] == DIRECTION_SHORT and pos['volume'] > 0: - symbol = pos['vtSymbol'] - + if pos['direction'] in [DIRECTION_SHORT,'short'] and pos['volume'] > 0: + symbol = pos['symbol'] + # 这里有bug，盘前调度，超时时间一定要设置到开盘时间 d = { 'strategy_group': self.strategy_group, 'strategy': strategy.name, @@ -1181,6 +1367,10 @@ class CtaEngine(object): traceback.print_exc() return False, errMsg + def getStrategyNames(self): + """返回策略实例名称""" + return list(self.strategyDict.keys()) + def get_data_path(self): """ 获取CTA策略的对应数据目录 @@ -1502,6 +1692,7 @@ class CtaEngine(object): 'result': False, 'datetime': datetime.now()} self.mainEngine.dbInsert(MATRIX_DB_NAME, POSITION_DISPATCH_HISTORY_COLL_NAME, h) + # 这里有bug，盘前调度，超时时间一定要设置到开盘时间 d = { 'strategy_group': self.strategy_group, 'strategy': 'onOrder_dispatch_close_pos', @@ -1526,6 +1717,7 @@ class CtaEngine(object): 'retry': old_order['retry']+1} else: + # 这里有bug，盘前调度，超时时间一定要设置到开盘时间 d = { 'strategy_group': self.strategy_group, 'strategy': 'onOrder_dispatch_close_pos', @@ -1655,9 +1847,42 @@ class CtaEngine(object): """保存策略配置""" try: with open(self.settingfilePath, 'w') as f: - l = list(self.settingDict.values()) - jsonL = json.dumps(l, indent=4) + # 策略名称，排序 + keys = list(self.settingDict.keys()) + sorted_keys = sorted(keys) + + # 保存列表 + save_list = [] + + for strategy_name in sorted_keys: + # 策略配置 + setting_dict = self.settingDict.get(strategy_name,None) + if setting_dict is None: + self.writeCtaError(u'保存策略配置时，找不到配置dict中name={}的策略配置'.format(strategy_name)) + continue + sorted_setting_dict = OrderedDict() + + # 配置参数排序 + setting_keys = list(setting_dict.keys()) + sorted_setting_keys = sorted(setting_keys) + + # 先保存name,comment + sorted_setting_dict['name'] = strategy_name + if 'comment' in setting_dict: + sorted_setting_dict['comment'] = setting_dict['comment'] + + # 其他参数，逐一 + for setting_key in sorted_setting_keys: + if setting_key in ['name','comment']: + continue + sorted_setting_dict[setting_key] = setting_dict[setting_key] + + save_list.append(sorted_setting_dict) + + # 导出json格式的string，保存文件 + jsonL = json.dumps(save_list, indent=4,ensure_ascii=False) f.write(jsonL) + except Exception as ex: self.writeCtaCritical(u'保存策略配置异常:{},{}'.format(str(ex),traceback.format_exc())) @@ -1715,59 +1940,66 @@ class CtaEngine(object): self.writeCtaLog(u'策略实例不存在：' + name) return None - def getStategyPos(self, name): + def getStategyPos(self, name,strategy=None): """ 获取策略的持仓字典 :param name:策略名 :return: """ - if name in self.strategyDict: + # 兼容处理，如果strategy是None，通过name获取 + if strategy is None: + if name not in self.strategyDict: + self.writeCtaLog(u'getStategyPos 策略实例不存在：' + name) + return [] # 获取策略实例 strategy = self.strategyDict[name] - pos_list = [] - if strategy.inited: - # 有 ctaPosition属性 - if hasattr(strategy, 'position'): - # 多仓 + pos_list = [] + + if strategy.inited: + if hasattr(strategy,'getPositions'): + pos_list=strategy.getPositions() + for pos in pos_list: + pos.update({'symbol':pos.get('vtSymbol')}) + return pos_list + # 有 ctaPosition属性 + if hasattr(strategy, 'position'): + # 多仓 + long_pos = {} + long_pos['symbol'] = strategy.vtSymbol + long_pos['direction'] = 'long' + long_pos['volume'] = strategy.position.longPos + if long_pos['volume'] > 0: + pos_list.append(long_pos) + + # 空仓 + short_pos = {} + short_pos['symbol'] = strategy.vtSymbol + short_pos['direction'] = 'short' + short_pos['volume'] = abs(strategy.position.shortPos) + if short_pos['volume'] > 0: + pos_list.append(short_pos) + + # 模板缺省pos属性 + elif hasattr(strategy, 'pos'): + if strategy.pos > 0: long_pos = {} long_pos['symbol'] = strategy.vtSymbol long_pos['direction'] = 'long' - long_pos['volume'] = strategy.position.longPos + long_pos['volume'] = strategy.pos + #long_pos['datetime'] = datetime.now() if long_pos['volume'] > 0: pos_list.append(long_pos) - - # 空仓 + elif strategy.pos < 0: short_pos = {} short_pos['symbol'] = strategy.vtSymbol short_pos['direction'] = 'short' - short_pos['volume'] = abs(strategy.position.shortPos) + short_pos['volume'] = abs(strategy.pos) + #short_pos['datetime'] = datetime.now() if short_pos['volume'] > 0: pos_list.append(short_pos) - # 模板缺省pos属性 - elif hasattr(strategy, 'pos'): - if strategy.pos > 0: - long_pos = {} - long_pos['symbol'] = strategy.vtSymbol - long_pos['direction'] = 'long' - long_pos['volume'] = strategy.pos - #long_pos['datetime'] = datetime.now() - if long_pos['volume'] > 0: - pos_list.append(long_pos) - elif strategy.pos < 0: - short_pos = {} - short_pos['symbol'] = strategy.vtSymbol - short_pos['direction'] = 'short' - short_pos['volume'] = abs(strategy.pos) - #short_pos['datetime'] = datetime.now() - if short_pos['volume'] > 0: - pos_list.append(short_pos) - - return pos_list - else: - self.writeCtaLog(u'getStategyPos 策略实例不存在：' + name) - return [] + return pos_list def updateStrategySetting(self,strategy_name,setting_key,setting_value): """ @@ -1839,9 +2071,7 @@ class CtaEngine(object): self.writeCtaError(content) self.mainEngine.writeCritical(content) - if hasattr(strategy,'backtesting') and hasattr(strategy,'wechat_source'): - if not strategy.backtesting and len(strategy.wechat_source)>0: - self.sendAlertToWechat(content=content,target=strategy.wechat_source) + self.sendAlertToWechat(content=content,target=globalSetting.get('gateway_name',None)) # ---------------------------------------------------------------------- # 仓位持久化相关 @@ -1881,20 +2111,32 @@ class CtaEngine(object): if not priceTick: return price - newPrice = round(price / priceTick, 0) * priceTick + if price > 0: + # 根据最小跳动取整 + newPrice = price - price % priceTick + else: + # 兼容套利品种的负数价格 + newPrice = round(price / priceTick, 0) * priceTick + # 数字货币，对浮点的长度有要求，需要砍除多余 if isinstance(priceTick,float): price_exponent = decimal.Decimal(str(newPrice)) tick_exponent = decimal.Decimal(str(priceTick)) if abs(price_exponent.as_tuple().exponent) > abs(tick_exponent.as_tuple().exponent): newPrice = round(newPrice, ndigits=abs(tick_exponent.as_tuple().exponent)) newPrice = float(str(newPrice)) + + if price!=newPrice: + self.writeCtaLog(u'roundToPriceTick:{}=>{} by {}'.format(price,newPrice,priceTick)) + return newPrice def roundToVolumeTick(self,volumeTick,volume): if volumeTick == 0: return volume - newVolume = round(volume / volumeTick, 0) * volumeTick + # 取整 + newVolume = volume - volume % volumeTick + if isinstance(volumeTick,float): v_exponent = decimal.Decimal(str(newVolume)) vt_exponent = decimal.Decimal(str(volumeTick)) @@ -1902,6 +2144,8 @@ class CtaEngine(object): newVolume = round(newVolume, ndigits=abs(vt_exponent.as_tuple().exponent)) newVolume = float(str(newVolume)) + if volume !=newVolume: + self.writeCtaLog(u'roundToVolumeTick:{}=>{} by {}'.format(volume,newVolume,volumeTick)) return newVolume def getShortSymbol(self, symbol): diff --git a/vnpy/trader/app/ctaStrategy/ctaGridTrade.py b/vnpy/trader/app/ctaStrategy/ctaGridTrade.py index 0ec1a4ab..b961321b 100644 --- a/vnpy/trader/app/ctaStrategy/ctaGridTrade.py +++ b/vnpy/trader/app/ctaStrategy/ctaGridTrade.py @@ -942,6 +942,9 @@ class CtaGridTrade(object): :param direction: :return: """"" + # 回测模式不保存 + if self.strategy and getattr(self.strategy,'backtesting',False): + return # 更新开仓均价 self.recount_avg_open_price() @@ -2260,6 +2263,9 @@ class CtaLegacyGridTrade(object): :param direction: :return: """"" + # 回测模式不保存 + if self.strategy and getattr(self.strategy, 'backtesting', False): + return # 更新开仓均价 self.recount_avg_open_price() @@ -2758,6 +2764,10 @@ class ArbitrageTrade(object): self.writeCtaError(u'策略对象为空，不能保存') return + # 回测模式不保存 + if self.strategy and getattr(self.strategy, 'backtesting', False): + return + json_file = os.path.abspath( os.path.join(self.get_data_folder(), u'{}_AGrids.json'.format(self.strategy.name))) diff --git a/vnpy/trader/app/ctaStrategy/ctaLineBar.py b/vnpy/trader/app/ctaStrategy/ctaLineBar.py index 0b2a04bb..00c0985a 100644 --- a/vnpy/trader/app/ctaStrategy/ctaLineBar.py +++ b/vnpy/trader/app/ctaStrategy/ctaLineBar.py @@ -26,6 +26,18 @@ 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 +AREA_LONG_A = 'LONG_A' +AREA_LONG_B = 'LONG_B' +AREA_LONG_C = 'LONG_C' +AREA_LONG_D = 'LONG_D' +AREA_LONG_E = 'LONG_E' + +AREA_SHORT_A = 'SHORT_A' +AREA_SHORT_B = 'SHORT_B' +AREA_SHORT_C = 'SHORT_C' +AREA_SHORT_D = 'SHORT_D' +AREA_SHORT_E = 'SHORT_E' + def getCtaBarClass(bar_type): assert isinstance(bar_type,str) if bar_type == PERIOD_SECOND: @@ -117,7 +129,6 @@ class CtaLineBar(object): self.shortSymbol = EMPTY_STRING # 商品的短代码 self.minDiff = 1 # 商品的最小价格单位 self.round_n = 4 # round() 小数点的截断数量 - self.activeDayJump = False # 隔夜跳空 self.is_7x24 = False @@ -131,19 +142,39 @@ class CtaLineBar(object): # K线保存数据 self.bar = None # K线数据对象 self.lineBar = [] # K线缓存数据队列 + self.max_hold_bars = 60 * 20 self.barFirstTick = False # K线的第一条Tick数据 + # (实时运行时，或者addbar小于bar得周期时，不包含最后一根Bar） + self.lineOpen = [] # 与lineBar一致得开仓价清单 + self.lineHigh = [] # 与lineBar一致得最高价清单 + self.lineLow = [] # 与lineBar一致得最低价清单 + self.lineClose = [] # 与lineBar一致得收盘价清单 + self.export_filename = None self.export_fields = [] # 创建内部变量 self.init_properties() + # 创建初始化指标 self.init_indicators() + # 启动实时得函数 + self.rt_funcs = set() + if setting: self.setParam(setting) + # 修正self.barMinuteInterval + if self.period == PERIOD_SECOND: + self.barMinuteInterval = int(self.barTimeInterval / 60) + elif self.period == PERIOD_MINUTE: + self.barMinuteInterval = self.barTimeInterval + elif self.period == PERIOD_HOUR: + self.barMinuteInterval = 60 + elif self.period == PERIOD_DAY: + self.barMinuteInterval = 60 * 24 # 修正精度 if self.minDiff < 1: @@ -154,12 +185,12 @@ class CtaLineBar(object): if self.inputKF: try: self.kf = KalmanFilter(transition_matrices=[1], - observation_matrices=[1], - initial_state_mean=0, - initial_state_covariance=1, - observation_covariance=1, - transition_covariance=0.01) - except : + observation_matrices=[1], + initial_state_mean=0, + initial_state_covariance=1, + observation_covariance=1, + transition_covariance=0.01) + except: self.writeCtaLog(u'导入卡尔曼过滤器失败,需先安装 pip install pykalman') self.inputKF = False @@ -202,16 +233,21 @@ class CtaLineBar(object): self.paramList.append('inputMacdSignalPeriodLen') self.paramList.append('inputKF') self.paramList.append('inputSkd') + self.paramList.append('inputSkdLen1') + self.paramList.append('inputSkdLen2') self.paramList.append('inputYb') self.paramList.append('inputYbLen') self.paramList.append('inputYbRef') self.paramList.append('inputSarAfStep') self.paramList.append('inputSarAfLimit') + self.paramList.append('inputGoldenN') + self.paramList.append('activate_boll_ma_area') + self.paramList.append('is_7x24') self.paramList.append('minDiff') self.paramList.append('shortSymbol') - self.paramList.append('activeDayJump') + self.paramList.append('name') # 输入参数 @@ -275,6 +311,16 @@ class CtaLineBar(object): self.lineMa1 = [] # K线的MA1均线，周期是InputMaLen1，不包含当前bar self.lineMa2 = [] # K线的MA2均线，周期是InputMaLen2，不包含当前bar self.lineMa3 = [] # K线的MA2均线，周期是InputMaLen2，不包含当前bar + self._rt_Ma1 = None + self._rt_Ma2 = None + self._rt_Ma3 = None + self.lineMa1Atan = [] + self.lineMa2Atan = [] + self.lineMa3Atan = [] + self._rt_Ma1Atan = None + self._rt_Ma2Atan = None + self._rt_Ma3Atan = None + self.lineEma1 = [] # K线的EMA1均线，周期是InputEmaLen1，不包含当前bar self.lineEma2 = [] # K线的EMA2均线，周期是InputEmaLen2，不包含当前bar @@ -335,12 +381,21 @@ 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.inputBollStdRate = 2 # 两倍标准差 self.lineBollClose = [] # 用于运算的close价格列表 self.lineUpperBand = [] # 上轨 self.lineMiddleBand = [] # 中线 self.lineLowerBand = [] # 下轨 self.lineBollStd = [] # 标准差 + self.lineUpperBandAtan = [] + self.lineMiddleBandAtan = [] + self.lineLowerBandAtan = [] + self._rt_Upper = None + self._rt_Middle = None + self._rt_Lower = None + self._rt_UpperBandAtan = None + self._rt_MiddleBandAtan = None + self._rt_LowerBandAtan = None self.lastBollUpper = EMPTY_FLOAT # 最后一根K的Boll上轨数值（与MinDiff取整） self.lastBollMiddle = EMPTY_FLOAT # 最后一根K的Boll中轨数值（与MinDiff取整） @@ -348,12 +403,20 @@ class CtaLineBar(object): 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.inputBoll2StdRate = 2 # 两倍标准差 self.lineUpperBand2 = [] # 上轨 self.lineMiddleBand2 = [] # 中线 self.lineLowerBand2 = [] # 下轨 self.lineBoll2Std = [] # 标准差 + self.lineUpperBand2Atan = [] + self.lineMiddleBand2Atan = [] + self.lineLowerBand2Atan = [] + self._rt_Upper2 = None + self._rt_Middle2 = None + self._rt_Lower2 = None + self._rt_UpperBand2Atan = None + self._rt_MiddleBand2Atan = None + self._rt_LowerBand2Atan = None 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） @@ -375,7 +438,7 @@ class CtaLineBar(object): self.lastD = EMPTY_FLOAT # bar内计算时，最后一个未关闭的bar的实时值 self.lastJ = EMPTY_FLOAT # bar内计算时，最后一个未关闭的bar的实时J值 - # K线的MACD计算数据 + # K线的MACD计算数据(26,12,9) self.inputMacdFastPeriodLen = EMPTY_INT self.inputMacdSlowPeriodLen = EMPTY_INT self.inputMacdSignalPeriodLen = EMPTY_INT @@ -384,6 +447,25 @@ class CtaLineBar(object): self.lineDea = [] # DEA = （前一日DEA X 8/10 + 今日DIF X 2/10），即为talib-MACD返回值 self.lineMacd = [] # (dif-dea)*2，但是talib中MACD的计算是bar = (dif-dea)*1,国内一般是乘以2 + self.lineMacdSegment = [] # macd 金叉/死叉的段列表，记录价格的最高/最低，Dif的最高，最低，Macd的最高/最低，Macd面接 + + self._rt_Dif = None + self._rt_Dea = None + self._rt_Macd = None + self.macd_count = 0 + self.macd_last_cross = 0 # 最近一次金叉/死叉的点位 + self.macd_cross_price = 0 # 最近一次发生金叉/死叉的价格 + + self.macd_rt_count = 0 # 实时金叉/死叉, default = 0； -1 实时死叉； 1：实时金叉 + self.macd_rt_last_cross = 0 # 实时金叉/死叉的位置 + self.macd_rt_cross_price = 0 # 发生实时金叉死叉时的价格 + + self.dif_top_divergence = False # mcad dif 与price 顶背离 + self.dif_buttom_divergence = False # mcad dif 与price 底背离 + + self.macd_top_divergence = False # mcad 面积 与price 顶背离 + self.macd_buttom_divergence = False # mcad 面积 与price 底背离 + # K 线的CCI计算数据 self.inputCciLen = EMPTY_INT self.lineCci = [] @@ -418,14 +500,16 @@ class CtaLineBar(object): # 优化的多空动量线 self.inputSkd = False self.inputSkdLen1 = 13 # 周期1 - self.inputSkdLen2 = 8 # 周期2 + 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.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 + self.skd_count = 0 # 当前金叉/死叉后累加 + self._rt_SK = None # 实时SK值 + self._rt_SD = None # 实时SD值 # 多空趋势线 self.inputYb = False @@ -433,6 +517,7 @@ class CtaLineBar(object): self.inputYbRef = 1 self.inputYbLen = 10 self.yb_count = 0 # 当前黄/蓝累加 + self._rt_YB = None self.skd_divergence = 0 # 背离，>0,底背离， < 0 顶背离 self.lineSkTop = [] # SK 高位 @@ -443,6 +528,18 @@ 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 + self.inputGoldenN = 0 # 黄金分割（一般设置为60） + self.p192 = None # HH-(HH-LL) * 0.192; + self.p382 = None # HH-(HH-LL) * 0.382; + self.p500 = None # (HH+LL)/2; + self.p618 = None # HH-(HH-LL) * 0.618; + self.p809 = None # HH-(HH-LL) * 0.809; + + self.activate_boll_ma_area = False + self.area_list = [] + self.cur_area = None + self.pre_area = None + # 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') @@ -455,7 +552,6 @@ class CtaLineBar(object): d = self.__dict__ for key in self.paramList: if key in setting: - d[key] = setting[key] def setMode(self,mode): @@ -477,6 +573,9 @@ class CtaLineBar(object): self.curTick = copy.copy(tick) if self.curTick.lastPrice is None or self.curTick.lastPrice == 0: + if self.curTick.askPrice1 ==0 and self.curTick.bidPrice1 == 0: + return + self.curTick.lastPrice = (self.curTick.askPrice1 + self.curTick.bidPrice1) / 2 self.cur_price = (self.curTick.askPrice1 + self.curTick.bidPrice1) / 2 else: @@ -496,10 +595,10 @@ class CtaLineBar(object): 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: :param bar_is_completed: 插入的bar，其周期与K线周期一致，就设为True - :return: + :return: """ l1 = len(self.lineBar) @@ -507,7 +606,7 @@ class CtaLineBar(object): self.cur_price = bar.close if l1 == 0: - new_bar = copy.copy(bar) + new_bar = copy.deepcopy(bar) self.lineBar.append(new_bar) self.curTradingDay = bar.date self.onBar(bar) @@ -521,7 +620,7 @@ class CtaLineBar(object): if bar_is_completed: is_new_bar = True - if self.period == PERIOD_SECOND and (bar.datetime-lastBar.datetime).seconds >= self.barTimeInterval: + if self.period == PERIOD_SECOND and (bar.datetime - lastBar.datetime).seconds >= self.barTimeInterval: is_new_bar = True 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) != @@ -529,13 +628,13 @@ class CtaLineBar(object): is_new_bar = True elif self.period == PERIOD_HOUR: - if self.barTimeInterval == 1 and bar.datetime.hour != lastBar.datetime.hour : + if self.barTimeInterval == 1 and bar.datetime.hour != lastBar.datetime.hour: is_new_bar = True elif self.barTimeInterval == 2 and bar.datetime.hour != lastBar.datetime.hour \ and bar.datetime.hour in {1, 9, 11, 13, 15, 21, 23}: is_new_bar = True elif self.barTimeInterval == 4 and bar.datetime.hour != lastBar.datetime.hour \ - and bar.datetime.hour in {1, 9, 13, 21}: + and bar.datetime.hour in {1, 9, 13, 21}: is_new_bar = True else: cur_bars_in_day = int(bar.datetime.hour / self.barTimeInterval) @@ -544,7 +643,7 @@ class CtaLineBar(object): 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 + elif self.period == PERIOD_DAY and bar.tradingDay != lastBar.tradingDay: # Using tradingDay instead of calanda day is_new_bar = True if is_new_bar: @@ -553,26 +652,47 @@ class CtaLineBar(object): self.lineBar.append(new_bar) # 将上一个Bar推送至OnBar事件 self.onBar(lastBar) - return - # 更新最后一个bar - # 此段代码，针对一部分短周期生成长周期的k线更新，如3根5分钟k线，合并成1根15分钟k线。 - lastBar.close = bar.close - lastBar.high = max(lastBar.high, bar.high) - lastBar.low = min(lastBar.low, bar.low) - lastBar.volume = lastBar.volume + bar.volume - lastBar.dayVolume = bar.dayVolume + else: + # 更新最后一个bar + # 此段代码，针对一部分短周期生成长周期的k线更新，如3根5分钟k线，合并成1根15分钟k线。 + lastBar.close = bar.close + lastBar.high = max(lastBar.high, bar.high) + lastBar.low = min(lastBar.low, bar.low) + lastBar.volume = lastBar.volume + bar.volume + lastBar.dayVolume = bar.dayVolume - 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) + 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) + + # 实时计算 + self.runtime_recount() def onBar(self, bar): """OnBar事件""" # 计算相关数据 - bar.mid3 = round(( bar.close + bar.high + bar.low)/3, self.round_n) - bar.mid4 = round((2*bar.close + bar.high + bar.low)/4, self.round_n) - bar.mid5 = round((2*bar.close + bar.open + bar.high + bar.low)/5, self.round_n) + bar.mid3 = round((bar.close + bar.high + bar.low) / 3, self.round_n) + bar.mid4 = round((2 * bar.close + bar.high + bar.low) / 4, self.round_n) + bar.mid5 = round((2 * bar.close + bar.open + bar.high + bar.low) / 5, self.round_n) + + # 扩展open,close,high,low 列表 + if len(self.lineOpen) > self.max_hold_bars: + del self.lineOpen[0] + self.lineOpen.append(bar.open) + + if len(self.lineHigh) > self.max_hold_bars: + del self.lineHigh[0] + self.lineHigh.append(bar.high) + + if len(self.lineLow) > self.max_hold_bars: + del self.lineLow[0] + self.lineLow.append(bar.low) + + if len(self.lineClose) > self.max_hold_bars: + del self.lineClose[0] + + self.lineClose.append(bar.close) self.__recountPreHighLow() self.__recountMa() @@ -592,41 +712,58 @@ class CtaLineBar(object): self.__recountSKD() self.__recountYB() self.__recountSar() + self.__recountGoldenSection() + self.__recountArea(bar) self.export_to_csv(bar) + + # 实时计算 + self.runtime_recount() + # 回调上层调用者 self.onBarFunc(bar) - def export_to_csv(self,bar): + def runtime_recount(self): + """ + 根据实时计算得要求，执行实时指标计算 + :return: + """ + for func in self.rt_funcs: + try: + func() + except Exception as ex: + print(u'{}调用实时计算,异常:{},{}'.format(self.name, str(ex),traceback.format_exc()), file=sys.stderr) + + def export_to_csv(self, bar): if self.export_filename is None or len(self.export_fields) == 0: return field_names = [] save_dict = {} for field in self.export_fields: - field_name = field.get('name',None) + field_name = field.get('name', None) attr_name = field.get('attr', None) source = field.get('source', None) - type_ = field.get('type_',None) + type_ = field.get('type_', None) if field_name is None or attr_name is None or source is None or type_ is None: continue field_names.append(field_name) if source == 'bar': - save_dict[field_name] = getattr(bar,str(attr_name),None) + save_dict[field_name] = getattr(bar, str(attr_name), None) else: if type_ == 'list': - l = getattr(self, str(attr_name),None) + l = getattr(self, str(attr_name), None) if l is None or len(l) == 0: save_dict[field_name] = 0 else: - save_dict[field_name] =l[-1] + save_dict[field_name] = l[-1] else: - save_dict[field_name] = getattr(self, str(attr_name),0) + save_dict[field_name] = getattr(self, str(attr_name), 0) - if len(save_dict) >0: - self.append_data(file_name=self.export_filename,dict_data=save_dict,field_names=field_names) + if len(save_dict) > 0: + self.append_data(file_name=self.export_filename, dict_data=save_dict, field_names=field_names) def displayLastBar(self): """显示最后一个Bar的信息""" - msg = u'['+self.name+u']' + msg = u'[' + self.name + u']' if len(self.lineBar) < 2: return msg @@ -636,8 +773,8 @@ class CtaLineBar(object): else: displayBar = self.lineBar[-1] - msg = msg + u'[td:{}] ad:{} o:{};h:{};l:{};c:{},v:{}'.\ - format(displayBar.tradingDay, 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: @@ -646,16 +783,16 @@ 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) + 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) + 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) + 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) @@ -694,49 +831,71 @@ class CtaLineBar(object): if self.inputKdjLen > 0 and len(self.lineK) > 0: 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)) + 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)) + msg = msg + u',KDJ_TB({},{},{}):{},K:{},D:{},J:{}'.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)) 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 or self.inputBollTBLen > 0) and len(self.lineUpperBand)>0: - msg = msg + u',Boll({0}):std:{4},m:{2},u:{1},l:{3}'.\ + if (self.inputBollLen > 0 or self.inputBollTBLen > 0) and len(self.lineUpperBand) > 0: + msg = msg + u',Boll({}):std:{},mid:{},up:{},low:{},Atan:[mid:{},up:{},low:{}]'. \ 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.lineBollStd[-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), + round(self.lineMiddleBandAtan[-1], 2) if len(self.lineMiddleBandAtan) > 0 else 0, + round(self.lineUpperBandAtan[-1], 2) if len(self.lineUpperBandAtan) > 0 else 0, + round(self.lineLowerBandAtan[-1], 2) if len(self.lineLowerBandAtan) > 0 else 0) - 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}'.\ + 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)) + 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}'.\ + if self.inputMacdFastPeriodLen > 0 and len(self.lineDif) > 0: + msg = msg + u',MACD({0},{1},{2}):Dif:{3},Dea{4},Macd:{5}'. \ format(self.inputMacdFastPeriodLen, self.inputMacdSlowPeriodLen, self.inputMacdSignalPeriodLen, round(self.lineDif[-1], self.round_n), round(self.lineDea[-1], self.round_n), round(self.lineMacd[-1], self.round_n)) + if len(self.lineMacd)>2: + if self.lineMacd[-2] < 0 < self.lineMacd[-1]: + msg = msg + u'金叉 ' + elif self.lineMacd[-2] > 0 > self.lineMacd[-1]: + msg = msg + u'死叉 ' + + if self.dif_top_divergence: + msg = msg + u'Dif顶背离 ' + if self.macd_top_divergence: + msg = msg + u'MACD顶背离 ' + if self.dif_buttom_divergence: + msg = msg + u'Dif底背离 ' + if self.macd_buttom_divergence: + msg = msg + u'MACD低背离 ' if self.inputKF and len(self.lineStateMean) > 0: msg = msg + u',Kalman:{0}'.format(self.lineStateMean[-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) + 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' @@ -749,20 +908,24 @@ 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], self.sar_count) - + 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) + if self.activate_boll_ma_area: + msg = msg + 'Area:{}'.format(self.cur_area) return msg def firstTick(self, tick): """ K线的第一个Tick数据""" - self.bar = CtaBarData() # 创建新的K线 + self.bar = CtaBarData() # 创建新的K线 # 计算K线的整点分钟周期，这里周期最小是1分钟。如果你是采用非整点分钟，例如1.5分钟，请把这段注解掉 if self.barMinuteInterval and self.period == PERIOD_SECOND: self.barMinuteInterval = int(self.barTimeInterval / 60) if self.barMinuteInterval < 1: self.barMinuteInterval = 1 - fixedMin = int( tick.datetime.minute /self.barMinuteInterval) * self.barMinuteInterval + fixedMin = int(tick.datetime.minute / self.barMinuteInterval) * self.barMinuteInterval tick.datetime = tick.datetime.replace(minute=fixedMin) self.bar.vtSymbol = tick.vtSymbol @@ -770,20 +933,22 @@ class CtaLineBar(object): self.bar.exchange = tick.exchange self.bar.openInterest = tick.openInterest - self.bar.open = tick.lastPrice # O L H C + self.bar.open = tick.lastPrice # O L H C self.bar.high = tick.lastPrice self.bar.low = tick.lastPrice self.bar.close = tick.lastPrice - self.bar.mid4 = tick.lastPrice # 4价均价 - self.bar.mid5 = tick.lastPrice # 5价均价 + self.bar.mid4 = tick.lastPrice # 4价均价 + self.bar.mid5 = tick.lastPrice # 5价均价 # K线的日期时间 - self.bar.tradingDay = tick.tradingDay # K线所在的交易日期 - self.bar.date = tick.date # K线的日期，（夜盘的话，与交易日期不同哦） + self.bar.tradingDay = tick.tradingDay # K线所在的交易日期 + self.bar.date = tick.date # K线的日期，（夜盘的话，与交易日期不同哦） self.bar.datetime = tick.datetime - # K线的日期时间（去除秒）设为第一个Tick的时间 - self.bar.datetime = self.bar.datetime.replace(second=0, microsecond=0) + if (self.period == PERIOD_SECOND and self.barTimeInterval % 60 == 0) \ + or self.period in [PERIOD_MINUTE,PERIOD_HOUR,PERIOD_DAY]: + # K线的日期时间（去除秒）设为第一个Tick的时间 + self.bar.datetime = self.bar.datetime.replace(second=0, microsecond=0) self.bar.time = self.bar.datetime.strftime('%H:%M:%S') # K线的日总交易量，k线内交易量 @@ -796,9 +961,9 @@ class CtaLineBar(object): # bar的交易日与记录的当前交易日一致, 交易量为tick的volume，减去上一根bar的日总交易量 self.bar.volume = tick.volume - self.lineBar[-1].dayVolume - self.barFirstTick = True # 标识该Tick属于该Bar的第一个tick数据 + self.barFirstTick = True # 标识该Tick属于该Bar的第一个tick数据 - self.lineBar.append(self.bar) # 推入到lineBar队列 + self.lineBar.append(self.bar) # 推入到lineBar队列 # ---------------------------------------------------------------------- def drawLineBar(self, tick): @@ -812,7 +977,7 @@ class CtaLineBar(object): return # 清除480周期前的数据， - if l1 > 60 * 8: + if l1 > self.max_hold_bars: del self.lineBar[0] # 与最后一个BAR的时间比对，判断是否超过5分钟 @@ -822,9 +987,9 @@ class CtaLineBar(object): endtick = False if not self.is_7x24: 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): + 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 @@ -847,21 +1012,21 @@ class CtaLineBar(object): # 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 + 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 not endtick: if self.period == PERIOD_SECOND: - if (tick.datetime-lastBar.datetime).total_seconds() >= self.barTimeInterval: + 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)) + '%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)) + '%Y-%m-%d')).total_seconds() / 60 / self.barTimeInterval)) if cur_bars_in_day != last_bars_in_day: is_new_bar = True @@ -876,20 +1041,20 @@ class CtaLineBar(object): 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}: + 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) + 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: + 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: @@ -931,7 +1096,8 @@ class CtaLineBar(object): lastBar.volume = tick.volume else: # 针对新交易日的第一个bar：于上一个bar的时间在14，当前bar的时间不在14点,初始化为tick.volume - if self.lineBar[-2].datetime.hour == 14 and tick.datetime.hour != 14 and not endtick and not self.is_7x24: + if self.lineBar[ + -2].datetime.hour == 14 and tick.datetime.hour != 14 and not endtick and not self.is_7x24: lastBar.volume = tick.volume else: # 其他情况，bar为同一交易日，将tick的volume，减去上一bar的dayVolume @@ -945,6 +1111,9 @@ class CtaLineBar(object): else: lastBar.color = COLOR_EQUAL + # 实时计算 + self.runtime_recount() + if not endtick: self.lastTick = tick @@ -952,7 +1121,7 @@ class CtaLineBar(object): def __recountPreHighLow(self): """计算 K线的前周期最高和最低""" - if self.inputPreLen <= 0: # 不计算 + if self.inputPreLen <= 0: # 不计算 return # 1、lineBar满足长度才执行计算 @@ -970,13 +1139,13 @@ class CtaLineBar(object): else: idx = 1 - for i in range(len(self.lineBar)-idx, len(self.lineBar)-idx-self.inputPreLen, -1): + for i in range(len(self.lineBar) - idx, len(self.lineBar) - idx - self.inputPreLen, -1): if self.lineBar[i].high > preHigh or preHigh == EMPTY_FLOAT: - preHigh = self.lineBar[i].high # 前InputPreLen周期高点 + preHigh = self.lineBar[i].high # 前InputPreLen周期高点 if self.lineBar[i].low < preLow or preLow == EMPTY_FLOAT: - preLow = self.lineBar[i].low # 前InputPreLen周期低点 + preLow = self.lineBar[i].low # 前InputPreLen周期低点 # 保存 if len(self.preHigh) > self.inputPreLen * 8: @@ -984,7 +1153,7 @@ class CtaLineBar(object): self.preHigh.append(preHigh) # 保存 - if len(self.preLow)> self.inputPreLen * 8: + if len(self.preLow) > self.inputPreLen * 8: del self.preLow[0] self.preLow.append(preLow) @@ -1126,9 +1295,10 @@ class CtaLineBar(object): return # 1、lineBar满足长度才执行计算 - if len(self.lineBar) < max(7, self.inputMa1Len, self.inputMa2Len, self.inputMa3Len)+2: + if len(self.lineBar) < max(7, self.inputMa1Len, self.inputMa2Len, self.inputMa3Len) + 2: self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算MA需要：{1}'. - format(len(self.lineBar), max(7, self.inputMa1Len, self.inputMa2Len, self.inputMa3Len)+2)) + format(len(self.lineBar), + max(7, self.inputMa1Len, self.inputMa2Len, self.inputMa3Len) + 2)) return # 计算第一条MA均线 @@ -1140,17 +1310,25 @@ 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[-ma1Len - 1:-1]] + listClose = [x.close for x in self.lineBar[-ma1Len - 1:-1]] else: - listClose=[x.close for x in self.lineBar[-ma1Len:]] + listClose = [x.close for x in self.lineBar[-ma1Len:]] barMa1 = ta.MA(np.array(listClose, dtype=float), ma1Len)[-1] barMa1 = round(float(barMa1), self.round_n) - if len(self.lineMa1) > self.inputMa1Len*8: + if len(self.lineMa1) > self.inputMa1Len * 8: del self.lineMa1[0] self.lineMa1.append(barMa1) + # 计算斜率 + if len(self.lineMa1)>2 and self.lineMa1[-2]!=0: + ma1_atan = math.atan((self.lineMa1[-1] / self.lineMa1[-2] - 1) * 100) * 180 / math.pi + ma1_atan= round(ma1_atan, 3) + if len(self.lineMa1Atan) > self.inputMa1Len * 8: + del self.lineMa1Atan[0] + self.lineMa1Atan.append(ma1_atan) + # 计算第二条MA均线 if self.inputMa2Len > 0: if self.inputMa2Len > l: @@ -1160,17 +1338,25 @@ 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[-ma2Len - 1:-1]] + listClose = [x.close for x in self.lineBar[-ma2Len - 1:-1]] else: - listClose=[x.close for x in self.lineBar[-ma2Len:]] + listClose = [x.close for x in self.lineBar[-ma2Len:]] barMa2 = ta.MA(np.array(listClose, dtype=float), ma2Len)[-1] barMa2 = round(float(barMa2), self.round_n) - if len(self.lineMa2) > self.inputMa2Len*8: + if len(self.lineMa2) > self.inputMa2Len * 8: del self.lineMa2[0] self.lineMa2.append(barMa2) + # 计算斜率 + if len(self.lineMa2) > 2 and self.lineMa2[-2] != 0: + ma2_atan = math.atan((self.lineMa2[-1] / self.lineMa2[-2] - 1) * 100) * 180 / math.pi + ma2_atan = round(ma2_atan, 3) + if len(self.lineMa2Atan) > self.inputMa2Len * 8: + del self.lineMa2Atan[0] + self.lineMa2Atan.append(ma2_atan) + # 计算第三条MA均线 if self.inputMa3Len > 0: if self.inputMa3Len > l: @@ -1191,11 +1377,20 @@ 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] + # 计算斜率 + if len(self.lineMa3) > 2 and self.lineMa3[-2] != 0: + ma3_atan = math.atan((self.lineMa3[-1] / self.lineMa3[-2] - 1) * 100) * 180 / math.pi + ma3_atan = round(ma3_atan, 3) + if len(self.lineMa3Atan) > self.inputMa3Len * 8: + del self.lineMa3Atan[0] + self.lineMa3Atan.append(ma3_atan) + # 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 @@ -1211,7 +1406,7 @@ class CtaLineBar(object): 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\ + 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: @@ -1227,7 +1422,7 @@ class CtaLineBar(object): 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]\ + 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] @@ -1243,44 +1438,98 @@ class CtaLineBar(object): self.ma13_count = -1 elif self.lineMa1[-1] > self.lineMa3[-1]: self.ma13_count += 1 - - def getRuntimeMa(self, ma_num): + + def rt_countMa(self): """ 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 + if self.inputMa1Len > 0: + ma_len = min(len(self.lineClose), self.inputMa1Len) + if ma_len > 0: + listClose = self.lineClose[-ma_len - 2:] + [self.lineBar[-1].close] + barMa = ta.MA(np.array(listClose, dtype=float), ma_len) + self._rt_Ma1 = round(float(barMa[-1]), self.round_n) - 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 + # 计算斜率 + if len(barMa) > 2 and barMa[-2] != 0: + self._rt_Ma1Atan = round(math.atan((barMa[-1] / barMa[-2] - 1) * 100) * 180 / math.pi,3) + + if self.inputMa2Len > 0: + ma_len = min(len(self.lineClose), self.inputMa2Len) + if ma_len > 0: + listClose = self.lineClose[-ma_len - 2:] + [self.lineBar[-1].close] + barMa = ta.MA(np.array(listClose, dtype=float), ma_len) + self._rt_Ma2 = round(float(barMa[-1]), self.round_n) + + # 计算斜率 + if len(barMa) > 2 and barMa[-2] != 0: + self._rt_Ma2Atan = round(math.atan((barMa[-1] / barMa[-2] - 1) * 100) * 180 / math.pi, 3) + + + if self.inputMa3Len > 0: + ma_len = min(len(self.lineClose), self.inputMa3Len) + if ma_len > 0: + listClose = self.lineClose[-ma_len - 2:] + [self.lineBar[-1].close] + barMa = ta.MA(np.array(listClose, dtype=float), ma_len) + self._rt_Ma3 = round(float(barMa[-1]), self.round_n) + + # 计算斜率 + if len(barMa) > 2 and barMa[-2] != 0: + self._rt_Ma3Atan = round(math.atan((barMa[-1] / barMa[-2] - 1) * 100) * 180 / math.pi, 3) + + def getRuntimeMa(self, ma_num): + """ + 获取实时MA的值 + :param ma_num: + :return: + """ + self.check_rt_funcs(self.rt_countMa) + + if ma_num == 1: + return self._rt_Ma1 + elif ma_num == 2: + return self._rt_Ma2 + elif ma_num == 3: + return self._rt_Ma3 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 + @property + def rt_Ma1(self): + self.check_rt_funcs(self.rt_countMa) + return self._rt_Ma1 - # 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) + @property + def rt_Ma2(self): + self.check_rt_funcs(self.rt_countMa) + return self._rt_Ma2 - return barMa + @property + def rt_Ma3(self): + self.check_rt_funcs(self.rt_countMa) + return self._rt_Ma3 - #---------------------------------------------------------------------- + @property + def rt_Ma1Atan(self): + self.check_rt_funcs(self.rt_countMa) + return self._rt_Ma1Atan + + @property + def rt_Ma2Atan(self): + self.check_rt_funcs(self.rt_countMa) + return self._rt_Ma2Atan + + @property + def rt_Ma3Atan(self): + self.check_rt_funcs(self.rt_countMa) + return self._rt_Ma3Atan + # ---------------------------------------------------------------------- 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) @@ -1303,15 +1552,15 @@ 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[-ema1_data_len - 1:-1]] + listClose = [x.close for x in self.lineBar[-ema1_data_len - 1:-1]] else: - listClose=[x.close for x in self.lineBar[-ema1_data_len:]] + listClose = [x.close for x in self.lineBar[-ema1_data_len:]] barEma1 = ta.EMA(np.array(listClose, dtype=float), ema1Len)[-1] barEma1 = round(float(barEma1), self.round_n) - if len(self.lineEma1) > max(self.inputEma1Len,20): + if len(self.lineEma1) > max(self.inputEma1Len, 20): del self.lineEma1[0] self.lineEma1.append(barEma1) @@ -1324,9 +1573,9 @@ 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[-ema2_data_len - 1:-1]] + listClose = [x.close for x in self.lineBar[-ema2_data_len - 1:-1]] else: - listClose=[x.close for x in self.lineBar[-ema2_data_len:]] + listClose = [x.close for x in self.lineBar[-ema2_data_len:]] barEma2 = ta.EMA(np.array(listClose, dtype=float), ema2Len)[-1] @@ -1376,7 +1625,7 @@ class CtaLineBar(object): else: return None - ema_data_len = min(ema_len*2, ema_len + 20) + 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}'. @@ -1391,25 +1640,25 @@ class CtaLineBar(object): def __recountDmi(self): """计算K线的DMI数据和条件""" - if self.inputDmiLen <= 0: # 不计算 + if self.inputDmiLen <= 0: # 不计算 return # 1、lineMx满足长度才执行计算 - if len(self.lineBar) < self.inputDmiLen+1: - self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算DMI需要：{1}'.format(len(self.lineBar), self.inputDmiLen+1)) + if len(self.lineBar) < self.inputDmiLen + 1: + self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算DMI需要：{1}'.format(len(self.lineBar), self.inputDmiLen + 1)) return # 2、根据当前High，Low，(不包含当前周期）重新计算TR1，PDM，MDM和ATR - barTr1 = EMPTY_FLOAT # 获取InputP周期内的价差最大值之和 - barPdm = EMPTY_FLOAT # InputP周期内的做多价差之和 - barMdm = EMPTY_FLOAT # InputP周期内的做空价差之和 + barTr1 = EMPTY_FLOAT # 获取InputP周期内的价差最大值之和 + barPdm = EMPTY_FLOAT # InputP周期内的做多价差之和 + barMdm = EMPTY_FLOAT # InputP周期内的做空价差之和 if self.mode == self.TICK_MODE: idx = 2 else: idx = 1 - for i in range(len(self.lineBar)-idx, len(self.lineBar)-idx-self.inputDmiLen, -1): # 周期 inputDmiLen + for i in range(len(self.lineBar) - idx, len(self.lineBar) - idx - self.inputDmiLen, -1): # 周期 inputDmiLen # 3.1、计算TR1 # 当前周期最高与最低的价差 @@ -1442,7 +1691,7 @@ class CtaLineBar(object): else: self.barPdi = barPdm * 100 / barTr1 - if len(self.linePdi) > self.inputDmiLen+1: + if len(self.linePdi) > self.inputDmiLen + 1: del self.linePdi[0] self.linePdi.append(self.barPdi) @@ -1459,24 +1708,24 @@ class CtaLineBar(object): else: dx = 100 * abs(self.barMdi - self.barPdi) / (self.barMdi + self.barPdi) - if len(self.lineMdi) > self.inputDmiLen+1: + if len(self.lineMdi) > self.inputDmiLen + 1: del self.lineMdi[0] self.lineMdi.append(self.barMdi) - if len(self.lineDx) > self.inputDmiLen+1: + if len(self.lineDx) > self.inputDmiLen + 1: del self.lineDx[0] self.lineDx.append(dx) # 平均趋向指标，MA计算 - if len(self.lineDx) < self.inputDmiLen+1: + if len(self.lineDx) < self.inputDmiLen + 1: self.barAdx = dx else: self.barAdx = ta.EMA(np.array(self.lineDx, dtype=float), self.inputDmiLen)[-1] # 保存Adx值 - if len(self.lineAdx) > self.inputDmiLen+1: + if len(self.lineAdx) > self.inputDmiLen + 1: del self.lineAdx[0] self.lineAdx.append(self.barAdx) @@ -1488,7 +1737,7 @@ class CtaLineBar(object): self.barAdxr = (self.lineAdx[-1] + self.lineAdx[-2]) / 2 # 保存Adxr值 - if len(self.lineAdxr) > self.inputDmiLen+1: + if len(self.lineAdxr) > self.inputDmiLen + 1: del self.lineAdxr[0] self.lineAdxr.append(self.barAdxr) @@ -1513,7 +1762,8 @@ class CtaLineBar(object): self.buyFilterCond = True self.writeCtaLog(u'{0}[DEBUG]Buy Signal On Bar,Pdi:{1}>Mdi:{2},adx[-1]:{3}>Adx[-2]:{4}' - .format(self.curTick.datetime, self.barPdi, self.barMdi, self.lineAdx[-1], self.lineAdx[-2])) + .format(self.curTick.datetime, self.barPdi, self.barMdi, self.lineAdx[-1], + self.lineAdx[-2])) else: self.buyFilterCond = False @@ -1522,7 +1772,8 @@ class CtaLineBar(object): self.sellFilterCond = True self.writeCtaLog(u'{0}[DEBUG]Short Signal On Bar,Pdi:{1}Adx[-2]:{4}' - .format(self.curTick.datetime, self.barPdi, self.barMdi, self.lineAdx[-1], self.lineAdx[-2])) + .format(self.curTick.datetime, self.barPdi, self.barMdi, self.lineAdx[-1], + self.lineAdx[-2])) else: self.sellFilterCond = False @@ -1532,12 +1783,12 @@ class CtaLineBar(object): # 1、lineMx满足长度才执行计算 maxAtrLen = max(self.inputAtr1Len, self.inputAtr2Len, self.inputAtr3Len) - if maxAtrLen <= 0: # 不计算 + if maxAtrLen <= 0: # 不计算 return - if len(self.lineBar) < maxAtrLen+1: + if len(self.lineBar) < maxAtrLen + 1: self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算ATR需要：{1}'. - format(len(self.lineBar), maxAtrLen+1)) + format(len(self.lineBar), maxAtrLen + 1)) return if self.mode == self.TICK_MODE: @@ -1551,13 +1802,13 @@ class CtaLineBar(object): or (self.inputAtr3Len > 0 and len(self.lineAtr3) < 1): # 根据当前High，Low，(不包含当前周期）重新计算TR1和ATR - barTr1 = EMPTY_FLOAT # 获取inputAtr1Len周期内的价差最大值之和 - barTr2 = EMPTY_FLOAT # 获取inputAtr2Len周期内的价差最大值之和 - barTr3 = EMPTY_FLOAT # 获取inputAtr3Len周期内的价差最大值之和 + barTr1 = EMPTY_FLOAT # 获取inputAtr1Len周期内的价差最大值之和 + barTr2 = EMPTY_FLOAT # 获取inputAtr2Len周期内的价差最大值之和 + barTr3 = EMPTY_FLOAT # 获取inputAtr3Len周期内的价差最大值之和 j = 0 - for i in range(len(self.lineBar)-idx, len(self.lineBar)-idx-maxAtrLen, -1): # 周期 inputP + for i in range(len(self.lineBar) - idx, len(self.lineBar) - idx - maxAtrLen, -1): # 周期 inputP # 3.1、计算TR # 当前周期最高与最低的价差 @@ -1578,14 +1829,14 @@ class CtaLineBar(object): j = j + 1 - else: # 只计算一个 + else: # 只计算一个 # 当前周期最高与最低的价差 - high_low_spread = self.lineBar[0-idx].high - self.lineBar[0-idx].low + high_low_spread = self.lineBar[0 - idx].high - self.lineBar[0 - idx].low # 当前周期最高与昨收价的价差 - high_preclose_spread = abs(self.lineBar[0-idx].high - self.lineBar[-1-idx].close) + high_preclose_spread = abs(self.lineBar[0 - idx].high - self.lineBar[-1 - idx].close) # 当前周期最低与昨收价的价差 - low_preclose_spread = abs(self.lineBar[0-idx].low - self.lineBar[-1-idx].close) + low_preclose_spread = abs(self.lineBar[0 - idx].low - self.lineBar[-1 - idx].close) # 最大价差 barTr1 = max(high_low_spread, high_preclose_spread, low_preclose_spread) @@ -1597,9 +1848,10 @@ class CtaLineBar(object): if len(self.lineAtr1) < 1: self.barAtr1 = round(barTr1 / self.inputAtr1Len, self.round_n) else: - self.barAtr1 = round((self.lineAtr1[-1]*(self.inputAtr1Len -1) + barTr1) / self.inputAtr1Len, self.round_n) + self.barAtr1 = round((self.lineAtr1[-1] * (self.inputAtr1Len - 1) + barTr1) / self.inputAtr1Len, + self.round_n) - if len(self.lineAtr1) > self. inputAtr1Len+1 : + if len(self.lineAtr1) > self.inputAtr1Len + 1: del self.lineAtr1[0] self.lineAtr1.append(self.barAtr1) @@ -1607,9 +1859,10 @@ class CtaLineBar(object): if len(self.lineAtr2) < 1: self.barAtr2 = round(barTr2 / self.inputAtr2Len, self.round_n) else: - self.barAtr2 = round((self.lineAtr2[-1]*(self.inputAtr2Len -1) + barTr2) / self.inputAtr2Len, self.round_n) + self.barAtr2 = round((self.lineAtr2[-1] * (self.inputAtr2Len - 1) + barTr2) / self.inputAtr2Len, + self.round_n) - if len(self.lineAtr2) > self. inputAtr2Len+1: + if len(self.lineAtr2) > self.inputAtr2Len + 1: del self.lineAtr2[0] self.lineAtr2.append(self.barAtr2) @@ -1617,34 +1870,35 @@ class CtaLineBar(object): if len(self.lineAtr3) < 1: self.barAtr3 = round(barTr3 / self.inputAtr3Len, self.round_n) else: - self.barAtr3 = round((self.lineAtr3[-1]*(self.inputAtr3Len -1) + barTr3) / self.inputAtr3Len, self.round_n) + self.barAtr3 = round((self.lineAtr3[-1] * (self.inputAtr3Len - 1) + barTr3) / self.inputAtr3Len, + self.round_n) - if len(self.lineAtr3) > self. inputAtr3Len+1: + if len(self.lineAtr3) > self.inputAtr3Len + 1: del self.lineAtr3[0] self.lineAtr3.append(self.barAtr3) - #---------------------------------------------------------------------- + # ---------------------------------------------------------------------- def __recoundAvgVol(self): """计算平均成交量""" # 1、lineBar满足长度才执行计算 - if self.inputVolLen <= 0: # 不计算 + if self.inputVolLen <= 0: # 不计算 return - if len(self.lineBar) < self.inputVolLen+1: + if len(self.lineBar) < self.inputVolLen + 1: self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算Avg Vol需要：{1}'. - format(len(self.lineBar), self.inputVolLen+1)) + format(len(self.lineBar), self.inputVolLen + 1)) return if self.mode == self.TICK_MODE: - listVol = [x.volume for x in self.lineBar[-self.inputVolLen-1: -1]] + listVol = [x.volume for x in self.lineBar[-self.inputVolLen - 1: -1]] else: listVol = [x.volume for x in self.lineBar[-self.inputVolLen:]] sumVol = ta.SUM(np.array(listVol, dtype=float), timeperiod=self.inputVolLen)[-1] - avgVol = round(sumVol/self.inputVolLen, 0) + avgVol = round(sumVol / self.inputVolLen, 0) self.lineAvgVol.append(avgVol) @@ -1656,7 +1910,7 @@ class CtaLineBar(object): return # 1、lineBar满足长度才执行计算 - if len(self.lineBar) < self.inputRsi1Len+2: + if len(self.lineBar) < self.inputRsi1Len + 2: self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算RSI需要：{1}'. format(len(self.lineBar), self.inputRsi1Len + 2)) return @@ -1664,17 +1918,17 @@ class CtaLineBar(object): # 计算第1根RSI曲线 # 3、inputRsi1Len(包含当前周期）的相对强弱 if self.mode == self.TICK_MODE: - listClose=[x.close for x in self.lineBar[-self.inputRsi1Len - 2:-1]] + listClose = [x.close for x in self.lineBar[-self.inputRsi1Len - 2:-1]] idx = 2 else: - listClose=[x.close for x in self.lineBar[-self.inputRsi1Len-1:]] + listClose = [x.close for x in self.lineBar[-self.inputRsi1Len - 1:]] idx = 1 barRsi = ta.RSI(np.array(listClose, dtype=float), self.inputRsi1Len)[-1] barRsi = round(float(barRsi), self.round_n) l = len(self.lineRsi1) - if l > self.inputRsi1Len*8: + if l > self.inputRsi1Len * 8: del self.lineRsi1[0] self.lineRsi1.append(barRsi) @@ -1682,23 +1936,23 @@ class CtaLineBar(object): if l > 3: # 峰 if self.lineRsi1[-1] < self.lineRsi1[-2] and self.lineRsi1[-3] < self.lineRsi1[-2]: - t={} + t = {} t["Type"] = u'T' t["RSI"] = self.lineRsi1[-2] - t["Close"] = self.lineBar[-1-idx].close + t["Close"] = self.lineBar[-1 - idx].close if len(self.lineRsiTop) > self.inputRsi1Len: del self.lineRsiTop[0] - self.lineRsiTop.append( t ) + self.lineRsiTop.append(t) self.lastRsiTopButtom = self.lineRsiTop[-1] # 谷 elif self.lineRsi1[-1] > self.lineRsi1[-2] and self.lineRsi1[-3] > self.lineRsi1[-2]: - b={} + b = {} b["Type"] = u'B' b["RSI"] = self.lineRsi1[-2] - b["Close"] = self.lineBar[-1-idx].close + b["Close"] = self.lineBar[-1 - idx].close if len(self.lineRsiButtom) > self.inputRsi1Len: del self.lineRsiButtom[0] @@ -1707,19 +1961,19 @@ class CtaLineBar(object): # 计算第二根RSI曲线 if self.inputRsi2Len > 0: - if len(self.lineBar) < self.inputRsi2Len+2: + if len(self.lineBar) < self.inputRsi2Len + 2: return if self.mode == self.TICK_MODE: - listClose=[x.close for x in self.lineBar[-self.inputRsi2Len - 2:-1]] + listClose = [x.close for x in self.lineBar[-self.inputRsi2Len - 2:-1]] else: - listClose=[x.close for x in self.lineBar[-self.inputRsi2Len - 1:]] + listClose = [x.close for x in self.lineBar[-self.inputRsi2Len - 1:]] barRsi = ta.RSI(np.array(listClose, dtype=float), self.inputRsi2Len)[-1] barRsi = round(float(barRsi), self.round_n) l = len(self.lineRsi2) - if l > self.inputRsi2Len*8: + if l > self.inputRsi2Len * 8: del self.lineRsi2[0] self.lineRsi2.append(barRsi) @@ -1738,26 +1992,26 @@ class CtaLineBar(object): if self.inputCmiLen <= EMPTY_INT: return - # 1、lineBar满足长度才执行计算 + # 1、lineBar满足长度才执行计算 if len(self.lineBar) < self.inputCmiLen: self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算CMI需要：{1}'. format(len(self.lineBar), self.inputCmiLen)) return if self.mode == self.TICK_MODE: - listClose =[x.close for x in self.lineBar[-self.inputCmiLen-1:-1]] + listClose = [x.close for x in self.lineBar[-self.inputCmiLen - 1:-1]] idx = 2 else: - listClose =[x.close for x in self.lineBar[-self.inputCmiLen:]] + listClose = [x.close for x in self.lineBar[-self.inputCmiLen:]] idx = 1 hhv = max(listClose) llv = min(listClose) - if hhv==llv: + if hhv == llv: cmi = 100 else: - cmi = abs(self.lineBar[0-idx].close-self.lineBar[-1-idx].close)*100/(hhv-llv) + cmi = abs(self.lineBar[0 - idx].close - self.lineBar[-1 - idx].close) * 100 / (hhv - llv) cmi = round(cmi, self.round_n) @@ -1775,65 +2029,85 @@ class CtaLineBar(object): l = len(self.lineBar) if self.inputBollLen > EMPTY_INT: - if l < min(14, self.inputBollLen)+1: + 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)) + format(len(self.lineBar), min(14, self.inputBollLen) + 1)) else: - if l < self.inputBollLen+2: - bollLen = l-1 + 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]] + listClose = [x.close for x in self.lineBar[-bollLen - 1:-1]] else: - listClose=[x.close for x in self.lineBar[-bollLen :]] + 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: + if len(self.lineUpperBand) > self.inputBollLen * 8: del self.lineUpperBand[0] - if len(self.lineMiddleBand) > self.inputBollLen*8: + if len(self.lineMiddleBand) > self.inputBollLen * 8: del self.lineMiddleBand[0] - if len(self.lineLowerBand) > self.inputBollLen*8: + 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) + 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 + 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 + 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 + self.lineLowerBand.append(l) # 下轨 + self.lastBollLower = l - l % self.minDiff # 下轨取整 + + # 计算斜率 + if len(self.lineUpperBand) > 2 and self.lineUpperBand[-2] != 0: + up_atan = math.atan((self.lineUpperBand[-1] / self.lineUpperBand[-2] - 1) * 100) * 180 / math.pi + up_atan = round(up_atan, 3) + if len(self.lineUpperBandAtan) > self.inputBollLen * 8: + del self.lineUpperBandAtan[0] + self.lineUpperBandAtan.append(up_atan) + if len(self.lineMiddleBand) > 2 and self.lineMiddleBand[-2] != 0: + mid_atan = math.atan((self.lineMiddleBand[-1] / self.lineMiddleBand[-2] - 1) * 100) * 180 / math.pi + mid_atan = round(mid_atan, 3) + if len(self.lineMiddleBandAtan) > self.inputBollLen * 8: + del self.lineMiddleBandAtan[0] + self.lineMiddleBandAtan.append(mid_atan) + if len(self.lineLowerBand) > 2 and self.lineLowerBand[-2] != 0: + low_atan = math.atan((self.lineLowerBand[-1] / self.lineLowerBand[-2] - 1) * 100) * 180 / math.pi + low_atan = round(low_atan, 3) + if len(self.lineLowerBandAtan) > self.inputBollLen * 8: + del self.lineLowerBandAtan[0] + self.lineLowerBandAtan.append(low_atan) l = len(self.lineBar) if self.inputBoll2Len > EMPTY_INT: - if l < min(14, self.inputBoll2Len)+1: + 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)) + format(len(self.lineBar), min(14, self.inputBoll2Len) + 1)) else: - if l < self.inputBoll2Len+2: - boll2Len = l-1 + 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]] + listClose = [x.close for x in self.lineBar[-boll2Len - 1:-1]] else: - listClose=[x.close for x in self.lineBar[-boll2Len :]] + listClose = [x.close for x in self.lineBar[-boll2Len:]] upper, middle, lower = ta.BBANDS(np.array(listClose, dtype=float), timeperiod=boll2Len, nbdevup=self.inputBoll2StdRate, @@ -1848,43 +2122,63 @@ class CtaLineBar(object): del self.lineBoll2Std[0] # 1标准差 - std = (upper[-1] - lower[-1]) / (self.inputBoll2StdRate*2) + 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 + 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 + 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 + self.lineLowerBand2.append(l) # 下轨 + self.lastBoll2Lower = l - l % self.minDiff # 下轨取整 + + # 计算斜率 + if len(self.lineUpperBand2) > 2 and self.lineUpperBand2[-2] != 0: + up_atan = math.atan((self.lineUpperBand2[-1] / self.lineUpperBand2[-2] - 1) * 100) * 180 / math.pi + up_atan = round(up_atan, 3) + if len(self.lineUpperBand2Atan) > self.inputBoll2Len * 8: + del self.lineUpperBand2Atan[0] + self.lineUpperBand2Atan.append(up_atan) + if len(self.lineMiddleBand2) > 2 and self.lineMiddleBand2[-2] != 0: + mid_atan = math.atan((self.lineMiddleBand2[-1] / self.lineMiddleBand2[-2] - 1) * 100) * 180 / math.pi + mid_atan = round(mid_atan, 3) + if len(self.lineMiddleBand2Atan) > self.inputBoll2Len * 8: + del self.lineMiddleBand2Atan[0] + self.lineMiddleBand2Atan.append(mid_atan) + if len(self.lineLowerBand2) > 2 and self.lineLowerBand2[-2] != 0: + low_atan = math.atan((self.lineLowerBand2[-1] / self.lineLowerBand2[-2] - 1) * 100) * 180 / math.pi + low_atan = round(low_atan, 3) + if len(self.lineLowerBand2Atan) > self.inputBoll2Len * 8: + del self.lineLowerBand2Atan[0] + self.lineLowerBand2Atan.append(low_atan) l = len(self.lineBar) if self.inputBollTBLen > EMPTY_INT: - if l < min(14, self.inputBollTBLen)+1: + 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)) + format(len(self.lineBar), min(14, self.inputBollTBLen) + 1)) else: - if l < self.inputBollTBLen+2: - bollLen = l-1 + 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]] + listClose = [x.close for x in self.lineBar[-bollLen - 1:-1]] else: - listClose=[x.close for x in self.lineBar[-bollLen :]] + listClose = [x.close for x in self.lineBar[-bollLen:]] - if len(self.lineUpperBand) > self.inputBollTBLen*8: + if len(self.lineUpperBand) > self.inputBollTBLen * 8: del self.lineUpperBand[0] - if len(self.lineMiddleBand) > self.inputBollTBLen*8: + if len(self.lineMiddleBand) > self.inputBollTBLen * 8: del self.lineMiddleBand[0] - if len(self.lineLowerBand) > self.inputBollTBLen*8: + if len(self.lineLowerBand) > self.inputBollTBLen * 8: del self.lineLowerBand[0] if len(self.lineBollStd) > self.inputBollTBLen * 8: del self.lineBollStd[0] @@ -1894,39 +2188,59 @@ class CtaLineBar(object): self.lineBollStd.append(std) m = np.mean(listClose) - self.lineMiddleBand.append(m) # 中轨 - self.lastBollMiddle = m - m % self.minDiff # 中轨取整 + 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 + 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 + self.lineLowerBand.append(l) # 下轨 + self.lastBollLower = l - l % self.minDiff # 下轨取整 + + # 计算斜率 + if len(self.lineUpperBand) > 2 and self.lineUpperBand[-2] != 0: + up_atan = math.atan((self.lineUpperBand[-1] / self.lineUpperBand[-2] - 1) * 100) * 180 / math.pi + up_atan = round(up_atan, 3) + if len(self.lineUpperBandAtan) > self.inputBollTBLen * 8: + del self.lineUpperBandAtan[0] + self.lineUpperBandAtan.append(up_atan) + if len(self.lineMiddleBand) > 2 and self.lineMiddleBand[-2] != 0: + mid_atan = math.atan((self.lineMiddleBand[-1] / self.lineMiddleBand[-2] - 1) * 100) * 180 / math.pi + mid_atan = round(mid_atan, 3) + if len(self.lineMiddleBandAtan) > self.inputBollTBLen * 8: + del self.lineMiddleBandAtan[0] + self.lineMiddleBandAtan.append(mid_atan) + if len(self.lineLowerBand) > 2 and self.lineLowerBand[-2] != 0: + low_atan = math.atan((self.lineLowerBand[-1] / self.lineLowerBand[-2] - 1) * 100) * 180 / math.pi + low_atan = round(low_atan, 3) + if len(self.lineLowerBandAtan) > self.inputBollTBLen * 8: + del self.lineLowerBandAtan[0] + self.lineLowerBandAtan.append(low_atan) l = len(self.lineBar) if self.inputBoll2TBLen > EMPTY_INT: - if l < min(14, self.inputBoll2TBLen)+1: + 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)) + format(len(self.lineBar), min(14, self.inputBoll2TBLen) + 1)) else: - if l < self.inputBoll2TBLen+2: - boll2Len = l-1 + 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]] + listClose = [x.close for x in self.lineBar[-boll2Len - 1:-1]] else: - listClose=[x.close for x in self.lineBar[-boll2Len :]] + listClose = [x.close for x in self.lineBar[-boll2Len:]] - if len(self.lineUpperBand2) > self.inputBoll2TBLen*8: + if len(self.lineUpperBand2) > self.inputBoll2TBLen * 8: del self.lineUpperBand2[0] - if len(self.lineMiddleBand2) > self.inputBoll2TBLen*8: + if len(self.lineMiddleBand2) > self.inputBoll2TBLen * 8: del self.lineMiddleBand2[0] - if len(self.lineLowerBand2) > self.inputBoll2TBLen*8: + if len(self.lineLowerBand2) > self.inputBoll2TBLen * 8: del self.lineLowerBand2[0] if len(self.lineBoll2Std) > self.inputBoll2TBLen * 8: del self.lineBoll2Std[0] @@ -1936,18 +2250,200 @@ class CtaLineBar(object): self.lineBoll2Std.append(std) m = np.mean(listClose) - self.lineMiddleBand2.append(m) # 中轨 - self.lastBoll2Middle = m - m % self.minDiff # 中轨取整 + 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 + 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 + self.lineLowerBand2.append(l) # 下轨 + self.lastBoll2Lower = l - l % self.minDiff # 下轨取整 - def __recountKdj(self, countInBar = False): + # 计算斜率 + if len(self.lineUpperBand2) > 2 and self.lineUpperBand2[-2] != 0: + up_atan = math.atan((self.lineUpperBand2[-1] / self.lineUpperBand2[-2] - 1) * 100) * 180 / math.pi + up_atan = round(up_atan, 3) + if len(self.lineUpperBand2Atan) > self.inputBoll2TBLen * 8: + del self.lineUpperBand2Atan[0] + self.lineUpperBand2Atan.append(up_atan) + if len(self.lineMiddleBand2) > 2 and self.lineMiddleBand2[-2] != 0: + mid_atan = math.atan((self.lineMiddleBand2[-1] / self.lineMiddleBand2[-2] - 1) * 100) * 180 / math.pi + mid_atan = round(mid_atan, 3) + if len(self.lineMiddleBand2Atan) > self.inputBoll2TBLen * 8: + del self.lineMiddleBand2Atan[0] + self.lineMiddleBand2Atan.append(mid_atan) + if len(self.lineLowerBand2) > 2 and self.lineLowerBand2[-2] != 0: + low_atan = math.atan((self.lineLowerBand2[-1] / self.lineLowerBand2[-2] - 1) * 100) * 180 / math.pi + low_atan = round(low_atan, 3) + if len(self.lineLowerBand2Atan) > self.inputBoll2TBLen * 8: + del self.lineLowerBand2Atan[0] + self.lineLowerBand2Atan.append(low_atan) + + def rt_countBoll(self): + """实时计算布林上下轨，斜率""" + boll_01_len = max(self.inputBollLen,self.inputBollTBLen) + boll_02_len = max(self.inputBoll2Len, self.inputBoll2TBLen) + + if not (boll_01_len > EMPTY_INT or boll_02_len > EMPTY_INT): # 不计算 + return + + close_len = len(self.lineClose) + + if boll_01_len > EMPTY_INT: + if close_len < min(14, boll_01_len) + 1: + return + else: + if close_len < boll_01_len + 2: + bollLen = close_len - 1 + else: + bollLen = boll_01_len + + listClose = [x.close for x in self.lineBar[-bollLen:]] + if self.inputBollTBLen == EMPTY_INT: + upper, middle, lower = ta.BBANDS(np.array(listClose, dtype=float), + timeperiod=bollLen, nbdevup=self.inputBollStdRate, + nbdevdn=self.inputBollStdRate, matype=0) + + # 1标准差 + std = (upper[-1] - lower[-1]) / (self.inputBollStdRate * 2) + self._rt_Upper = round(upper[-1], self.round_n) + self._rt_Middle = round(middle[-1], self.round_n) + self._rt_Lower = round(lower[-1], self.round_n) + else: + # 1标准差 + std = np.std(listClose, ddof=1) + m = np.mean(listClose) + self._rt_Middle = round(m,self.round_n) + u = m + self.inputBollStdRate * std + self._rt_Upper = round(u,self.round_n) + l = m - self.inputBollStdRate * std + self._rt_Lower = round(l,self.round_n) + + # 计算斜率 + if len(self.lineUpperBand) > 2 and self.lineUpperBand[-1] != 0: + up_atan = math.atan((self._rt_Upper / self.lineUpperBand[-1] - 1) * 100) * 180 / math.pi + self._rt_UpperBandAtan = round(up_atan, 3) + + if len(self.lineMiddleBand) > 2 and self.lineMiddleBand[-1] != 0: + mid_atan = math.atan((self._rt_Middle / self.lineMiddleBand[-1] - 1) * 100) * 180 / math.pi + self._rt_MiddleBandAtan = round(mid_atan, 3) + + if len(self.lineLowerBand) > 2 and self.lineLowerBand[-1] != 0: + low_atan = math.atan((self._rt_Lower / self.lineLowerBand[-1] - 1) * 100) * 180 / math.pi + self._rt_LowerBandAtan = round(low_atan, 3) + + if boll_02_len > EMPTY_INT: + if close_len < min(14, boll_02_len) + 1: + return + else: + if close_len < boll_02_len + 2: + bollLen = close_len - 1 + else: + bollLen = boll_02_len + + listClose = [x.close for x in self.lineBar[-bollLen:]] + if self.inputBoll2TBLen == EMPTY_INT: + upper, middle, lower = ta.BBANDS(np.array(listClose, dtype=float), + timeperiod=bollLen, nbdevup=self.inputBollStdRate, + nbdevdn=self.inputBollStdRate, matype=0) + + # 1标准差 + std = (upper[-1] - lower[-1]) / (self.inputBoll2StdRate * 2) + self._rt_Upper2 = round(upper[-1], self.round_n) + self._rt_Middle2 = round(middle[-1], self.round_n) + self._rt_Lower2 = round(lower[-1], self.round_n) + else: + # 1标准差 + std = np.std(listClose, ddof=1) + m = np.mean(listClose) + self._rt_Middle2 = round(m, self.round_n) + u = m + self.inputBollStdRate * std + self._rt_Upper2 = round(u, self.round_n) + l = m - self.inputBollStdRate * std + self._rt_Lower2 = round(l, self.round_n) + + # 计算斜率 + if len(self.lineUpperBand2) > 2 and self.lineUpperBand2[-1] != 0: + up_atan = math.atan((self._rt_Upper2 / self.lineUpperBand2[-1] - 1) * 100) * 180 / math.pi + self._rt_UpperBand2Atan = round(up_atan, 3) + + if len(self.lineMiddleBand2) > 2 and self.lineMiddleBand2[-1] != 0: + mid_atan = math.atan((self._rt_Middle2 / self.lineMiddleBand2[-1] - 1) * 100) * 180 / math.pi + self._rt_MiddleBand2Atan = round(mid_atan, 3) + + if len(self.lineLowerBand2) > 2 and self.lineLowerBand2[-1] != 0: + low_atan = math.atan((self._rt_Lower2 / self.lineLowerBand2[-1] - 1) * 100) * 180 / math.pi + self._rt_LowerBand2Atan = round(low_atan, 3) + + def check_rt_funcs(self,func): + """检查调用函数名是否在实时计算函数清单中，如果没有，则添加并运行""" + if func not in self.rt_funcs: + self.writeCtaLog(u'{}添加{}到实时函数中'.format(self.name,str(func.__name__))) + self.rt_funcs.add(func) + func() + + @property + def rt_Upper(self): + self.check_rt_funcs(self.rt_countBoll) + return self._rt_Upper + @property + def rt_Middle(self): + self.check_rt_funcs(self.rt_countBoll) + return self._rt_Middle + + @property + def rt_Lower(self): + self.check_rt_funcs(self.rt_countBoll) + return self._rt_Lower + + @property + def rt_UpperBandAtan(self): + self.check_rt_funcs(self.rt_countBoll) + return self._rt_UpperBandAtan + + @property + def rt_MiddleBandAtan(self): + self.check_rt_funcs(self.rt_countBoll) + return self._rt_MiddleBandAtan + + @property + def rt_LowerBandAtan(self): + self.check_rt_funcs(self.rt_countBoll) + return self._rt_LowerBandAtan + + @property + def rt_Upper2(self): + self.check_rt_funcs(self.rt_countBoll) + return self._rt_Upper + + @property + def rt_Middle2(self): + self.check_rt_funcs(self.rt_countBoll) + return self._rt_Middle + + @property + def rt_Lower2(self): + self.check_rt_funcs(self.rt_countBoll) + return self._rt_Lower + + @property + def rt_UpperBand2Atan(self): + self.check_rt_funcs(self.rt_countBoll) + return self._rt_UpperBand2Atan + + @property + def rt_MiddleBand2Atan(self): + self.check_rt_funcs(self.rt_countBoll) + return self._rt_MiddleBand2Atan + + @property + def rt_LowerBand2Atan(self): + self.check_rt_funcs(self.rt_countBoll) + return self._rt_LowerBand2Atan + + def __recountKdj(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。 @@ -1968,9 +2464,9 @@ class CtaLineBar(object): """ if self.inputKdjLen <= EMPTY_INT: return - if len(self.lineBar) < self.inputKdjLen+1: + if len(self.lineBar) < self.inputKdjLen + 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.inputKdjLen+1)) + 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: @@ -1981,14 +2477,14 @@ class CtaLineBar(object): 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]] + listClose = [x.close for x in self.lineBar[-self.inputKdjLen - 1:-1]] listHigh = [x.high for x in self.lineBar[-self.inputKdjLen - 1:-1]] listLow = [x.low for x in self.lineBar[-self.inputKdjLen - 1:-1]] idx = 2 else: - listClose =[x.close for x in self.lineBar[-self.inputKdjLen:]] - listHigh = [x.high for x in self.lineBar[-self.inputKdjLen :]] - listLow = [x.low for x in self.lineBar[-self.inputKdjLen :]] + listClose = [x.close for x in self.lineBar[-self.inputKdjLen:]] + listHigh = [x.high for x in self.lineBar[-self.inputKdjLen:]] + listLow = [x.low for x in self.lineBar[-self.inputKdjLen:]] idx = 1 hhv = max(listHigh) @@ -2007,19 +2503,19 @@ class CtaLineBar(object): if hhv == llv: rsv = 50 else: - rsv = (listClose[-1] - llv)/(hhv - llv) * 100 + rsv = (listClose[-1] - llv) / (hhv - llv) * 100 self.lineKdjRSV.append(rsv) - k = (self.inputKdjSlowLen-1)*lastK/self.inputKdjSlowLen + rsv/self.inputKdjSlowLen + 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 + 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 + j = self.inputKdjSmoothLen * k - (self.inputKdjSmoothLen - 1) * d if countInBar: self.lastD = d @@ -2040,29 +2536,29 @@ class CtaLineBar(object): del self.lineJ[0] self.lineJ.append(j) - #增加KDJ的J谷顶和波底 + # 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 = {} t["Type"] = u'T' t["J"] = self.lineJ[-2] - t["Close"] = self.lineBar[-1-idx].close + t["Close"] = self.lineBar[-1 - idx].close if len(self.lineKdjTop) > self.inputKdjLen: del self.lineKdjTop[0] - self.lineKdjTop.append( t ) + 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 = {} b["Type"] = u'B' b["J"] = self.lineJ[-2] - b["Close"] = self.lineBar[-1-idx].close + b["Close"] = self.lineBar[-1 - idx].close if len(self.lineKdjButtom) > self.inputKdjLen: del self.lineKdjButtom[0] @@ -2090,6 +2586,9 @@ class CtaLineBar(object): """ if self.inputKdjTBLen <= EMPTY_INT: return + if self.inputKdjTBLen + self.inputKdjSmoothLen > self.max_hold_bars: + self.max_hold_bars = self.inputKdjTBLen + self.inputKdjSmoothLen1 + 1 + # 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)) @@ -2100,6 +2599,9 @@ class CtaLineBar(object): if self.inputKdjSmoothLen == EMPTY_INT: self.inputKdjSmoothLen = 3 + if len(self.lineBar) < 3: + return + if len(self.lineBar) < self.inputKdjTBLen + 1: inputKdjTBLen = len(self.lineBar) # 数据是Tick模式，非bar内计算 @@ -2156,7 +2658,7 @@ class CtaLineBar(object): j = self.inputKdjSmoothLen * k - (self.inputKdjSmoothLen - 1) * d - msg = 'hhv={}, llv={}, rsv={}, k={}, d={}, j={}'.format(hhv, llv,rsv, k, d, j) + msg = 'hhv={}, llv={}, rsv={}, k={}, d={}, j={}'.format(hhv, llv, rsv, k, d, j) if countInBar: self.lastD = d self.lastK = k @@ -2221,38 +2723,297 @@ class CtaLineBar(object): if self.inputMacdSlowPeriodLen <= EMPTY_INT: return if self.inputMacdSignalPeriodLen <= EMPTY_INT: return - maxLen = max(self.inputMacdFastPeriodLen,self.inputMacdSlowPeriodLen)+self.inputMacdSignalPeriodLen+1 + maxLen = max(self.inputMacdFastPeriodLen, self.inputMacdSlowPeriodLen) + self.inputMacdSignalPeriodLen + 1 - #maxLen = maxLen * 3 # 注：数据长度需要足够，才能准确。测试过，3倍长度才可以与国内的文华等软件一致 + # maxLen = maxLen * 3 # 注：数据长度需要足够，才能准确。测试过，3倍长度才可以与国内的文华等软件一致 if len(self.lineBar) < maxLen: self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算MACD需要：{1}'.format(len(self.lineBar), maxLen)) return - if self.mode == self.TICK_MODE: - listClose =[x.close for x in self.lineBar[-maxLen:-1]] - else: - listClose =[x.close for x in self.lineBar[-maxLen-1:]] + dif, dea, macd = ta.MACD(np.array(self.lineClose, dtype=float), fastperiod=self.inputMacdFastPeriodLen, + slowperiod=self.inputMacdSlowPeriodLen, signalperiod=self.inputMacdSignalPeriodLen) - dif, dea, macd = ta.MACD(np.array(listClose, dtype=float), fastperiod=self.inputMacdFastPeriodLen, - slowperiod=self.inputMacdSlowPeriodLen, signalperiod=self.inputMacdSignalPeriodLen) - - #dif, dea, macd = ta.MACDEXT(np.array(listClose, dtype=float), + # dif, dea, macd = ta.MACDEXT(np.array(listClose, dtype=float), # fastperiod=self.inputMacdFastPeriodLen, fastmatype=1, # slowperiod=self.inputMacdSlowPeriodLen, slowmatype=1, # signalperiod=self.inputMacdSignalPeriodLen, signalmatype=1) if len(self.lineDif) > maxLen: del self.lineDif[0] - self.lineDif.append(dif[-1]) + self.lineDif.append(round(dif[-1],2)) if len(self.lineDea) > maxLen: del self.lineDea[0] - self.lineDea.append(dea[-1]) + self.lineDea.append(round(dea[-1],2)) if len(self.lineMacd) > maxLen: del self.lineMacd[0] - self.lineMacd.append(macd[-1]*2) # 国内一般是2倍 + self.lineMacd.append(round(macd[-1] * 2,2)) # 国内一般是2倍 + + # 更新 “段”（金叉-》死叉；或 死叉-》金叉) + segment = self.lineMacdSegment[-1] if len(self.lineMacdSegment)>0 else {} + + # 创建新的段 + if (self.lineMacd[-1] >0 and self.macd_count<=0) or \ + (self.lineMacd[-1] < 0 and self.macd_count >= 0): + segment = {} + # 金叉/死叉，更新位置&价格 + self.macd_count,self.macd_rt_count = (1,1) if self.lineMacd[-1] > 0 else (-1,-1) + self.macd_last_cross = round((self.lineDif[-1] + self.lineDea[-1])/2,2) + self.macd_cross_price = self.lineClose[-1] + self.macd_rt_last_cross = self.macd_last_cross + self.macd_rt_cross_price = self.macd_cross_price + # 更新段 + segment.update({ + 'macd_count':self.macd_count, + 'max_price':self.lineHigh[-1], + 'min_price':self.lineLow[-1], + 'max_dif':self.lineDif[-1], + 'min_dif':self.lineDif[-1], + 'macd_area':abs(self.lineMacd[-1]), + 'max_macd':self.lineMacd[-1], + 'min_macd':self.lineMacd[-1] + }) + self.lineMacdSegment.append(segment) + + # 新得能量柱>0，判断是否有底背离，同时，取消原有顶背离 + if self.lineMacd[-1] > 0: + self.dif_buttom_divergence = self.is_dif_divergence(direction=DIRECTION_SHORT) + self.macd_buttom_divergence = self.is_macd_divergence(direction=DIRECTION_SHORT) + self.dif_top_divergence = False + self.macd_top_divergence = False + + # 新得能量柱<0，判断是否有顶背离，同时，取消原有底背离 + elif self.lineMacd[-1] < 0: + self.dif_buttom_divergence = False + self.macd_buttom_divergence = False + self.dif_top_divergence = self.is_dif_divergence(direction=DIRECTION_LONG) + self.macd_top_divergence = self.is_macd_divergence(direction=DIRECTION_LONG) + + else: + # 继续金叉 + if self.lineMacd[-1] > 0 and self.macd_count > 0: + self.macd_count += 1 + + segment.update({ + 'macd_count': self.macd_count, + 'max_price': max(segment.get('max_price',self.lineHigh[-1]),self.lineHigh[-1]), + 'min_price': min(segment.get('min_price',self.lineLow[-1]),self.lineLow[-1]), + 'max_dif': max(segment.get('max_dif',self.lineDif[-1]),self.lineDif[-1]), + 'min_dif': min(segment.get('min_dif',self.lineDif[-1]),self.lineDif[-1]), + 'macd_area': segment.get('macd_area',0)+abs(self.lineMacd[-1]), + 'max_macd': max(segment.get('max_macd',self.lineMacd[-1]),self.lineMacd[-1]) + }) + # 取消实时得记录 + self.macd_rt_count = 0 + self.macd_rt_last_cross = 0 + self.macd_rt_cross_price = 0 + + + # 继续死叉 + elif self.lineMacd[-1] < 0 and self.macd_count < 0: + self.macd_count -= 1 + segment.update({ + 'macd_count': self.macd_count, + 'max_price': max(segment.get('max_price', self.lineHigh[-1]), self.lineHigh[-1]), + 'min_price': min(segment.get('min_price', self.lineLow[-1]), self.lineLow[-1]), + 'max_dif': max(segment.get('max_dif', self.lineDif[-1]), self.lineDif[-1]), + 'min_dif': min(segment.get('min_dif', self.lineDif[-1]), self.lineDif[-1]), + 'macd_area': segment.get('macd_area', 0) + abs(self.lineMacd[-1]), + 'min_macd': min(segment.get('min_macd',self.lineMacd[-1]),self.lineMacd[-1]) + }) + + # 取消实时得记录 + self.macd_rt_count = 0 + self.macd_rt_last_cross = 0 + self.macd_rt_cross_price = 0 + + # 删除超过10个的macd段 + if len(self.lineMacdSegment)>10: + self.lineMacdSegment.pop(0) + + def rt_countMacd(self): + """ + (实时）Macd计算方法： + 12日EMA的计算：EMA12 = 前一日EMA12 X 11/13 + 今日收盘 X 2/13 + 26日EMA的计算：EMA26 = 前一日EMA26 X 25/27 + 今日收盘 X 2/27 + 差离值（DIF）的计算： DIF = EMA12 - EMA26，即为talib-MACD返回值macd + 根据差离值计算其9日的EMA，即离差平均值，是所求的DEA值。 + 今日DEA = （前一日DEA X 8/10 + 今日DIF X 2/10），即为talib-MACD返回值signal + DIF与它自己的移动平均之间差距的大小一般BAR=（DIF-DEA)*2，即为MACD柱状图。 + 但是talib中MACD的计算是bar = (dif-dea)*1 + """ + if self.inputMacdFastPeriodLen <= EMPTY_INT: return + if self.inputMacdSlowPeriodLen <= EMPTY_INT: return + if self.inputMacdSignalPeriodLen <= EMPTY_INT: return + + maxLen = max(self.inputMacdFastPeriodLen, self.inputMacdSlowPeriodLen) + self.inputMacdSignalPeriodLen + 1 + if len(self.lineBar) < maxLen: + return + + listClose = [x.close for x in self.lineBar[-maxLen:]] + dif, dea, macd = ta.MACD(np.array(listClose, dtype=float), fastperiod=self.inputMacdFastPeriodLen, + slowperiod=self.inputMacdSlowPeriodLen, signalperiod=self.inputMacdSignalPeriodLen) + + self._rt_Dif = round(dif[-1], 2) if len(dif) > 0 else None + self._rt_Dea = round(dea[-1], 2) if len(dea) > 0 else None + self._rt_Macd = round(macd[-1] * 2, 2) if len(macd) > 0 else None + + # 判断是否实时金叉/死叉 + if self._rt_Macd is not None: + # 实时金叉 + if self._rt_Macd >=0 and self.lineMacd[-1] < 0: + self.macd_rt_count = 1 + self.macd_rt_last_cross = round((self._rt_Dif + self._rt_Dea) / 2, 2) + self.macd_rt_cross_price = listClose[-1] + + # 实时死叉 + elif self._rt_Macd <=0 and self.lineMacd[-1] > 0: + self.macd_rt_count = -1 + self.macd_rt_last_cross = round((self._rt_Dif + self._rt_Dea) / 2, 2) + self.macd_rt_cross_price = listClose[-1] + + def getRuntimeMACD(self): + """获取实时MACD计算值""" + if self.rt_countMacd in self.rt_funcs: + return self._rt_Dif, self._rt_Dea, self._rt_Macd + else: + self.writeCtaLog(u'getRuntimeMACD(),添加rt_countMacd到实时函数中') + self.rt_funcs.add(self.rt_countMacd) + self.rt_countMacd() + return self._rt_Dif, self._rt_Dea, self._rt_Macd + @property + def rt_Dif(self): + self.check_rt_funcs(self.rt_countMacd) + return self._rt_Dif + + @property + def rt_Dea(self): + self.check_rt_funcs(self.rt_countMacd) + return self._rt_Dea + + @property + def rt_Macd(self): + self.check_rt_funcs(self.rt_countMacd) + return self._rt_Macd + + def is_dif_divergence(self, direction): + """ + 检查MACD DIF是否与价格有背离 + :param: direction，多：检查是否有顶背离，空，检查是否有底背离 + """ + s1,s2 = None,None # s1,倒数的一个匹配段；s2，倒数第二个匹配段 + for seg in reversed(self.lineMacdSegment): + + if direction == DIRECTION_LONG: + if seg.get('macd_count',0) > 0: + if s1 is None: + s1 = seg + continue + elif s2 is None: + s2 = seg + break + else: + if seg.get('macd_count',0) < 0: + if s1 is None: + s1 = seg + continue + elif s2 is None: + s2 = seg + break + + if not all([s1,s2]): + return False + + if direction == DIRECTION_LONG: + s1_max_price = s1.get('max_price', None) + s2_max_price = s2.get('max_price', None) + s1_dif_max = s1.get('max_dif', None) + s2_dif_max = s2.get('max_dif', None) + if s1_max_price is None or s2_max_price is None or s1_dif_max is None and s2_dif_max is None: + return False + + # 顶背离，只能在零轴上方才判断 + if s1_dif_max < 0 or s2_dif_max < 0: + return False + + # 价格创新高（超过前高得0.99）；dif指标没有创新高 + if s1_max_price >= s2_max_price * 0.99 and s1_dif_max < s2_dif_max: + return True + + if direction == DIRECTION_SHORT: + s1_min_price = s1.get('min_price', None) + s2_min_price = s2.get('min_price', None) + s1_dif_min = s1.get('min_dif', None) + s2_dif_min = s2.get('min_dif', None) + if s1_min_price is None or s2_min_price is None or s1_dif_min is None and s2_dif_min is None: + return False + + # 底部背离，只能在零轴下方才判断 + if s1_dif_min > 0 or s1_dif_min > 0: + return False + + # 价格创新低，dif没有创新低 + if s1_min_price <= s2_min_price * 1.01 and s1_dif_min > s2_dif_min: + return True + + return False + + def is_macd_divergence(self, direction): + """ + 检查MACD 能量柱是否与价格有背离 + :param: direction，多：检查是否有顶背离，空，检查是否有底背离 + """ + s1,s2 = None,None # s1,倒数的一个匹配段；s2，倒数第二个匹配段 + for seg in reversed(self.lineMacdSegment): + + if direction == DIRECTION_LONG: + if seg.get('macd_count',0) > 0: + if s1 is None: + s1 = seg + continue + elif s2 is None: + s2 = seg + break + else: + if seg.get('macd_count',0) < 0: + if s1 is None: + s1 = seg + continue + elif s2 is None: + s2 = seg + break + + if not all([s1,s2]): + return False + + if direction == DIRECTION_LONG: + s1_max_price = s1.get('max_price', None) + s2_max_price = s2.get('max_price', None) + s1_area = s1.get('macd_area', None) + s2_area = s2.get('macd_area', None) + if s1_max_price is None or s2_max_price is None or s1_area is None and s2_area is None: + return False + + # 价格创新高（超过前高得0.99）；MACD能量柱没有创更大面积 + if s1_max_price >= s2_max_price * 0.99 and s1_area < s2_area: + return True + + if direction == DIRECTION_SHORT: + s1_min_price = s1.get('min_price', None) + s2_min_price = s2.get('min_price', None) + s1_area = s1.get('macd_area', None) + s2_area = s2.get('macd_area', None) + if s1_min_price is None or s2_min_price is None or s1_area is None and s2_area is None: + return False + + # 价格创新低，MACD能量柱没有创更大面积 + if s1_min_price <= s2_min_price * 1.01 and s1_area < s2_area: + return True + + return False + def __recountCci(self): """CCI计算 @@ -2266,14 +3027,13 @@ class CtaLineBar(object): ，而对于那些短期内暴涨暴跌的股票的价格走势时，就可能会发生指标钝化的现象。而CCI指标却是波动于正无穷大到负无穷大之间，因此不会出现指标钝化现 象，这样就有利于投资者更好地研判行情，特别是那些短期内暴涨暴跌的非常态行情。 http://baike.baidu.com/view/53690.htm?fromtitle=CCI%E6%8C%87%E6%A0%87&fromid=4316895&type=syn - - """ + if self.inputCciLen <= 0: return # 1、lineBar满足长度才执行计算 - if len(self.lineBar) < self.inputCciLen+2: + if len(self.lineBar) < self.inputCciLen + 2: self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算CCI需要：{1}'. format(len(self.lineBar), self.inputCciLen + 2)) return @@ -2284,10 +3044,10 @@ class CtaLineBar(object): if self.mode == self.TICK_MODE: listClose = [x.close for x in self.lineBar[-self.inputCciLen - 2:-1]] listHigh = [x.high for x in self.lineBar[-self.inputCciLen - 2:-1]] - listLow = [x.low for x in self.lineBar[-self.inputCciLen - 2:-1]] + listLow = [x.low for x in self.lineBar[-self.inputCciLen - 2:-1]] idx = 2 else: - listClose = [x.close for x in self.lineBar[-self.inputCciLen-1:]] + listClose = [x.close for x in self.lineBar[-self.inputCciLen - 1:]] listHigh = [x.high for x in self.lineBar[-self.inputCciLen - 1:]] listLow = [x.low for x in self.lineBar[-self.inputCciLen - 1:]] idx = 1 @@ -2298,7 +3058,7 @@ class CtaLineBar(object): barCci = round(float(barCci), 3) l = len(self.lineCci) - if l > self.inputCciLen*8: + if l > self.inputCciLen * 8: del self.lineCci[0] self.lineCci.append(barCci) @@ -2312,7 +3072,7 @@ class CtaLineBar(object): listClose = [] # 3、获取前InputN周期(不包含当前周期）的K线 if self.mode == self.TICK_MODE: - if len(self.lineBar)<2: + if len(self.lineBar) < 2: return listClose.append(self.lineBar[-2].close) else: @@ -2360,7 +3120,7 @@ class CtaLineBar(object): len_rsi = len(self.lineRsi1) if self.inputKF: - if len(self.lineStateMean) < 7 or len_rsi <=0: + if len(self.lineStateMean) < 7 or len_rsi <= 0: return listMid = self.lineStateMean[-7:-1] malist = ta.MA(np.array(listMid, dtype=float), 5) @@ -2379,11 +3139,11 @@ class CtaLineBar(object): if ma5 <= 0 or ma5_ref1 <= 0: self.writeCtaLog(u'boll中轨计算均线异常') return - self.atan = math.atan((ma5 / ma5_ref1 - 1) * 100 * 180 / math.pi) - #atan2 = math.atan((ma5 / ma5_ref1 - 1) * 100) * 180 / math.pi - #atan3 = math.atan(ma5 / ma5_ref1 - 1)* 100 - self.atan = round(self.atan,3) - #self.writeCtaLog(u'{}/{}/{}'.format(self.atan, atan2, atan3)) + self.atan = math.atan((ma5 / ma5_ref1 - 1) * 100) * 180 / math.pi + # atan2 = math.atan((ma5 / ma5_ref1 - 1) * 100) * 180 / math.pi + # atan3 = math.atan(ma5 / ma5_ref1 - 1)* 100 + self.atan = round(self.atan, 3) + # self.writeCtaLog(u'{}/{}/{}'.format(self.atan, atan2, atan3)) if self.curPeriod is None: self.writeCtaLog(u'初始化周期为震荡') @@ -2401,9 +3161,9 @@ class CtaLineBar(object): if self.curPeriod.mode == PERIOD_SHOCK: # 初始化模式 if self.curPeriod.pre_mode == PERIOD_INIT: - if self.atan < -0.8: + if self.atan < -45: self.curPeriod = CtaPeriod(mode=PERIOD_SHORT_EXTREME, price=bar.close, pre_mode=PERIOD_SHORT, - dt=bar.datetime) + dt=bar.datetime) self.periods.append(self.curPeriod) self.writeCtaLog(u'{} 角度向下,Atan:{},周期{}=》{}'. format(bar.datetime, self.atan, self.curPeriod.pre_mode, self.curPeriod.mode)) @@ -2411,9 +3171,9 @@ class CtaLineBar(object): self.onPeriodChgFunc(self.curPeriod) return - elif self.atan > 0.8: + elif self.atan > 45: self.curPeriod = CtaPeriod(mode=PERIOD_LONG_EXTREME, price=bar.close, pre_mode=PERIOD_LONG, - dt=bar.datetime) + dt=bar.datetime) self.periods.append(self.curPeriod) self.writeCtaLog(u'{} 角度加速向上,Atan:{}，周期:{}=>{}'. format(bar.datetime, self.atan, self.curPeriod.pre_mode, @@ -2424,19 +3184,19 @@ class CtaLineBar(object): return # 震荡 -》 空 - if self.atan <= -0.2: + if self.atan <= -20: self.curPeriod = CtaPeriod(mode=PERIOD_SHORT, price=bar.close, pre_mode=PERIOD_SHOCK, dt=bar.datetime) self.periods.append(self.curPeriod) self.writeCtaLog(u'{} 角度向下,Atan:{},周期{}=》{}'. - format(bar.datetime,self.atan, self.curPeriod.pre_mode, self.curPeriod.mode)) + format(bar.datetime, self.atan, self.curPeriod.pre_mode, self.curPeriod.mode)) if self.onPeriodChgFunc is not None: self.onPeriodChgFunc(self.curPeriod) # 震荡 =》 多 - elif self.atan >= 0.2: - self.curPeriod = CtaPeriod(mode=PERIOD_LONG, price=bar.close, pre_mode=PERIOD_SHOCK,dt=bar.datetime) + elif self.atan >= 20: + self.curPeriod = CtaPeriod(mode=PERIOD_LONG, price=bar.close, pre_mode=PERIOD_SHOCK, dt=bar.datetime) self.periods.append(self.curPeriod) self.writeCtaLog(u'{} 角度向上,Atan:{}，周期:{}=>{}'. - format(bar.datetime,self.atan, self.curPeriod.pre_mode, + format(bar.datetime, self.atan, self.curPeriod.pre_mode, self.curPeriod.mode)) if self.onPeriodChgFunc is not None: self.onPeriodChgFunc(self.curPeriod) @@ -2451,24 +3211,26 @@ class CtaLineBar(object): # 当前期趋势是空 if self.curPeriod.mode == PERIOD_SHORT: # 空=》空极端 - if self.atan <= -0.8 and self.atan_list[-1] < self.atan_list[-2]: - self.curPeriod = CtaPeriod(mode=PERIOD_SHORT_EXTREME, price=bar.close, pre_mode=PERIOD_SHORT, dt=bar.datetime) + if self.atan <= -45 and self.atan_list[-1] < self.atan_list[-2]: + self.curPeriod = CtaPeriod(mode=PERIOD_SHORT_EXTREME, price=bar.close, pre_mode=PERIOD_SHORT, + dt=bar.datetime) self.periods.append(self.curPeriod) self.writeCtaLog(u'{} 角度极端向下,Atan:{}，注意反弹。周期:{}=>{}'. - format(bar.datetime,self.atan, self.curPeriod.pre_mode, self.curPeriod.mode)) + format(bar.datetime, self.atan, self.curPeriod.pre_mode, self.curPeriod.mode)) if self.onPeriodChgFunc is not None: self.onPeriodChgFunc(self.curPeriod) # 空=》震荡 - elif -0.2 < self.atan < 0.2 or (self.atan >= 0.2 and self.atan_list[-2] <= -0.2): + elif -20 < self.atan < 20 or (self.atan >= 20 and self.atan_list[-2] <= -20): self.curPeriod = CtaPeriod(mode=PERIOD_SHOCK, price=bar.close, pre_mode=PERIOD_SHORT, dt=bar.datetime) self.periods.append(self.curPeriod) self.writeCtaLog(u'{} 角度平缓，Atan:{},结束下降趋势。周期:{}=>{}'. - format(bar.datetime, self.atan, self.curPeriod.pre_mode,self.curPeriod.mode)) + format(bar.datetime, self.atan, self.curPeriod.pre_mode, self.curPeriod.mode)) if self.onPeriodChgFunc is not None: self.onPeriodChgFunc(self.curPeriod) - elif self.atan > 0.2 and self.curPeriod.pre_mode == PERIOD_LONG_EXTREME and self.atan_list[-1] > self.atan_list[-2] and bar.close > lastMid: + elif self.atan > 20 and self.curPeriod.pre_mode == PERIOD_LONG_EXTREME and self.atan_list[-1] > \ + self.atan_list[-2] and bar.close > lastMid: self.curPeriod = CtaPeriod(mode=PERIOD_SHOCK, price=bar.close, pre_mode=PERIOD_SHORT, dt=bar.datetime) self.periods.append(self.curPeriod) self.writeCtaLog(u'{} 角度平缓，Atan:{},结束下降趋势。周期:{}=>{}'. @@ -2486,8 +3248,9 @@ class CtaLineBar(object): # 当前期趋势是多 if self.curPeriod.mode == PERIOD_LONG: # 多=》多极端 - if self.atan >= 0.8 and self.atan_list[-1] > self.atan_list[-2]: - self.curPeriod = CtaPeriod(mode=PERIOD_LONG_EXTREME, price=bar.close, pre_mode=PERIOD_LONG, dt=bar.datetime) + if self.atan >= 45 and self.atan_list[-1] > self.atan_list[-2]: + self.curPeriod = CtaPeriod(mode=PERIOD_LONG_EXTREME, price=bar.close, pre_mode=PERIOD_LONG, + dt=bar.datetime) self.periods.append(self.curPeriod) self.writeCtaLog(u'{} 角度加速向上,Atan:{}，周期:{}=>{}'. @@ -2497,7 +3260,7 @@ class CtaLineBar(object): self.onPeriodChgFunc(self.curPeriod) # 多=》震荡 - elif -0.2 < self.atan < 0.2 or (self.atan <= -0.2 and self.atan_list[-2] >= 0.2): + elif -20 < self.atan < 20 or (self.atan <= -20 and self.atan_list[-2] >= 20): self.curPeriod = CtaPeriod(mode=PERIOD_SHOCK, price=bar.close, pre_mode=PERIOD_LONG, dt=bar.datetime) self.periods.append(self.curPeriod) self.writeCtaLog(u'{} 角度平缓,Atan:{},结束上升趋势。周期:{}=>{}'. @@ -2506,7 +3269,8 @@ class CtaLineBar(object): self.onPeriodChgFunc(self.curPeriod) # 多=》震荡 - elif self.atan < -0.2 and self.curPeriod.pre_mode == PERIOD_SHORT_EXTREME and self.atan_list[-1] < self.atan_list[-2] and bar.close < lastMid: + elif self.atan < -20 and self.curPeriod.pre_mode == PERIOD_SHORT_EXTREME and self.atan_list[-1] < \ + self.atan_list[-2] and bar.close < lastMid: self.curPeriod = CtaPeriod(mode=PERIOD_SHOCK, price=bar.close, pre_mode=PERIOD_LONG, dt=bar.datetime) self.periods.append(self.curPeriod) self.writeCtaLog(u'{} 角度平缓,Atan:{},结束上升趋势。周期:{}=>{}'. @@ -2528,12 +3292,12 @@ class CtaLineBar(object): and bar.close < lastMid: self.curPeriod = CtaPeriod(mode=PERIOD_SHORT, price=bar.close, pre_mode=PERIOD_LONG_EXTREME, - dt=bar.datetime) + dt=bar.datetime) self.periods.append(self.curPeriod) self.writeCtaLog(u'{} 角度高位反弹向下，Atan:{} , RSI {}=》{},{}下穿中轨{},周期：{}=》{}'. format(bar.datetime, self.atan, self.lineRsi1[-2], self.lineRsi1[-1], - bar.close,lastMid, + bar.close, lastMid, self.curPeriod.pre_mode, self.curPeriod.mode)) if self.onPeriodChgFunc is not None: self.onPeriodChgFunc(self.curPeriod) @@ -2541,7 +3305,8 @@ class CtaLineBar(object): # 多极端 =》多 elif self.lineRsi1[-1] < self.lineRsi1[-2] \ and bar.close > lastMid: - self.curPeriod = CtaPeriod(mode=PERIOD_LONG, price=bar.close, pre_mode=PERIOD_LONG_EXTREME, dt=bar.datetime) + self.curPeriod = CtaPeriod(mode=PERIOD_LONG, price=bar.close, pre_mode=PERIOD_LONG_EXTREME, + dt=bar.datetime) self.periods.append(self.curPeriod) self.writeCtaLog(u'{} 角度上加速放缓，Atan:{}, & RSI{}=>{}，周期：{}=》{}'. format(bar.datetime, self.atan, self.lineRsi1[-2], self.lineRsi1[-1], @@ -2562,7 +3327,8 @@ class CtaLineBar(object): if self.lineRsi1[-1] > self.lineRsi1[-2] and min(self.lineRsi1[-5:-2]) <= 50 \ and bar.close > lastMid: - self.curPeriod = CtaPeriod(mode=PERIOD_LONG, price=bar.close, pre_mode=PERIOD_SHORT_EXTREME, dt=bar.datetime) + self.curPeriod = CtaPeriod(mode=PERIOD_LONG, price=bar.close, pre_mode=PERIOD_SHORT_EXTREME, + dt=bar.datetime) self.periods.append(self.curPeriod) self.writeCtaLog(u'{} 角度下极限低位反弹转折,Atan:{}, RSI:{}=>{},周期:{}=>{}'. @@ -2574,10 +3340,10 @@ class CtaLineBar(object): # 空极端=》空 elif self.lineRsi1[-1] > self.lineRsi1[-2] and bar.close < lastMid: self.curPeriod = CtaPeriod(mode=PERIOD_SHORT, price=bar.close, pre_mode=PERIOD_SHORT_EXTREME, - dt=bar.datetime) + dt=bar.datetime) self.periods.append(self.curPeriod) self.writeCtaLog(u'{} 角度下加速放缓，Atan:{},RSI:{}=>{}, ,周期：{}=>{}'. - format(bar.datetime, self.atan, self.lineRsi1[-2],self.lineRsi1[-1], + format(bar.datetime, self.atan, self.lineRsi1[-2], self.lineRsi1[-1], self.curPeriod.pre_mode, self.curPeriod.mode)) if self.onPeriodChgFunc is not None: self.onPeriodChgFunc(self.curPeriod) @@ -2592,14 +3358,14 @@ class CtaLineBar(object): def __recountSKD(self): """ 改良得多空线(类似KDJ，RSI） - :param bar: - :return: + :param bar: + :return: """ if not self.inputSkd: return data_len = max(self.inputSkdLen1 * 2, self.inputSkdLen1 + 20) - if len(self.lineBar) data_len * 2: del self.lineSkdSTO[0] @@ -2636,7 +3402,7 @@ class CtaLineBar(object): if sto_len < 5: return sk = ta.EMA(np.array(self.lineSkdSTO, dtype=float), 5)[-1] - if len(self.lineSK) > data_len*2: + if len(self.lineSK) > data_len * 2: del self.lineSK[0] self.lineSK.append(sk) @@ -2644,7 +3410,7 @@ class CtaLineBar(object): return sd = ta.EMA(np.array(self.lineSK, dtype=float), 3)[-1] - if len(self.lineSD) > data_len*2: + if len(self.lineSD) > data_len * 2: del self.lineSD[0] self.lineSD.append(sd) @@ -2660,7 +3426,7 @@ class CtaLineBar(object): # 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 = {} t['type'] = u'T' t['sk'] = self.lineSK[-2] t['price'] = max([bar.high for bar in self.lineBar[-4:]]) @@ -2669,14 +3435,14 @@ class CtaLineBar(object): if len(self.lineSkTop) > self.inputSkdLen2: del self.lineSkTop[0] self.lineSkTop.append(t) - if self.skd_count >0: + 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 = {} b['type'] = u'B' b['sk'] = self.lineSK[-2] b['price'] = min([bar.low for bar in self.lineBar[-4:]]) @@ -2692,7 +3458,7 @@ class CtaLineBar(object): # 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] + 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] @@ -2701,7 +3467,7 @@ class CtaLineBar(object): 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 + self.skd_last_cross = (self.lineSK[-1] + self.lineSK[-2] + self.lineSD[-1] + self.lineSD[-2]) / 4 self.skd_rt_count = self.skd_count self.skd_rt_last_cross = self.skd_last_cross if self.skd_rt_cross_price == 0 or self.cur_price < self.skd_rt_cross_price: @@ -2710,8 +3476,8 @@ class CtaLineBar(object): if self.skd_divergence < 0: # 若原来是顶背离，消失 self.skd_divergence = 0 - self.writeCtaLog(u'{} Gold Cross:{} at {}'.format(self.name, self.skd_last_cross, self.skd_cross_price)) - else: #if self.lineSK[-1] < self.lineSK[-2]: + #self.writeCtaLog(u'{} Gold Cross:{} at {}'.format(self.name, self.skd_last_cross, self.skd_cross_price)) + else: # if self.lineSK[-1] < self.lineSK[-2]: # 延续死叉 self.skd_count -= 1 # 取消实时的数据 @@ -2738,9 +3504,9 @@ class CtaLineBar(object): if self.skd_divergence > 0: self.skd_divergence = 0 - self.writeCtaLog(u'{} Dead Cross:{} at {}'.format(self.name, self.skd_last_cross, self.skd_cross_price)) + #self.writeCtaLog(u'{} Dead Cross:{} at {}'.format(self.name, self.skd_last_cross, self.skd_cross_price)) - else: #if self.lineSK[-1] > self.lineSK[-2]: + else: # if self.lineSK[-1] > self.lineSK[-2]: # 延续金叉 self.skd_count += 1 @@ -2773,7 +3539,7 @@ class CtaLineBar(object): :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: + if len(self.lineSkTop) < 2 or len(self.lineSkButtom) < 2 or self._rt_SK is None or self._rt_SD is None: return False t1 = self.lineSkTop[-1] @@ -2782,9 +3548,8 @@ class CtaLineBar(object): 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]: + if self._rt_SK < self.lineSK[-1] and self.lineSK[-2] < self.lineSK[-1]: t1 = {} t1['type'] = u'T' t1['sk'] = self.lineSK[-1] @@ -2793,7 +3558,7 @@ class CtaLineBar(object): 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]: + elif self._rt_SK > self.lineSK[-1] and self.lineSK[-2] > self.lineSK[-1]: b1 = {} b1['type'] = u'B' b1['sk'] = self.lineSK[-1] @@ -2811,9 +3576,9 @@ class CtaLineBar(object): 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 + 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 : + if t2_t1_price_rate > 0 and t2_t1_sk_rate < 0 and b1_sk > self.highSkd: return True elif direction == DIRECTION_SHORT: @@ -2831,29 +3596,48 @@ class CtaLineBar(object): return False def getRuntimeSKD(self): + if self.rt_countSkd in self.rt_funcs or self.rt_count_SK_SD in self.rt_funcs: + return self._rt_SK, self._rt_SD + else: + self.writeCtaLog(u'getRuntimeSKD(),添加rt_countSkd到实时函数中') + self.rt_funcs.add(self.rt_countSkd) + self.rt_count_SK_SD() + return self._rt_SK, self._rt_SD + + def rt_count_SK_SD(self): """ - 获取实时SKD + 计算实时SKD :return: """ if not self.inputSkd: - return 0, 0 + return + # 准备得数据长度 data_len = max(self.inputSkdLen1 * 2, self.inputSkdLen1 + 20) if len(self.lineBar) < data_len: - return 0, 0 + return - close_list = [x.close for x in self.lineBar[-data_len:]] + # 收盘价 = 结算bar + 最后一个未结束得close + close_list = self.lineClose[-data_len:] + close_list.append(self.lineBar[-1].close) + # close_list = [x.close for x in self.lineBar[-data_len:]] + + # 计算最后得动态RSI值 last_rsi = ta.RSI(np.array(close_list, dtype=float), self.inputSkdLen1)[-1] + # 所有RSI值长度不足计算标准 if len(self.lineSkdRSI) < self.inputSkdLen2: - return 0, 0 + return - rsi_list = self.lineSkdRSI[1-self.inputSkdLen2:] + # 拼接RSI list + rsi_list = self.lineSkdRSI[1 - self.inputSkdLen2:] rsi_list.append(last_rsi) + # 获取 RSI得最高/最低值 rsi_HHV = max(rsi_list) rsi_LLV = min(rsi_list) - # 计算STO + + # 计算动态STO if rsi_HHV == rsi_LLV: sto = 0 else: @@ -2861,31 +3645,33 @@ class CtaLineBar(object): sto_len = len(self.lineSkdSTO) if sto_len < 5: - return self.lineSK[-1] if len(self.lineSK)>0 else 0,self.lineSD[-1] if len(self.lineSD) > 0 else 0 + self._rt_SK = self.lineSK[-1] if len(self.lineSK) > 0 else 0 + self._rt_SD = self.lineSD[-1] if len(self.lineSD) > 0 else 0 + return + # 历史STO sto_list = self.lineSkdSTO[:] sto_list.append(sto) - sk = ta.EMA(np.array(sto_list, dtype=float), 5)[-1] + self._rt_SK = ta.EMA(np.array(sto_list, dtype=float), 5)[-1] sk_list = self.lineSK[:] - sk_list.append(sk) + sk_list.append(self._rt_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 + self._rt_SD = self.lineSD[-1] if len(self.lineSD) > 0 else 0 + else: + self._rt_SD = ta.EMA(np.array(sk_list, dtype=float), 3)[-1] 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: + if not self.inputSkd or len(self.lineSK) < 2 or self._rt_SK is None: return False if runtime: - sk, _ = self.getRuntimeSKD() + sk = self._rt_SK else: sk = self.lineSK[-1] if direction == DIRECTION_LONG and sk >= 100 - dist: @@ -2908,20 +3694,27 @@ class CtaLineBar(object): high_skd = self.highSkd if runtime: - sk, sd = self.getRuntimeSKD() + # 兼容写法，如果老策略没有配置实时运行，又用到实时数据，就添加 + if self.rt_countSkd not in self.rt_funcs: + self.writeCtaLog(u'skd_is_high_dead_cross(),添加rt_countSkd到实时函数中') + self.rt_funcs.add(self.rt_countSkd) + self.rt_count_SK_SD() + if self._rt_SK is None or self._rt_SD is None: + return False + # 判断是否实时死叉 - dead_cross = sk < self.lineSK[-1] and self.lineSK[-1] > self.lineSD[-1] and sk < sd + dead_cross = self._rt_SK < self.lineSK[-1] and self.lineSK[-1] > self.lineSD[-1] and self._rt_SK < self._rt_SD # 实时死叉 if self.skd_count >= 0 and dead_cross: - skd_last_cross = (sk + self.lineSK[-1] + sd + self.lineSD[-1]) / 4 + skd_last_cross = (self._rt_SK + self.lineSK[-1] + self._rt_SD + self.lineSD[-1]) / 4 # 记录bar内首次死叉后的值:交叉值，价格 if self.skd_rt_count >= 0: self.skd_rt_count = -1 self.skd_rt_last_cross = skd_last_cross self.skd_rt_cross_price = self.cur_price - self.writeCtaLog(u'{} rt Dead Cross at:{} ,price:{}' - .format(self.name, self.skd_rt_last_cross, self.skd_rt_cross_price)) + #self.writeCtaLog(u'{} rt Dead Cross at:{} ,price:{}' + # .format(self.name, self.skd_rt_last_cross, self.skd_rt_cross_price)) if skd_last_cross > high_skd: return True @@ -2943,20 +3736,28 @@ class CtaLineBar(object): low_skd = self.lowSkd if runtime: - sk, sd = self.getRuntimeSKD() + # 兼容写法，如果老策略没有配置实时运行，又用到实时数据，就添加 + if self.rt_countSkd not in self.rt_funcs: + self.writeCtaLog(u'skd_is_low_golden_cross添加rt_countSkd到实时函数中') + self.rt_funcs.add(self.rt_countSkd) + self.rt_count_SK_SD() + + if self._rt_SK is None or self._rt_SD is None: + return False # 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 + golden_cross = self._rt_SK > self.lineSK[-1] and self.lineSK[-1] < self.lineSD[ + -1] and self._rt_SK > self._rt_SD if self.skd_count <= 0 and golden_cross: # 实时金叉 - skd_last_cross = (sk + self.lineSK[-1] + sd + self.lineSD[-1]) / 4 + skd_last_cross = (self._rt_SK + self.lineSK[-1] + self._rt_SD + self.lineSD[-1]) / 4 - if self.skd_rt_count <=0: + if self.skd_rt_count <= 0: self.skd_rt_count = 1 self.skd_rt_last_cross = skd_last_cross self.skd_rt_cross_price = self.cur_price - self.writeCtaLog(u'{} rt Gold Cross at:{} ,price:{}' - .format(self.name, self.skd_rt_last_cross,self.skd_rt_cross_price)) + #self.writeCtaLog(u'{} rt Gold Cross at:{} ,price:{}' + # .format(self.name, self.skd_rt_last_cross, self.skd_rt_cross_price)) if skd_last_cross < low_skd: return True @@ -2966,13 +3767,36 @@ class CtaLineBar(object): return False + def rt_countSkd(self): + """ + 实时计算 SK,SD值，并且判断计算是否实时金叉/死叉 + :return: + """ + if self.inputSkd: + # 计算实时指标 rt_SK, rt_SD + self.rt_count_SK_SD() + + # 计算 实时金叉/死叉 + self.skd_is_high_dead_cross(runtime=True, high_skd=0) + self.skd_is_low_golden_cross(runtime=True, low_skd=100) + + @property + def rt_SK(self): + self.check_rt_funcs(self.rt_countSkd) + return self._rt_SK + + @property + def rt_SD(self): + self.check_rt_funcs(self.rt_countSkd) + return self._rt_SD + def __recountYB(self): """某种趋势线""" if not self.inputYb: return - if self.inputYbLen <1: + if self.inputYbLen < 1: return if self.inputYbRef < 1: @@ -2980,21 +3804,25 @@ class CtaLineBar(object): return # 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 + #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 - emaLen = self.inputYbLen + emaLen = min(len(self.lineBar),self.inputYbLen) + if emaLen < 3: + self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}'. + format(len(self.lineBar))) + return # 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*4 - 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*4:]] + 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: + if len(self.lineYb) > self.inputYbLen * 4: del self.lineYb[0] self.lineYb.append(bar_mid3_ema10) @@ -3007,42 +3835,160 @@ class CtaLineBar(object): else: self.yb_count = self.yb_count - 1 if self.yb_count <= 0 else -1 + def rt_countYb(self): + """ + 实时计算黄蓝 + :return: + """ + if not self.inputYb: + return + if self.inputYbLen < 1: + 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) < 4 * self.inputYbLen: + # self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}，计算实时YB 需要：{1}'. + # format(len(self.lineBar), 4 * self.inputYbLen)) + # return + + emaLen = min(len(self.lineBar),self.inputYbLen) + if emaLen < 3: + self.debugCtaLog(u'数据未充分,当前Bar数据数量：{0}'. + format(len(self.lineBar))) + return + # 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] + self._rt_YB = round(float(bar_mid3_ema10), self.round_n) + 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 : - return None - if self.inputYbLen < 1: - return None - if self.inputYbRef < 1: - self.debugCtaLog(u'参数 self.inputYbRef:{}不能低于1'.format(self.inputYbRef)) - return None + if self.rt_countYb not in self.rt_funcs: + self.writeCtaLog(u'{}添加rt_countYb到实时函数中'.format(self.name)) + self.rt_funcs.add(self.rt_countYb) + self.rt_countYb() + return self._rt_YB - # 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 + @property + def rt_YB(self): + self.check_rt_funcs(self.rt_countYb) + return self._rt_YB + + def __recountGoldenSection(self): + """ + 重新计算黄金分割线 + :return: + """ + if self.inputGoldenN < 0: + return + + bar_len = self.inputGoldenN + + if self.mode == self.TICK_MODE: + if bar_len > len(self.lineBar) - 1: + bar_len = len(self.lineBar) - 1 + + if bar_len < 2: + return + hhv = max([bar.high for bar in self.lineBar[-bar_len - 1:-1]]) + llv = min([bar.low for bar in self.lineBar[-bar_len - 1:-1]]) + else: + if bar_len > len(self.lineBar): + bar_len = len(self.lineBar) + + if bar_len < 2: + return + + hhv = max([bar.high for bar in self.lineBar[-bar_len:]]) + llv = min([bar.low for bar in self.lineBar[-bar_len:]]) + + if hhv == llv: + return + + self.p192 = hhv - (hhv - llv) * 0.192 + self.p382 = hhv - (hhv - llv) * 0.382 + self.p500 = (hhv + llv) / 2 + self.p618 = hhv - (hhv - llv) * 0.618 + self.p809 = hhv - (hhv - llv) * 0.809 + + # 根据最小跳动取整 + self.p192 = self.p192 - self.p192 % self.minDiff + self.p382 = self.p382 - self.p382 % self.minDiff + self.p500 = self.p500 - self.p500 % self.minDiff + self.p618 = self.p618 - self.p618 % self.minDiff + self.p809 = self.p809 - self.p809 % self.minDiff + + def __recountArea(self, bar): + """计算布林和MA的区域""" + if not self.activate_boll_ma_area: + return + + if len(self.lineMa1) < 2 or len(self.lineMiddleBand) < 2: + return + + last_area = self.area_list[-1] if len(self.area_list) > 0 else None + new_area = None + # 判断做多/做空，判断在那个区域 + # 做多：均线（169）向上，且中轨在均线上方(不包含金叉死叉点集) + # 做空：均线（169）向下，且中轨在均线下方（不包含金叉死叉点集） + + if self.lineMiddleBand[-1] > self.lineMa1[-1] > self.lineMa1[-2] : + # 做多 + if self.lineMiddleBand[-1] >= bar.close >= max(self.lineMa1[-1],self.lineLowerBand[-1]): + # 判断 A 的区域 ( ma169或下轨 ~ 中轨) + new_area = AREA_LONG_A + elif self.lineUpperBand[-1] >= bar.close > self.lineMiddleBand[-1]: + # 判断 B 的区域( 中轨 ~ 上轨) + new_area = AREA_LONG_B + elif self.lineUpperBand[-1] < bar.close: + # 判断 C 的区域( 上轨~ ) + new_area = AREA_LONG_C + elif max(self.lineMa1[-1],self.lineLowerBand[-1]) > bar.close >= min(self.lineMa1[-1],self.lineLowerBand[-1]): + # 判断 D 的区域( 下轨~均线~ ) + new_area = AREA_LONG_D + elif min(self.lineLowerBand[-1],self.lineMa1[-1]) > bar.close: + # 判断 E 的区域( ~下轨或均线下方 ) + new_area = AREA_LONG_E + elif self.lineMa1[-2] > self.lineMa1[-1] > self.lineMiddleBand[-1]: + # 做空 + if self.lineMiddleBand[-1] <= bar.close <= min(self.lineMa1[-1],self.lineUpperBand[-1]): + # 判断 A 的区域 ( ma169或上轨 ~ 中轨) + new_area = AREA_SHORT_A + elif self.lineLowerBand[-1] <= bar.close < self.lineMiddleBand[-1]: + # 判断 B 的区域( 下轨~中轨 ) + new_area = AREA_SHORT_B + elif self.lineLowerBand[-1] > bar.close: + # 判断 C 的区域( ~下轨 ) + new_area = AREA_SHORT_C + elif min(self.lineMa1[-1],self.lineUpperBand[-1]) < bar.close <= max(self.lineMa1[-1],self.lineUpperBand[-1]): + # 判断 D 的区域(均线~上轨 ) + new_area = AREA_SHORT_D + elif max(self.lineMa1[-1],self.lineUpperBand[-1]) < bar.close: + # 判断 E 的区域( 上轨~ ) + new_area = AREA_SHORT_E + + if last_area != new_area: + self.area_list.append(new_area) + self.cur_area = new_area + self.pre_area = last_area - 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""" - self.strategy.writeCtaLog(u'['+self.name+u']'+content) + self.strategy.writeCtaLog(u'[' + self.name + u']' + content) def debugCtaLog(self, content): """记录CTA日志""" if DEBUGCTALOG: - self.strategy.writeCtaLog(u'['+self.name+u'-DEBUG]'+content) + self.strategy.writeCtaLog(u'[' + self.name + u'-DEBUG]' + content) def getTradingDate(self, dt=None): """ @@ -3081,7 +4027,7 @@ class CtaLineBar(object): dict_fieldnames = list(dict_data.keys()) if field_names is None else field_names if not isinstance(dict_fieldnames, list): - print(u'{}append_data，输入字段不是list'.format(self.name),file=sys.stderr) + print(u'{}append_data，输入字段不是list'.format(self.name), file=sys.stderr) return try: if not os.path.exists(file_name): @@ -3092,21 +4038,22 @@ class CtaLineBar(object): writer.writeheader() writer.writerow(dict_data) else: - dt = dict_data.get('datetime',None) + 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)) + 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 = csv.DictWriter(f=csvWriteFile, fieldnames=dict_fieldnames, dialect='excel',extrasaction='ignore') writer.writerow(dict_data) except Exception as ex: - print(u'{}.append_data exception:{}/{}'.format(self.name,str(ex),traceback.format_exc())) + 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): + 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 @@ -3117,11 +4064,11 @@ class CtaLineBar(object): 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 + 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: + if len(datas) > dt_index + 1: try: last_dt = datetime.strptime(datas[dt_index], '%Y-%m-%d %H:%M:%S') return last_dt @@ -3129,7 +4076,7 @@ class CtaLineBar(object): return None return None - def is_shadow_line(self,open, high, low, close, direction, shadow_rate, wave_rate): + def is_shadow_line(self, open, high, low, close, direction, shadow_rate, wave_rate): """ 是否上影线/下影线 :param open: 开仓价 @@ -3141,9 +4088,9 @@ class CtaLineBar(object): :param wave_rate:振幅（百分比） :return: """ - if close<=0 or high <= low or shadow_rate <=0 or wave_rate <=0: + if close <= 0 or high <= low or shadow_rate <= 0 or wave_rate <= 0: self.writeCtaLog(u'是否上下影线,参数出错.close={}, high={},low={},shadow_rate={},wave_rate={}' - .format(close, high, low, shadow_rate, wave_rate)) + .format(close, high, low, shadow_rate, wave_rate)) return False # 振幅 = 高-低 / 收盘价 百分比 @@ -3152,13 +4099,13 @@ class CtaLineBar(object): # 上涨时，判断上影线 if direction == DIRECTION_LONG: # 上影线比例 = 上影线（高- max（开盘，收盘））/ 当日振幅=（高-低） - cur_shadow_rate = round(100 * float((high - max(open,close)) / (high-low)),2) + cur_shadow_rate = round(100 * float((high - max(open, close)) / (high - low)), 2) if cur_wave_rate >= wave_rate and cur_shadow_rate >= shadow_rate: return True # 下跌时，判断下影线 elif direction == DIRECTION_SHORT: - cur_shadow_rate = round(100 * float((min(open,close)-low) / (high-low)),2) + cur_shadow_rate = round(100 * float((min(open, close) - low) / (high - low)), 2) if cur_wave_rate >= wave_rate and cur_shadow_rate >= shadow_rate: return True @@ -3205,12 +4152,14 @@ class CtaLineBar(object): return False + class CtaMinuteBar(CtaLineBar): """ 分钟级别K线 对比基类CtaLineBar """ - def __init__(self, strategy, onBarFunc, setting=None ): + + def __init__(self, strategy, onBarFunc, setting=None): if 'period' in setting: del setting['period'] @@ -3262,6 +4211,8 @@ class CtaMinuteBar(CtaLineBar): self.paramList.append('inputMacdSignalPeriodLen') self.paramList.append('inputKF') self.paramList.append('inputSkd') + self.paramList.append('inputSkdLen1') + self.paramList.append('inputSkdLen2') self.paramList.append('inputYb') self.paramList.append('inputYbLen') self.paramList.append('inputYbRef') @@ -3269,11 +4220,13 @@ class CtaMinuteBar(CtaLineBar): self.paramList.append('inputTangentLen') self.paramList.append('inputSarAfStep') self.paramList.append('inputSarAfLimit') + self.paramList.append('inputGoldenN') + self.paramList.append('activate_boll_ma_area') self.paramList.append('is_7x24') self.paramList.append('minDiff') self.paramList.append('shortSymbol') - self.paramList.append('activeDayJump') + self.paramList.append('name') # 输入参数 @@ -3282,7 +4235,7 @@ class CtaMinuteBar(CtaLineBar): self.period = PERIOD_MINUTE # 分钟级别周期 self.barTimeInterval = 5 # 缺省为5分钟周期 - self.barMinuteInterval = 60 # 1分钟 + self.barMinuteInterval = 60 # 1分钟 def addBar(self, bar, bar_is_completed=False, bar_freq=1): """ @@ -3292,11 +4245,14 @@ 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"), + # 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) + if self.is_7x24: + bar.tradingDay = bar.date + else: + bar.tradingDay = self.getTradingDate(bar.datetime) # 更新最后价格 self.cur_price = bar.close @@ -3306,9 +4262,9 @@ class CtaMinuteBar(CtaLineBar): if l1 == 0: self.lineBar.append(bar) self.curTradingDay = bar.tradingDay - #self.m1_bars_count += bar_freq + # self.m1_bars_count += bar_freq if bar_is_completed: - #self.m1_bars_count = 0 + # self.m1_bars_count = 0 self.onBar(bar) return @@ -3319,7 +4275,7 @@ 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 + 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 @@ -3338,14 +4294,14 @@ class CtaMinuteBar(CtaLineBar): 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.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 - #self.writeCtaLog("addBar(): {}, bars_count={}".format(bar.datetime.strftime("%Y%m%d %H:%M:%S"), + # 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 @@ -3353,23 +4309,25 @@ class CtaMinuteBar(CtaLineBar): is_new_bar = True if is_new_bar: + new_bar = copy.deepcopy(bar) # 添加新的bar - self.lineBar.append(bar) + self.lineBar.append(new_bar) # 将上一个Bar推送至OnBar事件 self.onBar(lastBar) - return + else: + # 更新最后一个bar + # 此段代码，针对一部分短周期生成长周期的k线更新，如3根5分钟k线，合并成1根15分钟k线。 + lastBar.close = bar.close + lastBar.high = max(lastBar.high, bar.high) + lastBar.low = min(lastBar.low, bar.low) + lastBar.volume = lastBar.volume + bar.volume + lastBar.dayVolume = bar.dayVolume - # 更新最后一个bar - # 此段代码，针对一部分短周期生成长周期的k线更新，如3根5分钟k线，合并成1根15分钟k线。 - lastBar.close = bar.close - lastBar.high = max(lastBar.high, bar.high) - lastBar.low = min(lastBar.low, bar.low) - 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) + 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) + # 实时计算 + self.runtime_recount() # ---------------------------------------------------------------------- def drawLineBar(self, tick): @@ -3381,7 +4339,7 @@ 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 + 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 @@ -3402,7 +4360,7 @@ class CtaMinuteBar(CtaLineBar): return # 清除480周期前的数据， - if l1 > 60 * 8: + if l1 > self.max_hold_bars: del self.lineBar[0] # 与最后一个BAR的时间比对，判断是否超过K线周期 @@ -3438,8 +4396,8 @@ class CtaMinuteBar(CtaLineBar): # 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)) + .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 @@ -3457,8 +4415,10 @@ class CtaMinuteBar(CtaLineBar): # 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={}' + 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 @@ -3496,13 +4456,17 @@ class CtaMinuteBar(CtaLineBar): 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) + # 实时计算 + self.runtime_recount() + class CtaHourBar(CtaLineBar): """ 小时级别K线 对比基类CtaLineBar """ - def __init__(self, strategy, onBarFunc, setting=None ): + + def __init__(self, strategy, onBarFunc, setting=None): if 'period' in setting: del setting['period'] @@ -3552,14 +4516,17 @@ class CtaHourBar(CtaLineBar): self.paramList.append('inputMacdSignalPeriodLen') self.paramList.append('inputKF') self.paramList.append('inputSkd') + self.paramList.append('inputSkdLen1') + self.paramList.append('inputSkdLen2') self.paramList.append('inputYb') self.paramList.append('inputYbLen') self.paramList.append('inputYbRef') + self.paramList.append('inputGoldenN') + self.paramList.append('activate_boll_ma_area') self.paramList.append('is_7x24') self.paramList.append('minDiff') self.paramList.append('shortSymbol') - self.paramList.append('activeDayJump') self.paramList.append('name') # 输入参数 @@ -3568,7 +4535,7 @@ 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 # def addBar(self, bar, bar_is_completed=False, bar_freq=1): """ @@ -3579,7 +4546,10 @@ class CtaHourBar(CtaLineBar): :return: """ if bar.tradingDay is None: - bar.tradingDay = self.getTradingDate(bar.datetime) + if self.is_7x24: + bar.tradingDay = bar.date + else: + bar.tradingDay = self.getTradingDate(bar.datetime) # 更新最后价格 self.cur_price = bar.close @@ -3610,7 +4580,7 @@ class CtaHourBar(CtaLineBar): self.curTradingDay = bar.tradingDay if self.is_7x24: - if (bar.datetime - lastBar.datetime).total_seconds() >=3600 * self.barTimeInterval: + if (bar.datetime - lastBar.datetime).total_seconds() >= 3600 * self.barTimeInterval: is_new_bar = True self.curTradingDay = bar.tradingDay @@ -3623,25 +4593,27 @@ class CtaHourBar(CtaLineBar): self.m1_bars_count = bar_freq # 将上一个Bar推送至OnBar事件 self.onBar(lastBar) - return - # 更新最后一个bar - # 此段代码，针对一部分短周期生成长周期的k线更新，如3根5分钟k线，合并成1根15分钟k线。 - lastBar.close = bar.close - lastBar.high = max(lastBar.high, bar.high) - lastBar.low = min(lastBar.low, bar.low) - lastBar.volume = lastBar.volume + bar.volume - lastBar.dayVolume = bar.dayVolume + else: + # 更新最后一个bar + # 此段代码，针对一部分短周期生成长周期的k线更新，如3根5分钟k线，合并成1根15分钟k线。 + lastBar.close = bar.close + lastBar.high = max(lastBar.high, bar.high) + lastBar.low = min(lastBar.low, bar.low) + 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) + 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 + self.m1_bars_count += bar_freq - self.__rt_countSkd() + # 实时计算 + self.runtime_recount() + + # ---------------------------------------------------------------------- - # ---------------------------------------------------------------------- def drawLineBar(self, tick): """ 生成 line Bar @@ -3657,7 +4629,7 @@ class CtaHourBar(CtaLineBar): return # 清除480周期前的数据， - if l1 > 60 * 8: + if l1 > self.max_hold_bars: del self.lineBar[0] endtick = False if not self.is_7x24: @@ -3711,8 +4683,9 @@ class CtaHourBar(CtaLineBar): # 数字货币，用前后时间间隔 if (tick.datetime - lastBar.datetime).total_seconds() >= 3600 * self.barTimeInterval: self.writeCtaLog('{} drawLineBar() new_bar,{} - {} > 3600 * {} ' - .format(self.name, tick.datetime.strftime("%Y-%m-%d %H:%M:%S"), lastBar.datetime.strftime("%Y-%m-%d %H:%M:%S"), - self.barTimeInterval)) + .format(self.name, tick.datetime.strftime("%Y-%m-%d %H:%M:%S"), + lastBar.datetime.strftime("%Y-%m-%d %H:%M:%S"), + self.barTimeInterval)) is_new_bar = True # 去除分钟和秒数 tick.datetime = datetime.strptime(tick.datetime.strftime('%Y-%m-%d %H:00:00'), '%Y-%m-%d %H:%M:%S') @@ -3769,24 +4742,18 @@ class CtaHourBar(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.__rt_countSkd() + # 实时计算 + self.runtime_recount() if not endtick: self.lastTick = tick - def __rt_countSkd(self): - """ - 实时计算 - :return: - """ - if self.inputSkd: - 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 """ + def __init__(self, strategy, onBarFunc, setting=None): self.had_night_market = False # 是否有夜市 @@ -3837,14 +4804,18 @@ class CtaDayBar(CtaLineBar): self.paramList.append('inputMacdSignalPeriodLen') self.paramList.append('inputKF') self.paramList.append('inputSkd') + self.paramList.append('inputSkdLen1') + self.paramList.append('inputSkdLen2') self.paramList.append('inputYb') self.paramList.append('inputYbLen') self.paramList.append('inputYbRef') + self.paramList.append('inputGoldenN') + self.paramList.append('activate_boll_ma_area') self.paramList.append('is_7x24') self.paramList.append('minDiff') self.paramList.append('shortSymbol') - self.paramList.append('activeDayJump') + self.paramList.append('name') # 输入参数 @@ -3853,9 +4824,9 @@ class CtaDayBar(CtaLineBar): self.period = PERIOD_DAY # 日线级别周期 self.barTimeInterval = 1 # 缺省为1天 - self.barMinuteInterval = 60*24 + self.barMinuteInterval = 60 * 24 - def addBar(self, bar, bar_is_completed=False,bar_freq=1): + 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: @@ -3869,7 +4840,7 @@ class CtaDayBar(CtaLineBar): l1 = len(self.lineBar) if l1 == 0: - new_bar = copy.copy(bar) + new_bar = copy.deepcopy(bar) self.lineBar.append(new_bar) self.curTradingDay = bar.tradingDay if bar.tradingDay is not None else bar.date if bar_is_completed: @@ -3886,8 +4857,8 @@ class CtaDayBar(CtaLineBar): # 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 + 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: @@ -3896,27 +4867,27 @@ class CtaDayBar(CtaLineBar): if is_new_bar: # 添加新的bar - new_bar = copy.copy(bar) + new_bar = copy.deepcopy(bar) self.lineBar.append(new_bar) # 将上一个Bar推送至OnBar事件 self.onBar(lastBar) - return + else: + # 更新最后一个bar + # 此段代码，针对一部分短周期生成长周期的k线更新，如3根5分钟k线，合并成1根15分钟k线。 + lastBar.close = bar.close + lastBar.high = max(lastBar.high, bar.high) + lastBar.low = min(lastBar.low, bar.low) + lastBar.volume = lastBar.volume + bar.volume + lastBar.dayVolume = lastBar.volume - # 更新最后一个bar - # 此段代码，针对一部分短周期生成长周期的k线更新，如3根5分钟k线，合并成1根15分钟k线。 - lastBar.close = bar.close - lastBar.high = max(lastBar.high, bar.high) - lastBar.low = min(lastBar.low, bar.low) - 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) - 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) + # 实时计算 + self.runtime_recount() - self.__rt_countSkd() - -# ---------------------------------------------------------------------- + # ---------------------------------------------------------------------- def drawLineBar(self, tick): """ 生成 line Bar @@ -3932,7 +4903,7 @@ class CtaDayBar(CtaLineBar): return # 清除480周期前的数据， - if l1 > 60 * 8: + if l1 > self.max_hold_bars: del self.lineBar[0] # 与最后一个BAR的时间比对，判断是否超过K线周期 @@ -3941,11 +4912,11 @@ class CtaDayBar(CtaLineBar): is_new_bar = False # 交易日期不一致，新的交易日 - if len(tick.tradingDay)> 0 and tick.tradingDay != lastBar.tradingDay: + 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: + # if self.is_7x24 and tick.date != lastBar.date: # is_new_bar = True if is_new_bar: @@ -3979,20 +4950,12 @@ class CtaDayBar(CtaLineBar): else: lastBar.color = COLOR_EQUAL - self.__rt_countSkd() + # 实时计算 + self.runtime_recount() self.lastTick = tick - def __rt_countSkd(self): - """ - 实时计算 - :return: - """ - if self.inputSkd: - self.skd_is_high_dead_cross(runtime=True, high_skd=0) - self.skd_is_low_golden_cross(runtime=True,low_skd=100) - -class TestStrategy(object): +class test_strategy(object): def __init__(self): @@ -4012,6 +4975,23 @@ class TestStrategy(object): self.save_h2_bars = [] self.save_d_bars = [] + def createlineM30_with_macd(self): + # 创建M30 K线 + lineM30Setting = {} + lineM30Setting['name'] = u'M30' + lineM30Setting['period'] = PERIOD_MINUTE + lineM30Setting['barTimeInterval'] = 30 + lineM30Setting['inputMacdFastPeriodLen'] = 26 + lineM30Setting['inputMacdSlowPeriodLen'] = 12 + lineM30Setting['inputMacdSignalPeriodLen'] = 9 + lineM30Setting['mode'] = CtaLineBar.TICK_MODE + lineM30Setting['minDiff'] = self.minDiff + lineM30Setting['shortSymbol'] = self.shortSymbol + self.lineM30 = CtaLineBar(self, self.onBarM30MACD, lineM30Setting) + + def onBarM30MACD(self, bar): + self.writeCtaLog(self.lineM30.displayLastBar()) + def createLineM30(self): # 创建M30 K线 lineM30Setting = {} @@ -4029,6 +5009,8 @@ class TestStrategy(object): lineM30Setting['shortSymbol'] = self.shortSymbol self.lineM30 = CtaLineBar(self, self.onBarM30, lineM30Setting) + return + # 写入文件 self.lineM30.export_filename = os.path.abspath( os.path.join(os.getcwd(), u'export_{}_{}.csv'.format(self.vtSymbol, self.lineM30.name))) @@ -4045,7 +5027,6 @@ class TestStrategy(object): {'name': 'kf', 'source': 'lineBar', 'attr': 'lineStateMean', 'type_': 'list'} ] - def createLineH1(self): # 创建2小时K线 lineH2Setting = {} @@ -4098,7 +5079,7 @@ class TestStrategy(object): 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)) + # 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, bar_freq=self.TMinuteInterval) if self.lineH2: @@ -4110,7 +5091,7 @@ class TestStrategy(object): if self.lineM30: self.lineM30.addBar(bar, bar_freq=self.TMinuteInterval) - #if self.lineH2: + # if self.lineH2: # self.lineH2.skd_is_high_dead_cross(runtime=True, high_skd=30) # self.lineH2.skd_is_low_golden_cross(runtime=True, low_skd=70) @@ -4123,7 +5104,7 @@ class TestStrategy(object): 'high': bar.high, 'low': bar.low, 'close': bar.close, - 'turnover':0, + 'turnover': 0, 'volume': bar.volume, 'openInterest': 0, 'ma5': self.lineM30.lineMa1[-1] if len(self.lineM30.lineMa1) > 0 else bar.close, @@ -4142,7 +5123,7 @@ class TestStrategy(object): 'high': bar.high, 'low': bar.low, 'close': bar.close, - 'turnover':0, + 'turnover': 0, 'volume': bar.volume, 'openInterest': 0, 'ma5': self.lineH1.lineMa1[-1] if len(self.lineH1.lineMa1) > 0 else bar.close, @@ -4161,7 +5142,7 @@ class TestStrategy(object): 'high': bar.high, 'low': bar.low, 'close': bar.close, - 'turnover':0, + 'turnover': 0, 'volume': bar.volume, 'openInterest': 0, 'ma5': self.lineH2.lineMa1[-1] if len(self.lineH2.lineMa1) > 0 else bar.close, @@ -4187,9 +5168,11 @@ class TestStrategy(object): 'ma18': self.lineD.lineMa3[-1] if len(self.lineD.lineMa3) > 0 else bar.close, 'sk': self.lineD.lineSK[-1] if len(self.lineD.lineSK) > 0 else 0, 'sd': self.lineD.lineSD[-1] if len(self.lineD.lineSD) > 0 else 0 - }) + }) + 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)) + 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) @@ -4199,7 +5182,8 @@ class TestStrategy(object): if len(self.save_m30_bars) > 0: outputFile = '{}_m30.csv'.format(self.vtSymbol) with open(outputFile, 'w', encoding='utf8', newline='') as f: - fieldnames = ['datetime', 'open', 'price', 'high','low','close','turnover','volume','openInterest','ma5','ma10','ma18','sk','sd'] + fieldnames = ['datetime', 'open', 'price', 'high', 'low', 'close', 'turnover', 'volume', 'openInterest', + 'ma5', 'ma10', 'ma18', 'sk', 'sd'] writer = csv.DictWriter(f=f, fieldnames=fieldnames, dialect='excel') writer.writeheader() for row in self.save_m30_bars: @@ -4208,7 +5192,8 @@ class TestStrategy(object): if len(self.save_h1_bars) > 0: outputFile = '{}_h1.csv'.format(self.vtSymbol) with open(outputFile, 'w', encoding='utf8', newline='') as f: - fieldnames = ['datetime', 'open', 'price', 'high','low','close','turnover','volume','openInterest','ma5','ma10','ma18','sk','sd'] + fieldnames = ['datetime', 'open', 'price', 'high', 'low', 'close', 'turnover', 'volume', 'openInterest', + 'ma5', 'ma10', 'ma18', 'sk', 'sd'] writer = csv.DictWriter(f=f, fieldnames=fieldnames, dialect='excel') writer.writeheader() for row in self.save_h1_bars: @@ -4217,7 +5202,8 @@ class TestStrategy(object): if len(self.save_h2_bars) > 0: outputFile = '{}_h2.csv'.format(self.vtSymbol) with open(outputFile, 'w', encoding='utf8', newline='') as f: - fieldnames = ['datetime', 'open', 'price', 'high','low','close','turnover','volume','openInterest','ma5','ma10','ma18','sk','sd'] + fieldnames = ['datetime', 'open', 'price', 'high', 'low', 'close', 'turnover', 'volume', 'openInterest', + 'ma5', 'ma10', 'ma18', 'sk', 'sd'] writer = csv.DictWriter(f=f, fieldnames=fieldnames, dialect='excel') writer.writeheader() for row in self.save_h2_bars: @@ -4226,39 +5212,46 @@ class TestStrategy(object): if len(self.save_d_bars) > 0: outputFile = '{}_d.csv'.format(self.vtSymbol) with open(outputFile, 'w', encoding='utf8', newline='') as f: - fieldnames = ['datetime', 'open', 'price', 'high','low','close','turnover','volume','openInterest','ma5','ma10','ma18','sk','sd'] + fieldnames = ['datetime', 'open', 'price', 'high', 'low', 'close', 'turnover', 'volume', 'openInterest', + 'ma5', 'ma10', 'ma18', 'sk', 'sd'] writer = csv.DictWriter(f=f, fieldnames=fieldnames, dialect='excel') writer.writeheader() for row in self.save_d_bars: writer.writerow(row) + if __name__ == '__main__': - t = TestStrategy() + t = test_strategy() t.minDiff = 1 - t.shortSymbol = 'J' - t.vtSymbol = 'J99' + t.shortSymbol = 'AP' + t.vtSymbol = 'AP99' + t.createlineM30_with_macd() + # 创建M30线 - t.createLineM30() + #t.createLineM30() # 回测1小时线 - #t.createLineH1() + # t.createLineH1() # 回测2小时线 - #t.createLineH2() + # t.createLineH2() # 回测日线 - #t.createLineD() + # t.createLineD() - filename = 'cache/{}_20141201_20171231_1m.csv'.format(t.vtSymbol) + filename = 'cache/{}_20170901_20181130_1m.csv'.format(t.vtSymbol) + + barTimeInterval = 60 # 60秒 + minDiff = 1 # 回测数据的最小跳动 - 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') + + csvfile = open(filename, 'r', encoding='utf8') reader = csv.DictReader((line.replace('\0', '') for line in csvfile), delimiter=",") last_tradingDay = None for row in reader: @@ -4268,19 +5261,19 @@ if __name__ == '__main__': 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') + # 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.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.close = pickPrice(float(row['close']), minDiff) bar.volume = float(row['volume']) barEndTime = datetime.strptime(row['index'], '%Y-%m-%d %H:%M:%S') @@ -4293,7 +5286,7 @@ if __name__ == '__main__': if 'trading_date' in row: bar.tradingDay = row['trading_date'] else: - if bar.datetime.hour >=21: + 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') @@ -4307,7 +5300,12 @@ if __name__ == '__main__': bar.tradingDay = bar.date t.onBar(bar) + # 测试 实时计算值 + #sk, sd = t.lineM30.getRuntimeSKD() + # 测试实时计算值 + #if bar.datetime.minute==1: + # print('rt_Dif:{}'.format(t.lineM30.rt_Dif)) except Exception as ex: t.writeCtaLog(u'{0}:{1}'.format(Exception, ex)) traceback.print_exc() diff --git a/vnpy/trader/app/ctaStrategy/ctaPolicy.py b/vnpy/trader/app/ctaStrategy/ctaPolicy.py index defe5fa3..d0b31677 100644 --- a/vnpy/trader/app/ctaStrategy/ctaPolicy.py +++ b/vnpy/trader/app/ctaStrategy/ctaPolicy.py @@ -63,16 +63,21 @@ class CtaPolicy(object): """ self.writeCtaLog(u'将数据从json_data中恢复') - if 'create_time' in json_data: + self.create_time = datetime.now() + create_time = json_data.get('create_time',None) + + if len(create_time) > 0: try: - self.create_time = datetime.strptime(json_data['create_time'], '%Y-%m-%d %H:%M:%S') + self.create_time = datetime.strptime(create_time, '%Y-%m-%d %H:%M:%S') except Exception as ex: self.writeCtaError(u'解释create_time异常:{}'.format(str(ex))) self.create_time = datetime.now() - if 'save_time' in json_data: + self.create_time = datetime.now() + save_time = json_data.get('save_time',None) + if len(save_time)> 0: try: - self.save_time = datetime.strptime(json_data['save_time'], '%Y-%m-%d %H:%M:%S') + self.save_time = datetime.strptime(save_time, '%Y-%m-%d %H:%M:%S') except Exception as ex: self.writeCtaError(u'解释save_time异常:{}'.format(str(ex))) self.save_time = datetime.now() @@ -90,12 +95,12 @@ class CtaPolicy(object): with open(json_file, 'r', encoding='utf8') as f: # 解析json文件 json_data = json.load(f) - except IOError as ex: + except Exception as ex: self.writeCtaError(u'读取Policy文件{}出错,ex:{}'.format(json_file,str(ex))) json_data = {} - # 从持久化文件恢复数据 - self.fromJson(json_data) + # 从持久化文件恢复数据 + self.fromJson(json_data) def save(self): """ @@ -106,13 +111,22 @@ class CtaPolicy(object): os.path.join(self.get_data_folder(), u'{}_Policy.json'.format(self.strategy.name))) try: - json_data = self.toJson() - + # 修改为：回测时不保存 if self.strategy and self.strategy.backtesting: - json_data['save_time'] = self.strategy.curDateTime.strftime('%Y-%m-%d %H:%M:%S') - else: - json_data['save_time'] = datetime.now().strftime('%Y-%m-%d %H:%M:%S') + return + #json_data = self.toJson() + #if self.strategy and self.strategy.backtesting: + # dt = getattr(self.strategy,'curDateTime') + # if dt is not None: + # json_data['save_time'] = self.strategy.curDateTime.strftime('%Y-%m-%d %H:%M:%S') + # else: + # json_data['save_time'] = datetime.now().strftime('%Y-%m-%d %H:%M:%S') + #else: + # json_data['save_time'] = datetime.now().strftime('%Y-%m-%d %H:%M:%S') + + json_data = self.toJson() + json_data['save_time'] = datetime.now().strftime('%Y-%m-%d %H:%M:%S') with open(json_file, 'w') as f: data = json.dumps(json_data, indent=4) f.write(data) @@ -125,6 +139,9 @@ class CtaPolicy(object): 导出历史 :return: """ + if getattr(self.strategy,'curDateTime') is None: + return + export_dir = os.path.abspath(os.path.join( self.get_data_folder(), 'export_csv', @@ -285,16 +302,21 @@ class TurtlePolicy(CtaPolicy): :param json_data: :return: """ - if 'create_time' in json_data: + self.create_time = datetime.now() + create_time = json_data.get('create_time', None) + + if len(create_time) > 0: try: - self.create_time = datetime.strptime(json_data['create_time'], '%Y-%m-%d %H:%M:%S') + self.create_time = datetime.strptime(create_time, '%Y-%m-%d %H:%M:%S') except Exception as ex: self.writeCtaError(u'解释create_time异常:{}'.format(str(ex))) self.create_time = datetime.now() - if 'save_time' in json_data: + self.create_time = datetime.now() + save_time = json_data.get('save_time', None) + if len(save_time) > 0: try: - self.save_time = datetime.strptime(json_data['save_time'], '%Y-%m-%d %H:%M:%S') + self.save_time = datetime.strptime(save_time, '%Y-%m-%d %H:%M:%S') except Exception as ex: self.writeCtaError(u'解释save_time异常:{}'.format(str(ex))) self.save_time = datetime.now() @@ -485,16 +507,21 @@ class TrendPolicy(CtaPolicy): :param json_data: :return: """ - if 'create_time' in json_data: + self.create_time = datetime.now() + create_time = json_data.get('create_time', None) + + if len(create_time) > 0: try: - self.create_time = datetime.strptime(json_data['create_time'], '%Y-%m-%d %H:%M:%S') + self.create_time = datetime.strptime(create_time, '%Y-%m-%d %H:%M:%S') except Exception as ex: self.writeCtaError(u'解释create_time异常:{}'.format(str(ex))) self.create_time = datetime.now() - if 'save_time' in json_data: + self.create_time = datetime.now() + save_time = json_data.get('save_time', None) + if len(save_time) > 0: try: - self.save_time = datetime.strptime(json_data['save_time'], '%Y-%m-%d %H:%M:%S') + self.save_time = datetime.strptime(save_time, '%Y-%m-%d %H:%M:%S') except Exception as ex: self.writeCtaError(u'解释save_time异常:{}'.format(str(ex))) self.save_time = datetime.now() diff --git a/vnpy/trader/app/ctaStrategy/ctaPosition.py b/vnpy/trader/app/ctaStrategy/ctaPosition.py index 04939464..00e80177 100644 --- a/vnpy/trader/app/ctaStrategy/ctaPosition.py +++ b/vnpy/trader/app/ctaStrategy/ctaPosition.py @@ -45,7 +45,7 @@ class CtaPosition: if direction == DIRECTION_LONG: # 加多仓 if (max(self.pos, self.longPos) + vol) > self.maxPos: - self.writeCtaError(u'异常，超出仓位。净:{0},多:{1},加多:{2},最大:{3}' + self.writeCtaError(u'异常，超出仓位。净:{},多:{},加多:{},最大:{}' .format(self.pos, self.longPos, vol, self.maxPos)) # 只告警 @@ -62,7 +62,7 @@ class CtaPosition: if direction == DIRECTION_SHORT: # 加空仓 if (min(self.pos, self.shortPos) - vol) < (0 - self.maxPos): - self.writeCtaError(u'异常，超出仓位。净:{0},空:{1},加空:{2},最大:{3}' + self.writeCtaError(u'异常，超出仓位。净:{},空:{},加空:{},最大:{}' .format(self.pos, self.shortPos, vol, self.maxPos)) #return False @@ -91,7 +91,7 @@ class CtaPosition: if direction == DIRECTION_LONG: # 平空仓 Cover if self.shortPos + vol > 0: - self.writeCtaError(u'异常，超出仓位。净:{0},空:{1},平仓:{2}'.format(self.pos, self.shortPos, vol)) + self.writeCtaError(u'异常，超出仓位。净:{},空:{},平仓:{}'.format(self.pos, self.shortPos, vol)) #self.strategy.pos = self.pos #return False @@ -105,7 +105,7 @@ class CtaPosition: if direction == DIRECTION_SHORT: # 平多仓 if self.longPos - vol < 0: - self.writeCtaError(u'异常，超出仓位。净:{0},多:{1},平仓:{2}'.format(self.pos, self.longPos, vol)) + self.writeCtaError(u'异常，超出仓位。净:{},多:{},平仓:{}'.format(self.pos, self.longPos, vol)) #self.strategy.pos = self.pos #return False diff --git a/vnpy/trader/app/ctaStrategy/ctaTemplate.py b/vnpy/trader/app/ctaStrategy/ctaTemplate.py index 217d22f8..96ca1091 100644 --- a/vnpy/trader/app/ctaStrategy/ctaTemplate.py +++ b/vnpy/trader/app/ctaStrategy/ctaTemplate.py @@ -96,7 +96,12 @@ class CtaTemplate(object): def onOrder(self, order): """收到委托变化推送（必须由用户继承实现）""" raise NotImplementedError - + # ---------------------------------------------------------------------- + + def onStopOrder(self, orderRef): + """停止单更新""" + self.writeCtaLog(u'停止单触发，orderRef:{}'.format(orderRef)) + # ---------------------------------------------------------------------- def onTrade(self, trade): """收到成交推送（必须由用户继承实现）""" @@ -302,7 +307,6 @@ class CtaTemplate(object): try: self.ctaEngine.writeCtaCritical(content,strategy_name=self.name) except Exception as ex: - self.ctaEngine.writeCtaCritical(content) else: @@ -380,6 +384,7 @@ class CtaTemplate(object): return try: if not os.path.exists(file_name): + # 写入表头 self.writeCtaLog(u'create csv file:{}'.format(file_name)) with open(file_name, 'a', encoding='utf8', newline='') as csvWriteFile: writer = csv.DictWriter(f=csvWriteFile, fieldnames=dict_fieldnames, dialect='excel') @@ -387,9 +392,11 @@ class CtaTemplate(object): writer.writeheader() writer.writerow(dict_data) else: + # 写入数据 with open(file_name, 'a', encoding='utf8', newline='') as csvWriteFile: - writer = csv.DictWriter(f=csvWriteFile, fieldnames=dict_fieldnames, dialect='excel') + writer = csv.DictWriter(f=csvWriteFile, fieldnames=dict_fieldnames, dialect='excel',extrasaction='ignore') writer.writerow(dict_data) + except Exception as ex: self.writeCtaError(u'append_data exception:{}'.format(str(ex))) @@ -453,15 +460,16 @@ class MatrixTemplate(CtaTemplate): """ if not self.position: return [] - l = [] + pos_list = [] if self.position.longPos > 0: - l.append({'vtSymbol': self.vtSymbol, 'direction': DIRECTION_LONG, 'volume': self.position.longPos}) + pos_list.append({'vtSymbol': self.vtSymbol, 'direction': 'long', 'volume': self.position.longPos}) if abs(self.position.shortPos) > 0: - l.append({'vtSymbol': self.vtSymbol, 'direction': DIRECTION_SHORT, 'volume': abs(self.position.shortPos)}) + pos_list.append({'vtSymbol': self.vtSymbol, 'direction': 'short', 'volume': abs(self.position.shortPos)}) - self.writeCtaLog(u'当前持仓:{}'.format(l)) - return l + if len(pos_list)>0: + self.writeCtaLog(u'当前持仓:{}'.format(pos_list)) + return pos_list def timeWindow(self, dt): """交易与平仓窗口""" diff --git a/vnpy/trader/app/ctaStrategy/strategy/__init__.py b/vnpy/trader/app/ctaStrategy/strategy/__init__.py index 12fe5fe3..18bc6e72 100644 --- a/vnpy/trader/app/ctaStrategy/strategy/__init__.py +++ b/vnpy/trader/app/ctaStrategy/strategy/__init__.py @@ -5,7 +5,7 @@ 如果重复，工作目录的strategy优先。 ''' -import os +import os,sys import importlib import traceback @@ -33,6 +33,27 @@ def loadStrategyModule(moduleName): print('Failed to import strategy file %s:' % moduleName) print('Exception:{},{}'.format(str(ex),traceback.format_exc())) +# ---------------------------------------------------------------------- +def reloadStrategyModule(moduleName): + """使用importlib动态重新载入模块""" + try: + print('reloading {}'.format(moduleName)) + module = importlib.import_module(moduleName) + module = importlib.reload(module) + + # 遍历模块下的对象，只有名称中包含'Strategy'的才是策略类 + for k in dir(module): + if 'Strategy' in k: + print('reloading: add {} into STRATEGY_CLASS'.format(k)) + v = module.__getattribute__(k) + if k in STRATEGY_CLASS: + print('Replace strategy {} with {}'.format(k, moduleName)) + STRATEGY_CLASS[k] = v + except Exception as ex: + print('-' * 20) + print('Failed to reload strategy file %s:' % moduleName,file=sys.stderr) + print('Exception:{},{}'.format(str(ex), traceback.format_exc()), file=sys.stderr) + # 获取目录路径 path = os.path.abspath(os.path.dirname(__file__)) diff --git a/vnpy/trader/app/ctaStrategy/uiCtaWidget.py b/vnpy/trader/app/ctaStrategy/uiCtaWidget.py index 7e75dceb..bc1377a3 100644 --- a/vnpy/trader/app/ctaStrategy/uiCtaWidget.py +++ b/vnpy/trader/app/ctaStrategy/uiCtaWidget.py @@ -49,7 +49,11 @@ class CtaValueMonitor(QtWidgets.QTableWidget): # 新增数据 col = 0 for k, v in data.items(): - cell = QtWidgets.QTableWidgetItem(v) + #if isinstance(v,dict): + # item = u'{}'.format(v) + #else: + # item = v + cell = QtWidgets.QTableWidgetItem(str(v)) self.keyCellDict[k] = cell self.setItem(0, col, cell) col += 1 @@ -285,9 +289,12 @@ class CtaEngineManager(QtWidgets.QWidget): #---------------------------------------------------------------------- def updateCtaLog(self, event): """更新CTA相关日志""" - log = event.dict_['data'] - content = '\t'.join([log.logTime, log.logContent]) - self.ctaLogMonitor.append(content) + try: + log = event.dict_['data'] + content = '{}\t{}'.format(log.logTime, log.logContent) + self.ctaLogMonitor.append(content) + except Exception as ex: + print(u'update exception:{},{}'.format(str(ex),traceback.format_exc())) #---------------------------------------------------------------------- def registerEvent(self): diff --git a/vnpy/trader/util_monitor.py b/vnpy/trader/util_monitor.py index 9b9271da..5683f115 100644 --- a/vnpy/trader/util_monitor.py +++ b/vnpy/trader/util_monitor.py @@ -77,7 +77,7 @@ class BasicMonitor(object): # v = v.decode('gbk') # except: # v = v.decode('utf8') - s.append('%s: %s' % (value['chinese'], v)) + s.append('%s: %s' % (value['chinese'], str(v))) if self.logger is not None: self.logger.info(' '.join(s)) diff --git a/vnpy/trader/util_wx_ft.py b/vnpy/trader/util_wx_ft.py new file mode 100644 index 00000000..bad92f53 --- /dev/null +++ b/vnpy/trader/util_wx_ft.py @@ -0,0 +1,72 @@ +# -*- coding:utf-8 -*- +''' +通过FTQQ发送Weixin的消息 +http://sc.ftqq.com/3.version +''' + +from threading import Lock,Thread +import requests +import json +import sys +import traceback +from urllib.parse import urlencode +from datetime import datetime + +global wxft_lock +wxft_lock = Lock() + +# 这里可以设置多个微信接受者的Token,列表方式添加就好 +SEC_TOKENS = ['SCU3803xxxxcc2e70f64d'] + +class wxft_thread(Thread): + def __init__(self,token, text, desp): + + # text：消息标题，最长为256，必填。 + # desp：消息内容，最长64Kb，可空，支持MarkDown。 + + super(wxft_thread, self).__init__(name="wxft_thread") + self.url = "https://sc.ftqq.com/{}.send".format(token) + self.token = token + self.text = text + self.desp = desp + self.lock = wxft_lock + + def run(self): + if self.text is None or len(self.text)==0: + return + params = {} + params['text'] = self.text + params['desp'] = self.desp + + # 发送请求 + try: + response = requests.get(self.url,params=urlencode(params)) + except Exception as e: + print("{} wx_ft sent failed! ex:{},trace:{}".format(datetime.now(),str(e),traceback.format_exc()),file=sys.stderr) + return + + print("wx_ft sent successful!") + +def sendWxMsg(text = '',desp = ''): + """ + 发送微信Msg + :param chat_id: 接收者ID,空值时，直接发发送给i-quant群组，列表时，就逐一发送 + :param parse_mode: 发送内容格式(普通文本，Markdown，html + :param text: 发送内容 + + :return: + """ + if len(text) == 0: + return + + for token in SEC_TOKENS: + t = wxft_thread(token=token,text=text,desp=desp) + t.daemon = False + # t.run() + t.start() + +if __name__ == '__main__': + text = u'测试标题!!!!\n第二行' + desp = u'测试备注\n第二行备注' + + sendWxMsg(text,desp) diff --git a/vnpy/trader/vtEngine.py b/vnpy/trader/vtEngine.py index 09dcf920..bc8033b0 100644 --- a/vnpy/trader/vtEngine.py +++ b/vnpy/trader/vtEngine.py @@ -293,6 +293,7 @@ class MainEngine(object): """退出程序前调用，保证正常退出""" # 安全关闭所有接口 for gateway in list(self.gatewayDict.values()): + self.writeLog(u'vtEngine退出,关闭接口') gateway.close() # 停止事件引擎 @@ -323,6 +324,7 @@ class MainEngine(object): # 断开所有的gateway for gateway in list(self.gatewayDict.values()): + self.writeLog(u'vtEngine.disconnect()，断开所有的gateway') gateway.close() return True @@ -376,10 +378,7 @@ class MainEngine(object): # 写入本地log日志 if self.logger is not None: self.logger.error(content) - print('{}'.format(datetime.now()),file=sys.stderr) - print(content, file=sys.stderr) else: - print(content, file=sys.stderr) self.createLogger() # 发出邮件/微信 @@ -401,6 +400,9 @@ class MainEngine(object): event.dict_['data'] = log self.eventEngine.put(event) + print('{}'.format(datetime.now()), file=sys.stderr) + print(content, file=sys.stderr) + # 写入本地log日志 if self.logger is not None: self.logger.warning(content) @@ -459,13 +461,13 @@ class MainEngine(object): event.dict_['data'] = log self.eventEngine.put(event) + print('{}'.format(datetime.now()), file=sys.stderr) + print(content, file=sys.stderr) + # 写入本地log日志 if self.logger: self.logger.critical(content) - print('{}'.format(datetime.now()), file=sys.stderr) - print(content, file=sys.stderr) else: - print(content, file=sys.stderr) self.createLogger() # 发出邮件 @@ -693,9 +695,6 @@ class MainEngine(object): if self.db_has_connected: self.writeLog(u'重新尝试连接数据库') self.dbConnect() - except AutoReconnect as ex: - self.writeError(u'数据库连接断开重连:{}'.format(str(ex))) - time.sleep(1) except Exception as ex: self.writeError(u'dbDelete exception:{}'.format(str(ex))) @@ -773,16 +772,18 @@ class MainEngine(object): def startStrategy(self,name): if not self.ctaEngine: self.writeError(u'Cta Engine not started') - return + return False self.ctaEngine.startStrategy(name=name) self.qryStatus() + return True def stopStrategy(self,name): if not self.ctaEngine: self.writeError(u'Cta Engine not started') - return + return False self.ctaEngine.stopStrategy(name=name) self.qryStatus() + return True ######################################################################## class DataEngine(object): @@ -818,6 +819,13 @@ class DataEngine(object): def updateContract(self, event): """更新合约数据""" contract = event.dict_['data'] + if contract.vtSymbol.endswith('99'): + old_contract = self.contractDict.get(contract.vtSymbol,None) + if old_contract is not None: + contract.size = max(contract.size, old_contract.size) + contract.longMarginRatio = max(contract.longMarginRatio,old_contract.longMarginRatio) + contract.shortMarginRatio = max(contract.shortMarginRatio, old_contract.shortMarginRatio) + self.contractDict[contract.vtSymbol] = contract self.contractDict[contract.symbol] = contract # 使用常规代码（不包括交易所）可能导致重复 diff --git a/vnpy/trader/vtFunction.py b/vnpy/trader/vtFunction.py index 9630d56c..2b4d0f93 100644 --- a/vnpy/trader/vtFunction.py +++ b/vnpy/trader/vtFunction.py @@ -9,6 +9,7 @@ import decimal import json from datetime import datetime import importlib +import re MAX_NUMBER = 10000000000000 MAX_DECIMAL = 8 @@ -29,6 +30,43 @@ def floatToStr(float_str): else: return float_str +def getShortSymbol(symbol): + """取得合约的短号""" + # 套利合约 + if symbol.find(' ') != -1: + # 排除SP SPC SPD + s = symbol.split(' ') + if len(s) < 2: + return symbol + symbol = s[1] + + # 只提取leg1合约 + if symbol.find('&') != -1: + s = symbol.split('&') + if len(s) < 2: + return symbol + symbol = s[0] + + p = re.compile(r"([A-Z]+)[0-9]+", re.I) + shortSymbol = p.match(symbol) + + if shortSymbol is None: + return symbol + + return shortSymbol.group(1) + +def getFullSymbol(symbol): + """获取全路径得合约名称""" + short_symbol = getShortSymbol(symbol) + if short_symbol == symbol: + return symbol + + symbol_month = symbol.replace(short_symbol, '') + if len(symbol_month) == 3: + return '{0}1{1}'.format(short_symbol, symbol_month) + else: + return symbol + # ----------------------------------------- def systemSymbolToVnSymbol(symbol): """ @@ -252,7 +290,6 @@ def save_text_to_excel(file_name, sheet_name, text): print(u'save_text_to_excel exception:{}'.format(str(ex)), traceback.format_exc(),file=sys.stderr) return False - def save_images_to_excel(file_name, sheet_name, image_names): """ # 保存图形文件到excel diff --git a/vnpy/trader/vtGateway.py b/vnpy/trader/vtGateway.py index 747cbcc1..0a0b5854 100644 --- a/vnpy/trader/vtGateway.py +++ b/vnpy/trader/vtGateway.py @@ -212,3 +212,16 @@ class VtGateway(object): if self.logger: self.logger.error(content) + + # ---------------------------------------------------------------------- + def printDict(self,d): + """返回dict的字符串类型""" + if not isinstance(d,dict): + return EMPTY_STRING + + l = d.keys() + l = sorted(l) + str = EMPTY_STRING + for k in l: + str +=u'{}:{}\n'.format(k, d[k]) + return str diff --git a/vnpy/trader/vtMain.py b/vnpy/trader/vtMain.py deleted file mode 100644 index 38e4c39c..00000000 --- a/vnpy/trader/vtMain.py +++ /dev/null @@ -1,74 +0,0 @@ -# encoding: UTF-8 - - -# 重载sys模块，设置默认字符串编码方式为utf8 -import sys -#reload(sys) -#sys.setdefaultencoding('utf8') - -import sys -import os -import ctypes -import platform -system = platform.system() - -# 将repostory的目录，作为根目录，添加到系统环境中。 -ROOT_PATH = os.path.abspath(os.path.join(os.path.dirname(__file__), '..' , '..')) -sys.path.append(ROOT_PATH) - -from vnpy.trader.vtEngine import MainEngine -from vnpy.trader.uiQt import createQApp -from vnpy.trader.uiMainWindow import * - -# 加载底层接口 -from vnpy.trader.gateway import ctpGateway -# 初始化的接口模块，以及其指定的名称,CTP是模块，value，是该模块下的多个连接配置文件,如 CTP_JR_connect.json 'CTP_Prod', 'CTP_JR', , 'CTP_JK', 'CTP_02' -init_gateway_names = {'CTP': ['CTP','CTP_YH01', 'CTP_YH02', 'CTP_YH03','CTP_JK','CTP_Huafu001','CTP_Huafu002']} - -from vnpy.trader.app import (ctaStrategy, riskManager, spreadTrading) - -# 文件路径名 -path = os.path.abspath(os.path.dirname(__file__)) -ICON_FILENAME = 'vnpy.ico' -ICON_FILENAME = os.path.join(path, ICON_FILENAME) - -from vnpy.trader.setup_logger import setup_logger - -# ---------------------------------------------------------------------- -def main(): - """主程序入口""" - - logger = setup_logger(filename='logs/vnpy.log', debug=False) - - # 创建Qt应用对象 - qApp = createQApp() - - # 创建事件引擎 - ee = EventEngine2() - - # 初始化主引擎和主窗口对象 - mainEngine = MainEngine(ee) - - mainEngine.logger = logger - - # 添加Gatway - for gw_name in init_gateway_names['CTP']: - print('add {0}'.format(gw_name)) - mainEngine.addGateway(ctpGateway, gw_name) - - # 添加应用 - mainEngine.addApp(ctaStrategy) - mainEngine.addApp(riskManager) - mainEngine.addApp(spreadTrading) - - mainWindow = MainWindow(mainEngine, ee) - mainWindow.showMaximized() - # 在主线程中启动Qt事件循环 - sys.exit(qApp.exec_()) - -if __name__ == '__main__': - try: - main() - except Exception as ex: - print(str(ex)) - traceback.print_exc() diff --git a/vnpy/trader/vtServer.py b/vnpy/trader/vtServer.py deleted file mode 100644 index b04b16f2..00000000 --- a/vnpy/trader/vtServer.py +++ /dev/null @@ -1,116 +0,0 @@ -# encoding: utf-8 - -import os -import sys - -import ctypes -from datetime import datetime, timedelta, date -from time import sleep -from threading import Thread - -# 将repostory的目录i，作为根目录，添加到系统环境中。 -ROOT_PATH = os.path.abspath(os.path.join(os.path.dirname(__file__), '..','..')) -sys.path.append(ROOT_PATH) - -from datetime import datetime -from time import sleep -from threading import Thread - -import vtEvent -from vnpy.rpc import RpcServer -from vnpy.trader.vtEngine import MainEngine - -from vnpy.trader.gateway import ctpGateway -init_gateway_names = {'CTP': ['CTP', 'CTP_Prod', 'CTP_Post', 'CTP_EBF', 'CTP_JR', 'CTP_JR2']} - -######################################################################## -class VtServer(RpcServer): - """vn.trader服务器""" - - #---------------------------------------------------------------------- - def __init__(self, repAddress, pubAddress): - """Constructor""" - super(VtServer, self).__init__(repAddress, pubAddress) - self.usePickle() - - # 创建主引擎对象 - self.engine = MainEngine() - - for gw_name in init_gateway_names['CTP']: - print( 'add {0}'.format(gw_name)) - self.engine.addGateway(ctpGateway, gw_name) - - # 注册主引擎的方法到服务器的RPC函数 - self.register(self.engine.connect) - self.register(self.engine.disconnect) - self.register(self.engine.subscribe) - self.register(self.engine.sendOrder) - self.register(self.engine.cancelOrder) - self.register(self.engine.qryAccount) - self.register(self.engine.qryPosition) - self.register(self.engine.checkGatewayStatus) # 检测gateway的连接状态 - self.register(self.engine.qryStatus) # 检测ctaEngine的状态 - self.register(self.engine.exit) - self.register(self.engine.writeLog) - self.register(self.engine.dbConnect) - self.register(self.engine.dbInsert) - self.register(self.engine.dbQuery) - self.register(self.engine.dbUpdate) - self.register(self.engine.getContract) - self.register(self.engine.getAllContracts) - self.register(self.engine.getOrder) - self.register(self.engine.getAllWorkingOrders) - self.register(self.engine.getAllGatewayNames) - self.register(self.engine.saveData) - - # 注册事件引擎发送的事件处理监听 - self.engine.eventEngine.registerGeneralHandler(self.eventHandler) - - #---------------------------------------------------------------------- - def eventHandler(self, event): - """事件处理""" - self.publish(event.type_, event) - - #---------------------------------------------------------------------- - def stopServer(self): - """停止服务器""" - # 关闭引擎 - self.engine.exit() - - # 停止服务器线程 - self.stop() - - -#---------------------------------------------------------------------- -def printLog(content): - """打印日志""" - print( datetime.now().strftime("%H:%M:%S"), '\t', content) - - -#---------------------------------------------------------------------- -def runServer(): - """运行服务器""" - repAddress = 'tcp://*:2014' - pubAddress = 'tcp://*:2016' - - # 创建并启动服务器 - server = VtServer(repAddress, pubAddress) - server.start() - - printLog('-'*50) - printLog(u'vn.trader服务器已启动') - - # 进入主循环 - while True: - printLog(u'请输入exit来关闭服务器') - if raw_input() != 'exit': - continue - - printLog(u'确认关闭服务器？yes|no') - if raw_input() == 'yes': - break - - server.stopServer() - -if __name__ == '__main__': - runServer() \ No newline at end of file