senset/vnpy
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

修改取小数点的位数，支持每跳从0.005~10等范围

Browse Source
This commit is contained in:
msincenselee 2017-04-20 20:31:00 +08:00
parent 042393666e
commit fa572b40ba
1 changed files with 34 additions and 31 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

65
vn.trader/ctaAlgo/ctaLineBar.py
View File

@ -121,7 +121,7 @@ class CtaLineBar(object):
self.shortSymbol = EMPTY_STRING # 商品的短代码 self.shortSymbol = EMPTY_STRING # 商品的短代码
self.minDiff = 1 # 商品的最小价格单位 self.minDiff = 1 # 商品的最小价格单位
self.round_n = 3 # round() 小数点的截断数量
self.activeDayJump = False # 隔夜跳空 self.activeDayJump = False # 隔夜跳空
# 当前的Tick # 当前的Tick
@ -239,7 +239,8 @@ class CtaLineBar(object):
if setting: if setting:
self.setParam(setting) self.setParam(setting)
if self.minDiff < 1:
self.round_n = 5
def setParam(self, setting): def setParam(self, setting):
"""设置参数""" """设置参数"""
d = self.__dict__ d = self.__dict__
@ -317,14 +318,14 @@ class CtaLineBar(object):
lastBar.volume = lastBar.volume + bar.volume lastBar.volume = lastBar.volume + bar.volume
lastBar.dayVolume = bar.dayVolume lastBar.dayVolume = bar.dayVolume
lastBar.mid4 = round((2*lastBar.close + lastBar.high + lastBar.low)/4, 2) 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, 2) lastBar.mid5 = round((2*lastBar.close + lastBar.open + lastBar.high + lastBar.low)/5, self.round_n)
def onBar(self, bar): def onBar(self, bar):
"""OnBar事件""" """OnBar事件"""
# 计算相关数据 # 计算相关数据
bar.mid4 = round((2*bar.close + bar.high + bar.low)/4, 2) 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, 2) bar.mid5 = round((2*bar.close + bar.open + bar.high + bar.low)/5, self.round_n)
self.__recountPreHighLow() self.__recountPreHighLow()
self.__recountMa() self.__recountMa()
@ -396,22 +397,24 @@ class CtaLineBar(object):
if self.inputKdjLen > 0 and len(self.lineK) > 0: if self.inputKdjLen > 0 and len(self.lineK) > 0:
msg = msg + u',KDJ({0}):{1},{2},{3}'.format(self.inputKdjLen, msg = msg + u',KDJ({0}):{1},{2},{3}'.format(self.inputKdjLen,
round(self.lineK[-1], 2), round(self.lineK[-1], self.round_n),
round(self.lineD[-1], 2), round(self.lineD[-1], self.round_n),
round(self.lineJ[-1], 2)) round(self.lineJ[-1], self.round_n))
if self.inputCciLen > 0 and len(self.lineCci) > 0: if self.inputCciLen > 0 and len(self.lineCci) > 0:
msg = msg + u',Cci({0}):{1}'.format(self.inputCciLen, self.lineCci[-1]) msg = msg + u',Cci({0}):{1}'.format(self.inputCciLen, self.lineCci[-1])
if self.inputBollLen > 0 and len(self.lineUpperBand)>0: if self.inputBollLen > 0 and len(self.lineUpperBand)>0:
msg = msg + u',Boll({0}):u:{1},m:{2},l:{3}'.\ msg = msg + u',Boll({0}):u:{1},m:{2},l:{3}'.\
format(self.inputBollLen, round(self.lineUpperBand[-1], 2), format(self.inputBollLen, round(self.lineUpperBand[-1], self.round_n),
round(self.lineMiddleBand[-1], 2), round(self.lineLowerBand[-1]), 2) round(self.lineMiddleBand[-1], self.round_n), round(self.lineLowerBand[-1]), self.round_n)
if self.inputMacdFastPeriodLen >0 and len(self.lineDif)>0: if self.inputMacdFastPeriodLen >0 and len(self.lineDif)>0:
msg = msg + u',MACD({0},{1},{2}):Dif:{3},Dea{4},Macd:{5}'.\ msg = msg + u',MACD({0},{1},{2}):Dif:{3},Dea{4},Macd:{5}'.\
format(self.inputMacdFastPeriodLen, self.inputMacdSlowPeriodLen, self.inputMacdSignalPeriodLen, format(self.inputMacdFastPeriodLen, self.inputMacdSlowPeriodLen, self.inputMacdSignalPeriodLen,
round(self.lineDif[-1], 2), round(self.lineDea[-1], 2), round(self.lineMacd[-1], 2)) round(self.lineDif[-1], self.round_n),
round(self.lineDea[-1], self.round_n),
round(self.lineMacd[-1], self.round_n))
return msg return msg
def __firstTick(self, tick): def __firstTick(self, tick):
@ -627,7 +630,7 @@ class CtaLineBar(object):
listClose=[x.close for x in self.lineBar[-ma1Len:]] listClose=[x.close for x in self.lineBar[-ma1Len:]]
barMa1 = ta.MA(numpy.array(listClose, dtype=float), ma1Len)[-1] barMa1 = ta.MA(numpy.array(listClose, dtype=float), ma1Len)[-1]
barMa1 = round(float(barMa1), 3) 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] del self.lineMa1[0]
@ -647,7 +650,7 @@ class CtaLineBar(object):
listClose=[x.close for x in self.lineBar[-ma2Len:]] listClose=[x.close for x in self.lineBar[-ma2Len:]]
barMa2 = ta.MA(numpy.array(listClose, dtype=float), ma2Len)[-1] barMa2 = ta.MA(numpy.array(listClose, dtype=float), ma2Len)[-1]
barMa2 = round(float(barMa2), 3) 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] del self.lineMa2[0]
@ -667,7 +670,7 @@ class CtaLineBar(object):
listClose = [x.close for x in self.lineBar[-ma3Len:]] listClose = [x.close for x in self.lineBar[-ma3Len:]]
barMa3 = ta.MA(numpy.array(listClose, dtype=float), ma3Len)[-1] barMa3 = ta.MA(numpy.array(listClose, dtype=float), ma3Len)[-1]
barMa3 = round(float(barMa3), 3) barMa3 = round(float(barMa3), self.round_n)
if len(self.lineMa3) > self.inputMa3Len * 8: if len(self.lineMa3) > self.inputMa3Len * 8:
del self.lineMa3[0] del self.lineMa3[0]
@ -704,7 +707,7 @@ class CtaLineBar(object):
barEma1 = ta.EMA(numpy.array(listClose, dtype=float), ema1Len)[-1] barEma1 = ta.EMA(numpy.array(listClose, dtype=float), ema1Len)[-1]
barEma1 = round(float(barEma1), 3) barEma1 = round(float(barEma1), self.round_n)
if len(self.lineEma1) > self.inputEma1Len*8: if len(self.lineEma1) > self.inputEma1Len*8:
del self.lineEma1[0] del self.lineEma1[0]
@ -726,7 +729,7 @@ class CtaLineBar(object):
barEma2 = ta.EMA(numpy.array(listClose, dtype=float), ema2Len)[-1] barEma2 = ta.EMA(numpy.array(listClose, dtype=float), ema2Len)[-1]
barEma2 = round(float(barEma2), 3) barEma2 = round(float(barEma2), self.round_n)
if len(self.lineEma2) > self.inputEma1Len*8: if len(self.lineEma2) > self.inputEma1Len*8:
del self.lineEma2[0] del self.lineEma2[0]
@ -940,9 +943,9 @@ class CtaLineBar(object):
# 计算 ATR # 计算 ATR
if self.inputAtr1Len > 0: if self.inputAtr1Len > 0:
if len(self.lineAtr1) < 1: if len(self.lineAtr1) < 1:
self.barAtr1 = round(barTr1 / self.inputAtr1Len, 3) self.barAtr1 = round(barTr1 / self.inputAtr1Len, self.round_n)
else: else:
self.barAtr1 = round((self.lineAtr1[-1]*(self.inputAtr1Len -1) + barTr1) / self.inputAtr1Len, 3) 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] del self.lineAtr1[0]
@ -950,9 +953,9 @@ class CtaLineBar(object):
if self.inputAtr2Len > 0: if self.inputAtr2Len > 0:
if len(self.lineAtr2) < 1: if len(self.lineAtr2) < 1:
self.barAtr2 = round(barTr2 / self.inputAtr2Len, 3) self.barAtr2 = round(barTr2 / self.inputAtr2Len, self.round_n)
else: else:
self.barAtr2 = round((self.lineAtr2[-1]*(self.inputAtr2Len -1) + barTr2) / self.inputAtr2Len, 3) 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] del self.lineAtr2[0]
@ -960,9 +963,9 @@ class CtaLineBar(object):
if self.inputAtr3Len > 0: if self.inputAtr3Len > 0:
if len(self.lineAtr3) < 1: if len(self.lineAtr3) < 1:
self.barAtr3 = round(barTr3 / self.inputAtr3Len, 3) self.barAtr3 = round(barTr3 / self.inputAtr3Len, self.round_n)
else: else:
self.barAtr3 = round((self.lineAtr3[-1]*(self.inputAtr3Len -1) + barTr3) / self.inputAtr3Len, 3) 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] del self.lineAtr3[0]
@ -1017,7 +1020,7 @@ class CtaLineBar(object):
idx = 1 idx = 1
barRsi = ta.RSI(numpy.array(listClose, dtype=float), self.inputRsi1Len)[-1] barRsi = ta.RSI(numpy.array(listClose, dtype=float), self.inputRsi1Len)[-1]
barRsi = round(float(barRsi), 3) barRsi = round(float(barRsi), self.round_n)
l = len(self.lineRsi1) l = len(self.lineRsi1)
if l > self.inputRsi1Len*8: if l > self.inputRsi1Len*8:
@ -1066,7 +1069,7 @@ class CtaLineBar(object):
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(numpy.array(listClose, dtype=float), self.inputRsi2Len)[-1] barRsi = ta.RSI(numpy.array(listClose, dtype=float), self.inputRsi2Len)[-1]
barRsi = round(float(barRsi), 3) barRsi = round(float(barRsi), self.round_n)
l = len(self.lineRsi2) l = len(self.lineRsi2)
if l > self.inputRsi2Len*8: if l > self.inputRsi2Len*8:
@ -1109,7 +1112,7 @@ class CtaLineBar(object):
else: 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, 2) cmi = round(cmi, self.round_n)
if len(self.lineCmi) > self.inputCmiLen: if len(self.lineCmi) > self.inputCmiLen:
del self.lineCmi[0] del self.lineCmi[0]
@ -1154,15 +1157,15 @@ class CtaLineBar(object):
std = (upper[-1] - lower[-1]) / (self.inputBollStdRate*2) std = (upper[-1] - lower[-1]) / (self.inputBollStdRate*2)
self.lineBollStd.append(std) self.lineBollStd.append(std)
u = round(upper[-1], 2) u = round(upper[-1], self.round_n)
self.lineUpperBand.append(u) # 上轨 self.lineUpperBand.append(u) # 上轨
self.lastBollUpper = u - u % self.minDiff # 上轨取整 self.lastBollUpper = u - u % self.minDiff # 上轨取整
m = round(middle[-1], 2) m = round(middle[-1], self.round_n)
self.lineMiddleBand.append(m) # 中轨 self.lineMiddleBand.append(m) # 中轨
self.lastBollMiddle = m - m % self.minDiff # 中轨取整 self.lastBollMiddle = m - m % self.minDiff # 中轨取整
l = round(lower[-1], 2) l = round(lower[-1], self.round_n)
self.lineLowerBand.append(l) # 下轨 self.lineLowerBand.append(l) # 下轨
self.lastBollLower = l - l % self.minDiff # 下轨取整 self.lastBollLower = l - l % self.minDiff # 下轨取整
@ -1467,8 +1470,8 @@ class CtaDayBar(object):
lastBar.low = min(lastBar.low, bar.low) lastBar.low = min(lastBar.low, bar.low)
lastBar.mid4 = round((2 * lastBar.close + lastBar.high + lastBar.low) / 4, 2) 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, 2) lastBar.mid5 = round((2 * lastBar.close + lastBar.open + lastBar.high + lastBar.low) / 5, self.round_n)
def __firstTick(self, tick): def __firstTick(self, tick):
""" K线的第一个Tick数据""" """ K线的第一个Tick数据"""