# encoding: UTF-8 """ 这里的Demo是一个最简单的策略实现，并未考虑太多实盘中的交易细节，如： 1. 委托价格超出涨跌停价导致的委托失败 2. 委托未成交，需要撤单后重新委托 3. 断网后恢复交易状态 4. 等等 这些点是作者选择特意忽略不去实现，因此想实盘的朋友请自己多多研究CTA交易的一些细节， 做到了然于胸后再去交易，对自己的money和时间负责。 也希望社区能做出一个解决了以上潜在风险的Demo出来。 """ from ctaBase import * from ctaTemplate import CtaTemplate ######################################################################## class DoubleEmaDemo(CtaTemplate): """双指数均线策略Demo""" className = 'DoubleEmaDemo' author = u'用Python的交易员' # 策略参数 fastK = 0.9 # 快速EMA参数 slowK = 0.1 # 慢速EMA参数 initDays = 10 # 初始化数据所用的天数 # 策略变量 bar = None barMinute = EMPTY_STRING fastMa = [] # 快速EMA均线数组 fastMa0 = EMPTY_FLOAT # 当前最新的快速EMA fastMa1 = EMPTY_FLOAT # 上一根的快速EMA slowMa = [] # 与上面相同 slowMa0 = EMPTY_FLOAT slowMa1 = EMPTY_FLOAT # 参数列表，保存了参数的名称 paramList = ['name', 'className', 'author', 'vtSymbol', 'fastK', 'slowK'] # 变量列表，保存了变量的名称 varList = ['inited', 'trading', 'pos', 'fastMa0', 'fastMa1', 'slowMa0', 'slowMa1'] #---------------------------------------------------------------------- def __init__(self, ctaEngine, setting): """Constructor""" super(DoubleEmaDemo, self).__init__(ctaEngine, setting) #---------------------------------------------------------------------- def onInit(self): """初始化策略（必须由用户继承实现）""" self.writeCtaLog(u'双EMA演示策略初始化') initData = self.loadBar(self.initDays) for bar in initData: self.onBar(bar) self.putEvent() #---------------------------------------------------------------------- def onStart(self): """启动策略（必须由用户继承实现）""" self.writeCtaLog(u'双EMA演示策略启动') self.putEvent() #---------------------------------------------------------------------- def onStop(self): """停止策略（必须由用户继承实现）""" self.writeCtaLog(u'双EMA演示策略停止') self.putEvent() #---------------------------------------------------------------------- def onTick(self, tick): """收到行情TICK推送（必须由用户继承实现）""" # 计算K线 tickMinute = tick.datetime.minute if tickMinute != self.barMinute: if self.bar: self.onBar(self.bar) bar = CtaBarData() bar.vtSymbol = tick.vtSymbol bar.symbol = tick.symbol bar.exchange = tick.exchange bar.open = tick.lastPrice bar.high = tick.lastPrice bar.low = tick.lastPrice bar.close = tick.lastPrice bar.date = tick.date bar.time = tick.time bar.datetime = tick.datetime # K线的时间设为第一个Tick的时间 # 实盘中用不到的数据可以选择不算，从而加快速度 #bar.volume = tick.volume #bar.openInterest = tick.openInterest self.bar = bar # 这种写法为了减少一层访问，加快速度 self.barMinute = tickMinute # 更新当前的分钟 else: # 否则继续累加新的K线 bar = self.bar # 写法同样为了加快速度 bar.high = max(bar.high, tick.lastPrice) bar.low = min(bar.low, tick.lastPrice) bar.close = tick.lastPrice #---------------------------------------------------------------------- def onBar(self, bar): """收到Bar推送（必须由用户继承实现）""" # 计算快慢均线 if not self.fastMa0: self.fastMa0 = bar.close self.fastMa.append(self.fastMa0) else: self.fastMa1 = self.fastMa0 self.fastMa0 = bar.close * self.fastK + self.fastMa0 * (1 - self.fastK) self.fastMa.append(self.fastMa0) if not self.slowMa0: self.slowMa0 = bar.close self.slowMa.append(self.slowMa0) else: self.slowMa1 = self.slowMa0 self.slowMa0 = bar.close * self.slowK + self.slowMa0 * (1 - self.slowK) self.slowMa.append(self.slowMa0) # 判断买卖 crossOver = self.fastMa0>self.slowMa0 and self.fastMa1self.slowMa1 # 死叉下穿 # 金叉和死叉的条件是互斥 # 所有的委托均以K线收盘价委托（这里有一个实盘中无法成交的风险，考虑添加对模拟市价单类型的支持） if crossOver: # 如果金叉时手头没有持仓，则直接做多 if self.pos == 0: self.buy(bar.close, 1) # 如果有空头持仓，则先平空，再做多 elif self.pos < 0: self.cover(bar.close, 1) self.buy(bar.close, 1) # 死叉和金叉相反 elif crossBelow: if self.pos == 0: self.short(bar.close, 1) elif self.pos > 0: self.sell(bar.close, 1) self.short(bar.close, 1) # 发出状态更新事件 self.putEvent() #---------------------------------------------------------------------- def onOrder(self, order): """收到委托变化推送（必须由用户继承实现）""" # 对于无需做细粒度委托控制的策略，可以忽略onOrder pass #---------------------------------------------------------------------- def onTrade(self, trade): """收到成交推送（必须由用户继承实现）""" # 对于无需做细粒度委托控制的策略，可以忽略onOrder pass ######################################################################################## class OrderManagementDemo(CtaTemplate): """基于tick级别细粒度撤单追单测试demo""" className = 'OrderManagementDemo' author = u'用Python的交易员' # 策略参数 initDays = 10 # 初始化数据所用的天数 # 策略变量 bar = None barMinute = EMPTY_STRING # 参数列表，保存了参数的名称 paramList = ['name', 'className', 'author', 'vtSymbol'] # 变量列表，保存了变量的名称 varList = ['inited', 'trading', 'pos'] #---------------------------------------------------------------------- def __init__(self, ctaEngine, setting): """Constructor""" super(OrderManagementDemo, self).__init__(ctaEngine, setting) self.lastOrder = None self.orderType = '' #---------------------------------------------------------------------- def onInit(self): """初始化策略（必须由用户继承实现）""" self.writeCtaLog(u'双EMA演示策略初始化') initData = self.loadBar(self.initDays) for bar in initData: self.onBar(bar) self.putEvent() #---------------------------------------------------------------------- def onStart(self): """启动策略（必须由用户继承实现）""" self.writeCtaLog(u'双EMA演示策略启动') self.putEvent() #---------------------------------------------------------------------- def onStop(self): """停止策略（必须由用户继承实现）""" self.writeCtaLog(u'双EMA演示策略停止') self.putEvent() #---------------------------------------------------------------------- def onTick(self, tick): """收到行情TICK推送（必须由用户继承实现）""" # 建立不成交买单测试单 if self.lastOrder == None: self.buy(tick.lastprice - 10.0, 1) # CTA委托类型映射 if self.lastOrder != None and self.lastOrder.direction == u'多' and self.lastOrder.offset == u'开仓': self.orderType = u'买开' elif self.lastOrder != None and self.lastOrder.direction == u'多' and self.lastOrder.offset == u'平仓': self.orderType = u'买平' elif self.lastOrder != None and self.lastOrder.direction == u'空' and self.lastOrder.offset == u'开仓': self.orderType = u'卖开' elif self.lastOrder != None and self.lastOrder.direction == u'空' and self.lastOrder.offset == u'平仓': self.orderType = u'卖平' # 不成交，即撤单，并追单 if self.lastOrder != None and self.lastOrder.status == u'未成交': self.cancelOrder(self.lastOrder.vtOrderID) self.lastOrder = None elif self.lastOrder != None and self.lastOrder.status == u'已撤销': # 追单并设置为不能成交 self.sendOrder(self.orderType, self.tick.lastprice - 10, 1) self.lastOrder = None #---------------------------------------------------------------------- def onBar(self, bar): """收到Bar推送（必须由用户继承实现）""" pass #---------------------------------------------------------------------- def onOrder(self, order): """收到委托变化推送（必须由用户继承实现）""" # 对于无需做细粒度委托控制的策略，可以忽略onOrder self.lastOrder = order #---------------------------------------------------------------------- def onTrade(self, trade): """收到成交推送（必须由用户继承实现）""" # 对于无需做细粒度委托控制的策略，可以忽略onOrder pass