580 lines
21 KiB
Python
580 lines
21 KiB
Python
# encoding: UTF-8
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'''
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本文件包含了CTA引擎中的策略开发用模板，开发策略时需要继承CtaTemplate类。
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'''
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import numpy as np
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import talib
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from vnpy.trader.vtConstant import *
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from vnpy.trader.vtObject import VtBarData
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from .ctaBase import *
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########################################################################
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class CtaTemplate(object):
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"""CTA策略模板"""
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# 策略类的名称和作者
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className = 'CtaTemplate'
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author = EMPTY_UNICODE
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# MongoDB数据库的名称，K线数据库默认为1分钟
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tickDbName = TICK_DB_NAME
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barDbName = MINUTE_DB_NAME
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# 策略的基本参数
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name = EMPTY_UNICODE # 策略实例名称
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vtSymbol = EMPTY_STRING # 交易的合约vt系统代码
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productClass = EMPTY_STRING # 产品类型（只有IB接口需要）
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currency = EMPTY_STRING # 货币（只有IB接口需要）
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# 策略的基本变量，由引擎管理
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inited = False # 是否进行了初始化
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trading = False # 是否启动交易，由引擎管理
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pos = 0 # 持仓情况
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# 参数列表，保存了参数的名称
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paramList = ['name',
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'className',
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'author',
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'vtSymbol']
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# 变量列表，保存了变量的名称
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varList = ['inited',
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'trading',
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'pos']
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#----------------------------------------------------------------------
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def __init__(self, ctaEngine, setting):
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"""Constructor"""
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self.ctaEngine = ctaEngine
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# 设置策略的参数
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if setting:
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d = self.__dict__
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for key in self.paramList:
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if key in setting:
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d[key] = setting[key]
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#----------------------------------------------------------------------
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def onInit(self):
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"""初始化策略（必须由用户继承实现）"""
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raise NotImplementedError
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#----------------------------------------------------------------------
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def onStart(self):
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"""启动策略（必须由用户继承实现）"""
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raise NotImplementedError
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#----------------------------------------------------------------------
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def onStop(self):
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"""停止策略（必须由用户继承实现）"""
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raise NotImplementedError
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#----------------------------------------------------------------------
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def onTick(self, tick):
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"""收到行情TICK推送（必须由用户继承实现）"""
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raise NotImplementedError
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#----------------------------------------------------------------------
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def onOrder(self, order):
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"""收到委托变化推送（必须由用户继承实现）"""
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raise NotImplementedError
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#----------------------------------------------------------------------
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def onTrade(self, trade):
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"""收到成交推送（必须由用户继承实现）"""
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raise NotImplementedError
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#----------------------------------------------------------------------
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def onBar(self, bar):
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"""收到Bar推送（必须由用户继承实现）"""
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raise NotImplementedError
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#----------------------------------------------------------------------
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def onStopOrder(self, so):
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"""收到停止单推送（必须由用户继承实现）"""
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raise NotImplementedError
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#----------------------------------------------------------------------
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def buy(self, price, volume, stop=False):
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"""买开"""
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return self.sendOrder(CTAORDER_BUY, price, volume, stop)
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#----------------------------------------------------------------------
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def sell(self, price, volume, stop=False):
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"""卖平"""
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return self.sendOrder(CTAORDER_SELL, price, volume, stop)
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#----------------------------------------------------------------------
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def short(self, price, volume, stop=False):
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"""卖开"""
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return self.sendOrder(CTAORDER_SHORT, price, volume, stop)
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#----------------------------------------------------------------------
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def cover(self, price, volume, stop=False):
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"""买平"""
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return self.sendOrder(CTAORDER_COVER, price, volume, stop)
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#----------------------------------------------------------------------
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def sendOrder(self, orderType, price, volume, stop=False):
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"""发送委托"""
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if self.trading:
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# 如果stop为True，则意味着发本地停止单
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if stop:
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vtOrderIDList = self.ctaEngine.sendStopOrder(self.vtSymbol, orderType, price, volume, self)
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else:
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vtOrderIDList = self.ctaEngine.sendOrder(self.vtSymbol, orderType, price, volume, self)
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return vtOrderIDList
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else:
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# 交易停止时发单返回空字符串
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return []
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#----------------------------------------------------------------------
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def cancelOrder(self, vtOrderID):
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"""撤单"""
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# 如果发单号为空字符串，则不进行后续操作
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if not vtOrderID:
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return
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if STOPORDERPREFIX in vtOrderID:
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self.ctaEngine.cancelStopOrder(vtOrderID)
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else:
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self.ctaEngine.cancelOrder(vtOrderID)
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#----------------------------------------------------------------------
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def cancelAll(self):
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"""全部撤单"""
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self.ctaEngine.cancelAll(self.name)
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#----------------------------------------------------------------------
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def insertTick(self, tick):
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"""向数据库中插入tick数据"""
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self.ctaEngine.insertData(self.tickDbName, self.vtSymbol, tick)
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#----------------------------------------------------------------------
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def insertBar(self, bar):
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"""向数据库中插入bar数据"""
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self.ctaEngine.insertData(self.barDbName, self.vtSymbol, bar)
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#----------------------------------------------------------------------
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def loadTick(self, days):
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"""读取tick数据"""
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return self.ctaEngine.loadTick(self.tickDbName, self.vtSymbol, days)
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#----------------------------------------------------------------------
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def loadBar(self, days):
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"""读取bar数据"""
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return self.ctaEngine.loadBar(self.barDbName, self.vtSymbol, days)
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#----------------------------------------------------------------------
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def writeCtaLog(self, content):
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"""记录CTA日志"""
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content = self.name + ':' + content
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self.ctaEngine.writeCtaLog(content)
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#----------------------------------------------------------------------
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def putEvent(self):
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"""发出策略状态变化事件"""
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self.ctaEngine.putStrategyEvent(self.name)
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#----------------------------------------------------------------------
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def getEngineType(self):
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"""查询当前运行的环境"""
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return self.ctaEngine.engineType
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########################################################################
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class TargetPosTemplate(CtaTemplate):
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"""
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允许直接通过修改目标持仓来实现交易的策略模板
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开发策略时，无需再调用buy/sell/cover/short这些具体的委托指令，
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只需在策略逻辑运行完成后调用setTargetPos设置目标持仓，底层算法
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会自动完成相关交易，适合不擅长管理交易挂撤单细节的用户。
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使用该模板开发策略时，请在以下回调方法中先调用母类的方法：
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onTick
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onBar
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onOrder
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假设策略名为TestStrategy，请在onTick回调中加上：
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super(TestStrategy, self).onTick(tick)
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其他方法类同。
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"""
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className = 'TargetPosTemplate'
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author = u'量衍投资'
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# 目标持仓模板的基本变量
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tickAdd = 1 # 委托时相对基准价格的超价
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lastTick = None # 最新tick数据
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lastBar = None # 最新bar数据
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targetPos = EMPTY_INT # 目标持仓
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orderList = [] # 委托号列表
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# 变量列表，保存了变量的名称
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varList = ['inited',
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'trading',
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'pos',
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'targetPos']
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#----------------------------------------------------------------------
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def __init__(self, ctaEngine, setting):
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"""Constructor"""
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super(TargetPosTemplate, self).__init__(ctaEngine, setting)
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#----------------------------------------------------------------------
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def onTick(self, tick):
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"""收到行情推送"""
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self.lastTick = tick
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# 实盘模式下，启动交易后，需要根据tick的实时推送执行自动开平仓操作
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if self.trading:
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self.trade()
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#----------------------------------------------------------------------
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def onBar(self, bar):
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"""收到K线推送"""
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self.lastBar = bar
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#----------------------------------------------------------------------
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def onOrder(self, order):
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"""收到委托推送"""
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if order.status == STATUS_ALLTRADED or order.status == STATUS_CANCELLED:
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self.orderList.remove(order.vtOrderID)
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#----------------------------------------------------------------------
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def setTargetPos(self, targetPos):
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"""设置目标仓位"""
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self.targetPos = targetPos
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self.trade()
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#----------------------------------------------------------------------
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def trade(self):
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"""执行交易"""
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# 先撤销之前的委托
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for vtOrderID in self.orderList:
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self.cancelOrder(vtOrderID)
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self.orderList = []
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# 如果目标仓位和实际仓位一致，则不进行任何操作
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posChange = self.targetPos - self.pos
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if not posChange:
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return
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# 确定委托基准价格，有tick数据时优先使用，否则使用bar
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longPrice = 0
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shortPrice = 0
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if self.lastTick:
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if posChange > 0:
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longPrice = self.lastTick.askPrice1 + self.tickAdd
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else:
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shortPrice = self.lastTick.bidPrice1 - self.tickAdd
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else:
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if posChange > 0:
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longPrice = self.lastBar.close + self.tickAdd
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else:
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shortPrice = self.lastBar.close - self.tickAdd
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# 回测模式下，采用合并平仓和反向开仓委托的方式
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if self.getEngineType() == ENGINETYPE_BACKTESTING:
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if posChange > 0:
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l = self.buy(longPrice, abs(posChange))
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else:
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l = self.short(shortPrice, abs(posChange))
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self.orderList.extend(l)
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# 实盘模式下，首先确保之前的委托都已经结束（全成、撤销）
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# 然后先发平仓委托，等待成交后，再发送新的开仓委托
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else:
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# 检查之前委托都已结束
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if self.orderList:
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return
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# 买入
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if posChange > 0:
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if self.pos < 0:
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l = self.cover(longPrice, abs(self.pos))
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else:
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l = self.buy(longPrice, abs(posChange))
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# 卖出
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else:
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if self.pos > 0:
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l = self.sell(shortPrice, abs(self.pos))
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else:
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l = self.short(shortPrice, abs(posChange))
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self.orderList.extend(l)
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########################################################################
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class BarManager(object):
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"""
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K线合成器，支持：
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1. 基于Tick合成1分钟K线
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2. 基于1分钟K线合成X分钟K线（X可以是2、3、5、10、15、30、60）
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"""
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#----------------------------------------------------------------------
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def __init__(self, onBar, xmin=0, onXminBar=None):
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"""Constructor"""
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self.bar = None # 1分钟K线对象
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self.onBar = onBar # 1分钟K线回调函数
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self.xminBar = None # X分钟K线对象
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self.xmin = xmin # X的值
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self.onXminBar = onXminBar # X分钟K线的回调函数
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self.lastTick = None # 上一TICK缓存对象
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#----------------------------------------------------------------------
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def updateTick(self, tick):
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"""TICK更新"""
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newMinute = False # 默认不是新的一分钟
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# 尚未创建对象
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if not self.bar:
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self.bar = VtBarData()
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newMinute = True
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# 新的一分钟
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elif self.bar.datetime.minute != tick.datetime.minute:
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# 生成上一分钟K线的时间戳
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self.bar.datetime = self.bar.datetime.replace(second=0, microsecond=0) # 将秒和微秒设为0
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self.bar.date = self.bar.datetime.strftime('%Y%m%d')
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self.bar.time = self.bar.datetime.strftime('%H:%M:%S.%f')
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# 推送已经结束的上一分钟K线
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self.onBar(self.bar)
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# 创建新的K线对象
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self.bar = VtBarData()
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newMinute = True
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# 初始化新一分钟的K线数据
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if newMinute:
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self.bar.vtSymbol = tick.vtSymbol
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self.bar.symbol = tick.symbol
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self.bar.exchange = tick.exchange
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self.bar.open = tick.lastPrice
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self.bar.high = tick.lastPrice
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self.bar.low = tick.lastPrice
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# 累加更新老一分钟的K线数据
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else:
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self.bar.high = max(self.bar.high, tick.lastPrice)
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self.bar.low = min(self.bar.low, tick.lastPrice)
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# 通用更新部分
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self.bar.close = tick.lastPrice
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self.bar.datetime = tick.datetime
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self.bar.openInterest = tick.openInterest
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if self.lastTick:
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self.bar.volume += (tick.volume - self.lastTick.volume) # 当前K线内的成交量
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# 缓存Tick
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self.lastTick = tick
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#----------------------------------------------------------------------
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def updateBar(self, bar):
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"""1分钟K线更新"""
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# 尚未创建对象
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if not self.xminBar:
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self.xminBar = VtBarData()
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self.xminBar.vtSymbol = bar.vtSymbol
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self.xminBar.symbol = bar.symbol
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self.xminBar.exchange = bar.exchange
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self.xminBar.open = bar.open
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self.xminBar.high = bar.high
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self.xminBar.low = bar.low
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# 累加老K线
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else:
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self.xminBar.high = max(self.xminBar.high, bar.high)
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self.xminBar.low = min(self.xminBar.low, bar.low)
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# 通用部分
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self.xminBar.close = bar.close
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self.xminBar.datetime = bar.datetime
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self.xminBar.openInterest = bar.openInterest
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self.xminBar.volume += int(bar.volume)
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# X分钟已经走完
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if not bar.datetime.minute % self.xmin: # 可以用X整除
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# 生成上一X分钟K线的时间戳
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self.xminBar.datetime = self.xminBar.datetime.replace(second=0, microsecond=0) # 将秒和微秒设为0
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self.xminBar.date = self.xminBar.datetime.strftime('%Y%m%d')
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self.xminBar.time = self.xminBar.datetime.strftime('%H:%M:%S.%f')
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# 推送
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self.onXminBar(self.xminBar)
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# 清空老K线缓存对象
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self.xminBar = None
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########################################################################
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class ArrayManager(object):
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"""
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K线序列管理工具，负责：
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1. K线时间序列的维护
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2. 常用技术指标的计算
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"""
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#----------------------------------------------------------------------
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def __init__(self, size=100):
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"""Constructor"""
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self.count = 0 # 缓存计数
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self.size = size # 缓存大小
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self.inited = False # True if count>=size
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self.openArray = np.zeros(size) # OHLC
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self.highArray = np.zeros(size)
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self.lowArray = np.zeros(size)
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self.closeArray = np.zeros(size)
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self.volumeArray = np.zeros(size)
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#----------------------------------------------------------------------
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def updateBar(self, bar):
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"""更新K线"""
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self.count += 1
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if not self.inited and self.count >= self.size:
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self.inited = True
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self.openArray[0:self.size-1] = self.openArray[1:self.size]
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self.highArray[0:self.size-1] = self.highArray[1:self.size]
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self.lowArray[0:self.size-1] = self.lowArray[1:self.size]
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self.closeArray[0:self.size-1] = self.closeArray[1:self.size]
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self.volumeArray[0:self.size-1] = self.volumeArray[1:self.size]
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self.openArray[-1] = bar.open
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self.highArray[-1] = bar.high
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self.lowArray[-1] = bar.low
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self.closeArray[-1] = bar.close
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self.volumeArray[-1] = bar.volume
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#----------------------------------------------------------------------
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@property
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def open(self):
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"""获取开盘价序列"""
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return self.openArray
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#----------------------------------------------------------------------
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@property
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def high(self):
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"""获取最高价序列"""
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return self.highArray
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#----------------------------------------------------------------------
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@property
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def low(self):
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"""获取最低价序列"""
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return self.lowArray
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#----------------------------------------------------------------------
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@property
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def close(self):
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"""获取收盘价序列"""
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return self.closeArray
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#----------------------------------------------------------------------
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@property
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def volume(self):
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"""获取成交量序列"""
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return self.volumeArray
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#----------------------------------------------------------------------
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def sma(self, n, array=False):
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"""简单均线"""
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result = talib.SMA(self.close, n)
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if array:
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return result
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return result[-1]
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#----------------------------------------------------------------------
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def std(self, n, array=False):
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"""标准差"""
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result = talib.STDDEV(self.close, n)
|
||
if array:
|
||
return result
|
||
return result[-1]
|
||
|
||
#----------------------------------------------------------------------
|
||
def cci(self, n, array=False):
|
||
"""CCI指标"""
|
||
result = talib.CCI(self.high, self.low, self.close, n)
|
||
if array:
|
||
return result
|
||
return result[-1]
|
||
|
||
#----------------------------------------------------------------------
|
||
def atr(self, n, array=False):
|
||
"""ATR指标"""
|
||
result = talib.ATR(self.high, self.low, self.close, n)
|
||
if array:
|
||
return result
|
||
return result[-1]
|
||
|
||
#----------------------------------------------------------------------
|
||
def rsi(self, n, array=False):
|
||
"""RSI指标"""
|
||
result = talib.RSI(self.close, n)
|
||
if array:
|
||
return result
|
||
return result[-1]
|
||
|
||
#----------------------------------------------------------------------
|
||
def macd(self, fastPeriod, slowPeriod, signalPeriod, array=False):
|
||
"""MACD指标"""
|
||
macd, signal, hist = talib.MACD(self.close, fastPeriod,
|
||
slowPeriod, signalPeriod)
|
||
if array:
|
||
return macd, signal, hist
|
||
return macd[-1], signal[-1], hist[-1]
|
||
|
||
#----------------------------------------------------------------------
|
||
def adx(self, n, array=False):
|
||
"""ADX指标"""
|
||
result = talib.ADX(self.high, self.low, self.close, n)
|
||
if array:
|
||
return result
|
||
return result[-1]
|
||
|
||
#----------------------------------------------------------------------
|
||
def boll(self, n, dev, array=False):
|
||
"""布林通道"""
|
||
mid = self.sma(n, array)
|
||
std = self.std(n, array)
|
||
|
||
up = mid + std * dev
|
||
down = mid - std * dev
|
||
|
||
return up, down
|
||
|
||
#----------------------------------------------------------------------
|
||
def keltner(self, n, dev, array=False):
|
||
"""肯特纳通道"""
|
||
mid = self.sma(n, array)
|
||
atr = self.atr(n, array)
|
||
|
||
up = mid + atr * dev
|
||
down = mid - atr * dev
|
||
|
||
return up, down
|
||
|
||
#----------------------------------------------------------------------
|
||
def donchian(self, n, array=False):
|
||
"""唐奇安通道"""
|
||
up = talib.MAX(self.high, n)
|
||
down = talib.MIN(self.low, n)
|
||
|
||
if array:
|
||
return up, down
|
||
return up[-1], down[-1] |