398 lines
15 KiB
Python
398 lines
15 KiB
Python
# encoding: UTF-8
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from collections import defaultdict
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from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT,
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OFFSET_OPEN, OFFSET_CLOSE)
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from vnpy.trader.vtUtility import ArrayManager
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MAX_PRODUCT_POS = 4 # 单品种最大持仓
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MAX_DIRECTION_POS = 10 # 单方向最大持仓
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########################################################################
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class TurtleResult(object):
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"""一次完整的开平交易"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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self.unit = 0
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self.entry = 0 # 开仓均价
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self.exit = 0 # 平仓均价
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self.pnl = 0 # 盈亏
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#----------------------------------------------------------------------
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def open(self, price, change):
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"""开仓或者加仓"""
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cost = self.unit * self.entry # 计算之前的开仓成本
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cost += change * price # 加上新仓位的成本
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self.unit += change # 加上新仓位的数量
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self.entry = cost / self.unit # 计算新的平均开仓成本
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#----------------------------------------------------------------------
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def close(self, price):
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"""平仓"""
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self.exit = price
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self.pnl = self.unit * (self.exit - self.entry)
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########################################################################
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class TurtleSignal(object):
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"""海龟信号"""
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#----------------------------------------------------------------------
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def __init__(self, portfolio, vtSymbol,
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entryWindow, exitWindow, atrWindow,
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profitCheck=False):
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"""Constructor"""
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self.portfolio = portfolio # 投资组合
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self.vtSymbol = vtSymbol # 合约代码
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self.entryWindow = entryWindow # 入场通道周期数
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self.exitWindow = exitWindow # 出场通道周期数
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self.atrWindow = atrWindow # 计算ATR周期数
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self.profitCheck = profitCheck # 是否检查上一笔盈利
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self.am = ArrayManager(60) # K线容器
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self.atrVolatility = 0 # ATR波动率
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self.entryUp = 0 # 入场通道
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self.entryDown = 0
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self.exitUp = 0 # 出场通道
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self.exitDown = 0
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self.longEntry1 = 0 # 多头入场位
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self.longEntry2 = 0
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self.longEntry3 = 0
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self.longEntry4 = 0
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self.longStop = 0 # 多头止损位
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self.shortEntry1 = 0 # 空头入场位
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self.shortEntry2 = 0
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self.shortEntry3 = 0
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self.shortEntry4 = 0
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self.shortStop = 0 # 空头止损位
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self.unit = 0 # 信号持仓
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self.result = None # 当前的交易
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self.resultList = [] # 交易列表
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self.bar = None # 最新K线
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#----------------------------------------------------------------------
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def onBar(self, bar):
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""""""
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self.bar = bar
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self.am.updateBar(bar)
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if not self.am.inited:
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return
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self.generateSignal(bar)
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self.calculateIndicator()
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#----------------------------------------------------------------------
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def generateSignal(self, bar):
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"""
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判断交易信号
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要注意在任何一个数据点：buy/sell/short/cover只允许执行一类动作
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"""
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# 如果指标尚未初始化，则忽略
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if not self.longEntry1:
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return
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# 优先检查平仓
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if self.unit > 0:
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longExit = max(self.longStop, self.exitDown)
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if bar.low <= longExit:
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self.sell(longExit)
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return
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elif self.unit < 0:
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shortExit = min(self.shortStop, self.exitUp)
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if bar.high >= shortExit:
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self.cover(shortExit)
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return
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# 没有仓位或者持有多头仓位的时候，可以做多（加仓）
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if self.unit >= 0:
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trade = False
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if bar.high >= self.longEntry1 and self.unit < 1:
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self.buy(self.longEntry1, 1)
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trade = True
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if bar.high >= self.longEntry2 and self.unit < 2:
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self.buy(self.longEntry2, 1)
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trade = True
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if bar.high >= self.longEntry3 and self.unit < 3:
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self.buy(self.longEntry3, 1)
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trade = True
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if bar.high >= self.longEntry4 and self.unit < 4:
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self.buy(self.longEntry4, 1)
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trade = True
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if trade:
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return
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# 没有仓位或者持有空头仓位的时候，可以做空（加仓）
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if self.unit <= 0:
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if bar.low <= self.shortEntry1 and self.unit > -1:
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self.short(self.shortEntry1, 1)
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if bar.low <= self.shortEntry2 and self.unit > -2:
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self.short(self.shortEntry2, 1)
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if bar.low <= self.shortEntry3 and self.unit > -3:
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self.short(self.shortEntry3, 1)
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if bar.low <= self.shortEntry4 and self.unit > -4:
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self.short(self.shortEntry4, 1)
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#----------------------------------------------------------------------
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def calculateIndicator(self):
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"""计算技术指标"""
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self.entryUp, self.entryDown = self.am.donchian(self.entryWindow)
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self.exitUp, self.exitDown = self.am.donchian(self.exitWindow)
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# 有持仓后，ATR波动率和入场位等都不再变化
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if not self.unit:
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self.atrVolatility = self.am.atr(self.atrWindow)
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self.longEntry1 = self.entryUp
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self.longEntry2 = self.entryUp + self.atrVolatility * 0.5
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self.longEntry3 = self.entryUp + self.atrVolatility * 1
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self.longEntry4 = self.entryUp + self.atrVolatility * 1.5
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self.longStop = 0
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self.shortEntry1 = self.entryDown
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self.shortEntry2 = self.entryDown - self.atrVolatility * 0.5
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self.shortEntry3 = self.entryDown - self.atrVolatility * 1
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self.shortEntry4 = self.entryDown - self.atrVolatility * 1.5
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self.shortStop = 0
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#----------------------------------------------------------------------
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def newSignal(self, direction, offset, price, volume):
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""""""
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self.portfolio.newSignal(self, direction, offset, price, volume)
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#----------------------------------------------------------------------
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def buy(self, price, volume):
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"""买入开仓"""
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price = self.calculateTradePrice(DIRECTION_LONG, price)
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self.open(price, volume)
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self.newSignal(DIRECTION_LONG, OFFSET_OPEN, price, volume)
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# 以最后一次加仓价格，加上两倍N计算止损
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self.longStop = price - self.atrVolatility * 2
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#----------------------------------------------------------------------
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def sell(self, price):
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"""卖出平仓"""
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price = self.calculateTradePrice(DIRECTION_SHORT, price)
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volume = abs(self.unit)
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self.close(price)
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self.newSignal(DIRECTION_SHORT, OFFSET_CLOSE, price, volume)
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#----------------------------------------------------------------------
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def short(self, price, volume):
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"""卖出开仓"""
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price = self.calculateTradePrice(DIRECTION_SHORT, price)
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self.open(price, -volume)
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self.newSignal(DIRECTION_SHORT, OFFSET_OPEN, price, volume)
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# 以最后一次加仓价格，加上两倍N计算止损
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self.shortStop = price + self.atrVolatility * 2
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#----------------------------------------------------------------------
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def cover(self, price):
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"""买入平仓"""
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price = self.calculateTradePrice(DIRECTION_LONG, price)
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volume = abs(self.unit)
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self.close(price)
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self.newSignal(DIRECTION_LONG, OFFSET_CLOSE, price, volume)
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#----------------------------------------------------------------------
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def open(self, price, change):
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"""开仓"""
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self.unit += change
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if not self.result:
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self.result = TurtleResult()
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self.result.open(price, change)
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#----------------------------------------------------------------------
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def close(self, price):
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"""平仓"""
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self.unit = 0
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self.result.close(price)
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self.resultList.append(self.result)
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self.result = None
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#----------------------------------------------------------------------
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def getLastPnl(self):
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"""获取上一笔交易的盈亏"""
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if not self.resultList:
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return 0
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result = self.resultList[-1]
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return result.pnl
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#----------------------------------------------------------------------
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def calculateTradePrice(self, direction, price):
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"""计算成交价格"""
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# 买入时，停止单成交的最优价格不能低于当前K线开盘价
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if direction == DIRECTION_LONG:
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tradePrice = max(self.bar.open, price)
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# 卖出时，停止单成交的最优价格不能高于当前K线开盘价
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else:
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tradePrice = min(self.bar.open, price)
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return tradePrice
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########################################################################
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class TurtlePortfolio(object):
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"""海龟组合"""
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#----------------------------------------------------------------------
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def __init__(self, engine):
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"""Constructor"""
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self.engine = engine
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self.signalDict = defaultdict(list)
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self.unitDict = {} # 每个品种的持仓情况
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self.totalLong = 0 # 总的多头持仓
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self.totalShort = 0 # 总的空头持仓
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self.tradingDict = {} # 交易中的信号字典
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self.sizeDict = {} # 合约大小字典
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self.multiplierDict = {} # 按照波动幅度计算的委托量单位字典
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self.posDict = {} # 真实持仓量字典
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self.portfolioValue = 0 # 组合市值
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#----------------------------------------------------------------------
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def init(self, portfolioValue, vtSymbolList, sizeDict):
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""""""
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self.portfolioValue = portfolioValue
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self.sizeDict = sizeDict
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for vtSymbol in vtSymbolList:
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signal1 = TurtleSignal(self, vtSymbol, 20, 10, 20, True)
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signal2 = TurtleSignal(self, vtSymbol, 55, 20, 20, False)
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l = self.signalDict[vtSymbol]
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l.append(signal1)
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l.append(signal2)
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self.unitDict[vtSymbol] = 0
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self.posDict[vtSymbol] = 0
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#----------------------------------------------------------------------
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def onBar(self, bar):
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""""""
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for signal in self.signalDict[bar.vtSymbol]:
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signal.onBar(bar)
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#----------------------------------------------------------------------
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def newSignal(self, signal, direction, offset, price, volume):
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"""对交易信号进行过滤，符合条件的才发单执行"""
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unit = self.unitDict[signal.vtSymbol]
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# 如果当前无仓位，则重新根据波动幅度计算委托量单位
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if not unit:
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size = self.sizeDict[signal.vtSymbol]
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riskValue = self.portfolioValue * 0.01
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multiplier = riskValue / (signal.atrVolatility * size)
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multiplier = int(round(multiplier, 0))
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self.multiplierDict[signal.vtSymbol] = multiplier
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else:
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multiplier = self.multiplierDict[signal.vtSymbol]
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# 开仓
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if offset == OFFSET_OPEN:
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# 检查上一次是否为盈利
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if signal.profitCheck:
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pnl = signal.getLastPnl()
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if pnl > 0:
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return
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# 买入
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if direction == DIRECTION_LONG:
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# 组合持仓不能超过上限
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if self.totalLong >= MAX_DIRECTION_POS:
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return
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# 单品种持仓不能超过上限
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if self.unitDict[signal.vtSymbol] >= MAX_PRODUCT_POS:
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return
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# 卖出
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else:
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if self.totalShort <= -MAX_DIRECTION_POS:
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return
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if self.unitDict[signal.vtSymbol] <= -MAX_PRODUCT_POS:
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return
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# 平仓
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else:
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if direction == DIRECTION_LONG:
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# 必须有空头持仓
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if unit >= 0:
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return
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# 平仓数量不能超过空头持仓
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volume = min(volume, abs(unit))
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else:
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if unit <= 0:
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return
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volume = min(volume, abs(unit))
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# 获取当前交易中的信号，如果不是本信号，则忽略
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currentSignal = self.tradingDict.get(signal.vtSymbol, None)
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if currentSignal and currentSignal is not signal:
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return
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# 开仓则缓存该信号的交易状态
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if offset == OFFSET_OPEN:
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self.tradingDict[signal.vtSymbol] = signal
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# 平仓则清除该信号
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else:
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self.tradingDict.pop(signal.vtSymbol)
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self.sendOrder(signal.vtSymbol, direction, offset, price, volume, multiplier)
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#----------------------------------------------------------------------
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def sendOrder(self, vtSymbol, direction, offset, price, volume, multiplier):
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""""""
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# 计算合约持仓
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if direction == DIRECTION_LONG:
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self.unitDict[vtSymbol] += volume
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self.posDict[vtSymbol] += volume * multiplier
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else:
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self.unitDict[vtSymbol] -= volume
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self.posDict[vtSymbol] -= volume * multiplier
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# 计算总持仓
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self.totalLong = 0
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self.totalShort = 0
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for unit in self.unitDict.values():
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if unit > 0:
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self.totalLong += unit
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elif unit < 0:
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self.totalShort += unit
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# 向回测引擎中发单记录
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self.engine.sendOrder(vtSymbol, direction, offset, price, volume*multiplier)
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