187 lines
5.7 KiB
Python
187 lines
5.7 KiB
Python
# encoding: UTF-8
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"""
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DualThrust交易策略
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"""
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from datetime import time
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from vnpy.trader.vtObject import VtBarData
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from vnpy.trader.vtConstant import EMPTY_STRING
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from vnpy.trader.app.ctaStrategy.ctaTemplate import CtaTemplate, BarManager
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########################################################################
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class DualThrustStrategy(CtaTemplate):
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"""DualThrust交易策略"""
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className = 'DualThrustStrategy'
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author = u'用Python的交易员'
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# 策略参数
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fixedSize = 100
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k1 = 0.4
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k2 = 0.6
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initDays = 10
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# 策略变量
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barList = [] # K线对象的列表
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dayOpen = 0
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dayHigh = 0
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dayLow = 0
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range = 0
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longEntry = 0
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shortEntry = 0
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exitTime = time(hour=14, minute=55)
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longEntered = False
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shortEntered = False
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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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'k1',
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'k2']
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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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'range',
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'longEntry',
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'shortEntry',
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'exitTime']
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#----------------------------------------------------------------------
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def __init__(self, ctaEngine, setting):
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"""Constructor"""
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super(DualThrustStrategy, self).__init__(ctaEngine, setting)
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self.bm = BarManager(self.onBar)
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self.barList = []
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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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self.writeCtaLog(u'%s策略初始化' %self.name)
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# 载入历史数据，并采用回放计算的方式初始化策略数值
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initData = self.loadBar(self.initDays)
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for bar in initData:
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self.onBar(bar)
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self.putEvent()
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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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self.writeCtaLog(u'%s策略启动' %self.name)
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self.putEvent()
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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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self.writeCtaLog(u'%s策略停止' %self.name)
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self.putEvent()
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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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self.bm.updateTick(tick)
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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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# 撤销之前发出的尚未成交的委托（包括限价单和停止单）
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self.cancelAll()
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# 计算指标数值
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self.barList.append(bar)
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if len(self.barList) <= 2:
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return
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else:
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self.barList.pop(0)
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lastBar = self.barList[-2]
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# 新的一天
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if lastBar.datetime.date() != bar.datetime.date():
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# 如果已经初始化
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if self.dayHigh:
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self.range = self.dayHigh - self.dayLow
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self.longEntry = bar.open + self.k1 * self.range
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self.shortEntry = bar.open - self.k2 * self.range
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self.dayOpen = bar.open
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self.dayHigh = bar.high
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self.dayLow = bar.low
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self.longEntered = False
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self.shortEntered = False
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else:
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self.dayHigh = max(self.dayHigh, bar.high)
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self.dayLow = min(self.dayLow, bar.low)
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# 尚未到收盘
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if not self.range:
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return
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if bar.datetime.time() < self.exitTime:
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if self.pos == 0:
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if bar.close > self.dayOpen:
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if not self.longEntered:
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self.buy(self.longEntry, self.fixedSize, stop=True)
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else:
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if not self.shortEntered:
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self.short(self.shortEntry, self.fixedSize, stop=True)
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# 持有多头仓位
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elif self.pos > 0:
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self.longEntered = True
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# 多头止损单
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self.sell(self.shortEntry, self.fixedSize, stop=True)
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# 空头开仓单
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if not self.shortEntered:
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self.short(self.shortEntry, self.fixedSize, stop=True)
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# 持有空头仓位
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elif self.pos < 0:
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self.shortEntered = True
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# 空头止损单
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self.cover(self.longEntry, self.fixedSize, stop=True)
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# 多头开仓单
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if not self.longEntered:
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self.buy(self.longEntry, self.fixedSize, stop=True)
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# 收盘平仓
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else:
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if self.pos > 0:
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self.sell(bar.close * 0.99, abs(self.pos))
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elif self.pos < 0:
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self.cover(bar.close * 1.01, abs(self.pos))
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# 发出状态更新事件
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self.putEvent()
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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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pass
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#----------------------------------------------------------------------
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def onTrade(self, trade):
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# 发出状态更新事件
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self.putEvent()
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#----------------------------------------------------------------------
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def onStopOrder(self, so):
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"""停止单推送"""
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pass |