198 lines
7.3 KiB
Python
198 lines
7.3 KiB
Python
# encoding: UTF-8
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"""
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基于King Keltner通道的交易策略，适合用在股指上，
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展示了OCO委托和5分钟K线聚合的方法。
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注意事项：
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1. 作者不对交易盈利做任何保证，策略代码仅供参考
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2. 本策略需要用到talib，没有安装的用户请先参考www.vnpy.org上的教程安装
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3. 将IF0000_1min.csv用ctaHistoryData.py导入MongoDB后，直接运行本文件即可回测策略
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"""
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from __future__ import division
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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,
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BarManager,
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ArrayManager)
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########################################################################
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class KkStrategy(CtaTemplate):
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"""基于King Keltner通道的交易策略"""
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className = 'KkStrategy'
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author = u'用Python的交易员'
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# 策略参数
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kkLength = 11 # 计算通道中值的窗口数
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kkDev = 1.6 # 计算通道宽度的偏差
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trailingPrcnt = 0.8 # 移动止损
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initDays = 10 # 初始化数据所用的天数
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fixedSize = 1 # 每次交易的数量
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# 策略变量
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kkUp = 0 # KK通道上轨
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kkDown = 0 # KK通道下轨
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intraTradeHigh = 0 # 持仓期内的最高点
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intraTradeLow = 0 # 持仓期内的最低点
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buyOrderIDList = [] # OCO委托买入开仓的委托号
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shortOrderIDList = [] # OCO委托卖出开仓的委托号
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orderList = [] # 保存委托代码的列表
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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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'kkLength',
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'kkDev']
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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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'kkUp',
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'kkDown']
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#----------------------------------------------------------------------
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def __init__(self, ctaEngine, setting):
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"""Constructor"""
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super(KkStrategy, self).__init__(ctaEngine, setting)
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self.bm = BarManager(self.onBar, 5, self.onFiveBar) # 创建K线合成器对象
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self.am = ArrayManager()
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self.buyOrderIDList = []
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self.shortOrderIDList = []
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self.orderList = []
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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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self.bm.updateBar(bar)
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#----------------------------------------------------------------------
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def onFiveBar(self, bar):
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"""收到5分钟K线"""
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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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for orderID in self.orderList:
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self.cancelOrder(orderID)
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self.orderList = []
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# 保存K线数据
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am = self.am
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am.updateBar(bar)
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if not am.inited:
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return
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# 计算指标数值
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self.kkUp, self.kkDown = am.keltner(self.kkLength, self.kkDev)
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# 判断是否要进行交易
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# 当前无仓位，发送OCO开仓委托
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if self.pos == 0:
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self.intraTradeHigh = bar.high
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self.intraTradeLow = bar.low
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self.sendOcoOrder(self.kkUp, self.kkDown, self.fixedSize)
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# 持有多头仓位
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elif self.pos > 0:
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self.intraTradeHigh = max(self.intraTradeHigh, bar.high)
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self.intraTradeLow = bar.low
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l = self.sell(self.intraTradeHigh*(1-self.trailingPrcnt/100),
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abs(self.pos), True)
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self.orderList.extend(l)
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# 持有空头仓位
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elif self.pos < 0:
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self.intraTradeHigh = bar.high
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self.intraTradeLow = min(self.intraTradeLow, bar.low)
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l = self.cover(self.intraTradeLow*(1+self.trailingPrcnt/100),
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abs(self.pos), True)
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self.orderList.extend(l)
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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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if self.pos != 0:
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# 多头开仓成交后，撤消空头委托
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if self.pos > 0:
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for shortOrderID in self.shortOrderIDList:
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self.cancelOrder(shortOrderID)
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# 反之同样
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elif self.pos < 0:
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for buyOrderID in self.buyOrderIDList:
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self.cancelOrder(buyOrderID)
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# 移除委托号
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for orderID in (self.buyOrderIDList + self.shortOrderIDList):
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if orderID in self.orderList:
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self.orderList.remove(orderID)
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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 sendOcoOrder(self, buyPrice, shortPrice, volume):
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"""
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发送OCO委托
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OCO(One Cancel Other)委托：
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1. 主要用于实现区间突破入场
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2. 包含两个方向相反的停止单
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3. 一个方向的停止单成交后会立即撤消另一个方向的
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"""
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# 发送双边的停止单委托，并记录委托号
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self.buyOrderIDList = self.buy(buyPrice, volume, True)
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self.shortOrderIDList = self.short(shortPrice, volume, True)
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# 将委托号记录到列表中
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self.orderList.extend(self.buyOrderIDList)
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self.orderList.extend(self.shortOrderIDList)
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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 |