增加交易策略、交易指标、量化库代码等文件夹

1.交易策略/3.期权策略/AdvancedSpreadStrategy_dualthrust.py

@@ -0,0 +1,201 @@
+from datetime import time
+from vnpy.trader.constant import Interval
+from vnpy.trader.utility import ArrayManager, BarGenerator, load_json, save_json
+from vnpy.trader.object import TickData, BarData
+
+from elite_optionstrategy import (
+    StrategyTemplate,
+    Variable,
+    Parameter,
+    PortfolioData,
+    ChainData,
+    OptionData,
+    OptionBarGenerator,
+)
+
+
+class AdvancedSpreadStrategy(StrategyTemplate):
+    """基于Dual Thrust信号做空符合价差的策略"""
+
+    author: str = "用Python的交易员"
+
+    option_portfolio: str = Parameter("MO")  # 期权产品代码
+    underlying_symbol: str = Parameter("IMJQ00.CFFEX")  # 标的合约代码
+    k1: float = Parameter(0.3)  # 多头系数
+    k2: float = Parameter(0.9)  # 空头系数
+    exit_time: time = Parameter(time(14, 55))  # 平仓时间
+    percent_add: float = Parameter(0.002)  # 委托超价比例
+    otm_level: int = Parameter(0)  # 做空期权档位
+    leg1_ratio: int = Parameter(4)  # 顺势腿的比例
+    leg2_ratio: int = Parameter(1)  # 逆势腿的比例
+
+    dual_thrust_signal: int = Variable(0)  # 当前信号多空（1多头，-1空头，0无信号）
+    atm_strike: float = Variable(0)  # 当前平值行权价
+
+    def on_init(self) -> None:
+        """策略初始化"""
+        self.write_log("策略初始化")
+
+        # K线截面合成器
+        self.obg: OptionBarGenerator = OptionBarGenerator(self.on_bars)
+
+        # 订阅行情
+        self.subscribe_options(self.option_portfolio)
+        self.subscribe_data(self.underlying_symbol)
+
+        # 标的信号对象
+        self.factor: DualThrustFactor = DualThrustFactor(
+            self.underlying_symbol, self.k1, self.k2, self.exit_time
+        )
+
+        # 加载标的历史数据初始化
+        bars: list[BarData] = self.load_bars(self.underlying_symbol, 100, Interval.MINUTE)
+        for bar in bars:
+            self.factor.update_bar(bar)
+
+        # 缓存文件名称
+        self.data_filename: str = f"{self.name}_data.json"
+
+    def on_start(self) -> None:
+        """策略启动"""
+        self.write_log("策略启动")
+        data: dict = load_json(self.data_filename)
+        self.dual_thrust_signal = data.get("dual_thrust_signal", 0)
+
+    def on_stop(self) -> None:
+        """策略停止"""
+        self.write_log("策略停止")
+        data: dict = {"dual_thrust_signal": self.dual_thrust_signal}
+        save_json(self.data_filename, data)
+
+    def on_tick(self, tick: TickData) -> None:
+        """Tick推送"""
+        self.obg.update_tick(tick)
+
+    def on_bars(self, bars: dict[str, BarData]) -> None:
+        """K线推送"""
+        # 更新标的信号
+        underlying_bar: BarData = bars.pop(self.underlying_symbol, None)
+        if underlying_bar:
+            self.factor.update_bar(underlying_bar)
+
+        # 获取期权组合对象
+        portfolio: PortfolioData = self.get_portfolio(self.option_portfolio)
+        price_data: dict[str, float] = {}
+        for bar in bars.values():
+            price_data[bar.vt_symbol] = bar.close_price
+        portfolio.update_price(price_data)
+
+        # 获取当月期权链
+        front_chain: ChainData = portfolio.get_chain_by_level(0)
+        if not front_chain:
+            self.write_log("无法获取当月期权链，请检查是否正确添加了期权合约")
+            return
+
+        # 计算平值期权
+        front_chain.calculate_atm()
+        self.atm_strike = front_chain.atm_strike
+
+        # 获取Dual Thrust信号
+        signal: int = self.factor.get_signal()
+
+        # 固定交易手数为1
+        trading_size: int = 1
+
+        # 根据信号开仓
+        if signal != self.dual_thrust_signal:
+            self.clear_targets()
+
+            call: OptionData = front_chain.get_option_by_level(cp=1, level=self.otm_level)
+            put: OptionData = front_chain.get_option_by_level(cp=-1, level=self.otm_level)
+
+            if call and put:
+                if signal == 1:  # 多头信号：做空Put（顺势腿）和Call（逆势腿）
+                    self.set_target(put.vt_symbol, -trading_size * self.leg1_ratio)
+                    self.set_target(call.vt_symbol, -trading_size * self.leg2_ratio)
+                elif signal == -1:  # 空头信号：做空Call（顺势腿）和Put（逆势腿）
+                    self.set_target(call.vt_symbol, -trading_size * self.leg1_ratio)
+                    self.set_target(put.vt_symbol, -trading_size * self.leg2_ratio)
+
+        # 平仓逻辑：在exit_time前平仓
+        if underlying_bar.datetime.time() >= self.exit_time:
+            self.clear_targets()
+
+        self.dual_thrust_signal = signal
+        self.execute_trading(price_data, self.percent_add)
+        self.put_event()
+
+
+class DualThrustFactor:
+    """标的物Dual Thrust因子（基于价格区间输出多空信号）"""
+
+    def __init__(self, vt_symbol: str, k1: float, k2: float, exit_time: time) -> None:
+        self.vt_symbol: str = vt_symbol
+        self.k1: float = k1
+        self.k2: float = k2
+        self.exit_time: time = exit_time
+        self.bars = []
+
+        self.day_open: float = 0
+        self.day_high: float = 0
+        self.day_low: float = 0
+        self.day_range: float = 0
+        self.long_entry: float = 0
+        self.short_entry: float = 0
+        self.signal: int = 0  # 1多头，-1空头，0无信号
+
+        self.bg: BarGenerator = BarGenerator(self.update_bar, 1, self.update_window_bar)
+        self.am: ArrayManager = ArrayManager(40)  # 缓存足够的历史数据
+
+    def update_tick(self, tick: TickData) -> None:
+        """Tick更新"""
+        self.bg.update_tick(tick)
+
+    def update_bar(self, bar: BarData) -> None:
+        """K线更新"""
+        self.bg.update_bar(bar)
+
+    def update_window_bar(self, bar: BarData) -> None:
+        """日级别K线更新"""
+        # 检查是否为新交易日
+        self.bars.append(bar)
+        if len(self.bars) <= 2:
+            return
+        else:
+            self.bars.pop(0)
+        last_bar = self.bars[-2]
+        if len(self.bars) == 0 or last_bar.datetime.date() != bar.datetime.date():
+            if len(self.bars) >= 1:
+                # 计算前一交易日的波动范围
+                prev_high = self.am.high[-1]
+                prev_low = self.am.low[-1]
+                prev_close = self.am.close[-1]
+                self.day_range = max(prev_high - prev_low, prev_high - prev_close, prev_close - prev_low)
+
+            # 重置当日参数
+            self.day_open = bar.open_price
+            self.day_high = bar.high_price
+            self.day_low = bar.low_price
+        else:
+            # 更新当日最高最低价
+            self.day_high = max(self.day_high, bar.high_price)
+            self.day_low = min(self.day_low, bar.low_price)
+
+        self.am.update_bar(bar)
+
+        # 计算入场价
+        if self.day_range > 0:
+            self.long_entry = self.day_open + self.k1 * self.day_range
+            self.short_entry = self.day_open - self.k2 * self.day_range
+
+        # 生成信号
+        if bar.close_price > self.long_entry:
+            self.signal = 1
+        elif bar.close_price < self.short_entry:
+            self.signal = -1
+        else:
+            self.signal = 0
+
+    def get_signal(self) -> int:
+        """获取当前多空信号"""
+        return self.signal