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_dualthrust2.py

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+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,
+)
+
+from datetime import time
+
+class AdvancedSpreadStrategy(StrategyTemplate):
+    """基于DualThrust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)  # DualThrust参数k1
+    k2: float = Parameter(0.9)  # DualThrust参数k2
+    risk_level: int = Parameter(40)  # 开仓风险度
+    percent_add: float = Parameter(0.02)  # 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
+
+    dt_signal: int = Variable(0)  # 当前信号多空
+    trading_size: int = Variable(1)  # 当前交易数量
+    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)
+
+        # 加载标的历史数据初始化
+        bars: list[BarData] = self.load_bars(self.underlying_symbol, 40, 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.dt_signal = data.get("dt_signal", 0)
+
+    def on_stop(self) -> None:
+        """策略停止"""
+        self.write_log("策略停止")
+
+        data: dict = {"dt_signal": self.dt_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"""
+        # 回测首先计算标的信号
+        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)
+
+        # 更新最新期权价格到组合
+        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
+
+        # 获取当前DualThrust多空信号
+        dt_signal: int = self.factor.get_signal()
+
+        # 如果DualThrust多头信号，且尚未做多
+        if dt_signal > 0 and self.dt_signal <= 0:
+            # 做空Put
+            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:
+                # 清空之前的目标
+                self.clear_targets()
+
+                atr_value: float = self.factor.get_atr()
+                if atr_value:
+                    # self.trading_size = int(self.risk_level / atr_value)
+                    self.trading_size = 1 # max(self.trading_size, 1)
+                else:
+                    self.trading_size = 1
+
+                self.set_target(put.vt_symbol, -self.trading_size * self.leg1_ratio)
+                self.set_target(call.vt_symbol, -self.trading_size * self.leg2_ratio)
+        # 如果DualThrust空头信号，且尚未做空
+        elif dt_signal < 0 and self.dt_signal >= 0:
+            # 做空Call
+            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:
+                # 清空之前的目标
+                self.clear_targets()
+
+                atr_value: float = self.factor.get_atr()
+                if atr_value:
+                    # self.trading_size = int(self.risk_level / atr_value)
+                    self.trading_size = 1 #max(self.trading_size, 1)
+                else:
+                    self.trading_size = 1
+
+                self.set_target(call.vt_symbol, -self.trading_size * self.leg1_ratio)
+                self.set_target(put.vt_symbol, -self.trading_size * self.leg2_ratio)
+
+        # 缓存DualThrust多空信号
+        self.dt_signal = dt_signal
+
+        # 执行具体的委托交易
+        self.execute_trading(price_data, self.percent_add)
+
+        # 推送UI事件更新
+        self.put_event()
+
+
+class DualThrustFactor:
+    """标的物DualThrust因子（基于DualThrust输出多空信号）"""
+
+    def __init__(self, vt_symbol: str, k1: float, k2: float) -> None:
+        """构造函数"""
+        self.vt_symbol: str = vt_symbol
+        self.k1: float = k1
+        self.k2: float = k2
+
+        self.bg: BarGenerator = BarGenerator(self.update_bar, 30, self.update_window_bar)
+        self.am: ArrayManager = ArrayManager(10)
+
+        self.day_open = 0
+        self.day_high = 0
+        self.day_low = 0
+        self.day_range = 0
+        self.long_entry = 0
+        self.short_entry = 0
+        self.exit_time = time(hour=14, minute=55)
+
+        self.long_entered = False
+        self.short_entered = False
+
+        self.signal: int = 0
+        self.bars: list[BarData] = []  # 手动维护最近两根K线
+
+    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:
+        """K线更新"""
+        self.am.update_bar(bar)
+        if not self.am.inited:
+            return
+
+        # 维护最近两根K线
+        self.bars.append(bar)
+        if len(self.bars) > 2:
+            self.bars.pop(0)
+
+        # 确保至少有两根K线用于日期比较
+        if len(self.bars) < 2:
+            return
+
+        last_bar = self.bars[-2]
+        # bar = self.bars[-1]
+
+        # 检查是否新的一天
+        if last_bar.datetime.date() != bar.datetime.date():
+            if self.day_high:
+                self.day_range = self.day_high - self.day_low
+                self.long_entry = bar.open_price + self.k1 * self.day_range
+                self.short_entry = bar.open_price - self.k2 * self.day_range
+
+            self.day_open = bar.open_price
+            self.day_high = bar.high_price
+            self.day_low = bar.low_price
+
+            self.long_entered = False
+            self.short_entered = False
+        else:
+            self.day_high = max(self.day_high, bar.high_price)
+            self.day_low = min(self.day_low, bar.low_price)
+
+        if not self.day_range:
+            return
+
+        # 生成信号逻辑
+        if bar.datetime.time() < self.exit_time:
+            if bar.close_price > self.day_open:
+                self.signal = 1
+            else:
+                self.signal = -1
+        else:
+            self.signal = 0
+
+    def get_signal(self) -> int:
+        """获取当前多空信号"""
+        return self.signal
+
+    def get_atr(self) -> float:
+        """获取ATR风险度"""
+        if self.am.inited:
+            return self.am.atr(14)
+        else:
+            return 0