增加交易策略、交易指标、量化库代码等文件夹

2025-04-27 15:54:09 +08:00
parent ca3b209096
commit f57150dae8
589 changed files with 854346 additions and 1757 deletions
@@ -0,0 +1,230 @@
+from vnpy_ctastrategy import (
+    CtaTemplate,
+    TargetPosTemplate,
+    StopOrder,
+    TickData,
+    BarData,
+    TradeData,
+    OrderData,
+    BarGenerator,
+    ArrayManager,
+)
+import numpy as np
+
+class MoveSpaceStrategy(CtaTemplate):
+    author = "Quant789.com"
+
+    # 策略参数
+    periods = 85
+    multiplier = 2
+    grid_step = 16
+    grid_length = 16
+    ss = 1
+    zhiying_count = 5
+
+    # 策略变量
+    avg = 0
+    flag = 0
+    hl2 = 0
+    atr_value = 0
+    up = 0
+    dn = 0
+    kg = 1
+    midKG = 0
+    cur_grid_price = 0
+    tp_price = 0
+    re_price = 0
+    statprice = 0
+    orderprice = 0
+    hh = 0
+    ll = 0
+    lots_top = 1
+    ggprice = 0
+    lots_scale = 0
+    has_send_order = 0
+    trss = 0
+    krss = 0
+    lorder_ids = []
+    sorder_ids = []
+    lpoisout = []
+    spoisout = []
+    pc_short_lots = 0
+    pc_long_lots = 0
+
+    # 用于存储网格价格的字典
+    grid_prices = {}
+
+    parameters = [
+        "periods", "multiplier", "grid_step",
+        "grid_length", "ss", "zhiying_count"
+    ]
+
+    variables = [
+        "avg", "flag", "hl2", "atr_value", "up", "dn", "kg", "midKG",
+        "cur_grid_price", "tp_price", "re_price", "statprice",
+        "orderprice", "hh", "ll", "lots_top", "ggprice", "lots_scale",
+        "has_send_order", "trss", "krss", "lorder_ids", "sorder_ids",
+        "lpoisout", "spoisout", "pc_short_lots", "pc_long_lots"
+    ]
+
+    def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
+        super().__init__(cta_engine, strategy_name, vt_symbol, setting)
+        self.am = ArrayManager()
+
+    def on_init(self):
+        self.write_log("策略初始化")
+        self.load_bar(10)
+
+    def on_start(self):
+        self.write_log("策略启动")
+        self.put_event()
+
+    def on_stop(self):
+        self.write_log("策略停止")
+        self.put_event()
+
+    def on_tick(self, tick: TickData):
+        pass
+
+    def on_bar(self, bar: BarData):
+        self.am.update_bar(bar)
+        if not self.am.inited:
+            return
+
+        # 计算ATR值和HL2值
+        self.atr_value = self.am.atr(self.periods)
+        self.hl2 = (self.am.high[-1] + self.am.low[-1]) / 2
+
+        # 计算上轨和下轨
+        self.up = self.hl2 - (self.multiplier * self.atr_value)
+        self.dn = self.hl2 + (self.multiplier * self.atr_value)
+
+        if self.am.close[-2] >= self.up:
+            self.up = max(self.up, self.am.high[-2])
+        if self.am.close[-2] <= self.dn:
+            self.dn = min(self.dn, self.am.low[-2])
+
+        # 更新趋势信号
+        if self.kg == -1 and self.am.close[-1] > self.dn:
+            self.kg = 1
+        elif self.kg == 1 and self.am.close[-1] < self.up:
+            self.kg = -1
+
+        # 趋势转变时平仓
+        if self.kg == 1 and self.am.close[-2] < self.up and self.am.close[-3] >= self.up:
+            if self.pos < 0:
+                self.cover(bar.close_price, abs(self.pos))
+                self.lorder_ids.clear()
+                self.lpoisout.clear()
+            else:
+                self.lorder_ids.clear()
+                self.lpoisout.clear()
+        elif self.kg == -1 and self.am.close[-2] > self.dn and self.am.close[-3] <= self.dn:
+            if self.pos > 0:
+                self.sell(bar.close_price, abs(self.pos))
+                self.lorder_ids.clear()
+                self.lpoisout.clear()
+            else:
+                self.lorder_ids.clear()
+                self.lpoisout.clear()
+
+        # 初始化中轨值
+        if not self.statprice:
+            self.statprice = bar.open_price
+            self.midKG = 0
+
+        # 计算网格线相关数值
+        hh = ll = self.statprice
+        for i in range(1, int(self.grid_length / 2) + 1):
+            a_intprice = self.statprice + (self.grid_step * i)
+            hh = max(a_intprice, hh)
+            b_intprice = self.statprice - (self.grid_step * i)
+            ll = min(b_intprice, ll)
+
+        # 中轨值迭代
+        if self.am.high[-1] >= hh:
+            self.rstatprice = self.statprice
+            self.statprice = hh
+            self.midKG = 0
+            if self.pos < 0:
+                self.cover(bar.close_price, abs(self.pos))
+                self.lorder_ids.clear()
+                self.lpoisout.clear()
+            else:
+                self.sell(bar.close_price, abs(self.pos))
+                self.lorder_ids.clear()
+                self.lpoisout.clear()
+
+        if self.am.low[-1] <= ll:
+            self.rstatprice = self.statprice
+            self.statprice = ll
+            self.midKG = 0
+            if self.pos > 0:
+                self.sell(bar.close_price, abs(self.pos))
+                self.lorder_ids.clear()
+                self.lpoisout.clear()
+            else:
+                self.cover(bar.close_price, abs(self.pos))
+                self.lorder_ids.clear()
+                self.lpoisout.clear()
+                
+        # 计算网格价格并存储到字典
+        if self.midKG == 0:
+            self.cur_grid_price = self.statprice + self.grid_step * (self.grid_length / 2)
+            for i in range(1, self.grid_length + 1):
+                ggprice = self.cur_grid_price - (i - 1) * self.grid_step
+                self.grid_prices["price_" + str(i)] = ggprice
+                self.midKG = 1
+
+        # 网格交易逻辑
+        if self.midKG == 1:
+            for i in range(1, self.grid_length + 1):
+                orderprice = self.grid_prices.get("price_" + str(i), None)
+                if orderprice is None:
+                    continue
+                if self.kg > 0 and self.am.close[-2] > orderprice > self.am.low[-1]:
+                    self.trss += 1
+                    self.grid_prices["price_" + str(i)] = -999999
+                elif self.kg < 0 and self.am.close[-2] < orderprice < self.am.high[-1]:
+                    self.krss += 1
+                    self.grid_prices["price_" + str(i)] = 999999
+
+            if self.pos >= 0 and self.trss > 0 and self.kg > 0:
+                self.buy(bar.open_price, self.trss * self.ss)
+                self.lorder_ids.append(self.trss * self.ss)
+                self.lpoisout.append(bar.open_price + self.grid_step * self.zhiying_count)
+                self.trss = 0
+            elif self.pos <= 0 and self.krss > 0 and self.kg < 0:
+                self.short(bar.open_price, self.krss * self.ss)
+                self.sorder_ids.append(self.krss * self.ss)
+                self.spoisout.append(bar.open_price - self.grid_step * self.zhiying_count)
+                self.krss = 0
+
+        # 多头仓位止盈逻辑
+        if self.pos > 0 and len(self.lorder_ids) > 0:
+            for i in range(len(self.lorder_ids)):
+                pc_long = self.lorder_ids[i]
+                pc_long_price = self.lpoisout[i]
+                if self.am.high[-1] >= pc_long_price:
+                    self.sell(bar.close_price, pc_long)
+                    self.lorder_ids[i] = 99999999
+                    self.lpoisout[i] = 99999999
+
+        # 空头仓位止盈逻辑
+        if self.pos < 0 and len(self.sorder_ids) > 0:
+            for i in range(len(self.sorder_ids)):
+                pc_short = self.sorder_ids[i]
+                pc_short_price = self.spoisout[i]
+                if self.am.low[-1] <= pc_short_price:
+                    self.cover(bar.close_price, pc_short)
+                    self.sorder_ids[i] = -1
+                    self.spoisout[i] = -1
+
+        # 清空持仓时重置订单ID和位置列表
+        if self.pos == 0:
+            self.lorder_ids.clear()
+            self.lpoisout.clear()
+            self.sorder_ids.clear()
+            self.spoisout.clear()
+
+        self.put_event()