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增加交易策略、交易指标、量化库代码等文件夹

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2025-04-27 15:54:09 +08:00
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1.交易策略/999.其他策略/3.松鼠_网格交易/使用文稿/VNPY/网格策略.py Normal file
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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()