增加交易策略、交易指标、量化库代码等文件夹

5.课程代码/1.投资组合策略7天入门/使用代码/archive/[作业2]demo_strategy.py

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+from typing import List, Dict
+from datetime import datetime
+
+from vnpy.app.portfolio_strategy import StrategyTemplate, StrategyEngine
+from vnpy.trader.utility import BarGenerator, ArrayManager
+from vnpy.trader.object import TickData, BarData
+
+from vnpy.trader.constant import Interval
+
+
+class DemoStrategy(StrategyTemplate):
+    """"""
+
+    author = "KeKe"
+
+    price_add_percent = 0.05    # 超价5%下单
+    fixed_pos_value = 1000000   # 每个合约做10万
+    atr_window = 22
+    atr_ma_window = 10
+    rsi_window = 5
+    rsi_entry = 16
+    trailing_percent = 0.8
+    fixed_size = 1
+    price_add = 5
+
+    rsi_buy = 0
+    rsi_sell = 0
+
+    signal_ts = {}
+    signal_total = {}
+    last_tick_time: datetime = None
+    last_bar_time: datetime = None
+    trade_day = 0
+    targets_pos = {}
+    show_pos = {}
+    symbol_cap = {}
+    window_bars = {}
+    today = None
+
+    parameters = [
+        "price_add_percent", "fixed_pos_value",
+        "return_period", "holding_period", "shift_period"
+    ]
+    variables = [
+        "signal_ts", "signal_total",
+        "trade_day", "targets_pos"
+    ]
+
+    def __init__(
+        self,
+        strategy_engine: StrategyEngine,
+        strategy_name: str,
+        vt_symbols: List[str],
+        setting: dict
+    ):
+        """"""
+        super().__init__(strategy_engine, strategy_name, vt_symbols, setting)
+
+        self.bgs: Dict[str, BarGenerator] = {}
+        self.ams: Dict[str, ArrayManager] = {}
+
+        self.rsi_data: Dict[str, float] = {}
+        self.atr_data: Dict[str, float] = {}
+        self.atr_ma: Dict[str, float] = {}
+        self.intra_trade_high: Dict[str, float] = {}
+        self.intra_trade_low: Dict[str, float] = {}
+
+        self.targets: Dict[str, int] = {}
+
+        # Obtain contract info
+        for vt_symbol in self.vt_symbols:
+            self.bgs[vt_symbol] = BarGenerator(
+                self.on_bar,
+                5,
+                self.on_window_bar
+            )
+            self.ams[vt_symbol] = ArrayManager()
+
+    def on_init(self):
+        """
+        Callback when strategy is inited.
+        """
+        self.write_log("策略初始化")
+
+        self.load_bars(days=20, interval=Interval.MINUTE)
+
+    def on_start(self):
+        """
+        Callback when strategy is started.
+        """
+        self.write_log("策略启动")
+
+    def on_stop(self):
+        """
+        Callback when strategy is stopped.
+        """
+        self.write_log("策略停止")
+
+    def on_bar(bar: BarData):
+        """"""
+        pass
+
+    def on_window_bar(self, bar):
+        dt = bar.datetime.strftime("%Y%d%m, %H:%M")
+
+        if (
+            self.last_bar_time
+            and self.last_bar_time.minute != bar.datetime.minute
+        ):
+            self.on_window_bars(self.window_bars)
+
+            self.window_bars = {}
+            self.window_bars[bar.vt_symbol] = bar
+            # print("@", dt, bar.vt_symbol, bar.close_price)
+        else:
+            # print("@@", dt, bar.vt_symbol, bar.close_price)
+            self.window_bars[bar.vt_symbol] = bar
+
+        self.last_bar_time = bar.datetime
+
+    def on_window_bars(self, bars):
+        # test
+        # dts = {}
+        # for vt_symbol, bar in bars.items():
+        #     dt = bar.datetime.strftime("%H:%M")
+        #     dts[bar.vt_symbol] = dt
+        # print("**", dts)
+
+        # return
+        # test
+        self.cancel_all()
+
+        # 更新K线计算RSI数值
+        for vt_symbol, bar in bars.items():
+            am: ArrayManager = self.ams[vt_symbol]
+            am.update_bar(bar)
+            if not am.inited:
+                return
+            atr_array = am.atr(self.atr_window, array=True)
+            self.atr_data[vt_symbol] = atr_array[-1]
+            self.atr_ma[vt_symbol] = atr_array[-self.atr_ma_window:].mean()
+            self.rsi_data[vt_symbol] = am.rsi(self.rsi_window)
+
+            current_pos = self.get_pos(vt_symbol)
+            if current_pos == 0:
+                self.intra_trade_high[vt_symbol] = bar.high_price
+                self.intra_trade_low[vt_symbol] = bar.low_price
+
+                if self.atr_data[vt_symbol] > self.atr_ma[vt_symbol]:
+                    if self.rsi_data[vt_symbol] > self.rsi_buy:
+                        self.targets[vt_symbol] = self.fixed_size
+                    elif self.rsi_data[vt_symbol] < self.rsi_sell:
+                        self.targets[vt_symbol] = -self.fixed_size
+                    else:
+                        self.targets[vt_symbol] = 0
+
+            elif current_pos > 0:
+                self.intra_trade_high[vt_symbol] = max(self.intra_trade_high[vt_symbol], bar.high_price)
+                self.intra_trade_low[vt_symbol] = bar.low_price
+
+                long_stop = self.intra_trade_high[vt_symbol] * (1 - self.trailing_percent / 100)
+
+                if bar.close_price <= long_stop:
+                    self.targets[vt_symbol] = 0
+
+            elif current_pos < 0:
+                self.intra_trade_low[vt_symbol] = min(self.intra_trade_low[vt_symbol], bar.low_price)
+                self.intra_trade_high[vt_symbol] = bar.high_price
+
+                short_stop = self.intra_trade_low[vt_symbol] * (1 + self.trailing_percent / 100)
+
+                if bar.close_price >= short_stop:
+                    self.targets[vt_symbol] = 0
+
+        for vt_symbol in self.vt_symbols:
+            target_pos = self.targets.get(vt_symbol, None)
+            if not target_pos:
+                continue
+            current_pos = self.get_pos(vt_symbol)
+
+            pos_diff = target_pos - current_pos
+            volume = abs(pos_diff)
+            bar = bars[vt_symbol]
+
+            if pos_diff > 0:
+                price = bar.close_price + self.price_add
+
+                if current_pos < 0:
+                    self.cover(vt_symbol, price, volume)
+                else:
+                    self.buy(vt_symbol, price, volume)
+            elif pos_diff < 0:
+                price = bar.close_price - self.price_add
+
+                if current_pos > 0:
+                    self.sell(vt_symbol, price, volume)
+                else:
+                    self.short(vt_symbol, price, volume)
+
+        self.put_event()
+
+    def on_tick(self, tick: TickData):
+        """
+        Callback of new tick data update.
+        """
+        if (
+            self.last_tick_time
+            and self.last_tick_time.minute != tick.datetime.minute
+        ):
+            bars = {}
+            for vt_symbol, bg in self.bgs.items():
+                bars[vt_symbol] = bg.generate()
+            self.on_bars(bars)
+
+        bg: BarGenerator = self.bgs[tick.vt_symbol]
+        bg.update_tick(tick)
+
+        self.last_tick_time = tick.datetime
+
+    def on_bars(self, bars: Dict[str, BarData]):
+        """"""
+        for vt_symbol, bg in self.bgs.items():
+            bar = bars[vt_symbol]
+            bg.update_bar(bar)