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/原始代码/archive/[作业1}macd10_strategy.py

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+from typing import List, Dict
+from datetime import datetime
+from operator import itemgetter
+
+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 Macd10Strategy(StrategyTemplate):
+    """"""
+    author = "KeKe"
+
+    price_add_percent = 0.05    # 超价5%下单
+    fixed_pos_value = 100000   # 每个合约做100万
+    trade_day = 0
+    targets_pos = {}
+    macd_data = {}
+    target_cs = {}
+    target_total = {}
+
+    parameters = [
+        "price_add_percent",
+        "fixed_size",
+    ]
+    variables = [
+    ]
+
+    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.last_tick_time: datetime = None
+
+        # Obtain contract info
+        for vt_symbol in self.vt_symbols:
+            def on_bar(bar: BarData):
+                """"""
+                pass
+
+            self.bgs[vt_symbol] = BarGenerator(on_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(10, interval=Interval.DAILY)
+
+    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_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]):
+        """"""
+        # MACD指标计算
+        for vt_symbol, bar in bars.items():
+            am: ArrayManager = self.ams[vt_symbol]
+            am.update_bar(bar)
+
+            x, y, macd = am.macd(10, 20, 5)
+            self.macd_data[vt_symbol] = macd
+
+        # 按照MACD从小到大排序
+        sorted_l = sorted(self.macd_data.items(), key=itemgetter(1))
+        len_symbol = len(sorted_l)  # 10
+
+        choose = int(0.25 * len_symbol) # int(2.5) =2
+
+        short_part = dict(sorted_l[:choose])
+        long_part = dict(sorted_l[-choose:])
+        not_trade_part = dict(sorted_l[choose: -choose])
+
+        for k in short_part:
+            self.target_cs[k] = -1
+        for k in long_part:
+            self.target_cs[k] = 1
+        for k in not_trade_part:
+            self.target_cs[k] = 0
+
+        # 信号汇总
+        for vt_symbol, bar in bars.items():
+            self.target_total[vt_symbol] = self.target_cs[vt_symbol]
+            self.targets_pos[vt_symbol] = int(
+                self.fixed_pos_value / bar.close_price
+            ) * self.target_total[vt_symbol]
+
+        # 交易执行
+        if self.trade_day == 0 or not (self.trade_day + 0) % 10:
+
+            for vt_symbol in self.vt_symbols:
+                bar = bars.get(vt_symbol)
+                if not bar:
+                    continue
+
+                target_pos = self.targets_pos[vt_symbol]
+                current_pos = self.get_pos(vt_symbol)
+
+                pos_diff = target_pos - current_pos
+
+                if pos_diff > 0:
+                    price = bar.close_price * (1 + self.price_add_percent)
+                    if current_pos < 0:
+                        self.cover(vt_symbol, price, pos_diff)
+                    else:
+                        self.buy(vt_symbol, price, pos_diff)
+
+                elif pos_diff < 0:
+                    price = bar.close_price * (1 - self.price_add_percent)
+                    if current_pos > 0:
+                        self.sell(vt_symbol, price, - pos_diff)
+                    else:
+                        self.short(vt_symbol, price, - pos_diff)
+
+        self.trade_day += 1
+        self.put_event()