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/double_ma_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
+
+
+class DoubleMaStrategy(StrategyTemplate):
+    """"""
+
+    author = "KeKe"
+
+    fast_window = 8
+    slow_window = 24
+    price_add = 5
+
+    today = ""
+    daily_pos = {}
+    daily_close = {}
+
+    parameters = [
+        "fast_window",
+        "slow_window",
+    ]
+
+    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(100)
+
+    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]):
+        """"""
+
+        # 更新K线计算
+        for vt_symbol, bar in bars.items():
+            dt_str = bar.datetime.strftime("%Y-%m-%d")
+            self.today = dt_str
+
+            am: ArrayManager = self.ams[vt_symbol]
+            am.update_bar(bar)
+            if not am.inited:
+                continue
+
+            fast_ma = am.sma(self.fast_window, array=True)
+            fast_ma0 = fast_ma[-1]
+            fast_ma1 = fast_ma[-2]
+
+            slow_ma = am.sma(self.slow_window, array=True)
+            slow_ma0 = slow_ma[-1]
+            slow_ma1 = slow_ma[-2]
+
+            cross_over = fast_ma0 > slow_ma0 and fast_ma1 < slow_ma1
+            cross_below = fast_ma0 < slow_ma0 and fast_ma1 > slow_ma1
+
+            pos = self.get_pos(vt_symbol)
+            if cross_over:
+                if pos == 0:
+                    self.buy(vt_symbol, bar.close_price, 1)
+                elif pos < 0:
+                    self.cover(vt_symbol, bar.close_price, 1)
+                    self.buy(vt_symbol, bar.close_price, 1)
+            elif cross_below:
+                if pos == 0:
+                    self.short(vt_symbol, bar.close_price, 1)
+                elif pos > 0:
+                    self.sell(vt_symbol, bar.close_price, 1)
+                    self.short(vt_symbol, bar.close_price, 1)
+
+        self.record_current_pos(bars)
+
+        self.put_event()
+
+    def record_current_pos(self, bars):
+        current_pos = {}
+        current_close = {}
+        for bar in bars.values():
+            pos = self.get_pos(bar.vt_symbol)
+            current_pos[bar.vt_symbol] = pos
+            current_close[bar.vt_symbol] = bar.close_price
+
+        today = self.today
+
+        self.daily_pos[today] = str(current_pos)
+        self.daily_close[today] = current_close