增加交易策略、交易指标、量化库代码等文件夹

5.课程代码/2.Option_spread_strategy/使用文档/23/23_demo.ipynb

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+{
+ "cells": [
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 加载功能模块\n",
+    "from datetime import datetime\n",
+    "\n",
+    "from vnpy.trader.constant import Interval\n",
+    "\n",
+    "from elite_optionstrategy import BacktestingEngine\n",
+    "\n",
+    "from buy_option_strategy import BuyOptionStrategy"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 创建回测引擎\n",
+    "engine = BacktestingEngine()\n",
+    "\n",
+    "engine.set_parameters(\n",
+    "    interval=Interval.MINUTE,\n",
+    "    start=datetime(2022, 1, 1),\n",
+    "    end=datetime(2022, 1, 28),\n",
+    "    rate=0,\n",
+    "    slippage=0.6 + (16 / 100),\n",
+    ")\n",
+    "\n",
+    "engine.add_strategy(BuyOptionStrategy, {})"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {
+    "tags": []
+   },
+   "outputs": [],
+   "source": [
+    "# 历史数据回放\n",
+    "engine.run_backtesting()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 获取引擎内最新交易日的策略对象\n",
+    "strategy = engine.strategy"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 获取策略内部对象\n",
+    "portfolio = strategy.get_portfolio(\"IO\")"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 查看ChainData\n",
+    "chain = portfolio.get_chain_by_level(0)\n",
+    "chain"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "chain.calculate_synthetic()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 查看OptionData\n",
+    "option = chain.get_option_by_level(cp=1, level=0)\n",
+    "option"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": []
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3 (ipykernel)",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.10.9"
+  },
+  "vscode": {
+   "interpreter": {
+    "hash": "1b43cb0bd93d5abbadd54afed8252f711d4681fe6223ad6b67ffaee289648f85"
+   }
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 4
+}

5.课程代码/2.Option_spread_strategy/使用文档/23/buy_option_strategy.py

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+from vnpy.trader.constant import Interval
+from vnpy.trader.utility import ArrayManager, BarGenerator
+from vnpy.trader.object import TickData, BarData
+
+from elite_optionstrategy import (
+    StrategyTemplate,
+    Variable,
+    Parameter,
+    PortfolioData,
+    ChainData,
+    OptionData,
+)
+
+
+class BuyOptionStrategy(StrategyTemplate):
+    """基于均线信号买入期权的策略"""
+
+    author: str = "用Python的交易员"
+
+    option_portfolio: str = Parameter("IO")             # 期权产品代码
+    underlying_symbol: str = Parameter("IFJQ00.CFFEX")  # 标的合约代码
+    fast_window: int = Parameter(20)                    # 快速均线周期
+    slow_window: int = Parameter(120)                   # 慢速均线周期
+    fixed_size: int = Parameter(1)                      # 交易的手数
+    percent_add: float = Parameter(0.02)                # 委托超价比例
+
+    ma_signal: int = Variable(0)                        # 当前信号多空
+
+    def on_init(self) -> None:
+        """策略初始化"""
+        self.write_log("策略初始化")
+
+        self.subscribe_options(self.option_portfolio)
+        self.subscribe_data(self.underlying_symbol)
+
+        # 标的信号对象
+        self.factor: MaFactor = MaFactor(
+            self.underlying_symbol,
+            self.fast_window,
+            self.slow_window
+        )
+
+        # 加载标的历史数据初始化
+        bars: list[BarData] = self.load_bars(self.underlying_symbol, 10, Interval.MINUTE)
+        for bar in bars:
+            self.factor.update_bar(bar)
+
+    def on_start(self) -> None:
+        """策略启动"""
+        self.write_log("策略启动")
+
+    def on_stop(self) -> None:
+        """策略停止"""
+        self.write_log("策略停止")
+
+    def on_tick(self, tick: TickData) -> None:
+        """Tick推送"""
+        pass
+
+    def on_bars(self, bars: dict[str, BarData]) -> None:
+        """K线推送"""
+        # 回测首先计算标的信号
+        underlying_bar: BarData = bars.pop(self.underlying_symbol, None)
+        if underlying_bar:
+            self.factor.update_bar(underlying_bar)
+
+        # 获取期权组合对象
+        portfolio: PortfolioData = self.get_portfolio(self.option_portfolio)
+
+        # 更新最新期权价格到组合
+        price_data: dict[str, float] = {}
+        for bar in bars.values():
+            price_data[bar.vt_symbol] = bar.close_price
+
+        portfolio.update_price(price_data)
+
+        # 获取当月期权链
+        front_chain: ChainData = portfolio.get_chain_by_level(0)
+        if not front_chain:
+            self.write_log("无法获取当月期权链，请检查是否正确添加了期权合约")
+            return
+
+        # 计算平值期权
+        front_chain.calculate_atm()
+
+        # 获取当前均线多空信号
+        ma_signal: int = self.factor.get_signal()
+
+        # 如果均线多头排列，且尚未做多
+        if ma_signal > 0 and self.ma_signal <= 0:
+            # 清空之前的目标
+            self.clear_targets()
+
+            # 做多平值call
+            atm_call: OptionData = front_chain.get_option_by_level(cp=1, level=0)
+            self.set_target(atm_call.vt_symbol, self.fixed_size)
+        # 如果均线空头排列，且尚未做空
+        elif ma_signal < 0 and self.ma_signal >= 0:
+            # 清空之前的目标
+            self.clear_targets()
+
+            # 做多平值put
+            atm_put: OptionData = front_chain.get_option_by_level(cp=-1, level=0)
+            self.set_target(atm_put.vt_symbol, self.fixed_size)
+
+        # 缓存均线多空信号
+        self.ma_signal = ma_signal
+
+        # 执行具体的委托交易
+        self.execute_trading(price_data, self.percent_add)
+
+
+class MaFactor:
+    """标的物均线因子（基于均线输出多空信号）"""
+
+    def __init__(
+        self,
+        vt_symbol: str,
+        fast_window: int,
+        slow_window: int
+    ) -> None:
+        """构造函数"""
+        self.vt_symbol: str = vt_symbol
+        self.fast_window: int = fast_window
+        self.slow_window: int = slow_window
+
+        self.bg: BarGenerator = BarGenerator(self.update_bar)
+        self.am: ArrayManager = ArrayManager(slow_window + 10)
+        
+        self.fast_ma: float = 0
+        self.slow_ma: float = 0
+
+        self.signal: int = 0
+
+    def update_tick(self, tick: TickData) -> None:
+        """Tick更新"""
+        self.bg.update_tick(tick)
+
+    def update_bar(self, bar: BarData) -> None:
+        """K线更新"""
+        self.am.update_bar(bar)
+        if not self.am.inited:
+            return
+
+        # 计算均线
+        self.fast_ma = self.am.sma(self.fast_window)
+        self.slow_ma = self.am.sma(self.slow_window)
+
+        # 判断信号
+        if self.fast_ma > self.slow_ma:
+            self.signal = 1
+        elif self.fast_ma < self.slow_ma:
+            self.signal = -1
+        else:
+            self.signal = 0
+
+    def get_signal(self) -> int:
+        """获取当前多空信号"""
+        return self.signal