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/31/buy_straddle_strategy.py

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+from datetime import datetime, timedelta
+
+from vnpy.trader.object import TickData, BarData
+
+from elite_optionstrategy import (
+    StrategyTemplate,
+    Parameter,
+    PortfolioData,
+    ChainData,
+    OptionData
+)
+
+
+class BuyStraddleStrategy(StrategyTemplate):
+    """持续做多跨式价差的策略"""
+
+    author: str = "用Python的交易员"
+
+    option_portfolio: str = Parameter("IO")             # 期权产品代码
+    fixed_size: int = Parameter(1)                      # 交易的手数
+    percent_add: float = Parameter(0.05)                # 委托超价比例
+    rolling_days: int = Parameter(5)                    # 移仓剩余天数
+
+    def on_init(self):
+        """策略初始化"""
+        self.write_log("策略初始化")
+
+        self.subscribe_options(self.option_portfolio)
+
+    def on_start(self):
+        """策略启动"""
+        self.write_log("策略启动")
+
+    def on_stop(self):
+        """策略停止"""
+        self.write_log("策略停止")
+
+    def on_tick(self, tick: TickData):
+        """Tick推送"""
+        pass
+
+    def on_bars(self, bars: dict[str, BarData]):
+        """K线推送"""
+        # 获取期权组合对象
+        portfolio: PortfolioData = self.get_portfolio(self.option_portfolio)
+
+        # 默认交易当月期权链
+        chain_level: int = 0
+
+        # 如果已有目标则检查是否要移仓
+        if self.target_data:
+            # 获取期权到期时间
+            for vt_symbol in self.target_data.keys():
+                option: OptionData = portfolio.get_option(vt_symbol)
+                expiry: datetime = option.contract.option_expiry
+                break
+
+            # 获取当前时间
+            for bar in bars.values():
+                now: datetime = bar.datetime.replace(tzinfo=None)   # 移除时区
+                break
+
+            # 计算剩余时间
+            time_left: timedelta = expiry - now
+
+            # 如果尚未到时间，则继续持仓
+            if time_left.days > self.rolling_days:
+                return
+
+            # 需要交易次月期权链
+            chain_level = 1
+
+        # 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)
+
+        # 获取目标期权链
+        chain: ChainData = portfolio.get_chain_by_level(chain_level)
+        if not chain:
+            self.write_log("无法获取对应期权链，请检查是否正确添加了期权合约")
+            return
+
+        # 计算平值期权
+        chain.calculate_atm()
+
+        # 清空当前目标
+        self.clear_targets()
+
+        # 买入跨式价差
+        atm_call = chain.get_option_by_level(cp=1, level=0)
+        atm_put = chain.get_option_by_level(cp=-1, level=0)
+
+        self.set_target(atm_call.vt_symbol, self.fixed_size)
+        self.set_target(atm_put.vt_symbol, self.fixed_size)
+
+        # 执行具体的委托交易
+        self.execute_trading(price_data, self.percent_add)