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/34/short_restrike_strategy.py

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+from vnpy.trader.object import TickData, BarData
+
+from elite_optionstrategy import (
+    StrategyTemplate,
+    Parameter,
+    PortfolioData,
+    ChainData,
+    OptionData
+)
+
+
+class ShortRestrikeStrategy(StrategyTemplate):
+    """带调仓的做空跨式价差策略"""
+
+    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(0.02)                # 委托超价比例
+    restrike_diff: float = Parameter(500)               # ReStrike的偏差值
+
+    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)
+
+        # 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
+        chain: ChainData = portfolio.get_chain_by_level(0)
+        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
+
+        # 计算平值行权价
+        chain.calculate_atm()
+
+        # 如果已有目标则检查是否要ReStrike
+        if self.target_data:
+            # 获取持仓的行权价
+            for vt_symbol in self.target_data.keys():
+                option: OptionData = portfolio.get_option(vt_symbol)
+                option_strike: float = option.strike
+                break
+
+            # 获取ATM的行权价
+            atm_strike: float = chain.atm_strike
+
+            # 如果偏差在可接受范围内，则无需调仓
+            if abs(option_strike - atm_strike) < self.restrike_diff:
+                return
+
+        # 清空当前目标
+        self.clear_targets()
+
+        # 做空跨式价差
+        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)