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/41/advanced_spread_strategy.py

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+from vnpy.trader.constant import Interval
+from vnpy.trader.utility import ArrayManager, BarGenerator, load_json, save_json
+from vnpy.trader.object import TickData, BarData
+
+from elite_optionstrategy import (
+    StrategyTemplate,
+    Variable,
+    Parameter,
+    PortfolioData,
+)
+
+
+class AdvancedSpreadStrategy(StrategyTemplate):
+    """基于均线信号做空复合价差的策略"""
+
+    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(5)                     # 快速均线周期
+    slow_window: int = Parameter(60)                    # 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
+    otm_level: int = Parameter(0)                       # 做空期权档位
+    leg1_ratio: int = Parameter(4)                      # 顺势腿的比例
+    leg2_ratio: int = Parameter(1)                      # 逆势腿的比例
+
+    ma_signal: int = Variable(0)                        # 当前信号多空
+
+    def on_init(self):
+        """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(
+            self.underlying_symbol,
+            self.fast_window,
+            self.slow_window
+        )
+
+        # 加载标的历史数据初始化
+        bars = self.load_bars(self.underlying_symbol, 40, Interval.MINUTE)
+        for bar in bars:
+            self.factor.update_bar(bar)
+
+    def on_start(self):
+        """策略启动"""
+        self.write_log("策略启动")
+
+        data = load_json("bull_bear_data.json")
+        self.ma_signal = data.get("ma_signal", 0)
+
+    def on_stop(self):
+        """策略停止"""
+        self.write_log("策略停止")
+
+        data = {"ma_signal": self.ma_signal}
+        save_json("bull_bear_data.json", data)
+
+    def on_tick(self, tick: TickData):
+        """Tick推送"""
+        pass
+
+    def on_bars(self, bars: dict[str, BarData]):
+        """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 = 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()
+
+            call = front_chain.get_option_by_level(cp=1, level=self.otm_level)
+            put = front_chain.get_option_by_level(cp=-1, level=self.otm_level)
+
+            if call and put:
+                self.set_target(put.vt_symbol, -self.fixed_size * self.leg1_ratio)
+                self.set_target(call.vt_symbol, -self.fixed_size * self.leg2_ratio)
+        # 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()
+
+            call = front_chain.get_option_by_level(cp=1, level=self.otm_level)
+            put = front_chain.get_option_by_level(cp=-1, level=self.otm_level)
+
+            if call and put:
+                self.set_target(call.vt_symbol, -self.fixed_size * self.leg1_ratio)
+                self.set_target(put.vt_symbol, -self.fixed_size * self.leg2_ratio)
+
+        # 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, 30, self.update_window_bar)
+        self.am: ArrayManager = ArrayManager(slow_window + 10)
+
+        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.bg.update_bar(bar)
+
+    def update_window_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

5.课程代码/2.Option_spread_strategy/使用文档/41/double_ma_strategy.py

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+from vnpy_ctastrategy import (
+    CtaTemplate,
+    StopOrder,
+    TickData,
+    BarData,
+    TradeData,
+    OrderData,
+    BarGenerator,
+    ArrayManager,
+)
+
+
+class DoubleMaStrategy(CtaTemplate):
+    author = "用Python的交易员"
+
+    fast_window = 5
+    slow_window = 60
+
+    fast_ma0 = 0.0
+    fast_ma1 = 0.0
+
+    slow_ma0 = 0.0
+    slow_ma1 = 0.0
+
+    parameters = ["fast_window", "slow_window"]
+    variables = ["fast_ma0", "fast_ma1", "slow_ma0", "slow_ma1"]
+
+    def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
+        """"""
+        super().__init__(cta_engine, strategy_name, vt_symbol, setting)
+
+        self.bg = BarGenerator(self.on_bar, 30, self.on_window_bar)
+        self.am = ArrayManager(self.slow_window + 10)
+
+    def on_init(self):
+        """
+        Callback when strategy is inited.
+        """
+        self.write_log("策略初始化")
+        self.load_bar(10)
+
+    def on_start(self):
+        """
+        Callback when strategy is started.
+        """
+        self.write_log("策略启动")
+        self.put_event()
+
+    def on_stop(self):
+        """
+        Callback when strategy is stopped.
+        """
+        self.write_log("策略停止")
+
+        self.put_event()
+
+    def on_tick(self, tick: TickData):
+        """
+        Callback of new tick data update.
+        """
+        self.bg.update_tick(tick)
+
+    def on_bar(self, bar: BarData):
+        """
+        Callback of new bar data update.
+        """
+        self.bg.update_bar(bar)
+
+    def on_window_bar(self, bar: BarData):
+        am = self.am
+        am.update_bar(bar)
+        if not am.inited:
+            return
+
+        fast_ma = am.sma(self.fast_window, array=True)
+        self.fast_ma0 = fast_ma[-1]
+        self.fast_ma1 = fast_ma[-2]
+
+        slow_ma = am.sma(self.slow_window, array=True)
+        self.slow_ma0 = slow_ma[-1]
+        self.slow_ma1 = slow_ma[-2]
+
+        cross_over = self.fast_ma0 > self.slow_ma0 and self.fast_ma1 < self.slow_ma1
+        cross_below = self.fast_ma0 < self.slow_ma0 and self.fast_ma1 > self.slow_ma1
+
+        if cross_over:
+            if self.pos == 0:
+                self.buy(bar.close_price, 1)
+            elif self.pos < 0:
+                self.cover(bar.close_price, 1)
+                self.buy(bar.close_price, 1)
+
+        elif cross_below:
+            if self.pos == 0:
+                self.short(bar.close_price, 1)
+            elif self.pos > 0:
+                self.sell(bar.close_price, 1)
+                self.short(bar.close_price, 1)
+
+        self.put_event()
+
+    def on_order(self, order: OrderData):
+        """
+        Callback of new order data update.
+        """
+        pass
+
+    def on_trade(self, trade: TradeData):
+        """
+        Callback of new trade data update.
+        """
+        self.put_event()
+
+    def on_stop_order(self, stop_order: StopOrder):
+        """
+        Callback of stop order update.
+        """
+        pass