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/42/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):
+    """基于均线信号做空符合价差的策略"""
+
+    author: str = "用Python的交易员"
+
+    option_portfolio: str = Parameter("i_o")             # 期权产品代码，沪深300：IO;
+    underlying_symbol: str = Parameter("iJQ00.DCE")  # 标的合约代码,沪深300：IFJQ00;
+    fast_window: int = Parameter(5)                     # 快速均线周期
+    slow_window: int = Parameter(60)                    # 慢速均线周期
+    risk_level: int = Parameter(40)                     # 开仓风险度
+    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
+    trading_size: int = Variable(1)                     # 当前交易数量
+
+    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()
+
+            # 做空Put
+            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:
+                atr_value: float = self.factor.get_atr()
+                if atr_value:
+                    self.trading_size = int(self.risk_level / atr_value)
+                    self.trading_size = max(self.trading_size, 1)
+                    self.trading_size = 1 # 强制开启最小交易
+                else:
+                    self.trading_size = 1
+
+                self.set_target(put.vt_symbol, -self.trading_size * self.leg1_ratio)
+                self.set_target(call.vt_symbol, -self.trading_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()
+
+            # 做空Call
+            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:
+                atr_value: float = self.factor.get_atr()
+                if atr_value:
+                    self.trading_size = int(self.risk_level / atr_value)
+                    self.trading_size = max(self.trading_size, 1)
+                    self.trading_size = 1 # 强制开启最小交易
+                else:
+                    self.trading_size = 1
+
+                self.set_target(call.vt_symbol, -self.trading_size * self.leg1_ratio)
+                self.set_target(put.vt_symbol, -self.trading_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, 5, 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
+
+    def get_atr(self) -> float:
+        """获取ATR风险度"""
+        if self.am.inited:
+            return self.am.atr(self.slow_window)
+        else:
+            return 0

5.课程代码/2.Option_spread_strategy/使用文档/42/advanced_spread_strategy_aroon.py

@@ -0,0 +1,192 @@
+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):
+    """基于均线信号做空符合价差的策略"""
+
+    author: str = "用Python的交易员"
+
+    option_portfolio: str = Parameter("MO")  # 期权产品代码
+    underlying_symbol: str = Parameter("IMJQ00.CFFEX")  # 标的合约代码,IMJQ00.CFFEX
+    aroon_window: int = Parameter(5)  # AROON周期
+    risk_level: int = Parameter(40)  # 开仓风险度
+    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(2)  # 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
+    trading_size: int = Variable(1)  # 当前交易数量
+
+    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 = AroonFactor(
+            self.underlying_symbol,
+            self.aroon_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()
+
+            # 做空Put
+            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:
+                atr_value: float = self.factor.get_atr()
+                if atr_value:
+                    self.trading_size = int(self.risk_level / atr_value)
+                    self.trading_size = max(self.trading_size, 1)
+                else:
+                    self.trading_size = 1
+
+                self.set_target(put.vt_symbol, -self.trading_size * self.leg1_ratio)
+                self.set_target(call.vt_symbol, -self.trading_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()
+
+            # 做空Call
+            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:
+                atr_value: float = self.factor.get_atr()
+                if atr_value:
+                    self.trading_size = int(self.risk_level / atr_value)
+                    self.trading_size = max(self.trading_size, 1)
+                else:
+                    self.trading_size = 1
+
+                self.set_target(call.vt_symbol, -self.trading_size * self.leg1_ratio)
+                self.set_target(put.vt_symbol, -self.trading_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 AroonFactor:
+    """标的物均线因子（基于均线输出多空信号）"""
+
+    def __init__(
+        self,
+        vt_symbol: str,
+        aroon_window: int,
+    ) -> None:
+        """构造函数"""
+        self.vt_symbol: str = vt_symbol
+        self.aroon_window: int = aroon_window
+
+        self.bg: BarGenerator = BarGenerator(self.update_bar, 30, self.update_window_bar)
+        self.am: ArrayManager = ArrayManager(aroon_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.aroon_up, self.aroon_down = self.am.aroon(self.aroon_window)
+
+        # 判断信号
+        if self.aroon_up > self.aroon_down:  # and (self.aroon_up > 50)
+            self.signal = 1
+        elif self.aroon_up < self.aroon_down:  # and (self.aroon_down < 50)
+            self.signal = -1
+        else:
+            self.signal = 0
+
+    def get_signal(self) -> int:
+        """获取当前多空信号"""
+        return self.signal
+
+    def get_atr(self) -> float:
+        """获取ATR风险度"""
+        if self.am.inited:
+            return self.am.atr(self.aroon_window)
+        else:
+            return 0