212 lines
7.0 KiB
Python
212 lines
7.0 KiB
Python
from vnpy_ctastrategy import (
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CtaTemplate,
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TargetPosTemplate,
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StopOrder,
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TickData,
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BarData,
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TradeData,
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OrderData,
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BarGenerator,
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ArrayManager,
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)
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import pandas as pd
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class vip10(TargetPosTemplate):
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""""""
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author = "松鼠Quant"
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#默认螺纹888 1小时
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Length = 50 #布林周期
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Offset=2 #标准差倍数倍数
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X=2 #过滤均线的Length倍数， 范围及步长：1-5，1
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TS = 60 #移动止损止盈幅度 参数范围及步长： 5-200，5
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lots=1 #下单手数
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current_bar = 0
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Highup=0
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Lowdown=0
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HigherAfterEntry = float('inf')
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LowerAfterEntry = -float('inf')
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liQKA = 0
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DliqPoint = 0
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KliqPoint = 0
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OBVValue=[0]
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MAOBV=[0]
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M2=[0]
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cond1=[0]*2
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cond2=[0]*2
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cond3=[0]*2
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kong_cond1=[0]*2
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kong_cond2=[0]*2
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kong_cond3=[0]*2
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MA1=0
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MA2=0
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MA3=0
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BB=0
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WIDTH=0
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parameters = ["Length",'Offset','X',"TS",'lots']
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variables = ["HigherAfterEntry","LowerAfterEntry","liQKA","DliqPoint","KliqPoint"]
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def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
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""""""
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super().__init__(cta_engine, strategy_name, vt_symbol, setting)
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#df: pd.DataFrame = pd.read_csv(r"index_contract.csv")
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#self.contracts_sizes = {row.vt_symbol.split('.')[0]: row.contract_size for _, row in df.iterrows()}
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self.bg = BarGenerator(self.on_bar)
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self.am = ArrayManager(300)
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self.pos=0
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def on_init(self):
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"""
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Callback when strategy is inited.
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"""
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self.write_log("策略初始化")
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self.load_bar(1)
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def on_start(self):
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"""
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Callback when strategy is started.
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"""
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self.write_log("策略启动")
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def on_stop(self):
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"""
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Callback when strategy is stopped.
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"""
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self.write_log("策略停止")
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def on_tick(self, tick: TickData):
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"""
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Callback of new tick data update.
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"""
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self.bg.update_tick(tick)
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def on_bar(self, bar: BarData):
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"""
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Callback of new bar data update.
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"""
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self.cancel_all()
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am = self.am
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am.update_bar(bar)
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if not am.inited:
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return
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# 如果历史数据还没有初始化完毕，则直接返回
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# 注意：am 是交易系统中的一个数据管理器，可能用于管理历史数据
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# bar 是当前的K线数据，其中包含了开盘价、最高价、最低价、收盘价和成交量等信息
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self.current_bar=self.current_bar+1 #Bar线计数
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#print(bar.datetime,"current_bar:",self.current_bar)
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# 如果当前Bar的计数器值小于三倍的Length，则直接返回
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if(self.current_bar<self.Length*self.X):
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return
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#中轨
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self.MA1=am.ema(self.Length,array=True)
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self.MA2=am.ema(self.Length*self.X,array=True)
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# #上下轨
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self.boll_up, self.boll_down = am.boll(self.Length, self.Offset,array=True)
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# 多头开仓条件
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self.cond1=self.MA1 if self.MA1[-1]>self.MA1[-2] and am.close_array[-1] > self.MA1[-2] else self.cond1
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self.cond2=self.boll_up if self.boll_up[-1] > self.boll_up[-2] and am.high_array[-1] > self.boll_up[-1] else self.cond2
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self.cond3=self.MA2 if self.MA2[-1] > self.MA2[-2] and am.close_array[-1] > self.MA2[-1] else self.cond3
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# 空头开仓条件
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self.kong_cond1=self.MA1 if self.MA1[-1] < self.MA1[-2] and am.close_array[-1] < self.MA1[-2] else self.kong_cond1
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self.kong_cond2=self.boll_down if self.boll_down[-1] < self.boll_down[-2] and am.low_array[-1] < self.boll_down[-1] else self.kong_cond2
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self.kong_cond3=self.MA2 if self.MA2[-1] < self.MA2[-2] and am.close_array[-1] < self.MA2[-1] else self.kong_cond3
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#布林极限（BB）=（收盘价-布林下轨价格）/（布林上轨价格-布林下轨价格）
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self.BB=((am.close_array[-1]-self.boll_down[-1])/(self.boll_up[-1]-self.boll_down[-1]))
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#极限宽，WIDTH=（布林上轨值-布林下轨值）/布林平均值，VIP10用不到这个算法，可以自己拓展
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self.WIDTH=((self.boll_up[-1]-self.boll_down[-1])/self.boll_up[-1])*100
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if self.cond1[-1]>self.cond1[-2] and self.cond2[-1]>self.cond2[-2] and self.cond3[-1]>self.cond3[-2] and self.BB>0.5 :
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if self.pos!=1 and bar.high_price>=self.cond2[-1] :
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if self.pos == 0:
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self.buy(bar.close_price, self.lots)
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elif self.pos < 0:
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self.cover(bar.close_price, self.lots)
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self.buy(bar.close_price, self.lots)
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self.liQKA = 1
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self.LowerAfterEntry = bar.close_price
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if self.kong_cond1[-1]<self.kong_cond1[-2] and self.kong_cond2[-1]<self.kong_cond2[-2] and self.kong_cond3[-1]<self.kong_cond3[-2] and self.BB<0.5 :
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if self.pos!=-1 and bar.low_price<=self.kong_cond2[-1] :
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if self.pos == 0:
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self.short(bar.close_price, self.lots)
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elif self.pos > 0:
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self.sell(bar.close_price, self.lots)
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self.short(bar.close_price, self.lots)
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self.liQKA = 1
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self.HigherAfterEntry = bar.close_price
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#记录入场后的最高价和最低价
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if self.pos>0:
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#self.HigherAfterEntry = HigherAfterEntry
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self.LowerAfterEntry = max(self.LowerAfterEntry, bar.low_price)
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elif self.pos<0:
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self.HigherAfterEntry = min(self.HigherAfterEntry, bar.high_price)
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#self.LowerAfterEntry = LowerAfterEntry
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if self.pos == 0:
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self.liQKA = 1
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else:
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self.liQKA = self.liQKA - 0.1
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self.liQKA = max(self.liQKA, 0.5)
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if self.pos>0:
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DliqPoint = self.LowerAfterEntry - ((bar.open_price)*self.TS/1000)*self.liQKA
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#print(bar.datetime,"DliqPoint",DliqPoint,"low_price",bar.low_price,"self.LowerAfterEntry",self.LowerAfterEntry)
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if self.pos<0:
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KliqPoint = self.HigherAfterEntry + ((bar.open_price)*self.TS/1000)*self.liQKA
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#print(bar.datetime,"KliqPoint",KliqPoint,"high_price",bar.high_price,"self.HigherAfterEntry",self.HigherAfterEntry)
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if (self.pos>0 and bar.low_price <= DliqPoint and DliqPoint>0):
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#多头出场
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self.sell(bar.close_price, self.lots)
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elif (self.pos<0 and bar.high_price > KliqPoint and KliqPoint>0):
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#空头出场
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self.cover(bar.close_price, self.lots)
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self.current_bar += 1
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self.put_event()
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def on_trade(self, trade: TradeData):
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"""
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Callback of new trade data update.
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"""
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self.put_event()
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def on_stop_order(self, stop_order: StopOrder):
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"""
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Callback of stop order update.
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"""
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pass
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