155 lines
4.4 KiB
Python
155 lines
4.4 KiB
Python
from typing import List, Dict
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from datetime import datetime
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from operator import itemgetter
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from vnpy.app.portfolio_strategy import StrategyTemplate, StrategyEngine
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from vnpy.trader.utility import BarGenerator, ArrayManager
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from vnpy.trader.object import TickData, BarData
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from vnpy.trader.constant import Interval
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class Macd10Strategy(StrategyTemplate):
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""""""
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author = "KeKe"
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price_add_percent = 0.05 # 超价5%下单
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fixed_pos_value = 100000 # 每个合约做100万
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trade_day = 0
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targets_pos = {}
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macd_data = {}
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target_cs = {}
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target_total = {}
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parameters = [
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"price_add_percent",
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"fixed_size",
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]
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variables = [
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]
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def __init__(
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self,
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strategy_engine: StrategyEngine,
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strategy_name: str,
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vt_symbols: List[str],
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setting: dict
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):
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""""""
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super().__init__(strategy_engine, strategy_name, vt_symbols, setting)
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self.bgs: Dict[str, BarGenerator] = {}
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self.ams: Dict[str, ArrayManager] = {}
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self.last_tick_time: datetime = None
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# Obtain contract info
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for vt_symbol in self.vt_symbols:
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def on_bar(bar: BarData):
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""""""
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pass
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self.bgs[vt_symbol] = BarGenerator(on_bar)
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self.ams[vt_symbol] = ArrayManager()
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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_bars(10, interval=Interval.DAILY)
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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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if (
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self.last_tick_time
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and self.last_tick_time.minute != tick.datetime.minute
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):
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bars = {}
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for vt_symbol, bg in self.bgs.items():
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bars[vt_symbol] = bg.generate()
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self.on_bars(bars)
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bg: BarGenerator = self.bgs[tick.vt_symbol]
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bg.update_tick(tick)
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self.last_tick_time = tick.datetime
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def on_bars(self, bars: Dict[str, BarData]):
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""""""
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# MACD指标计算
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for vt_symbol, bar in bars.items():
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am: ArrayManager = self.ams[vt_symbol]
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am.update_bar(bar)
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x, y, macd = am.macd(10, 20, 5)
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self.macd_data[vt_symbol] = macd
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# 按照MACD从小到大排序
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sorted_l = sorted(self.macd_data.items(), key=itemgetter(1))
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len_symbol = len(sorted_l) # 10
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choose = int(0.25 * len_symbol) # int(2.5) =2
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short_part = dict(sorted_l[:choose])
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long_part = dict(sorted_l[-choose:])
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not_trade_part = dict(sorted_l[choose: -choose])
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for k in short_part:
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self.target_cs[k] = -1
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for k in long_part:
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self.target_cs[k] = 1
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for k in not_trade_part:
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self.target_cs[k] = 0
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# 信号汇总
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for vt_symbol, bar in bars.items():
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self.target_total[vt_symbol] = self.target_cs[vt_symbol]
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self.targets_pos[vt_symbol] = int(
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self.fixed_pos_value / bar.close_price
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) * self.target_total[vt_symbol]
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# 交易执行
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if self.trade_day == 0 or not (self.trade_day + 0) % 10:
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for vt_symbol in self.vt_symbols:
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bar = bars.get(vt_symbol)
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if not bar:
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continue
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target_pos = self.targets_pos[vt_symbol]
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current_pos = self.get_pos(vt_symbol)
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pos_diff = target_pos - current_pos
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if pos_diff > 0:
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price = bar.close_price * (1 + self.price_add_percent)
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if current_pos < 0:
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self.cover(vt_symbol, price, pos_diff)
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else:
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self.buy(vt_symbol, price, pos_diff)
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elif pos_diff < 0:
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price = bar.close_price * (1 - self.price_add_percent)
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if current_pos > 0:
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self.sell(vt_symbol, price, - pos_diff)
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else:
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self.short(vt_symbol, price, - pos_diff)
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self.trade_day += 1
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self.put_event()
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