216 lines
7.3 KiB
Python
216 lines
7.3 KiB
Python
from vnpy.trader.constant import Interval
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from vnpy.trader.utility import ArrayManager, BarGenerator, load_json, save_json
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from vnpy.trader.object import TickData, BarData
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from elite_optionstrategy import (
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StrategyTemplate,
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Variable,
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Parameter,
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PortfolioData,
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ChainData,
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OptionData,
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OptionBarGenerator,
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)
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class AdvancedSpreadStrategy(StrategyTemplate):
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"""基于均线信号做空符合价差的策略"""
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author: str = "用Python的交易员"
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option_portfolio: str = Parameter("IO") # 期权产品代码
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underlying_symbol: str = Parameter("IFJQ00.CFFEX") # 标的合约代码
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fast_window: int = Parameter(5) # 快速均线周期
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slow_window: int = Parameter(60) # 慢速均线周期
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risk_level: int = Parameter(40) # 开仓风险度
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percent_add: float = Parameter(0.02) # 委托超价比例
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otm_level: int = Parameter(0) # 做空期权档位
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leg1_ratio: int = Parameter(4) # 顺势腿的比例
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leg2_ratio: int = Parameter(1) # 逆势腿的比例
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ma_signal: int = Variable(0) # 当前信号多空
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trading_size: int = Variable(1) # 当前交易数量
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atm_strike: float = Variable(0) # 当前平值行权价
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def on_init(self) -> None:
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"""策略初始化"""
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self.write_log("策略初始化")
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# K线截面合成器
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self.obg: OptionBarGenerator = OptionBarGenerator(self.on_bars)
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# 订阅行情
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self.subscribe_options(self.option_portfolio)
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self.subscribe_data(self.underlying_symbol)
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# 标的信号对象
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self.factor: MaFactor = MaFactor(self.underlying_symbol, self.fast_window, self.slow_window)
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# 加载标的历史数据初始化
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bars: list[BarData] = self.load_bars(self.underlying_symbol, 40, Interval.MINUTE)
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for bar in bars:
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self.factor.update_bar(bar)
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# 缓存文件名称
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self.data_filename: str = f"{self.name}_data.json"
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def on_start(self) -> None:
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"""策略启动"""
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self.write_log("策略启动")
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data: dict = load_json(self.data_filename)
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self.ma_signal = data.get("ma_signal", 0)
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def on_stop(self) -> None:
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"""策略停止"""
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self.write_log("策略停止")
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data: dict = {"ma_signal": self.ma_signal}
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save_json(self.data_filename, data)
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def on_tick(self, tick: TickData) -> None:
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"""Tick推送"""
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self.obg.update_tick(tick)
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def on_bars(self, bars: dict[str, BarData]) -> None:
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"""K线推送"""
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# 回测首先计算标的信号
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underlying_bar: BarData = bars.pop(self.underlying_symbol, None)
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if underlying_bar:
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self.factor.update_bar(underlying_bar)
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# 获取期权组合对象
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portfolio: PortfolioData = self.get_portfolio(self.option_portfolio)
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# 更新最新期权价格到组合
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price_data: dict[str, float] = {}
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for bar in bars.values():
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price_data[bar.vt_symbol] = bar.close_price
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portfolio.update_price(price_data)
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# 获取当月期权链
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front_chain: ChainData = portfolio.get_chain_by_level(0)
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if not front_chain:
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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")
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return
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# 计算平值期权
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front_chain.calculate_atm()
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self.atm_strike = front_chain.atm_strike
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# 获取当前均线多空信号
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ma_signal: int = self.factor.get_signal()
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# 如果均线多头排列，且尚未做多
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if ma_signal > 0 and self.ma_signal <= 0:
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# 做空Put
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call: OptionData = front_chain.get_option_by_level(cp=1, level=self.otm_level)
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put: OptionData = front_chain.get_option_by_level(cp=-1, level=self.otm_level)
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if call and put:
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# 清空之前的目标
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self.clear_targets()
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atr_value: float = self.factor.get_atr()
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if atr_value:
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self.trading_size = int(self.risk_level / atr_value)
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self.trading_size = max(self.trading_size, 1)
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else:
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self.trading_size = 1
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self.set_target(put.vt_symbol, -self.trading_size * self.leg1_ratio)
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self.set_target(call.vt_symbol, -self.trading_size * self.leg2_ratio)
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# 如果均线空头排列，且尚未做空
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elif ma_signal < 0 and self.ma_signal >= 0:
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# 做空Call
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call: OptionData = front_chain.get_option_by_level(cp=1, level=self.otm_level)
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put: OptionData = front_chain.get_option_by_level(cp=-1, level=self.otm_level)
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if call and put:
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# 清空之前的目标
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self.clear_targets()
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atr_value: float = self.factor.get_atr()
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if atr_value:
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self.trading_size = int(self.risk_level / atr_value)
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self.trading_size = max(self.trading_size, 1)
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else:
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self.trading_size = 1
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self.set_target(call.vt_symbol, -self.trading_size * self.leg1_ratio)
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self.set_target(put.vt_symbol, -self.trading_size * self.leg2_ratio)
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# 缓存均线多空信号
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self.ma_signal = ma_signal
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# 执行具体的委托交易
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self.execute_trading(price_data, self.percent_add)
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# 推送UI事件更新
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self.put_event()
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class MaFactor:
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"""标的物均线因子（基于均线输出多空信号）"""
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def __init__(self, vt_symbol: str, fast_window: int, slow_window: int) -> None:
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"""构造函数"""
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self.vt_symbol: str = vt_symbol
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self.fast_window: int = fast_window
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self.slow_window: int = slow_window
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self.bg: BarGenerator = BarGenerator(self.update_bar, 30, self.update_window_bar)
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self.am: ArrayManager = ArrayManager(slow_window + 10)
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self.signal: int = 0
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def update_tick(self, tick: TickData) -> None:
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"""Tick更新"""
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self.bg.update_tick(tick)
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def update_bar(self, bar: BarData) -> None:
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"""K线更新"""
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self.bg.update_bar(bar)
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def update_window_bar(self, bar: BarData) -> None:
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"""K线更新"""
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self.am.update_bar(bar)
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if not self.am.inited:
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return
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# 计算均线
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self.fast_ma = self.am.sma(self.fast_window)
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self.slow_ma = self.am.sma(self.slow_window)
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# 判断信号
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if self.fast_ma > self.slow_ma:
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self.signal = 1
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elif self.fast_ma < self.slow_ma:
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self.signal = -1
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else:
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self.signal = 0
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class TurtleSignalStrategy:
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def __init__(self, vt_symbol: str, entry_window: int, exit_window: int, atr_window: int) -> None:
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"""构造函数"""
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self.vt_symbol: str = vt_symbol
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self.entry_window: int = entry_window
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self.exit_window: int = exit_window
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self.atr_window: int = atr_window
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self.bg: BarGenerator = BarGenerator(self.update_bar, 30, self.update_window_bar)
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self.am: ArrayManager = ArrayManager(slow_window + 10)
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def get_signal(self) -> int:
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"""获取当前多空信号"""
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return self.signal
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def get_atr(self) -> float:
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"""获取ATR风险度"""
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if self.am.inited:
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return self.am.atr(self.slow_window)
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else:
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return 0
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