142 lines
3.8 KiB
Python
142 lines
3.8 KiB
Python
from typing import List, Dict
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from datetime import datetime
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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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class DoubleMaStrategy(StrategyTemplate):
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""""""
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author = "KeKe"
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fast_window = 8
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slow_window = 24
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price_add = 5
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today = ""
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daily_pos = {}
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daily_close = {}
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parameters = [
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"fast_window",
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"slow_window",
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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(100)
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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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# 更新K线计算
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for vt_symbol, bar in bars.items():
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dt_str = bar.datetime.strftime("%Y-%m-%d")
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self.today = dt_str
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am: ArrayManager = self.ams[vt_symbol]
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am.update_bar(bar)
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if not am.inited:
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continue
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fast_ma = am.sma(self.fast_window, array=True)
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fast_ma0 = fast_ma[-1]
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fast_ma1 = fast_ma[-2]
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slow_ma = am.sma(self.slow_window, array=True)
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slow_ma0 = slow_ma[-1]
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slow_ma1 = slow_ma[-2]
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cross_over = fast_ma0 > slow_ma0 and fast_ma1 < slow_ma1
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cross_below = fast_ma0 < slow_ma0 and fast_ma1 > slow_ma1
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pos = self.get_pos(vt_symbol)
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if cross_over:
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if pos == 0:
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self.buy(vt_symbol, bar.close_price, 1)
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elif pos < 0:
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self.cover(vt_symbol, bar.close_price, 1)
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self.buy(vt_symbol, bar.close_price, 1)
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elif cross_below:
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if pos == 0:
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self.short(vt_symbol, bar.close_price, 1)
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elif pos > 0:
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self.sell(vt_symbol, bar.close_price, 1)
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self.short(vt_symbol, bar.close_price, 1)
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self.record_current_pos(bars)
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self.put_event()
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def record_current_pos(self, bars):
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current_pos = {}
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current_close = {}
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for bar in bars.values():
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pos = self.get_pos(bar.vt_symbol)
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current_pos[bar.vt_symbol] = pos
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current_close[bar.vt_symbol] = bar.close_price
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today = self.today
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self.daily_pos[today] = str(current_pos)
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self.daily_close[today] = current_close
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