201 lines
7.2 KiB
Python
201 lines
7.2 KiB
Python
from datetime import time
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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Dual Thrust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("MO") # 期权产品代码
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underlying_symbol: str = Parameter("IMJQ00.CFFEX") # 标的合约代码
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k1: float = Parameter(0.3) # 多头系数
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k2: float = Parameter(0.9) # 空头系数
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exit_time: time = Parameter(time(14, 55)) # 平仓时间
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percent_add: float = Parameter(0.002) # 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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dual_thrust_signal: int = Variable(0) # 当前信号多空（1多头，-1空头，0无信号）
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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: DualThrustFactor = DualThrustFactor(
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self.underlying_symbol, self.k1, self.k2, self.exit_time
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)
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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, 100, 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.dual_thrust_signal = data.get("dual_thrust_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 = {"dual_thrust_signal": self.dual_thrust_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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# 更新标的信号
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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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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Dual Thrust信号
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signal: int = self.factor.get_signal()
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# 固定交易手数为1
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trading_size: int = 1
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# 根据信号开仓
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if signal != self.dual_thrust_signal:
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self.clear_targets()
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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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if signal == 1: # 多头信号：做空Put（顺势腿）和Call（逆势腿）
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self.set_target(put.vt_symbol, -trading_size * self.leg1_ratio)
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self.set_target(call.vt_symbol, -trading_size * self.leg2_ratio)
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elif signal == -1: # 空头信号：做空Call（顺势腿）和Put（逆势腿）
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self.set_target(call.vt_symbol, -trading_size * self.leg1_ratio)
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self.set_target(put.vt_symbol, -trading_size * self.leg2_ratio)
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# 平仓逻辑：在exit_time前平仓
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if underlying_bar.datetime.time() >= self.exit_time:
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self.clear_targets()
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self.dual_thrust_signal = signal
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self.execute_trading(price_data, self.percent_add)
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self.put_event()
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class DualThrustFactor:
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"""标的物Dual Thrust因子（基于价格区间输出多空信号）"""
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def __init__(self, vt_symbol: str, k1: float, k2: float, exit_time: time) -> None:
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self.vt_symbol: str = vt_symbol
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self.k1: float = k1
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self.k2: float = k2
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self.exit_time: time = exit_time
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self.bars = []
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self.day_open: float = 0
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self.day_high: float = 0
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self.day_low: float = 0
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self.day_range: float = 0
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self.long_entry: float = 0
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self.short_entry: float = 0
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self.signal: int = 0 # 1多头，-1空头，0无信号
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self.bg: BarGenerator = BarGenerator(self.update_bar, 1, self.update_window_bar)
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self.am: ArrayManager = ArrayManager(40) # 缓存足够的历史数据
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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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"""日级别K线更新"""
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# 检查是否为新交易日
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self.bars.append(bar)
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if len(self.bars) <= 2:
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return
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else:
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self.bars.pop(0)
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last_bar = self.bars[-2]
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if len(self.bars) == 0 or last_bar.datetime.date() != bar.datetime.date():
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if len(self.bars) >= 1:
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# 计算前一交易日的波动范围
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prev_high = self.am.high[-1]
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prev_low = self.am.low[-1]
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prev_close = self.am.close[-1]
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self.day_range = max(prev_high - prev_low, prev_high - prev_close, prev_close - prev_low)
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# 重置当日参数
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self.day_open = bar.open_price
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self.day_high = bar.high_price
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self.day_low = bar.low_price
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else:
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# 更新当日最高最低价
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self.day_high = max(self.day_high, bar.high_price)
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self.day_low = min(self.day_low, bar.low_price)
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self.am.update_bar(bar)
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# 计算入场价
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if self.day_range > 0:
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self.long_entry = self.day_open + self.k1 * self.day_range
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self.short_entry = self.day_open - self.k2 * self.day_range
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# 生成信号
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if bar.close_price > self.long_entry:
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self.signal = 1
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elif bar.close_price < self.short_entry:
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self.signal = -1
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else:
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self.signal = 0
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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 |