143 lines
3.5 KiB
Python
143 lines
3.5 KiB
Python
from vnpy_ctastrategy import (
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CtaTemplate,
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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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class BollChannelStrategy(CtaTemplate):
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""""""
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author = "用Python的交易员"
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boll_window: int = 18
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boll_dev: float = 3.4
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cci_window: int = 10
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atr_window: int = 30
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sl_multiplier: float = 5.2
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fixed_size: int = 1
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boll_up: float = 0
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boll_down: float = 0
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cci_value: float = 0
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atr_value: float = 0
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intra_trade_high: float = 0
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intra_trade_low: float = 0
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long_stop: float = 0
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short_stop: float = 0
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parameters = [
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"boll_window",
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"boll_dev",
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"cci_window",
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"atr_window",
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"sl_multiplier",
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"fixed_size"
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]
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variables = [
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"boll_up",
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"boll_down",
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"cci_value",
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"atr_value",
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"intra_trade_high",
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"intra_trade_low",
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"long_stop",
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"short_stop"
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]
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def on_init(self) -> None:
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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.bg = BarGenerator(self.on_bar, 15, self.on_15min_bar)
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self.am = ArrayManager()
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self.load_bar(10)
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def on_start(self) -> None:
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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) -> None:
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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) -> None:
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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) -> None:
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"""
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Callback of new bar data update.
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"""
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self.bg.update_bar(bar)
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def on_15min_bar(self, bar: BarData) -> None:
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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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self.boll_up, self.boll_down = am.boll(self.boll_window, self.boll_dev)
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self.cci_value = am.cci(self.cci_window)
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self.atr_value = am.atr(self.atr_window)
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if self.pos == 0:
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self.intra_trade_high = bar.high_price
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self.intra_trade_low = bar.low_price
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if self.cci_value > 0:
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self.buy(self.boll_up, self.fixed_size, True)
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elif self.cci_value < 0:
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self.short(self.boll_down, self.fixed_size, True)
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elif self.pos > 0:
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self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
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self.intra_trade_low = bar.low_price
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self.long_stop = self.intra_trade_high - self.atr_value * self.sl_multiplier
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self.sell(self.long_stop, abs(self.pos), True)
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elif self.pos < 0:
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self.intra_trade_high = bar.high_price
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self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
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self.short_stop = self.intra_trade_low + self.atr_value * self.sl_multiplier
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self.cover(self.short_stop, abs(self.pos), True)
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self.put_event()
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def on_order(self, order: OrderData) -> None:
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"""
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Callback of new order data update.
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"""
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pass
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def on_trade(self, trade: TradeData) -> None:
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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) -> None:
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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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