118 lines
2.8 KiB
Python
118 lines
2.8 KiB
Python
import numpy as np
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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 DoubleMaStrategy(CtaTemplate):
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""""""
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author = "用Python的交易员"
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fast_window: int = 10
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slow_window: int = 20
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fast_ma0: float = 0.0
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fast_ma1: float = 0.0
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slow_ma0: float = 0.0
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slow_ma1: float = 0.0
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parameters = ["fast_window", "slow_window"]
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variables = ["fast_ma0", "fast_ma1", "slow_ma0", "slow_ma1"]
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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 = BarGenerator(self.on_bar)
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self.am: ArrayManager = 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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self.put_event()
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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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self.put_event()
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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.cancel_all()
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am: ArrayManager = 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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fast_ma: np.ndarray = am.sma(self.fast_window, array=True)
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self.fast_ma0 = fast_ma[-1]
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self.fast_ma1 = fast_ma[-2]
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slow_ma: np.ndarray = am.sma(self.slow_window, array=True)
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self.slow_ma0 = slow_ma[-1]
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self.slow_ma1 = slow_ma[-2]
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cross_over: bool = self.fast_ma0 > self.slow_ma0 and self.fast_ma1 < self.slow_ma1
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cross_below: bool = self.fast_ma0 < self.slow_ma0 and self.fast_ma1 > self.slow_ma1
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if cross_over:
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if self.pos == 0:
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self.buy(bar.close_price, 1)
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elif self.pos < 0:
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self.cover(bar.close_price, 1)
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self.buy(bar.close_price, 1)
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elif cross_below:
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if self.pos == 0:
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self.short(bar.close_price, 1)
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elif self.pos > 0:
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self.sell(bar.close_price, 1)
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self.short(bar.close_price, 1)
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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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