150 lines
4.0 KiB
Python
150 lines
4.0 KiB
Python
from datetime import time
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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 DualThrustStrategy(CtaTemplate):
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""""""
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author = "用Python的交易员"
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fixed_size: int = 1
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k1: float = 0.4
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k2: float = 0.6
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day_open: float = 0
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day_high: float = 0
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day_low: float = 0
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day_range: float = 0
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long_entry: float = 0
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short_entry: float = 0
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long_entered: bool = False
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short_entered: bool = False
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parameters = ["k1", "k2", "fixed_size"]
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variables = ["day_range", "long_entry", "short_entry"]
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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.bars: list[BarData] = []
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self.exit_time: time = time(hour=14, minute=55)
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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.cancel_all()
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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: BarData = self.bars[-2]
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if last_bar.datetime.date() != bar.datetime.date():
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if self.day_high:
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self.day_range = self.day_high - self.day_low
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self.long_entry = bar.open_price + self.k1 * self.day_range
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self.short_entry = bar.open_price - self.k2 * self.day_range
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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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self.long_entered = False
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self.short_entered = False
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else:
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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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if not self.day_range:
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return
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if bar.datetime.time() < self.exit_time:
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if self.pos == 0:
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if bar.close_price > self.day_open:
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if not self.long_entered:
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self.buy(self.long_entry, self.fixed_size, stop=True)
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else:
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if not self.short_entered:
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self.short(self.short_entry,
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self.fixed_size, stop=True)
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elif self.pos > 0:
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self.long_entered = True
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self.sell(self.short_entry, self.fixed_size, stop=True)
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if not self.short_entered:
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self.short(self.short_entry, self.fixed_size, stop=True)
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elif self.pos < 0:
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self.short_entered = True
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self.cover(self.long_entry, self.fixed_size, stop=True)
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if not self.long_entered:
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self.buy(self.long_entry, self.fixed_size, stop=True)
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else:
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if self.pos > 0:
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self.sell(bar.close_price * 0.99, abs(self.pos))
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elif self.pos < 0:
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self.cover(bar.close_price * 1.01, abs(self.pos))
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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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