150 lines
4.1 KiB
Python
150 lines
4.1 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 KingKeltnerStrategy(CtaTemplate):
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""""""
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author = "用Python的交易员"
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kk_length: int = 11
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kk_dev: float = 1.6
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trailing_percent: float = 0.8
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fixed_size: int = 1
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kk_up: float = 0
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kk_down: float = 0
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intra_trade_high: float = 0
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intra_trade_low: float = 0
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parameters = ["kk_length", "kk_dev", "trailing_percent", "fixed_size"]
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variables = ["kk_up", "kk_down"]
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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, 5, self.on_5min_bar)
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self.am: ArrayManager = ArrayManager()
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self.long_vt_orderids: list[str] = []
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self.short_vt_orderids: list[str] = []
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self.vt_orderids: list[str] = []
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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_5min_bar(self, bar: BarData) -> None:
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""""""
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for orderid in self.vt_orderids:
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self.cancel_order(orderid)
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self.vt_orderids.clear()
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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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self.kk_up, self.kk_down = am.keltner(self.kk_length, self.kk_dev)
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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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self.send_oco_order(self.kk_up, self.kk_down, self.fixed_size)
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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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sell_orderids: list[str] = self.sell(
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self.intra_trade_high * (1 - self.trailing_percent / 100),
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abs(self.pos),
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True
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)
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self.vt_orderids.extend(sell_orderids)
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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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cover_orderids: list[str] = self.cover(
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self.intra_trade_low * (1 + self.trailing_percent / 100),
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abs(self.pos),
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True
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)
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self.vt_orderids.extend(cover_orderids)
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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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if self.pos != 0:
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if self.pos > 0:
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for short_orderid in self.short_vt_orderids:
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self.cancel_order(short_orderid)
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elif self.pos < 0:
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for buy_orderid in self.long_vt_orderids:
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self.cancel_order(buy_orderid)
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for orderid in (self.long_vt_orderids + self.short_vt_orderids):
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if orderid in self.vt_orderids:
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self.vt_orderids.remove(orderid)
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self.put_event()
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def send_oco_order(self, buy_price: float, short_price: float, volume: float) -> None:
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""""""
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self.long_vt_orderids = self.buy(buy_price, volume, True)
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self.short_vt_orderids = self.short(short_price, volume, True)
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self.vt_orderids.extend(self.long_vt_orderids)
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self.vt_orderids.extend(self.short_vt_orderids)
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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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