139 lines
3.5 KiB
Python
139 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 MultiTimeframeStrategy(CtaTemplate):
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""""""
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author = "用Python的交易员"
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rsi_signal: int = 20
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rsi_window: int = 14
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fast_window: int = 5
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slow_window: int = 20
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fixed_size: int = 1
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rsi_value: float = 0
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rsi_long: float = 0
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rsi_short: float = 0
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fast_ma: float = 0
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slow_ma: float = 0
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ma_trend: float = 0
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parameters = ["rsi_signal", "rsi_window",
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"fast_window", "slow_window",
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"fixed_size"]
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variables = ["rsi_value", "rsi_long", "rsi_short",
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"fast_ma", "slow_ma", "ma_trend"]
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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.rsi_long: float = 50 + self.rsi_signal
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self.rsi_short: float = 50 - self.rsi_signal
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self.bg5: BarGenerator = BarGenerator(self.on_bar, 5, self.on_5min_bar)
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self.am5: ArrayManager = ArrayManager()
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self.bg15: BarGenerator = BarGenerator(self.on_bar, 15, self.on_15min_bar)
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self.am15: 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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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.bg5.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.bg5.update_bar(bar)
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self.bg15.update_bar(bar)
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def on_5min_bar(self, bar: BarData) -> None:
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""""""
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self.cancel_all()
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self.am5.update_bar(bar)
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if not self.am5.inited:
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return
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if not self.ma_trend:
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return
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self.rsi_value = self.am5.rsi(self.rsi_window)
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if self.pos == 0:
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if self.ma_trend > 0 and self.rsi_value >= self.rsi_long:
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self.buy(bar.close_price + 5, self.fixed_size)
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elif self.ma_trend < 0 and self.rsi_value <= self.rsi_short:
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self.short(bar.close_price - 5, self.fixed_size)
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elif self.pos > 0:
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if self.ma_trend < 0 or self.rsi_value < 50:
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self.sell(bar.close_price - 5, abs(self.pos))
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elif self.pos < 0:
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if self.ma_trend > 0 or self.rsi_value > 50:
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self.cover(bar.close_price + 5, abs(self.pos))
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self.put_event()
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def on_15min_bar(self, bar: BarData) -> None:
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""""""
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self.am15.update_bar(bar)
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if not self.am15.inited:
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return
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self.fast_ma = self.am15.sma(self.fast_window)
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self.slow_ma = self.am15.sma(self.slow_window)
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if self.fast_ma > self.slow_ma:
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self.ma_trend = 1
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else:
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self.ma_trend = -1
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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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