পাইথন সংস্করণ কমোডিটি ফিউচার মুভিং গড় কৌশল

এটি সম্পূর্ণরূপে থেকে প্রতিস্থাপন করা হয়সিটিপি কমোডিটি ফিউচারস ভেরিটি মুভিং এভারেজ কৌশল. কমোডিটি ফিউচার কৌশল পাইথন সংস্করণ এখনও একটি মাল্টি-বৈচিত্র্য কৌশল নেই, CTP কমোডিটি ফিউচারস মাল্টি-ভেরিয়েবল চলমান গড় কৌশল এর জাভাস্ক্রিপ্ট সংস্করণ পোর্ট করা হয়েছিল। পাইথন কমোডিটি ফিউচারস মাল্টি-বৈচিত্র্য কৌশল কিছু নকশা ধারণা এবং উদাহরণ প্রদান। জাভাস্ক্রিপ্ট সংস্করণ বা পাইথন সংস্করণ নির্বিশেষে, কৌশল স্থাপত্য নকশা থেকে উদ্ভূতকমোডিটি ফিউচার মাল্টি-ভেরিয়েন্ট টার্টল স্ট্র্যাটেজি.

সরল কৌশল হিসাবে, চলমান গড় কৌশলটি শিখতে খুব সহজ, কারণ চলমান গড় কৌশলটিতে কোনও উন্নত অ্যালগরিদম এবং জটিল যুক্তি নেই। ধারণাগুলি পরিষ্কার এবং সহজ, যা নতুনদের কৌশল নকশার গবেষণায় আরও বেশি মনোনিবেশ করার অনুমতি দেয় এবং এমনকি কোডিং সম্পর্কিত অংশটি সরিয়ে দেয়, একটি বহু-বৈচিত্র্য কৌশল কাঠামো রেখে যায় যা সহজেই এটিআর, এমএসিডি, বিওএলএল এবং অন্যান্য সূচক কৌশলগুলিতে প্রসারিত হতে পারে।

জাভাস্ক্রিপ্ট সংস্করণ সম্পর্কিত নিবন্ধঃhttps://www.fmz.com/bbs-topic/5235.

কৌশল উৎস কোড

'''backtest
start: 2019-07-01 09:00:00
end: 2020-03-25 15:00:00
period: 1d
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
'''

import json
import re
import time

_bot = ext.NewPositionManager()

class Manager:
    'Strategy logic control'

    ACT_IDLE = 0
    ACT_LONG = 1
    ACT_SHORT = 2 
    ACT_COVER = 3

    ERR_SUCCESS = 0
    ERR_SET_SYMBOL = 1
    ERR_GET_ORDERS = 2
    ERR_GET_POS = 3
    ERR_TRADE = 4
    ERR_GET_DEPTH = 5
    ERR_NOT_TRADING = 6
    errMsg = ["Success", "Failed to switch contract", "Failed to get order info", "Failed to get position info", "Placing Order failed", "Failed to get order depth info", "Not in trading hours"]
    
    def __init__(self, needRestore, symbol, keepBalance, fastPeriod, slowPeriod):
        # Get symbolDetail 
        symbolDetail = _C(exchange.SetContractType, symbol)
        if symbolDetail["VolumeMultiple"] == 0 or symbolDetail["MaxLimitOrderVolume"] == 0 or symbolDetail["MinLimitOrderVolume"] == 0 or symbolDetail["LongMarginRatio"] == 0 or symbolDetail["ShortMarginRatio"] == 0:
            Log(symbolDetail)
            raise Exception("Abnormal contract information")
        else :
            Log("contract", symbolDetail["InstrumentName"], "1 lot", symbolDetail["VolumeMultiple"], "lot, Maximum placing order quantity", symbolDetail["MaxLimitOrderVolume"], "Margin rate: ", _N(symbolDetail["LongMarginRatio"]), _N(symbolDetail["ShortMarginRatio"]), "Delivery date", symbolDetail["StartDelivDate"])

        # Initialization    
        self.symbol = symbol
        self.keepBalance = keepBalance
        self.fastPeriod = fastPeriod
        self.slowPeriod = slowPeriod

        self.marketPosition = None
        self.holdPrice = None
        self.holdAmount = None 
        self.holdProfit = None

        self.task = {
            "action" : Manager.ACT_IDLE,
            "amount" : 0,
            "dealAmount" : 0,
            "avgPrice" : 0,
            "preCost" : 0,
            "preAmount" : 0,
            "init" : False,
            "retry" : 0,
            "desc" : "idle",
            "onFinish" : None
        }
        
        self.lastPrice = 0 
        self.symbolDetail = symbolDetail

        # Position status information
        self.status = {
            "symbol" : symbol,
            "recordsLen" : 0,
            "vm" : [], 
            "open" : 0,
            "cover" : 0,
            "st" : 0,
            "marketPosition" : 0,
            "lastPrice" : 0,
            "holdPrice" : 0, 
            "holdAmount" : 0,
            "holdProfit" : 0, 
            "symbolDetail" : symbolDetail,
            "lastErr" : "",
            "lastErrTime" : "",
            "isTrading" : False   
        }
        
        # Other processing work during object construction
        vm = None
        if RMode == 0:
            vm = _G(self.symbol)
        else:
            vm = json.loads(VMStatus)[self.symbol]
        if vm:
            Log("Ready to resume progress, current contract status is", vm)
            self.reset(vm[0])
        else:
            if needRestore:
                Log("could not find" + self.symbol + "progress recovery information")
            self.reset()

    def setLastError(self, err=None):
        if err is None:
            self.status["lastErr"] = ""
            self.status["lastErrTime"] = ""
            return 
        t = _D()
        self.status["lastErr"] = err
        self.status["lastErrTime"] = t
    
    def reset(self, marketPosition=None):
        if marketPosition is not None:
            self.marketPosition = marketPosition
            pos = _bot.GetPosition(self.symbol, PD_LONG if marketPosition > 0 else PD_SHORT)
            if pos is not None:
                self.holdPrice = pos["Price"]
                self.holdAmount = pos["Amount"]
                Log(self.symbol, "Position", pos)
            else :
                raise Exception("Restore" + self.symbol + "position status is wrong, no position information found")
            Log("Restore", self.symbol, "average holding position price:", self.holdPrice, "Number of positions:", self.holdAmount)
            self.status["vm"] = [self.marketPosition]
        else :
            self.marketPosition = 0
            self.holdPrice = 0 
            self.holdAmount = 0 
            self.holdProfit = 0
        self.holdProfit = 0
        self.lastErr = ""
        self.lastErrTime = ""

    def Status(self):
        self.status["marketPosition"] = self.marketPosition
        self.status["holdPrice"] = self.holdPrice
        self.status["holdAmount"] = self.holdAmount
        self.status["lastPrice"] = self.lastPrice
        if self.lastPrice > 0 and self.holdAmount > 0 and self.marketPosition != 0:
            self.status["holdProfit"] = _N((self.lastPrice - self.holdPrice) * self.holdAmount * self.symbolDetail["VolumeMultiple"], 4) * (1 if self.marketPosition > 0 else -1)
        else :
            self.status["holdProfit"] = 0 
        return self.status

    def setTask(self, action, amount = None, onFinish = None):
        self.task["init"] = False 
        self.task["retry"] = 0
        self.task["action"] = action
        self.task["preAmount"] = 0
        self.task["preCost"] = 0
        self.task["amount"] = 0 if amount is None else amount
        self.task["onFinish"] = onFinish
        if action == Manager.ACT_IDLE:
            self.task["desc"] = "idle"
            self.task["onFinish"] = None
        else:
            if action != Manager.ACT_COVER:
                self.task["desc"] = ("Adding long position" if action == Manager.ACT_LONG else "Adding short position") + "(" + str(amount) + ")"
            else :
                self.task["desc"] = "Closing Position"
            Log("Task received", self.symbol, self.task["desc"])
            self.Poll(True)

    def processTask(self):
        insDetail = exchange.SetContractType(self.symbol)
        if not insDetail:
            return Manager.ERR_SET_SYMBOL
        SlideTick = 1
        ret = False
        if self.task["action"] == Manager.ACT_COVER:
            hasPosition = False
            while True:
                if not ext.IsTrading(self.symbol):
                    return Manager.ERR_NOT_TRADING
                hasPosition = False
                positions = exchange.GetPosition()
                if positions is None:
                    return Manager.ERR_GET_POS
                depth = exchange.GetDepth()
                if depth is None:
                    return Manager.ERR_GET_DEPTH
                orderId = None
                for i in range(len(positions)):
                    if positions[i]["ContractType"] != self.symbol:
                        continue
                    amount = min(insDetail["MaxLimitOrderVolume"], positions[i]["Amount"])
                    if positions[i]["Type"] == PD_LONG or positions[i]["Type"] == PD_LONG_YD:
                        exchange.SetDirection("closebuy_today" if positions[i].Type == PD_LONG else "closebuy")
                        orderId = exchange.Sell(_N(depth["Bids"][0]["Price"] - (insDetail["PriceTick"] * SlideTick), 2), min(amount, depth["Bids"][0]["Amount"]), self.symbol, "Close today's position" if positions[i]["Type"] == PD_LONG else "Close yesterday's position", "Bid", depth["Bids"][0])
                        hasPosition = True
                    elif positions[i]["Type"] == PD_SHORT or positions[i]["Type"] == PD_SHORT_YD:
                        exchange.SetDirection("closesell_today" if positions[i]["Type"] == PD_SHORT else "closesell")
                        orderId = exchange.Buy(_N(depth["Asks"][0]["Price"] + (insDetail["PriceTick"] * SlideTick), 2), min(amount, depth["Asks"][0]["Amount"]), self.symbol, "Close today's position" if positions[i]["Type"] == PD_SHORT else "Close yesterday's position", "Ask", depth["Asks"][0])
                        hasPosition = True
                    if hasPosition:
                        if not orderId:
                            return Manager.ERR_TRADE
                        Sleep(1000)
                        while True:
                            orders = exchange.GetOrders()
                            if orders is None:
                                return Manager.ERR_GET_ORDERS
                            if len(orders) == 0:
                                break
                            for i in range(len(orders)):
                                exchange.CancelOrder(orders[i]["Id"])
                                Sleep(500)
                if not hasPosition:
                    break
            ret = True
        elif self.task["action"] == Manager.ACT_LONG or self.task["action"] == Manager.ACT_SHORT:
            while True:
                if not ext.IsTrading(self.symbol):
                    return Manager.ERR_NOT_TRADING
                Sleep(1000)
                while True:
                    orders = exchange.GetOrders()
                    if orders is None:
                        return Manager.ERR_GET_ORDERS
                    if len(orders) == 0:
                        break
                    for i in range(len(orders)):
                        exchange.CancelOrder(orders[i]["Id"])
                        Sleep(500)
                positions = exchange.GetPosition()
                if positions is None:
                    return Manager.ERR_GET_POS
                pos = None
                for i in range(len(positions)):
                    if positions[i]["ContractType"] == self.symbol and (((positions[i]["Type"] == PD_LONG or positions[i]["Type"] == PD_LONG_YD) and self.task["action"] == Manager.ACT_LONG) or ((positions[i]["Type"] == PD_SHORT) or positions[i]["Type"] == PD_SHORT_YD) and self.task["action"] == Manager.ACT_SHORT):
                        if not pos:
                            pos = positions[i]
                            pos["Cost"] = positions[i]["Price"] * positions[i]["Amount"]
                        else :
                            pos["Amount"] += positions[i]["Amount"]
                            pos["Profit"] += positions[i]["Profit"]
                            pos["Cost"] += positions[i]["Price"] * positions[i]["Amount"]
                # records pre position 
                if not self.task["init"]:
                    self.task["init"] = True
                    if pos:
                        self.task["preAmount"] = pos["Amount"]
                        self.task["preCost"] = pos["Cost"]
                    else:
                        self.task["preAmount"] = 0
                        self.task["preCost"] = 0
                remain = self.task["amount"]
                if pos:
                    self.task["dealAmount"] = pos["Amount"] - self.task["preAmount"]
                    remain = int(self.task["amount"] - self.task["dealAmount"])
                    if remain <= 0 or self.task["retry"] >= MaxTaskRetry:
                        ret = {
                            "price" : (pos["Cost"] - self.task["preCost"]) / (pos["Amount"] - self.task["preAmount"]),
                            "amount" : (pos["Amount"] - self.task["preAmount"]),
                            "position" : pos
                        }
                        break
                elif self.task["retry"] >= MaxTaskRetry:
                    ret = None
                    break

                depth = exchange.GetDepth()
                if depth is None:
                    return Manager.ERR_GET_DEPTH
                orderId = None
                if self.task["action"] == Manager.ACT_LONG:
                    exchange.SetDirection("buy")
                    orderId = exchange.Buy(_N(depth["Asks"][0]["Price"] + (insDetail["PriceTick"] * SlideTick), 2), min(remain, depth["Asks"][0]["Amount"]), self.symbol, "Ask", depth["Asks"][0])
                else:
                    exchange.SetDirection("sell")
                    orderId = exchange.Sell(_N(depth["Bids"][0]["Price"] - (insDetail["PriceTick"] * SlideTick), 2), min(remain, depth["Bids"][0]["Amount"]), self.symbol, "Bid", depth["Bids"][0])
                if orderId is None:
                    self.task["retry"] += 1
                    return Manager.ERR_TRADE
        if self.task["onFinish"]:
            self.task["onFinish"](ret)
        self.setTask(Manager.ACT_IDLE)
        return Manager.ERR_SUCCESS

    def Poll(self, subroutine = False):
        # Judge the trading hours
        self.status["isTrading"] = ext.IsTrading(self.symbol)
        if not self.status["isTrading"]:
            return 

        # Perform order trading tasks
        if self.task["action"] != Manager.ACT_IDLE:
            retCode = self.processTask()
            if self.task["action"] != Manager.ACT_IDLE:
                self.setLastError("The task was not successfully processed:" + Manager.errMsg[retCode] + ", " + self.task["desc"] + ", Retry:" + str(self.task["retry"]))
            else :
                self.setLastError()
            return 

        if subroutine:
            return

        suffix = "@" if WXPush else ""
        # switch symbol
        _C(exchange.SetContractType, self.symbol)

        # Get K-line data
        records = exchange.GetRecords()
        if records is None:
            self.setLastError("Failed to get K line")
            return 
        self.status["recordsLen"] = len(records)
        if len(records) < self.fastPeriod + 2 or len(records) < self.slowPeriod + 2:
            self.setLastError("The length of the K line is less than the moving average period:" + str(self.fastPeriod) + "or" + str(self.slowPeriod))
            return 

        opCode = 0   # 0 : IDLE , 1 : LONG , 2 : SHORT , 3 : CoverALL 
        lastPrice = records[-1]["Close"]
        self.lastPrice = lastPrice

        fastMA = TA.EMA(records, self.fastPeriod)
        slowMA = TA.EMA(records, self.slowPeriod)

        # Strategy logic
        if self.marketPosition == 0:
            if fastMA[-3] < slowMA[-3] and fastMA[-2] > slowMA[-2]:
                opCode = 1 
            elif fastMA[-3] > slowMA[-3] and fastMA[-2] < slowMA[-2]:
                opCode = 2
        else:
            if self.marketPosition < 0 and fastMA[-3] < slowMA[-3] and fastMA[-2] > slowMA[-2]:
                opCode = 3
            elif self.marketPosition > 0 and fastMA[-3] > slowMA[-3] and fastMA[-2] < slowMA[-2]:
                opCode = 3

        # If no condition is triggered, the opcode is 0 and return
        if opCode == 0:
            return 

        # Preforming closing position action
        if opCode == 3:
            def coverCallBack(ret):
                self.reset()
                _G(self.symbol, None)
            self.setTask(Manager.ACT_COVER, 0, coverCallBack)
            return 
        
        account = _bot.GetAccount()
        canOpen = int((account["Balance"] - self.keepBalance) / (self.symbolDetail["LongMarginRatio"] if opCode == 1 else self.symbolDetail["ShortMarginRatio"]) / (lastPrice * 1.2) / self.symbolDetail["VolumeMultiple"])
        unit = min(1, canOpen)

        # Set up trading tasks
        def setTaskCallBack(ret):
            if not ret:
                self.setLastError("Placing Order failed")
                return 
            self.holdPrice = ret["position"]["Price"]
            self.holdAmount = ret["position"]["Amount"]
            self.marketPosition += 1 if opCode == 1 else -1
            self.status["vm"] = [self.marketPosition]
            _G(self.symbol, self.status["vm"])

        self.setTask(Manager.ACT_LONG if opCode == 1 else Manager.ACT_SHORT, unit, setTaskCallBack)

def onexit():
    Log("Exited strategy...")

def main():
    if exchange.GetName().find("CTP") == -1:
        raise Exception("Only support commodity futures CTP")
    SetErrorFilter("login|ready|flow control|connection failed|initial|Timeout")
    mode = exchange.IO("mode", 0)
    if mode is None:
        raise Exception("Failed to switch modes, please update to the latest docker!")
    while not exchange.IO("status"):
        Sleep(3000)
        LogStatus("Waiting for connection with the trading server," + _D())
    positions = _C(exchange.GetPosition)
    if len(positions) > 0:
        Log("Detecting the current holding position, the system will start to try to resume the progress...")
        Log("Position information:", positions)

    initAccount = _bot.GetAccount()
    initMargin = json.loads(exchange.GetRawJSON())["CurrMargin"]
    keepBalance = _N((initAccount["Balance"] + initMargin) * (KeepRatio / 100), 3)
    Log("Asset information", initAccount, "Retain funds:", keepBalance)

    tts = []
    symbolFilter = {}
    arr = Instruments.split(",")
    arrFastPeriod = FastPeriodArr.split(",")
    arrSlowPeriod = SlowPeriodArr.split(",")
    if len(arr) != len(arrFastPeriod) or len(arr) != len(arrSlowPeriod):
        raise Exception("The moving average period parameter does not match the number of added contracts, please check the parameters!")
    for i in range(len(arr)):
        symbol = re.sub(r'/\s+$/g', "", re.sub(r'/^\s+/g', "", arr[i]))
        if symbol in symbolFilter.keys():
            raise Exception(symbol + "Already exists, please check the parameters!")
        symbolFilter[symbol] = True
        hasPosition = False 
        for j in range(len(positions)):
            if positions[j]["ContractType"] == symbol:
                hasPosition = True
                break
        fastPeriod = int(arrFastPeriod[i])
        slowPeriod = int(arrSlowPeriod[i])
        obj = Manager(hasPosition, symbol, keepBalance, fastPeriod, slowPeriod)
        tts.append(obj)
    
    preTotalHold = -1
    lastStatus = ""
    while True:
        if GetCommand() == "Pause/Resume":
            Log("Suspending trading ...")
            while GetCommand() != "Pause/Resume":
                Sleep(1000)
            Log("Continue trading...")
        while not exchange.IO("status"):
            Sleep(3000)
            LogStatus("Waiting for connection with the trading server," + _D() + "\n" + lastStatus)

        tblStatus = {
            "type" : "table",
            "title" : "Position information",
            "cols" : ["Contract Name", "Direction of Position", "Average Position Price", "Number of Positions", "Position profits and Losses", "Number of Positions Added", "Current Price"],
            "rows" : [] 
        }

        tblMarket = {
            "type" : "table", 
            "title" : "Operating status", 
            "cols" : ["Contract name", "Contract multiplier", "Margin rate", "Trading time", "Bar length", "Exception description", "Time of occurrence"], 
            "rows" : []
        }

        totalHold = 0
        vmStatus = {}
        ts = time.time()
        holdSymbol = 0
        for i in range(len(tts)):
            tts[i].Poll()
            d = tts[i].Status()
            if d["holdAmount"] > 0:
                vmStatus[d["symbol"]] = d["vm"]
                holdSymbol += 1
            tblStatus["rows"].append([d["symbolDetail"]["InstrumentName"], "--" if d["holdAmount"] == 0 else ("long" if d["marketPosition"] > 0 else "short"), d["holdPrice"], d["holdAmount"], d["holdProfit"], abs(d["marketPosition"]), d["lastPrice"]])
            tblMarket["rows"].append([d["symbolDetail"]["InstrumentName"], d["symbolDetail"]["VolumeMultiple"], str(_N(d["symbolDetail"]["LongMarginRatio"], 4)) + "/" + str(_N(d["symbolDetail"]["ShortMarginRatio"], 4)), "is #0000ff" if d["isTrading"] else "not #ff0000", d["recordsLen"], d["lastErr"], d["lastErrTime"]])
            totalHold += abs(d["holdAmount"])

        now = time.time()
        elapsed = now - ts
        tblAssets = _bot.GetAccount(True)
        nowAccount = _bot.Account()

        if len(tblAssets["rows"]) > 10:
            tblAssets["rows"][0] = ["InitAccount", "Initial asset", initAccount]
        else:
            tblAssets["rows"].insert(0, ["NowAccount", "Currently available", nowAccount])
            tblAssets["rows"].insert(0, ["InitAccount", "Initial asset", initAccount])
        
        lastStatus = "`" + json.dumps([tblStatus, tblMarket, tblAssets]) + "`\nPolling time:" + str(elapsed) + " Seconds, current time:" + _D() + ", Number of varieties held:" + str(holdSymbol)
        if totalHold > 0:
            lastStatus += "\nManually restore the string:" + json.dumps(vmStatus)
        LogStatus(lastStatus)
        if preTotalHold > 0 and totalHold == 0:
            LogProfit(nowAccount.Balance - initAccount.Balance - initMargin)
        preTotalHold = totalHold
        Sleep(LoopInterval * 1000)

কৌশল ঠিকানাঃhttps://www.fmz.com/strategy/208512

ব্যাকটেস্ট তুলনা

আমরা ব্যাকটেস্টের মাধ্যমে কৌশলটির জাভাস্ক্রিপ্ট সংস্করণ এবং পাইথন সংস্করণ তুলনা করেছি।

• পাইথন সংস্করণ ব্যাকটেস্ট

আমরা ব্যাকটেস্টের জন্য একটি পাবলিক সার্ভার ব্যবহার করি, এবং আমরা দেখতে পাচ্ছি যে পাইথন সংস্করণের ব্যাকটেস্ট কিছুটা দ্রুত।

• জাভাস্ক্রিপ্ট সংস্করণ ব্যাকটেস্ট

আপনি দেখতে পাচ্ছেন যে ব্যাকটেস্টের ফলাফলগুলি ঠিক একই রকম। আগ্রহী বন্ধুরা কোডটিতে ডুব দিতে পারে, এবং সামান্য লাভ হবে না।

সম্প্রসারণ

আসুন একটি এক্সটেনশন প্রদর্শন করা যাক এবং চার্ট ফাংশন কৌশল প্রসারিত, চিত্র দেখানো হয়ঃ

প্রধানত কোডিং অংশ বাড়ানঃ

• ম্যানেজার ক্লাসে একটি সদস্য যোগ করুনঃobjChart
• ম্যানেজার ক্লাসে একটি পদ্ধতি যোগ করুনঃPlotRecords

এই দুটি পয়েন্টের চারপাশে কিছু অন্যান্য পরিবর্তন করা হয়। আপনি দুটি সংস্করণের মধ্যে পার্থক্য তুলনা করতে পারেন এবং বর্ধিত ফাংশনগুলির ধারণা শিখতে পারেন।

কমোডিটি ফিউচার মাল্টি ভেরিয়েবল চলমান গড় কৌশল (বিস্তারিত চার্ট) এর পাইথন সংস্করণ