The Dual Thrust policy includes full chart display, dynamic chart updates, template references, and other features that can be used for learning templates.
import time
class Error_noSupport(BaseException):
def __init__(self):
Log("只支持OKCoin期货！#FF0000")
class Error_AtBeginHasPosition(BaseException):
def __init__(self):
Log("启动时有期货持仓! #FF0000")
ChartCfg = {
'__isStock': True,
'title': {
'text': 'Dual Thrust 上下轨图'
},
'yAxis': {
'plotLines': [{
'value': 0,
'color': 'red',
'width': 2,
'label': {
'text': '上轨',
'align': 'center'
},
}, {
'value': 0,
'color': 'green',
'width': 2,
'label': {
'text': '下轨',
'align': 'center'
},
}]
},
'series': [{
'type': 'candlestick',
'name': '当前周期',
'id': 'primary',
'data': []
}, {
'type': 'flags',
'onSeries': 'primary',
'data': []
}]
}
STATE_IDLE = 0
STATE_LONG = 1
STATE_SHORT = 2
State = STATE_IDLE
LastBarTime = 0
UpTrack = 0
BottomTrack = 0
chart = None
InitAccount = None
LastAccount = None
Counter = {
'w': 0,
'l': 0
}
def GetPosition(posType): # if the positions has no this posType ,will return [] ,Another case is return a dict of object
positions = exchange.GetPosition()
return [{'Price': position['Price'], 'Amount': position['Amount']} for position in positions if position['Type'] == posType]
def CancelPendingOrders():
while True:
orders = exchange.GetOrders()
[exchange.CancelOrder(order['Id']) for order in orders if not Sleep(500)]
if len(orders) == 0:
break
def Trade(currentState,nextState):
global InitAccount,LastAccount,OpenPrice,ClosePrice
ticker = _C(exchange.GetTicker)
slidePrice = 1
pfn = exchange.Buy if nextState == STATE_LONG else exchange.Sell
if currentState != STATE_IDLE:
Log(_C(exchange.GetPosition)) # ceshi
exchange.SetDirection("closebuy" if currentState == STATE_LONG else "closesell")
while True:
ID = pfn( (ticker['Last'] - slidePrice) if currentState == STATE_LONG else (ticker['Last'] + slidePrice), AmountOP) # xiugai 限价单
# ID = pfn(-1, AmountOP) # xiugai 市价单
# ID = pfn(AmountOP) # xiugai 市价单
Sleep(Interval)
Log(exchange.GetOrder(ID)) # xiugai
ClosePrice = (exchange.GetOrder(ID))['AvgPrice'] #
CancelPendingOrders()
if len(GetPosition(PD_LONG if currentState == STATE_LONG else PD_SHORT)) == 0:
break
account = exchange.GetAccount()
if account['Stocks'] > LastAccount['Stocks']:
Counter['w'] += 1
else:
Counter['l'] += 1
# Log("ceshi account:",account,InitAccount) #ceshi
Log(account) # xiugai
LogProfit((account['Stocks'] - InitAccount['Stocks']),"收益率:", ((account['Stocks'] - InitAccount['Stocks']) * 100 / InitAccount['Stocks']),'%')
Cal(OpenPrice,ClosePrice)
LsatAccount = account
exchange.SetDirection("buy" if nextState == STATE_LONG else "sell")
Log(_C(exchange.GetAccount))
while True:
ID = pfn( (ticker['Last'] + slidePrice) if nextState == STATE_LONG else (ticker['Last'] - slidePrice), AmountOP) # 限价单
# ID = pfn(-1, AmountOP) # 市价单
# ID = pfn(AmountOP) # 市价单
Sleep(Interval)
Log(exchange.GetOrder(ID)) # xiugai
CancelPendingOrders()
pos = GetPosition(PD_LONG if nextState == STATE_LONG else PD_SHORT)
if len(pos) != 0:
Log("持仓均价",pos[0]['Price'],"数量:",pos[0]['Amount'])
OpenPrice = (exchange.GetOrder(ID))['AvgPrice'] # pos[0]['Price']
Log("now account:",exchange.GetAccount())
break
def onTick(exchange):
global LastBarTime,chart,State,UpTrack,DownTrack,LastAccount
records = exchange.GetRecords()
if not records or len(records) <= NPeriod:
return
Bar = records[-1]
if LastBarTime != Bar['Time']:
HH = TA.Highest(records, NPeriod, 'High')
HC = TA.Highest(records, NPeriod, 'Close')
LL = TA.Lowest(records, NPeriod, 'Low')
LC = TA.Lowest(records, NPeriod, 'Close')
Range = max(HH - LC, HC - LL)
UpTrack = _N(Bar['Open'] + (Ks * Range))
DownTrack = _N(Bar['Open'] - (Kx * Range))
if LastBarTime > 0:
PreBar = records[-2]
chart.add(0, [PreBar['Time'], PreBar['Open'], PreBar['High'], PreBar['Low'], PreBar['Close']], -1)
else:
for i in range(len(records) - min(len(records), NPeriod * 3), len(records)):
b = records[i]
chart.add(0,[b['Time'], b['Open'], b['High'], b['Low'], b['Close']])
chart.add(0,[Bar['Time'], Bar['Open'], Bar['High'], Bar['Low'], Bar['Close']])
ChartCfg['yAxis']['plotLines'][0]['value'] = UpTrack
ChartCfg['yAxis']['plotLines'][1]['value'] = DownTrack
ChartCfg['subtitle'] = {
'text': '上轨' + str(UpTrack) + '下轨' + str(DownTrack)
}
chart.update(ChartCfg)
chart.reset(PeriodShow)
LastBarTime = Bar['Time']
else:
chart.add(0,[Bar['Time'], Bar['Open'], Bar['High'], Bar['Low'], Bar['Close']], -1)
LogStatus("Price:", Bar["Close"], "up:", UpTrack, "down:", DownTrack, "wins:", Counter['w'], "losses:", Counter['l'], "Date:", time.time())
msg = ""
if State == STATE_IDLE or State == STATE_SHORT:
if Bar['Close'] >= UpTrack:
msg = "做多，触发价：" + str(Bar['Close']) + "上轨" + str(UpTrack)
Log(msg)
Trade(State, STATE_LONG)
State = STATE_LONG
chart.add(1,{'x': Bar['Time'], 'color': 'red', 'shape': 'flag', 'title': '多', 'text': msg})
if State == STATE_IDLE or State == STATE_LONG:
if Bar['Close'] <= DownTrack:
msg = "做空，触发价：" + str(Bar['Close']) + "下轨" + str(DownTrack)
Log(msg)
Trade(State, STATE_SHORT)
State = STATE_SHORT
chart.add(1,{'x': Bar['Time'], 'color': 'green', 'shape': 'circlepin', 'title': '空', 'text': msg})
OpenPrice = 0
ClosePrice = 0
def Cal(OpenPrice, ClosePrice):
global AmountOP,State
if State == STATE_SHORT:
Log(AmountOP,OpenPrice,ClosePrice,"策略盈亏:", (AmountOP * 100) / ClosePrice - (AmountOP * 100) / OpenPrice, "个币， 手续费：", - (100 * AmountOP * 0.0003), "美元,折合：", _N( - 100 * AmountOP * 0.0003/OpenPrice,8), "个币")
Log(((AmountOP * 100) / ClosePrice - (AmountOP * 100) / OpenPrice) + (- 100 * AmountOP * 0.0003/OpenPrice))
if State == STATE_LONG:
Log(AmountOP,OpenPrice,ClosePrice,"策略盈亏:", (AmountOP * 100) / OpenPrice - (AmountOP * 100) / ClosePrice, "个币， 手续费：", - (100 * AmountOP * 0.0003), "美元,折合：", _N( - 100 * AmountOP * 0.0003/OpenPrice,8), "个币")
Log(((AmountOP * 100) / OpenPrice - (AmountOP * 100) / ClosePrice) + (- 100 * AmountOP * 0.0003/OpenPrice))
def main():
global LoopInterval,chart,LastAccount,InitAccount
if exchange.GetName() != 'Futures_OKCoin':
raise Error_noSupport
exchange.SetRate(1)
exchange.SetContractType(["this_week","next_week","quarter"][ContractTypeIdx])
exchange.SetMarginLevel([10,20][MarginLevelIdx])
# Log("Fee:",exchange.GetFee())
if len(exchange.GetPosition()) > 0:
raise Error_AtBeginHasPosition
CancelPendingOrders()
InitAccount = LastAccount = exchange.GetAccount()
LoopInterval = min(1,LoopInterval)
Log("交易平台:",exchange.GetName(), InitAccount)
LogStatus("Ready...")
LogProfitReset()
chart = Chart(ChartCfg)
chart.reset()
LoopInterval = max(LoopInterval, 1)
while True:
onTick(exchange)
Sleep(LoopInterval * 1000)
outlawjkDef onTick: I'm not going to tell you. if State == STATE_IDLE or State == STATE_SHORT: If Bar ['Close'] >= UpTrack: If Bar ['Close'] >= UpTrack: If Bar ['Close'] is used for the following: msg = "Do more, trigger price:" + str ((Bar['Close']) + "uptrack" + str ((UpTrack) is also available. Log (((msg)) Trade ((State, STATE_LONG) is the name of the game State = State_LONG This is a list of all the different ways Bar ['Time'], 'color':'red','shape': 'flag', 'title':'more', 'text': msg} is credited in the database. If the order is not executed, the state=state_long side, changing the value of state, will affect the policy?
wangyj1I wanted to borrow the graphical functionality from this template, but there's obviously a problem with the up-and-down display in the diagram.
wangyj1The tracks up and down have become a straight line, can God fix it?
wangyj1The tracks up and down became a line, can God fix it?
Inventors quantify - small dreamsShouldn't, below is the market price list, the Trade function detects holdings and returns them. This strategy is logically ported from the JS version of the OK futures DT strategy.
Inventors quantify - small dreamsYou look at my post, where is the problem?
Inventors quantify - small dreamsThis tactic is to use the K line of the daily cycle, the cycle is too small and cannot be used. This is a list of all the different ways Dn-filebox.qbox.me/7a2386aa71ea2fbaa8168139789e2db87d999ecd.png is credited in the database.