Il s'agit d'un simple enveloppement de l'interface botvs avec l'écriture Vnpy pour une utilisation ultérieure! C'était une stratégie de futures, qui changeait directement les paramètres sur Bitcoin. Les futures sont converties en minutes, tandis que les futures Bitcoin sont converties en heures. Les paramètres doivent être ajustés lorsque le disque est réel. Si vous souhaitez améliorer votre politique, veuillez contacter 250657661
bar.minute.hour 代表是小时级别
bar.minute.minute 代表是分钟级别'''
策略名称: BollingBreaker趋势策略
策略作者: ipqhjjybj
策略描述:
这是将 botvs的接口用 Vnpy 的写法 方式简单封装掉，便于后期的调用！
这本来是期货的 策略， 直接改参数套在 比特币上。
期货上要切换到分钟级别， 比特币期货则用小时级别的
实盘时需要调整参数。
如有策略改进，请多多与本人交流 250657661
bar.minute.hour 代表是小时级别
bar.minute.minute 代表是分钟级别
------------------------------------------------------------------
当前只支持 比特币OKCOIN 期货， 如果要弄到 CTP期货，需要微调
趋势跟踪策略
'''
import time
from datetime import datetime
import numpy as np
import talib
EMPTY_STRING = ""
EMPTY_INT = 0
EMPTY_FLOAT = 0.0
EMPTY_UNICODE = u''
DIRECTION_LONG = u'long'
DIRECTION_SHORT = u'short'
OFFSET_OPEN = u'kaicang'
OFFSET_CLOSE = u'pingcang'
# CTA引擎中涉及到的交易方向类型
CTAORDER_BUY = "buy"
CTAORDER_SELL = "closebuy"
CTAORDER_SHORT = "sell"
CTAORDER_COVER = "closesell"
# 本地停止单状态
STOPORDER_WAITING = u'waiting'
STOPORDER_CANCELLED = u'canceled'
STOPORDER_TRIGGERED = u'touched'
# 本地停止单前缀
STOPORDERPREFIX = 'CtaStopOrder'
########################################################################
class VtBarData:
"""K线数据"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.vtSymbol = EMPTY_STRING # vt系统代码
self.symbol = EMPTY_STRING # 代码
self.exchange = EMPTY_STRING # 交易所
self.open = EMPTY_FLOAT # OHLC
self.high = EMPTY_FLOAT
self.low = EMPTY_FLOAT
self.close = EMPTY_FLOAT
self.date = EMPTY_STRING # bar开始的时间，日期
self.time = EMPTY_STRING # 时间
self.datetime = None # python的datetime时间对象
self.volume = EMPTY_INT # 成交量
self.openInterest = EMPTY_INT # 持仓量
########################################################################
class VtTickData:
"""Tick行情数据类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
# 代码相关
self.exchange = EMPTY_STRING # 交易所代码
self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
# 成交数据
self.lastPrice = EMPTY_FLOAT # 最新成交价
self.lastVolume = EMPTY_INT # 最新成交量
self.volume = EMPTY_INT # 今天总成交量
self.openInterest = EMPTY_INT # 持仓量
self.time = EMPTY_STRING # 时间 11:20:56.5
self.date = EMPTY_STRING # 日期 20151009
self.datetime = None # python的datetime时间对象
# 常规行情
self.openPrice = EMPTY_FLOAT # 今日开盘价
self.highPrice = EMPTY_FLOAT # 今日最高价
self.lowPrice = EMPTY_FLOAT # 今日最低价
self.preClosePrice = EMPTY_FLOAT
self.upperLimit = EMPTY_FLOAT # 涨停价
self.lowerLimit = EMPTY_FLOAT # 跌停价
# 五档行情
self.bidPrice1 = EMPTY_FLOAT
self.bidPrice2 = EMPTY_FLOAT
self.bidPrice3 = EMPTY_FLOAT
self.bidPrice4 = EMPTY_FLOAT
self.bidPrice5 = EMPTY_FLOAT
self.askPrice1 = EMPTY_FLOAT
self.askPrice2 = EMPTY_FLOAT
self.askPrice3 = EMPTY_FLOAT
self.askPrice4 = EMPTY_FLOAT
self.askPrice5 = EMPTY_FLOAT
self.bidVolume1 = EMPTY_INT
self.bidVolume2 = EMPTY_INT
self.bidVolume3 = EMPTY_INT
self.bidVolume4 = EMPTY_INT
self.bidVolume5 = EMPTY_INT
self.askVolume1 = EMPTY_INT
self.askVolume2 = EMPTY_INT
self.askVolume3 = EMPTY_INT
self.askVolume4 = EMPTY_INT
self.askVolume5 = EMPTY_INT
########################################################################
class StopOrder(object):
"""本地停止单"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.vtSymbol = EMPTY_STRING
self.orderType = EMPTY_UNICODE
self.direction = EMPTY_UNICODE
self.offset = EMPTY_UNICODE
self.price = EMPTY_FLOAT
self.volume = EMPTY_INT
self.strategy = None # 下停止单的策略对象
self.stopOrderID = EMPTY_STRING # 停止单的本地编号
self.status = EMPTY_STRING # 停止单状态
class BollingerBreakerStrategy:
#品种属性
vtSymbol = EMPTY_STRING # 是什么品种
# 策略参数
minute_use = 6 # 多少分钟级别的K线
bar = None # 1分钟K线对象
fiveBar = None # 1分钟K线对象
# 策略参数
bollLength = 20 # 通道窗口数
topDev = 1.3 # 开仓偏差
trailingPrcnt = 2 # 移动止损百分比
use_range = 10 # use_range天内有突破最高价
N = 10 # 多少天突破
bufferSize = 40 # 需要缓存的数据的大小
bufferCount = 0 # 目前已经缓存了的数据的计数
realBuyCond = 0 # 买卖的状态
realSellCond = 0 # 买卖的状态
bollMid = 0 # 布林带中轨
bollStd = 0 # 布林带宽度
entryUp = 0 # 开仓上轨
barMinute = EMPTY_STRING # K线当前的分钟
fixedSize = 1
stopOrderCount = 0 # 记录停止单的数量
pos = 0 # 仓位
LastBarTime = None # python 上一根Tick
currency = EMPTY_STRING
def __init__(self, _exchange , setting ):
self.exchange = _exchange
for key in setting.keys():
if key == "vtSymbol":
self.vtSymbol = setting[key]
if key == "currency":
self.currency = setting[key]
if key == 'minute_use':
self.minute_use = setting[key]
if key == "bollLength":
self.bollLength = setting[key]
if key == "topDev":
self.topDev = setting[key]
if key == "trailingPrcnt":
self.trailingPrcnt = setting[key]
if key == "use_range":
self.use_range = setting[key]
if key == "N":
self.N = setting[key]
Log(setting)
self.pos = 0
self.order_PreUse = {} # vtPreID , pushDealAmount 已经推送过的成交数据
self.workingStopOrderDict = {}
self.stopOrderDict = {}
self.orderList = [] # 保存委托代码的列表
self.fixedSize = 1
##################
self.bufferSize = 40
#################
self.highArray = np.zeros(self.bufferSize)
self.lowArray = np.zeros(self.bufferSize)
self.closeArray = np.zeros(self.bufferSize)
self.buyValue = np.zeros(self.bufferSize)
def onCall(self):
try:
#self.exchange.IO("currency" , self.currency)
need_remove = []
for orderId in self.orderList:
# 订单状态, 参考常量里的订单状态，以下是此键值的常量。
# ORDER_STATE_PENDING :未完成
# ORDER_STATE_CLOSED :已关闭 已完成
# ORDER_STATE_CANCELED :已取消
# STOPORDERPREFIX 是否是 系统内部的 停止单
if orderId != None and type(orderId) != type(1) and STOPORDERPREFIX in orderId:
continue
botvsOrder = self.exchange.GetOrder(orderId)
preAmount = 0.0
if botvsOrder != None:
if botvsOrder["Status"] in [ORDER_STATE_CLOSED,ORDER_STATE_CANCELED]:
try:
preAmount = self.order_PreUse[orderId]
except Exception,ex:
Log("Error in preAmount",ex)
preAmount = 0.0
Log("preAmount:" , preAmount)
incAmount = botvsOrder["DealAmount"] - preAmount
if incAmount > 0:
self.order_PreUse[orderId] = botvsOrder["DealAmount"]
botvsOrder["preAmount"] = preAmount
botvsOrder["incAmount"] = incAmount
self.onTrade( botvsOrder )
if botvsOrder["Status"] == ORDER_STATE_CLOSED:
need_remove.append(orderId)
else:
Log("None order!")
for orderId in need_remove:
Log("remove order:" , orderId)
self.orderList.remove(orderId)
# Log("currency",self.currency)
botvsTick = self.exchange.GetTicker()
if self.LastBarTime != botvsTick["Time"]:
newTick = VtTickData()
newTick.datetime = datetime.fromtimestamp(botvsTick["Time"] / 1000.0)
newTick.vtSymbol = self.vtSymbol
newTick.lastPrice = float(botvsTick["Last"])
newTick.lastVolume = float(botvsTick["Volume"])
newTick.volume = float(botvsTick["Volume"])
newTick.highPrice = float(botvsTick["High"])
newTick.lowPrice = float(botvsTick["Low"])
newTick.upperLimit = newTick.highPrice * 1.03
newTick.lowerLimit = newTick.lowPrice * 0.97
newTick.exchange = self.exchange.GetName()
newTick.date = newTick.datetime.strftime("%Y%m%d")
newTick.time = newTick.datetime.strftime("%Y:%m:%d")
self.onTick(newTick)
self.processStopOrder(newTick)
except Exception,ex:
Log(ex , "error in onCall , maybe getTicker wrong!")
#----------------------------------------------------------------------
def onTrade(self, trade):
# 发出状态更新事件
#'Type': 0 # 订单类型, 参考常量里的订单类型，以下是此键值的常量。
# ORDER_TYPE_BUY :买单
# ORDER_TYPE_SELL :卖单
try:
Log("trade:",trade)
newPos = 0.0
if trade["Type"] == ORDER_TYPE_BUY:
newPos += trade["incAmount"]
elif trade["Type"] == ORDER_TYPE_SELL:
newPos -= trade["incAmount"]
else:
Log("What ? trade Type error!")
self.pos += newPos
except Exception,ex:
print ex
#----------------------------------------------------------------------
def processStopOrder(self, tick):
"""收到行情后处理本地停止单（检查是否要立即发出）"""
vtSymbol = tick.vtSymbol
# 遍历等待中的停止单，检查是否会被触发
for so in self.workingStopOrderDict.values():
if so.vtSymbol == vtSymbol:
longTriggered = so.direction==DIRECTION_LONG and tick.lastPrice>=so.price # 多头停止单被触发
shortTriggered = so.direction==DIRECTION_SHORT and tick.lastPrice<=so.price # 空头停止单被触发
if longTriggered or shortTriggered:
# 买入和卖出分别以涨停跌停价发单（模拟市价单）
if so.direction==DIRECTION_LONG:
price = tick.upperLimit
else:
price = tick.lowerLimit
so.status = STOPORDER_TRIGGERED
orderIDList = self.sendOrder(so.vtSymbol, so.orderType, price, so.volume, False ,so.strategy)
for orderID in orderIDList:
self.orderList.append(orderID)
del self.workingStopOrderDict[so.stopOrderID]
so.strategy.onStopOrder(so)
def onStopOrder(self, vtStopOrder):
Log("stopOrder Deal ID:", vtStopOrder.stopOrderID , vtStopOrder.status )
def sendStopOrder(self, vtSymbol, orderType, price, volume, strategy ):
"""发停止单（本地实现）"""
self.stopOrderCount += 1
stopOrderID = STOPORDERPREFIX + str(self.vtSymbol) + str(self.stopOrderCount)
so = StopOrder()
so.vtSymbol = vtSymbol
so.orderType = orderType
so.price = price
so.volume = volume
so.strategy = strategy
so.stopOrderID = stopOrderID
so.status = STOPORDER_WAITING
if orderType == CTAORDER_BUY:
so.direction = DIRECTION_LONG
so.offset = OFFSET_OPEN
elif orderType == CTAORDER_SELL:
so.direction = DIRECTION_SHORT
so.offset = OFFSET_CLOSE
elif orderType == CTAORDER_SHORT:
so.direction = DIRECTION_SHORT
so.offset = OFFSET_OPEN
elif orderType == CTAORDER_COVER:
so.direction = DIRECTION_LONG
so.offset = OFFSET_CLOSE
# 保存stopOrder对象到字典中
self.stopOrderDict[stopOrderID] = so
self.workingStopOrderDict[stopOrderID] = so
# 推送停止单状态
strategy.onStopOrder(so)
return stopOrderID
def sendOrder(self , vtSymbol , orderType , price, volume , stop , strategy ):
# id1 = exchange.Buy(4300,1) # 日期 平台 类型 价格 数量 信息
# # 2016-10-21 00:00:00 OKCoin 买入 4300 1
# id2 = exchange.Buy(-1, 8000) # 市价单 的第二个参数的意义是 购买8000金额的 币数。
# id1 = exchange.Sell(4300,1) # 日期 平台 类型 价格 数量 信息
# # 2016-10-21 00:00:00 OKCoin 卖出 市价单 1
# id2 = exchange.Sell(-1, 1) # 日期 平台 类型 价格 数量 信息
# 2016-10-21 00:00:00 OKCoin 卖出 4300 1
# 一般错误提示： 小于允许的最小交易单位，大部分是这个原因（参数1是1块钱而不是1个币）。
if stop == True:
vtOrderID = self.sendStopOrder(self.vtSymbol, orderType, price, volume, self)
return vtOrderID
else:
ret_order_list = []
self.exchange.SetDirection( orderType )
if orderType in [ CTAORDER_BUY , CTAORDER_COVER]:
ret_order_list.append( self.exchange.Buy( price , volume ))
elif orderType in [CTAORDER_SELL , CTAORDER_SHORT]:
ret_order_list.append( self.exchange.Sell( price , volume ))
return ret_order_list
def buy(self , price , volume , stop = False):
Log(CTAORDER_BUY,price,volume)
return self.sendOrder( self.vtSymbol , CTAORDER_BUY , price , volume , stop , self)
def sell(self , price , volume , stop = False):
Log(CTAORDER_SELL,price,volume)
return self.sendOrder( self.vtSymbol , CTAORDER_SELL , price , volume , stop , self)
def short(self , price , volume , stop = False):
Log(CTAORDER_SELL,price,volume)
return self.sendOrder( self.vtSymbol , CTAORDER_SHORT , price , volume , stop , self)
def cover(self , price , volume , stop = False):
Log("cover",price,volume)
return self.sendOrder( self.vtSymbol , CTAORDER_COVER , price , volume , stop , self)
#----------------------------------------------------------------------
def cancelStopOrder(self, stopOrderID):
"""撤销停止单"""
# 检查停止单是否存在
if stopOrderID in self.workingStopOrderDict:
so = self.workingStopOrderDict[stopOrderID]
so.status = STOPORDER_CANCELLED
del self.workingStopOrderDict[stopOrderID]
so.strategy.onStopOrder(so)
if stopOrderID in self.orderList:
self.orderList.remove(stopOrderID)
def cancelOrder(self , vtOrderId):
Log("cancelOrder:",vtOrderId)
if STOPORDERPREFIX in vtOrderId:
self.cancelStopOrder(vtOrderId)
else:
self.exchange.CancelOrder(vtOrderId)
def onTick(self, tick):
# self.orderList = []
# orderIDList = self.buy(tick.lastPrice , abs(self.fixedSize))
# #Log( str(self.vtSymbol) + " cover 0 1 " + str(self.fixedSize) +" " +str(','.join(orderIDList)) + "\n")
# #print str(self.vtSymbol) , "cover 0 1" , self.fixedSize , orderID
# for orderID in orderIDList:
# self.orderList.append(orderID)
# 聚合为1分钟K线
tickMinute = tick.datetime.hour
if tickMinute != self.barMinute:
if self.bar:
self.onBar(self.bar)
bar = VtBarData()
bar.vtSymbol = tick.vtSymbol
bar.exchange = tick.exchange
bar.open = tick.lastPrice
bar.high = tick.lastPrice
bar.low = tick.lastPrice
bar.close = tick.lastPrice
bar.date = tick.date
bar.time = tick.time
bar.datetime = tick.datetime # K线的时间设为第一个Tick的时间
self.bar = bar # 这种写法为了减少一层访问，加快速度
self.barMinute = tickMinute # 更新当前的分钟
else: # 否则继续累加新的K线
bar = self.bar # 写法同样为了加快速度
bar.high = max(bar.high, tick.lastPrice)
bar.low = min(bar.low, tick.lastPrice)
bar.close = tick.lastPrice
def onBar(self , bar):
if bar.datetime.hour % self.minute_use == 0: # bar.datetime.minute 则切换成分钟级别
# 如果已经有聚合5分钟K线
if self.fiveBar:
# 将最新分钟的数据更新到目前5分钟线中
fiveBar = self.fiveBar
fiveBar.high = max(fiveBar.high, bar.high)
fiveBar.low = min(fiveBar.low, bar.low)
fiveBar.close = bar.close
# 推送5分钟线数据
self.onFiveBar(fiveBar)
# 清空5分钟线数据缓存
self.fiveBar = None
else:
# 如果没有缓存则新建
if not self.fiveBar:
fiveBar = VtBarData()
fiveBar.vtSymbol = bar.vtSymbol
fiveBar.symbol = bar.symbol
fiveBar.exchange = bar.exchange
fiveBar.open = bar.open
fiveBar.high = bar.high
fiveBar.low = bar.low
fiveBar.close = bar.close
fiveBar.date = bar.date
fiveBar.time = bar.time
fiveBar.datetime = bar.datetime
self.fiveBar = fiveBar
else:
fiveBar = self.fiveBar
fiveBar.high = max(fiveBar.high, bar.high)
fiveBar.low = min(fiveBar.low, bar.low)
fiveBar.close = bar.close
def onFiveBar(self , bar):
#Log( self.currency , bar.close , self.pos , self.orderList)
for orderID in self.orderList:
self.cancelOrder(orderID)
self.orderList = []
# 保存K线数据
self.closeArray[0:self.bufferSize-1] = self.closeArray[1:self.bufferSize]
self.highArray[0:self.bufferSize-1] = self.highArray[1:self.bufferSize]
self.lowArray[0:self.bufferSize-1] = self.lowArray[1:self.bufferSize]
self.buyValue[0:self.bufferSize-1] = self.buyValue[1:self.bufferSize]
self.closeArray[-1] = bar.close
self.highArray[-1] = bar.high
self.lowArray[-1] = bar.low
# 计算指标数值
self.bollMid = talib.MA(self.closeArray, self.bollLength)[-1]
self.bollStd = talib.STDDEV(self.closeArray, self.bollLength)[-1]
self.entryUp = self.bollMid + self.bollStd * self.topDev
self.buyValue[-1] = self.entryUp
self.bufferCount += 1
if self.bufferCount < self.bufferSize:
return
# 判断是否要进行交易
cond1 = 0
for i in range(1 , self.use_range + 1):
if self.highArray[-i] > self.buyValue[-i]:
cond1 = 1
cond2 = 0
# newHigh = [float(x) for x in self.highArray]
# if bar.high >= max(newHigh[-self.N : ]) and self.highArray[-2] >= max(newHigh[-self.N-1 : -1]):
# cond2 = 1
if self.pos == 0 and cond1 > 0:
self.intraTradeHigh = bar.high
newHigh = [float(x) for x in self.highArray]
entryBuyPrice = max(newHigh[-self.N:])
orderID = self.buy( entryBuyPrice, self.fixedSize , stop=True)
self.orderList.append(orderID)
elif self.pos > 0:
self.intraTradeHigh = max(bar.high , self.intraTradeHigh)
exitPrice = self.intraTradeHigh * (1 - self.trailingPrcnt / 100.0)
orderID = self.sell( exitPrice , self.fixedSize , stop=True)
self.orderList.append(orderID)
'''
bollLength = 20 # 通道窗口数
topDev = 1.3 # 开仓偏差
trailingPrcnt = 2 # 移动止损百分比
use_range = 10 # use_range天内有突破最高价
N = 10 # 多少天突破
'''
running_key = {
"BTC":{ "bollLength":20 , "topDev":1.3 , "trailingPrcnt": 2 , "use_range": 10 , "N":10 , "minute_use": 6},
"LTC":{ "bollLength":20 , "topDev":1.3 , "trailingPrcnt": 2 , "use_range": 10 , "N":10 , "minute_use": 6}
}
def main():
global LoopInterval
objs = []
for e in exchanges:
if e.GetName() != 'Futures_OKCoin':
raise Error_noSupport
e.SetRate(1)
use_symbol = ["this_week","next_week","quarter"][ContractTypeIdx]
e.SetContractType(use_symbol)
e.SetMarginLevel([10,20][MarginLevelIdx])
e_currency = e.GetCurrency().upper()
Log(e_currency)
st = BollingerBreakerStrategy(e , {
"vtSymbol":e.GetName() + "_" + use_symbol + "_" + e.GetCurrency(),
"currency":e_currency,
"minute_use":running_key[e_currency]["minute_use"],
"bollLength":running_key[e_currency]["bollLength"],
"topDev": running_key[e_currency]["topDev"],
"trailingPrcnt": running_key[e_currency]["trailingPrcnt"],
"use_range": running_key[e_currency]["use_range"],
"N": running_key[e_currency]["N"]
})
objs.append(st)
while True:
for st in objs:
st.onCall()
Sleep(LoopInterval * 1000)
z1101728116global name 'Error_noSupport' n'est pas défini Bonjour, quel est le problème lors de la réévaluation?
Alexlee est là.Les futures sont très simples, très sophistiquées et les meilleurs sont ceux qui jouent avec les lignes.