我想写一个三天后平仓的策略
中间一旦出现比我买入的价格低的时候就自动卖出(做多)
或者一旦出现比我卖出价格高的时候自动买入平仓(做空)
三天后自动平仓
from vnpy_ctastrategy import (
CtaTemplate,
StopOrder,
TickData,
BarData,
TradeData,
OrderData
)
from time import time
class TestStrategy(CtaTemplate):
""""""
author = "用Python的交易员"
test_trigger = 10
tick_count = 0
test_all_done = False
parameters = ["test_trigger"]
variables = ["tick_count", "test_all_done"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.test_funcs = [
self.test_market_order,
self.test_limit_order,
self.test_cancel_all,
self.test_stop_order
]
self.last_tick = None
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log("策略启动")
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log("策略停止")
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
if self.test_all_done:
return
self.last_tick = tick
self.tick_count += 1
if self.tick_count >= self.test_trigger:
self.tick_count = 0
if self.test_funcs:
test_func = self.test_funcs.pop(0)
start = time()
test_func()
time_cost = (time() - start) * 1000
self.write_log("耗时%s毫秒" % (time_cost))
else:
self.write_log("测试已全部完成")
self.test_all_done = True
self.put_event()
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
pass
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
self.put_event()
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
self.put_event()
def test_market_order(self):
""""""
self.buy(self.last_tick.limit_up, 1)
self.write_log("执行市价单测试")
def test_limit_order(self):
""""""
self.buy(self.last_tick.limit_down, 1)
self.write_log("执行限价单测试")
def test_stop_order(self):
""""""
self.buy(self.last_tick.ask_price_1, 1, True)
self.write_log("执行停止单测试")
def test_cancel_all(self):
""""""
self.cancel_all()
self.write_log("执行全部撤单测试")