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from vnpy_ctastrategy import (
CtaTemplate,
StopOrder,
TickData,
BarData,
TradeData,
OrderData,
BarGenerator,
ArrayManager,
)
class demo3(CtaTemplate):

author="action华"
fixed_size=4
k1=0.5
k2=0.005
k3=2

range=[]

dev=0
intra_trade_high=0
intra_trade_low=0
long_stop=0
short_stop=0


parameters = ["k1", "k2", "fixed_size"]
variables = [ "dev","intra_trade_high","ntra_trade_low","long_stop", "short_stop"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
    """"""
    super().__init__(cta_engine, strategy_name, vt_symbol, setting)

    self.bg = BarGenerator(self.on_bar, 15, self.on_15min_bar)
    self.am = ArrayManager(5)
    self.bars = []

def on_init(self):
    """
    Callback when strategy is inited.
    """
    self.write_log("策略初始化")
    self.load_bar(10)
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.
    """
    self.bg.update_tick(tick)


def on_bar(self, bar: BarData):
    """
    Callback of new bar data update.
    """
    self.bg.update_bar(bar)

def on_15min_bar(self, bar: BarData):
    """"""

    self.am.update_bar(bar)
    if not self.inited:
        return
    w=abs(bar.close_price-bar.open_price)
    self.range.append(w)
    if len(self.range)<5:
        return
    else:
        self.range.pop(0)


    self.dev=(sum(self.range)-self.range[-1])/4
    if self.range[-1]<self.k3*self.dev:
        return
    """入场"""
    if self.pos==0:
        self.intra_trade_high=bar.high_price
        self.intra_trade_low=bar.low_price
        if 0<bar.open_price-bar.close_price<self.k1*self.range[-1]:
            self.buy(bar.close_price,self.fixed_size, stop=True) 
        if 0<bar.close_price-bar.open_price<self.k1*self.range[-1]:
            self.short(bar.close_price,self.fixed_size, stop=True)

    elif self.pos>0:
        self.intra_trade_high=max(self.intra_trade_high,bar.high_price)
        self.intra_trade_low=bar.low_price
        self.long_stop=self.intra_trade_high-self.k2*bar.high_price
        self.sell(self.long_stop, abs(self.pos), True)

    elif self.pos < 0:
        self.intra_trade_high = bar.high_price
        self.intra_trade_low = min(self.intra_trade_low, bar.low_price)

        self.short_stop = self.intra_trade_low +self.k2*bar.high_price
        self.cover(self.short_stop, abs(self.pos), True)

    self.put_event()

def on_order(self, order: OrderData):
    """
    Callback of new order data update.
    """
    pass

def on_trade(self, trade: TradeData):
    """
    Callback of new trade data update.
    """
    print("是否交易")

    self.put_event()

def on_stop_order(self, stop_order: StopOrder):
    """
    Callback of stop order update.
    """
    pass
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可以自己在策略里基于策略逻辑打印指标看看是哪里没满足条件

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