from vnpy_ctastrategy import (
CtaTemplate,
StopOrder,
TickData,
BarData,
TradeData,
OrderData,
BarGenerator,
ArrayManager,
)
from vnpy.trader.constant import Direction, Offset
class demo11(CtaTemplate):
author="action华"
k1=1.0
k3=3.1
n_window=9
unit=6
w=0
dev=0
intra_trade_high=0
intra_trade_low=0
long_stop=0
short_stop=0
long_entry=0
short_entry=0
long_out=0
short_out=0
parameters = ["k1", "n_window", "k3","unit"]
variables = ["w", "dev","intra_trade_high","intra_trade_low","long_stop", "short_stop","long_entry","short_entry","long_out","short_out"]
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, 5, self.on_5min_bar)
self.am = ArrayManager()
self.bars = []
self.range=[]
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_5min_bar(self, bar: BarData):
""""""
self.cancel_all()
self.am.update_bar(bar)
if not self.inited:
return
self.w=bar.high_price-bar.low_price
self.range.append(self.w)
if len(self.range)<=5:
return
else:
self.range.pop(0)
self.dev=abs(sum(self.range)-self.range[-1])/4
if self.pos==0:
self.n = self.am.atr(self.n_window)
if self.range[-1]<self.k3*self.dev:
self.intra_trade_high=bar.high_price
self.intra_trade_low=bar.low_price
if 0<bar.close_price-bar.open_price<self.k1*self.range[-1]:
self.buy(bar.close_price,self.unit, stop=True)
if 0<bar.open_price-bar.close_price<self.k1*self.range[-1]:
self.short(bar.close_price,self.unit, stop=True)
if 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.n*bar.high_price*0.0001
self.sell(self.long_stop, abs(self.pos), stop=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.n*bar.high_price*0.0001
self.cover(self.short_stop, abs(self.pos), stop=True)
self.put_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
pass
def on_trade(self, trade: TradeData):
# 记录开仓价格
if trade.offset == Offset.OPEN:
# 区分多空开仓价
if trade.direction == Direction.LONG:
self.long_entry = trade.price
else:
self.short_entry = trade.price
elif trade.offset == Offset.CLOSE:
if trade.direction == Direction.LONG:
self.long_out = trade.price
else:
self.short_out = trade.price
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass
