打印发现on_15min_bar()里self.am.update_bar(bar)之后的代码都没有被执行
我觉得可能是am的问题，所以我尝试把arraymanager（）的参数改成1，修改之后后面的代码才开始被执行，之前的参数就是默认值size=100
我是VNPY默认数据库加载的数据，推送数据值都有几百条了，现在不明白问题在哪
代码如下：
from vnpy_ctastrategy import (
CtaTemplate,
StopOrder,
Direction,
TickData,
BarData,
TradeData,
OrderData,
BarGenerator,
ArrayManager,
)
from vnpy.trader.constant import Interval
class ver_two_TS_Strategy(CtaTemplate):
""""""
author = "用Python的交易员"
entry_window = 20
exit_window = 10
atr_window = 20
fixed_size = 1
entry_up = 0
entry_down = 0
exit_up = 0
exit_down = 0
atr_value = 0
long_entry = 0
short_entry = 0
long_stop = 0
short_stop = 0
parameters = ["entry_window", "exit_window", "atr_window", "fixed_size"]
variables = ["entry_up", "entry_down", "exit_up", "exit_down", "atr_value"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
# 类的初始化
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg15min = BarGenerator(self.on_bar, 15, self.on_15min_bar, interval=Interval.MINUTE)
self.am = ArrayManager()
def on_init(self):
self.write_log("策略初始化")
self.load_bar(20)
def on_start(self):
self.write_log("策略启动")
def on_stop(self):
self.write_log("策略停止")
def on_tick(self, tick: TickData):
self.bg15min.update_tick(tick)
def on_bar(self, bar: BarData):
self.bg15min.update_bar(bar)
def on_15min_bar(self, bar: BarData):
self.cancel_all()
self.am.update_bar(bar)
if not self.am.inited:
return
if not self.pos:
self.entry_up, self.entry_down = self.am.donchian(
self.entry_window)
self.exit_up, self.exit_down = self.am.donchian(self.exit_window)
if not self.pos:
# 计算atr值
self.atr_value = self.am.atr(self.atr_window)
self.long_entry = 0
self.short_entry = 0
self.long_stop = 0
self.short_stop = 0
self.send_buy_orders(self.entry_up)
self.send_short_orders(self.entry_down)
elif self.pos > 0:
self.send_buy_orders(self.entry_up)
sell_price = max(self.long_stop, self.exit_down)
self.sell(sell_price, abs(self.pos), True)
elif self.pos < 0:
self.send_short_orders(self.entry_down)
cover_price = min(self.short_stop, self.exit_up)
self.cover(cover_price, abs(self.pos), True)
# 更新图形界面
self.put_event()
def on_trade(self, trade: TradeData):
if trade.direction == Direction.LONG:
self.long_entry = trade.price
self.long_stop = self.long_entry - 2 * self.atr_value
else:
self.short_entry = trade.price
self.short_stop = self.short_entry + 2 * self.atr_value
def on_order(self, order: OrderData):
pass
def on_stop_order(self, stop_order: StopOrder):
pass
def send_buy_orders(self, price):
t = self.pos / self.fixed_size
if t < 1:
self.buy(price, self.fixed_size, True)
if t < 2:
self.buy(price + self.atr_value * 0.5, self.fixed_size, True)
if t < 3:
self.buy(price + self.atr_value, self.fixed_size, True)
if t < 4:
self.buy(price + self.atr_value * 1.5, self.fixed_size, True)
def send_short_orders(self, price):
t = self.pos / self.fixed_size
if t > -1:
self.short(price, self.fixed_size, True)
if t > -2:
self.short(price - self.atr_value * 0.5, self.fixed_size, True)
if t > -3:
self.short(price - self.atr_value, self.fixed_size, True)
if t > -4:
self.short(price - self.atr_value * 1.5, self.fixed_size, True)
