`from vnpy_ctastrategy import (
CtaTemplate,
StopOrder,
TickData,
BarData,
TradeData,
OrderData,
BarGenerator,
ArrayManager,
)
from vnpy.trader.constant import Interval
from datetime import time
class DoubleMaStrategy(CtaTemplate):
""""""
author = "C"
fast_window = 10
slow_window = 20
fast_ma0 = 0.0
fast_ma1 = 0.0
slow_ma0 = 0.0
slow_ma1 = 0.0
tick_show = 0.0
parameters = ["fast_window", "slow_window"]
variables = ["fast_ma0", "fast_ma1", "slow_ma0", "slow_ma1","tick_show"]
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,interval=Interval.DAILY,window=1,on_window_bar=self.on_day_bar,daily_end=time(23,0))
self.am = ArrayManager(size=40)
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bar(100,interval=Interval.DAILY,callback=self.am.update_bar)
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log("策略启动")
self.put_event()
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log("策略停止")
self.put_event()
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.bg.update_tick(tick)
self.tick_show = tick.last_price
self.put_event()
def on_day_bar(self,bar:BarData):
self.cancel_all()
#测试bar的周期
# self.write_log(f"{bar.datetime}:{bar.interval}")
am = self.am
am.update_bar(bar)
if not am.inited:
return
fast_ma = am.sma(self.fast_window, array=True)
self.fast_ma0 = fast_ma[-1]
self.fast_ma1 = fast_ma[-2]
slow_ma = am.sma(self.slow_window, array=True)
self.slow_ma0 = slow_ma[-1]
self.slow_ma1 = slow_ma[-2]
cross_over = self.fast_ma0 > self.slow_ma0 and self.fast_ma1 < self.slow_ma1
cross_below = self.fast_ma0 < self.slow_ma0 and self.fast_ma1 > self.slow_ma1
if cross_over:
if self.pos == 0:
self.buy(bar.close_price, 1)
elif self.pos < 0:
self.cover(bar.close_price, 1)
self.buy(bar.close_price, 1)
elif cross_below:
if self.pos == 0:
self.short(bar.close_price, 1)
elif self.pos > 0:
self.sell(bar.close_price, 1)
self.short(bar.close_price, 1)
self.put_event()
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
# self.cancel_all()
# #测试bar的周期
# # self.write_log(f"{bar.datetime}:{bar.interval}")
# am = self.am
# am.update_bar(bar)
# if not am.inited:
# return
# fast_ma = am.sma(self.fast_window, array=True)
# self.fast_ma0 = fast_ma[-1]
# self.fast_ma1 = fast_ma[-2]
# slow_ma = am.sma(self.slow_window, array=True)
# self.slow_ma0 = slow_ma[-1]
# self.slow_ma1 = slow_ma[-2]
# cross_over = self.fast_ma0 > self.slow_ma0 and self.fast_ma1 < self.slow_ma1
# cross_below = self.fast_ma0 < self.slow_ma0 and self.fast_ma1 > self.slow_ma1
# if cross_over:
# if self.pos == 0:
# self.buy(bar.close_price, 1)
# elif self.pos < 0:
# self.cover(bar.close_price, 1)
# self.buy(bar.close_price, 1)
# elif cross_below:
# if self.pos == 0:
# self.short(bar.close_price, 1)
# elif self.pos > 0:
# self.sell(bar.close_price, 1)
# self.short(bar.close_price, 1)
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.
"""
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
pass
`
