Name
布林均线突破_vnpy_botvs实现版
Author
ipqhjjybj
Strategy Description
这是将 botvs的接口用 Vnpy 的写法 方式简单封装掉，便于后期的调用！ 这本来是期货的 策略， 直接改参数套在 比特币上。 期货上要切换到分钟级别， 比特币期货则用小时级别的 实盘时需要调整参数。 如有策略改进，请多多与本人交流 250657661
bar.minute.hour 代表是小时级别
bar.minute.minute 代表是分钟级别
Strategy Arguments
| Argument | Default | Description |
|---|---|---|
| ContractTypeIdx | 0 | 期货类型: 当周 |
| MarginLevelIdx | 0 | 杠杠大小: 10 |
| LoopInterval | true | 轮询间隔(秒) |
| minute_use | 12 | 分钟级别 |
Source (python)
'''
策略名称: BollingBreaker趋势策略
策略作者: ipqhjjybj
策略描述:
这是将 botvs的接口用 Vnpy 的写法 方式简单封装掉，便于后期的调用！
这本来是期货的 策略， 直接改参数套在 比特币上。
期货上要切换到分钟级别， 比特币期货则用小时级别的
实盘时需要调整参数。
如有策略改进，请多多与本人交流 250657661
bar.minute.hour 代表是小时级别
bar.minute.minute 代表是分钟级别
------------------------------------------------------------------
当前只支持 比特币OKCOIN 期货， 如果要弄到 CTP期货，需要微调
趋势跟踪策略
'''
import time
from datetime import datetime
import numpy as np
import talib
EMPTY_STRING = ""
EMPTY_INT = 0
EMPTY_FLOAT = 0.0
EMPTY_UNICODE = u''
DIRECTION_LONG = u'long'
DIRECTION_SHORT = u'short'
OFFSET_OPEN = u'kaicang'
OFFSET_CLOSE = u'pingcang'
# CTA引擎中涉及到的交易方向类型
CTAORDER_BUY = "buy"
CTAORDER_SELL = "closebuy"
CTAORDER_SHORT = "sell"
CTAORDER_COVER = "closesell"
# 本地停止单状态
STOPORDER_WAITING = u'waiting'
STOPORDER_CANCELLED = u'canceled'
STOPORDER_TRIGGERED = u'touched'
# 本地停止单前缀
STOPORDERPREFIX = 'CtaStopOrder'
########################################################################
class VtBarData:
"""K线数据"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.vtSymbol = EMPTY_STRING # vt系统代码
self.symbol = EMPTY_STRING # 代码
self.exchange = EMPTY_STRING # 交易所
self.open = EMPTY_FLOAT # OHLC
self.high = EMPTY_FLOAT
self.low = EMPTY_FLOAT
self.close = EMPTY_FLOAT
self.date = EMPTY_STRING # bar开始的时间，日期
self.time = EMPTY_STRING # 时间
self.datetime = None # python的datetime时间对象
self.volume = EMPTY_INT # 成交量
self.openInterest = EMPTY_INT # 持仓量
########################################################################
class VtTickData:
"""Tick行情数据类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
# 代码相关
self.exchange = EMPTY_STRING # 交易所代码
self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
# 成交数据
self.lastPrice = EMPTY_FLOAT # 最新成交价
self.lastVolume = EMPTY_INT # 最新成交量
self.volume = EMPTY_INT # 今天总成交量
self.openInterest = EMPTY_INT # 持仓量
self.time = EMPTY_STRING # 时间 11:20:56.5
self.date = EMPTY_STRING # 日期 20151009
self.datetime = None # python的datetime时间对象
# 常规行情
self.openPrice = EMPTY_FLOAT # 今日开盘价
self.highPrice = EMPTY_FLOAT # 今日最高价
self.lowPrice = EMPTY_FLOAT # 今日最低价
self.preClosePrice = EMPTY_FLOAT
self.upperLimit = EMPTY_FLOAT # 涨停价
self.lowerLimit = EMPTY_FLOAT # 跌停价
# 五档行情
self.bidPrice1 = EMPTY_FLOAT
self.bidPrice2 = EMPTY_FLOAT
self.bidPrice3 = EMPTY_FLOAT
self.bidPrice4 = EMPTY_FLOAT
self.bidPrice5 = EMPTY_FLOAT
self.askPrice1 = EMPTY_FLOAT
self.askPrice2 = EMPTY_FLOAT
self.askPrice3 = EMPTY_FLOAT
self.askPrice4 = EMPTY_FLOAT
self.askPrice5 = EMPTY_FLOAT
self.bidVolume1 = EMPTY_INT
self.bidVolume2 = EMPTY_INT
self.bidVolume3 = EMPTY_INT
self.bidVolume4 = EMPTY_INT
self.bidVolume5 = EMPTY_INT
self.askVolume1 = EMPTY_INT
self.askVolume2 = EMPTY_INT
self.askVolume3 = EMPTY_INT
self.askVolume4 = EMPTY_INT
self.askVolume5 = EMPTY_INT
########################################################################
class StopOrder(object):
"""本地停止单"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.vtSymbol = EMPTY_STRING
self.orderType = EMPTY_UNICODE
self.direction = EMPTY_UNICODE
self.offset = EMPTY_UNICODE
self.price = EMPTY_FLOAT
self.volume = EMPTY_INT
self.strategy = None # 下停止单的策略对象
self.stopOrderID = EMPTY_STRING # 停止单的本地编号
self.status = EMPTY_STRING # 停止单状态
class BollingerBreakerStrategy:
#品种属性
vtSymbol = EMPTY_STRING # 是什么品种
# 策略参数
minute_use = 6 # 多少分钟级别的K线
bar = None # 1分钟K线对象
fiveBar = None # 1分钟K线对象
# 策略参数
bollLength = 20 # 通道窗口数
topDev = 1.3 # 开仓偏差
trailingPrcnt = 2 # 移动止损百分比
use_range = 10 # use_range天内有突破最高价
N = 10 # 多少天突破
bufferSize = 40 # 需要缓存的数据的大小
bufferCount = 0 # 目前已经缓存了的数据的计数
realBuyCond = 0 # 买卖的状态
realSellCond = 0 # 买卖的状态
bollMid = 0 # 布林带中轨
bollStd = 0 # 布林带宽度
entryUp = 0 # 开仓上轨
barMinute = EMPTY_STRING # K线当前的分钟
fixedSize = 1
stopOrderCount = 0 # 记录停止单的数量
pos = 0 # 仓位
LastBarTime = None # python 上一根Tick
currency = EMPTY_STRING
def __init__(self, _exchange , setting ):
self.exchange = _exchange
for key in setting.keys():
if key == "vtSymbol":
self.vtSymbol = setting[key]
if key == "currency":
self.currency = setting[key]
if key == 'minute_use':
self.minute_use = setting[key]
if key == "bollLength":
self.bollLength = setting[key]
if key == "topDev":
self.topDev = setting[key]
if key == "trailingPrcnt":
self.trailingPrcnt = setting[key]
if key == "use_range":
self.use_range = setting[key]
if key == "N":
self.N = setting[key]
Log(setting)
self.pos = 0
self.order_PreUse = {} # vtPreID , pushDealAmount 已经推送过的成交数据
self.workingStopOrderDict = {}
self.stopOrderDict = {}
self.orderList = [] # 保存委托代码的列表
self.fixedSize = 1
##################
self.bufferSize = 40
#################
self.highArray = np.zeros(self.bufferSize)
self.lowArray = np.zeros(self.bufferSize)
self.closeArray = np.zeros(self.bufferSize)
self.buyValue = np.zeros(self.bufferSize)
def onCall(self):
try:
#self.exchange.IO("currency" , self.currency)
need_remove = []
for orderId in self.orderList:
# 订单状态, 参考常量里的订单状态，以下是此键值的常量。
# ORDER_STATE_PENDING :未完成
# ORDER_STATE_CLOSED :已关闭 已完成
# ORDER_STATE_CANCELED :已取消
# STOPORDERPREFIX 是否是 系统内部的 停止单
if orderId != None and type(orderId) != type(1) and STOPORDERPREFIX in orderId:
continue
botvsOrder = self.exchange.GetOrder(orderId)
preAmount = 0.0
if botvsOrder != None:
if botvsOrder["Status"] in [ORDER_STATE_CLOSED,ORDER_STATE_CANCELED]:
try:
preAmount = self.order_PreUse[orderId]
except Exception,ex:
Log("Error in preAmount",ex)
preAmount = 0.0
Log("preAmount:" , preAmount)
incAmount = botvsOrder["DealAmount"] - preAmount
if incAmount > 0:
self.order_PreUse[orderId] = botvsOrder["DealAmount"]
botvsOrder["preAmount"] = preAmount
botvsOrder["incAmount"] = incAmount
self.onTrade( botvsOrder )
if botvsOrder["Status"] == ORDER_STATE_CLOSED:
need_remove.append(orderId)
else:
Log("None order!")
for orderId in need_remove:
Log("remove order:" , orderId)
self.orderList.remove(orderId)
# Log("currency",self.currency)
botvsTick = self.exchange.GetTicker()
if self.LastBarTime != botvsTick["Time"]:
newTick = VtTickData()
newTick.datetime = datetime.fromtimestamp(botvsTick["Time"] / 1000.0)
newTick.vtSymbol = self.vtSymbol
newTick.lastPrice = float(botvsTick["Last"])
newTick.lastVolume = float(botvsTick["Volume"])
newTick.volume = float(botvsTick["Volume"])
newTick.highPrice = float(botvsTick["High"])
newTick.lowPrice = float(botvsTick["Low"])
newTick.upperLimit = newTick.highPrice * 1.03
newTick.lowerLimit = newTick.lowPrice * 0.97
newTick.exchange = self.exchange.GetName()
newTick.date = newTick.datetime.strftime("%Y%m%d")
newTick.time = newTick.datetime.strftime("%Y:%m:%d")
self.onTick(newTick)
self.processStopOrder(newTick)
except Exception,ex:
Log(ex , "error in onCall , maybe getTicker wrong!")
#----------------------------------------------------------------------
def onTrade(self, trade):
# 发出状态更新事件
#'Type': 0 # 订单类型, 参考常量里的订单类型，以下是此键值的常量。
# ORDER_TYPE_BUY :买单
# ORDER_TYPE_SELL :卖单
try:
Log("trade:",trade)
newPos = 0.0
if trade["Type"] == ORDER_TYPE_BUY:
newPos += trade["incAmount"]
elif trade["Type"] == ORDER_TYPE_SELL:
newPos -= trade["incAmount"]
else:
Log("What ? trade Type error!")
self.pos += newPos
except Exception,ex:
print ex
#----------------------------------------------------------------------
def processStopOrder(self, tick):
"""收到行情后处理本地停止单（检查是否要立即发出）"""
vtSymbol = tick.vtSymbol
# 遍历等待中的停止单，检查是否会被触发
for so in self.workingStopOrderDict.values():
if so.vtSymbol == vtSymbol:
longTriggered = so.direction==DIRECTION_LONG and tick.lastPrice>=so.price # 多头停止单被触发
shortTriggered = so.direction==DIRECTION_SHORT and tick.lastPrice<=so.price # 空头停止单被触发
if longTriggered or shortTriggered:
# 买入和卖出分别以涨停跌停价发单（模拟市价单）
if so.direction==DIRECTION_LONG:
price = tick.upperLimit
else:
price = tick.lowerLimit
so.status = STOPORDER_TRIGGERED
orderIDList = self.sendOrder(so.vtSymbol, so.orderType, price, so.volume, False ,so.strategy)
for orderID in orderIDList:
self.orderList.append(orderID)
del self.workingStopOrderDict[so.stopOrderID]
so.strategy.onStopOrder(so)
def onStopOrder(self, vtStopOrder):
Log("stopOrder Deal ID:", vtStopOrder.stopOrderID , vtStopOrder.status )
def sendStopOrder(self, vtSymbol, orderType, price, volume, strategy ):
"""发停止单（本地实现）"""
self.stopOrderCount += 1
stopOrderID = STOPORDERPREFIX + str(self.vtSymbol) + str(self.stopOrderCount)
so = StopOrder()
so.vtSymbol = vtSymbol
so.orderType = orderType
so.price = price
so.volume = volume
so.strategy = strategy
so.stopOrderID = stopOrderID
so.status = STOPORDER_WAITING
if orderType == CTAORDER_BUY:
so.direction = DIRECTION_LONG
so.offset = OFFSET_OPEN
elif orderType == CTAORDER_SELL:
so.direction = DIRECTION_SHORT
so.offset = OFFSET_CLOSE
elif orderType == CTAORDER_SHORT:
so.direction = DIRECTION_SHORT
so.offset = OFFSET_OPEN
elif orderType == CTAORDER_COVER:
so.direction = DIRECTION_LONG
so.offset = OFFSET_CLOSE
# 保存stopOrder对象到字典中
self.stopOrderDict[stopOrderID] = so
self.workingStopOrderDict[stopOrderID] = so
# 推送停止单状态
strategy.onStopOrder(so)
return stopOrderID
def sendOrder(self , vtSymbol , orderType , price, volume , stop , strategy ):
# id1 = exchange.Buy(4300,1) # 日期 平台 类型 价格 数量 信息
# # 2016-10-21 00:00:00 OKCoin 买入 4300 1
# id2 = exchange.Buy(-1, 8000) # 市价单 的第二个参数的意义是 购买8000金额的 币数。
# id1 = exchange.Sell(4300,1) # 日期 平台 类型 价格 数量 信息
# # 2016-10-21 00:00:00 OKCoin 卖出 市价单 1
# id2 = exchange.Sell(-1, 1) # 日期 平台 类型 价格 数量 信息
# 2016-10-21 00:00:00 OKCoin 卖出 4300 1
# 一般错误提示： 小于允许的最小交易单位，大部分是这个原因（参数1是1块钱而不是1个币）。
if stop == True:
vtOrderID = self.sendStopOrder(self.vtSymbol, orderType, price, volume, self)
return vtOrderID
else:
ret_order_list = []
self.exchange.SetDirection( orderType )
if orderType in [ CTAORDER_BUY , CTAORDER_COVER]:
ret_order_list.append( self.exchange.Buy( price , volume ))
elif orderType in [CTAORDER_SELL , CTAORDER_SHORT]:
ret_order_list.append( self.exchange.Sell( price , volume ))
return ret_order_list
def buy(self , price , volume , stop = False):
Log(CTAORDER_BUY,price,volume)
return self.sendOrder( self.vtSymbol , CTAORDER_BUY , price , volume , stop , self)
def sell(self , price , volume , stop = False):
Log(CTAORDER_SELL,price,volume)
return self.sendOrder( self.vtSymbol , CTAORDER_SELL , price , volume , stop , self)
def short(self , price , volume , stop = False):
Log(CTAORDER_SELL,price,volume)
return self.sendOrder( self.vtSymbol , CTAORDER_SHORT , price , volume , stop , self)
def cover(self , price , volume , stop = False):
Log("cover",price,volume)
return self.sendOrder( self.vtSymbol , CTAORDER_COVER , price , volume , stop , self)
#----------------------------------------------------------------------
def cancelStopOrder(self, stopOrderID):
"""撤销停止单"""
# 检查停止单是否存在
if stopOrderID in self.workingStopOrderDict:
so = self.workingStopOrderDict[stopOrderID]
so.status = STOPORDER_CANCELLED
del self.workingStopOrderDict[stopOrderID]
so.strategy.onStopOrder(so)
if stopOrderID in self.orderList:
self.orderList.remove(stopOrderID)
def cancelOrder(self , vtOrderId):
Log("cancelOrder:",vtOrderId)
if STOPORDERPREFIX in vtOrderId:
self.cancelStopOrder(vtOrderId)
else:
self.exchange.CancelOrder(vtOrderId)
def onTick(self, tick):
# self.orderList = []
# orderIDList = self.buy(tick.lastPrice , abs(self.fixedSize))
# #Log( str(self.vtSymbol) + " cover 0 1 " + str(self.fixedSize) +" " +str(','.join(orderIDList)) + "\n")
# #print str(self.vtSymbol) , "cover 0 1" , self.fixedSize , orderID
# for orderID in orderIDList:
# self.orderList.append(orderID)
# 聚合为1分钟K线
tickMinute = tick.datetime.hour
if tickMinute != self.barMinute:
if self.bar:
self.onBar(self.bar)
bar = VtBarData()
bar.vtSymbol = tick.vtSymbol
bar.exchange = tick.exchange
bar.open = tick.lastPrice
bar.high = tick.lastPrice
bar.low = tick.lastPrice
bar.close = tick.lastPrice
bar.date = tick.date
bar.time = tick.time
bar.datetime = tick.datetime # K线的时间设为第一个Tick的时间
self.bar = bar # 这种写法为了减少一层访问，加快速度
self.barMinute = tickMinute # 更新当前的分钟
else: # 否则继续累加新的K线
bar = self.bar # 写法同样为了加快速度
bar.high = max(bar.high, tick.lastPrice)
bar.low = min(bar.low, tick.lastPrice)
bar.close = tick.lastPrice
def onBar(self , bar):
if bar.datetime.hour % self.minute_use == 0: # bar.datetime.minute 则切换成分钟级别
# 如果已经有聚合5分钟K线
if self.fiveBar:
# 将最新分钟的数据更新到目前5分钟线中
fiveBar = self.fiveBar
fiveBar.high = max(fiveBar.high, bar.high)
fiveBar.low = min(fiveBar.low, bar.low)
fiveBar.close = bar.close
# 推送5分钟线数据
self.onFiveBar(fiveBar)
# 清空5分钟线数据缓存
self.fiveBar = None
else:
# 如果没有缓存则新建
if not self.fiveBar:
fiveBar = VtBarData()
fiveBar.vtSymbol = bar.vtSymbol
fiveBar.symbol = bar.symbol
fiveBar.exchange = bar.exchange
fiveBar.open = bar.open
fiveBar.high = bar.high
fiveBar.low = bar.low
fiveBar.close = bar.close
fiveBar.date = bar.date
fiveBar.time = bar.time
fiveBar.datetime = bar.datetime
self.fiveBar = fiveBar
else:
fiveBar = self.fiveBar
fiveBar.high = max(fiveBar.high, bar.high)
fiveBar.low = min(fiveBar.low, bar.low)
fiveBar.close = bar.close
def onFiveBar(self , bar):
#Log( self.currency , bar.close , self.pos , self.orderList)
for orderID in self.orderList:
self.cancelOrder(orderID)
self.orderList = []
# 保存K线数据
self.closeArray[0:self.bufferSize-1] = self.closeArray[1:self.bufferSize]
self.highArray[0:self.bufferSize-1] = self.highArray[1:self.bufferSize]
self.lowArray[0:self.bufferSize-1] = self.lowArray[1:self.bufferSize]
self.buyValue[0:self.bufferSize-1] = self.buyValue[1:self.bufferSize]
self.closeArray[-1] = bar.close
self.highArray[-1] = bar.high
self.lowArray[-1] = bar.low
# 计算指标数值
self.bollMid = talib.MA(self.closeArray, self.bollLength)[-1]
self.bollStd = talib.STDDEV(self.closeArray, self.bollLength)[-1]
self.entryUp = self.bollMid + self.bollStd * self.topDev
self.buyValue[-1] = self.entryUp
self.bufferCount += 1
if self.bufferCount < self.bufferSize:
return
# 判断是否要进行交易
cond1 = 0
for i in range(1 , self.use_range + 1):
if self.highArray[-i] > self.buyValue[-i]:
cond1 = 1
cond2 = 0
# newHigh = [float(x) for x in self.highArray]
# if bar.high >= max(newHigh[-self.N : ]) and self.highArray[-2] >= max(newHigh[-self.N-1 : -1]):
# cond2 = 1
if self.pos == 0 and cond1 > 0:
self.intraTradeHigh = bar.high
newHigh = [float(x) for x in self.highArray]
entryBuyPrice = max(newHigh[-self.N:])
orderID = self.buy( entryBuyPrice, self.fixedSize , stop=True)
self.orderList.append(orderID)
elif self.pos > 0:
self.intraTradeHigh = max(bar.high , self.intraTradeHigh)
exitPrice = self.intraTradeHigh * (1 - self.trailingPrcnt / 100.0)
orderID = self.sell( exitPrice , self.fixedSize , stop=True)
self.orderList.append(orderID)
'''
bollLength = 20 # 通道窗口数
topDev = 1.3 # 开仓偏差
trailingPrcnt = 2 # 移动止损百分比
use_range = 10 # use_range天内有突破最高价
N = 10 # 多少天突破
'''
running_key = {
"BTC":{ "bollLength":20 , "topDev":1.3 , "trailingPrcnt": 2 , "use_range": 10 , "N":10 , "minute_use": 6},
"LTC":{ "bollLength":20 , "topDev":1.3 , "trailingPrcnt": 2 , "use_range": 10 , "N":10 , "minute_use": 6}
}
def main():
global LoopInterval
objs = []
for e in exchanges:
if e.GetName() != 'Futures_OKCoin':
raise Error_noSupport
e.SetRate(1)
use_symbol = ["this_week","next_week","quarter"][ContractTypeIdx]
e.SetContractType(use_symbol)
e.SetMarginLevel([10,20][MarginLevelIdx])
e_currency = e.GetCurrency().upper()
Log(e_currency)
st = BollingerBreakerStrategy(e , {
"vtSymbol":e.GetName() + "_" + use_symbol + "_" + e.GetCurrency(),
"currency":e_currency,
"minute_use":running_key[e_currency]["minute_use"],
"bollLength":running_key[e_currency]["bollLength"],
"topDev": running_key[e_currency]["topDev"],
"trailingPrcnt": running_key[e_currency]["trailingPrcnt"],
"use_range": running_key[e_currency]["use_range"],
"N": running_key[e_currency]["N"]
})
objs.append(st)
while True:
for st in objs:
st.onCall()
Sleep(LoopInterval * 1000)Detail
https://www.fmz.com/strategy/52801
Last Modified
2017-09-10 21:35:41