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1、新增SMCPureH1LongStrategy策略

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2、修复实盘bug
This commit is contained in:
liaozhaorun
2025-07-28 14:36:58 +08:00
parent 2fa952a3da
commit 52c5ec18d8
12 changed files with 982 additions and 852 deletions
Download Patch File Download Diff File Expand all files Collapse all files

247
src/strategies/OpenTwoFactorStrategy.py
View File

@@ -22,7 +22,7 @@ class SimpleLimitBuyStrategyLong(Strategy):
def __init__(
self,
context: Any,
symbol: str,
main_symbol: str,
enable_log: bool,
trade_volume: int,
range_factor: float,
@@ -46,7 +46,7 @@ class SimpleLimitBuyStrategyLong(Strategy):
stop_loss_points (float): 止损点数（例如，亏损达到此点数则止损）。
take_profit_points (float): 止盈点数（例如，盈利达到此点数则止盈）。
"""
super().__init__(context, symbol, enable_log)
super().__init__(context, main_symbol, enable_log)
self.trade_volume = trade_volume
self.range_factor = range_factor
self.profit_factor = profit_factor
@@ -57,6 +57,8 @@ class SimpleLimitBuyStrategyLong(Strategy):
self.indicator = indicator
self.lag = lag
self.main_symbol = main_symbol
self.order_id_counter = 0
self._last_order_id: Optional[str] = None # 用于跟踪上一根K线发出的订单ID
@@ -71,7 +73,7 @@ class SimpleLimitBuyStrategyLong(Strategy):
def on_init(self):
super().on_init()
count = self.cancel_all_pending_orders()
count = self.cancel_all_pending_orders(self.main_symbol)
self.log(f"取消{count}笔订单")
def on_open_bar(self, open: float, symbol: str):
@@ -138,12 +140,15 @@ class SimpleLimitBuyStrategyLong(Strategy):
if avg_entry_price is not None:
pnl_per_unit = open - avg_entry_price # 当前浮动盈亏（以收盘价计算）
stop_position_points = range_1_ago * self.profit_factor
stop_position_points = 20
self.log(
f"[{current_datetime}] PnL per unit: {pnl_per_unit:.2f}, 目标: {range_1_ago * self.profit_factor:.2f}"
f"[{current_datetime}] PnL per unit: {pnl_per_unit:.2f}, 目标: {stop_position_points:.2f}"
)
# 止盈条件
if pnl_per_unit >= range_1_ago * self.profit_factor:
if pnl_per_unit >= stop_position_points:
order_id = f"{self.symbol}_BUY_{current_datetime.strftime('%Y%m%d%H%M%S')}_{self.order_id_counter}"
self.order_id_counter += 1
@@ -246,7 +251,7 @@ class SimpleLimitBuyStrategyLong(Strategy):
# self.log(f"[{current_datetime}] 不满足开仓条件：持仓={current_pos_volume}, 待处理订单={len(pending_orders_after_cancel)}, K线历史长度={len(bar_history)}")
def on_close_bar(self, bar: Bar, next_bar_open: Optional[float] = None):
self.cancel_all_pending_orders()
self.cancel_all_pending_orders(self.main_symbol)
def on_rollover(self, old_symbol: str, new_symbol: str):
"""
@@ -270,7 +275,7 @@ class SimpleLimitBuyStrategyShort(Strategy):
def __init__(
self,
context: Any,
symbol: str,
main_symbol: str,
enable_log: bool,
trade_volume: int,
range_factor: float,
@@ -294,7 +299,7 @@ class SimpleLimitBuyStrategyShort(Strategy):
stop_loss_points (float): 止损点数（例如，亏损达到此点数则止损）。
take_profit_points (float): 止盈点数（例如，盈利达到此点数则止盈）。
"""
super().__init__(context, symbol, enable_log)
super().__init__(context, main_symbol, enable_log)
self.trade_volume = trade_volume
self.range_factor = range_factor
self.profit_factor = profit_factor
@@ -305,6 +310,8 @@ class SimpleLimitBuyStrategyShort(Strategy):
self.indicator = indicator
self.lag = lag
self.main_symbol = main_symbol
self.order_id_counter = 0
self._last_order_id: Optional[str] = None # 用于跟踪上一根K线发出的订单ID
@@ -319,7 +326,7 @@ class SimpleLimitBuyStrategyShort(Strategy):
def on_init(self):
super().on_init()
count = self.cancel_all_pending_orders()
count = self.cancel_all_pending_orders(self.main_symbol)
self.log(f"取消{count}笔订单")
def on_open_bar(self, open: float, symbol: str):
@@ -489,7 +496,7 @@ class SimpleLimitBuyStrategyShort(Strategy):
# self.log(f"[{current_datetime}] 不满足开仓条件：持仓={current_pos_volume}, 待处理订单={len(pending_orders_after_cancel)}, K线历史长度={len(bar_history)}")
def on_close_bar(self, bar: Bar, next_bar_open: Optional[float] = None):
self.cancel_all_pending_orders()
self.cancel_all_pending_orders(self.main_symbol)
def on_rollover(self, old_symbol: str, new_symbol: str):
"""
@@ -513,7 +520,7 @@ class SimpleLimitBuyStrategy(Strategy):
def __init__(
self,
context: Any,
symbol: str,
main_symbol: str,
enable_log: bool,
trade_volume: int,
range_factor_l: float,
@@ -527,6 +534,8 @@ class SimpleLimitBuyStrategy(Strategy):
indicator_l: Indicator = None,
indicator_s: Indicator = None,
lag: int = 7,
lag_l: int = None,
lag_s: int = None,
): # 新增：止盈点数
"""
初始化策略。
@@ -540,7 +549,7 @@ class SimpleLimitBuyStrategy(Strategy):
stop_loss_points (float): 止损点数（例如，亏损达到此点数则止损）。
take_profit_points (float): 止盈点数（例如，盈利达到此点数则止盈）。
"""
super().__init__(context, symbol, enable_log)
super().__init__(context, main_symbol, enable_log)
self.trade_volume = trade_volume
self.range_factor_l = range_factor_l
self.profit_factor_l = profit_factor_l
@@ -552,7 +561,16 @@ class SimpleLimitBuyStrategy(Strategy):
self.use_indicator = use_indicator
self.indicator_l = indicator_l
self.indicator_s = indicator_s
self.lag = lag
self.main_symbol = main_symbol
self.lag_l = lag_l
self.lag_s = lag_s
if self.lag_l is None:
self.lag_l = lag
if self.lag_s is None:
self.lag_s = lag
self.order_id_counter = 0
@@ -570,7 +588,7 @@ class SimpleLimitBuyStrategy(Strategy):
def on_init(self):
super().on_init()
count = self.cancel_all_pending_orders()
count = self.cancel_all_pending_orders(self.main_symbol)
self.log(f"取消{count}笔订单")
def on_open_bar(self, open, symbol):
@@ -583,24 +601,30 @@ class SimpleLimitBuyStrategy(Strategy):
self.symbol = symbol
current_datetime = self.get_current_time()
self.log(
f"[{current_datetime}] - 当前Open={open:.2f}, "
)
# --- 1. 撤销上一根K线未成交的订单 ---
count = self.cancel_all_pending_orders(self.main_symbol)
self.log(f"取消{count}笔订单")
# 检查是否记录了上一笔订单ID，并且该订单仍然在待处理列表中
if self._last_order_id:
pending_orders = self.get_pending_orders()
if self._last_order_id in pending_orders:
success = self.cancel_order(
self._last_order_id
) # 直接调用基类的取消方法
if success:
self.log(
f"[{current_datetime}] 策略: 成功撤销上一根K线未成交订单 {self._last_order_id}"
)
else:
self.log(
f"[{current_datetime}] 策略: 尝试撤销订单 {self._last_order_id} 失败（可能已成交或不存在）"
)
# 无论撤销成功与否，既然我们尝试了撤销，就清除记录
self._last_order_id = None
# if self._last_order_id:
# pending_orders = self.get_pending_orders()
# if self._last_order_id in pending_orders:
# success = self.cancel_order(
# self._last_order_id
# ) # 直接调用基类的取消方法
# if success:
# self.log(
# f"[{current_datetime}] 策略: 成功撤销上一根K线未成交订单 {self._last_order_id}"
# )
# else:
# self.log(
# f"[{current_datetime}] 策略: 尝试撤销订单 {self._last_order_id} 失败（可能已成交或不存在）"
# )
# # 无论撤销成功与否，既然我们尝试了撤销，就清除记录
# self._last_order_id = None
# else:
# self.log(f"[{current_datetime}] 策略: 无上一根K线未成交订单需要撤销。")
@@ -610,6 +634,7 @@ class SimpleLimitBuyStrategy(Strategy):
# 获取当前持仓和未决订单（在取消之后获取，确保是最新的状态）
current_positions = self.get_current_positions()
current_pos_volume = current_positions.get(self.symbol, 0)
self.log(f'current_pos_volume: {current_pos_volume}')
pending_orders_after_cancel = (
self.get_pending_orders()
) # 再次获取，此时应已取消旧订单
@@ -617,79 +642,21 @@ class SimpleLimitBuyStrategy(Strategy):
range_1_ago = None
bar_history = self.get_bar_history()
if len(bar_history) > 16:
# 获取前1根K线 (倒数第二根) 和前7根K线 (队列中最老的一根)
bar_1_ago = bar_history[-self.lag]
# 计算历史 K 线的 Range
# 持有多仓
if (
current_pos_volume > 0 and len(bar_history) > 16
): # 假设只做多，所以持仓量 > 0
bar_1_ago = bar_history[-self.lag_l]
range_1_ago = bar_1_ago.high - bar_1_ago.low
# --- 3. 平仓逻辑 (止损/止盈) ---
# 只有当有持仓时才考虑平仓
if (
current_pos_volume < 0 and range_1_ago is not None
): # 假设只做多，所以持仓量 > 0
avg_entry_price = self.get_average_position_price(self.symbol)
if avg_entry_price is not None:
pnl_per_unit = avg_entry_price - open # 当前浮动盈亏（以收盘价计算）
self.log(
f"[{current_datetime}] 止盈信号 - PnL per unit: {pnl_per_unit:.2f}, 目标: {self.take_profit_points:.2f}"
)
# 止盈条件
if pnl_per_unit >= range_1_ago * self.profit_factor_s:
order_id = f"{self.symbol}_BUY_{current_datetime.strftime('%Y%m%d%H%M%S')}_{self.order_id_counter}"
self.order_id_counter += 1
# 创建一个限价多单
order = Order(
id=order_id,
symbol=self.symbol,
direction="CLOSE_SHORT",
volume=trade_volume,
price_type="MARKET",
# limit_price=limit_price,
submitted_time=current_datetime,
offset="CLOSE",
)
trade = self.send_order(order)
return # 平仓后本K线不再进行开仓判断
# 止损条件
elif pnl_per_unit <= -self.stop_loss_points:
self.log(
f"[{current_datetime}] 止损信号 - PnL per unit: {pnl_per_unit:.2f}, 目标: {-self.stop_loss_points:.2f}"
)
# 发送市价卖出订单平仓，确保立即成交
order_id = f"{self.symbol}_BUY_{current_datetime.strftime('%Y%m%d%H%M%S')}_{self.order_id_counter}"
self.order_id_counter += 1
# 创建一个限价多单
order = Order(
id=order_id,
symbol=self.symbol,
direction="CLOSE_SHORT",
volume=trade_volume,
price_type="MARKET",
# limit_price=limit_price,
submitted_time=current_datetime,
offset="CLOSE",
)
trade = self.send_order(order)
return # 平仓后本K线不再进行开仓判断
if (
current_pos_volume > 0 and range_1_ago is not None
): # 假设只做多，所以持仓量 > 0
avg_entry_price = self.get_average_position_price(self.symbol)
if avg_entry_price is not None:
pnl_per_unit = open - avg_entry_price # 当前浮动盈亏（以收盘价计算）
self.log(
f"[{current_datetime}] 止盈信号 - PnL per unit: {pnl_per_unit:.2f}, 目标: {self.take_profit_points:.2f}"
f"[{current_datetime}] 止盈信号 - PnL per unit: {pnl_per_unit:.2f}, 目标: {self.take_profit_points:.2f}, 止损: {-self.stop_loss_points:.2f}"
)
# 止盈条件
@@ -703,7 +670,7 @@ class SimpleLimitBuyStrategy(Strategy):
id=order_id,
symbol=self.symbol,
direction="CLOSE_LONG",
volume=trade_volume,
volume=abs(current_pos_volume),
price_type="MARKET",
# limit_price=limit_price,
submitted_time=current_datetime,
@@ -714,9 +681,6 @@ class SimpleLimitBuyStrategy(Strategy):
# 止损条件
elif pnl_per_unit <= -self.stop_loss_points:
self.log(
f"[{current_datetime}] 止损信号 - PnL per unit: {pnl_per_unit:.2f}, 目标: {-self.stop_loss_points:.2f}"
)
# 发送市价卖出订单平仓，确保立即成交
order_id = f"{self.symbol}_BUY_{current_datetime.strftime('%Y%m%d%H%M%S')}_{self.order_id_counter}"
self.order_id_counter += 1
@@ -726,7 +690,63 @@ class SimpleLimitBuyStrategy(Strategy):
id=order_id,
symbol=self.symbol,
direction="CLOSE_LONG",
volume=trade_volume,
volume=abs(current_pos_volume),
price_type="MARKET",
# limit_price=limit_price,
submitted_time=current_datetime,
offset="CLOSE",
)
trade = self.send_order(order)
return # 平仓后本K线不再进行开仓判断
# 持有空仓
if (
current_pos_volume < 0 and len(bar_history) > 16
): # 假设只做多，所以持仓量 > 0
bar_1_ago = bar_history[-self.lag_s]
range_1_ago = bar_1_ago.high - bar_1_ago.low
avg_entry_price = self.get_average_position_price(self.symbol)
if avg_entry_price is not None:
pnl_per_unit = avg_entry_price - open # 当前浮动盈亏（以收盘价计算）
self.log(
f"[{current_datetime}] 止盈信号 - PnL per unit: {pnl_per_unit:.2f}, 目标: {self.take_profit_points:.2f}, 止损: {-self.stop_loss_points:.2f}"
)
# 止盈条件
if pnl_per_unit >= range_1_ago * self.profit_factor_s:
order_id = f"{self.symbol}_BUY_{current_datetime.strftime('%Y%m%d%H%M%S')}_{self.order_id_counter}"
self.order_id_counter += 1
# 创建一个限价多单
order = Order(
id=order_id,
symbol=self.symbol,
direction="CLOSE_SHORT",
volume=abs(current_pos_volume),
price_type="MARKET",
# limit_price=limit_price,
submitted_time=current_datetime,
offset="CLOSE",
)
trade = self.send_order(order)
return # 平仓后本K线不再进行开仓判断
# 止损条件
elif pnl_per_unit <= -self.stop_loss_points:
# 发送市价卖出订单平仓，确保立即成交
order_id = f"{self.symbol}_BUY_{current_datetime.strftime('%Y%m%d%H%M%S')}_{self.order_id_counter}"
self.order_id_counter += 1
# 创建一个限价多单
order = Order(
id=order_id,
symbol=self.symbol,
direction="CLOSE_SHORT",
volume=abs(current_pos_volume),
price_type="MARKET",
# limit_price=limit_price,
submitted_time=current_datetime,
@@ -739,7 +759,7 @@ class SimpleLimitBuyStrategy(Strategy):
# 只有在没有持仓 (current_pos_volume == 0) 且没有待处理订单 (not pending_orders_after_cancel)
# 且K线历史足够长时才考虑开仓
if current_pos_volume == 0 and range_1_ago is not None:
if current_pos_volume == 0 and len(bar_history) > 16:
if not self.use_indicator or self.indicator_l.is_condition_met(
np.array(self.get_price_history("close")),
@@ -750,6 +770,9 @@ class SimpleLimitBuyStrategy(Strategy):
):
# 根据策略逻辑计算目标买入价格
# 目标买入价 = 当前K线Open - (前1根Range * 因子1 + 前7根Range * 因子2)
bar_1_ago = bar_history[-self.lag_l]
range_1_ago = bar_1_ago.high - bar_1_ago.low
self.log(open, range_1_ago * self.range_factor_l)
target_buy_price = open - (range_1_ago * self.range_factor_l)
@@ -757,9 +780,9 @@ class SimpleLimitBuyStrategy(Strategy):
target_buy_price = max(0.01, target_buy_price)
self.log(
f"[{current_datetime}] 开多仓信号 - 当前Open={open:.2f}, "
f"[{current_datetime}] LONG信号 - 当前Open={open:.2f}, "
f"前1Range={range_1_ago:.2f}, "
f"计算目标买入价={target_buy_price:.2f}"
f"计算目标LONG价={target_buy_price:.2f}"
)
order_id = f"{self.symbol}_BUY_{current_datetime.strftime('%Y%m%d%H%M%S')}_{self.order_id_counter}"
@@ -780,14 +803,11 @@ class SimpleLimitBuyStrategy(Strategy):
if new_order:
self._last_order_id = new_order.id
self.log(
f"[{current_datetime}] 策略: 发送限价买入订单 {self._last_order_id} @ {target_buy_price:.2f}"
f"[{current_datetime}] 策略: 发送限价LONG订单 {self._last_order_id} @ {target_buy_price:.2f}"
)
else:
self.log(f"[{current_datetime}] 策略: 发送订单失败。")
indicator_value = RSI(5).get_latest_value(
np.array(self.get_price_history("close")), None, None, None, None
)
if not self.use_indicator or self.indicator_s.is_condition_met(
np.array(self.get_price_history("close")),
np.array(self.get_price_history("open")),
@@ -797,6 +817,9 @@ class SimpleLimitBuyStrategy(Strategy):
):
# 根据策略逻辑计算目标买入价格
# 目标买入价 = 当前K线Open - (前1根Range * 因子1 + 前7根Range * 因子2)
bar_1_ago = bar_history[-self.lag_s]
range_1_ago = bar_1_ago.high - bar_1_ago.low
self.log(open, range_1_ago * self.range_factor_s)
target_buy_price = open + (range_1_ago * self.range_factor_s)
@@ -804,9 +827,9 @@ class SimpleLimitBuyStrategy(Strategy):
target_buy_price = max(0.01, target_buy_price)
self.log(
f"[{current_datetime}] 开多仓信号 - 当前Open={open:.2f}, "
f"[{current_datetime}] SHORT信号 - 当前Open={open:.2f}, "
f"前1Range={range_1_ago:.2f}, "
f"计算目标买入价={target_buy_price:.2f}"
f"计算目标SHORT价={target_buy_price:.2f}"
)
order_id = f"{self.symbol}_BUY_{current_datetime.strftime('%Y%m%d%H%M%S')}_{self.order_id_counter}"
@@ -827,15 +850,13 @@ class SimpleLimitBuyStrategy(Strategy):
if new_order:
self._last_order_id = new_order.id
self.log(
f"[{current_datetime}] 策略: 发送限价买入订单 {self._last_order_id} @ {target_buy_price:.2f}"
f"[{current_datetime}] 策略: 发送限价SHORT订单 {self._last_order_id} @ {target_buy_price:.2f}"
)
else:
self.log(f"[{current_datetime}] 策略: 发送订单失败。")
# else:
# self.log(f"[{current_datetime}] 不满足开仓条件：持仓={current_pos_volume}, 待处理订单={len(pending_orders_after_cancel)}, K线历史长度={len(bar_history)}")
def on_close_bar(self, bar: Bar, next_bar_open: Optional[float] = None):
self.cancel_all_pending_orders()
self.cancel_all_pending_orders(self.main_symbol)
def on_rollover(self, old_symbol: str, new_symbol: str):
"""

14
src/strategies/base_strategy.py
View File

@@ -112,7 +112,8 @@ class Strategy(ABC):
return self.context.cancel_order(order_id)
def cancel_all_pending_orders(self) -> int:
def cancel_all_pending_orders(self, main_symbol = None) -> int:
"""取消当前策略的未决订单，仅限于当前策略关注的Symbol。"""
# 注意：在换月模式下，引擎会自动取消旧合约的挂单，这里是策略主动取消
if not self.trading:
@@ -123,9 +124,14 @@ class Strategy(ABC):
# orders_to_cancel = [
# order.id for order in pending_orders.values() if order.symbol == self.symbol
# ]
orders_to_cancel = [
order.id for order in pending_orders.values()
]
if main_symbol is not None:
orders_to_cancel = [
order.id for order in pending_orders.values() if main_symbol in order.symbol
]
else:
orders_to_cancel = [
order.id for order in pending_orders.values()
]
for order_id in orders_to_cancel:
if self.cancel_order(order_id):
cancelled_count += 1