tqsdk实盘
This commit is contained in:
829
src/strategies/OpenTwoFactorStrategy.py
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829
src/strategies/OpenTwoFactorStrategy.py
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# src/strategies/simple_limit_buy_strategy.py
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from tkinter import N
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import numpy as np
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from src.indicators.indicators import RSI, HistoricalRange
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from .base_strategy import Strategy
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from ..core_data import Bar, Order
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from typing import Optional, Dict, Any
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from collections import deque
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class SimpleLimitBuyStrategyLong(Strategy):
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"""
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一个基于当前K线Open、前1根和前7根K线Range计算优势价格进行限价买入的策略。
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具备以下特点：
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- 每根K线开始时取消上一根K线未成交的订单。
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- 最多只能有一个开仓挂单和一个持仓。
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- 包含简单的止损和止盈逻辑。
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"""
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def __init__(
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self,
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context: Any,
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symbol: str,
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enable_log: bool,
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trade_volume: int,
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range_factor: float,
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profit_factor: float,
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max_position: int,
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stop_loss_points: float = 10, # 新增：止损点数
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take_profit_points: float = 10,
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use_indicator: bool = False,
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): # 新增：止盈点数
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"""
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初始化策略。
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Args:
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context: 模拟器实例。
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symbol (str): 交易合约代码。
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trade_volume (int): 单笔交易量。
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range_factor (float): 前1根K线Range的权重因子，用于从Open价向下偏移。
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profit_factor (float): 前7根K线Range的权重因子，用于从Open价向下偏移。
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max_position (int): 最大持仓量（此处为1，因为只允许一个持仓）。
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stop_loss_points (float): 止损点数（例如，亏损达到此点数则止损）。
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take_profit_points (float): 止盈点数（例如，盈利达到此点数则止盈）。
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"""
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super().__init__(context, symbol, enable_log)
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self.trade_volume = trade_volume
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self.range_factor = range_factor
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self.profit_factor = profit_factor
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self.max_position = max_position # 理论上这里应为1
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self.stop_loss_points = stop_loss_points
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self.take_profit_points = take_profit_points
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self.use_indicator = use_indicator
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self.order_id_counter = 0
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self._last_order_id: Optional[str] = None # 用于跟踪上一根K线发出的订单ID
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self.log(
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f"策略初始化: symbol={self.symbol}, trade_volume={self.trade_volume}, "
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f"range_factor={self.range_factor}, "
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f"profit_factor={self.profit_factor}, "
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f"max_position={self.max_position}, "
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f"止损点={self.stop_loss_points}, 止盈点={self.take_profit_points}"
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)
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def on_init(self):
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super().on_init()
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count = self.cancel_all_pending_orders()
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self.log(f'取消{count}笔订单')
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def on_open_bar(self, bar: Bar, next_bar_open: Optional[float] = None):
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"""
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每当新的K线数据到来时调用。
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Args:
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bar (Bar): 当前的K线数据对象。
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next_bar_open (Optional[float]): 下一根K线的开盘价，此处策略未使用。
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"""
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current_datetime = bar.datetime # 获取当前K线时间
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self.symbol = bar.symbol
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# --- 1. 撤销上一根K线未成交的订单 ---
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# 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
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if self._last_order_id:
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pending_orders = self.get_pending_orders()
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if self._last_order_id in pending_orders:
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success = self.cancel_order(
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self._last_order_id
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) # 直接调用基类的取消方法
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if success:
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self.log(
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f"[{current_datetime}] 策略: 成功撤销上一根K线未成交订单 {self._last_order_id}"
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)
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else:
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self.log(
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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）"
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)
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# 无论撤销成功与否，既然我们尝试了撤销，就清除记录
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self._last_order_id = None
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# else:
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# self.log(f"[{current_datetime}] 策略: 无上一根K线未成交订单需要撤销。")
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# 2. 更新K线历史
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trade_volume = self.trade_volume
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# 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）
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current_positions = self.get_current_positions()
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current_pos_volume = current_positions.get(self.symbol, 0)
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pending_orders_after_cancel = (
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self.get_pending_orders()
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) # 再次获取，此时应已取消旧订单
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range_1_ago = None
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range_7_ago = None
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bar_history = self.get_bar_history()
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if len(bar_history) > 16:
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# 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)
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bar_1_ago = bar_history[-8]
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bar_7_ago = bar_history[-15]
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# 计算历史 K 线的 Range
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range_1_ago = bar_1_ago.high - bar_1_ago.low
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range_7_ago = bar_7_ago.high - bar_7_ago.low
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# for i in range(1, 9, 1):
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# print(bar_history[-i].datetime)
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# --- 3. 平仓逻辑 (止损/止盈) ---
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# 只有当有持仓时才考虑平仓
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if (
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current_pos_volume > 0 and range_1_ago is not None
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): # 假设只做多，所以持仓量 > 0
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avg_entry_price = self.get_average_position_price(self.symbol)
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if avg_entry_price is not None:
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pnl_per_unit = (
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bar.open - avg_entry_price
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) # 当前浮动盈亏（以收盘价计算）
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self.log(
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f"[{current_datetime}] 止盈信号 - PnL per unit: {pnl_per_unit:.2f}, 目标: {self.take_profit_points:.2f}"
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)
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# 止盈条件
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if pnl_per_unit >= range_1_ago * self.profit_factor:
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order_id = f"{self.symbol}_BUY_{bar.datetime.strftime('%Y%m%d%H%M%S')}_{self.order_id_counter}"
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self.order_id_counter += 1
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# 创建一个限价多单
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order = Order(
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id=order_id,
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symbol=self.symbol,
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direction="CLOSE_LONG",
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volume=trade_volume,
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price_type="MARKET",
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# limit_price=limit_price,
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submitted_time=bar.datetime,
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offset="CLOSE",
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)
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trade = self.send_order(order)
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return # 平仓后本K线不再进行开仓判断
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# 止损条件
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elif pnl_per_unit <= -self.stop_loss_points:
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self.log(
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f"[{current_datetime}] 止损信号 - PnL per unit: {pnl_per_unit:.2f}, 目标: {-self.stop_loss_points:.2f}"
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)
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# 发送市价卖出订单平仓，确保立即成交
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order_id = f"{self.symbol}_BUY_{bar.datetime.strftime('%Y%m%d%H%M%S')}_{self.order_id_counter}"
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self.order_id_counter += 1
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# 创建一个限价多单
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order = Order(
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id=order_id,
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symbol=self.symbol,
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direction="CLOSE_LONG",
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volume=trade_volume,
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price_type="MARKET",
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# limit_price=limit_price,
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submitted_time=bar.datetime,
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offset="CLOSE",
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)
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trade = self.send_order(order)
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return # 平仓后本K线不再进行开仓判断
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# --- 4. 开仓逻辑 (只考虑做多 BUY 方向) ---
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# 只有在没有持仓 (current_pos_volume == 0) 且没有待处理订单 (not pending_orders_after_cancel)
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# 且K线历史足够长时才考虑开仓
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# rsi = RSI(5).get_latest_value(np.array(self.get_price_history('close')), None, None, None, None)
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indicator_value = HistoricalRange(21).get_latest_value(
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None,
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None,
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np.array(self.get_price_history("high")),
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np.array(self.get_price_history("low")),
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None,
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)
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if (
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current_pos_volume == 0
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and range_1_ago is not None
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and (not self.use_indicator or 10 < indicator_value < 25)
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):
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# if current_pos_volume == 0 and range_1_ago is not None:
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# 根据策略逻辑计算目标买入价格
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# 目标买入价 = 当前K线Open - (前1根Range * 因子1 + 前7根Range * 因子2)
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self.log(bar.open, range_1_ago * self.range_factor)
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target_buy_price = bar.open - (range_1_ago * self.range_factor)
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# 确保目标买入价格有效，例如不能是负数
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target_buy_price = max(0.01, target_buy_price)
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self.log(
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f"[{current_datetime}] 开多仓信号 - 当前Open={bar.open:.2f}, "
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f"前1Range={range_1_ago:.2f}, "
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f"计算目标买入价={target_buy_price:.2f}"
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)
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order_id = f"{self.symbol}_BUY_{bar.datetime.strftime('%Y%m%d%H%M%S')}_{self.order_id_counter}"
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self.order_id_counter += 1
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# 创建一个限价多单
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order = Order(
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id=order_id,
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symbol=self.symbol,
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direction="BUY",
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volume=trade_volume,
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price_type="LIMIT",
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limit_price=target_buy_price,
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submitted_time=bar.datetime,
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)
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new_order = self.send_order(order)
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# 记录下这个订单的ID，以便在下一根K线开始时进行撤销
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if new_order:
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self._last_order_id = new_order.id
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self.log(
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f"[{current_datetime}] 策略: 发送限价买入订单 {self._last_order_id} @ {target_buy_price:.2f}"
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)
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else:
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self.log(f"[{current_datetime}] 策略: 发送订单失败。")
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# else:
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# 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)}")
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def on_close_bar(self, bar: Bar, next_bar_open: Optional[float] = None):
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self.cancel_all_pending_orders()
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def on_rollover(self, old_symbol: str, new_symbol: str):
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"""
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在合约换月时清空历史K线数据和上次订单ID，避免使用旧合约数据进行计算。
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"""
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super().on_rollover(old_symbol, new_symbol) # 调用基类方法打印日志
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self._last_order_id = None # 清空上次订单ID，因为旧合约订单已取消
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self.log(f"换月完成，清空历史K线数据和上次订单ID，准备新合约交易。")
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class SimpleLimitBuyStrategyShort(Strategy):
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"""
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一个基于当前K线Open、前1根和前7根K线Range计算优势价格进行限价买入的策略。
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具备以下特点：
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- 每根K线开始时取消上一根K线未成交的订单。
|
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- 最多只能有一个开仓挂单和一个持仓。
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- 包含简单的止损和止盈逻辑。
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"""
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def __init__(
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self,
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context: Any,
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symbol: str,
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enable_log: bool,
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trade_volume: int,
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range_factor: float,
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profit_factor: float,
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max_position: int,
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stop_loss_points: float = 10, # 新增：止损点数
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take_profit_points: float = 10,
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use_indicator: bool = False,
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): # 新增：止盈点数
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"""
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初始化策略。
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Args:
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context: 模拟器实例。
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symbol (str): 交易合约代码。
|
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trade_volume (int): 单笔交易量。
|
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range_factor (float): 前1根K线Range的权重因子，用于从Open价向下偏移。
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profit_factor (float): 前7根K线Range的权重因子，用于从Open价向下偏移。
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max_position (int): 最大持仓量（此处为1，因为只允许一个持仓）。
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stop_loss_points (float): 止损点数（例如，亏损达到此点数则止损）。
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take_profit_points (float): 止盈点数（例如，盈利达到此点数则止盈）。
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"""
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super().__init__(context, symbol, enable_log)
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self.trade_volume = trade_volume
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self.range_factor = range_factor
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self.profit_factor = profit_factor
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self.max_position = max_position # 理论上这里应为1
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self.stop_loss_points = stop_loss_points
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self.take_profit_points = take_profit_points
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self.use_indicator = use_indicator
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self.order_id_counter = 0
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self._last_order_id: Optional[str] = None # 用于跟踪上一根K线发出的订单ID
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self.log(
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f"策略初始化: symbol={self.symbol}, trade_volume={self.trade_volume}, "
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f"range_factor={self.range_factor}, "
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f"profit_factor={self.profit_factor}, "
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f"max_position={self.max_position}, "
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f"止损点={self.stop_loss_points}, 止盈点={self.take_profit_points}"
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)
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def on_open_bar(self, bar: Bar, next_bar_open: Optional[float] = None):
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"""
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每当新的K线数据到来时调用。
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Args:
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bar (Bar): 当前的K线数据对象。
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next_bar_open (Optional[float]): 下一根K线的开盘价，此处策略未使用。
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"""
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current_datetime = bar.datetime # 获取当前K线时间
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self.symbol = bar.symbol
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# --- 1. 撤销上一根K线未成交的订单 ---
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# 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
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if self._last_order_id:
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pending_orders = self.get_pending_orders()
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if self._last_order_id in pending_orders:
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success = self.cancel_order(
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self._last_order_id
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) # 直接调用基类的取消方法
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if success:
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self.log(
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f"[{current_datetime}] 策略: 成功撤销上一根K线未成交订单 {self._last_order_id}"
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)
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else:
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self.log(
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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）"
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)
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# 无论撤销成功与否，既然我们尝试了撤销，就清除记录
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self._last_order_id = None
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# else:
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# self.log(f"[{current_datetime}] 策略: 无上一根K线未成交订单需要撤销。")
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# 2. 更新K线历史
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trade_volume = self.trade_volume
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# 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）
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current_positions = self.get_current_positions()
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current_pos_volume = current_positions.get(self.symbol, 0)
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pending_orders_after_cancel = (
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self.get_pending_orders()
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) # 再次获取，此时应已取消旧订单
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range_1_ago = None
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range_7_ago = None
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bar_history = self.get_bar_history()
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if len(bar_history) > 16:
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# 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)
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bar_1_ago = bar_history[-8]
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bar_7_ago = bar_history[-15]
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# 计算历史 K 线的 Range
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range_1_ago = bar_1_ago.high - bar_1_ago.low
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range_7_ago = bar_7_ago.high - bar_7_ago.low
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# --- 3. 平仓逻辑 (止损/止盈) ---
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# 只有当有持仓时才考虑平仓
|
||||
if (
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||||
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 - bar.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:
|
||||
|
||||
order_id = f"{self.symbol}_BUY_{bar.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=bar.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_{bar.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=bar.datetime,
|
||||
offset="CLOSE",
|
||||
)
|
||||
trade = self.send_order(order)
|
||||
return # 平仓后本K线不再进行开仓判断
|
||||
|
||||
# --- 4. 开仓逻辑 (只考虑做多 BUY 方向) ---
|
||||
# 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
|
||||
# rsi = RSI(5).get_latest_value(np.array(self.get_price_history('close')), None, None, None, None)
|
||||
indicator_value = RSI(5).get_latest_value(np.array(self.get_price_history('close')), None, None, None, None)
|
||||
if (
|
||||
current_pos_volume == 0
|
||||
and range_1_ago is not None
|
||||
and (not self.use_indicator or 20 < indicator_value < 60)
|
||||
):
|
||||
|
||||
# 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)
|
||||
self.log(bar.open, range_1_ago * self.range_factor)
|
||||
target_buy_price = bar.open + (range_1_ago * self.range_factor)
|
||||
|
||||
# 确保目标买入价格有效，例如不能是负数
|
||||
target_buy_price = max(0.01, target_buy_price)
|
||||
|
||||
self.log(
|
||||
f"[{current_datetime}] 开多仓信号 - 当前Open={bar.open:.2f}, "
|
||||
f"前1Range={range_1_ago:.2f}, "
|
||||
f"计算目标买入价={target_buy_price:.2f}"
|
||||
)
|
||||
|
||||
order_id = f"{self.symbol}_BUY_{bar.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="SELL",
|
||||
volume=trade_volume,
|
||||
price_type="LIMIT",
|
||||
limit_price=target_buy_price,
|
||||
submitted_time=bar.datetime,
|
||||
)
|
||||
new_order = self.send_order(order)
|
||||
# 记录下这个订单的ID，以便在下一根K线开始时进行撤销
|
||||
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}"
|
||||
)
|
||||
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()
|
||||
|
||||
def on_rollover(self, old_symbol: str, new_symbol: str):
|
||||
"""
|
||||
在合约换月时清空历史K线数据和上次订单ID，避免使用旧合约数据进行计算。
|
||||
"""
|
||||
super().on_rollover(old_symbol, new_symbol) # 调用基类方法打印日志
|
||||
self._last_order_id = None # 清空上次订单ID，因为旧合约订单已取消
|
||||
|
||||
self.log(f"换月完成，清空历史K线数据和上次订单ID，准备新合约交易。")
|
||||
|
||||
|
||||
class SimpleLimitBuyStrategy(Strategy):
|
||||
"""
|
||||
一个基于当前K线Open、前1根和前7根K线Range计算优势价格进行限价买入的策略。
|
||||
具备以下特点：
|
||||
- 每根K线开始时取消上一根K线未成交的订单。
|
||||
- 最多只能有一个开仓挂单和一个持仓。
|
||||
- 包含简单的止损和止盈逻辑。
|
||||
"""
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
context: Any,
|
||||
symbol: str,
|
||||
enable_log: bool,
|
||||
trade_volume: int,
|
||||
range_factor_l: float,
|
||||
profit_factor_l: float,
|
||||
range_factor_s: float,
|
||||
profit_factor_s: float,
|
||||
max_position: int,
|
||||
stop_loss_points: float = 10, # 新增：止损点数
|
||||
take_profit_points: float = 10,
|
||||
use_indicator: bool = False,
|
||||
): # 新增：止盈点数
|
||||
"""
|
||||
初始化策略。
|
||||
Args:
|
||||
context: 模拟器实例。
|
||||
symbol (str): 交易合约代码。
|
||||
trade_volume (int): 单笔交易量。
|
||||
range_factor (float): 前1根K线Range的权重因子，用于从Open价向下偏移。
|
||||
profit_factor (float): 前7根K线Range的权重因子，用于从Open价向下偏移。
|
||||
max_position (int): 最大持仓量（此处为1，因为只允许一个持仓）。
|
||||
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)
|
||||
self.trade_volume = trade_volume
|
||||
self.range_factor_l = range_factor_l
|
||||
self.profit_factor_l = profit_factor_l
|
||||
self.range_factor_s = range_factor_s
|
||||
self.profit_factor_s = profit_factor_s
|
||||
self.max_position = max_position # 理论上这里应为1
|
||||
self.stop_loss_points = stop_loss_points
|
||||
self.take_profit_points = take_profit_points
|
||||
self.use_indicator = use_indicator
|
||||
|
||||
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
|
||||
|
||||
self.log(
|
||||
f"策略初始化: symbol={self.symbol}, trade_volume={self.trade_volume}, "
|
||||
f"range_factor_l={self.range_factor_l}, "
|
||||
f"profit_factor_l={self.profit_factor_l}, "
|
||||
f"range_factor_s={self.range_factor_s}, "
|
||||
f"profit_factor_s={self.profit_factor_s}, "
|
||||
f"max_position={self.max_position}, "
|
||||
f"止损点={self.stop_loss_points}, 止盈点={self.take_profit_points}"
|
||||
)
|
||||
|
||||
def on_open_bar(self, bar: Bar, next_bar_open: Optional[float] = None):
|
||||
"""
|
||||
每当新的K线数据到来时调用。
|
||||
Args:
|
||||
bar (Bar): 当前的K线数据对象。
|
||||
next_bar_open (Optional[float]): 下一根K线的开盘价，此处策略未使用。
|
||||
"""
|
||||
current_datetime = bar.datetime # 获取当前K线时间
|
||||
self.symbol = bar.symbol
|
||||
|
||||
# --- 1. 撤销上一根K线未成交的订单 ---
|
||||
# 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
|
||||
# else:
|
||||
# self.log(f"[{current_datetime}] 策略: 无上一根K线未成交订单需要撤销。")
|
||||
|
||||
# 2. 更新K线历史
|
||||
trade_volume = self.trade_volume
|
||||
|
||||
# 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)
|
||||
pending_orders_after_cancel = (
|
||||
self.get_pending_orders()
|
||||
) # 再次获取，此时应已取消旧订单
|
||||
|
||||
range_1_ago = None
|
||||
range_7_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[-8]
|
||||
bar_7_ago = bar_history[-15]
|
||||
|
||||
# 计算历史 K 线的 Range
|
||||
range_1_ago = bar_1_ago.high - bar_1_ago.low
|
||||
range_7_ago = bar_7_ago.high - bar_7_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 - bar.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_{bar.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=bar.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_{bar.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=bar.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 = (
|
||||
bar.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}"
|
||||
)
|
||||
|
||||
# 止盈条件
|
||||
if pnl_per_unit >= range_1_ago * self.profit_factor_l:
|
||||
|
||||
order_id = f"{self.symbol}_BUY_{bar.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_LONG",
|
||||
volume=trade_volume,
|
||||
price_type="MARKET",
|
||||
# limit_price=limit_price,
|
||||
submitted_time=bar.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_{bar.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_LONG",
|
||||
volume=trade_volume,
|
||||
price_type="MARKET",
|
||||
# limit_price=limit_price,
|
||||
submitted_time=bar.datetime,
|
||||
offset="CLOSE",
|
||||
)
|
||||
trade = self.send_order(order)
|
||||
return # 平仓后本K线不再进行开仓判断
|
||||
|
||||
# --- 4. 开仓逻辑 (只考虑做多 BUY 方向) ---
|
||||
# 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
|
||||
):
|
||||
|
||||
indicator_value = HistoricalRange(21).get_latest_value(
|
||||
None,
|
||||
None,
|
||||
np.array(self.get_price_history("high")),
|
||||
np.array(self.get_price_history("low")),
|
||||
None,
|
||||
)
|
||||
if (not self.use_indicator or 10 < indicator_value < 25):
|
||||
# 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)
|
||||
self.log(bar.open, range_1_ago * self.range_factor_l)
|
||||
target_buy_price = bar.open - (range_1_ago * self.range_factor_l)
|
||||
|
||||
# 确保目标买入价格有效，例如不能是负数
|
||||
target_buy_price = max(0.01, target_buy_price)
|
||||
|
||||
self.log(
|
||||
f"[{current_datetime}] 开多仓信号 - 当前Open={bar.open:.2f}, "
|
||||
f"前1Range={range_1_ago:.2f}, "
|
||||
f"计算目标买入价={target_buy_price:.2f}"
|
||||
)
|
||||
|
||||
order_id = f"{self.symbol}_BUY_{bar.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="BUY",
|
||||
volume=trade_volume,
|
||||
price_type="LIMIT",
|
||||
limit_price=target_buy_price,
|
||||
submitted_time=bar.datetime,
|
||||
)
|
||||
new_order = self.send_order(order)
|
||||
# 记录下这个订单的ID，以便在下一根K线开始时进行撤销
|
||||
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}"
|
||||
)
|
||||
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 20 < indicator_value < 60):
|
||||
# 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)
|
||||
self.log(bar.open, range_1_ago * self.range_factor_s)
|
||||
target_buy_price = bar.open + (range_1_ago * self.range_factor_s)
|
||||
|
||||
# 确保目标买入价格有效，例如不能是负数
|
||||
target_buy_price = max(0.01, target_buy_price)
|
||||
|
||||
self.log(
|
||||
f"[{current_datetime}] 开多仓信号 - 当前Open={bar.open:.2f}, "
|
||||
f"前1Range={range_1_ago:.2f}, "
|
||||
f"计算目标买入价={target_buy_price:.2f}"
|
||||
)
|
||||
|
||||
order_id = f"{self.symbol}_BUY_{bar.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="SELL",
|
||||
volume=trade_volume,
|
||||
price_type="LIMIT",
|
||||
limit_price=target_buy_price,
|
||||
submitted_time=bar.datetime,
|
||||
)
|
||||
new_order = self.send_order(order)
|
||||
# 记录下这个订单的ID，以便在下一根K线开始时进行撤销
|
||||
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}"
|
||||
)
|
||||
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()
|
||||
|
||||
def on_rollover(self, old_symbol: str, new_symbol: str):
|
||||
"""
|
||||
在合约换月时清空历史K线数据和上次订单ID，避免使用旧合约数据进行计算。
|
||||
"""
|
||||
super().on_rollover(old_symbol, new_symbol) # 调用基类方法打印日志
|
||||
self._last_order_id = None # 清空上次订单ID，因为旧合约订单已取消
|
||||
|
||||
self.log(f"换月完成，清空历史K线数据和上次订单ID，准备新合约交易。")
|
||||
@@ -159,11 +159,11 @@ class SimpleLimitBuyStrategyLong(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
|
||||
bar_history = self.get_bar_history()
|
||||
if current_pos_volume == 0 and len(bar_history) > 10:
|
||||
if current_pos_volume == 0 and 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[-2]
|
||||
bar_7_ago = bar_history[-8]
|
||||
bar_1_ago = bar_history[-8]
|
||||
bar_7_ago = bar_history[-15]
|
||||
|
||||
# 计算历史 K 线的 Range
|
||||
range_1_ago = bar_1_ago.high - bar_1_ago.low
|
||||
@@ -387,11 +387,11 @@ class SimpleLimitBuyStrategyShort(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
|
||||
bar_history = self.get_bar_history()
|
||||
if current_pos_volume == 0 and len(bar_history) > 10:
|
||||
if current_pos_volume == 0 and 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[-2]
|
||||
bar_7_ago = bar_history[-8]
|
||||
bar_1_ago = bar_history[-8]
|
||||
bar_7_ago = bar_history[-15]
|
||||
|
||||
# 计算历史 K 线的 Range
|
||||
range_1_ago = bar_1_ago.high - bar_1_ago.low
|
||||
@@ -660,11 +660,11 @@ class SimpleLimitBuyStrategy(Strategy):
|
||||
return # 平仓后本K线不再进行开仓判断
|
||||
|
||||
bar_history = self.get_bar_history()
|
||||
if current_pos_volume == 0 and len(bar_history) > 10:
|
||||
if current_pos_volume == 0 and 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[-2]
|
||||
bar_7_ago = bar_history[-8]
|
||||
bar_1_ago = bar_history[-8]
|
||||
bar_7_ago = bar_history[-15]
|
||||
|
||||
print(bar_1_ago, bar_7_ago)
|
||||
|
||||
|
||||
@@ -33,6 +33,7 @@ class Strategy(ABC):
|
||||
self.symbol = symbol # 策略操作的合约Symbol
|
||||
self.params = params
|
||||
self.enable_log = enable_log
|
||||
self.trading = False
|
||||
|
||||
def on_init(self):
|
||||
"""
|
||||
@@ -78,6 +79,9 @@ class Strategy(ABC):
|
||||
发送订单的辅助方法。
|
||||
会在 BaseStrategy 内部构建 Order 对象，并通过 context 转发给模拟器。
|
||||
"""
|
||||
if not self.trading:
|
||||
return None
|
||||
|
||||
if self.context.is_rollover_bar:
|
||||
self.log(f"当前是换月K线，禁止开仓订单")
|
||||
return None
|
||||
@@ -103,16 +107,24 @@ class Strategy(ABC):
|
||||
取消指定ID的订单。
|
||||
通过 context 调用模拟器的 cancel_order 方法。
|
||||
"""
|
||||
if not self.trading:
|
||||
return False
|
||||
|
||||
return self.context.cancel_order(order_id)
|
||||
|
||||
def cancel_all_pending_orders(self) -> 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:
|
||||
return 0
|
||||
|
||||
pending_orders = self.get_pending_orders()
|
||||
cancelled_count = 0
|
||||
# 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 order.symbol == self.symbol
|
||||
order.id for order in pending_orders.values()
|
||||
]
|
||||
for order_id in orders_to_cancel:
|
||||
if self.cancel_order(order_id):
|
||||
@@ -179,3 +191,7 @@ class Strategy(ABC):
|
||||
|
||||
def get_bar_history(self):
|
||||
return self.context.get_bar_history()
|
||||
|
||||
|
||||
def get_price_history(self, key: str):
|
||||
return self.context.get_price_history(key)
|
||||
|
||||
Reference in New Issue
Block a user