新增实盘策略：ITrendStrategy(SA)

futures_trading_strategies/SA/ITrend/ITrendStrategy.py

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+import numpy as np
+import math
+from collections import deque
+from typing import Optional, Any, List, Dict
+
+from src.core_data import Bar, Order
+from src.indicators.base_indicators import Indicator
+from src.indicators.indicators import Empty
+from src.strategies.base_strategy import Strategy
+
+
+class ITrendStrategy(Strategy):
+    """
+    【Ehlers 瞬时趋势线策略 (期货实战版)】
+
+    针对期货日内交易优化：
+    1. 【跳数止损】：使用固定的 min_tick 跳数作为止损，替代百分比。
+    2. 【价格对齐】：所有计算出的挂单价格，强制对齐到 min_tick 的整数倍。
+    3. 【无反手】：止损或信号反转仅平仓。
+
+    参数含义变更：
+    - min_tick: 合约最小变动价位 (如 IF为0.2, RB为1)
+    - stop_loss_ticks: 止损跳数 (如 50跳)
+    """
+
+    def __init__(
+            self,
+            context: Any,
+            main_symbol: str,
+            enable_log: bool,
+            trade_volume: int,
+            # --- 【合约规格参数】 ---
+            min_tick: float = 1.0,  # 核心：必须根据品种设置 (例如 0.2, 1.0, 5.0)
+
+            # --- 【策略参数】 ---
+            length: int = 20,  # 趋势线周期
+            range_fraction: float = 0.35,  # 入场回调系数 (Range的比例)
+            stop_loss_ticks: int = 30,  # 【新】硬止损跳数 (替代百分比)
+
+            # --- 【其他】 ---
+            order_direction: Optional[List[str]] = None,
+            indicator: Indicator = None,
+    ):
+        super().__init__(context, main_symbol, enable_log)
+        if order_direction is None: order_direction = ['BUY', 'SELL']
+
+        self.trade_volume = trade_volume
+        self.min_tick = min_tick
+        self.rng_frac = range_fraction
+        self.stop_ticks = stop_loss_ticks  # 止损跳数
+        self.order_direction = order_direction
+        self.alpha = 2.0 / (length + 1.0)
+
+        self.indicator = indicator
+
+        # 历史数据缓存
+        self._mid_price_history = deque(maxlen=50)
+        self._itrend_history = deque(maxlen=50)
+        self._trigger_history = deque(maxlen=50)
+
+        self.bar_count = 0
+        self.order_id_counter = 0
+
+    def round_to_tick(self, price: float) -> float:
+        """辅助函数：将价格对齐到最小变动价位"""
+        if self.min_tick <= 0: return price
+        return round(price / self.min_tick) * self.min_tick
+
+    def on_init(self):
+        super().on_init()
+
+    def on_rollover(self, old_symbol: str, new_symbol: str):
+        self.log(f"合约换月: {old_symbol} -> {new_symbol}，重置状态。")
+        self._mid_price_history.clear()
+        self._itrend_history.clear()
+        self._trigger_history.clear()
+        self.bar_count = 0
+
+        self.symbol = new_symbol
+        self.cancel_all_pending_orders(old_symbol)
+
+    def on_open_bar(self, open_price: float, symbol: str):
+        self.symbol = symbol
+        bars = self.get_bar_history()
+        if len(bars) < 2: return
+        self.cancel_all_pending_orders(symbol)
+
+        prev_bar = bars[-1]
+
+        # --- 1. 指标计算 ---
+        mid_price = (prev_bar.high + prev_bar.low) / 2.0
+        self._mid_price_history.append(mid_price)
+        self.bar_count += 1
+
+        if len(self._mid_price_history) < 3:
+            self._itrend_history.append(mid_price)
+            self._trigger_history.append(mid_price)
+            return
+
+        price = list(self._mid_price_history)
+        itrend_prev = list(self._itrend_history)
+
+        current_itrend = 0.0
+        if self.bar_count < 7:
+            current_itrend = (price[-1] + 2 * price[-2] + price[-3]) / 4.0
+        else:
+            alpha = self.alpha
+            a2 = alpha * alpha
+            current_itrend = (alpha - a2 / 4) * price[-1] + (a2 / 2) * price[-2] - (alpha - 0.75 * a2) * price[-3] + \
+                             2 * (1 - alpha) * itrend_prev[-1] - (1 - alpha) ** 2 * itrend_prev[-2]
+
+        self._itrend_history.append(current_itrend)
+
+        if len(self._itrend_history) < 3:
+            current_trigger = current_itrend
+        else:
+            current_trigger = 2.0 * current_itrend - self._itrend_history[-3]
+        self._trigger_history.append(current_trigger)
+
+        # --- 2. 交易决策 ---
+        if len(self._trigger_history) < 2: return
+
+        curr_trig = self._trigger_history[-1]
+        prev_trig = self._trigger_history[-2]
+        curr_itrend = self._itrend_history[-1]
+        prev_itrend = self._itrend_history[-2]
+
+        is_bullish = (prev_trig <= prev_itrend) and (curr_trig > curr_itrend)
+        is_bearish = (prev_trig >= prev_itrend) and (curr_trig < curr_itrend)
+
+        position_volume = self.get_current_positions().get(self.symbol, 0)
+
+        prev_range = prev_bar.high - prev_bar.low
+
+        # === 分支 A: 持仓管理 (止损/平仓) ===
+        if position_volume != 0:
+
+            entry_price = self.get_average_position_price(self.symbol)
+
+            # --- A1. 强制跳数止损 (Tick Stop) ---
+            # 计算止损价差绝对值
+            stop_diff = self.stop_ticks * self.min_tick
+
+            self.log(f'Holding {position_volume} position volume'
+                     f'is_bullish={is_bullish}, is_bearish={is_bearish}'
+                     f'entry_price={entry_price}, stop_diff={stop_diff}')
+
+            if position_volume > 0:  # 多头
+                # 止损价 = 开仓价 - 止损点数
+                stop_price = entry_price - stop_diff
+                # 对齐一下(虽然entry_price理论上已对齐，但为了保险)
+                stop_price = self.round_to_tick(stop_price)
+
+                if prev_bar.close < stop_price:
+                    self.log(
+                        f"LONG STOP TRIGGERED. Close:{prev_bar.close} < Stop:{stop_price} (-{self.stop_ticks} ticks)")
+                    self.send_market_order("CLOSE_LONG", abs(position_volume), "CLOSE")
+                    return
+
+            elif position_volume < 0:  # 空头
+                # 止损价 = 开仓价 + 止损点数
+                stop_price = entry_price + stop_diff
+                stop_price = self.round_to_tick(stop_price)
+
+                if prev_bar.close > stop_price:
+                    self.log(
+                        f"SHORT STOP TRIGGERED. Close:{prev_bar.close} > Stop:{stop_price} (+{self.stop_ticks} ticks)")
+                    self.send_market_order("CLOSE_SHORT", abs(position_volume), "CLOSE")
+                    return
+
+            # --- A2. 信号平仓 ---
+            if position_volume > 0 and is_bearish:
+                self.send_market_order("CLOSE_LONG", abs(position_volume), "CLOSE")
+                return
+
+            if position_volume < 0 and is_bullish:
+                self.send_market_order("CLOSE_SHORT", abs(position_volume), "CLOSE")
+                return
+
+        # === 分支 B: 开仓管理 ===
+        else:  # position_volume == 0
+
+            # 计算回调距离 (Range Fraction)
+            # 例如 Range=10, Frac=0.35 -> 3.5 -> 对齐到tick
+            raw_offset = self.rng_frac
+            offset_price = self.round_to_tick(raw_offset)
+
+            self.log(f'RANDOM OFFSET: {offset_price}, is_bullish={is_bullish}, is_bearish={is_bearish}')
+
+            # 开多
+            if is_bullish and "BUY" in self.order_direction and (self.indicator is None or self.indicator.is_condition_met(*self.get_indicator_tuple())):
+                # 挂单价 = Open - 回调点数
+                limit_price = prev_bar.close - offset_price
+                limit_price = self.round_to_tick(limit_price)  # 再次确保对齐
+
+                self.send_limit_order(limit_price, "BUY", self.trade_volume, "OPEN")
+                self.log(f"Signal BUY. Open:{open_price} - Offset:{offset_price} = Limit:{limit_price}")
+
+            # 开空
+            elif is_bearish and "SELL" in self.order_direction and (self.indicator is None or self.indicator.is_condition_met(*self.get_indicator_tuple())):
+                # 挂单价 = Open + 回调点数
+                limit_price = prev_bar.close + offset_price
+                limit_price = self.round_to_tick(limit_price)
+
+                self.send_limit_order(limit_price, "SELL", self.trade_volume, "OPEN")
+                self.log(f"Signal SELL. Open:{open_price} + Offset:{offset_price} = Limit:{limit_price}")
+
+    # --- 交易辅助函数 ---
+    def send_market_order(self, direction: str, volume: int, offset: str):
+        order_id = f"{self.symbol}_{direction}_MKT_{self.order_id_counter}"
+        self.order_id_counter += 1
+        order = Order(id=order_id, symbol=self.symbol, direction=direction, volume=volume, price_type="MARKET",
+                      submitted_time=self.get_current_time(), offset=offset)
+        self.send_order(order)
+
+    def send_limit_order(self, limit_price: float, direction: str, volume: int, offset: str):
+        order_id = f"{self.symbol}_{direction}_LMT_{self.order_id_counter}"
+        self.order_id_counter += 1
+        order = Order(id=order_id, symbol=self.symbol, direction=direction, volume=volume, price_type="LIMIT",
+                      submitted_time=self.get_current_time(), offset=offset, limit_price=limit_price)
+        self.send_order(order)