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