交易思维是基于历史数据中，一组数据比如100天中，K线中最高点或者最低点相对于开始价位价差点差，再利用numpy的函数numpy.percentile(), 计算在比如95%机会，最高点或者最低点的点差数字。如果点差是5个点，就可以认为下一根K线也有95%概率有5个点受益。
3.止损，如果在持有时候，下跌到反向POSPrice +/- Multiple * TickValue 价格时候，平仓。Multiple 随着时间增加逐渐减少。
from __future__ import division
from vnpy.trader.vtConstant import EMPTY_STRING, EMPTY_FLOAT, OFFSET_OPEN,OFFSET_CLOSE
from vnpy.trader.app.ctaStrategy.ctaTemplate import (CtaTemplate,
BarGenerator,
ArrayManager)
import numpy as np
from datetime import datetime, time
########################################################################
class PercentileStrategy(CtaTemplate):
"""MACD策略Demo"""
className = PercentileStrategy
author = uBillyZhang
fixedSize = 1
# 策略参数
calWindow = 15
percentile = 95
tickValueLimit = 5
Multiple = 0.8
# 策略变量
p = 0
tickValue = 0
tradeSign = 0
tickValueHigh = 0
tickValueLow = 0
longStop = 0 # 多头止损
shortStop = 0 # 空头止损
margin = 0
lowerLimit = 0
upperLimit = 50000
# 时间
initDays = 0
DAY_START = time(9, 10) # 日盘启动和停止时间
DAY_END = time(14, 55)
NIGHT_START = time(21, 10) # 夜盘启动和停止时间
NIGHT_END = time(10, 55)
# 参数列表，保存了参数的名称
paramList = [name,
className,
author,
vtSymbol,
initDays,
fixedSize,
calWindow,
percentile,
tickValueLimit,
Multiple
]
# 变量列表，保存了变量的名称
varList = [inited,
trading,
pos,
longStop,
shortStop,
posPrice,
lowerLimit,
p,
tickValue,
tradeSign,
tickValueHigh,
tickValueLow
]
# 同步列表，保存了需要保存到数据库的变量名称
syncList = [pos,
posPrice,
longStop,
shortStop
]
# ----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(PercentileStrategy, self).__init__(ctaEngine, setting)
self.am = ArrayManager(size = self.calWindow)
# 注意策略类中的可变对象属性（通常是list和dict等），在策略初始化时需要重新创建，
# 否则会出现多个策略实例之间数据共享的情况，有可能导致潜在的策略逻辑错误风险，
# 策略类中的这些可变对象属性可以选择不写，全都放在__init__下面，写主要是为了阅读
# 策略时方便（更多是个编程习惯的选择）
# ----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u%s策略初始化 % self.name)
initData = self.loadBar(self.initDays)
for bar in initData:
self.onBar(bar)
self.putEvent()
# ----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
if self.pos == 0:
self.writeCtaLog(u%s策略启动 % self.name)
# 当前无仓位，发送开仓委托
# 持有多头仓位
self.putEvent()
# ----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u%s策略停止 % self.name)
self.putEvent()
# ----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
if self.lowerLimit == 0 or self.upperLimit == 0:
self.lowerLimit = tick.lowerLimit
self.upperLimit = tick.upperLimit
self.bg.updateTick(tick)
# ----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
#如果是当然最后5分钟，略过
am = self.am
am.updateBar(bar)
if not am.inited:
return
# currentTime = datetime.now().time()
currentTime = time(9,20)
#计算p，和tickValue
MaxHigh = am.high / am.open
MaxLow = am.low / am.open
MaxClose = am.close / am.open
lpHigh = np.percentile(MaxHigh, 100 - self.percentile)
lpLow = np.percentile(MaxLow, self.percentile)
self.tickValueHigh = abs(bar.open - bar.open*lpHigh)
self.tickValueLow = abs(bar.open - bar.open * lpLow)
if self.tickValueHigh > self.tickValueLow and self.tickValueHigh > self.tickValueLimit:
self.tradeSign = 1
elif self.tickValueHigh < self.tickValueLow and self.tickValueLow > self.tickValueLimit:
self.tradeSign = -1
else:
self.tradeSign = 0
# 平当日仓位, 如果当前时间是结束前日盘15点28分钟,或者夜盘10点58分钟，如果有持仓，平仓。
if ((currentTime >= self.DAY_START and currentTime <= self.DAY_END) or
(currentTime >= self.NIGHT_START and currentTime <= self.NIGHT_END)):
if self.pos == 0:
if self.tradeSign == 0:
pass
elif self.tradeSign == 1 and bar.close > self.lowerLimit:
self.buy(bar.close + 5,self.fixedSize,False)
elif self.tradeSign == -1 and bar.close < self.upperLimit:
self.short(bar.close - 5,self.fixedSize,False)
elif self.pos > 0:
if self.tradeSign == 1 or self.tradeSign == 0:
pass
elif self.tradeSign == -1:
self.sell(bar.close-5, abs(self.pos), False)
elif self.pos < 0:
if self.tradeSign == -1 or self.tradeSign == 0:
pass
elif self.tradeSign ==1:
self.cover(bar.close+5, abs(self.pos), False)
else:
if self.pos > 0:
self.sell(bar.close-5, abs(self.pos), False)
elif self.pos < 0:
self.cover(bar.close+5, abs(self.pos), False)
elif self.pos == 0:
return
# ----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
# 对于无需做细粒度委托控制的策略，可以忽略onOrder
pass
# ----------------------------------------------------------------------
def onTrade(self, trade):
# 发出状态更新事件
"""收到成交推送（必须由用户继承实现）"""
# 对于无需做细粒度委托控制的策略，可以忽略onOrder
if trade.offset == OFFSET_OPEN:
self.posPrice = trade.price
if self.tradeSign == 1:
self.sell(self.posPrice + self.tickValueHigh,abs(self.pos),False)
self.sell(self.posPrice - self.Multiple*self.tickValueHigh, abs(self.pos), True)
elif self.tradeSign == -1:
self.cover(self.posPrice - self.tickValueLow, abs(self.pos), False)
self.cover(self.posPrice + self.Multiple*self.tickValueLow, abs(self.pos),True)
elif trade.offset == OFFSET_CLOSE:
self.cancelAll()
self.tradeSign = 0
# 同步数据到数据库
self.saveSyncData()
# ----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass
