ITPub博客

首页 > 应用开发 > Python > VNPY 单品种期货的网格交易策略的实现

VNPY 单品种期货的网格交易策略的实现

原创 Python 作者:张国平 时间:2018-06-30 00:59:06 0 删除 编辑
这里做了单品种期货网格交易策略实现。
首先按照过去的n条k线计算出简单评价价SMA基准线,然后按照标准差STD,算出最高线和最低线,然后在之间定出一组通道区间。
当bar.close在通道中时候,下个bar打到上轨开多单,打到下轨空单。


这里采用了均量交易法,就是每笔下单手数都是一样,并非金字塔式下单。
空仓时候,每次突破上线是开多单,突破下线是开空单;
有多单时候,突破上线加多单,突破下线情况清空所有多单,当多单到达定义的最大手数不再下单
有空单时候,突破下线加空单,突破上线清空所有空单,当空单到达定义的最大手数不再下单
为防止在一个线上下波动,造成重复开平仓情况,如果突破平仓,比如平多单,后面n个bar不能再开多单,只能开空单;反之平空单后,
后面n个bar只能开多单。
现在这个策略很粗糙,只做实现逻辑分析,可以回测,考虑涉及仓位控制,别实盘。

点击(此处)折叠或打开

  1. # encoding: UTF-8
  2. from __future__ import division



  3. from vnpy.trader.vtGateway import *
  4. from math import isnan
  5. import numpy as np
  6. import pandas as pd
  7. from vnpy.trader.app.ctaStrategy.ctaTemplate import (CtaTemplate, TargetPosTemplate,
  8.                                                      BarGenerator,
  9.                                                      ArrayManager)


  10. class GridStrategy(CtaTemplate):
  11.     className = 'GridStrategy'
  12.     author = u'BillyZhang'

  13.     # 策略参数
  14.     historyBars = 200 # 历史数据大小,用来确定网格基准线
  15.     initDays = 20 # 初始化数据所用的天数,随着历史数据大小要改变
  16.     gridlines = 10 # 网格线数量,单边数量
  17.     ordersize = 10 # 最大持仓数量
  18.     order = 1 # 每次下单手数
  19.     barMins = 30 #bar的时间
  20.     frozenBars = 1 #平仓后,frozenBars个bar不再开反向单
  21.     atrWindow = 30 # ATR窗口数
  22.     slMultiplier = 5.0 # 计算止损距离的乘数

  23.     # 基本变量
  24.     upline = 0 #当前上线
  25.     bottomline = 0 #当前下线
  26.     frozen = 0 #当前是否冻结开反向单
  27.     intraTradeHigh = 0
  28.     intraTradeLow = 0
  29.     atrValue = 0



  30.     # 参数列表,保存了参数的名称
  31.     paramList = ['name',
  32.                  'className',
  33.                  'author',
  34.                  'vtSymbol',
  35.                  'historyBars'
  36.                  'initDays',
  37.                  'gridlines',
  38.                  'barMins',
  39.                  'order',
  40.                  'ordersize',
  41.                  'atrWindow',
  42.                  'slMultiplier'
  43.                  ]
  44.     # 变量列表,保存了变量的名称
  45.     varList = ['inited',
  46.                'trading',
  47.                'pos',
  48.                'frozen',
  49.                'upline',
  50.                'bottomline'
  51.                'atrValue']
  52.     # 同步列表,保存了需要保存到数据库的变量名称
  53.     syncList = ['pos',
  54.                 'frozen']

  55.     # ----------------------------------------------------------------------
  56.     def __init__(self, ctaEngine, setting):
  57.         """Constructor"""
  58.         super(GridStrategy, self).__init__(ctaEngine, setting)
  59.         self.bg = BarGenerator(self.onBar, self.barMins, self.onXminBar) # 创建K线合成器对象
  60.         self.am = ArrayManager(self.historyBars + 50)

  61.     # ----------------------------------------------------------------------
  62.     def onInit(self):
  63.         """初始化策略(必须由用户继承实现)"""
  64.         self.writeCtaLog(u'%s策略初始化' % self.name)
  65.         # 载入历史数据,并采用回放计算的方式初始化策略数值
  66.         initData = self.loadBar(self.initDays)
  67.         for bar in initData:
  68.             self.onBar(bar)
  69.         self.putEvent()

  70.     def onStart(self):
  71.         """启动策略(必须由用户继承实现)"""
  72.         self.writeCtaLog(u'%s策略启动' % self.name)
  73.         self.putEvent()

  74.     def onStop(self):
  75.         """停止策略(必须由用户继承实现)"""
  76.         self.writeCtaLog(u'%s策略停止' % self.name)
  77.         self.putEvent()



  78.     # -----------------------------------------------------------------------
  79.     def onXminBar(self, bar):
  80.         """收到X分钟K线"""
  81.         # 全撤之前发出的委托
  82.         self.cancelAll()
  83.         # 保存K线数据
  84.         am = self.am
  85.         am.updateBar(bar)
  86.         if not am.inited:
  87.             return
  88.         # 这里采用了均量交易法,就是每笔。
  89.         # 空仓时候,每次突破上线是开多单,突破下线是开空单;
  90.         # 有多单时候,突破上线加多单,突破下线情况清空所有多单,
  91.         # 有空单时候,突破下线加空单,突破上线清空所有空单,
  92.         # 为防止在一个线上下波动,造成重复开平仓情况,如果突破平仓,比如平多单,后面n个bar不能再开多单,只能开空单;反之平空单后,
  93.         # 后面n个bar只能开多单。
  94.         # 计算网格,返回通道队列, 再算出当前点位所在通道,0为最下通道,2*self.gridlines - 1为最上通道
  95.         baseline = self.am.sma(self.historyBars)
  96.         # 过去300的标准差,按照顶一个gridlines取整做出一个队列
  97.         intervallist = baseline+ np.array([n * 1.00 / self.gridlines for n in range(-1 * self.gridlines, self.gridlines + 1)]) * self.am.std(self.historyBars)

  98.         griploc = pd.cut([bar.close], intervallist, labels=[nx for nx in range(0,2*self.gridlines)])[0]
  99.         # 如果返回为nan,说明现在bar.close在标准差范围以外,如果没有仓位,先不处理;如果有,按照ATR波动移动止盈
  100.         if isnan(griploc):
  101.             # 持有多头仓位
  102.             if self.pos > 0:
  103.                 self.intraTradeHigh = max(self.intraTradeHigh, bar.high)
  104.                 self.intraTradeLow = bar.low
  105.                 self.longStop = self.intraTradeHigh - self.atrValue * self.slMultiplier
  106.                 self.sell(self.longStop, abs(self.pos), True)
  107.             # 持有空头仓位
  108.             elif self.pos < 0:
  109.                 self.intraTradeHigh = bar.high
  110.                 self.intraTradeLow = min(self.intraTradeLow, bar.low)
  111.                 self.shortStop = self.intraTradeLow + self.atrValue * self.slMultiplier
  112.                 self.cover(self.shortStop, abs(self.pos), True)
  113.             return
  114.         #返回上下线:
  115.         self.upline = intervallist[griploc + 1]
  116.         self.bottomline = intervallist[griploc]

  117.         # 空仓时候,每次突破上线是开多单,突破下线是开空单;
  118.         # 如果此时在最下一个通道,此时只挂往上的多单, 如果在最上面通道,此时只挂往下空单;如果在中间的,则同时开上下单
  119.         if self.pos == 0:
  120.             if griploc ==0:
  121.                 self.buy(self.upline, self.order, True)
  122.             elif griploc == 2*self.gridlines - 1:
  123.                 self.short(self.bottomline,self.order,True)
  124.             else:
  125.                 #此时如果frozen 为0, 直接开上下单:
  126.                 if self.frozen == 0:
  127.                     self.buy(self.upline, self.order, True)
  128.                     self.short(self.bottomline, self.order, True)
  129.                 #此时如果大于0,只能开空单,如果小于0,只能开多单
  130.                 elif self.frozen > 0:
  131.                     self.frozen = self.frozen -1
  132.                     self.short(self.bottomline, self.order, True)
  133.                 elif self.frozen < 0:
  134.                     self.frozen = self.frozen + 1
  135.                     self.buy(self.upline, self.order, True)
  136.         #如果持有多仓时候,如果在中间通道,同时开上下单;如果最高点位不再开单,突破最大标准差高点,
  137.         elif self.pos > 0:
  138.             # 在最下通道不可能有多单,只用考量在中间段,pos 小于ordersize可以增多仓,否则只能向下平仓;和最高段情况,最高段设置往下平仓,
  139.             if griploc == 2*self.gridlines - 1:
  140.                 self.intraTradeHigh = bar.high
  141.                 self.sell(self.bottomline, abs(self.pos), True)
  142.             else:
  143.                 if abs(self.pos) < self.ordersize:
  144.                     self.buy(self.upline, self.order, True)
  145.                     self.sell(self.bottomline, abs(self.pos), True)
  146.                 else:
  147.                     self.sell(self.bottomline, abs(self.pos), True)
  148.         elif self.pos < 0:
  149.             # 最上通道通道不可能有空单,只用考虑中间段,和最低档情况
  150.             if griploc == 0:
  151.                 self.intraTradeLow = bar.low
  152.                 self.cover(self.upline,abs(self.pos),True)
  153.             else:
  154.                 if abs(self.pos) < self.ordersize:
  155.                     self.cover(self.upline, abs(self.pos),True)
  156.                     self.sell(self.bottomline, self.order, True)
  157.                 else:
  158.                     self.cover(self.upline, abs(self.pos), True)


  159.     # ----------------------------------------------------------------------
  160.     def onTick(self, tick):
  161.         """收到行情TICK推送(必须由用户继承实现)"""
  162.         self.bg.updateTick(tick)

  163.     # ----------------------------------------------------------------------
  164.     def onBar(self, bar):
  165.         """收到Bar推送(必须由用户继承实现)"""
  166.         self.bg.updateBar(bar)
  167.     # ----------------------------------------------------------------------
  168.     def onOrder(self, order):
  169.         """收到委托推送"""
  170.         pass


  171.     # ----------------------------------------------------------------------
  172.     def onTrade(self, trade):
  173.         # 发出状态更新事件
  174.         # 如果收到成交,清空所有挂单
  175.         self.cancelAll()
  176.         # 如果交易多头方向,且现在仓位为0,则应该是空头平仓,不再开空单
  177.         if trade.direction == DIRECTION_LONG and self.pos == 0:
  178.             self.frozen = -1* self.frozen
  179.         # 如果交易空头方向,且现在仓位为0,则应该是多平仓,不再开多单
  180.         elif trade.direction == DIRECTION_SHORT and self.pos == 0:
  181.             self.frozen = self.frozen


  182.         self.putEvent()

  183.     # ----------------------------------------------------------------------
  184.     def onStopOrder(self, so):
  185.         """停止单推送"""
  186.         pass

来自 “ ITPUB博客 ” ,链接:http://blog.itpub.net/22259926/viewspace-2157103/,如需转载,请注明出处,否则将追究法律责任。

请登录后发表评论 登录
全部评论
SAP 金融风险管理产品专家

注册时间:2009-08-05

  • 博文量
    134
  • 访问量
    322242