from math import ceil, floor
from tqz_strategy.template import CtaTemplate
from public_module.object import BarData, RenkoData
from public_module.constant import RenkoDirection
from public_module.utility import BarGenerator
class TQZFutureRenkoScalpingStrategy(CtaTemplate):
"""
future strategy(1h period). 废弃
"""
author = "tqz"
# --- param part ---
fast_window = 30
slow_window = 250
lots_size = 0
renko_size = 0
min_tick_price_flow = 0
parameters = ["fast_window", "slow_window", "lots_size", "renko_size", "min_tick_price_flow"]
# --- var part ---
fast_ma_value = 0.0
# fast_ma1 = 0.0
slow_ma_value = 0.0
# slow_ma1 = 0.0
variables = ["fast_ma_value", "slow_ma_value"]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = BarGenerator(self.on_bar)
self.bar_close_prices = []
self.renko_list = []
self.first_bar_close_price = 0
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
# 1. update self.bars_close_prices & update params.
if self.__update_params_ok(new_bar=bar) is False:
return
# 2. trend direction.
long_direction = self.fast_ma_value > self.slow_ma_value
short_direction = self.fast_ma_value < self.slow_ma_value
# 3. modify postion.
last_renko0 = self.renko_list[-1]
last_renko1 = self.renko_list[-2]
if long_direction:
if self.pos == 0:
if last_renko1.renko_direction == RenkoDirection.SHORT and last_renko0.renko_direction == RenkoDirection.LONG:
self.set_position(pos=self.lots_size)
elif self.pos < 0:
if last_renko1.renko_direction == RenkoDirection.SHORT and last_renko0.renko_direction == RenkoDirection.LONG:
self.set_position(pos=self.lots_size)
else:
self.set_position(pos=0)
elif self.pos > 0:
if last_renko1.renko_direction == RenkoDirection.LONG and last_renko0.renko_direction == RenkoDirection.SHORT:
self.set_position(pos=0)
elif short_direction:
if self.pos == 0:
if last_renko1.renko_direction == RenkoDirection.LONG and last_renko0.renko_direction == RenkoDirection.SHORT:
self.set_position(pos=-1 * self.lots_size)
elif self.pos > 0:
if last_renko1.renko_direction == RenkoDirection.LONG and last_renko0.renko_direction == RenkoDirection.SHORT:
self.set_position(pos=-1 * self.lots_size)
else:
self.set_position(pos=0)
elif self.pos < 0:
if last_renko1.renko_direction == RenkoDirection.SHORT and last_renko0.renko_direction == RenkoDirection.LONG:
self.set_position(pos=0)
def __update_params_ok(self, new_bar: BarData) -> bool:
if len(self.bar_close_prices) < self.slow_window:
self.bar_close_prices.append(new_bar.close_price)
self.__update_renko_list(new_bar=new_bar)
return False
# update self.bar_close_prices
self.bar_close_prices.remove(self.bar_close_prices[0])
self.bar_close_prices.append(new_bar.close_price)
# update fast_ma & slow_ma
self.fast_ma_value = sum(self.bar_close_prices[-self.fast_window:]) / self.fast_window
self.slow_ma_value = sum(self.bar_close_prices[-self.slow_window:]) / self.slow_window
# update renko_list
self.__update_renko_list(new_bar=new_bar)
return True
def __update_renko_list(self, new_bar: BarData):
if len(self.renko_list) is 0:
if self.first_bar_close_price is 0: # init strategy.
self.first_bar_close_price = new_bar.close_price
else:
""" 判断是否满足生成第一个renko的条件 """
ticks_diff = (new_bar.close_price - self.first_bar_close_price) / self.min_tick_price_flow
if ticks_diff > self.renko_size:
""" 更新第一个renko为红色 """
renko_counts = floor(ticks_diff / self.renko_size)
renko_price = self.first_bar_close_price + renko_counts * self.renko_size * self.min_tick_price_flow
self.renko_list.append(RenkoData(renko_price=renko_price, renko_direction=RenkoDirection.LONG, renko_value=renko_counts))
elif ticks_diff < -1 * self.renko_size:
""" 更新第一个renko为绿色 """
renko_counts = ceil(ticks_diff / self.renko_size)
renko_price = self.first_bar_close_price + renko_counts * self.renko_size * self.min_tick_price_flow
self.renko_list.append(RenkoData(renko_price=renko_price, renko_direction=RenkoDirection.SHORT, renko_value=renko_counts))
else:
last_renko = self.renko_list[-1]
ticks_diff = (new_bar.close_price - last_renko.renko_price) / self.min_tick_price_flow
if last_renko.renko_direction == RenkoDirection.LONG: # 当前为红砖
if ticks_diff > self.renko_size:
""" 新增红砖 """
renko_counts = floor(ticks_diff / self.renko_size)
renko_price = last_renko.renko_price + renko_counts * self.renko_size * self.min_tick_price_flow
self.renko_list.append(RenkoData(renko_price=renko_price, renko_direction=RenkoDirection.LONG, renko_value=last_renko.renko_value+renko_counts))
elif ticks_diff < -2 * self.renko_size:
""" 新增绿砖 """
renko_counts = ceil(ticks_diff / self.renko_size)
renko_price = last_renko.renko_price + renko_counts * self.renko_size * self.min_tick_price_flow
self.renko_list.append(RenkoData(renko_price=renko_price, renko_direction=RenkoDirection.SHORT, renko_value=renko_counts+1))
elif last_renko.renko_direction == RenkoDirection.SHORT: # 当前为绿砖
if ticks_diff < -1 * self.renko_size:
""" 新增绿砖 """
renko_counts = ceil(ticks_diff / self.renko_size)
renko_price = last_renko.renko_price + renko_counts * self.renko_size * self.min_tick_price_flow
self.renko_list.append(RenkoData(renko_price=renko_price, renko_direction=RenkoDirection.SHORT, renko_value=last_renko.renko_value+renko_counts))
elif ticks_diff > 2 * self.renko_size:
""" 新增红砖 """
renko_counts = floor(ticks_diff / self.renko_size)
renko_price = last_renko.renko_price + renko_counts * self.renko_size * self.min_tick_price_flow
self.renko_list.append(RenkoData(renko_price=renko_price, renko_direction=RenkoDirection.LONG, renko_value=renko_counts-1))
def set_position(self, pos: int):
self.pos = pos
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log(msg=f'strategy_name: {self.strategy_name}, fast_window: {self.fast_window}, slow_window: {self.slow_window}, lots_size: {self.lots_size}, renko_size: {self.renko_size}, min_tick_price_flow: {self.min_tick_price_flow} on_init.')
pass
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log(msg=f'strategy_name: {self.strategy_name} on_start.')
pass
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log(msg=f'strategy_name: {self.strategy_name} on_stop.')
量化交易之回测篇 - 期货CTA策略实例(TQZFutureRenkoScalpingStrategy)
于 2022-06-22 16:35:04 首次发布