用ctp接口实现砖型图策略交易

#砖型图数据用画图工具显示出来的效果

#CTP接口接收行情后合成的数据源

#自动化交易策略源码

from CTP import *
class 砖型图策略(Strategy):
    def __init__(self):
        super().__init__()
        self.symbol_lsit = ["IC2212","au2302","i2301","ni2301","IF2212"]  #订阅合约
        # self.symbol_lsit = ["ni2301"]  #订阅合约
        self.Renko_Tick = 10  #砖型幅度 合约最小变动价倍数  
        self.StrategyType = StrategyType.Renko  #策略类型  StrategyType.Renko   StrategyType.Bar   StrategyType.Tick
    def on_bar(self, tick=None, Bar=None):
        symbol = tick.InstrumentID   #合约代码
        Bid = tick.BidPrice1    #买价
        Ask = tick.AskPrice1    #卖价
        LastPrice = tick.LastPrice  #最新价
        Pos = self.Get_Position(symbol) # 获取全部持仓
        #print(Pos)
        kline = Bar[0]["data"]    # K 线数据
        if len(kline) < 2:   # 小于2条 退出 
            return 
        print(symbol,kline[-1])   
        if Pos["Direction"]=="None" and kline[-1]["Renko"]=="▲" and kline[-2]["Renko"]=="▲": # 如果是空仓 连续两个上涨砖就开多单
            self.send(symbol, DirectionType.Buy, OffsetType.Open, Ask, 3, OrderType.Limit)    #开多  # # OrderType.FOK   OrderType.FAK   OrderType.Market
        if Pos["Direction"]=="None" and kline[-1]["Renko"]=="▽" and kline[-2]["Renko"]=="▽":  # 如果是空仓 连续两个下跌砖就开空单
            self.send(symbol, DirectionType.Sell, OffsetType.Open, Bid, 3, OrderType.Limit) # 开空
        if Pos["Direction"]=='Long' and kline[-1]["Renko"]=="▽" and kline[-2]["Renko"]=="▲":     # 如果有多单 最新砖下跌 上一砖是上涨 平多单开空单
            print("砖型图策略平多单")
            if Pos["ExchangeID"]=='SHFE' and Pos["Volume"]==Pos["yd_amount"]: # 如果是上期所 且是昨仓 用平昨 平多单
                self.send(symbol, DirectionType.Sell, OffsetType.CloseYesterday, Bid, Pos['Volume'], OrderType.Limit) #用平昨
                self.send(symbol, DirectionType.Sell, OffsetType.Open, Bid, 3, OrderType.Limit) #开空                
            elif Pos["ExchangeID"]=='SHFE' and Pos["Volume"]==Pos["td_amount"]: # 如果是上期所 且是今仓 用平今 平多单
                self.send(symbol, DirectionType.Sell, OffsetType.CloseToday, Bid, Pos['Volume'], OrderType.Limit) 用平今
                self.send(symbol, DirectionType.Sell, OffsetType.Open, Bid, 3, OrderType.Limit) #开空                
            else:
                self.send(symbol, DirectionType.Sell, OffsetType.Close, Bid, Pos['Volume'], OrderType.Limit) #用普通平仓
                self.send(symbol, DirectionType.Sell, OffsetType.Open, Bid, 3, OrderType.Limit) #开空                
        if Pos["Direction"]=='Short' and kline[-1]["Renko"]=="▲" and kline[-2]["Renko"]=="▽":    # 如果有空单 最新砖上涨 上一砖是下跌 平空单开多单
            print("砖型图策略平空单")
            if Pos["ExchangeID"]=='SHFE' and Pos["Volume"]==Pos["yd_amount"]: # 如果是上期所 且是昨仓 用平昨 平空单
                self.send(symbol, DirectionType.Buy, OffsetType.CloseYesterday, Ask, Pos['Volume'], OrderType.Limit) #用平昨
                self.send(symbol, DirectionType.Buy, OffsetType.Open, Ask, 3, OrderType.Limit) #开多                
            elif Pos["ExchangeID"]=='SHFE' and Pos["Volume"]==Pos["td_amount"]: # 如果是上期所 且是今仓 用平今 平空单
                self.send(symbol, DirectionType.Buy, OffsetType.CloseToday, Ask, Pos['Volume'], OrderType.Limit) #用平今
                self.send(symbol, DirectionType.Buy, OffsetType.Open, Ask, 3, OrderType.Limit) #开多                
            else:
                self.send(symbol, DirectionType.Buy, OffsetType.Close, Ask, Pos['Volume'], OrderType.Limit) #用普通平仓
                self.send(symbol, DirectionType.Buy, OffsetType.Open, Ask, 3, OrderType.Limit) #开多                

Config = {'brokerid':'9999', 'userid':'123456', 'password':'*******', 'appid':'simnow_client_test', 'auth_code':'0000000000000000', 'product_info':'python dll', 'td_address':'tcp://180.168.146.187:10130', 'md_address':'tcp://180.168.146.187:10131'}
if __name__ == '__main__':    
    t = CtpGateway()
    t.add_Strategy(砖型图策略())
    t.add_Config(Config)
    t.Start()