VTPY 量化交易 CCI策略

from vnpy.app.cta_strategy import (
CtaTemplate,
StopOrder,
TickData,
BarData,
TradeData,
OrderData,
BarGenerator,
ArrayManager,
)

class CciStrategy(CtaTemplate):
author = “用Python的交易员”

cci_window = 14


cci_0 = 0.0
cci_1 = 0.0

parameters = ["cci_window"]
variables = ["cci_0", "cci_1"]

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.am = ArrayManager()

def on_init(self):
    """
    Callback when strategy is inited.
    """
    self.write_log("策略初始化")
    self.load_bar(10)

def on_start(self):
    """
    Callback when strategy is started.
    """
    self.write_log("策略启动")
    self.put_event()

def on_stop(sel