python期货程序化交易高手心得_10分钟打造WonderTrader上的期货日内交易策略

最终策略源码如下

from wtpy import BaseStrategy

from wtpy import Context

class StraDualThrust(BaseStrategy):

def __init__(self, name:str, code:str, barCnt:int, period:str, days:int, k1:float, k2:float, isForStk:bool = False):

BaseStrategy.__init__(self, name)

self.__days__ = days

self.__k1__ = k1

self.__k2__ = k2

self.__period__ = period

self.__bar_cnt__ = barCnt

self.__code__ = code

self.__is_stk__ = isForStk

def on_init(self, context:Context):

code = self.__code__ #品种代码

if self.__is_stk__:

code = code + "Q"

context.stra_get_bars(code, self.__period__, self.__bar_cnt__, isMain = True)

context.stra_log_text("DualThrust inited")

def on_calculate(self, context:Context):

'''

策略主调函数，所有的计算逻辑都在这里完成<