策略源码
"""关注公众号: Ctp接口量化"""from _ctp import *class MACDStrategy(Strategy):def __init__(self):super().__init__()self.symbol_lsit = ["m2105","ni2104","rb2105","ag2106","IF2103","IC2103","i2105","j2105"] #订阅合约self.bar_time = BarType.Min #订阅K线周期 秒级 BarType.Time3 Time5 Time15 Time30 分钟级 BarType.Min、 Min3 、 Min5 、 Min15 、 Min30 、 Min60self.volume = {"m2105":{"总持仓":3,"止损":0,"止盈":0,"移动止损":0},"ni2104":{"总持仓":1,"止损":0,"止盈":0,"移动止损":0},"rb2105":{"总持仓":5,"止损":0,"止盈":0,"移动止损":0},"ag2106":{"总持仓":2,"止损":0,"止盈":0,"移动止损":0},"IF2103":{"总持仓":1,"止损":0,"止盈":0,"移动止损":0},"IC2103":{"总持仓":1,"止损":0,"止盈":0,"移动止损":0},"i2105":{"总持仓":5,"止损":0,"止盈":0,"移动止损":0},"j2105":{"总持仓":2,"止损":0,"止盈":0,"移动止损":0}} #下单手数def on_trade(self, trade):print(trade)# def on_tick(self, tick=None):# print(tick.InstrumentID,tick.LastPrice) 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# print(Bar[0]["symbol"]) #合约kline = Bar[0]["data"] # K 线数据# if len(kline) <= 35: # 小于35 条 退出 # return # K,D,J = self.KDJ(kline) # 取KDJ指标数组# UP,MB,DN = self.BOLL(kline) # 取BOLL指标数组# EMA = self.EMA(kline,60) # 取EMA指标数组# RSI = self.RSI(kline) # 取RSI指标数组# MA1 = self.MA(kline,30) # 取MA指标数组# MA2 = self.MA(kline,60) # 取MA指标数组dif,dea,macd = self.MACD(kline) # 取MACD指标数组close,High,low = self.tick(kline)# 取收盘价数组 # 获取最新价格（卖价）# print(self.Get_Position(symbol))# 返回多条持仓Position = self.GetPosition(symbol)# 返回一条持仓# print(Position)# print(self.GetData(symbol)) # 获取k历史数据# # 开多单if Position["方向"]=="None" and dif[-1]>dea[-1] and dif[-2] < dea[-2] and dea[-1] > 0:print("MACD策略开多")self.send(symbol, DirectionType.Buy, OffsetType.Open, Ask, self.volume[symbol]["总持仓"], OrderType.Limit) # # OrderType.FOK """全部完成，否则撤销""" OrderType.FAK """部分成交，剩余撤销""" OrderType.Market 市价 OrderType.Limit 限价self.volume[symbol]["移动止损"] = low[-5]self.volume[symbol]["止损"] = low[-5]self.volume[symbol]["止盈"] = Ask + (Ask-low[-5])*3# # # 开空单if Position["方向"]=="None" and dif[-1]<dea[-1] and dif[-2] > dea[-2] and dea[-1] < 0:print("MACD策略开空")self.send(symbol, DirectionType.Sell, OffsetType.Open, Bid, self.volume[symbol]["总持仓"], OrderType.Limit) # # OffsetType.Open 开仓， OffsetType.Close 平仓， OffsetType.CloseToday 平今 ， OffsetType.CloseYesterday 平昨self.volume[symbol]["移动止损"] = High[-5]self.volume[symbol]["止损"] = High[-5]self.volume[symbol]["止盈"] = Bid - (High[-5]-Bid)*3 # # # 平多单if Position["方向"]=='Long' and LastPrice <= Position["移动止损"] and Position["移动止损"] != 0 or Position["方向"]=="Long" and dif[-1]<dea[-1] and dif[-2] > dea[-2] or Position["方向"]=="Long" and self.volume[symbol]["止损"] !=0 and LastPrice <= self.volume[symbol]["止损"] or Position["方向"]=="Long" and self.volume[symbol]["止损"] !=0 and LastPrice >= self.volume[symbol]["止盈"]:self.send(symbol, DirectionType.Sell, OffsetType.Close, Bid, Position["总持仓"], OrderType.Limit) # OffsetType.Close 已优化 适应 上期所 平今 平昨 的区别 self.volume[symbol]["止损"] = 0self.volume[symbol]["止盈"] = 0self.volume[symbol]["移动止损"] = 0 # # # 平空单 if Position["方向"]=='Long' and LastPrice >= Position["移动止损"] and Position["移动止损"] != 0 or Position["方向"]=="Short" and dif[-1]>dea[-1] and dif[-2] < dea[-2] or Position["方向"]=="Short" and self.volume[symbol]["止损"] !=0 and LastPrice >= self.volume[symbol]["止损"] or Position["方向"]=="Short" and self.volume[symbol]["止损"] !=0 and LastPrice <= self.volume[symbol]["止盈"]:self.send(symbol, DirectionType.Buy, OffsetType.Close, Ask, Position["总持仓"], OrderType.Limit)self.volume[symbol]["止损"] = 0self.volume[symbol]["止盈"] = 0 self.volume[symbol]["移动止损"] = 0 # # 多单 修改移动止损价if Position["方向"]=='Long' and (LastPrice - self.volume[symbol]["移动止损"]) > (Position["开仓价"] - self.volume[symbol]["止损"]):self.volume[symbol]["移动止损"] = LastPrice - (Position["开仓价"] - self.volume[symbol]["止损"])# # 空单 修改移动止损价if Position["方向"]=='Short' and (self.volume[symbol]["移动止损"] - LastPrice) > (self.volume[symbol]["止损"] - Position["开仓价"]):self.volume[symbol]["移动止损"] = LastPrice + (self.volume[symbol]["止损"] - Position["开仓价"])if __name__ == '__main__':# 配置 = {'经纪商代码':'9999', '用户名':'123456', '密码':'******', '产品名称':'simnow_client_test', '授权编码':'0000000000000000', '产品信息':'python dll', '交易服务器':'tcp://180.168.146.187:10130', '行情服务器':'tcp://180.168.146.187:10131'}配置 = {'经纪商代码':'9999', '用户名':'123456', '密码':'******', '产品名称':'simnow_client_test', '授权编码':'0000000000000000', '产品信息':'python dll', '交易服务器':'tcp://180.168.146.187:10101', '行情服务器':'tcp://180.168.146.187:10111'}登陆 = CTP(MACDStrategy())登陆.Login(配置)
