mirror of
https://github.com/xavierchuan/FX-ML-Trading-Engine.git
synced 2026-07-27 18:17:44 +00:00
xiaochuan
122 lines
3.6 KiB
Python
122 lines
3.6 KiB
Python
from abc import ABC, abstractmethod
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from typing import Dict, List, Optional, Any
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from datetime import datetime
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import pandas as pd
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from ..data.base import MarketDataEvent
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class Position:
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"""持仓类，表示当前市场头寸"""
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def __init__(
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self,
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instrument: str,
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direction: str, # "LONG" or "SHORT"
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size: float,
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entry_price: float,
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entry_time: datetime,
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stop_loss: Optional[float] = None,
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take_profit: Optional[float] = None
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):
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self.instrument = instrument
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self.direction = direction
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self.size = size
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self.entry_price = entry_price
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self.entry_time = entry_time
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self.stop_loss = stop_loss
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self.take_profit = take_profit
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self.unrealized_pnl = 0.0
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self.realized_pnl = 0.0
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class SignalEvent:
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"""交易信号事件"""
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def __init__(
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self,
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instrument: str,
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timestamp: datetime,
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signal_type: str, # "LONG", "SHORT", "EXIT"
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direction: str,
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strength: float = 1.0,
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stop_loss: Optional[float] = None,
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take_profit: Optional[float] = None
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):
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self.event_type = "SIGNAL"
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self.instrument = instrument
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self.timestamp = timestamp
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self.signal_type = signal_type
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self.direction = direction
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self.strength = strength
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self.stop_loss = stop_loss
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self.take_profit = take_profit
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class Strategy(ABC):
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"""
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策略基类
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定义了策略开发的标准接口
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"""
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def __init__(
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self,
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instrument: str,
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position_size: float = 1.0,
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max_positions: int = 1
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):
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self.instrument = instrument
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self.position_size = position_size
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self.max_positions = max_positions
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self.positions: List[Position] = []
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self.historical_data: Optional[pd.DataFrame] = None
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@abstractmethod
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async def on_data(self, event: MarketDataEvent) -> Optional[SignalEvent]:
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"""
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处理市场数据更新
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Args:
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event: 市场数据事件
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Returns:
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如果产生交易信号，返回SignalEvent；否则返回None
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"""
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pass
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@abstractmethod
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async def calculate_signals(self, data: pd.DataFrame) -> List[SignalEvent]:
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"""
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基于历史数据计算交易信号
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Args:
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data: 历史市场数据
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Returns:
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交易信号列表
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"""
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pass
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def update_position(self, position: Position, current_price: float) -> None:
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"""
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更新持仓的未实现盈亏
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Args:
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position: 需要更新的持仓
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current_price: 当前市场价格
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"""
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if position.direction == "LONG":
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position.unrealized_pnl = (current_price - position.entry_price) * position.size
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else:
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position.unrealized_pnl = (position.entry_price - current_price) * position.size
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def can_open_position(self) -> bool:
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"""检查是否可以开新仓位"""
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return len(self.positions) < self.max_positions
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def get_position_value(self) -> float:
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"""获取当前持仓的总价值"""
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return sum(abs(pos.unrealized_pnl) for pos in self.positions)
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def get_total_pnl(self) -> float:
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"""获取总盈亏（已实现 + 未实现）"""
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unrealized = sum(pos.unrealized_pnl for pos in self.positions)
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realized = sum(pos.realized_pnl for pos in self.positions)
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return realized + unrealized |