diff --git a/CTP商品期货多品种海龟交易策略.js b/CTP商品期货多品种海龟交易策略.js index cd5d91b..c322fee 100644 --- a/CTP商品期货多品种海龟交易策略.js +++ b/CTP商品期货多品种海龟交易策略.js @@ -230,10 +230,10 @@ var TTManager = { var amount = Math.min(insDetail.MaxLimitOrderVolume, positions[i].Amount); if (positions[i].Type == PD_LONG || positions[i].Type == PD_LONG_YD) { exchange.SetDirection(positions[i].Type == PD_LONG ? "closebuy_today" : "closebuy"); - orderId = exchange.Sell(depth.Bids[0].Price - (insDetail.PriceTick * SlideTick), Math.min(amount, depth.Bids[0].Amount), obj.symbol, positions[i].Type == PD_LONG ? "平今" : "平昨", 'Bid', depth.Bids[0]); + orderId = exchange.Sell(_N(depth.Bids[0].Price - (insDetail.PriceTick * SlideTick), 2), Math.min(amount, depth.Bids[0].Amount), obj.symbol, positions[i].Type == PD_LONG ? "平今" : "平昨", 'Bid', depth.Bids[0]); } else if (positions[i].Type == PD_SHORT || positions[i].Type == PD_SHORT_YD) { exchange.SetDirection(positions[i].Type == PD_SHORT ? "closesell_today" : "closesell"); - orderId = exchange.Buy(depth.Asks[0].Price + (insDetail.PriceTick * SlideTick), Math.min(amount, depth.Asks[0].Amount), obj.symbol, positions[i].Type == PD_SHORT ? "平今" : "平昨", 'Ask', depth.Asks[0]); + orderId = exchange.Buy(_N(depth.Asks[0].Price + (insDetail.PriceTick * SlideTick), 2), Math.min(amount, depth.Asks[0].Amount), obj.symbol, positions[i].Type == PD_SHORT ? "平今" : "平昨", 'Ask', depth.Asks[0]); } } if (hasPosition) { @@ -332,10 +332,10 @@ var TTManager = { var orderId = null; if (obj.task.action == ACT_LONG) { exchange.SetDirection("buy"); - orderId = exchange.Buy(depth.Asks[0].Price + (insDetail.PriceTick * SlideTick), Math.min(remain, depth.Asks[0].Amount), obj.symbol, 'Ask', depth.Asks[0]); + orderId = exchange.Buy(_N(depth.Asks[0].Price + (insDetail.PriceTick * SlideTick), 2), Math.min(remain, depth.Asks[0].Amount), obj.symbol, 'Ask', depth.Asks[0]); } else { exchange.SetDirection("sell"); - orderId = exchange.Sell(depth.Bids[0].Price - (insDetail.PriceTick * SlideTick), Math.min(remain, depth.Bids[0].Amount), obj.symbol, 'Bid', depth.Bids[0]); + orderId = exchange.Sell(_N(depth.Bids[0].Price - (insDetail.PriceTick * SlideTick), 2), Math.min(remain, depth.Bids[0].Amount), obj.symbol, 'Bid', depth.Bids[0]); } // symbol not in trading or other else happend if (!orderId) { diff --git a/Dual Thrust_双轨突破_策略1.py b/Dual Thrust_双轨突破_策略1.py new file mode 100644 index 0000000..ab59443 --- /dev/null +++ b/Dual Thrust_双轨突破_策略1.py @@ -0,0 +1,200 @@ +''' +策略出处: https://www.botvs.com/strategy/22983 +策略名称: Dual Thrust_双轨突破_策略1 +策略作者: 太极 +策略描述: + +策略越简单越好 + +''' + +#!/usr/local/bin/python +#-*- coding: UTF-8 -*- +Enter_cycle=5 #周期数据 + +Open_price=0 #开盘价平均价 +High_price=0 #最高价平均价 +Low_price=0 #最低价平均价 +Close_price=0 #收盘价平均价 + +N1Open_price=0 #开盘价 +N1High_price=0 #最高价 +N1Low_price=0 #最低价 +N1Close_price=0 #收盘价 + +# import time +# import datetime +# def out_time(x_time): #获取当前时间 前10分钟时间戳 +# #d0=time.strftime("%Y-%m-%d %H:%M:%S",time.localtime(time.time())) +# d1=datetime.datetime.now() +# #d1=time.mktime(time.strptime(d0,'%Y-%m-%d %H:%M:%S')) #转换成时间戳 +# d3 = str(d1 - datetime.timedelta(minutes =x_time)) #days日 hours时 minutes分 seconds秒 +# d4=d3[:len(d3)-7] #清除垃圾数据 +# return time.mktime(time.strptime(d4,'%Y-%m-%d %H:%M:%S')) + +def Volume_averages(Ticker_listxxx,x): #均价 + try: + Volume=0 + if len(Ticker_listxxx)int(timeB2): #收盘时间大于我们设定的时间及为 真 + # Log(colour.Time) + # #收集最高价 收盘 数据 + # High_list.append(colour.High) #最高价平均价 + # Low_list.append(colour.Low) #最低价平均价 + + #采集数据 N个周期 + for i in range(len(ticker)-cycle, len(ticker)): + colour=ticker[i] + # timeA1=str(int(colour.Time)) + # timeA2=timeA1[:len(timeA1)-3] #收盘时间 + # Log(colour) + # Log(timeA2,"xxx",len(ticker),"rrrr",i) + Open_list.append(colour.Open) #开盘价 + High_list.append(colour.High) #最高价 + Low_list.append(colour.Low) #最低价 + Close_list.append(colour.Close) #最低价 + + #上一个周期 最高价 最低价 + for i in range(len(ticker)-1, len(ticker)): + colour=ticker[i] + N1Open_price=colour.Open #开盘价 + N1High_price=colour.High #最高价 + N1Low_price=colour.Low #最低价 + N1Close_price=colour.Close #最低价 + + #计算平均价 + if (len(High_list)>=cycle)and(len(Low_list)>=cycle)and(len(Open_list)>=cycle)and(len(Close_list)>=cycle): + Open_Close=_N(Volume_averages(Open_list,cycle),2) #开盘价平均价 + High_Close=_N(Volume_averages(High_list,cycle),2) #最高价平均价 + Low_Close=_N(Volume_averages(Low_list,cycle),2) #最低价平均价 + Close_Close=_N(Volume_averages(Close_list,cycle),2) #收盘价平均价 + Open_price=Open_Close #开盘价平均价 + High_price=High_Close #最高价平均价 + Low_price=Low_Close #最低价平均价 + Close_price=Close_Close #收盘价平均价 + else: + Open_price=0 #开盘价平均价 + High_price=0 #最高价平均价 + Low_price=0 #最低价平均价 + Close_price=0 #收盘价平均价 + +############################################################### +lose_win={"lose":0,"win":0} #输：lose赢：win + +def print_logxx(): + global lose_win + #lose_win={"lose":35,"win":90} #输：lose赢：win + Log("赢:%s 输:%s"%(str(lose_win["win"]),str(lose_win["lose"]))) + # if (float(lose_win["win"])>0 and float(lose_win["lose"])>0): + # SL="%.2f%%"%((float(lose_win["win"]-lose_win["lose"])/float(lose_win["win"]))*100) + # Log("赢:%s 输:%s=胜:%s"%(str(lose_win["win"]),str(lose_win["lose"]),str(SL))) +############################################################### + +#low_minuN_Close= 0.1 #浮动开仓点 +#high_minuN_Close= 0.3 #浮动平仓点 +#lose_win={"lose":0,"win":0} #输：lose赢：win +def main(): + #global low_minuN_Close,high_minuN_Close + global lose_win + global Open_price,High_price,Low_price,Close_price,N1High_price,N1Low_price,N1Open_price,N1Close_price + #LogProfitReset()# 清空所有收益日志, 可以带一个数字参数, 指定保留的条数 + #LogReset()# 清空所有日志, 可以带一个数字参数, 指定保留的条数 + state = 3 #开仓状态 + open_price=0 #开仓价格 + gains=0 #盈利 + while True: + Record_Open_Close(Enter_cycle) #获取 开盘价 收盘价 平均价 + tickerx = _C(exchange.GetTicker).Last#Ticker 市场行情 最后成交价 + + # Log('高价－收盘价:',High_price-Close_price) + # Log('收盘价－最低价:',Close_price-Low_price) + # Log('最高价，开盘价:',High_price,Open_price) + # Log('收盘价，最低价:',Close_price,Low_price) + # Log('最高价，最低价:',N1High_price,N1Low_price) + if High_price-Close_price>=Close_price-Low_price: #比较值计算2个值的浮动区间 + floating_price=(High_price-Close_price) + else: + floating_price=(Close_price-Low_price) + #不知道如何获取当前开盘价采用上个周期收盘价最为开盘价 + x_high=N1Open_price+(0.5*floating_price) #上轨 + x_low=N1Open_price-(0.5*floating_price) #下轨 + #Log('上轨%s=下轨%s=价格差%s=当前价格%s'%(str(x_high),str(x_low),str(x_high-x_low),str(tickerx))) + + #if (float(tickerx)>=float(x_low-low_minuN_Close) and float(tickerx)<=float(x_low+low_minuN_Close)): #判断行情是否在指定区间内则开仓 + #判断当前行情是否在上轨和下轨中 + #突破上轨则开仓 + #突破下轨则平仓 + if (float(tickerx)<=float(x_high+5) and float(tickerx)>=float(x_low-5)): #判断当前行情是否在上轨和下轨中 + if (state == 3): #空闲状态 + if float(tickerx)>=float(x_high): #突破上轨则开仓 + Log('开仓 上轨%s=下轨%s=价格差%s=当前价格%s'%(str(x_high),str(x_low),str(x_high-x_low),str(tickerx))) + state = 0 #开仓 + if (state == 1): #开仓状态 + if float(tickerx)<=float(x_low): #突破下轨则平仓 + state = 2 #平仓 + + # if float(tickerx)<=float(x_low): #大于等于下轨 则开仓 + # if (state == 3): #空闲状态 + # state = 0 #开仓 + # Log('开仓 上轨%s=下轨%s=价格差%s=当前价格%s'%(str(x_high),str(x_low),str(x_high-x_low),str(tickerx))) + + if (state == 0): #开仓 + if ext.Buy(0.5): + #开仓成功 + open_price = tickerx + state = 1 + + if (state == 2): #平仓 + #if (float(tickerx)>=float(x_high-high_minuN_Close) and float(tickerx)<=float(x_high+high_minuN_Close)): #判断行情是否在指定区间内则平仓 + #if float(tickerx)>=float(x_high): #大于等于上轨道 则平仓 + if ext.Sell(0.5): + #平仓成功 + xx=tickerx-open_price #本次交易 + gains=gains+xx + Log("本次盈利:%s--当前共盈利:%s"%(str(tickerx-open_price),str(gains))) + if float(tickerx-open_price)>=0: + lose_win["win"]=lose_win["win"]+1 #赢：win"胜" + else: + lose_win["lose"]=lose_win["lose"]+1#输：lose"负" + print_logxx() #信息输出 + state = 3 + open_price=0 #开仓价格 + + Sleep(1* 1000) + + + + + + + + + diff --git a/Python 机器学习之 SVM 预测买卖.py b/Python 机器学习之 SVM 预测买卖.py index 3b15e95..f620771 100644 --- a/Python 机器学习之 SVM 预测买卖.py +++ b/Python 机器学习之 SVM 预测买卖.py @@ -11,6 +11,10 @@ numpy pandas TA-Lib scipy statsmodels sklearn cvxopt hmmlearn pykalman arch matp 实盘需要在托管者所在机器安装策略需要的库 + +参数 默认值 描述 +--------- ----- ---- +SpreadVal 2 预测价差 ''' from sklearn import svm @@ -22,7 +26,6 @@ def main(): success = 0 predict = None pTime = None - spread = 2 marketPosition = 0 initAccount = exchange.GetAccount() Log("Running...") @@ -35,9 +38,9 @@ def main(): preTime = bar.Time if pTime is not None and r[len(r)-2].Time == pTime: diff = r[len(r)-2].Close - r[len(r)-3].Close - if diff > spread: + if diff > SpreadVal: success += 1 if predict == 0 else 0 - elif diff < -spread: + elif diff < -SpreadVal: success += 1 if predict == 1 else 0 else: success += 1 if predict == 2 else 0 @@ -52,10 +55,10 @@ def main(): inputs_X.append([r[i].Open, r[i].Close]) Y = 0 diff = r[i+1].Close - r[i].Close - if diff > spread: + if diff > SpreadVal: Y = 0 sets[0] = True - elif diff < -spread: + elif diff < -SpreadVal: Y = 1 sets[1] = True else: diff --git a/README.md b/README.md index 6f999ca..5bad8cf 100644 --- a/README.md +++ b/README.md @@ -4,6 +4,8 @@ > 开源策略列表 + - [CTP商品期货多品种海龟交易策略](https://www.botvs.com/strategy/17289) + - [Dual Thrust_双轨突破_策略1](https://www.botvs.com/strategy/22983) - [Python 机器学习之 SVM 预测买卖](https://www.botvs.com/strategy/21370) - [顺势_高频_交易_测试3](https://www.botvs.com/strategy/22183) - [Python API 测试](https://www.botvs.com/strategy/21365) @@ -11,7 +13,6 @@ - [python版现货数字货币交易类库](https://www.botvs.com/strategy/21104) - [顺势_高频_交易_测试2——失败](https://www.botvs.com/strategy/21938) - [顺势_高频_交易_测试1](https://www.botvs.com/strategy/21742) - - [CTP商品期货多品种海龟交易策略](https://www.botvs.com/strategy/17289) - [各大平台API可用率统计](https://www.botvs.com/strategy/4404) - [Dual Thrust 商品期货](https://www.botvs.com/strategy/13011) - [均线-趋势_数字货币策略V0.2](https://www.botvs.com/strategy/21369)