#砖型图数据用画图工具显示出来的效果
#CTP接口接收行情后合成的数据源
#自动化交易策略源码
from CTP import *
class 砖型图策略(Strategy):
def __init__(self):
super().__init__()
self.symbol_lsit = ["IC2212","au2302","i2301","ni2301","IF2212"] #订阅合约
# self.symbol_lsit = ["ni2301"] #订阅合约
self.Renko_Tick = 10 #砖型幅度 合约最小变动价倍数
self.StrategyType = StrategyType.Renko #策略类型 StrategyType.Renko StrategyType.Bar StrategyType.Tick
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
Pos = self.Get_Position(symbol) # 获取全部持仓
#print(Pos)
kline = Bar[0]["data"] # K 线数据
if len(kline) < 2: # 小于2条 退出
return
print(symbol,kline[-1])
if Pos["Direction"]=="None" and kline[-1]["Renko"]=="▲" and kline[-2]["Renko"]=="▲": # 如果是空仓 连续两个上涨砖就开多单
self.send(symbol, DirectionType.Buy, OffsetType.Open, Ask, 3, OrderType.Limit) #开多 # # OrderType.FOK OrderType.FAK OrderType.Market
if Pos["Direction"]=="None" and kline[-1]["Renko"]=="▽" and kline[-2]["Renko"]=="▽": # 如果是空仓 连续两个下跌砖就开空单
self.send(symbol, DirectionType.Sell, OffsetType.Open, Bid, 3, OrderType.Limit) # 开空
if Pos["Direction"]=='Long' and kline[-1]["Renko"]=="▽" and kline[-2]["Renko"]=="▲": # 如果有多单 最新砖下跌 上一砖是上涨 平多单开空单
print("砖型图策略平多单")
if Pos["ExchangeID"]=='SHFE' and Pos["Volume"]==Pos["yd_amount"]: # 如果是上期所 且是昨仓 用平昨 平多单
self.send(symbol, DirectionType.Sell, OffsetType.CloseYesterday, Bid, Pos['Volume'], OrderType.Limit) #用平昨
self.send(symbol, DirectionType.Sell, OffsetType.Open, Bid, 3, OrderType.Limit) #开空
elif Pos["ExchangeID"]=='SHFE' and Pos["Volume"]==Pos["td_amount"]: # 如果是上期所 且是今仓 用平今 平多单
self.send(symbol, DirectionType.Sell, OffsetType.CloseToday, Bid, Pos['Volume'], OrderType.Limit) 用平今
self.send(symbol, DirectionType.Sell, OffsetType.Open, Bid, 3, OrderType.Limit) #开空
else:
self.send(symbol, DirectionType.Sell, OffsetType.Close, Bid, Pos['Volume'], OrderType.Limit) #用普通平仓
self.send(symbol, DirectionType.Sell, OffsetType.Open, Bid, 3, OrderType.Limit) #开空
if Pos["Direction"]=='Short' and kline[-1]["Renko"]=="▲" and kline[-2]["Renko"]=="▽": # 如果有空单 最新砖上涨 上一砖是下跌 平空单开多单
print("砖型图策略平空单")
if Pos["ExchangeID"]=='SHFE' and Pos["Volume"]==Pos["yd_amount"]: # 如果是上期所 且是昨仓 用平昨 平空单
self.send(symbol, DirectionType.Buy, OffsetType.CloseYesterday, Ask, Pos['Volume'], OrderType.Limit) #用平昨
self.send(symbol, DirectionType.Buy, OffsetType.Open, Ask, 3, OrderType.Limit) #开多
elif Pos["ExchangeID"]=='SHFE' and Pos["Volume"]==Pos["td_amount"]: # 如果是上期所 且是今仓 用平今 平空单
self.send(symbol, DirectionType.Buy, OffsetType.CloseToday, Ask, Pos['Volume'], OrderType.Limit) #用平今
self.send(symbol, DirectionType.Buy, OffsetType.Open, Ask, 3, OrderType.Limit) #开多
else:
self.send(symbol, DirectionType.Buy, OffsetType.Close, Ask, Pos['Volume'], OrderType.Limit) #用普通平仓
self.send(symbol, DirectionType.Buy, OffsetType.Open, Ask, 3, OrderType.Limit) #开多
Config = {'brokerid':'9999', 'userid':'123456', 'password':'*******', 'appid':'simnow_client_test', 'auth_code':'0000000000000000', 'product_info':'python dll', 'td_address':'tcp://180.168.146.187:10130', 'md_address':'tcp://180.168.146.187:10131'}
if __name__ == '__main__':
t = CtpGateway()
t.add_Strategy(砖型图策略())
t.add_Config(Config)
t.Start()