ctpbee里面实现的指标库, 能让你快速实现指标的计算和拿到值
from indicator.interface import Indicator
from ctpbee import LooperApi, Vessel
class SmaStrategy(LooperApi):
def __init__(self, name):
super().__init__(name)
self.count = 1
self.pos = 0
self.info = Indicator() # 3分钟bar线
self.info.open_json('indicator/json/zn1912.SHFE.json') # 读取本地数据
def on_bar(self, bar):
info = self.info
# opens是否要保存数据(默认false不保存)
info.add_bar(bar)
close_price = info.close
# 简单移动平均 默认 15
sma = info.sma()
# 加权移动平均 默认30
wma = info.wma()
# 指数移动平均 默认12
ema = info.ema()
# 随机指标 默认参数 14, 3
k, d = info.kd()
# 相对强度指数 默认 14, 1
rsi = info.rsi()
# 异同移动平均线 默认 12, 20, 9
macd, signal, histo = info.macd()
# 威廉指标 默认 14
wr = info.wr()
# 布林带 默认 20 2
t, m, b = info.boll()
# 默认 10, 15
smma = info.smma()
# 真实平均范围 默认 14
atr = info.atr()
# 标准偏差 默认 20
stdDev = info.stdDev()
# 三重指数平滑移动平均 默认 15, 1
trix = info.trix()
# 变化率 默认 12
roc = info.roc()
# 动量指标 默认 12
mtm = info.mtm()
# 三式移动平均 默认 25
tema = info.tema()
# 顺势指标 cci 默认 20
cci = info.cci()
# 抛物线指标 sar 默认 2, 0.02, 0.20
sar = info.sar()
if close_price[-1] > sma[-1]:
print("True")
pass
else:
print("False")
pass例子一
import json
from datetime import datetime, date
from ctpbee import LooperApi, Vessel
from ctpbee.constant import Direction
from indicator.interface import Indicator
def get_data(start, end, symbol, exchange, level):
""" using rqdatac to make an example """
# import rqdatac as rq
# from rqdatac import get_price, id_convert
# username = "license"
# password = "NK-Ci7vnLsRiPPWYwxvvPYdYM90vxN60qUB5tVac2mQuvZ8f9Mq8K_nnUqVspOpi4BLTkSLgq8OQFpOOj7L" \
# "t7AbdBZEBqRK74fIJH5vsaAfFQgl-tuB8l03axrW8cyN6-nBUho_6Y5VCRI63Mx_PN54nsQOpc1psIGEz" \
# "gND8c6Y=bqMVlABkpSlrDNk4DgG-1QXNknJtk0Kkw2axvFDa0E_XPMqOcBxifuRa_DFI2svseXU-8A" \
# "eLjchnTkeuvQkKh6nrfehVDiXjoMeq5sXgqpbgFAd4A5j2B1a0gpE3cb5kXb42n13fGwFaGris" \
# "8-eKzz_jncvuAamkJEQQV0aLdiw="
# host = "rqdatad-pro.ricequant.com"
# port = 16011
# rq.init(username, password, (host, port))
# symbol_rq = id_convert(symbol)
# data = get_price(symbol_rq, start_date=start, end_date=end, frequency=level, fields=None,
# adjust_type='pre', skip_suspended=False, market='cn', expect_df=False)
# origin = data.to_dict(orient='records')
# result = []
# for x in origin:
# do = {}
# do['open_price'] = x['open']
# do['low_price'] = x['low']
# do['high_price'] = x['high']
# do['close_price'] = x['close']
# do['datetime'] = datetime.strptime(str(x['trading_date']), "%Y-%m-%d %H:%M:%S")
# do['symbol'] = symbol
# do['local_symbol'] = symbol + "." + exchange
# do['exchange'] = exchange
# result.append(do)
# return result
def get_a_strategy():
class SmaStrategy(LooperApi):
def __init__(self, name):
super().__init__(name)
self.count = 1
self.pos = 0
self.bar_3 = Indicator() # 3分钟bar线
self.bar_3.open_json('indicator/json/zn1912.SHFE.json') # 读取本地数据
self.allow_max_price = 5000 # 设置价格上限 当价格达到这个就卖出 防止突然跌
self.allow_low_price = 2000 # 设置价格下限 当价格低出这里就卖 防止巨亏
def on_bar(self, bar):
# todo: 收盘连长
""" """
self.bar_3.add_bar(bar)
close = self.bar_3.close
if self.allow_max_price < close[-1] and self.pos > 0:
self.action.sell(bar.close_price, self.pos, bar)
if self.allow_low_price > close[-1] and self.pos > 0:
self.action.sell(bar.close_price, self.pos, bar)
# 接连三天涨
if close[-1] > close[-2] > close[-3]:
# 没有就买
if self.pos == 0:
self.action.buy(bar.close_price, 1, bar)
def on_trade(self, trade):
if trade.direction == Direction.LONG:
self.pos += trade.volume
else:
self.pos -= trade.volume
def init_params(self, data):
""""""
# print("我在设置策略参数")
return SmaStrategy("double_ma")
def save_data_json(data):
result = {"result": data}
class CJsonEncoder(json.JSONEncoder):
def default(self, obj):
if isinstance(obj, datetime):
return obj.strftime('%Y-%m-%d %H:%M:%S')
elif isinstance(obj, date):
return obj.strftime('%Y-%m-%d')
else:
return json.JSONEncoder.default(self, obj)
with open("data.json", "w") as f:
json.dump(result, f, cls=CJsonEncoder)
def load_data():
with open("data.json", "r") as f:
data = json.load(f)
return data.get("result")
def run_main(data):
vessel = Vessel()
vessel.add_data(data)
stra = get_a_strategy()
vessel.add_strategy(stra)
vessel.set_params({"looper":
{"initial_capital": 100000,
"commission": 0.005,
"deal_pattern": "price",
"size_map": {"ag1912.SHFE": 15},
"today_commission": 0.005,
"yesterday_commission": 0.02,
"close_commission": 0.005,
"slippage_sell": 0,
"slippage_cover": 0,
"slippage_buy": 0,
"slippage_short": 0,
"close_pattern": "yesterday",
},
"strategy": {}
})
vessel.run()
from pprint import pprint
result = vessel.get_result()
pprint(result)
if __name__ == '__main__':
data = load_data()
for x in data:
x['datetime'] = datetime.strptime(str(x['datetime']), "%Y-%m-%d %H:%M:%S")
run_main(data)例子二
import json
from datetime import datetime, date
from ctpbee import LooperApi, Vessel
from ctpbee.constant import Direction
from indicator.interface import Indicator
def get_data(start, end, symbol, exchange, level):
""" using rqdatac to make an example """
# import rqdatac as rq
# from rqdatac import get_price, id_convert
# username = "license"
# password = "NK-Ci7vnLsRiPPWYwxvvPYdYM90vxN60qUB5tVac2mQuvZ8f9Mq8K_nnUqVspOpi4BLTkSLgq8OQFpOOj7L" \
# "t7AbdBZEBqRK74fIJH5vsaAfFQgl-tuB8l03axrW8cyN6-nBUho_6Y5VCRI63Mx_PN54nsQOpc1psIGEz" \
# "gND8c6Y=bqMVlABkpSlrDNk4DgG-1QXNknJtk0Kkw2axvFDa0E_XPMqOcBxifuRa_DFI2svseXU-8A" \
# "eLjchnTkeuvQkKh6nrfehVDiXjoMeq5sXgqpbgFAd4A5j2B1a0gpE3cb5kXb42n13fGwFaGris" \
# "8-eKzz_jncvuAamkJEQQV0aLdiw="
# host = "rqdatad-pro.ricequant.com"
# port = 16011
# rq.init(username, password, (host, port))
# symbol_rq = id_convert(symbol)
# data = get_price(symbol_rq, start_date=start, end_date=end, frequency=level, fields=None,
# adjust_type='pre', skip_suspended=False, market='cn', expect_df=False)
# origin = data.to_dict(orient='records')
# result = []
# for x in origin:
# do = {}
# do['open_price'] = x['open']
# do['low_price'] = x['low']
# do['high_price'] = x['high']
# do['close_price'] = x['close']
# do['datetime'] = datetime.strptime(str(x['trading_date']), "%Y-%m-%d %H:%M:%S")
# do['symbol'] = symbol
# do['local_symbol'] = symbol + "." + exchange
# do['exchange'] = exchange
# result.append(do)
# return result
def get_a_strategy():
class SmaStrategy(LooperApi):
def __init__(self, name):
super().__init__(name)
self.count = 1
self.pos = 0
self.bar_3 = Indicator() # 3分钟线
self.allow_max_price = 5000 # 设置价格上限 当价格达到这个就卖出 防止突然跌
self.allow_low_price = 4100 # 设置价格下限 当价格低出这里就卖 防止巨亏
self.bar_3.open_json('indicator/json/zn1912.SHFE.json')
# self.bar_3.open_csv('indicator/txt/orcl-2014.txt')
def on_bar(self, bar):
# todo: 简单移动平均线
""" """
self.bar_3.add_bar(bar)
close = self.bar_3.close
# 简单移动平均线
sma = self.bar_3.sma()
if self.allow_max_price <= close[-1] and self.pos > 0:
self.action.sell(bar.close_price, self.pos, bar)
if self.allow_low_price >= close[-1] and self.pos > 0:
self.action.sell(bar.close_price, self.pos, bar)
# 接连两天涨 买进
if close[-1] > sma[-1] and close[-2] > sma[-2]:
if self.pos == 0:
self.action.buy(bar.close_price, 1, bar)
elif self.pos < 0:
self.action.cover(bar.close_price, 1, bar)
self.action.buy(bar.close_price, 1, bar)
# 接连跌就卖
if close[-1] < sma[-1] and close[-2] < sma[-2]:
if self.pos == 0:
pass
elif self.pos > 0:
self.action.sell(bar.close_price, 1, bar)
self.action.short(bar.close_price, 1, bar)
def on_trade(self, trade):
if trade.direction == Direction.LONG:
self.pos += trade.volume
else:
self.pos -= trade.volume
def init_params(self, data):
""""""
# print("我在设置策略参数")
return SmaStrategy("double_ma")
def save_data_json(data):
result = {"result": data}
class CJsonEncoder(json.JSONEncoder):
def default(self, obj):
if isinstance(obj, datetime):
return obj.strftime('%Y-%m-%d %H:%M:%S')
elif isinstance(obj, date):
return obj.strftime('%Y-%m-%d')
else:
return json.JSONEncoder.default(self, obj)
with open("data.json", "w") as f:
json.dump(result, f, cls=CJsonEncoder)
def load_data():
with open("data.json", "r") as f:
data = json.load(f)
return data.get("result")
def run_main(data):
vessel = Vessel()
vessel.add_data(data)
stra = get_a_strategy()
vessel.add_strategy(stra)
vessel.set_params({"looper":
{"initial_capital": 100000,
"commission": 0.005,
"deal_pattern": "price",
"size_map": {"ag1912.SHFE": 15},
"today_commission": 0.005,
"yesterday_commission": 0.02,
"close_commission": 0.005,
"slippage_sell": 0,
"slippage_cover": 0,
"slippage_buy": 0,
"slippage_short": 0,
"close_pattern": "yesterday",
},
"strategy": {}
})
vessel.run()
from pprint import pprint
result = vessel.get_result()
pprint(result)
if __name__ == '__main__':
data = load_data()
for x in data:
x['datetime'] = datetime.strptime(str(x['datetime']), "%Y-%m-%d %H:%M:%S")
run_main(data)列子三
import json
from datetime import datetime, date
from ctpbee import LooperApi, Vessel
from ctpbee.constant import Direction
from indicator.interface import Indicator
def get_data(start, end, symbol, exchange, level):
""" using rqdatac to make an example """
# import rqdatac as rq
# from rqdatac import get_price, id_convert
# username = "license"
# password = "NK-Ci7vnLsRiPPWYwxvvPYdYM90vxN60qUB5tVac2mQuvZ8f9Mq8K_nnUqVspOpi4BLTkSLgq8OQFpOOj7L" \
# "t7AbdBZEBqRK74fIJH5vsaAfFQgl-tuB8l03axrW8cyN6-nBUho_6Y5VCRI63Mx_PN54nsQOpc1psIGEz" \
# "gND8c6Y=bqMVlABkpSlrDNk4DgG-1QXNknJtk0Kkw2axvFDa0E_XPMqOcBxifuRa_DFI2svseXU-8A" \
# "eLjchnTkeuvQkKh6nrfehVDiXjoMeq5sXgqpbgFAd4A5j2B1a0gpE3cb5kXb42n13fGwFaGris" \
# "8-eKzz_jncvuAamkJEQQV0aLdiw="
# host = "rqdatad-pro.ricequant.com"
# port = 16011
# rq.init(username, password, (host, port))
# symbol_rq = id_convert(symbol)
# data = get_price(symbol_rq, start_date=start, end_date=end, frequency=level, fields=None,
# adjust_type='pre', skip_suspended=False, market='cn', expect_df=False)
# origin = data.to_dict(orient='records')
# result = []
# for x in origin:
# do = {}
# do['open_price'] = x['open']
# do['low_price'] = x['low']
# do['high_price'] = x['high']
# do['close_price'] = x['close']
# do['datetime'] = datetime.strptime(str(x['trading_date']), "%Y-%m-%d %H:%M:%S")
# do['symbol'] = symbol
# do['local_symbol'] = symbol + "." + exchange
# do['exchange'] = exchange
# result.append(do)
# return result
def get_a_strategy():
class SmaStrategy(LooperApi):
def __init__(self, name):
super().__init__(name)
self.count = 1
self.pos = 0
self.bar_3 = Indicator() # 3分钟线
self.allow_max_price = 5000 # 设置价格上限 当价格达到这个就卖出 防止突然跌
self.allow_low_price = 4100 # 设置价格下限 当价格低出这里就卖 防止巨亏
self.bar_3.open_json('indicator/json/zn1912.SHFE.json')
# self.bar_3.open_csv('indicator/txt/orcl-2014.txt')
def on_bar(self, bar):
# todo: 简单异同移动平均 macd
""" """
self.bar_3.add_bar(bar)
close = self.bar_3.close
# 简单异同移动平均 macd
macd, signal, histo = self.bar_3.macd()
if self.allow_max_price <= close[-1] and self.pos > 0:
self.action.sell(bar.close_price, self.pos, bar)
if self.allow_low_price >= close[-1] and self.pos > 0:
self.action.sell(bar.close_price, self.pos, bar)
if histo[-1] > 0:
if self.pos == 0:
self.action.buy(bar.close_price, 1, bar)
else:
if self.pos > 0:
self.action.sell(bar.close_price, 1, bar)
self.action.short(bar.close_price, 1, bar)
def on_trade(self, trade):
if trade.direction == Direction.LONG:
self.pos += trade.volume
else:
self.pos -= trade.volume
def init_params(self, data):
""""""
# print("我在设置策略参数")
return SmaStrategy("double_ma")
def save_data_json(data):
result = {"result": data}
class CJsonEncoder(json.JSONEncoder):
def default(self, obj):
if isinstance(obj, datetime):
return obj.strftime('%Y-%m-%d %H:%M:%S')
elif isinstance(obj, date):
return obj.strftime('%Y-%m-%d')
else:
return json.JSONEncoder.default(self, obj)
with open("data.json", "w") as f:
json.dump(result, f, cls=CJsonEncoder)
def load_data():
with open("data.json", "r") as f:
data = json.load(f)
return data.get("result")
def run_main(data):
vessel = Vessel()
vessel.add_data(data)
stra = get_a_strategy()
vessel.add_strategy(stra)
vessel.set_params({"looper":
{"initial_capital": 100000,
"commission": 0.005,
"deal_pattern": "price",
"size_map": {"ag1912.SHFE": 15},
"today_commission": 0.005,
"yesterday_commission": 0.02,
"close_commission": 0.005,
"slippage_sell": 0,
"slippage_cover": 0,
"slippage_buy": 0,
"slippage_short": 0,
"close_pattern": "yesterday",
},
"strategy": {}
})
vessel.run()
from pprint import pprint
result = vessel.get_result()
pprint(result)
if __name__ == '__main__':
data = load_data()
for x in data:
x['datetime'] = datetime.strptime(str(x['datetime']), "%Y-%m-%d %H:%M:%S")
run_main(data)