一款开源的策略开发平台.为用户提供方便易用的策略开发工具.
- 策略编写
- 提供常用指标
- 采用HLOC调用K线数据
- 历史数据
- 提供每日数据
- 提供实时数据分钟级服务
https://www.ta-lib.org/function.html
docker build -t haifengat/hfpy:`date +%Y%m%d` . && docker push haifengat/hfpy:`date +%Y%m%d`
docker tag haifengat/hfpy:`date +%Y%m%d` haifengat/hfpy && docker push haifengat/hfpy- strategy_names
- 策略名列表，用","分隔
- 对应的strategies目录下同名策略文件
- single_order_one_bar
- 是否K线只发一个委托,默认 True
- pg_min
- postgresql://postgres:123456@hf_pg:5432/postgres?sslmode=disable
- 分钟数据库
- pg_order
- postgresql://postgres:123456@pg_order:5432/postgres?sslmode=disable
- 策略信号数据库
- redis_addr
- ip:port
- 实时分钟数据库 [md.{instrument}] 读取
- 实时order [order.{stra_name}.{stra_id}] 写入
version: "3.7"
services:
hf_py:
image: haifengat/hfpy
container_name: hf_py
restart: always
environment:
- TZ=Asia/Shanghai
- strategy_names="SMACross"
# 当日分钟与实时分钟
- redis_addr="172.19.129.98:16379"
# 分钟数据,没配置zmq时使用
- pg_min=postgresql://postgres:12345@hf_py_pg:5432/postgres
# 策略信号入库使用
- pg_order=postgresql://postgres:12345@hf_py_pg:5432/postgres
volumes:
# 个人策略文件夹
- ./strategies:/hfpy/strategiesjs = json.dumps({
'Direction': str(order.Direction).split('.')[1],
'Offset': str(order.Offset).split('.')[1],
'Price': round(order.Price, 4),
'Volume': order.Volume
})
sql = f"""INSERT INTO public.strategy_sign
(tradingday, order_time, instrument, "period", strategy_id, strategy_group, sign, remark, insert_time)
VALUES('{data.Bars[-1].Tradingday}', '{stra.D[-1]}', '{data.Instrument}', {data.Interval}, '{stra.ID}', '{type(stra).__name__}', '{js}', '', now())"""js = json.dumps({
'Instrument': order.Instrument,
'Direction': str(order.Direction).split('.')[1],
'Offset': str(order.Offset).split('.')[1],
'Price': round(order.Price, 4),
'Volume': order.Volume,
"ID": stra.ID * 1000 + len(stra.Orders) + 1
})
self.cfg.rds.publish(f'order.{type(stra).__name__}', js)因报告使用了pandas所以被注释掉了，如需要则可以自行安装pandas并注释掉atp.py的5行和252行。
- 与策略文件名同名的.yml文件
- 配置参数组
- 必须有ID标识(int)
---
-
# ID用于区分不同策略实例的委托不可重复
"ID": 901
# 回测开始日期
"BeginDate": 20200101
# 可通过增加Data实现多合约多周期引用
"Datas":
-
# 合约/周期/周期数
"Instrument": "ag2012"
"IntervalType": "Minute"
"Interval": 5
"Params":
# 突破轨道的长度
"LENGTH1": 46
"OPENPARAM": 0.54策略文件名与类名、配置文件名要一致(区分大小写)
#!/usr/bin/env python
# -*- coding: utf-8 -*-
"""
__title__ = ''
__author__ = 'HaiFeng'
__mtime__ = '2016/8/16'
"""
# import talib._ta_lib as talib
from hfpy.data import Data
from hfpy.bar import Bar
from hfpy.strategy import Strategy
import numpy as np
import talib as ta
class SMACross(Strategy):
def __init__(self, jsonfile):
super().__init__(jsonfile)
self.p_ma1 = self.Params['MA1']
self.p_ma2 = self.Params['MA2']
self.p_lots = self.Params['Lots']
def OnBarUpdate(self, data=Data, bar=Bar):
if len(self.C) < self.p_ma2:
return
# if len(data.Instrument) > 0:
# print(f'{data.Tick.Instrument},{data.Tick.Volume}')
# print('{0}-{1}'.format(self.D[-1], self.C[-1]))
ma1 = ta.SMA(np.array(self.C, dtype=float), self.p_ma1)
ma2 = ta.SMA(np.array(self.C, dtype=float), self.p_ma2)
self.IndexDict['ma5'] = ma1
self.IndexDict['ma10'] = ma2
if len(ma2) < 2 or len(ma1) < 2:
return
if self.PositionLong == 0:
if ma1[-1] >= ma2[-1] and ma1[-2] < ma2[-2]:
if self.PositionShort > 0:
self.BuyToCover(self.O[-1], self.p_lots, '买平')
self.Buy(self.O[-1], self.p_lots, '买开')
elif self.PositionShort == 0:
if ma1[-1] <= ma2[-1] and ma1[-2] > ma2[-2]:
if self.PositionLong > 0:
self.Sell(self.O[-1], self.p_lots, '卖平')
self.SellShort(self.O[-1], self.p_lots, '卖开')---
# ID用于区分不同策略实例的委托
-
ID: 119
BeginDate: 20191101
TickTest: false
# 可通过增加Data实现多合约多周期引用
Datas:
-
Instrument: p2105
IntervalType: Minute
Interval: 5
-
Instrument: rb2105
IntervalType: Minute
Interval: 5
Params:
Lots: 1
MA1: 10
MA2: 20
-
ID: 120
BeginDate: 20180901
Datas:
-
Instrument: rb2105
IntervalType: Minute
Interval: 5
Params:
Lots: 1
MA1: 5
MA2: 60报错：#include "Python.h 解决： apt: apt-get install python3-dev yum: yum install python3-devel