CTP期货接口python写多策略多品种多周期案例源码

"""
关注公众号: Ctp接口量化

"""from API import *
class MACDStrategy(Strategy):def __init__(self):super().__init__()# self.symbol_lsit = ["UR301","rb2301","au2212","IF2211","IC2211","i2301","eb2211","MA301"]  #订阅合约self.symbol_lsit = ["i2301"]  #订阅合约self.BarType = BarType.Min5  #K线周期self.StrategyType = StrategyType.Bar  #策略类型  StrategyType.Renko   StrategyType.Bar   StrategyType.Tickdef on_tick(self, tick=None):print(tick.InstrumentID,tick.LastPrice)  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#print(symbol) #合约#print(tick.LastPrice) #合约tick.UpdateTime# print(tick.UpdateTime) #合约tick.UpdateTime# print(Bar[0]["symbol"]) #合约kline = Bar[0]["data"]    # K 线数据if len(kline) <= 35:   # 小于35 条 退出 return   # K,D,J  = self.KDJ(kline) # 取KDJ指标数组# UP,MB,DN  = self.BOLL(kline) # 取BOLL指标数组# EMA  = self.EMA(kline,60) # 取EMA指标数组# RSI  = self.RSI(kline) # 取RSI指标数组# MA1  = self.MA(kline,30) # 取MA指标数组Channels# MA2  = self.MA(kline,60) # 取MA指标数组Channelsdif,dea,macd  = self.MACD(kline) # 取MACD指标数组close,High,low = self.tick(kline)      # 取收盘价数组 # 获取最新价格（卖价）# print(self.Get_Position(symbol))Pos = self.GetPosition(symbol)# print(Pos)# 开多单if Pos["Direction"]=="None" and dif[-1]>dea[-1] and dif[-2] < dea[-2] and dea[-1] > 0:print(symbol) #合约print("MACD策略开多")最低价 = min(low[-10:])止盈 = Ask + (Ask-最低价)*3# self.send(symbol, DirectionType.Buy, OffsetType.Open, Ask, 3, OrderType.Limit)  # # OrderType.FOK   OrderType.FAK   OrderType.Marketself.send(symbol, DirectionType.Buy, OffsetType.Open, Ask, 3, OrderType.Limit,止损=最低价,止盈=止盈,移动止损=最低价)  # # OrderType.FOK   OrderType.FAK   OrderType.Market# # 开空单if Pos["Direction"]=="None" and dif[-1]<dea[-1] and dif[-2] > dea[-2] and dea[-1] < 0:print(symbol) #合约print("MACD策略开空")最高价 = max(High[-10:])止盈 = Bid - (最高价-Bid)*3# self.send(symbol, DirectionType.Sell, OffsetType.Open, Bid, 3, OrderType.Limit)   # # OffsetType.Open   OffsetType.Close   OffsetType.CloseToday  OffsetType.CloseYesterdayself.send(symbol, DirectionType.Sell, OffsetType.Open, Bid, 3, OrderType.Limit,止损=最高价,止盈=止盈,移动止损=最高价)   # # OffsetType.Open   OffsetType.Close   OffsetType.CloseToday  OffsetType.CloseYesterday# # 平多单if Pos["Direction"]==DirectionType.Buy and dif[-1]<dea[-1] and dif[-2] > dea[-2]:print(symbol) #合约print("MACD策略平多单")self.send(symbol, DirectionType.Sell, OffsetType.Close, Bid, Pos['Volume'], OrderType.Limit)         # # 平空单        if Pos["Direction"]==DirectionType.Sell and dif[-1]>dea[-1] and dif[-2] < dea[-2]:print(symbol) #合约print("MACD策略平空单")self.send(symbol, DirectionType.Buy, OffsetType.Close, Ask, Pos['Volume'], OrderType.Limit)if 'kwargs' in Pos.keys():# print(Pos["kwargs"])if Pos["Direction"]==DirectionType.Buy and LastPrice<Pos["kwargs"]["止损"]:print(symbol) #合约print("MACD策略止损多单")self.send(symbol, DirectionType.Sell, OffsetType.Close, Bid, Pos['Volume'], OrderType.Limit)         # # 平空单        if Pos["Direction"]==DirectionType.Sell and LastPrice>Pos["kwargs"]["止损"]:print(symbol) #合约print("MACD策略止损空单")self.send(symbol, DirectionType.Buy, OffsetType.Close, Ask, Pos['Volume'], OrderType.Limit)# # 多单 修改移动止损价if Pos["Direction"]==DirectionType.Buy and (LastPrice - Pos["kwargs"]["移动止损"]) > (Pos["Price"] - Pos["kwargs"]["止损"]):self.OrderModify(symbol, LastPrice - (Pos["Price"] - Pos["kwargs"]["止损"]))print("空单 修改移动止损价",LastPrice - (Pos["Price"] - Pos["kwargs"]["止损"]))# # 空单 修改移动止损价if Pos["Direction"]==DirectionType.Sell and (Pos["kwargs"]["移动止损"] - LastPrice) > (Pos["kwargs"]["止损"] - Pos["Price"]):self.OrderModify(symbol, LastPrice + (Pos["kwargs"]["止损"] - Pos["Price"]))print("空单 修改移动止损价",LastPrice + (Pos["kwargs"]["止损"] - Pos["Price"]))class MAStrategy(Strategy):def __init__(self):super().__init__()self.symbol_lsit = ["UR301","rb2301","au2212","IF2211","IC2211","i2301","eb2211","MA301"]  #订阅合约self.BarType = BarType.Min15  #K线周期self.StrategyType = StrategyType.Bar  #策略类型  StrategyType.Renko   StrategyType.Bar   StrategyType.Tickdef on_tick(self, tick=None):print(tick.InstrumentID,tick.LastPrice)  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#print(symbol) #合约#print(tick.LastPrice) #合约tick.UpdateTime# print(tick.UpdateTime) #合约tick.UpdateTime# print(Bar[0]["symbol"]) #合约kline = Bar[0]["data"]    # K 线数据if len(kline) <= 35:   # 小于35 条 退出 return   # K,D,J  = self.KDJ(kline) # 取KDJ指标数组# UP,MB,DN  = self.BOLL(kline) # 取BOLL指标数组# EMA  = self.EMA(kline,60) # 取EMA指标数组# RSI  = self.RSI(kline) # 取RSI指标数组MA1  = self.MA(kline,5) # 取MA指标数组ChannelsMA2  = self.MA(kline,10) # 取MA指标数组ChannelsMA3  = self.MA(kline,30) # 取MA指标数组Channels# dif,dea,macd  = self.MACD(kline) # 取MACD指标数组close,High,low = self.tick(kline)      # 取收盘价数组 # 获取最新价格（卖价）# print(self.Get_Position(symbol))Pos = self.GetPosition(symbol)# print(Pos)# 开多单if Pos["Direction"]=="None" and MA1[-1]>MA2[-1] and MA1[-2] < MA2[-2] and close[-1] > MA3[-1]:print(symbol) #合约print("MA策略开多")最低价 = min(low[-10:])止盈 = Ask + (Ask-最低价)*3# self.send(symbol, DirectionType.Buy, OffsetType.Open, Ask, 3, OrderType.Limit)  # # OrderType.FOK   OrderType.FAK   OrderType.Marketself.send(symbol, DirectionType.Buy, OffsetType.Open, Ask, 3, OrderType.Limit,止损=最低价,止盈=止盈,移动止损=最低价)  # # OrderType.FOK   OrderType.FAK   OrderType.Market# # 开空单if Pos["Direction"]=="None" and MA1[-1]<MA2[-1] and MA1[-2] > MA2[-2] and close[-1] < MA3[-1]:print(symbol) #合约print("MA策略开空")最高价 = max(High[-10:])止盈 = Bid - (最高价-Bid)*3# self.send(symbol, DirectionType.Sell, OffsetType.Open, Bid, 3, OrderType.Limit)   # # OffsetType.Open   OffsetType.Close   OffsetType.CloseToday  OffsetType.CloseYesterdayself.send(symbol, DirectionType.Sell, OffsetType.Open, Bid, 3, OrderType.Limit,止损=最高价,止盈=止盈,移动止损=最高价)   # # OffsetType.Open   OffsetType.Close   OffsetType.CloseToday  OffsetType.CloseYesterday# # 平多单if Pos["Direction"]==DirectionType.Buy and MA1[-1]<MA2[-1] and MA1[-2] > MA2[-2]:print(symbol) #合约print("MA策略平多单")self.send(symbol, DirectionType.Sell, OffsetType.Close, Bid, Pos['Volume'], OrderType.Limit)         # # 平空单        if Pos["Direction"]==DirectionType.Sell and MA1[-1]>MA2[-1] and MA1[-2] < MA2[-2]:print(symbol) #合约print("MA策略平空单")self.send(symbol, DirectionType.Buy, OffsetType.Close, Ask, Pos['Volume'], OrderType.Limit)if 'kwargs' in Pos.keys():# print(Pos["kwargs"])if Pos["Direction"]==DirectionType.Buy and LastPrice<Pos["kwargs"]["止损"]:print(symbol) #合约print("RSI策略止损多单")self.send(symbol, DirectionType.Sell, OffsetType.Close, Bid, Pos['Volume'], OrderType.Limit)         # # 平空单        if Pos["Direction"]==DirectionType.Sell and LastPrice>Pos["kwargs"]["止损"]:print(symbol) #合约print("RSI策略止损空单")self.send(symbol, DirectionType.Buy, OffsetType.Close, Ask, Pos['Volume'], OrderType.Limit)# # 多单 修改移动止损价if Pos["Direction"]==DirectionType.Buy and (LastPrice - Pos["kwargs"]["移动止损"]) > (Pos["Price"] - Pos["kwargs"]["止损"]):self.OrderModify(symbol, LastPrice - (Pos["Price"] - Pos["kwargs"]["止损"]))print("空单 修改移动止损价",LastPrice - (Pos["Price"] - Pos["kwargs"]["止损"]))# # 空单 修改移动止损价if Pos["Direction"]==DirectionType.Sell and (Pos["kwargs"]["移动止损"] - LastPrice) > (Pos["kwargs"]["止损"] - Pos["Price"]):self.OrderModify(symbol, LastPrice + (Pos["kwargs"]["止损"] - Pos["Price"]))print("空单 修改移动止损价",LastPrice + (Pos["kwargs"]["止损"] - Pos["Price"]))
class KDJStrategy(Strategy):def __init__(self):super().__init__()self.symbol_lsit = ["UR301","rb2301","au2212","IF2211","IC2211","i2301","eb2211","MA301"]  #订阅合约self.BarType = BarType.Min30  #K线周期self.StrategyType = StrategyType.Bar  #策略类型  StrategyType.Renko   StrategyType.Bar   StrategyType.Tickdef on_tick(self, tick=None):print(tick.InstrumentID,tick.LastPrice)  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#print(symbol) #合约#print(tick.LastPrice) #合约tick.UpdateTime# print(tick.UpdateTime) #合约tick.UpdateTime# print(Bar[0]["symbol"]) #合约kline = Bar[0]["data"]    # K 线数据if len(kline) <= 35:   # 小于35 条 退出 return   K,D,J  = self.KDJ(kline) # 取KDJ指标数组# UP,MB,DN  = self.BOLL(kline) # 取BOLL指标数组# EMA  = self.EMA(kline,60) # 取EMA指标数组# RSI  = self.RSI(kline) # 取RSI指标数组# MA1  = self.MA(kline,30) # 取MA指标数组Channels# MA2  = self.MA(kline,60) # 取MA指标数组Channelsdif,dea,macd  = self.MACD(kline) # 取MACD指标数组close,High,low = self.tick(kline)      # 取收盘价数组 # 获取最新价格（卖价）# print(self.Get_Position(symbol))Pos = self.GetPosition(symbol)# print(Pos)# 开多单if Pos["Direction"]=="None" and K[-1]>D[-1] and K[-2] < D[-2] and dea[-1] > 0:print(symbol) #合约print("KDJ策略开多")最低价 = min(low[-10:])止盈 = Ask + (Ask-最低价)*3# self.send(symbol, DirectionType.Buy, OffsetType.Open, Ask, 3, OrderType.Limit)  # # OrderType.FOK   OrderType.FAK   OrderType.Marketself.send(symbol, DirectionType.Buy, OffsetType.Open, Ask, 3, OrderType.Limit,止损=最低价,止盈=止盈,移动止损=最低价)  # # OrderType.FOK   OrderType.FAK   OrderType.Market# # 开空单if Pos["Direction"]=="None" and K[-1]<D[-1] and K[-2] > D[-2] and dea[-1] < 0:print(symbol) #合约print("KDJ策略开空")最高价 = max(High[-10:])止盈 = Bid - (最高价-Bid)*3# self.send(symbol, DirectionType.Sell, OffsetType.Open, Bid, 3, OrderType.Limit)   # # OffsetType.Open   OffsetType.Close   OffsetType.CloseToday  OffsetType.CloseYesterdayself.send(symbol, DirectionType.Sell, OffsetType.Open, Bid, 3, OrderType.Limit,止损=最高价,止盈=止盈,移动止损=最高价)   # # OffsetType.Open   OffsetType.Close   OffsetType.CloseToday  OffsetType.CloseYesterday# # 平多单if Pos["Direction"]==DirectionType.Buy and K[-1]<D[-1] and K[-2] > D[-2]:print(symbol) #合约print("KDJ策略平多单")self.send(symbol, DirectionType.Sell, OffsetType.Close, Bid, Pos['Volume'], OrderType.Limit)         # # 平空单        if Pos["Direction"]==DirectionType.Sell and K[-1]>D[-1] and K[-2] < D[-2]:print(symbol) #合约print("KDJ策略平空单")self.send(symbol, DirectionType.Buy, OffsetType.Close, Ask, Pos['Volume'], OrderType.Limit)if 'kwargs' in Pos.keys():# print(Pos["kwargs"])if Pos["Direction"]==DirectionType.Buy and LastPrice<Pos["kwargs"]["止损"]:print(symbol) #合约print("RSI策略止损多单")self.send(symbol, DirectionType.Sell, OffsetType.Close, Bid, Pos['Volume'], OrderType.Limit)         # # 平空单        if Pos["Direction"]==DirectionType.Sell and LastPrice>Pos["kwargs"]["止损"]:print(symbol) #合约print("RSI策略止损空单")self.send(symbol, DirectionType.Buy, OffsetType.Close, Ask, Pos['Volume'], OrderType.Limit)# # 多单 修改移动止损价if Pos["Direction"]==DirectionType.Buy and (LastPrice - Pos["kwargs"]["移动止损"]) > (Pos["Price"] - Pos["kwargs"]["止损"]):self.OrderModify(symbol, LastPrice - (Pos["Price"] - Pos["kwargs"]["止损"]))print("空单 修改移动止损价",LastPrice - (Pos["Price"] - Pos["kwargs"]["止损"]))# # 空单 修改移动止损价if Pos["Direction"]==DirectionType.Sell and (Pos["kwargs"]["移动止损"] - LastPrice) > (Pos["kwargs"]["止损"] - Pos["Price"]):self.OrderModify(symbol, LastPrice + (Pos["kwargs"]["止损"] - Pos["Price"]))print("空单 修改移动止损价",LastPrice + (Pos["kwargs"]["止损"] - Pos["Price"]))
class RSIStrategy(Strategy):def __init__(self):super().__init__()self.symbol_lsit = ["UR301","rb2301","au2212","IF2211","IC2211","i2301","eb2211","MA301"]  #订阅合约self.BarType = BarType.Min60  #K线周期self.StrategyType = StrategyType.Bar  #策略类型  StrategyType.Renko   StrategyType.Bar   StrategyType.Tickdef on_tick(self, tick=None):print(tick.InstrumentID,tick.LastPrice)  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#print(symbol) #合约#print(tick.LastPrice) #合约tick.UpdateTime# print(tick.UpdateTime) #合约tick.UpdateTime# print(Bar[0]["symbol"]) #合约kline = Bar[0]["data"]    # K 线数据if len(kline) <= 35:   # 小于35 条 退出 return   # K,D,J  = self.KDJ(kline) # 取KDJ指标数组# UP,MB,DN  = self.BOLL(kline) # 取BOLL指标数组# EMA  = self.EMA(kline,60) # 取EMA指标数组RSI  = self.RSI(kline) # 取RSI指标数组# MA1  = self.MA(kline,30) # 取MA指标数组Channels# MA2  = self.MA(kline,60) # 取MA指标数组Channelsdif,dea,macd  = self.MACD(kline) # 取MACD指标数组close,High,low = self.tick(kline)      # 取收盘价数组 # 获取最新价格（卖价）# print(self.Get_Position(symbol))Pos = self.GetPosition(symbol)# print(Pos)# 开多单if Pos["Direction"]=="None" and RSI[-1]>50 and RSI[-2] < 50 and dea[-1] > 0:print(symbol) #合约print("RSI策略开多")最低价 = min(low[-10:])止盈 = Ask + (Ask-最低价)*3# self.send(symbol, DirectionType.Buy, OffsetType.Open, Ask, 3, OrderType.Limit)  # # OrderType.FOK   OrderType.FAK   OrderType.Marketself.send(symbol, DirectionType.Buy, OffsetType.Open, Ask, 3, OrderType.Limit,止损=最低价,止盈=止盈,移动止损=最低价)  # # OrderType.FOK   OrderType.FAK   OrderType.Market# # 开空单if Pos["Direction"]=="None" and RSI[-1]<50 and RSI[-2] > 50 and dea[-1] < 0:print(symbol) #合约print("RSI策略开空")最高价 = max(High[-10:])止盈 = Bid - (最高价-Bid)*3# self.send(symbol, DirectionType.Sell, OffsetType.Open, Bid, 3, OrderType.Limit)   # # OffsetType.Open   OffsetType.Close   OffsetType.CloseToday  OffsetType.CloseYesterdayself.send(symbol, DirectionType.Sell, OffsetType.Open, Bid, 3, OrderType.Limit,止损=最高价,止盈=止盈,移动止损=最高价)   # # OffsetType.Open   OffsetType.Close   OffsetType.CloseToday  OffsetType.CloseYesterday# # 平多单if Pos["Direction"]==DirectionType.Buy and RSI[-1]<50 and RSI[-2] > 50:print(symbol) #合约print("RSI策略平多单")self.send(symbol, DirectionType.Sell, OffsetType.Close, Bid, Pos['Volume'], OrderType.Limit)         # # 平空单        if Pos["Direction"]==DirectionType.Sell and RSI[-1]>50 and RSI[-2] < 50:print(symbol) #合约print("RSI策略平空单")self.send(symbol, DirectionType.Buy, OffsetType.Close, Ask, Pos['Volume'], OrderType.Limit)if 'kwargs' in Pos.keys():# print(Pos["kwargs"])if Pos["Direction"]==DirectionType.Buy and LastPrice<Pos["kwargs"]["止损"]:print(symbol) #合约print("RSI策略止损多单")self.send(symbol, DirectionType.Sell, OffsetType.Close, Bid, Pos['Volume'], OrderType.Limit)         # # 平空单        if Pos["Direction"]==DirectionType.Sell and LastPrice>Pos["kwargs"]["止损"]:print(symbol) #合约print("RSI策略止损空单")self.send(symbol, DirectionType.Buy, OffsetType.Close, Ask, Pos['Volume'], OrderType.Limit)# # 多单 修改移动止损价if Pos["Direction"]==DirectionType.Buy and (LastPrice - Pos["kwargs"]["移动止损"]) > (Pos["Price"] - Pos["kwargs"]["止损"]):self.OrderModify(symbol, LastPrice - (Pos["Price"] - Pos["kwargs"]["止损"]))print("空单 修改移动止损价",LastPrice - (Pos["Price"] - Pos["kwargs"]["止损"]))# # 空单 修改移动止损价if Pos["Direction"]==DirectionType.Sell and (Pos["kwargs"]["移动止损"] - LastPrice) > (Pos["kwargs"]["止损"] - Pos["Price"]):self.OrderModify(symbol, LastPrice + (Pos["kwargs"]["止损"] - Pos["Price"]))print("空单 修改移动止损价",LastPrice + (Pos["kwargs"]["止损"] - Pos["Price"]))# Config = {'brokerid':'9999', 'userid':'123456', 'password':'123456', 'appid':'simnow_client_test', 'auth_code':'0000000000000000', 'product_info':'python dll', 'td_address':'tcp://180.168.146.187:10201', 'md_address':'tcp://180.168.146.187:10211'}
Config = {'brokerid':'9999', 'userid':'1123456', 'password':'123456', '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(MACDStrategy())t.add_Strategy(MAStrategy())t.add_Strategy(KDJStrategy())t.add_Strategy(RSIStrategy())t.add_Config(Config)t.Start()

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CTP期货接口python写多策略多品种多周期案例源码

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