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What is the simple strategy of Tick level quasi-high frequency trading in VNPY? in order to solve this problem, this article introduces the corresponding analysis and solution in detail, hoping to help more partners who want to solve this problem to find a more simple and feasible method.

In VNPY, most strategies are based on the bar minute level; domestic tick is twice a second, and the frequency is not too high. Here we try to make a Tick basic quasi-high frequency trading strategy, just to achieve the idea. It can be tested back, don't use it directly.

Remember to change the retest mode to TICK_MODE, the database to TICK_DB_NAME, and the initdays to 0 in setStartDate, so you don't need to read back the number of historical days, only the data of the same day. In addition, if the TICK is tested for more than one day, the system will report that there is not enough memory, so one day is enough. Also, change the currentTime to the opening time, because the strategy only runs at the opening time and will automatically close the position before the close.

Admission: each time you read Tick, analyze the total of the past 10 tick. If the buying volume is greater than the selling volume, issue more orders; otherwise, empty orders.

The order price is the current tick market price

Stop loss: a stop order with two reverse prices at the same time when placing an order

Leave: the next time TICK reads, if the purchase price is positive 3 points, judge the purchase volume ratio again, if it does not match, the market price will sell; if it still meets the original volume ratio, hold it very little, clear the previous stop order, and hang the current price reverse 2 point stop order.

7-24 update, specific code update and other updates after verification:

Change the stoporder stop order to the limit order limit order, which is faster; put it in ontrade (), and issue the stop limit order once the active transaction is confirmed.

Join in onorder (). Once it is found that the transaction has not been completed, the order is still pending and cancelled.

Add a lock at the global variable level of the class. When there is an order order or there is no order to issue an order without a return message, the lock is closed and no new order is issued, avoiding multiple single blocking at the same time.

# encoding: UTF-8 from _ _ future__ import divisionfrom vnpy.trader.vtGateway import * from datetime import datetime, timefrom vnpy.trader.vtObject import VtBarDatafrom vnpy.trader.vtConstant import EMPTY_STRINGfrom vnpy.trader.app.ctaStrategy.ctaTemplate import (CtaTemplate, BarGenerator, ArrayManager TickArrayManager) # class TickOneStrategy (CtaTemplate): Tick-based trading strategy "" className = 'TickOneStrategy' author = upright BillyZhang' # Policy parameters fixedSize = 1 Ticksize = 10 initDays = 0 DAY_START = time (9 00) # day market start and stop time DAY_END = time (14,58) NIGHT_START = time (21,00) # night market start and stop time NIGHT_END = time (10,58) # policy variable posPrice = 0 # position price pos = 0 # position quantity # parameter list Saved parameter name paramList = ['name',' className', 'author',' vtSymbol', 'initDays',' Ticksize', 'fixedSize'] # variable list Saved the name of the variable varList = ['inited',' trading', 'pos',' posPrice'] # synchronization list Save the variable name syncList = ['pos',' posPrice', 'intraTradeHigh'' to save to the database 'intraTradeLow'] #-def _ init__ (self, ctaEngine, setting): "Constructor"super (TickOneStrategy) Self). _ init__ (ctaEngine, setting) # create Array queue self.tickArray = TickArrayManager (self.Ticksize) #-def onminBarClose (self Bar): "#-def onInit (self):"initialization policy (must be implemented by user inheritance ) "" self.writeCtaLog (Utility% s policy initialization'% self.name) # tick level transaction There is no need for historical data self.putEvent () #-def onStart (self): "" start the policy (must be inherited by the user To implement) "" self.writeCtaLog (ugg% s policy starts'% self.name) self.putEvent () #-def onStop (self ): "stop policy (must be inherited and implemented by the user)"self.writeCtaLog (% s policy stops'% self.name) self.putEvent () #-- -def onTick (self Tick): "" receive the TICK push of the market (must be inherited by the user) "" currentTime = datetime.now (). Time () # level the position of the day, if the current time is 15: 28 minutes before the close of the day, or 10: 58 minutes before the end of the night. If there is a position, close the position. If ((currentTime > = self.DAY_START and currentTime = self.NIGHT_START and currentTime 0: self.short (tick.lastPrice, self.fixedSize, False) self.cover (tick.lastPrice + 2 Self.fixedSize, True) elif TA.askBidVolumeDif ()

< 0: self.buy(tick.lastPrice, self.fixedSize, False) self.sell(tick.lastPrice - 2, self.fixedSize, True) elif self.pos >

0: # if you hold multiple orders, if the buying price is already positive towards N3 points, judge the trend again, and if it does not match, sell at the market price. If you hold it, clear the previous stop order and hang the current price reverse 2-point stop order. If tick.lastprice-self.posPrice > = 3: if TA.askBidVolumeDif ()

< 0: self.cancelAll() self.sell(tick.lastPrice - 2, self.fixedSize, True) else: self.cancelAll() self.sell(tick.lastPrice, self.fixedSize, False) elif self.pos < 0: # 如果持有空单，如果已经是买入价格反向N3个点，再次判断趋势，如果已经不符合，市价卖出。如果持有，清掉之前阻止单，改挂当前价位反向2个点阻止单。 if tick.lastPrice - self.posPrice 0: self.cancelAll() self.cover(tick.lastPrice + 2, self.fixedSize, True) else: self.cancelAll() self.cover(tick.lastPrice, self.fixedSize, False) else: if self.pos >

0: self.sell (tick.close, abs (self.pos), False) elif self.pos

< 0: self.cover(tick.close, abs(self.pos),False) elif self.pos == 0: return # ---------------------------------------------------------------------- def onBar(self, bar): """收到Bar推送（必须由用户继承实现）""" # ---------------------------------------------------------------------- def onXminBar(self, bar): """收到X分钟K线""" # ---------------------------------------------------------------------- def onOrder(self, order): """收到委托变化推送（必须由用户继承实现）""" pass # ---------------------------------------------------------------------- def onTrade(self, trade): self.posPrice = trade.price # 同步数据到数据库 self.saveSyncData() # 发出状态更新事件 self.putEvent() # ---------------------------------------------------------------------- def onStopOrder(self, so): """停止单推送""" passCTAtemplate 加入新类TickArrayManager########################################################################class TickArrayManager(object): """ Tick序列管理工具，负责： 1. Tick时间序列的维护 2. 常用技术指标的计算 """ # ---------------------------------------------------------------------- def __init__(self, size=10): """Constructor""" self.count = 0 # 缓存计数 self.size = size # 缓存大小 self.inited = False # True if count>

= size self.TicklastPriceArray = np.zeros (self.size) self.TickaskVolume1Array = np.zeros (self.size) self.TickbidVolume1Array = np.zeros (self.size) self.TickaskPrice1Array = np.zeros (self.size) self.TickbidPrice1Array = np.zeros (self.size) self.TickopenInterestArray = np.zeros (self.size) self.TickvolumeArray = np.zeros (self.size) #-- -def updateTick (self Tick): "" Update tick Array "self.count + = 1 if not self.inited and self.count > = self.size: self.inited = True self.TicklastPriceArray [0:self.size-1] = self.TicklastPriceArray [1:self.size] self.TickaskVolume1Array [0:self.size-1] = self.TickaskVolume1Array [1:self.size] self.TickbidVolume1Array [0:self. Size-1] = self.TickbidVolume1Array [1:self.size] self.TickaskPrice1Array [0:self.size-1] = self.TickaskPrice1Array [1:self.size] self.TickbidPrice1Array [0:self.size-1] = self.TickbidPrice1Array [1:self.size] self.TickopenInterestArray [0:self.size-1] = self.TickopenInterestArray [1:self.size] self.TickvolumeArray [0:self.size-1] = self.TickvolumeArray [1:self Size] self.TicklastPriceArray [- 1] = tick.lastPrice self.TickaskVolume1Array [- 1] = tick.askVolume1 self.TickbidVolume1Array [- 1] = tick.bidVolume1 self.TickaskPrice1Array [- 1] = tick.askPrice1 self.TickbidPrice1Array [- 1] = tick.bidPrice1 self.TickopenInterestArray [- 1] = tick.openInterest self.TickvolumeArray [- 1] = tick.volume def askBidVolumeDif (self): return (self.TickaskPrice1Array. Sum ()-self.TickbidVolume1Array.sum () the answer to the question about what is the simple strategy of Tick-level quasi-high frequency trading in VNPY is shared here. I hope the above content can help you to a certain extent, if you still have a lot of doubts to be solved, you can follow the industry information channel to learn more related knowledge.

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