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海风 / hfpy

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海风 AT 的功能

  • 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


talab 指标库



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

配置 docker-compose.yml


  • 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

示例 docker-compose.yml

version: "3.7"

    image: haifengat/hfpy
    container_name: hf_py
    restart: always
      - TZ=Asia/Shanghai
      - strategy_names="SMACross"
      # 当日分钟与实时分钟
      - redis_addr=""
      # 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
      # 个人策略文件夹
      - ./strategies:/hfpy/strategies


策略生成的信号会插件到 postgres 的 public.strategy_sign 中

js = 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())"""

实时信号会发布到 redis

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
    - # 合约/周期/周期数
      "Instrument": "ag2012"
      "IntervalType": "Minute"
      "Interval": 5
    # 突破轨道的长度
    "LENGTH1": 46
    "OPENPARAM": 0.54




#!/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):
        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:
        # 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:
        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
    - Instrument: p2105
      IntervalType: Minute
      Interval: 5
    - Instrument: rb2105
      IntervalType: Minute
      Interval: 5
    Lots: 1
    MA1: 10
    MA2: 20
- ID: 120
  BeginDate: 20180901
    - Instrument: rb2105
      IntervalType: Minute
      Interval: 5
    Lots: 1
    MA1: 5
    MA2: 60

talib 安装

报错:#include "Python.h 解决: apt: apt-get install python3-dev yum: yum install python3-devel

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