strategyKingKeltner.py 文件源码

def onFiveBar(self, bar):
        """??5??K?"""
        # ?????????????????????????
        for orderID in self.orderList:
            self.cancelOrder(orderID)
        self.orderList = []

        # ??K???
        self.closeArray[0:self.bufferSize-1] = self.closeArray[1:self.bufferSize]
        self.highArray[0:self.bufferSize-1] = self.highArray[1:self.bufferSize]
        self.lowArray[0:self.bufferSize-1] = self.lowArray[1:self.bufferSize]

        self.closeArray[-1] = bar.close
        self.highArray[-1] = bar.high
        self.lowArray[-1] = bar.low

        self.bufferCount += 1
        if self.bufferCount < self.bufferSize:
            return

        # ??????
        self.atrValue = talib.ATR(self.highArray, 
                                  self.lowArray, 
                                  self.closeArray,
                                  self.kkLength)[-1]
        self.kkMid = talib.MA(self.closeArray, self.kkLength)[-1]
        self.kkUp = self.kkMid + self.atrValue * self.kkDev
        self.kkDown = self.kkMid - self.atrValue * self.kkDev

        # ?????????

        # ????????OCO????
        if self.pos == 0:
            self.intraTradeHigh = bar.high
            self.intraTradeLow = bar.low            
            self.sendOcoOrder(self.kkUp, self.kkDown, self.fixedSize)

        # ??????
        elif self.pos > 0:
            self.intraTradeHigh = max(self.intraTradeHigh, bar.high)
            self.intraTradeLow = bar.low

            orderID = self.sell(self.intraTradeHigh*(1-self.trailingPrcnt/100), 
                                abs(self.pos), True)
            self.orderList.append(orderID)

        # ??????
        elif self.pos < 0:
            self.intraTradeHigh = bar.high
            self.intraTradeLow = min(self.intraTradeLow, bar.low)

            orderID = self.cover(self.intraTradeLow*(1+self.trailingPrcnt/100),
                               abs(self.pos), True)
            self.orderList.append(orderID)

        # ????????
        self.putEvent()        

    #----------------------------------------------------------------------