CTA仿真进阶篇1: 环境部署

#pragma once
#include "../Includes/CtaStrategyDefs.h"

class WtStraDualThrust : public CtaStrategy
{
public:
	WtStraDualThrust(const char* id);
	virtual ~WtStraDualThrust();

public:
	virtual const char* getFactName() override;

	virtual const char* getName() override;

	virtual bool init(WTSVariant* cfg) override;

	virtual void on_schedule(ICtaStraCtx* ctx, uint32_t curDate, uint32_t curTime) override;

	virtual void on_init(ICtaStraCtx* ctx) override;

	virtual void on_tick(ICtaStraCtx* ctx, const char* stdCode, WTSTickData* newTick) override;

	virtual void on_bar(ICtaStraCtx* ctx, const char* stdCode, const char* period, WTSBarStruct* newBar) override;


private:
	//指标参数
	double		_k1;
	double		_k2;
	uint32_t	_days;

	//数据周期
	std::string _period;
	//K线条数
	uint32_t	_count;

	//合约代码
	std::string _code;

	bool		_isstk;
};

#include "WtStraDualThrust.h"

#include "../Includes/ICtaStraCtx.h"

#include "../Includes/WTSContractInfo.hpp"
#include "../Includes/WTSVariant.hpp"
#include "../Includes/WTSDataDef.hpp"
#include "../Share/decimal.h"

extern const char* FACT_NAME;

//By Wesley @ 2022.01.05
#include "../Share/fmtlib.h"

WtStraDualThrust::WtStraDualThrust(const char* id)
	: CtaStrategy(id)
{
}


WtStraDualThrust::~WtStraDualThrust()
{
}

const char* WtStraDualThrust::getFactName()
{
	return FACT_NAME;
}

const char* WtStraDualThrust::getName()
{
	return "DualThrust";
}

bool WtStraDualThrust::init(WTSVariant* cfg)
{

	if (cfg == NULL)
		return false;

	_days = cfg->getUInt32("days");
	_k1 = cfg->getDouble("k1");
	_k2 = cfg->getDouble("k2");

	_period = cfg->getCString("period");
	_count = cfg->getUInt32("count");
	_code = cfg->getCString("code");

	_isstk = cfg->getBoolean("stock");

	return true;
}

void WtStraDualThrust::on_schedule(ICtaStraCtx* ctx, uint32_t curDate, uint32_t curTime)
{
	ctx->stra_log_info(fmt::format("回调 on_schedule, date: {}, time: {}", ctx->stra_get_date(), ctx->stra_get_time()).c_str());
	// 如果本地无数据, 继续向下执行就会报错
	return;

	std::string code = _code;
	if (_isstk)
		code += "-";
	WTSKlineSlice *kline = ctx->stra_get_bars(code.c_str(), _period.c_str(), _count, true);
	if(kline == NULL)
	{
		//这里可以输出一些日志
		return;
	}

	if (kline->size() == 0)
	{
		kline->release();
		return;
	}

	uint32_t trdUnit = 1;
	if (_isstk)
		trdUnit = 100;


	int32_t days = (int32_t)_days;

	double hh = kline->maxprice(-days, -2);
	double ll = kline->minprice(-days, -2);

	WTSValueArray* closes = kline->extractData(KFT_CLOSE);
	double hc = closes->maxvalue(-days, -2);
	double lc = closes->minvalue(-days, -2);
	double curPx = closes->at(-1);
	closes->release();///!!!这个释放一定要做

	double openPx = kline->at(-1)->open;
	double highPx = kline->at(-1)->high;
	double lowPx = kline->at(-1)->low;

	double upper_bound = openPx + _k1 * (std::max(hh - lc, hc - ll));
	double lower_bound = openPx - _k2 * std::max(hh - lc, hc - ll);

	WTSCommodityInfo* commInfo = ctx->stra_get_comminfo(_code.c_str());

	double curPos = ctx->stra_get_position(_code.c_str()) / trdUnit;
	if(decimal::eq(curPos,0))
	{
		if(highPx >= upper_bound)
		{
			ctx->stra_enter_long(_code.c_str(), 2 * trdUnit, "DT_EnterLong");
			//向上突破
			ctx->stra_log_info(fmt::format("向上突破{}>={},多仓进场", highPx, upper_bound).c_str());
		}
		else if (lowPx <= lower_bound && !_isstk)
		{
			ctx->stra_enter_short(_code.c_str(), 2 * trdUnit, "DT_EnterShort");
			//向下突破
			ctx->stra_log_info(fmt::format("向下突破{}<={},空仓进场", lowPx, lower_bound).c_str());
		}
	}
	//else if(curPos > 0)
	else if (decimal::gt(curPos, 0))
	{
		if(lowPx <= lower_bound)
		{
			//多仓出场
			ctx->stra_exit_long(_code.c_str(), 2 * trdUnit, "DT_ExitLong");
			ctx->stra_log_info(fmt::format("向下突破{}<={},多仓出场", lowPx, lower_bound).c_str());
		}
	}
	//else if(curPos < 0)
	else if (decimal::lt(curPos, 0))
	{
		if (highPx >= upper_bound && !_isstk)
		{
			//空仓出场
			ctx->stra_exit_short(_code.c_str(), 2 * trdUnit, "DT_ExitShort");
			ctx->stra_log_info(fmt::format("向上突破{}>={},空仓出场", highPx, upper_bound).c_str());
		}
	}

	ctx->stra_save_user_data("test", "waht");

	//这个释放一定要做
	kline->release();
}

void WtStraDualThrust::on_init(ICtaStraCtx* ctx)
{
	ctx->stra_log_info(fmt::format("回调 on_init, date: {}, time: {}", ctx->stra_get_date(), ctx->stra_get_time()).c_str());

	std::string code = _code;
	if (_isstk)
		code += "-";

	// 获取 CFFEX.IC.2203 的tick数据
	WTSTickSlice* ticks = ctx->stra_get_ticks(_code.c_str(), 30);
	if (ticks)
		ticks->release();

	// 获取 CFFEX.IC.2203 的bar数据
	WTSKlineSlice *kline1 = ctx->stra_get_bars(code.c_str(), _period.c_str(), _count, true);
	if (kline1 == NULL)
	{
		//这里可以输出一些日志
		return;
	}
	kline1->release();

	// 主动订阅 CFFEX.IH.2203 tick数据
	ctx->stra_sub_ticks("CFFEX.IH.2203");
}

void WtStraDualThrust::on_tick(ICtaStraCtx* ctx, const char* stdCode, WTSTickData* newTick)
{
	//没有什么要处理
	ctx->stra_log_info(fmt::format("回调 on_tick, code: {}, date: {}, time: {}", newTick->code(), ctx->stra_get_date(), ctx->stra_get_time()).c_str());
}

void WtStraDualThrust::on_bar(ICtaStraCtx* ctx, const char* stdCode, const char* period, WTSBarStruct* newBar)
{
	//没有什么要处理
	ctx->stra_log_info(fmt::format("回调 on_bar, code: {}, date: {}, time: {}", stdCode, ctx->stra_get_date(), ctx->stra_get_time()).c_str());
}