【发布时间】：2021-10-29 19:39:23
【问题描述】：
我正在使用 Oanda API 来自动化交易策略，我有一个“价格”错误，仅在选择 XAG（银）等工具时出现，我的猜测是存在分类差异，但 Oanda 尚未回答关于此事。
选择外汇对时不会出现该错误。
如果过去有人遇到过此类问题并设法解决了，我会很高兴听到他们的意见。
PS：我在英国，可以使用包括差价合约在内的大多数产品
class SMABollTrader(tpqoa.tpqoa):
def __init__(self, conf_file, instrument, bar_length, SMA, dev, SMA_S, SMA_L, units):
super().__init__(conf_file)
self.instrument = instrument
self.bar_length = pd.to_timedelta(bar_length)
self.tick_data = pd.DataFrame()
self.raw_data = None
self.data = None
self.last_bar = None
self.units = units
self.position = 0
self.profits = []
self.price = []
#*****************add strategy-specific attributes here******************
self.SMA = SMA
self.dev = dev
self.SMA_S = SMA_S
self.SMA_L = SMA_L
#************************************************************************
def get_most_recent(self, days = 5):
while True:
time.sleep(2)
now = datetime.utcnow()
now = now - timedelta(microseconds = now.microsecond)
past = now - timedelta(days = days)
df = self.get_history(instrument = self.instrument, start = past, end = now,
granularity = "S5", price = "M", localize = False).c.dropna().to_frame()
df.rename(columns = {"c":self.instrument}, inplace = True)
df = df.resample(self .bar_length, label = "right").last().dropna().iloc[:-1]
self.raw_data = df.copy()
self.last_bar = self.raw_data.index[-1]
if pd.to_datetime(datetime.utcnow()).tz_localize("UTC") - self.last_bar < self.bar_length:
break
def on_success(self, time, bid, ask):
print(self.ticks, end = " ")
recent_tick = pd.to_datetime(time)
df = pd.DataFrame({self.instrument:(ask + bid)/2},
index = [recent_tick])
self.tick_data = self.tick_data.append(df)
if recent_tick - self.last_bar > self.bar_length:
self.resample_and_join()
self.define_strategy()
self.execute_trades()
def resample_and_join(self):
self.raw_data = self.raw_data.append(self.tick_data.resample(self.bar_length,
label="right").last().ffill().iloc[:-1])
self.tick_data = self.tick_data.iloc[-1:]
self.last_bar = self.raw_data.index[-1]
def define_strategy(self): # "strategy-specific"
df = self.raw_data.copy()
#******************** define your strategy here ************************
df["SMA"] = df[self.instrument].rolling(self.SMA).mean()
df["Lower"] = df["SMA"] - df[self.instrument].rolling(self.SMA).std() * self.dev
df["Upper"] = df["SMA"] + df[self.instrument].rolling(self.SMA).std() * self.dev
df["distance"] = df[self.instrument] - df.SMA
df["SMA_S"] = df[self.instrument].rolling(self.SMA_S).mean()
df["SMA_L"] = df[self.instrument].rolling(self.SMA_L).mean()
df["position"] = np.where(df[self.instrument] < df.Lower) and np.where(df["SMA_S"] > df["SMA_L"] ,1,np.nan)
df["position"] = np.where(df[self.instrument] > df.Upper) and np.where(df["SMA_S"] < df["SMA_L"], -1, df["position"])
df["position"] = np.where(df.distance * df.distance.shift(1) < 0, 0, df["position"])
df["position"] = df.position.ffill().fillna(0)
self.data = df.copy()
#***********************************************************************
def execute_trades(self):
if self.data["position"].iloc[-1] == 1:
if self.position == 0 or None:
order = self.create_order(self.instrument, self.units, suppress = True, ret = True)
self.report_trade(order, "GOING LONG")
elif self.position == -1:
order = self.create_order(self.instrument, self.units * 2, suppress = True, ret = True)
self.report_trade(order, "GOING LONG")
self.position = 1
elif self.data["position"].iloc[-1] == -1:
if self.position == 0:
order = self.create_order(self.instrument, -self.units, suppress = True, ret = True)
self.report_trade(order, "GOING SHORT")
elif self.position == 1:
order = self.create_order(self.instrument, -self.units * 2, suppress = True, ret = True)
self.report_trade(order, "GOING SHORT")
self.position = -1
elif self.data["position"].iloc[-1] == 0:
if self.position == -1:
order = self.create_order(self.instrument, self.units, suppress = True, ret = True)
self.report_trade(order, "GOING NEUTRAL")
elif self.position == 1:
order = self.create_order(self.instrument, -self.units, suppress = True, ret = True)
self.report_trade(order, "GOING NEUTRAL")
self.position = 0
def report_trade(self, order, going):
time = order["time"]
units = order["units"]
price = order["price"]
pl = float(order["pl"])
self.profits.append(pl)
cumpl = sum(self.profits)
print("\n" + 100* "-")
print("{} | {}".format(time, going))
print("{} | units = {} | price = {} | P&L = {} | Cum P&L = {}".format(time, units, price, pl, cumpl))
print(100 * "-" + "\n")
trader = SMABollTrader("oanda.cfg", "EUR_GBP", "15m", SMA = 82, dev = 4, SMA_S = 38, SMA_L = 135, units = 100000)
trader.get_most_recent()
trader.stream_data(trader.instrument, stop = None ) if trader.position != 0: # 如果我们有一个最终的未平仓头寸 close_order = trader.create_order(trader.instrument, 单位 = -trader.position * trader.units, 抑制=真，ret =真） trader.report_trade(close_order, "走向中立") 交易者.信号 = 0
【问题讨论】：
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