送出訂單

此文章內容為策略開發教學，不代表任何投資建議

在上一篇教學裡面，我們成功取得 K 線資料，這篇教學中我們將利用歷史資料作為買賣依據，並送出訂單。

計算移動平均

以移動平均為例，我們將長、短週期移動平均線的黃金交叉與死亡交叉作為買進、賣出點。

在 __init__ 中設定長週期為 10、短週期為 5。

self.long_window_size = 10
self.short_window_size = 5

將歷史收盤價存入 close_price_history 用來計算移動平均。

當資料不足時 talib 會得到 NaN，無法判斷黃金交叉或死亡交叉，直接返回不交易。

def trade(self, candles):
    exchange, pair, base, quote = CA.get_exchange_pair()

    # get the latest 10 candles
    if len(candles[exchange][pair]) < self.long_window_size + 1:
        return
    candles[exchange][pair] = candles[exchange][pair][:self.long_window_size + 1]
    # use close price
    close_price_history = [candle['close'] for candle in candles[exchange][pair]]

candles 是由新到舊排列，而 talib 接受的輸入為舊到新排列，因此將資料進行反轉。

    # convert to chronological order for talib
    close_price_history.reverse()

轉換成 talib 接受的 np.array，並使用 talib 計算得到長、短週期的移動平均歷史。

    # convert np.array
    close_price_history = np.array(close_price_history)
    long_ma_history = talib.SMA(close_price_history, self.long_window_size)
    short_ma_history = talib.SMA(close_price_history, self.short_window_size)

送出訂單

取得可用資產數量。

    # get available balance
    base_balance = CA.get_balance(exchange, base)
    quote_balance = CA.get_balance(exchange, quote)
    available_base_amount = base_balance.available
    available_quote_amount = quote_balance.available

根據 long_ma_history, short_ma_history 最後兩筆資料判斷黃金交叉、死亡交叉，並檢查資產後送出訂單。

    if short_ma_history[-2] < long_ma_history[-2] and short_ma_history[-1] > long_ma_history[-1]:
        CA.log('黃金交叉')
        amount = 0.1
        if available_quote_amount >= amount * close_price_history[-1]:
            CA.log('買入 ' + base)
            CA.buy(exchange, pair, amount, CA.OrderType.MARKET)
        else:
            CA.log('資產不足')
    elif short_ma_history[-2] > long_ma_history[-2] and short_ma_history[-1] < long_ma_history[-1]:
        CA.log('死亡交叉')
        if available_base_amount > 0:
            CA.log('賣出 ' + base)
            CA.sell(exchange, pair, available_base_amount, CA.OrderType.MARKET)
        else:
            CA.log('資產不足')

完整程式碼

class Strategy(StrategyBase):
    def __init__(self):
        # strategy attributes
        self.period = 60 * 60
        self.subscribed_books = {}
        self.options = {}

        # define your attributes here
        self.long_window_size = 10
        self.short_window_size = 5

    def on_order_state_change(self,  order):
        pass

    def trade(self, candles):
        exchange, pair, base, quote = CA.get_exchange_pair()

        # get the latest 10 candles
        if len(candles[exchange][pair]) < self.long_window_size + 1:
            return
        candles[exchange][pair] = candles[exchange][pair][:self.long_window_size + 1]
        # use close price
        close_price_history = [candle['close'] for candle in candles[exchange][pair]]

        # convert to chronological order for talib
        close_price_history.reverse()
        # convert np.array
        close_price_history = np.array(close_price_history)
        long_ma_history = talib.SMA(close_price_history, self.long_window_size)
        short_ma_history = talib.SMA(close_price_history, self.short_window_size)

        # get available balance
        base_balance = CA.get_balance(exchange, base)
        quote_balance = CA.get_balance(exchange, quote)
        available_base_amount = base_balance.available
        available_quote_amount = quote_balance.available

        if short_ma_history[-2] < long_ma_history[-2] and short_ma_history[-1] > long_ma_history[-1]:
            CA.log('黃金交叉')
            amount = 0.1
            if available_quote_amount >= amount * close_price_history[-1]:
                CA.log('買入 ' + base)
                CA.buy(exchange, pair, amount, CA.OrderType.MARKET)
            else:
                CA.log('資產不足')
        elif short_ma_history[-2] > long_ma_history[-2] and short_ma_history[-1] < long_ma_history[-1]:
            CA.log('死亡交叉')
            if available_base_amount > 0:
                CA.log('賣出 ' + base)
                CA.sell(exchange, pair, available_base_amount, CA.OrderType.MARKET)
            else:
                CA.log('資產不足')