概要

下面的策略獲取了指定Instrument過往的bars，用來確定訂單的方向。如果收盤價大于開盤價，創建多單。否則創建空單。每個盈利的交易-----------

定義可配置參數

為了給我們的策略定義可配置的策略，我們需要使用@Configurable注解。

下面的代碼片段定義了4個可配置參數：Instrument, Amount, Take profit, Stop loss并設置了默認值。

字段engine和history用來從各自的歷史數據中拉取bars。

public class SimpleTpSlStrategy implements IStrategy {    
    // Configurable parameters    
    @Configurable("Instrument") 
    public Instrument instrument = Instrument.EURUSD;
    @Configurable("Amount")    
    public double amount = 0.001;    
    @Configurable("Stop loss")    
    public int slPips = 10;    
    @Configurable("Take profit on loss")    
    public int tpPipsOnLoss = 10;    
    @Configurable("Take profit on profit")  
    public int tpPipsOnProfit = 5;   
     
    private IEngine engine;    
    private IHistory history;    
    private IConsole console;    
    private IContext context;    
    private IOrder order;

onStart方法

onStart方法在策略開始的時候被調用。
我們使用它來創建初始訂單。下面的代碼片段從歷史數據中拉取了之前的日bar，標示了初始訂單的方向并提交了訂單。

方法submitOrder(double amount, OrderCommand orderCmd, double takeProfitPips)計算了合適的止損和止盈價格并創建一個新的訂單：

public void onStart(IContext context) throws JFException {
    this.engine = context.getEngine();
    this.history = context.getHistory();
    this.console = context.getConsole();
    this.context = context;
    // subscribe the instrument that we are going to work with
    context.setSubscribedInstruments(java.util.Collections.singleton(instrument));
    // Fetching previous daily bar from history
    IBar prevDailyBar = history.getBar(instrument, Period.DAILY, OfferSide.ASK, 1);
    // Identifying the side of the initial order
    OrderCommand orderCmd = prevDailyBar.getClose() > prevDailyBar.getOpen() 
            ? OrderCommand.BUY 
            : OrderCommand.SELL;
    // submitting the order with the specified amount, command and take profit
    submitOrder(amount, orderCmd, tpPipsOnLoss);
}

private void submitOrder(double amount, OrderCommand orderCmd, double tpPips) throws JFException {
    double slPrice, tpPrice;
    ITick lastTick = history.getLastTick(instrument);
    // Calculating stop loss and take profit prices
    if (orderCmd == OrderCommand.BUY) {
        slPrice = lastTick.getAsk() - slPips * instrument.getPipValue();
        tpPrice = lastTick.getAsk() + tpPips * instrument.getPipValue();
    } else {
        slPrice = lastTick.getBid() + slPips * instrument.getPipValue();
        tpPrice = lastTick.getBid() - tpPips * instrument.getPipValue();
    }
    // Submitting the order for the specified instrument at the current market price
    order = engine.submitOrder(orderCmd.toString() + System.currentTimeMillis(), instrument, orderCmd, amount, 0, 20, slPrice, tpPrice);
}

onMessage方法

onMessage方法在每次收到新消息的時候被調用，在我們的例子里，就是每次訂單關閉的時候。我們用它來創建新的訂單。

public void onMessage(IMessage message) throws JFException {
    if (message.getType() != Type.ORDER_CLOSE_OK
            || !message.getOrder().equals(order) //only respond to our own order close
        ) {
        return;
    }
    console.getInfo().format("%s closed with P/L %.1f pips", order.getLabel(), order.getProfitLossInPips()).println();
    if (message.getReasons().contains(IMessage.Reason.ORDER_CLOSED_BY_TP)) {
        // on close by TP we keep the order direction
        submitOrder(amount, order.getOrderCommand(), tpPipsOnProfit);
    } else if (message.getReasons().contains(IMessage.Reason.ORDER_CLOSED_BY_SL)) {
        //  on close by SL we change the order direction and use other TP distance
        OrderCommand orderCmd = order.isLong() ? OrderCommand.SELL : OrderCommand.BUY;
        submitOrder(amount, orderCmd, tpPipsOnLoss);
    } else {
        //on manual close or close by another strategy we stop our strategy
        console.getOut().println("Order closed either from outside the strategy. Stopping the strategy.");
        context.stop();
    }
}

public void onStop() throws JFException {
    if(order.getState() == IOrder.State.FILLED || order.getState() == IOrder.State.OPENED){
        order.close();
    }
}

下載

SimpleTpSIStrategy.java