六、区块量化 RSI策略

1、新增cross_rsi_order.py

# -*- coding: utf-8 -*-
import talib
import cross_order as order
import time
RSI_PERIODS = 14 # RSI计算周期
RSI_OVER_SOLD_THRESH = 30 # 超卖阈值
RSI_OVER_BOUGHT_THRESH = 70 # 超买阈值


def main():
print("任务开始时间：", time.strftime('%Y-%m-%d %H:%M:%S', time.localtime(time.time())))
for symbol in order.symbol_pool:
# 设置杠杆倍数
order.set_leverage(symbol=symbol, leverage='25')
# 获取标的的最新价
data = order.get_candlesticks(symbol=symbol, interval='15m', limit=str(RSI_PERIODS + 1))
close = data['close'].values
# 计算RSI
rsi_vals = talib.RSI(close, timeperiod=RSI_PERIODS)
# RSI策略
# RSI值上穿超卖阈值,以市价做多
if (rsi_vals[-2] < RSI_OVER_SOLD_THRESH) and (rsi_vals[-1] >= RSI_OVER_SOLD_THRESH):
order.up_cross_order(symbol=symbol,ordtype='market', message='RSI值上穿超卖阈值,以市价做多')
# RSI值下穿超买阈值,以市价做空
elif (rsi_vals[-2] > RSI_OVER_BOUGHT_THRESH) and (rsi_vals[-1] <= RSI_OVER_BOUGHT_THRESH):
order.down_cross_order(symbol=symbol,ordtype='market', message='RSI值下穿超买阈值,以市价做空')

time.sleep(5)

print("任务结束时间：", time.strftime('%Y-%m-%d %H:%M:%S', time.localtime(time.time())))


if __name__ == '__main__':
main()