配置文件风格分享

作者：bigdig

我是VNPY深度用户，跑着17组50多个策略。下面是我的配置文件方式，在此抛砖引玉

CTA_setting.json

[
    {
        "name": "group_1",
        "className": "MultiStrategy",
        "vtSymbol": "rb1810",
        "posMultiper":"1",
        "kLineCycle":60,
        "initDays":0,
        "settingFile":
            [
                "CTA_setting_AdverseSelectionSpread.json",
                "CTA_setting_DoubleBottom.json",
                "CTA_setting_Gartly.json"
            ],
        "enable":true
    }
]

CTA_setting_Gartly.json

[

    {
        "name": "Gartly_1",
        "className": "GartlyStrategy",
        "vtSymbol": "${vtSymbol}",
        "kLineCycle":1,
        "initDays":10,
        "fixedSize":3,
        "enable":true
    },
    {
        "name": "Gartly_1_Cover",
        "className": "TopReturnCoverStrategy",
        "vtSymbol": "${vtSymbol}",
        "initDays":0,
        "kLineCycle":5,
        "enable":true
    },
    {
        "name": "Gartly_1_Cover_VPIN",
        "className": "VPINCoverStrategy",
        "vtSymbol": "${vtSymbol}",
        "initDays":0,
        "kLineCycle":3,
        "enable":true
    },
    {
        "name": "Gartly_1_Cover_VPIN_StopWin",
        "className": "VPINStopWinStrategy",
        "vtSymbol": "${vtSymbol}",
        "kLineCycle":3,
        "initDays":0,
        "enable":true
    },
    {
        "name": "Gartly_1_Hedge",
        "className": "GlobalHedgeStrategy",
        "vtSymbol": "${vtSymbol}",
        "initDays":0,
        "enable":true
    },

    {
        "name": "NoPosition",
        "className": "MultiStrategy",
        "vtSymbol": "${vtSymbol}",
        "kLineCycle":60,
        "initDays":0,
        "fixedSize":0,
        "settingFile":"CTA_setting_no_position.json",
        "enable":true
    }
]

给大家展示一种VNPY的一种可能玩法，不仅多策略可以组合实盘，也可以组合回测，这样Tick级别回测与实盘可以完整对照，策略开发到布署完全一致。 实盘每天的任务就很简单，定单对比，看看滑点 ^_^