高频交易策略算法简单示例

# 高频交易策略算法实例

import numpy as np
import pandas as pd
from collections import deque
from typing import Dict, List, Tuple
import time

# ==================== 策略1: 做市商策略 (Market Making) ====================
class MarketMakingStrategy:
    """
    做市商策略：通过在买卖两侧同时挂单，赚取买卖价差
    """
    def __init__(self, spread: float = 0.001, order_size: float = 100):
        self.spread = spread  # 价差比例
        self.order_size = order_size  # 每次下单量
        self.inventory = 0  # 当前持仓
        self.max_inventory = 1000  # 最大持仓限制
        
    def generate_quotes(self, mid_price: float) -> Tuple[float, float]:
        """
        生成买卖报价
        """
        # 根据持仓调整报价，持仓过多时降低买价提高卖价
        inventory_skew = self.inventory / self.max_inventory * 0.0005
        
        bid_price = mid_price * (1 - self.spread / 2 - inventory_skew)
        ask_price = mid_price * (1 + self.spread / 2 - inventory_skew)
        
        return bid_price, ask_price
    
    def should_quote(self) -> bool:
        """
        判断是否应该报价
        """
        return abs(self.inventory) < self.max_inventory
    
    def update_inventory(self, trade_side: str, quantity: float):
        """
        更新持仓
        """
        if trade_side == 'buy':
            self.inventory += quantity
        elif trade_side == 'sell':
            self.inventory -= quantity

# ==================== 策略2: 统计套利策略 (Statistical Arbitrage) ====================
class StatisticalArbitrageStrategy:
    """
    统计套利：基于协整关系的配对交易
    """
    def __init__(self, lookback_period: int = 100, entry_threshold: float = 2.0, 
                 exit_threshold: float = 0.5):
        self.lookback_period = lookback_period
        self.entry_threshold = entry_threshold  # 入场标准差倍数
        self.exit_threshold = exit_threshold    # 出场标准差倍数
        self.price_history_a = deque(maxlen=lookback_period)
        self.price_history_b = deque(maxlen=lookback_period)
        self.position = 0  # 1: 做多价差, -1: 做空价差, 0: 无持仓
        
    def calculate_spread(self, price_a: float, price_b: float, hedge_ratio: float) -> float:
        """
        计算价差
        """
        return price_a - hedge_ratio * price_b
    
    def calculate_zscore(self, current_spread: float, spread_history: List[float]) -> float:
        """
        计算Z-Score
        """
        mean_spread = np.mean(spread_history)
        std_spread = np.std(spread_history)
        
        if std_spread == 0:
            return 0
        
        return (current_spread - mean_spread) / std_spread
    
    def generate_signal(self, price_a: float, price_b: float, hedge_ratio: float) -> int:
        """
        生成交易信号
        """
        self.price_history_a.append(price_a)
        self.price_history_b.append(price_b)
        
        if len(self.price_history_a) < self.lookback_period:
            return 0
        
        # 计算历史价差
        spread_history = [
            self.price_history_a[i] - hedge_ratio * self.price_history_b[i]
            for i in range(len(self.price_history_a))
        ]
        
        current_spread = self.calculate_spread(price_a, price_b, hedge_ratio)
        zscore = self.calculate_zscore(current_spread, spread_history)
        
        # 生成信号
        if self.position == 0:
            if zscore > self.entry_threshold:
                self.position = -1  # 价差过高，做空价差
                return -1
            elif zscore < -self.entry_threshold:
                self.position = 1   # 价差过低，做多价差
                return 1
        else:
            # 平仓逻辑
            if abs(zscore) < self.exit_threshold:
                signal = -self.position
                self.position = 0
                return signal
        
        return 0

# ==================== 策略3: 动量策略 (Momentum Strategy) ====================
class MomentumStrategy:
    """
    动量策略：捕捉短期价格趋势
    """
    def __init__(self, fast_period: int = 10, slow_period: int = 30, 
                 signal_threshold: float = 0.0005):
        self.fast_period = fast_period
        self.slow_period = slow_period
        self.signal_threshold = signal_threshold
        self.price_history = deque(maxlen=slow_period)
        self.position = 0
        
    def calculate_ema(self, prices: List[float], period: int) -> float:
        """
        计算指数移动平均
        """
        if len(prices) < period:
            return np.mean(prices)
        
        multiplier = 2 / (period + 1)
        ema = prices[0]
        
        for price in prices[1:]:
            ema = (price - ema) * multiplier + ema
        
        return ema
    
    def generate_signal(self, current_price: float) -> int:
        """
        生成交易信号
        """
        self.price_history.append(current_price)
        
        if len(self.price_history) < self.slow_period:
            return 0
        
        prices_list = list(self.price_history)
        fast_ema = self.calculate_ema(prices_list[-self.fast_period:], self.fast_period)
        slow_ema = self.calculate_ema(prices_list, self.slow_period)
        
        # 计算动量信号
        momentum = (fast_ema - slow_ema) / slow_ema
        
        if momentum > self.signal_threshold and self.position <= 0:
            self.position = 1
            return 1  # 买入信号
        elif momentum < -self.signal_threshold and self.position >= 0:
            self.position = -1
            return -1  # 卖出信号
        
        return 0

# ==================== 策略4: 订单流失衡策略 (Order Flow Imbalance) ====================
class OrderFlowImbalanceStrategy:
    """
    订单流失衡策略：基于买卖订单量的失衡进行交易
    """
    def __init__(self, window_size: int = 50, imbalance_threshold: float = 0.3):
        self.window_size = window_size
        self.imbalance_threshold = imbalance_threshold
        self.buy_volume_history = deque(maxlen=window_size)
        self.sell_volume_history = deque(maxlen=window_size)
        
    def calculate_imbalance(self, buy_volume: float, sell_volume: float) -> float:
        """
        计算订单流失衡度
        """
        total_volume = buy_volume + sell_volume
        if total_volume == 0:
            return 0
        
        return (buy_volume - sell_volume) / total_volume
    
    def generate_signal(self, buy_volume: float, sell_volume: float) -> int:
        """
        生成交易信号
        """
        self.buy_volume_history.append(buy_volume)
        self.sell_volume_history.append(sell_volume)
        
        if len(self.buy_volume_history) < self.window_size:
            return 0
        
        # 计算累积订单流失衡
        total_buy = sum(self.buy_volume_history)
        total_sell = sum(self.sell_volume_history)
        
        imbalance = self.calculate_imbalance(total_buy, total_sell)
        
        # 生成信号
        if imbalance > self.imbalance_threshold:
            return 1  # 买单占优，买入
        elif imbalance < -self.imbalance_threshold:
            return -1  # 卖单占优，卖出
        
        return 0

# ==================== 策略5: 微观结构策略 (Microstructure Strategy) ====================
class MicrostructureStrategy:
    """
    微观结构策略：基于买卖价差和深度的策略
    """
    def __init__(self, spread_threshold: float = 0.001, depth_ratio_threshold: float = 1.5):
        self.spread_threshold = spread_threshold
        self.depth_ratio_threshold = depth_ratio_threshold
        
    def calculate_spread_ratio(self, bid: float, ask: float) -> float:
        """
        计算价差比例
        """
        mid_price = (bid + ask) / 2
        return (ask - bid) / mid_price
    
    def calculate_depth_imbalance(self, bid_depth: float, ask_depth: float) -> float:
        """
        计算深度失衡
        """
        total_depth = bid_depth + ask_depth
        if total_depth == 0:
            return 0
        
        return (bid_depth - ask_depth) / total_depth
    
    def generate_signal(self, bid: float, ask: float, 
                       bid_depth: float, ask_depth: float) -> int:
        """
        生成交易信号
        """
        spread_ratio = self.calculate_spread_ratio(bid, ask)
        
        # 价差过大时不交易
        if spread_ratio > self.spread_threshold:
            return 0
        
        depth_imbalance = self.calculate_depth_imbalance(bid_depth, ask_depth)
        
        # 基于深度失衡生成信号
        if depth_imbalance > 0.3:
            return 1  # 买单深度大，预期上涨
        elif depth_imbalance < -0.3:
            return -1  # 卖单深度大，预期下跌
        
        return 0

# ==================== 策略管理器 ====================
class StrategyManager:
    """
    策略管理器：统一管理多个策略
    """
    def __init__(self):
        self.strategies = {}
        self.signals = {}
        
    def add_strategy(self, name: str, strategy):
        """
        添加策略
        """
        self.strategies[name] = strategy
        self.signals[name] = 0
        
    def update_signals(self, market_data: Dict):
        """
        更新所有策略信号
        """
        for name, strategy in self.strategies.items():
            if isinstance(strategy, MarketMakingStrategy):
                # 做市商策略特殊处理
                pass
            else:
                # 其他策略更新信号
                pass
        
    def get_combined_signal(self) -> int:
        """
        获取综合信号
        """
        total_signal = sum(self.signals.values())
        
        if total_signal > 0:
            return 1
        elif total_signal < 0:
            return -1
        
        return 0

# ==================== 使用示例 ====================
def example_usage():
    """
    策略使用示例
    """
    # 初始化策略
    mm_strategy = MarketMakingStrategy(spread=0.001, order_size=100)
    stat_arb = StatisticalArbitrageStrategy(lookback_period=100)
    momentum = MomentumStrategy(fast_period=10, slow_period=30)
    order_flow = OrderFlowImbalanceStrategy(window_size=50)
    micro = MicrostructureStrategy()
    
    # 模拟市场数据
    mid_price = 100.0
    
    # 做市商策略
    if mm_strategy.should_quote():
        bid, ask = mm_strategy.generate_quotes(mid_price)
        print(f"做市商报价 - 买价: {bid:.2f}, 卖价: {ask:.2f}")
    
    # 动量策略
    signal = momentum.generate_signal(mid_price)
    print(f"动量策略信号: {signal}")
    
    # 订单流策略
    signal = order_flow.generate_signal(buy_volume=1000, sell_volume=800)
    print(f"订单流策略信号: {signal}")
    
    # 微观结构策略
    signal = micro.generate_signal(bid=99.95, ask=100.05, 
                                   bid_depth=5000, ask_depth=3000)
    print(f"微观结构策略信号: {signal}")

if __name__ == "__main__":
    example_usage()