text: from vnpy.app.cta_strategy import (
      CtaTemplate,
      StopOrder,
      TickData,
      BarData,
      TradeData,
      OrderData,
      BarGenerator,
      ArrayManager,
  )
  
  
  class MultiTimeframeStrategy(CtaTemplate):
      """"""
      author = "用Python的交易员"
  
      rsi_signal = 20
      rsi_window = 14
      fast_window = 5
      slow_window = 20
      fixed_size = 1
  
      rsi_value = 0
      rsi_long = 0
      rsi_short = 0
      fast_ma = 0
      slow_ma = 0
      ma_trend = 0
  
      parameters = ["rsi_signal", "rsi_window",
                    "fast_window", "slow_window",
                    "fixed_size"]
  
      variables = ["rsi_value", "rsi_long", "rsi_short",
                   "fast_ma", "slow_ma", "ma_trend"]
  
      def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
          """"""
          super().__init__(cta_engine, strategy_name, vt_symbol, setting)
  
          self.rsi_long = 50 + self.rsi_signal
          self.rsi_short = 50 - self.rsi_signal
  
          self.bg5 = BarGenerator(self.on_bar, 5, self.on_5min_bar)
          self.am5 = ArrayManager()
  
          self.bg15 = BarGenerator(self.on_bar, 15, self.on_15min_bar)
          self.am15 = ArrayManager()
  
      def on_init(self):
          """
          Callback when strategy is inited.
          """
          self.write_log("策略初始化")
          self.load_bar(1)
  
      def on_start(self):
          """
          Callback when strategy is started.
          """
          self.write_log("策略启动")
  
      def on_stop(self):
          """
          Callback when strategy is stopped.
          """
          self.write_log("策略停止")
  
      def on_tick(self, tick: TickData):
          """
          Callback of new tick data update.
          """
          self.bg5.update_tick(tick)
  
      def on_bar(self, bar: BarData):
          """
          Callback of new bar data update.
          """
          self.bg5.update_bar(bar)
          self.bg15.update_bar(bar)
  
      def on_5min_bar(self, bar: BarData):
          """"""
          self.cancel_all()
  
          self.am5.update_bar(bar)
          if not self.am5.inited:
              return
  
          if not self.ma_trend:
              return
  
          self.rsi_value = self.am5.rsi(self.rsi_window)
  
          if self.pos == 0:
              if self.ma_trend > 0 and self.rsi_value >= self.rsi_long:
                  self.buy(bar.close_price + 5, self.fixed_size)
              elif self.ma_trend < 0 and self.rsi_value <= self.rsi_short:
                  self.short(bar.close_price - 5, self.fixed_size)
  
          elif self.pos > 0:
              if self.ma_trend < 0 or self.rsi_value < 50:
                  self.sell(bar.close_price - 5, abs(self.pos))
  
          elif self.pos < 0:
              if self.ma_trend > 0 or self.rsi_value > 50:
                  self.cover(bar.close_price + 5, abs(self.pos))
  
          self.put_event()
  
      def on_15min_bar(self, bar: BarData):
          """"""
          self.am15.update_bar(bar)
          if not self.am15.inited:
              return
  
          self.fast_ma = self.am15.sma(self.fast_window)
          self.slow_ma = self.am15.sma(self.slow_window)
  
          if self.fast_ma > self.slow_ma:
              self.ma_trend = 1
          else:
              self.ma_trend = -1
  
      def on_order(self, order: OrderData):
          """
          Callback of new order data update.
          """
          pass
  
      def on_trade(self, trade: TradeData):
          """
          Callback of new trade data update.
          """
          self.put_event()
  
      def on_stop_order(self, stop_order: StopOrder):
          """
          Callback of stop order update.
          """
          pass
  