用vnpy写一个双均线交易策略

好的，下面是一个使用vnpy写的双均线交易策略的示例代码：

from vnpy.app.cta_strategy import (
    CtaTemplate,
    TickData,
    BarData,
    TradeData,
    OrderData,
    BarGenerator,
    ArrayManager
)

class DoubleMaStrategy(CtaTemplate):
    """"""

    author = "vnpy"

    # 策略参数
    fast_window = 10
    slow_window = 20
    fixed_size = 1

    # 策略变量
    pos = 0
    fast_ma = 0.0
    slow_ma = 0.0
    ma_trend = 0

    # 参数列表，保存了参数的名称
    parameters = ["fast_window", "slow_window", "fixed_size"]

    # 变量列表，保存了变量的名称
    variables = ["pos", "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.bg = BarGenerator(self.on_bar)
        self.am = ArrayManager()

    def on_init(self):
        """"""
        self.write_log("策略初始化")
        self.load_bar(10)

    def on_start(self):
        """"""
        self.write_log("策略启动")

    def on_stop(self):
        """"""
        self.write_log("策略停止")

    def on_tick(self, tick: TickData):
        """"""
        self.bg.update_tick(tick)

    def on_bar(self, bar: BarData):
        """"""
        self.cancel_all()

        am = self.am
        am.update_bar(bar)
        if not am.inited:
            return

        # 计算快慢均线
        self.fast_ma = am.sma(self.fast_window)
        self.slow_ma = am.sma(self.slow_window)

        # 判断交叉
        if self.fast_ma > self.slow_ma and self.ma_trend <= 0:
            self.buy(bar.close_price+5, self.fixed_size)
            self.ma_trend = 1
        elif self.fast_ma < self.slow_ma and self.ma_trend >= 0:
            self.sell(bar.close_price-5, self.fixed_size)
            self.ma_trend = -1

        self.put_event()

    def on_trade(self, trade: TradeData):
        """"""
        self.put_event()

    def on_order(self, order: OrderData):
        """"""
        self.put_event()

    def on_stop_order(self, stop_order: StopOrder):
        """"""
        self.put_event()

以上代码实现了一个简单的双均线交易策略，当快均线（10日均线）上穿慢均线（20日均线）时，做多开仓；当快均线下穿慢均线时，平掉全部仓位。