209 lines
7.6 KiB
Python
209 lines
7.6 KiB
Python
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# encoding: UTF-8
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'''
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这个文件加入在CTA回测引擎的基础上加入了辅助品种信息, 保持接口的一致, 可以在原CTA引擎上执行的代码,
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也可以在这个引擎上执行
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This file add multi Time Frame functionalities to CTA backtesting engine, the APIs are the
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same as CTA engine. Real trading code can be directly used for backtesting.
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'''
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from __future__ import division
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from vtFunction import loadMongoSetting
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from ctaBacktesting import *
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class BacktestEngineMultiTF(BacktestingEngine):
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def __init__(self):
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"""Constructor"""
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super(BacktestEngineMultiTF, self).__init__()
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self.info_symbols = [] # List, 输入辅助品种的2值tuple, 左边为数据库名, 右边为collection名
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self.InfoCursor = {} # Dict, 放置回测用辅助品种数据库
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self.initInfoCursor = {} # Dict, 放置初始化用辅助品种数据库
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self.infobar = {} # Dict, 放置辅助品种最新一个K线数据
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self.MultiOn = False # Boolean, 判断是否传入了辅助品种
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# ----------------------------------------------------------------------
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def setDatabase(self, dbName, symbol, **kwargs):
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"""set database that provide historical data"""
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self.dbName = dbName
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# Set executed symbol and information symbols
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self.symbol = symbol
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if "info_symbol" in kwargs:
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self.info_symbols = kwargs["info_symbol"]
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# Turn on MultiTF switch
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if len(self.info_symbols) > 0:
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self.MultiOn = True
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# ----------------------------------------------------------------------
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def loadInitData(self, collection, **kwargs):
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"""Load initializing data"""
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# 载入初始化需要用的数据
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# Load initialised data
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# $gte means "greater and equal to"
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# $lt means "less than"
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flt = {'datetime': {'$gte': self.dataStartDate,
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'$lt': self.strategyStartDate}}
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self.initCursor = collection.find(flt)
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# 初始化辅助品种数据
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# Initializing information data
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if "inf" in kwargs:
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for name in kwargs["inf"]:
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DB = kwargs["inf"][name]
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self.initInfoCursor[name] = DB.find(flt)
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# 将数据从查询指针中读取出，并生成列表
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# Read data from cursor, generate a list
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self.initData = []
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for d in self.initCursor:
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data = self.dataClass()
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data.__dict__ = d
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self.initData.append(data)
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# ----------------------------------------------------------------------
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def loadHistoryData(self):
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"""载入历史数据"""
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"""load historical data"""
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host, port = loadMongoSetting()
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self.dbClient = pymongo.MongoClient(host, port)
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collection = self.dbClient[self.dbName][self.symbol]
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# Load historical data of information symbols, construct a dictionary of Database
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# Values of dictionary are mongo.Client.
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info_collection = {}
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if self.MultiOn is True:
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for DBname, symbol in self.info_symbols:
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info_collection[DBname + " " + symbol] = self.dbClient[DBname][symbol]
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self.output("Start loading historical data")
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# 首先根据回测模式，确认要使用的数据类
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# Choose data type based on backtest mode
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if self.mode == self.BAR_MODE:
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self.dataClass = CtaBarData
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self.func = self.newBar
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else:
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self.dataClass = CtaTickData
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self.func = self.newTick
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# Load initializing data
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self.loadInitData(collection, inf=info_collection)
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# 载入回测数据
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# Load backtest data (exclude initializing data)
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if not self.dataEndDate:
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# If "End Date" is not set, retreat data up to today
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flt = {'datetime': {'$gte': self.strategyStartDate}}
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else:
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flt = {'datetime': {'$gte': self.strategyStartDate,
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'$lte': self.dataEndDate}}
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self.dbCursor = collection.find(flt)
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if self.MultiOn is True:
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for db in info_collection:
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self.InfoCursor[db] = info_collection[db].find(flt)
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self.output(
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"Data loading completed, data volumn: %s" % (self.initCursor.count() + self.dbCursor.count() + \
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sum([i.count() for i in self.InfoCursor.values()])))
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else:
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self.output("Data loading completed, data volumn: %s" % (self.initCursor.count() + self.dbCursor.count()))
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# ----------------------------------------------------------------------
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def runBacktesting(self):
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"""运行回测"""
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"""Run backtesting"""
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# 载入历史数据
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# Load historical data
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self.loadHistoryData()
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self.output("Start backtesing!")
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self.strategy.inited = True
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self.strategy.onInit()
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self.output("Strategy initialsing complete")
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self.strategy.trading = True
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self.strategy.onStart()
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self.output("Strategy started")
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self.output("Processing historical data...")
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dataClass = self.dataClass
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func = self.func
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for d in self.dbCursor:
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data = dataClass()
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data.__dict__ = d
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func(data)
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self.output("No more historical data")
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# ----------------------------------------------------------------------
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def checkInformationData(self):
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"""Update information symbols' data"""
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# If infobar is empty, which means it is the first time calling this method
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if self.infobar == {}:
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for info_symbol in self.InfoCursor:
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try:
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self.infobar[info_symbol] = next(self.InfoCursor[info_symbol])
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except StopIteration:
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print "Data of information symbols is empty! Input must be a list, not str."
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raise
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temp = {}
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for info_symbol in self.infobar:
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data = self.infobar[info_symbol]
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# Update data only when Time Stamp is matched
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if (data is not None) and (data['datetime'] <= self.dt):
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try:
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temp[info_symbol] = CtaBarData()
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temp[info_symbol].__dict__ = data
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self.infobar[info_symbol] = next(self.InfoCursor[info_symbol])
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except StopIteration:
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self.infobar[info_symbol] = None
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self.output("No more data in information database.")
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else:
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temp[info_symbol] = None
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return temp
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# ----------------------------------------------------------------------
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def newBar(self, bar):
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"""新的K线"""
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"""new ohlc Bar"""
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self.bar = bar
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self.dt = bar.datetime
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self.updatePosition() # Update total position value based on new Bar
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self.crossLimitOrder() # 先撮合限价单
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self.crossStopOrder() # 再撮合停止单
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if self.MultiOn is True:
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self.strategy.onBar(bar, infobar=self.checkInformationData()) # 推送K线到策略中
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else:
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self.strategy.onBar(bar) # 推送K线到策略中
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# ----------------------------------------------------------------------
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def newTick(self, tick):
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"""新的Tick"""
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"""new Tick"""
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self.tick = tick
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self.dt = tick.datetime
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self.crossLimitOrder()
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self.crossStopOrder()
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self.strategy.onTick(tick)
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########################################################################
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