2017-10-07 02:58:37 +00:00
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{
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"cells": [
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{
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"cell_type": "code",
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2017-10-08 14:32:07 +00:00
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"execution_count": 1,
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2017-10-07 02:58:37 +00:00
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"metadata": {
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"collapsed": false
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},
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"outputs": [],
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"source": [
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"%matplotlib inline\n",
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"\n",
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"from vnpy.trader.app.ctaStrategy.ctaBacktesting import BacktestingEngine, OptimizationSetting, MINUTE_DB_NAME\n",
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"from vnpy.trader.app.ctaStrategy.strategy.strategyBollChannel import BollChannelStrategy"
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]
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},
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{
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"cell_type": "code",
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2017-10-08 14:32:07 +00:00
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"execution_count": 2,
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2017-10-07 02:58:37 +00:00
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"metadata": {
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"collapsed": false
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},
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"outputs": [],
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"source": [
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"# 创建回测引擎对象\n",
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"engine = BacktestingEngine()"
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]
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},
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{
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"cell_type": "code",
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2017-10-08 14:32:07 +00:00
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"execution_count": 3,
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2017-10-07 02:58:37 +00:00
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"metadata": {
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"collapsed": false
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},
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"outputs": [],
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"source": [
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"# 设置回测使用的数据\n",
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"engine.setBacktestingMode(engine.BAR_MODE) # 设置引擎的回测模式为K线\n",
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"engine.setDatabase(MINUTE_DB_NAME, 'rb0000') # 设置使用的历史数据库\n",
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"engine.setStartDate('20110101') # 设置回测用的数据起始日期"
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]
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},
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{
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"cell_type": "code",
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2017-10-08 14:32:07 +00:00
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"execution_count": 4,
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2017-10-07 02:58:37 +00:00
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"metadata": {
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"collapsed": true
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},
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"outputs": [],
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"source": [
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"# 配置回测引擎参数\n",
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"engine.setSlippage(1) # 设置滑点为1跳\n",
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"engine.setRate(1/10000) # 设置手续费万1\n",
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"engine.setSize(10) # 设置合约大小 \n",
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"engine.setPriceTick(1) # 设置最小价格变动 \n",
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"engine.setCapital(30000) # 设置回测本金"
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]
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},
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{
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"cell_type": "code",
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2017-10-08 14:32:07 +00:00
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"execution_count": 5,
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2017-10-07 02:58:37 +00:00
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"metadata": {
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"collapsed": true
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},
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"outputs": [],
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"source": [
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"# 在引擎中创建策略对象\n",
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"d = {} # 策略参数配置\n",
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"engine.initStrategy(BollChannelStrategy, d) # 创建策略对象"
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]
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},
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{
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"cell_type": "code",
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2017-10-08 14:32:07 +00:00
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"execution_count": 6,
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2017-10-07 02:58:37 +00:00
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"metadata": {
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"collapsed": false
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},
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2017-10-08 14:32:07 +00:00
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"2017-10-08 22:23:52.427000\t开始载入数据\n",
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"2017-10-08 22:23:52.548000\t载入完成，数据量：332899\n",
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"2017-10-08 22:23:52.548000\t开始回测\n",
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"2017-10-08 22:23:52.548000\t策略初始化完成\n",
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"2017-10-08 22:23:52.548000\t策略启动完成\n",
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"2017-10-08 22:23:52.548000\t开始回放数据\n",
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"2017-10-08 22:24:07.417000\t数据回放结束\n"
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]
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}
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],
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2017-10-07 02:58:37 +00:00
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"source": [
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"# 运行回测\n",
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"engine.runBacktesting()"
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]
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},
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{
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"cell_type": "code",
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2017-10-08 14:32:07 +00:00
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"execution_count": 7,
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2017-10-07 02:58:37 +00:00
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"metadata": {
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"collapsed": false
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},
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2017-10-08 14:32:07 +00:00
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"2017-10-08 22:24:07.423000\t计算按日统计结果\n",
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"2017-10-08 22:24:07.451000\t------------------------------\n",
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"2017-10-08 22:24:07.451000\t首个交易日：\t2011-09-02\n",
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"2017-10-08 22:24:07.451000\t最后交易日：\t2017-09-29\n",
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"2017-10-08 22:24:07.451000\t总交易日：\t1478\n",
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"2017-10-08 22:24:07.451000\t盈利交易日\t640\n",
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"2017-10-08 22:24:07.451000\t亏损交易日：\t601\n",
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"2017-10-08 22:24:07.451000\t起始资金：\t30000\n",
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"2017-10-08 22:24:07.451000\t结束资金：\t82,010.0\n",
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"2017-10-08 22:24:07.451000\t总收益率：\t173.37\n",
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"2017-10-08 22:24:07.451000\t总盈亏：\t52,010.0\n",
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"2017-10-08 22:24:07.451000\t最大回撤: \t-3,790.0\n",
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"2017-10-08 22:24:07.451000\t总手续费：\t0.0\n",
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"2017-10-08 22:24:07.451000\t总滑点：\t5,890.0\n",
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"2017-10-08 22:24:07.451000\t总成交金额：\t18,246,990.0\n",
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"2017-10-08 22:24:07.451000\t总成交笔数：\t589.0\n",
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"2017-10-08 22:24:07.451000\t日均盈亏：\t35.19\n",
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"2017-10-08 22:24:07.451000\t日均手续费：\t0.0\n",
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"2017-10-08 22:24:07.451000\t日均滑点：\t3.99\n",
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"2017-10-08 22:24:07.451000\t日均成交金额：\t12,345.73\n",
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"2017-10-08 22:24:07.451000\t日均成交笔数：\t0.4\n",
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"2017-10-08 22:24:07.451000\t日均收益率：\t0.07%\n",
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"2017-10-08 22:24:07.451000\t收益标准差：\t0.73%\n",
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"2017-10-08 22:24:07.451000\tSharpe Ratio：\t1.45\n"
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]
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},
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{
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"data": {
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"image/png": "iVBORw0KGgoAAAANSUhEUgAAAnYAAAOlCAYAAADgiarMAAAABHNCSVQICAgIfAhkiAAAAAlwSFlz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\nDBkyhJSUFFwuFxMmTKB
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"text/plain": [
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"<matplotlib.figure.Figure at 0x11af54b0>"
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]
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},
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"metadata": {},
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"output_type": "display_data"
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}
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],
|
2017-10-07 02:58:37 +00:00
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"source": [
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"# 显示逐日回测结果\n",
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2017-10-07 15:25:59 +00:00
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"engine.showDailyResult()"
|
2017-10-07 02:58:37 +00:00
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {
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"collapsed": false
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},
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"outputs": [],
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"source": [
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"# 显示逐笔回测结果\n",
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"engine.showBacktestingResult()"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {
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"collapsed": false
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},
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"outputs": [],
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"source": [
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"# 显示前10条成交记录\n",
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|
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"for i in range(10):\n",
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" d = engine.tradeDict[str(i+1)].__dict__\n",
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" print 'TradeID: %s, Time: %s, Direction: %s, Price: %s, Volume: %s' %(d['tradeID'], d['dt'], d['direction'], d['price'], d['volume'])"
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]
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}
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],
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"metadata": {
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"kernelspec": {
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"display_name": "Python 2",
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"language": "python",
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|
"name": "python2"
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},
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|
"language_info": {
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|
"codemirror_mode": {
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|
"name": "ipython",
|
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|
|
"version": 2
|
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|
},
|
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|
|
"file_extension": ".py",
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|
"mimetype": "text/x-python",
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|
|
|
|
"name": "python",
|
|
|
|
|
|
"nbconvert_exporter": "python",
|
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|
|
"pygments_lexer": "ipython2",
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|
"version": "2.7.13"
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}
|
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},
|
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|
"nbformat": 4,
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|
"nbformat_minor": 0
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|
}
|
