[Add]TestStrategy for testing cta strategy app

vnpy/app/cta_strategy/strategies/atr_rsi_strategy.py

@@ -13,7 +13,7 @@ from vnpy.app.cta_strategy import (
 class AtrRsiStrategy(CtaTemplate):
     """"""
 
-    author = '用Python的交易员'
+    author = "用Python的交易员"
 
     atr_length = 22
     atr_ma_length = 10
@@ -30,9 +30,9 @@ class AtrRsiStrategy(CtaTemplate):
     intra_trade_high = 0
     intra_trade_low = 0
 
-    parameters = ['atr_length', 'atr_ma_length', 'rsi_length',
+    parameters = ["atr_length", "atr_ma_length", "rsi_length",
-                  'rsi_entry', 'trailing_percent', 'fixed_size']
+                  "rsi_entry", "trailing_percent", "fixed_size"]
-    variables = ['atr_value', 'atr_ma', 'rsi_value', 'rsi_buy', 'rsi_sell']
+    variables = ["atr_value", "atr_ma", "rsi_value", "rsi_buy", "rsi_sell"]
 
     def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
         """"""

vnpy/app/cta_strategy/strategies/test_strategy.py

@@ -0,0 +1,125 @@
+from vnpy.app.cta_strategy import (
+    CtaTemplate,
+    StopOrder,
+    TickData,
+    BarData,
+    TradeData,
+    OrderData
+)
+
+from time import time
+
+
+class TestStrategy(CtaTemplate):
+    """"""
+    author = '用Python的交易员'
+
+    test_trigger = 10
+
+    tick_count = 0
+    test_all_done = False
+
+    parameters = ["test_trigger"]
+    variables = ["tick_count", "test_all_done"]
+
+    def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
+        """"""
+        super(TestStrategy, self).__init__(
+            cta_engine, strategy_name, vt_symbol, setting
+        )
+
+        self.test_funcs = [
+            self.test_market_order,
+            self.test_limit_order,
+            self.test_cancel_all,
+            self.test_stop_order
+        ]
+        self.last_tick = None
+
+    def on_init(self):
+        """
+        Callback when strategy is inited.
+        """
+        self.write_log("策略初始化")
+
+    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.
+        """
+        if self.test_all_done:
+            return
+
+        self.last_tick = tick
+
+        self.tick_count += 1
+        if self.tick_count >= self.test_trigger:
+            self.tick_count = 0
+
+            if self.test_funcs:
+                test_func = self.test_funcs.pop(0)
+
+                start = time()
+                test_func()
+                time_cost = (time() - start) * 1000
+                self.write_log("耗时%s毫秒" % (time_cost))
+            else:
+                self.write_log("测试已全部完成")
+                self.test_all_done = True
+
+        self.put_event()
+
+    def on_bar(self, bar: BarData):
+        """
+        Callback of new bar data update.
+        """
+        pass
+
+    def on_order(self, order: OrderData):
+        """
+        Callback of new order data update.
+        """
+        self.put_event()
+
+    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.
+        """
+        self.put_event()
+
+    def test_market_order(self):
+        """"""
+        self.buy(self.last_tick.limit_up, 1)
+        self.write_log("执行市价单测试")
+
+    def test_limit_order(self):
+        """"""
+        self.buy(self.last_tick.limit_down, 1)
+        self.write_log("执行限价单测试")
+
+    def test_stop_order(self):
+        """"""
+        self.buy(self.last_tick.ask_price_1, 1, True)
+        self.write_log("执行停止单测试")
+
+    def test_cancel_all(self):
+        """"""
+        self.cancel_all()
+        self.write_log("执行全部撤单测试")