tune backtestEngine
This commit is contained in:
msincenselee
parent
ec429b62f6
commit
019dc69bf2
@ -429,8 +429,13 @@ class StrategyEngine(object):
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#----------------------------------------------------------------------
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def __registerEvent(self):
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"""注册事件监听"""
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#注册订阅行情数据更新事件
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self.__eventEngine.register(EVENT_MARKETDATA, self.__updateMarketData)
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#注册订阅订单更新事件
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self.__eventEngine.register(EVENT_ORDER, self.__updateOrder)
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#注册订阅交易响应事件
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self.__eventEngine.register(EVENT_TRADE ,self.__updateTrade)
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#----------------------------------------------------------------------
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@ -11,6 +11,7 @@ from datetime import datetime, timedelta, time
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from strategyEngine import *
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########################################################################
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class LimitOrder(object):
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"""限价单对象"""
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@ -252,9 +253,16 @@ class BacktestingEngine(object):
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#----------------------------------------------------------------------
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def startBacktesting(self):
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"""开始回测"""
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self.writeLog(u'开始回测')
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ISOTIMEFORMAT = '%Y-%m-%d %X'
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t1 = datetime.now()
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self.writeLog(u'开始回测,{0}'.format(str(t1 )))
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for data in self.listDataHistory:
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# 记录最新的TICK数据
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self.currentData = data
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@ -267,8 +275,11 @@ class BacktestingEngine(object):
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self.strategyEngine.updateMarketData(event)
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self.saveTradeData()
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self.writeLog(u'回测结束')
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t2 = datetime.now()
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self.writeLog(u'回测结束,{0},耗时:{1}秒'.format(str(t2),(t2-t1).seconds))
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#----------------------------------------------------------------------
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def sendOrder(self, instrumentid, exchangeid, price, pricetype, volume, direction, offset):
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@ -24,7 +24,7 @@ if __name__ == '__main__':
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be.connectMysql()
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#be.loadMongoDataHistory(symbol, datetime(2015,5,1), datetime.today())
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#be.loadMongoDataHistory(symbol, datetime(2012,1,9), datetime(2012,1,14))
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be.loadMysqlDataHistory(symbol, datetime(2012,1,9), datetime(2012,1,20))
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be.loadMysqlDataHistory(symbol, datetime(2012,1,9), datetime(2012,3,30))
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# 创建策略对象
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setting = {}
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@ -126,7 +126,7 @@ class SimpleEmaStrategy(StrategyTemplate):
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#tick.upperLimit = data['UpperLimitPrice']
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#tick.lowerLimit = data['LowerLimitPrice']
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tick.time = data['UpdateTime']
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#tick.ms = data['UpdateMillisec']
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#tick.time = UpdateTime
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@ -254,19 +254,28 @@ class SimpleEmaStrategy(StrategyTemplate):
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# 如果当前手头无仓位，则直接做多
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if self.pos == 0:
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# 涨停价买入开仓
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self.buy(self.currentTick.upperLimit, 1)
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# Modified by Incense Lee ：回测时，Tick数据中没有涨停价，只能使用当前价
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#self.buy(self.currentTick.upperLimit, 1)
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self.buy(self.currentTick.lastPrice, 1)
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# 手头有空仓，则先平空，再开多
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elif self.pos < 0:
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self.cover(self.currentTick.upperLimit, 1)
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self.buy(self.currentTick.upperLimit, 1)
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#self.cover(self.currentTick.upperLimit, 1)
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self.cover(self.currentTick.lastPrice, 1)
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#self.buy(self.currentTick.upperLimit, 1)
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self.buy(self.currentTick.lastPrice, 1)
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# 反之，做空
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elif self.fastEMA < self.slowEMA:
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if self.pos == 0:
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self.short(self.currentTick.lowerLimit, 1)
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# Modified by Incense Lee ：回测时，Tick数据中没有最低价价，只能使用当前价
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#self.short(self.currentTick.lowerLimit, 1)
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self.short(self.currentTick.lastPrice, 1)
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elif self.pos > 0:
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self.sell(self.currentTick.lowerLimit, 1)
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self.short(self.currentTick.lowerLimit, 1)
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#self.sell(self.currentTick.lowerLimit, 1)
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self.sell(self.currentTick.lastPrice, 1)
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#self.short(self.currentTick.lowerLimit, 1)
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self.short(self.currentTick.lastPrice, 1)
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# 记录日志
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log = self.name + u'，K线时间：' + str(time) + '\n' + \
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@ -322,7 +331,8 @@ def main():
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setting = {}
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setting['fastAlpha'] = 0.2
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setting['slowAlpha'] = 0.05
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se.createStrategy(u'EMA演示策略', 'IF1506', SimpleEmaStrategy, setting)
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#se.createStrategy(u'EMA演示策略', 'IF1506', SimpleEmaStrategy, setting)
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se.createStrategy(u'EMA演示策略', 'a', SimpleEmaStrategy, setting)
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# 启动所有策略
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se.startAll()
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@ -329,7 +329,7 @@ class StrategyEngine(object):
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self.writeLog(u'MysqlDB未连接，请检查')
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except MySQLdb.Error, e:
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self.writeLog(u'MysqlDB载入数据失败，请检查.Error {0}: {1}'.format(e.arg[0],e.arg[1]))
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self.writeLog(u'MysqlDB载入数据失败，请检查.Error %d: %s'.format(e.arg[0],e.arg[1]))
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td = timedelta(days=3)
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@ -406,6 +406,7 @@ class StrategyEngine(object):
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if not self.backtesting:
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#self.__recordTickToMongo(data)
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self.__recordTickToMysql(data)
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#----------------------------------------------------------------------
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def __processStopOrder(self, tick):
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"""处理停止单"""
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@ -416,6 +417,9 @@ class StrategyEngine(object):
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# 如果当前有该合约上的止损单
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if symbol in self.__dictStopOrder:
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print u'strategyEngine.py __processStopOrder() has stop order.'
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# 获取止损单列表
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listSO = self.__dictStopOrder[symbol] # SO:stop order
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@ -426,6 +430,7 @@ class StrategyEngine(object):
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# 如果是买入停止单，且最新成交价大于停止触发价
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if so.direction == DIRECTION_BUY and lastPrice >= so.price:
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# 以当日涨停价发出限价单买入
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print u'sendOrder({0},{1},{2},{3},{4}'.format(symbol,'Direction_Buy',so.offset,upperLimit,so.volume)
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ref = self.sendOrder(symbol, DIRECTION_BUY, so.offset,
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upperLimit, so.volume, strategy)
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@ -437,6 +442,7 @@ class StrategyEngine(object):
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# 如果是卖出停止单，且最新成交价小于停止触发价
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elif so.direction == DIRECTION_SELL and lastPrice <= so.price:
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print u'sendOrder({0},{1},{2},{3},{4}'.format(symbol,'Direction_Sell',so.offset,upperLimit,so.volume)
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ref = self.sendOrder(symbol, DIRECTION_SELL, so.offset,
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lowerLimit, so.volume, strategy)
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@ -452,10 +458,15 @@ class StrategyEngine(object):
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# 检查停止单列表是否为空，若为空，则从停止单字典中移除该合约代码
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if not listSO:
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del self.__dictStopOrder[symbol]
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#----------------------------------------------------------------------
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def updateOrder(self, event):
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"""报单更新"""
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"""事件响应：报单更新"""
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#print u'strategyEngine.py updateOrder() begin.'
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data = event.dict_['data']
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orderRef = data['OrderRef']
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@ -485,10 +496,14 @@ class StrategyEngine(object):
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# 记录该Order的数据
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self.__dictOrder[orderRef] = data
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#print u'strategyEngine.py updateOrder() end.'
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#----------------------------------------------------------------------
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def updateTrade(self, event):
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"""成交更新"""
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"""事件响应：成交更新"""
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#print u'strategyEngine.py updateTrade() begin.'
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data = event.dict_['data']
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orderRef = data['OrderRef']
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@ -507,8 +522,10 @@ class StrategyEngine(object):
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# 推送给策略
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strategy = self.__dictOrderRefStrategy[orderRef]
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strategy.onTrade(trade)
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strategy.onTrade(trade)
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#print u'strategyEngine.py updateTrade() end.'
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#----------------------------------------------------------------------
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def sendOrder(self, symbol, direction, offset, price, volume, strategy):
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"""
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@ -520,9 +537,12 @@ class StrategyEngine(object):
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volume：下单手数
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strategy：策略对象
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"""
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#print u'strategyEngine.py sendOrder() begin.'
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contract = self.mainEngine.selectInstrument(symbol)
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if contract:
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#放入事件引擎
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ref = self.mainEngine.sendOrder(symbol,
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contract['ExchangeID'],
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price,
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@ -532,7 +552,9 @@ class StrategyEngine(object):
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offset)
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self.__dictOrderRefStrategy[ref] = strategy
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#print u'strategyEngine.py sendOrder() end.'
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return ref
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#----------------------------------------------------------------------
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@ -540,6 +562,7 @@ class StrategyEngine(object):
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"""
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撤单
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"""
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print u'strategyEngine.py cancelOrder() begin.'
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order = self.__dictOrder[orderRef]
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symbol = order['InstrumentID']
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contract = self.mainEngine.selectInstrument(symbol)
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@ -550,12 +573,20 @@ class StrategyEngine(object):
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orderRef,
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order['FrontID'],
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order['SessionID'])
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print u'strategyEngine.py cancelOrder() end.'
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#----------------------------------------------------------------------
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def __registerEvent(self):
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"""注册事件监听"""
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#注册订阅行情数据更新事件
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self.__eventEngine.register(EVENT_MARKETDATA, self.updateMarketData)
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#注册订阅订单更新事件
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self.__eventEngine.register(EVENT_ORDER, self.updateOrder)
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#注册订阅交易响应事件
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self.__eventEngine.register(EVENT_TRADE ,self.updateTrade)
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#----------------------------------------------------------------------
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@ -568,6 +599,7 @@ class StrategyEngine(object):
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#----------------------------------------------------------------------
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def registerStrategy(self, symbol, strategy):
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"""注册策略对合约TICK数据的监听"""
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print u'strategyEngine.py registerStrategy() begin.'
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# 尝试获取监听该合约代码的策略的列表，若无则创建
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try:
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listStrategy = self.__dictSymbolStrategy[symbol]
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@ -579,6 +611,8 @@ class StrategyEngine(object):
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if strategy not in listStrategy:
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listStrategy.append(strategy)
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print u'strategyEngine.py registerStrategy() end.'
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#----------------------------------------------------------------------
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def placeStopOrder(self, symbol, direction, offset, price, volume, strategy):
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"""
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@ -586,6 +620,8 @@ class StrategyEngine(object):
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注意这里的price是停止单的触发价
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"""
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# 创建止损单对象
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print u'strategyEngine.py placeStopOrder() begin.'
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so = StopOrder(symbol, direction, offset, price, volume, strategy)
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# 获取该合约相关的止损单列表
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@ -597,12 +633,17 @@ class StrategyEngine(object):
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# 将该止损单插入列表中
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listSO.append(so)
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print u'strategyEngine.py placeStopOrder() end.'
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return so
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#----------------------------------------------------------------------
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def cancelStopOrder(self, so):
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"""撤销停止单"""
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print u'strategyEngine.py cancelStopOrder() begin.'
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symbol = so.symbol
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try:
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@ -615,6 +656,8 @@ class StrategyEngine(object):
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del self.__dictStopOrder[symbol]
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except KeyError:
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pass
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print u'strategyEngine.py cancelStopOrder() end.'
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#----------------------------------------------------------------------
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def startAll(self):
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@ -700,6 +743,8 @@ class StrategyTemplate(object):
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#----------------------------------------------------------------------
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def buy(self, price, volume, stopOrder=False):
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"""买入开仓"""
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print u'strategyEngine.py StrategyTemplate({3}) buy() begin. symbol:{0}, price:{1},volume:{2}'.format(self.symbol, price, volume, self.name)
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if self.trading:
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if stopOrder:
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so = self.engine.placeStopOrder(self.symbol, DIRECTION_BUY,
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@ -711,10 +756,15 @@ class StrategyTemplate(object):
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return ref
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else:
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return None
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#print (u'strategyEngine.py buy() end.')
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#----------------------------------------------------------------------
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def cover(self, price, volume, stopOrder=False):
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"""买入平仓"""
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print u'strategyEngine.py StrategyTemplate({3}) cover() begin. symbol:{0}, price:{1},volume:{2}'.format(self.symbol, price, volume, self.name)
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if self.trading:
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if stopOrder:
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so = self.engine.placeStopOrder(self.symbol, DIRECTION_BUY,
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@ -726,10 +776,14 @@ class StrategyTemplate(object):
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return ref
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else:
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return None
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print (u'strategyEngine.py cover() end.')
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#----------------------------------------------------------------------
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def sell(self, price, volume, stopOrder=False):
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"""卖出平仓"""
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print u'strategyEngine.py StrategyTemplate({3}) sell() begin. symbol:{0}, price:{1},volume:{2}'.format(self.symbol, price, volume, self.name)
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if self.trading:
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if stopOrder:
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so = self.engine.placeStopOrder(self.symbol, DIRECTION_SELL,
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@ -741,10 +795,12 @@ class StrategyTemplate(object):
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return ref
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else:
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return None
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#print u'strategyEngine.py sell() end.'
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#----------------------------------------------------------------------
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def short(self, price, volume, stopOrder=False):
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"""卖出开仓"""
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print u'strategyEngine.py StrategyTemplate({3}) short() begin. symbol:{0}, price:{1},volume:{2}'.format(self.symbol, price, volume, self.name)
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if self.trading:
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if stopOrder:
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so = self.engine.placeStopOrder(self.symbol, DIRECTION_SELL,
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@ -756,7 +812,8 @@ class StrategyTemplate(object):
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return ref
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else:
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return None
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#print u'strategyEngine.py short() end.'
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#----------------------------------------------------------------------
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def cancelOrder(self, orderRef):
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"""撤单"""
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