[Mod] add support for reverse contract in CtaBacktester

vnpy/app/cta_backtester/engine.py

@@ -133,6 +133,7 @@ class BacktesterEngine(BaseEngine):
         size: int,
         pricetick: float,
         capital: int,
+        inverse: bool,
         setting: dict
     ):
         """"""
@@ -151,7 +152,8 @@ class BacktesterEngine(BaseEngine):
             slippage=slippage,
             size=size,
             pricetick=pricetick,
-            capital=capital
+            capital=capital,
+            inverse=inverse
         )
 
         strategy_class = self.classes[class_name]
@@ -184,6 +186,7 @@ class BacktesterEngine(BaseEngine):
         size: int,
         pricetick: float,
         capital: int,
+        inverse: bool,
         setting: dict
     ):
         if self.thread:
@@ -204,6 +207,7 @@ class BacktesterEngine(BaseEngine):
                 size,
                 pricetick,
                 capital,
+                inverse,
                 setting
             )
         )
@@ -240,6 +244,7 @@ class BacktesterEngine(BaseEngine):
         size: int,
         pricetick: float,
         capital: int,
+        inverse: bool,
         optimization_setting: OptimizationSetting,
         use_ga: bool
     ):
@@ -263,7 +268,8 @@ class BacktesterEngine(BaseEngine):
             slippage=slippage,
             size=size,
             pricetick=pricetick,
-            capital=capital
+            capital=capital,
+            inverse=inverse
         )
 
         strategy_class = self.classes[class_name]
@@ -303,6 +309,7 @@ class BacktesterEngine(BaseEngine):
         size: int,
         pricetick: float,
         capital: int,
+        inverse: bool,
         optimization_setting: OptimizationSetting,
         use_ga: bool
     ):
@@ -324,6 +331,7 @@ class BacktesterEngine(BaseEngine):
                 size,
                 pricetick,
                 capital,
+                inverse,
                 optimization_setting,
                 use_ga
             )

vnpy/app/cta_backtester/ui/widget.py

@@ -84,6 +84,9 @@ class BacktesterManager(QtWidgets.QWidget):
         self.pricetick_line = QtWidgets.QLineEdit("0.2")
         self.capital_line = QtWidgets.QLineEdit("1000000")
 
+        self.inverse_combo = QtWidgets.QComboBox()
+        self.inverse_combo.addItems(["正向", "反向"])
+
         backtesting_button = QtWidgets.QPushButton("开始回测")
         backtesting_button.clicked.connect(self.start_backtesting)
 
@@ -136,6 +139,7 @@ class BacktesterManager(QtWidgets.QWidget):
         form.addRow("合约乘数", self.size_line)
         form.addRow("价格跳动", self.pricetick_line)
         form.addRow("回测资金", self.capital_line)
+        form.addRow("合约模式", self.inverse_combo)
 
         left_vbox = QtWidgets.QVBoxLayout()
         left_vbox.addLayout(form)
@@ -248,6 +252,11 @@ class BacktesterManager(QtWidgets.QWidget):
         pricetick = float(self.pricetick_line.text())
         capital = float(self.capital_line.text())
 
+        if self.inverse_combo.currentText() == "正向":
+            inverse = False
+        else:
+            inverse = True
+
         old_setting = self.settings[class_name]
         dialog = BacktestingSettingEditor(class_name, old_setting)
         i = dialog.exec()
@@ -268,6 +277,7 @@ class BacktesterManager(QtWidgets.QWidget):
             size,
             pricetick,
             capital,
+            inverse,
             new_setting
         )
 
@@ -298,6 +308,11 @@ class BacktesterManager(QtWidgets.QWidget):
         pricetick = float(self.pricetick_line.text())
         capital = float(self.capital_line.text())
 
+        if self.inverse_combo.currentText() == "正向":
+            inverse = False
+        else:
+            inverse = True
+
         parameters = self.settings[class_name]
         dialog = OptimizationSettingEditor(class_name, parameters)
         i = dialog.exec()
@@ -318,6 +333,7 @@ class BacktesterManager(QtWidgets.QWidget):
             size,
             pricetick,
             capital,
+            inverse,
             optimization_setting,
             use_ga
         )

vnpy/app/cta_strategy/backtesting.py

@@ -1157,7 +1157,8 @@ def optimize(
     pricetick: float,
     capital: int,
     end: datetime,
-    mode: BacktestingMode
+    mode: BacktestingMode,
+    inverse: bool
 ):
     """
     Function for running in multiprocessing.pool
@@ -1174,7 +1175,8 @@ def optimize(
         pricetick=pricetick,
         capital=capital,
         end=end,
-        mode=mode
+        mode=mode,
+        inverse=inverse
     )
 
     engine.add_strategy(strategy_class, setting)