From 0ef6fc2151812989c666345a7ca06781bd688528 Mon Sep 17 00:00:00 2001 From: msincenselee Date: Fri, 10 Jan 2020 15:20:49 +0800 Subject: [PATCH] =?UTF-8?q?[=E5=A2=9E=E5=BC=BA]=20=E5=A2=9E=E5=8A=A0?= =?UTF-8?q?=E6=9C=9F=E8=B4=A7=E4=BF=9D=E8=AF=81=E9=87=91?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- install.bat | 2 +- install.sh | 2 +- vnpy/api/ctp/setup.py | 103 + vnpy/app/cta_strategy/engine.py | 2 +- vnpy/app/cta_strategy_pro/backtesting.py | 1277 +++++++++++ vnpy/app/cta_strategy_pro/engine.py | 108 +- .../app/cta_strategy_pro/portfolio_testing.py | 2036 +++++++++++++++++ vnpy/data/tdx/future_contracts.json | 332 +-- vnpy/data/tdx/refill_tdx_future_bars.py | 8 +- vnpy/data/tdx/tdx_future_data.py | 4 +- vnpy/data/tdx/test_tdx_future.py | 6 +- vnpy/gateway/ctp/ctp_gateway.py | 45 +- vnpy/trader/constant.py | 2 +- vnpy/trader/converter.py | 1 + vnpy/trader/engine.py | 6 +- vnpy/trader/object.py | 3 + vnpy/trader/utility.py | 4 + 17 files changed, 3778 insertions(+), 163 deletions(-) create mode 100644 vnpy/api/ctp/setup.py create mode 100644 vnpy/app/cta_strategy_pro/backtesting.py create mode 100644 vnpy/app/cta_strategy_pro/portfolio_testing.py diff --git a/install.bat b/install.bat index 75002ef9..17e83d7b 100644 --- a/install.bat +++ b/install.bat @@ -10,4 +10,4 @@ python -m pip install https://pip.vnpy.com/colletion/ibapi-9.75.1-001-py3-none-a python -m pip install -r requirements.txt :: Install vn.py -python -m pip install . \ No newline at end of file +:: python -m pip install . diff --git a/install.sh b/install.sh index 255d2426..227b7196 100644 --- a/install.sh +++ b/install.sh @@ -42,4 +42,4 @@ $python -m pip install -r requirements.txt locale-gen zh_CN.GB18030 # Install vn.py -$python -m pip install . $@ \ No newline at end of file +# $python -m pip install . $@ diff --git a/vnpy/api/ctp/setup.py b/vnpy/api/ctp/setup.py new file mode 100644 index 00000000..89c50a6c --- /dev/null +++ b/vnpy/api/ctp/setup.py @@ -0,0 +1,103 @@ +import platform + +from setuptools import Extension, setup + +# 编译前 +# pip install -U setuptools,pybind11 +# 在ctp目录下, +# activate py37 +# python setup.py build +dir_path = "ctp" +runtime_library_dirs = [] +if platform.uname().system == "Windows": + compiler_flags = [ + "/MP", "/std:c++17", # standard + "/O2", "/Ob2", "/Oi", "/Ot", "/Oy", "/GL", # Optimization + "/wd4819" # 936 code page + ] + extra_link_args = [] + +else: + compiler_flags = [ + "-std=c++17", # standard + "-O3", # Optimization + "-Wno-delete-incomplete", "-Wno-sign-compare", "-pthread" + ] + extra_link_args = ["-lstdc++"] + runtime_library_dirs = ["$ORIGIN"] + +vnctpmd = Extension( + # 编译对象 + "vnctpmd", + # 指定 vnctpmd 的位置 + [ + f"vnctp/vnctpmd/vnctpmd.cpp", + ], + # 编译需要的头文件 + include_dirs=[ + f"include", + f"vnctp", + ], + # 指定为c plus plus + language="cpp", + define_macros=[], + undef_macros=[], + # 依赖目录 + library_dirs=[f"libs", f"."], + # 依赖项 + libraries=["thostmduserapi_se", "thosttraderapi_se", ], + extra_compile_args=compiler_flags, + extra_link_args=extra_link_args, + depends=[], + runtime_library_dirs=runtime_library_dirs, +) +vnctptd = Extension( + "vnctptd", + [ + f"vnctp/vnctptd/vnctptd.cpp", + ], + include_dirs=[ + f"include", + f"vnctp", + ], + define_macros=[], + undef_macros=[], + library_dirs=[f"libs", f"."], + libraries=["thostmduserapi_se", "thosttraderapi_se"], + extra_compile_args=compiler_flags, + extra_link_args=extra_link_args, + runtime_library_dirs=runtime_library_dirs, + depends=[], + language="cpp", +) + +if platform.system() == "Windows": + # use pre-built pyd for windows ( support python 3.7 only ) + ext_modules = [vnctptd, vnctpmd] +elif platform.system() == "Darwin": + ext_modules = [] +else: + ext_modules = [vnctptd, vnctpmd] + +pkgs = [''] +install_requires = [] +setup( + name='ctp', + version='1.0', + description="good luck", + author='incenselee', + author_email='incenselee@hotmail.com', + license="MIT", + packages=pkgs, + install_requires=install_requires, + platforms=["Windows", "Linux", "Mac OS-X"], + package_dir={'ctp': 'ctp'}, + package_data={'ctp': ['*', ]}, + ext_modules=ext_modules, + classifiers=[ + 'Development Status :: 4 - Beta', + 'Intended Audience :: Developers', + 'License :: OSI Approved :: MIT License', + 'Programming Language :: Python :: 3.7', + ] +) diff --git a/vnpy/app/cta_strategy/engine.py b/vnpy/app/cta_strategy/engine.py index 68fd0457..a8ff991d 100644 --- a/vnpy/app/cta_strategy/engine.py +++ b/vnpy/app/cta_strategy/engine.py @@ -9,7 +9,7 @@ from typing import Any, Callable from datetime import datetime, timedelta from concurrent.futures import ThreadPoolExecutor from copy import copy -from logging import INFO, ERROR, DEBUG +from logging import INFO from vnpy.event import Event, EventEngine from vnpy.trader.engine import BaseEngine, MainEngine diff --git a/vnpy/app/cta_strategy_pro/backtesting.py b/vnpy/app/cta_strategy_pro/backtesting.py new file mode 100644 index 00000000..0c66ead9 --- /dev/null +++ b/vnpy/app/cta_strategy_pro/backtesting.py @@ -0,0 +1,1277 @@ +from collections import defaultdict +from datetime import date, datetime, timedelta +from typing import Callable +from itertools import product +from functools import lru_cache +from time import time +import multiprocessing +import random + +import numpy as np +import matplotlib.pyplot as plt +import seaborn as sns +from pandas import DataFrame +from deap import creator, base, tools, algorithms + +from vnpy.trader.constant import (Direction, Offset, Exchange, + Interval, Status) +from vnpy.trader.database import database_manager +from vnpy.trader.object import OrderData, TradeData, BarData, TickData +from vnpy.trader.utility import round_to + +from .base import ( + BacktestingMode, + EngineType, + STOPORDER_PREFIX, + StopOrder, + StopOrderStatus, + INTERVAL_DELTA_MAP +) +from .template import CtaTemplate + +sns.set_style("whitegrid") +creator.create("FitnessMax", base.Fitness, weights=(1.0,)) +creator.create("Individual", list, fitness=creator.FitnessMax) + + +class OptimizationSetting: + """ + Setting for runnning optimization. + """ + + def __init__(self): + """""" + self.params = {} + self.target_name = "" + + def add_parameter( + self, name: str, start: float, end: float = None, step: float = None + ): + """""" + if not end and not step: + self.params[name] = [start] + return + + if start >= end: + print("参数优化起始点必须小于终止点") + return + + if step <= 0: + print("参数优化步进必须大于0") + return + + value = start + value_list = [] + + while value <= end: + value_list.append(value) + value += step + + self.params[name] = value_list + + def set_target(self, target_name: str): + """""" + self.target_name = target_name + + def generate_setting(self): + """""" + keys = self.params.keys() + values = self.params.values() + products = list(product(*values)) + + settings = [] + for p in products: + setting = dict(zip(keys, p)) + settings.append(setting) + + return settings + + def generate_setting_ga(self): + """""" + settings_ga = [] + settings = self.generate_setting() + for d in settings: + param = [tuple(i) for i in d.items()] + settings_ga.append(param) + return settings_ga + + +class BacktestingEngine: + """""" + + engine_type = EngineType.BACKTESTING + gateway_name = "BACKTESTING" + + def __init__(self): + """""" + self.vt_symbol = "" + self.symbol = "" + self.exchange = None + self.start = None + self.end = None + self.rate = 0 + self.slippage = 0 + self.size = 1 + self.pricetick = 0 + self.capital = 1_000_000 + self.mode = BacktestingMode.BAR + self.inverse = False + + self.strategy_class = None + self.strategy = None + self.tick: TickData + self.bar: BarData + self.datetime = None + + self.interval = None + self.days = 0 + self.callback = None + self.history_data = [] + + self.stop_order_count = 0 + self.stop_orders = {} + self.active_stop_orders = {} + + self.limit_order_count = 0 + self.limit_orders = {} + self.active_limit_orders = {} + + self.trade_count = 0 + self.trades = {} + + self.logs = [] + + self.daily_results = {} + self.daily_df = None + + def clear_data(self): + """ + Clear all data of last backtesting. + """ + self.strategy = None + self.tick = None + self.bar = None + self.datetime = None + + self.stop_order_count = 0 + self.stop_orders.clear() + self.active_stop_orders.clear() + + self.limit_order_count = 0 + self.limit_orders.clear() + self.active_limit_orders.clear() + + self.trade_count = 0 + self.trades.clear() + + self.logs.clear() + self.daily_results.clear() + + def set_parameters( + self, + vt_symbol: str, + interval: Interval, + start: datetime, + rate: float, + slippage: float, + size: float, + pricetick: float, + capital: int = 0, + end: datetime = None, + mode: BacktestingMode = BacktestingMode.BAR, + inverse: bool = False + ): + """""" + self.mode = mode + self.vt_symbol = vt_symbol + self.interval = Interval(interval) + self.rate = rate + self.slippage = slippage + self.size = size + self.pricetick = pricetick + self.start = start + + self.symbol, exchange_str = self.vt_symbol.split(".") + self.exchange = Exchange(exchange_str) + + self.capital = capital + self.end = end + self.mode = mode + self.inverse = inverse + + def add_strategy(self, strategy_class: type, setting: dict): + """""" + self.strategy_class = strategy_class + self.strategy = strategy_class( + self, strategy_class.__name__, self.vt_symbol, setting + ) + + def load_data(self): + """""" + self.output("开始加载历史数据") + + if not self.end: + self.end = datetime.now() + + if self.start >= self.end: + self.output("起始日期必须小于结束日期") + return + + self.history_data.clear() # Clear previously loaded history data + + # Load 30 days of data each time and allow for progress update + progress_delta = timedelta(days=30) + total_delta = self.end - self.start + interval_delta = INTERVAL_DELTA_MAP[self.interval] + + start = self.start + end = self.start + progress_delta + progress = 0 + + while start < self.end: + end = min(end, self.end) # Make sure end time stays within set range + + if self.mode == BacktestingMode.BAR: + data = load_bar_data( + self.symbol, + self.exchange, + self.interval, + start, + end + ) + else: + data = load_tick_data( + self.symbol, + self.exchange, + start, + end + ) + + self.history_data.extend(data) + + progress += progress_delta / total_delta + progress = min(progress, 1) + progress_bar = "#" * int(progress * 10) + self.output(f"加载进度：{progress_bar} [{progress:.0%}]") + + start = end + interval_delta + end += (progress_delta + interval_delta) + + self.output(f"历史数据加载完成，数据量：{len(self.history_data)}") + + def run_backtesting(self): + """""" + if self.mode == BacktestingMode.BAR: + func = self.new_bar + else: + func = self.new_tick + + self.strategy.on_init() + + # Use the first [days] of history data for initializing strategy + day_count = 0 + ix = 0 + + for ix, data in enumerate(self.history_data): + if self.datetime and data.datetime.day != self.datetime.day: + day_count += 1 + if day_count >= self.days: + break + + self.datetime = data.datetime + self.callback(data) + + self.strategy.inited = True + self.output("策略初始化完成") + + self.strategy.on_start() + self.strategy.trading = True + self.output("开始回放历史数据") + + # Use the rest of history data for running backtesting + for data in self.history_data[ix:]: + func(data) + + self.output("历史数据回放结束") + + def calculate_result(self): + """""" + self.output("开始计算逐日盯市盈亏") + + if not self.trades: + self.output("成交记录为空，无法计算") + return + + # Add trade data into daily reuslt. + for trade in self.trades.values(): + d = trade.datetime.date() + daily_result = self.daily_results[d] + daily_result.add_trade(trade) + + # Calculate daily result by iteration. + pre_close = 0 + start_pos = 0 + + for daily_result in self.daily_results.values(): + daily_result.calculate_pnl( + pre_close, + start_pos, + self.size, + self.rate, + self.slippage, + self.inverse + ) + + pre_close = daily_result.close_price + start_pos = daily_result.end_pos + + # Generate dataframe + results = defaultdict(list) + + for daily_result in self.daily_results.values(): + for key, value in daily_result.__dict__.items(): + results[key].append(value) + + self.daily_df = DataFrame.from_dict(results).set_index("date") + + self.output("逐日盯市盈亏计算完成") + return self.daily_df + + def calculate_statistics(self, df: DataFrame = None, output=True): + """""" + self.output("开始计算策略统计指标") + + # Check DataFrame input exterior + if df is None: + df = self.daily_df + + # Check for init DataFrame + if df is None: + # Set all statistics to 0 if no trade. + start_date = "" + end_date = "" + total_days = 0 + profit_days = 0 + loss_days = 0 + end_balance = 0 + max_drawdown = 0 + max_ddpercent = 0 + max_drawdown_duration = 0 + total_net_pnl = 0 + daily_net_pnl = 0 + total_commission = 0 + daily_commission = 0 + total_slippage = 0 + daily_slippage = 0 + total_turnover = 0 + daily_turnover = 0 + total_trade_count = 0 + daily_trade_count = 0 + total_return = 0 + annual_return = 0 + daily_return = 0 + return_std = 0 + sharpe_ratio = 0 + return_drawdown_ratio = 0 + else: + # Calculate balance related time series data + df["balance"] = df["net_pnl"].cumsum() + self.capital + df["return"] = np.log(df["balance"] / df["balance"].shift(1)).fillna(0) + df["highlevel"] = ( + df["balance"].rolling( + min_periods=1, window=len(df), center=False).max() + ) + df["drawdown"] = df["balance"] - df["highlevel"] + df["ddpercent"] = df["drawdown"] / df["highlevel"] * 100 + + # Calculate statistics value + start_date = df.index[0] + end_date = df.index[-1] + + total_days = len(df) + profit_days = len(df[df["net_pnl"] > 0]) + loss_days = len(df[df["net_pnl"] < 0]) + + end_balance = df["balance"].iloc[-1] + max_drawdown = df["drawdown"].min() + max_ddpercent = df["ddpercent"].min() + max_drawdown_end = df["drawdown"].idxmin() + max_drawdown_start = df["balance"][:max_drawdown_end].argmax() + max_drawdown_duration = (max_drawdown_end - max_drawdown_start).days + + total_net_pnl = df["net_pnl"].sum() + daily_net_pnl = total_net_pnl / total_days + + total_commission = df["commission"].sum() + daily_commission = total_commission / total_days + + total_slippage = df["slippage"].sum() + daily_slippage = total_slippage / total_days + + total_turnover = df["turnover"].sum() + daily_turnover = total_turnover / total_days + + total_trade_count = df["trade_count"].sum() + daily_trade_count = total_trade_count / total_days + + total_return = (end_balance / self.capital - 1) * 100 + annual_return = total_return / total_days * 240 + daily_return = df["return"].mean() * 100 + return_std = df["return"].std() * 100 + + if return_std: + sharpe_ratio = daily_return / return_std * np.sqrt(240) + else: + sharpe_ratio = 0 + + return_drawdown_ratio = -total_return / max_ddpercent + + # Output + if output: + self.output("-" * 30) + self.output(f"首个交易日：\t{start_date}") + self.output(f"最后交易日：\t{end_date}") + + self.output(f"总交易日：\t{total_days}") + self.output(f"盈利交易日：\t{profit_days}") + self.output(f"亏损交易日：\t{loss_days}") + + self.output(f"起始资金：\t{self.capital:,.2f}") + self.output(f"结束资金：\t{end_balance:,.2f}") + + self.output(f"总收益率：\t{total_return:,.2f}%") + self.output(f"年化收益：\t{annual_return:,.2f}%") + self.output(f"最大回撤: \t{max_drawdown:,.2f}") + self.output(f"百分比最大回撤: {max_ddpercent:,.2f}%") + self.output(f"最长回撤天数: \t{max_drawdown_duration}") + + self.output(f"总盈亏：\t{total_net_pnl:,.2f}") + self.output(f"总手续费：\t{total_commission:,.2f}") + self.output(f"总滑点：\t{total_slippage:,.2f}") + self.output(f"总成交金额：\t{total_turnover:,.2f}") + self.output(f"总成交笔数：\t{total_trade_count}") + + self.output(f"日均盈亏：\t{daily_net_pnl:,.2f}") + self.output(f"日均手续费：\t{daily_commission:,.2f}") + self.output(f"日均滑点：\t{daily_slippage:,.2f}") + self.output(f"日均成交金额：\t{daily_turnover:,.2f}") + self.output(f"日均成交笔数：\t{daily_trade_count}") + + self.output(f"日均收益率：\t{daily_return:,.2f}%") + self.output(f"收益标准差：\t{return_std:,.2f}%") + self.output(f"Sharpe Ratio：\t{sharpe_ratio:,.2f}") + self.output(f"收益回撤比：\t{return_drawdown_ratio:,.2f}") + + statistics = { + "start_date": start_date, + "end_date": end_date, + "total_days": total_days, + "profit_days": profit_days, + "loss_days": loss_days, + "capital": self.capital, + "end_balance": end_balance, + "max_drawdown": max_drawdown, + "max_ddpercent": max_ddpercent, + "max_drawdown_duration": max_drawdown_duration, + "total_net_pnl": total_net_pnl, + "daily_net_pnl": daily_net_pnl, + "total_commission": total_commission, + "daily_commission": daily_commission, + "total_slippage": total_slippage, + "daily_slippage": daily_slippage, + "total_turnover": total_turnover, + "daily_turnover": daily_turnover, + "total_trade_count": total_trade_count, + "daily_trade_count": daily_trade_count, + "total_return": total_return, + "annual_return": annual_return, + "daily_return": daily_return, + "return_std": return_std, + "sharpe_ratio": sharpe_ratio, + "return_drawdown_ratio": return_drawdown_ratio, + } + + return statistics + + def show_chart(self, df: DataFrame = None): + """""" + # Check DataFrame input exterior + if df is None: + df = self.daily_df + + # Check for init DataFrame + if df is None: + return + + plt.figure(figsize=(10, 16)) + + balance_plot = plt.subplot(4, 1, 1) + balance_plot.set_title("Balance") + df["balance"].plot(legend=True) + + drawdown_plot = plt.subplot(4, 1, 2) + drawdown_plot.set_title("Drawdown") + drawdown_plot.fill_between(range(len(df)), df["drawdown"].values) + + pnl_plot = plt.subplot(4, 1, 3) + pnl_plot.set_title("Daily Pnl") + df["net_pnl"].plot(kind="bar", legend=False, grid=False, xticks=[]) + + distribution_plot = plt.subplot(4, 1, 4) + distribution_plot.set_title("Daily Pnl Distribution") + df["net_pnl"].hist(bins=50) + + plt.show() + + def run_optimization(self, optimization_setting: OptimizationSetting, output=True): + """""" + # Get optimization setting and target + settings = optimization_setting.generate_setting() + target_name = optimization_setting.target_name + + if not settings: + self.output("优化参数组合为空，请检查") + return + + if not target_name: + self.output("优化目标未设置，请检查") + return + + # Use multiprocessing pool for running backtesting with different setting + pool = multiprocessing.Pool(multiprocessing.cpu_count()) + + results = [] + for setting in settings: + result = (pool.apply_async(optimize, ( + target_name, + self.strategy_class, + setting, + self.vt_symbol, + self.interval, + self.start, + self.rate, + self.slippage, + self.size, + self.pricetick, + self.capital, + self.end, + self.mode, + self.inverse + ))) + results.append(result) + + pool.close() + pool.join() + + # Sort results and output + result_values = [result.get() for result in results] + result_values.sort(reverse=True, key=lambda result: result[1]) + + if output: + for value in result_values: + msg = f"参数：{value[0]}, 目标：{value[1]}" + self.output(msg) + + return result_values + + def run_ga_optimization(self, optimization_setting: OptimizationSetting, population_size=100, ngen_size=30, output=True): + """""" + # Get optimization setting and target + settings = optimization_setting.generate_setting_ga() + target_name = optimization_setting.target_name + + if not settings: + self.output("优化参数组合为空，请检查") + return + + if not target_name: + self.output("优化目标未设置，请检查") + return + + # Define parameter generation function + def generate_parameter(): + """""" + return random.choice(settings) + + def mutate_individual(individual, indpb): + """""" + size = len(individual) + paramlist = generate_parameter() + for i in range(size): + if random.random() < indpb: + individual[i] = paramlist[i] + return individual, + + # Create ga object function + global ga_target_name + global ga_strategy_class + global ga_setting + global ga_vt_symbol + global ga_interval + global ga_start + global ga_rate + global ga_slippage + global ga_size + global ga_pricetick + global ga_capital + global ga_end + global ga_mode + global ga_inverse + + ga_target_name = target_name + ga_strategy_class = self.strategy_class + ga_setting = settings[0] + ga_vt_symbol = self.vt_symbol + ga_interval = self.interval + ga_start = self.start + ga_rate = self.rate + ga_slippage = self.slippage + ga_size = self.size + ga_pricetick = self.pricetick + ga_capital = self.capital + ga_end = self.end + ga_mode = self.mode + ga_inverse = self.inverse + + # Set up genetic algorithem + toolbox = base.Toolbox() + toolbox.register("individual", tools.initIterate, creator.Individual, generate_parameter) + toolbox.register("population", tools.initRepeat, list, toolbox.individual) + toolbox.register("mate", tools.cxTwoPoint) + toolbox.register("mutate", mutate_individual, indpb=1) + toolbox.register("evaluate", ga_optimize) + toolbox.register("select", tools.selNSGA2) + + total_size = len(settings) + pop_size = population_size # number of individuals in each generation + lambda_ = pop_size # number of children to produce at each generation + mu = int(pop_size * 0.8) # number of individuals to select for the next generation + + cxpb = 0.95 # probability that an offspring is produced by crossover + mutpb = 1 - cxpb # probability that an offspring is produced by mutation + ngen = ngen_size # number of generation + + pop = toolbox.population(pop_size) + hof = tools.ParetoFront() # end result of pareto front + + stats = tools.Statistics(lambda ind: ind.fitness.values) + np.set_printoptions(suppress=True) + stats.register("mean", np.mean, axis=0) + stats.register("std", np.std, axis=0) + stats.register("min", np.min, axis=0) + stats.register("max", np.max, axis=0) + + # Multiprocessing is not supported yet. + # pool = multiprocessing.Pool(multiprocessing.cpu_count()) + # toolbox.register("map", pool.map) + + # Run ga optimization + self.output(f"参数优化空间：{total_size}") + self.output(f"每代族群总数：{pop_size}") + self.output(f"优良筛选个数：{mu}") + self.output(f"迭代次数：{ngen}") + self.output(f"交叉概率：{cxpb:.0%}") + self.output(f"突变概率：{mutpb:.0%}") + + start = time() + + algorithms.eaMuPlusLambda( + pop, + toolbox, + mu, + lambda_, + cxpb, + mutpb, + ngen, + stats, + halloffame=hof + ) + + end = time() + cost = int((end - start)) + + self.output(f"遗传算法优化完成，耗时{cost}秒") + + # Return result list + results = [] + + for parameter_values in hof: + setting = dict(parameter_values) + target_value = ga_optimize(parameter_values)[0] + results.append((setting, target_value, {})) + + return results + + def update_daily_close(self, price: float): + """""" + d = self.datetime.date() + + daily_result = self.daily_results.get(d, None) + if daily_result: + daily_result.close_price = price + else: + self.daily_results[d] = DailyResult(d, price) + + def new_bar(self, bar: BarData): + """""" + self.bar = bar + self.datetime = bar.datetime + + self.cross_limit_order() + self.cross_stop_order() + self.strategy.on_bar(bar) + + self.update_daily_close(bar.close_price) + + def new_tick(self, tick: TickData): + """""" + self.tick = tick + self.datetime = tick.datetime + + self.cross_limit_order() + self.cross_stop_order() + self.strategy.on_tick(tick) + + self.update_daily_close(tick.last_price) + + def cross_limit_order(self): + """ + Cross limit order with last bar/tick data. + """ + if self.mode == BacktestingMode.BAR: + long_cross_price = self.bar.low_price + short_cross_price = self.bar.high_price + long_best_price = self.bar.open_price + short_best_price = self.bar.open_price + else: + long_cross_price = self.tick.ask_price_1 + short_cross_price = self.tick.bid_price_1 + long_best_price = long_cross_price + short_best_price = short_cross_price + + for order in list(self.active_limit_orders.values()): + # Push order update with status "not traded" (pending). + if order.status == Status.SUBMITTING: + order.status = Status.NOTTRADED + self.strategy.on_order(order) + + # Check whether limit orders can be filled. + long_cross = ( + order.direction == Direction.LONG + and order.price >= long_cross_price + and long_cross_price > 0 + ) + + short_cross = ( + order.direction == Direction.SHORT + and order.price <= short_cross_price + and short_cross_price > 0 + ) + + if not long_cross and not short_cross: + continue + + # Push order udpate with status "all traded" (filled). + order.traded = order.volume + order.status = Status.ALLTRADED + self.strategy.on_order(order) + + self.active_limit_orders.pop(order.vt_orderid) + + # Push trade update + self.trade_count += 1 + + if long_cross: + trade_price = min(order.price, long_best_price) + pos_change = order.volume + else: + trade_price = max(order.price, short_best_price) + pos_change = -order.volume + + trade = TradeData( + symbol=order.symbol, + exchange=order.exchange, + orderid=order.orderid, + tradeid=str(self.trade_count), + direction=order.direction, + offset=order.offset, + price=trade_price, + volume=order.volume, + time=self.datetime.strftime("%H:%M:%S"), + gateway_name=self.gateway_name, + ) + trade.datetime = self.datetime + + self.strategy.pos += pos_change + self.strategy.on_trade(trade) + + self.trades[trade.vt_tradeid] = trade + + def cross_stop_order(self): + """ + Cross stop order with last bar/tick data. + """ + if self.mode == BacktestingMode.BAR: + long_cross_price = self.bar.high_price + short_cross_price = self.bar.low_price + long_best_price = self.bar.open_price + short_best_price = self.bar.open_price + else: + long_cross_price = self.tick.last_price + short_cross_price = self.tick.last_price + long_best_price = long_cross_price + short_best_price = short_cross_price + + for stop_order in list(self.active_stop_orders.values()): + # Check whether stop order can be triggered. + long_cross = ( + stop_order.direction == Direction.LONG + and stop_order.price <= long_cross_price + ) + + short_cross = ( + stop_order.direction == Direction.SHORT + and stop_order.price >= short_cross_price + ) + + if not long_cross and not short_cross: + continue + + # Create order data. + self.limit_order_count += 1 + + order = OrderData( + symbol=self.symbol, + exchange=self.exchange, + orderid=str(self.limit_order_count), + direction=stop_order.direction, + offset=stop_order.offset, + price=stop_order.price, + volume=stop_order.volume, + status=Status.ALLTRADED, + gateway_name=self.gateway_name, + ) + order.datetime = self.datetime + + self.limit_orders[order.vt_orderid] = order + + # Create trade data. + if long_cross: + trade_price = max(stop_order.price, long_best_price) + pos_change = order.volume + else: + trade_price = min(stop_order.price, short_best_price) + pos_change = -order.volume + + self.trade_count += 1 + + trade = TradeData( + symbol=order.symbol, + exchange=order.exchange, + orderid=order.orderid, + tradeid=str(self.trade_count), + direction=order.direction, + offset=order.offset, + price=trade_price, + volume=order.volume, + time=self.datetime.strftime("%H:%M:%S"), + gateway_name=self.gateway_name, + ) + trade.datetime = self.datetime + + self.trades[trade.vt_tradeid] = trade + + # Update stop order. + stop_order.vt_orderids.append(order.vt_orderid) + stop_order.status = StopOrderStatus.TRIGGERED + + self.active_stop_orders.pop(stop_order.stop_orderid) + + # Push update to strategy. + self.strategy.on_stop_order(stop_order) + self.strategy.on_order(order) + + self.strategy.pos += pos_change + self.strategy.on_trade(trade) + + def load_bar( + self, vt_symbol: str, days: int, interval: Interval, callback: Callable + ): + """""" + self.days = days + self.callback = callback + + def load_tick(self, vt_symbol: str, days: int, callback: Callable): + """""" + self.days = days + self.callback = callback + + def send_order( + self, + strategy: CtaTemplate, + direction: Direction, + offset: Offset, + price: float, + volume: float, + stop: bool, + lock: bool + ): + """""" + price = round_to(price, self.pricetick) + if stop: + vt_orderid = self.send_stop_order(direction, offset, price, volume) + else: + vt_orderid = self.send_limit_order(direction, offset, price, volume) + return [vt_orderid] + + def send_stop_order( + self, + direction: Direction, + offset: Offset, + price: float, + volume: float + ): + """""" + self.stop_order_count += 1 + + stop_order = StopOrder( + vt_symbol=self.vt_symbol, + direction=direction, + offset=offset, + price=price, + volume=volume, + stop_orderid=f"{STOPORDER_PREFIX}.{self.stop_order_count}", + strategy_name=self.strategy.strategy_name, + ) + + self.active_stop_orders[stop_order.stop_orderid] = stop_order + self.stop_orders[stop_order.stop_orderid] = stop_order + + return stop_order.stop_orderid + + def send_limit_order( + self, + direction: Direction, + offset: Offset, + price: float, + volume: float + ): + """""" + self.limit_order_count += 1 + + order = OrderData( + symbol=self.symbol, + exchange=self.exchange, + orderid=str(self.limit_order_count), + direction=direction, + offset=offset, + price=price, + volume=volume, + status=Status.SUBMITTING, + gateway_name=self.gateway_name, + ) + order.datetime = self.datetime + + self.active_limit_orders[order.vt_orderid] = order + self.limit_orders[order.vt_orderid] = order + + return order.vt_orderid + + def cancel_order(self, strategy: CtaTemplate, vt_orderid: str): + """ + Cancel order by vt_orderid. + """ + if vt_orderid.startswith(STOPORDER_PREFIX): + self.cancel_stop_order(strategy, vt_orderid) + else: + self.cancel_limit_order(strategy, vt_orderid) + + def cancel_stop_order(self, strategy: CtaTemplate, vt_orderid: str): + """""" + if vt_orderid not in self.active_stop_orders: + return + stop_order = self.active_stop_orders.pop(vt_orderid) + + stop_order.status = StopOrderStatus.CANCELLED + self.strategy.on_stop_order(stop_order) + + def cancel_limit_order(self, strategy: CtaTemplate, vt_orderid: str): + """""" + if vt_orderid not in self.active_limit_orders: + return + order = self.active_limit_orders.pop(vt_orderid) + + order.status = Status.CANCELLED + self.strategy.on_order(order) + + def cancel_all(self, strategy: CtaTemplate): + """ + Cancel all orders, both limit and stop. + """ + vt_orderids = list(self.active_limit_orders.keys()) + for vt_orderid in vt_orderids: + self.cancel_limit_order(strategy, vt_orderid) + + stop_orderids = list(self.active_stop_orders.keys()) + for vt_orderid in stop_orderids: + self.cancel_stop_order(strategy, vt_orderid) + + def write_log(self, msg: str, strategy: CtaTemplate = None): + """ + Write log message. + """ + msg = f"{self.datetime}\t{msg}" + self.logs.append(msg) + + def send_email(self, msg: str, strategy: CtaTemplate = None): + """ + Send email to default receiver. + """ + pass + + def sync_strategy_data(self, strategy: CtaTemplate): + """ + Sync strategy data into json file. + """ + pass + + def get_engine_type(self): + """ + Return engine type. + """ + return self.engine_type + + def put_strategy_event(self, strategy: CtaTemplate): + """ + Put an event to update strategy status. + """ + pass + + def output(self, msg): + """ + Output message of backtesting engine. + """ + print(f"{datetime.now()}\t{msg}") + + def get_all_trades(self): + """ + Return all trade data of current backtesting result. + """ + return list(self.trades.values()) + + def get_all_orders(self): + """ + Return all limit order data of current backtesting result. + """ + return list(self.limit_orders.values()) + + def get_all_daily_results(self): + """ + Return all daily result data. + """ + return list(self.daily_results.values()) + + +class DailyResult: + """""" + + def __init__(self, date: date, close_price: float): + """""" + self.date = date + self.close_price = close_price + self.pre_close = 0 + + self.trades = [] + self.trade_count = 0 + + self.start_pos = 0 + self.end_pos = 0 + + self.turnover = 0 + self.commission = 0 + self.slippage = 0 + + self.trading_pnl = 0 + self.holding_pnl = 0 + self.total_pnl = 0 + self.net_pnl = 0 + + def add_trade(self, trade: TradeData): + """""" + self.trades.append(trade) + + def calculate_pnl( + self, + pre_close: float, + start_pos: float, + size: int, + rate: float, + slippage: float, + inverse: bool + ): + """""" + # If no pre_close provided on the first day, + # use value 1 to avoid zero division error + if pre_close: + self.pre_close = pre_close + else: + self.pre_close = 1 + + # Holding pnl is the pnl from holding position at day start + self.start_pos = start_pos + self.end_pos = start_pos + + if not inverse: # For normal contract + self.holding_pnl = self.start_pos * \ + (self.close_price - self.pre_close) * size + else: # For crypto currency inverse contract + self.holding_pnl = self.start_pos * \ + (1 / self.pre_close - 1 / self.close_price) * size + + # Trading pnl is the pnl from new trade during the day + self.trade_count = len(self.trades) + + for trade in self.trades: + if trade.direction == Direction.LONG: + pos_change = trade.volume + else: + pos_change = -trade.volume + + self.end_pos += pos_change + + # For normal contract + if not inverse: + turnover = trade.volume * size * trade.price + self.trading_pnl += pos_change * \ + (self.close_price - trade.price) * size + self.slippage += trade.volume * size * slippage + # For crypto currency inverse contract + else: + turnover = trade.volume * size / trade.price + self.trading_pnl += pos_change * \ + (1 / trade.price - 1 / self.close_price) * size + self.slippage += trade.volume * size * slippage / (trade.price ** 2) + + self.turnover += turnover + self.commission += turnover * rate + + # Net pnl takes account of commission and slippage cost + self.total_pnl = self.trading_pnl + self.holding_pnl + self.net_pnl = self.total_pnl - self.commission - self.slippage + + +def optimize( + target_name: str, + strategy_class: CtaTemplate, + setting: dict, + vt_symbol: str, + interval: Interval, + start: datetime, + rate: float, + slippage: float, + size: float, + pricetick: float, + capital: int, + end: datetime, + mode: BacktestingMode, + inverse: bool +): + """ + Function for running in multiprocessing.pool + """ + engine = BacktestingEngine() + + engine.set_parameters( + vt_symbol=vt_symbol, + interval=interval, + start=start, + rate=rate, + slippage=slippage, + size=size, + pricetick=pricetick, + capital=capital, + end=end, + mode=mode, + inverse=inverse + ) + + engine.add_strategy(strategy_class, setting) + engine.load_data() + engine.run_backtesting() + engine.calculate_result() + statistics = engine.calculate_statistics(output=False) + + target_value = statistics[target_name] + return (str(setting), target_value, statistics) + + +@lru_cache(maxsize=1000000) +def _ga_optimize(parameter_values: tuple): + """""" + setting = dict(parameter_values) + + result = optimize( + ga_target_name, + ga_strategy_class, + setting, + ga_vt_symbol, + ga_interval, + ga_start, + ga_rate, + ga_slippage, + ga_size, + ga_pricetick, + ga_capital, + ga_end, + ga_mode, + ga_inverse + ) + return (result[1],) + + +def ga_optimize(parameter_values: list): + """""" + return _ga_optimize(tuple(parameter_values)) + + +@lru_cache(maxsize=999) +def load_bar_data( + symbol: str, + exchange: Exchange, + interval: Interval, + start: datetime, + end: datetime +): + """""" + return database_manager.load_bar_data( + symbol, exchange, interval, start, end + ) + + +@lru_cache(maxsize=999) +def load_tick_data( + symbol: str, + exchange: Exchange, + start: datetime, + end: datetime +): + """""" + return database_manager.load_tick_data( + symbol, exchange, start, end + ) + + +# GA related global value +ga_end = None +ga_mode = None +ga_target_name = None +ga_strategy_class = None +ga_setting = None +ga_vt_symbol = None +ga_interval = None +ga_start = None +ga_rate = None +ga_slippage = None +ga_size = None +ga_pricetick = None +ga_capital = None diff --git a/vnpy/app/cta_strategy_pro/engine.py b/vnpy/app/cta_strategy_pro/engine.py index 4f227262..c0669faf 100644 --- a/vnpy/app/cta_strategy_pro/engine.py +++ b/vnpy/app/cta_strategy_pro/engine.py @@ -1,6 +1,7 @@ """""" import importlib +import csv import os import sys import traceback @@ -8,6 +9,7 @@ from collections import defaultdict from pathlib import Path from typing import Any, Callable from datetime import datetime, timedelta +from collections import OrderedDict from concurrent.futures import ThreadPoolExecutor from copy import copy from functools import lru_cache @@ -38,7 +40,8 @@ from vnpy.trader.constant import ( Offset, Status ) -from vnpy.trader.utility import load_json, save_json, extract_vt_symbol, round_to, get_folder_path, get_underlying_symbol +from vnpy.trader.utility import load_json, save_json, extract_vt_symbol, round_to, get_folder_path, \ + get_underlying_symbol from vnpy.trader.util_logger import setup_logger, logging from vnpy.trader.converter import OffsetConverter @@ -125,6 +128,31 @@ class CtaEngine(BaseEngine): self.register_event() self.write_log("CTA策略引擎初始化成功") + def append_data(self, file_name: str, dict_data: dict, field_names: list = []): + """ + 添加数据到csv文件中 + :param file_name: csv的文件全路径 + :param dict_data: OrderedDict + :return: + """ + dict_fieldnames = sorted(list(dict_data.keys())) if len(field_names) == 0 else field_names + + try: + if not os.path.exists(file_name): + self.write_log(u'create csv file:{}'.format(file_name)) + with open(file_name, 'a', encoding='utf8', newline='\n') as csvWriteFile: + writer = csv.DictWriter(f=csvWriteFile, fieldnames=dict_fieldnames, dialect='excel') + self.write_log(u'write csv header:{}'.format(dict_fieldnames)) + writer.writeheader() + writer.writerow(dict_data) + else: + with open(file_name, 'a', encoding='utf8', newline='\n') as csvWriteFile: + writer = csv.DictWriter(f=csvWriteFile, fieldnames=dict_fieldnames, dialect='excel', + extrasaction='ignore') + writer.writerow(dict_data) + except Exception as ex: + self.write_error(u'append_data exception:{}'.format(str(ex))) + def close(self): """停止所属有的策略""" self.stop_all_strategies() @@ -210,10 +238,40 @@ class CtaEngine(BaseEngine): return # Update strategy pos before calling on_trade method - if trade.direction == Direction.LONG: - strategy.pos += trade.volume - else: - strategy.pos -= trade.volume + # 取消外部干预策略pos，由策略自行完成更新 + # if trade.direction == Direction.LONG: + # strategy.pos += trade.volume + # else: + # strategy.pos -= trade.volume + # 根据策略名称，写入 data\straetgy_name_trade.csv文件 + strategy_name = getattr(strategy, 'name') + trade_fields = ['time', 'symbol', 'exchange', 'vt_symbol', 'tradeid', 'vt_tradeid', 'orderid', 'vt_orderid', + 'direction', 'offset', 'price', 'volume', 'idx_price'] + trade_dict = OrderedDict() + try: + for k in trade_fields: + if k == 'time': + trade_dict[k] = datetime.now().strftime('%Y-%m-%d') + ' ' + getattr(trade, k, '') + if k in ['exchange', 'direction', 'offset']: + trade_dict[k] = getattr(trade, k).value + else: + trade_dict[k] = getattr(trade, k, '') + + # 添加指数价格 + symbol = trade_dict.get('symbol') + idx_symbol = get_underlying_symbol(symbol).upper() + '99.' + trade_dict.get('exchange') + idx_price = self.get_price(idx_symbol) + if idx_price: + trade_dict.update({'idx_price': idx_price}) + else: + trade_dict.update({'idx_price': trade_dict.get('price')}) + + if strategy_name is not None: + trade_file = os.path.abspath( + os.path.join(get_folder_path('data'), '{}_trade.csv'.format(strategy_name))) + self.append_data(file_name=trade_file, dict_data=trade_dict) + except Exception as ex: + self.write_error(u'写入交易记录csv出错：{},{}'.format(str(ex), traceback.format_exc())) self.call_strategy_func(strategy, strategy.on_trade, trade) @@ -264,7 +322,8 @@ class CtaEngine(BaseEngine): self.main_engine.subscribe(req, gateway_name) except Exception as ex: - self.write_error(u'重新订阅{}.{}异常:{},{}'.format(gateway_name, vt_symbol, str(ex), traceback.format_exc())) + self.write_error( + u'重新订阅{}.{}异常:{},{}'.format(gateway_name, vt_symbol, str(ex), traceback.format_exc())) return def check_stop_order(self, tick: TickData): @@ -407,6 +466,32 @@ class CtaEngine(BaseEngine): gateway_name ) + def send_fak_order( + self, + strategy: CtaTemplate, + contract: ContractData, + direction: Direction, + offset: Offset, + price: float, + volume: float, + lock: bool, + gateway_name: str = None + ): + """ + Send a limit order to server. + """ + return self.send_server_order( + strategy, + contract, + direction, + offset, + price, + volume, + OrderType.FAK, + lock, + gateway_name + ) + def send_server_stop_order( self, strategy: CtaTemplate, @@ -462,7 +547,7 @@ class CtaEngine(BaseEngine): stop_orderid=stop_orderid, strategy_name=strategy.strategy_name, lock=lock, - gateway_name = gateway_name + gateway_name=gateway_name ) self.stop_orders[stop_orderid] = stop_order @@ -521,6 +606,7 @@ class CtaEngine(BaseEngine): volume: float, stop: bool, lock: bool, + order_type: OrderType = OrderType.LIMIT, gateway_name: str = None ): """ @@ -540,9 +626,13 @@ class CtaEngine(BaseEngine): if stop: if contract.stop_supported: - return self.send_server_stop_order(strategy, contract, direction, offset, price, volume, lock, gateway_name) + return self.send_server_stop_order(strategy, contract, direction, offset, price, volume, lock, + gateway_name) else: - return self.send_local_stop_order(strategy, vt_symbol, direction, offset, price, volume, lock, gateway_name) + return self.send_local_stop_order(strategy, vt_symbol, direction, offset, price, volume, lock, + gateway_name) + if order_type == OrderType.FAK: + return self.send_fak_order(strategy, contract, direction, offset, price, volume, lock, gateway_name) else: return self.send_limit_order(strategy, contract, direction, offset, price, volume, lock, gateway_name) diff --git a/vnpy/app/cta_strategy_pro/portfolio_testing.py b/vnpy/app/cta_strategy_pro/portfolio_testing.py new file mode 100644 index 00000000..39ca3458 --- /dev/null +++ b/vnpy/app/cta_strategy_pro/portfolio_testing.py @@ -0,0 +1,2036 @@ +# encoding: UTF-8 + +''' +本文件中包含的是CTA模块的组合回测引擎，回测引擎的API和CTA引擎一致， +可以使用和实盘相同的代码进行回测。 +华富资产 李来佳 +''' +from __future__ import division + +import sys +import os +import gc +import importlib +import csv +import copy +import pandas as pd +import re +import traceback +import decimal +import numpy as np +import random +import logging + +from collections import OrderedDict,defaultdict +from datetime import datetime, timedelta +from functools import lru_cache +from pathlib import Path +from time import sleep + +cta_engine_path = os.path.abspath(os.path.dirname(__file__)) +vnpy_root = os.path.abspath(os.path.join(cta_engine_path, '..', '..', '..', '..')) + +from .base import ( + BacktestingMode, + EngineType, + STOPORDER_PREFIX, + StopOrder, + StopOrderStatus, + INTERVAL_DELTA_MAP +) +from .template import CtaTemplate + +from .cta_fund_kline import FundKline + +from vnpy.trader.object import ( + BarData, + OrderData, + TradeData, + ContractData +) +from vnpy.trader.constant import ( + Exchange, + Direction, + Offset, + Status, + OrderType, + Product +) +from vnpy.trader.converter import PositionHolding + +from vnpy.trader.utility import ( + get_trading_date, + get_underlying_symbol, + round_to, + extract_vt_symbol, + format_number +) + +from vnpy.trader.util_logger import setup_logger + +from vnpy.data.tdx.tdx_common import get_future_contracts + + +######################################################################## +class PortfolioTestingEngine(object): + """ + CTA组合回测引擎 + 函数接口和策略引擎保持一样， + 从而实现同一套代码从回测到实盘。 + 针对1分钟bar的回测 + 导入CTA_Settings + 20190617: + 1.增加保证金选项，股票不按照保证金计算。 + 2.取消输出longPos和ShortPos + """ + + def __init__(self, event_engine=None): + """Constructor""" + + # 绑定事件引擎 + self.event_engine = event_engine + + # 引擎类型为回测 + self.engine_type = EngineType.BACKTESTING + + # 回测策略相关 + self.classes = {} # 策略类，class_name: stategy_class + self.class_module_map = {} # 策略类名与模块名映射 class_name: mudule_name + self.strategies = {} # 回测策略实例, key = strategy_name, value= strategy + self.symbol_strategy_map = defaultdict(list) # vt_symbol: strategy list + + self.test_name = 'portfolio_test_{}'.format(datetime.now().strftime('%M%S')) # 回测策略组合的实例名字 + self.daily_report_name = '' # 策略的日净值报告文件名称 + + self.test_start_date = '' # 组合回测启动得日期 + self.init_days = 0 # 初始化天数 + self.test_end_date = '' # 组合回测结束日期 + + self.slippage = {} # 回测时假设的滑点 + self.commission_rate = {} # 回测时假设的佣金比例（适用于百分比佣金） + self.fix_commission = {} # 每手固定手续费 + self.size = {} # 合约大小，默认为1 + self.price_tick = {} # 价格最小变动 + self.margin_rate = {} # 回测合约的保证金比率 + self.price_dict = {} # 登记vt_symbol对应的最新价 + self.contract_dict = {} # 登记vt_symbol得对应合约信息 + self.symbol_exchange_dict = {} # 登记symbol: exchange的对应关系 + + self.bar_csv_file = {} + self.bar_df_dict = {} # 历史数据的df，回测用 + self.bar_df = None # 历史数据的df，时间+symbol作为组合索引 + + self.data_start_date = None # 回测数据开始日期，datetime对象 （用于截取数据） + self.data_end_date = None # 回测数据结束日期，datetime对象 （用于截取数据） + self.strategy_start_date = None # 策略启动日期（即前面的数据用于初始化），datetime对象 + + self.limit_order_count = 0 # 限价单编号 + self.limit_orders = OrderedDict() # 限价单字典 + self.active_limit_orders = OrderedDict() # 活动限价单字典，用于进行撮合用 + + self.order_strategy_dict = {} # orderid 与 strategy的映射 + + # 持仓缓存字典 + # key为vt_symbol，value为PositionBuffer对象 + self.pos_holding_dict = {} + + self.trade_count = 0 # 成交编号 + self.trade_dict = OrderedDict() # 用于统计成交收益时，还没处理得交易 + self.trades = OrderedDict() # 记录所有得成交记录 + self.trade_pnl_list = [] # 交易记录列表 + + self.long_position_list = [] # 多单持仓 + self.short_position_list = [] # 空单持仓 + + # 当前最新数据，用于模拟成交用 + self.gateway_name = u'BackTest' + + self.last_bar = {} # 最新的bar + self.last_dt = None + + # csvFile相关 + self.bar_interval_seconds = 60 # csv文件，属于K线类型，K线的周期（秒数）,缺省是1分钟 + + # 费用风控情况 + self.percent = 0.0 + self.percent_limit = 30 # 投资仓位比例上限 + + # 回测计算相关 + self.use_margin = True # 使用保证金模式（期货使用，计算保证金时，按照开仓价计算。股票是按照当前价计算） + + self.init_capital = 1000000 # 期初资金 + self.cur_capital = self.init_capital # 当前资金净值 + self.net_capital = self.init_capital # 实时资金净值（每日根据capital和持仓浮盈计算） + self.max_capital = self.init_capital # 资金最高净值 + self.max_net_capital = self.init_capital + self.avaliable = self.init_capital + + self.max_pnl = 0 # 最高盈利 + self.min_pnl = 0 # 最大亏损 + self.max_occupy_rate = 0 # 最大保证金占比 + self.winning_result = 0 # 盈利次数 + self.losing_result = 0 # 亏损次数 + + self.total_trade_count = 0 # 总成交数量 + self.total_winning = 0 # 总盈利 + self.total_losing = 0 # 总亏损 + self.total_turnover = 0 # 总成交金额（合约面值） + self.total_commission = 0 # 总手续费 + self.total_slippage = 0 # 总滑点 + + self.time_list = [] # 时间序列 + self.pnl_list = [] # 每笔盈亏序列 + self.capital_list = [] # 盈亏汇总的时间序列 + self.drawdown_list = [] # 回撤的时间序列 + self.drawdown_rate_list = [] # 最大回撤比例的时间序列(成交结算） + + self.max_net_capital_time = '' + self.max_drawdown_rate_time = '' + self.daily_max_drawdown_rate = 0 # 按照日结算价计算 + + self.pnl_strategy_dict = {} # 策略实例的平仓盈亏 + + self.daily_list = [] # 按日统计得序列 + self.daily_first_benchmark = None + + self.logger = None + self.strategy_loggers = {} + self.debug = False + + self.is_7x24 = False + self.logs_path = None + self.data_path = None + + self.fund_kline_dict = {} + self.acivte_fund_kline = False + + def create_fund_kline(self, name, use_renko=False): + """ + 创建资金曲线 + :param name: 账号名，或者策略名 + :param use_renko: + :return: + """ + setting = {} + setting.update({'name': name}) + setting['para_ma1_len'] = 5 + setting['para_ma2_len'] = 10 + setting['para_ma3_len'] = 20 + setting['para_active_yb'] = True + setting['price_tick'] = 0.01 + setting['underlying_symbol'] = 'fund' + if use_renko: + # 使用砖图，高度是资金的千分之一 + setting['height'] = self.init_capital * 0.001 + setting['use_renko'] = True + + fund_kline = FundKline(cta_engine=self, setting=setting) + self.fund_kline_dict.update({name: fund_kline}) + return fund_kline + + def get_fund_kline(self, name: str = None): + # 指定资金账号/策略名 + if name: + kline = self.fund_kline_dict.get(name, None) + return kline + + # 没有指定账号，并且存在一个或多个资金K线 + if len(self.fund_kline_dict) > 0: + # 优先找vt_setting中，配置了strategy_groud的资金K线 + kline = self.fund_kline_dict.get(self.test_name, None) + + # 找不到，返回第一个 + if kline is None: + kline = self.fund_kline_dict.values()[0] + return kline + else: + return None + + def get_account(self): + """返回账号的实时权益，可用资金，仓位比例,投资仓位比例上限""" + if self.net_capital == 0.0: + self.percent = 0.0 + + return self.net_capital, self.avaliable, self.percent, self.percent_limit + + def set_test_start_date(self, start_date: str = '20100416', init_days: int = 10): + """设置回测的启动日期""" + self.test_start_date = start_date + self.init_days = init_days + + self.data_start_date = datetime.strptime(start_date, '%Y%m%d') + + # 初始化天数 + init_time_delta = timedelta(init_days) + + self.strategy_start_date = self.data_start_date + init_time_delta + self.write_log(u'设置：回测数据开始日期:{},初始化数据为{}天，策略自动启动日期:{}' + .format(self.data_start_date, self.init_days, self.strategy_start_date)) + + def set_test_end_date(self, end_date: str = ''): + """设置回测的结束日期""" + self.test_end_date = end_date + if end_date: + self.data_end_date = datetime.strptime(end_date, '%Y%m%d') + # 若不修改时间则会导致不包含dataEndDate当天数据 + self.data_end_date.replace(hour=23, minute=59) + else: + self.data_end_date = datetime.now() + self.write_log(u'设置：回测数据结束日期:{}'.format(self.data_end_date)) + + def set_init_capital(self, capital: float): + """设置期初净值""" + self.cur_capital = capital # 资金 + self.net_capital = capital # 实时资金净值（每日根据capital和持仓浮盈计算） + self.max_capital = capital # 资金最高净值 + self.max_net_capital = capital + self.avaliable = capital + self.init_capital = capital + + def set_margin_rate(self, vt_symbol: str, margin_rate: float): + """设置某个合约得保证金比率""" + self.margin_rate.update({vt_symbol: margin_rate}) + + @lru_cache() + def get_margin_rate(self, vt_symbol: str): + return self.margin_rate.get(vt_symbol, 0.1) + + def set_slippage(self, vt_symbol: str, slippage: float): + """设置滑点点数""" + self.slippage.update({vt_symbol: slippage}) + + @lru_cache() + def get_slippage(self, vt_symbol: str): + """获取滑点""" + return self.slippage.get(vt_symbol, 0) + + def set_size(self, vt_symbol: str, size: int): + """设置合约大小""" + self.size.update({vt_symbol: size}) + + @lru_cache() + def get_size(self, vt_symbol: str): + """查询合约的size""" + return self.size.get(vt_symbol, 10) + + def set_price(self, vt_symbol: str, price: float): + self.price_dict.update({vt_symbol: price}) + + def get_price(self, vt_symbol: str): + return self.price_dict.get(vt_symbol, None) + + def set_commission_rate(self, vt_symbol: str, rate: float): + """设置佣金比例""" + self.commission_rate.update({vt_symbol: rate}) + + if rate >= 0.1: + self.fix_commission.update({vt_symbol: rate}) + + def get_commission_rate(self, vt_symbol: str): + """ 获取保证金比例，缺省万分之一""" + return self.commission_rate.get(vt_symbol, float(0.00001)) + + def get_fix_commission(self, vt_symbol: str): + return self.fix_commission.get(vt_symbol, 0) + + def set_price_tick(self, vt_symbol: str, price_tick: float): + """设置价格最小变动""" + self.price_tick.update({vt_symbol: price_tick}) + + def get_price_tick(self, vt_symbol: str): + return self.price_tick.get(vt_symbol, 1) + + def set_contract(self, symbol: str, exchange: Exchange, product: Product, name: str, size: int, price_tick: float): + """设置合约信息""" + vt_symbol = '.'.join(symbol, exchange.value) + if vt_symbol not in self.contract_dict: + c = ContractData( + gateway_name=self.gateway_name, + symbol=symbol, + exchange=exchange, + name=name, + product=product, + size=size, + pricetick=price_tick + ) + self.contract_dict.update({vt_symbol: c}) + self.set_size(vt_symbol, size) + # self.set_margin_rate(vt_symbol, ) + self.set_price_tick(vt_symbol, price_tick) + self.symbol_exchange_dict.update({symbol: exchange}) + @lru_cache() + def get_contract(self, vt_symbol): + """获取合约配置信息""" + return self.contract_dict.get(vt_symbol) + + @lru_cache() + def get_exchange(self, symbol: str): + return self.symbol_exchange_dict.get(symbol, Exchange.LOCAL) + + def set_name(self, test_name): + """ + 设置组合的运行实例名称 + :param test_name: + :return: + """ + self.test_name = test_name + + def set_daily_report_name(self, report_file): + """ + 设置策略的日净值记录csv保存文件名（含路径） + :param report_file: 保存文件名（含路径） + :return: + """ + self.daily_report_name = report_file + + def load_csv_to_df(self, symbol, bar_file, data_start_date=None, data_end_date=None): + """回测数据初始化""" + self.output(u'loading {} from {}'.format(symbol, bar_file)) + if symbol in self.bar_df_dict: + return True + + if not os.path.isfile(bar_file): + self.write_error(u'回测时，{}对应的csv bar文件{}不存在'.format(symbol, bar_file)) + return False + + try: + symbol_df = pd.read_csv(bar_file).set_index("index").rename(index=pd.to_datetime) + + # 裁剪数据 + symbol_df = symbol_df.loc[self.test_start_date:self.test_end_date] + + self.bar_df_dict.update({symbol: symbol_df}) + except Exception as ex: + self.write_error(u'回测时读取{} csv文件{}失败:{}'.format(symbol, bar_file, ex)) + return False + + return True + + def comine_df(self): + """ + 把bar_df_dict =》bar_df + :return: + """ + self.output('comine_df') + self.bar_df = pd.concat(self.bar_df_dict, axis=0).swaplevel(0, 1).sort_index() + self.bar_df_dict.clear() + + def prepare_env(self, test_settings): + self.output('prepare_env') + if 'name' in test_settings: + self.set_name(test_settings.get('name')) + + self.debug = test_settings.get('debug', False) + # 创建日志 + self.create_logger(debug=test_settings.get('debug', False)) + # 更新数据目录 + self.data_path = os.path.abspath(os.path.join(vnpy_root, test_settings.get('data_path', 'data'))) + # 更新日志目录 + self.logs_path = os.path.abspath(os.path.join(vnpy_root, test_settings.get('logs_path', 'logs'))) + # 设置资金 + if 'init_capital' in test_settings: + self.write_log(u'设置期初资金:{}'.format(test_settings.get('init_capital'))) + self.set_init_capital(test_settings.get('init_capital')) + + # 缺省使用保证金方式。 + self.use_margin = test_settings.get('use_margin', True) + + # 设置最大资金使用比例 + if 'percent_limit' in test_settings: + self.write_log(u'设置最大资金使用比例:{}%'.format(test_settings.get('percent_limit'))) + self.percent_limit = test_settings.get('percent_limit') + + if 'start_date' in test_settings: + if 'strategy_start_date' not in test_settings: + init_days = test_settings.get('init_days', 10) + self.write_log(u'设置回测开始日期:{}，数据加载日数:{}'.format(test_settings.get('start_date'), init_days)) + self.set_test_start_date(test_settings.get('start_date'), init_days) + else: + start_date = test_settings.get('start_date') + strategy_start_date = test_settings.get('strategy_start_date') + self.write_log(u'使用指定的数据开始日期：{}和策略启动日期:{}'.format(start_date, strategy_start_date)) + self.test_start_date = start_date + self.data_start_date = datetime.strptime(start_date.replace('-', ''), '%Y%m%d') + self.strategy_start_date = datetime.strptime(strategy_start_date.replace('-', ''), '%Y%m%d') + + if 'end_date' in test_settings: + self.write_log(u'设置回测结束日期:{}'.format(test_settings.get('end_date'))) + self.set_test_end_date(test_settings.get('end_date')) + + # 设置bar文件的时间间隔秒数 + if 'bar_interval_seconds' in test_settings: + self.write_log(u'设置bar文件的时间间隔秒数：{}'.format(test_settings.get('bar_interval_seconds'))) + self.bar_interval_seconds = test_settings.get('bar_interval_seconds') + + # 准备数据 + if 'symbol_datas' in test_settings: + self.write_log(u'准备数据') + self.prepare_data(test_settings.get('symbol_datas')) + + self.acivte_fund_kline = test_settings.get('acivte_fund_kline', False) + if self.acivte_fund_kline: + # 创建资金K线 + self.create_fund_kline(self.test_name, use_renko=test_settings.get('use_renko', False)) + + def prepare_data(self, data_dict): + """ + 准备组合数据 + :param data_dict: + :return: + """ + self.output('prepare_data') + + if len(data_dict) == 0: + self.write_log(u'请指定回测数据和文件') + return + + import os + for symbol, symbol_data in data_dict.items(): + self.write_log(u'配置{}数据:{}'.format(symbol, symbol_data)) + self.set_price_tick(symbol, symbol_data.get('price_tick', 1)) + + self.set_slippage(symbol, symbol_data.get('slippage', 0)) + + self.set_size(symbol, symbol_data.get('size', 10)) + + self.set_margin_rate(symbol, symbol_data.get('margin_rate', 0.1)) + + self.set_commission_rate(symbol, symbol_data.get('commission_rate', float(0.0001))) + + bar_file = symbol_data.get('bar_file', None) + + if bar_file is None: + self.write_error(u'{}没有配置数据文件') + continue + + if not os.path.isfile(bar_file): + self.write_log(u'{0}文件不存在'.format(bar_file)) + continue + + self.bar_csv_file.update({symbol: bar_file}) + + def run_portfolio_test(self, strategy_settings: dict = {}): + """ + 运行组合回测 + + """ + + if not self.strategy_start_date: + self.write_error(u'回测开始日期未设置。') + return + + if len(strategy_settings) == 0: + self.write_error('未提供有效配置策略实例') + return + + self.cur_capital = self.init_capital # 更新设置期初资金 + if not self.data_end_date: + self.data_end_date = datetime.today() + + self.write_log(u'开始组合回测') + + for strategy_name, strategy_setting in strategy_settings.items(): + self.load_strategy(strategy_name, strategy_setting) + + self.write_log(u'策略初始化完成') + + self.write_log(u'开始回放数据') + + testdays = (self.data_end_date - self.data_start_date).days + + if testdays < 1: + self.write_log(u'回测时间不足') + return + + self.write_log(u'开始回测:{} ~ {}'.format(self.data_start_date, self.data_end_date)) + + # 加载数据 + for symbol in self.symbol_strategy_map.keys(): + self.load_csv_to_df(symbol, self.bar_csv_file.get(symbol)) + + # 为套利合约提取主动 / 被动合约 + if symbol.endswith('SPD') or symbol.endswith('SPD99'): + try: + active_symbol, active_rate, passive_symbol, passive_rate, spd_type = symbol.split('-') + self.load_csv_to_df(active_symbol, self.bar_csv_file.get(active_symbol)) + self.load_csv_to_df(passive_symbol, self.bar_csv_file.get(passive_symbol)) + except Exception as ex: + self.write_error(u'为套利合约提取主动/被动合约出现异常:{}'.format(str(ex))) + + # 合并数据 + self.comine_df() + + last_trading_day = None + bars_dt = None + bars_same_dt = [] + + gc_collect_days = 0 + + try: + for (dt, symbol), bar_data in self.bar_df.iterrows(): + + if symbol.startwith('future_renko'): + bar_datetime = dt + else: + bar_datetime = dt - timedelta(seconds=self.bar_interval_seconds) + + bar = BarData( + gateway_name='backtesting', + symbol=symbol, + exchange=Exchange.LOCAL, + datetime=bar_datetime + ) + + bar.open_price = float(bar_data['open']) + bar.close_price = float(bar_data['close']) + bar.high_price = float(bar_data['high']) + bar.low_price = float(bar_data['low']) + bar.volume = int(bar_data['volume']) + bar.date = dt.strftime('%Y-%m-%d') + bar.time = dt.strftime('%H:%M:%S') + str_td = str(bar_data.get('trading_day', '')) + if len(str_td) == 8: + bar.trading_day = str_td[0:4] + '-' + str_td[4:6] + '-' + str_td[6:8] + else: + bar.trading_day = get_trading_date(dt) + + if last_trading_day != bar.trading_day: + self.output(u'回测数据日期:{},资金:{}'.format(bar.trading_day, self.net_capital)) + if self.strategy_start_date > bar.datetime: + last_trading_day = bar.trading_day + + # bar时间与队列时间一致，添加到队列中 + if dt == bars_dt: + bars_same_dt.append(bar) + continue + else: + # bar时间与队列时间不一致，先推送队列的bars + random.shuffle(bars_same_dt) + for _bar_ in bars_same_dt: + self.new_bar(_bar_) + + # 创建新的队列 + bars_same_dt = [bar] + bars_dt = dt + + # 启动交易 + if self.strategy_start_date <= dt <= self.data_end_date: + if last_trading_day != bar.trading_day: + if last_trading_day is not None: + self.saving_daily_data(datetime.strptime(last_trading_day, '%Y-%m-%d'), self.cur_capital, + self.max_net_capital, self.total_commission) + last_trading_day = bar.trading_day + + # 第二个交易日,撤单 + self.cancel_orders() + # 更新持仓缓存 + self.update_pos_buffer() + + gc_collect_days += 1 + if gc_collect_days >= 10: + # 执行内存回收 + gc.collect() + sleep(1) + gc_collect_days = 0 + + if self.net_capital < 0: + self.write_error(u'净值低于0，回测停止') + return + + self.write_log(u'数据回放完成') + if last_trading_day is not None: + self.saving_daily_data(datetime.strptime(last_trading_day, '%Y-%m-%d'), self.cur_capital, + self.max_net_capital, self.total_commission) + except Exception as ex: + self.write_error(u'回测异常导致停止:{}'.format(str(ex))) + self.write_error(u'{},{}'.format(str(ex), traceback.format_exc())) + print(str(ex), file=sys.stderr) + traceback.print_exc() + return + + def new_bar(self, bar): + """新的K线""" + self.last_bar.update({bar.vt_symbol: bar}) + self.last_dt = bar.datetime + self.set_price(bar.vt_symbol, bar.close) + self.cross_limit_order(bar) # 先撮合限价单 + + # 更新资金曲线(只有持仓时，才更新) + fund_kline = self.get_fund_kline(self.test_name) + if fund_kline is not None and (len(self.long_position_list) > 0 or len(self.short_position_list) > 0): + fund_kline.update_account(self.last_dt, self.net_capital) + + self.set_price({bar.vt_symbol: bar.close}) + + for strategy in self.symbol_strategy_map.get(bar.vt_symbol, []): + # 更新策略的资金K线 + fund_kline = self.fund_kline_dict.get(strategy.name, None) + if fund_kline: + hold_pnl = fund_kline.get_hold_pnl() + if hold_pnl != 0: + fund_kline.update_strategy(dt=self.last_dt, hold_pnl=hold_pnl) + + # 推送K线到策略中 + strategy.on_bar(bar) # 推送K线到策略中 + + # 到达策略启动日期,启动策略 + if not strategy.trading and self.strategy_start_date < bar.datetime: + strategy.trading = True + strategy.on_start() + self.output(u'{}策略启动交易'.format(strategy.name)) + + def load_strategy_class(self): + """ + Load strategy class from source code. + """ + # 加载 vnpy/app/cta_strategy_pro/strategies的所有策略 + path1 = Path(__file__).parent.joinpath("strategies") + self.load_strategy_class_from_folder( + path1, "vnpy.app.cta_strategy_pro.strategies") + + def load_strategy_class_from_folder(self, path: Path, module_name: str = ""): + """ + Load strategy class from certain folder. + """ + for dirpath, dirnames, filenames in os.walk(str(path)): + for filename in filenames: + if filename.endswith(".py"): + strategy_module_name = ".".join( + [module_name, filename.replace(".py", "")]) + elif filename.endswith(".pyd"): + strategy_module_name = ".".join( + [module_name, filename.split(".")[0]]) + else: + continue + self.load_strategy_class_from_module(strategy_module_name) + + def load_strategy_class_from_module(self, module_name: str): + """ + Load/Reload strategy class from module file. + """ + try: + module = importlib.import_module(module_name) + + for name in dir(module): + value = getattr(module, name) + if (isinstance(value, type) and issubclass(value, CtaTemplate) and value is not CtaTemplate): + class_name = value.__name__ + if class_name not in self.classes: + self.write_log(f"加载策略类{module_name}.{class_name}") + else: + self.write_log(f"更新策略类{module_name}.{class_name}") + self.classes[class_name] = value + self.class_module_map[class_name] = module_name + return True + except: # noqa + msg = f"策略文件{module_name}加载失败，触发异常：\n{traceback.format_exc()}" + self.write_log(msg=msg, level=logging.CRITICAL) + return False + + def load_strategy(self, strategy_name: str, strategy_setting: dict = None): + """ + 装载回测的策略 + setting是参数设置，包括 + class_name: str, 策略类名字 + vt_symbol: str, 缺省合约 + setting: {}, 策略的参数 + auto_init: True/False, 策略是否自动初始化 + auto_start: True/False， 策略是否自动启动 + """ + + # 获取策略的类名 + class_name = strategy_setting.get('class_name', None) + if class_name is None or strategy_name is None: + self.write_error(u'setting中没有class_name') + return + + # strategy_class => module.strategy_class + if '.' not in class_name: + module_name = self.class_module_map.get(class_name, None) + if module_name: + class_name = module_name + '.' + class_name + self.write_log(u'转换策略为全路径:{}'.format(class_name)) + + # 获取策略类的定义 + strategy_class = self.load_strategy_class_from_module(class_name) + if strategy_class is None: + self.write_error(u'加载策略模块失败:{}'.format(class_name)) + return + + # 处理 vt_symbol + vt_symbol = strategy_setting.get('vt_symbol') + symbol, exchange = extract_vt_symbol(vt_symbol) + + # 在期货组合回测，中需要把一般配置的主力合约，更换为指数合约 + if '99' not in symbol and exchange != Exchange.SPD: + underly_symbol = get_underlying_symbol(symbol) + self.write_log(u'更新vt_symbol为指数合约:{}=>{}'.format(vt_symbol, underly_symbol + '99.'+ exchange.value)) + vt_symbol = underly_symbol.upper() + '99.' + exchange.value + strategy_setting.update({'vt_symbol': vt_symbol}) + + # 属于自定义套利合约 + if exchange == Exchange.SPD: + symbol_pairs = symbol.split('-') + active_symbol = get_underlying_symbol(symbol_pairs[0]) + passive_symbol = get_underlying_symbol(symbol_pairs[2]) + new_vt_symbol = '-'.join([active_symbol.upper() + '99', + symbol_pairs[1], + passive_symbol.upper() + '99', + symbol_pairs[3], + symbol_pairs[4]]) + '.SPD' + self.write_log(u'更新vt_symbol为指数合约:{}=>{}'.format(vt_symbol, new_vt_symbol)) + vt_symbol = new_vt_symbol + strategy_setting.update({'vt_symbol': vt_symbol}) + + # 取消自动启动 + if 'auto_start' in strategy_setting: + strategy_setting.update({'auto_start': False}) + + # 强制更新回测为True + strategy_setting.update({'backtesting': True}) + + # 策略参数设置 + setting = strategy_setting.get('setting',{}) + + # 创建实例 + strategy = strategy_class(self, strategy_name, vt_symbol, setting) + + # 保存到策略实例映射表中 + self.strategies.update({strategy_name: strategy}) + + # 更新vt_symbol合约与策略的订阅关系 + self.subscribe_symbol(strategy_name=strategy_name,vt_symbol=vt_symbol) + + if strategy_setting.get('auto_init', False): + self.write_log(u'自动初始化策略') + strategy.on_init() + + if strategy_setting.get('auto_start', False): + self.write_log(u'自动启动策略') + strategy.on_start() + + if self.acivte_fund_kline: + # 创建策略实例的资金K线 + self.create_fund_kline(name=strategy_name, use_renko=False) + + + def subscribe_symbol(self, strategy_name: str, vt_symbol: str, gateway_name: str = '', is_bar: bool = False): + """订阅合约""" + strategy = self.strategies.get(strategy_name, None) + if not strategy: + return False + + # 添加 合约订阅 vt_symbol <=> 策略实例 strategy 映射. + strategies = self.symbol_strategy_map[vt_symbol] + strategies.append(strategy) + return True + + # --------------------------------------------------------------------- + def save_strategy_data(self): + """保存策略数据""" + for strategy in self.strategies.values(): + self.write_log(u'save strategy data') + strategy.saveData() + + def send_order(self, + strategy: CtaTemplate, + vt_symbol: str, + direction: Direction, + offset: Offset, + price: float, + volume: float, + stop: bool, + lock: bool, + order_type: OrderType = OrderType.LIMIT, + gateway_name: str = None): + """发单""" + + self.limit_order_count += 1 + order_id = str(self.limit_order_count) + symbol, exchange = extract_vt_symbol(vt_symbol) + if gateway_name is None: + gateway_name = self.gateway_name + order = OrderData( + gateway_name=gateway_name, + symbol=symbol, + exchange=exchange, + orderid=order_id, + direction=direction, + offset=offset, + type=order_type, + price=round_to(value=price, target=self.get_price_tick(symbol)), + volume=volume, + status=Status.NOTTRADED, + time=str(self.last_dt) + ) + + # 保存到限价单字典中 + self.active_limit_orders[order.vt_orderid] = order + self.limit_orders[order.vt_orderid] = order + self.order_strategy_dict.update({order.vt_orderid: strategy}) + + self.write_log( + u'{},{},{},p:{},v:{},ref:[{}]'.format(vt_symbol, direction, offset, price, volume, order.vt_orderid)) + + return [order.vt_orderid] + + def cancel_order(self, vt_orderid): + """撤单""" + if vt_orderid in self.active_limit_orders: + order = self.active_limit_orders[vt_orderid] + strategy = self.order_strategy_dict.get(vt_orderid, None) + order.status = Status.CANCELLED + order.cancelTime = str(self.last_dt) + self.active_limit_orders.pop(vt_orderid, None) + if strategy: + strategy.on_order(order) + + def cancel_orders(self, vt_symbol: str = None, offset: Offset = None): + """撤销所有单""" + # Symbol参数:指定合约的撤单； + # OFFSET参数:指定Offset的撤单,缺省不填写时，为所有 + if len(self.active_limit_orders) > 0: + self.write_log(u'从所有订单中撤销{0}\{1}'.format(offset, vt_symbol if vt_symbol is not None else u'所有')) + + for vt_orderid in list(self.active_limit_orders.keys()): + order = self.active_limit_orders.get(vt_orderid, None) + strategy = self.order_strategy_dict.get(vt_orderid, None) + if order is None or strategy is None: + continue + + if offset is None: + offsetCond = True + else: + offsetCond = order.offset == offset + + if vt_symbol is None: + symbol_cond = True + else: + symbol_cond = order.vt_symbol == vt_symbol + if symbol_cond and offsetCond: + self.write_log( + u'撤销订单:{0},{1} {2}@{3}'.format(vt_orderid, order.direction, order.price, order.volume)) + order.status = Status.CANCELLED + order.cancelTime = str(self.last_dt) + del self.active_limit_orders[vt_orderid] + if strategy: + strategy.onOrder(order) + + def send_stop_order(self, vt_symbol, orderType, price, volume, strategy): + """发停止单（本地实现）""" + + self.write_error(u'暂不支持本地停止单功能') + return '' + + def cancel_stop_order(self, stopOrderID): + """撤销停止单""" + pass + + def cross_limit_order(self, bar): + """基于最新数据撮合限价单""" + + vt_symbol = bar.vt_symbol + + # 遍历限价单字典中的所有限价单 + workingLimitOrderDictClone = copy.deepcopy(self.active_limit_orders) + for orderID, order in list(workingLimitOrderDictClone.items()): + + if order.vt_symbol != vt_symbol: + continue + + strategy = self.order_strategy_dict.get(order.vt_orderid, None) + if strategy is None: + self.write_error(u'找不到vt_orderid:{}对应的策略'.format(order.vt_orderid)) + continue + + buyCrossPrice = round_to(value=bar.low, + target=self.get_price_tick(vt_symbol)) + self.get_price_tick( + vt_symbol) # 若买入方向限价单价格高于该价格，则会成交 + sellCrossPrice = round_to(value=bar.high, + target=self.get_price_tick(vt_symbol)) - self.get_price_tick( + vt_symbol) # 若卖出方向限价单价格低于该价格，则会成交 + buyBestCrossPrice = round_to(value=bar.open, + target=self.get_price_tick(vt_symbol)) + self.get_price_tick( + vt_symbol) # 在当前时间点前发出的买入委托可能的最优成交价 + sellBestCrossPrice = round_to(value=bar.open, + target=self.get_price_tick(vt_symbol)) - self.get_price_tick( + vt_symbol) # 在当前时间点前发出的卖出委托可能的最优成交价 + + # 判断是否会成交 + buyCross = order.direction == Direction.LONG and order.price >= buyCrossPrice + sellCross = order.direction == Direction.SHORT and order.price <= sellCrossPrice + + # 如果发生了成交 + if buyCross or sellCross: + # 推送成交数据 + self.trade_count += 1 # 成交编号自增1 + + trade_id = str(self.trade_count) + symbol, exchange = extract_vt_symbol(vt_symbol) + trade = TradeData( + gateway_name=self.gateway_name, + symbol=symbol, + exchange=exchange, + tradeid=trade_id, + orderid=order.orderid, + direction=order.direction, + offset=order.offset, + volume=order.volume, + time=str(self.last_dt) + ) + + # 以买入为例： + # 1. 假设当根K线的OHLC分别为：100, 125, 90, 110 + # 2. 假设在上一根K线结束(也是当前K线开始)的时刻，策略发出的委托为限价105 + # 3. 则在实际中的成交价会是100而不是105，因为委托发出时市场的最优价格是100 + if buyCross: + trade_rice = min(order.price, buyBestCrossPrice) + + else: + trade_price = max(order.price, sellBestCrossPrice) + + # 记录该合约来自哪个策略实例 + trade.strategy = strategy.name + + strategy.onTrade(trade) + + for cov_trade in self.convert_spd_trade(trade): + self.trade_dict[cov_trade.vt_tradeid] = cov_trade + self.trades[cov_trade.vt_tradeid] = cov_trade + self.write_log(u'vt_trade_id:{0}'.format(cov_trade.vt_tradeid)) + + # 更新持仓缓存数据 + pos_buffer = self.pos_holding_dict.get(cov_trade.vt_symbol, None) + if not pos_buffer: + pos_buffer = PositionHolding(self.get_contract(vt_symbol)) + self.pos_holding_dict[cov_trade.vt_symbol] = pos_buffer + pos_buffer.update_trade(cov_trade) + self.write_log(u'{} : crossLimitOrder: TradeId:{}, posBuffer = {}'.format(cov_trade.strategy, + cov_trade.tradeID, + pos_buffer.toStr())) + + # 写入交易记录 + self.append_trade(cov_trade) + + # 更新资金曲线 + if 'SPD' not in cov_trade.vt_symbol: + fund_kline = self.get_fund_kline(cov_trade.strategy) + if fund_kline: + fund_kline.update_trade(cov_trade) + + # 推送委托数据 + order.traded = order.volume + order.status = Status.ALLTRADED + + strategy.on_order(order) + + # 从字典中删除该限价单 + try: + del self.active_limit_orders[orderID] + except Exception as ex: + self.write_error(u'crossLimitOrder exception:{},{}'.format(str(ex), traceback.format_exc())) + + # 实时计算模式 + self.realtime_calculate() + + def convert_spd_trade(self, trade): + """转换为品种对的交易记录""" + if trade.exchange != Exchange.SPD: + return [trade] + + try: + active_symbol, active_rate, passive_symbol, passive_rate, spd_type = trade.symbol.split('-') + active_rate = int(active_rate) + passive_rate = int(passive_rate) + active_exchange = self.get_exchange(active_symbol) + active_vt_symbol = active_symbol + '.' + active_exchange.value + passive_exchange = self.get_exchange(passive_symbol) + passive_vt_symbol = active_symbol + '.' + passive_exchange.value + # 主动腿成交记录 + act_trade = TradeData(gateway_name=self.gateway_name, + symbol=active_symbol, + exchange=active_exchange, + orderid='spd_' + str(trade.orderid), + tradeid='spd_act_' + str(trade.tradeid), + direction=trade.direction, + offset=trade.offset, + strategy_name=trade.strategy_name, + price=self.get_price(active_vt_symbol), + volume=int(trade.volume * active_rate), + time=trade.time + ) + + # 被动腿成交记录 + # 交易方向与spd合约方向相反 + pas_trade = TradeData(gateway_name=self.gateway_name, + symbol=passive_symbol, + exchange=passive_exchange, + orderid='spd_' + str(trade.orderid), + tradeid='spd_pas_' + str(trade.tradeid), + direction=Direction.LONG if trade.direction == Direction.SHORT else Direction.SHORT, + offset=trade.offset, + strategy_name=trade.strategy_name + ) + + # 根据套利合约的类型+主合约的价格，反向推导出被动合约的价格 + + if spd_type == 'BJ': + pas_trade.price = (act_trade.price * active_rate * 100 / trade.price) / passive_rate + else: + pas_trade.price = (act_trade.price * active_rate - trade.price) / passive_rate + + pas_trade.price = round_to(value=pas_trade.price, target=self.get_price_tick(pas_trade.vt_symbol)) + pas_trade.volume = int(trade.volume * passive_rate) + pas_trade.time = trade.time + + # 返回原交易记录，主动腿交易记录，被动腿交易记录 + return [trade, act_trade, pas_trade] + + except Exception as ex: + self.write_error(u'转换主动/被动腿异常:{}'.format(str(ex))) + return [trade] + + def update_pos_buffer(self): + """更新持仓信息,把今仓=>昨仓""" + + for k, v in self.pos_holding_dict.items(): + if v.long_td > 0: + self.write_log(u'调整多单持仓:今仓{}=> 0 昨仓{} => 昨仓:{}'.format(v.long_td, v.long_yd, v.long_pos)) + v.long_td = 0 + v.longYd = v.long_pos + + if v.short_td > 0: + self.write_log(u'调整空单持仓:今仓{}=> 0 昨仓{} => 昨仓:{}'.format(v.short_td, v.short_yd, v.short_pos)) + v.short_td = 0 + v.short_yd = v.short_pos + + def get_data_path(self): + """ + 获取数据保存目录 + :return: + """ + if self.data_path is not None: + data_folder = self.data_path + else: + data_folder = os.path.abspath(os.path.join(os.getcwd(), 'data')) + self.data_path = data_folder + if not os.path.exists(data_folder): + os.makedirs(data_folder) + return data_folder + + def get_logs_path(self): + """ + 获取日志保存目录 + :return: + """ + if self.logs_path is not None: + logs_folder = self.logs_path + else: + logs_folder = os.path.abspath(os.path.join(os.getcwd(), 'logs')) + self.logs_path = logs_folder + + if not os.path.exists(logs_folder): + os.makedirs(logs_folder) + + return logs_folder + + def create_logger(self, strategy_name=None, debug=False): + """ + 创建日志 + :param strategy_name 策略实例名称 + :param debug:是否详细记录日志 + :return: + """ + if strategy_name is None: + filename = os.path.abspath(os.path.join(self.get_logs_path(), '{}'.format( + self.test_name if len(self.test_name) > 0 else 'portfolio_test'))) + self.logger = setup_logger(file_name=filename, + name=self.test_name, + level=logging.DEBUG if debug else logging.ERROR, + backtesing=True) + else: + filename = os.path.abspath( + os.path.join(self.get_logs_path(), '{}_{}'.format(self.test_name, str(strategy_name)))) + print(u'create logger:{}'.format(filename)) + self.strategy_loggers[strategy_name] = setup_logger(file_name=filename, + name=str(strategy_name), + level=logging.DEBUG if debug else logging.ERROR, + backtesing=True) + + def write_log(self, content, strategy_name=None): + """记录日志""" + # log = str(self.datetime) + ' ' + content + # self.logList.append(log) + + if strategy_name is None: + # 写入本地log日志 + if self.logger: + self.logger.info(content) + else: + self.create_logger() + else: + if strategy_name in self.strategy_loggers: + self.strategy_loggers[strategy_name].info(content) + else: + self.create_logger(strategy_name=strategy_name) + + def write_error(self, content, strategy_name=None): + """记录异常""" + + if strategy_name is None: + if self.logger: + self.logger.error(content) + else: + self.create_logger() + else: + if strategy_name in self.strategy_loggers: + self.strategy_loggers[strategy_name].error(content) + else: + self.create_logger(strategy_name=strategy_name) + try: + self.strategy_loggers[strategy_name].error(content) + except Exception as ex: + print('{}'.format(datetime.now()), file=sys.stderr) + print('could not create cta logger for {},excption:{},trace:{}'.format(strategy_name, str(ex), + traceback.format_exc())) + print(content, file=sys.stderr) + + def output(self, content): + """输出内容""" + print(str(datetime.now()) + "\t" + content) + + def realtime_calculate(self): + """实时计算交易结果 + 支持多空仓位并存""" + + if len(self.trade_dict) < 1: + return + + # 获取所有未处理得成交单 + vt_tradeids = list(self.trade_dict.keys()) + + result_list = [] # 保存交易记录 + longid = '' + shortid = '' + + # 对交易记录逐一处理 + for vt_tradeid in vt_tradeids: + + trade = self.trade_dict.pop(vt_tradeid, None) + if trade is None: + continue + + if trade.volume == 0: + continue + # buy trade + if trade.direction == Direction.LONG and trade.offset == Offset.OPEN: + self.write_log(f'{trade.vt_symbol} buy, price:{trade.price},volume:{trade.volume}') + # 放入多单仓位队列 + self.long_position_list.append(trade) + + # cover trade， + elif trade.direction == Direction.LONG and trade.offset == Offset.CLOSE: + g_id = trade.vt_tradeid # 交易组（多个平仓数为一组） + g_result = None # 组合的交易结果 + + cover_volume = trade.volume + self.write_log(f'{trade.vt_symbol} cover:{cover_volume}') + while cover_volume > 0: + # 如果当前没有空单，属于异常行为 + if len(self.short_position_list) == 0: + self.write_error(u'异常!没有空单持仓，不能cover') + raise Exception(u'异常!没有空单持仓，不能cover') + return + + cur_short_pos_list = [s_pos.volume for s_pos in self.short_position_list] + + self.write_log(u'当前空单:{}'.format(cur_short_pos_list)) + + # 来自同一策略，同一合约才能撮合 + pop_indexs = [i for i, val in enumerate(self.short_position_list) if + val.vt_symbol == trade.vt_symbol and val.strategy == trade.strategy] + + if len(pop_indexs) < 1: + self.write_error(u'异常，{}没有对应symbol:{}的空单持仓'.format(trade.strategy, trade.vt_symbol)) + raise Exception(u'realtimeCalculate2() Exception,没有对应symbol:{0}的空单持仓'.format(trade.vt_symbol)) + return + + pop_index = pop_indexs[0] + # 从未平仓的空头交易 + open_trade = self.short_position_list.pop(pop_index) + + # 开空volume，不大于平仓volume + if cover_volume >= open_trade.volume: + self.write_log(f'cover volume:{cover_volume}, 满足:{open_trade.volume}') + cover_volume = cover_volume - open_trade.volume + if cover_volume > 0: + self.write_log(u'剩余待平数量:{}'.format(cover_volume)) + + self.write_log( + f'{open_trade.vt_symbol} coverd, price: {trade.price},volume:{open_trade.volume}') + + result = TradingResult(open_price=open_trade.price, + open_datetime=open_trade.datetime, + exit_price=trade.price, + close_datetime=trade.datetime, + volume=-open_trade.volume, + rate=self.get_commission_rate(trade.vt_symbol), + slippage=self.get_slippage(trade.vt_symbol), + size=self.get_size(trade.vt_symbol), + group_id=g_id, + fix_commission=self.get_fix_commission(trade.vt_symbol)) + + t = OrderedDict() + t['gid'] = g_id + t['strategy'] = open_trade.strategy + t['vt_symbol'] = open_trade.vt_symbol + t['open_time'] = open_trade.tradeTime + t['open_price'] = open_trade.price + t['direction'] = u'Short' + t['close_time'] = trade.tradeTime + t['close_price'] = trade.price + t['volume'] = open_trade.volume + t['profit'] = result.pnl + t['commission'] = result.commission + self.trade_pnl_list.append(t) + + # 非自定义套利对，才更新到策略盈亏 + if not open_trade.vt_symbol.endswith('SPD'): + # 更新策略实例的累加盈亏 + self.pnl_strategy_dict.update( + {open_trade.strategy: self.pnl_strategy_dict.get(open_trade.strategy, 0) + result.pnl}) + + msg = u'gid:{} {}[{}:开空tid={}:{}]-[{}.平空tid={},{},vol:{}],净盈亏pnl={},手续费:{}' \ + .format(g_id, open_trade.vt_symbol, open_trade.time, shortid, open_trade.price, + trade.time, vt_tradeid, trade.price, + open_trade.volume, result.pnl, result.commission) + + self.write_log(msg) + result_list.append(result) + + if g_result is None: + if cover_volume > 0: + # 属于组合 + g_result = copy.deepcopy(result) + + else: + # 更新组合的数据 + g_result.turnover = g_result.turnover + result.turnover + g_result.commission = g_result.commission + result.commission + g_result.slippage = g_result.slippage + result.slippage + g_result.pnl = g_result.pnl + result.pnl + + # 所有仓位平完 + if cover_volume == 0: + self.write_log(u'所有平空仓位撮合完毕') + g_result.volume = abs(trade.volume) + + # 开空volume,大于平仓volume，需要更新减少tradeDict的数量。 + else: + remain_volume = open_trade.volume - cover_volume + self.write_log(f'{open_trade.vt_symbol} short pos: {open_trade.volume} => {remain_volume}') + + result = TradingResult(open_price=open_trade.price, + open_datetime=open_trade.datetime, + exit_price=trade.price, + close_datetime=trade.datetime, + volume=-cover_volume, + rate=self.get_commission_rate(trade.vt_symbol), + slippage=self.get_slippage(trade.vt_symbol), + size=self.get_size(trade.vt_symbol), + group_id=g_id, + fix_commission=self.get_fix_commission(trade.vt_symbol)) + + t = OrderedDict() + t['gid'] = g_id + t['strategy'] = open_trade.strategy + t['vt_symbol'] = open_trade.vt_symbol + t['open_time'] = open_trade.tradeTime + t['open_price'] = open_trade.price + t['direction'] = u'Short' + t['close_time'] = trade.tradeTime + t['close_price'] = trade.price + t['volume'] = cover_volume + t['profit'] = result.pnl + t['commission'] = result.commission + self.trade_pnl_list.append(t) + + # 非自定义套利对，才更新盈亏 + if not (open_trade.vt_symbol.endswith('SPD') or open_trade.vt_symbol.endswith('SPD99')): + # 更新策略实例的累加盈亏 + self.pnl_strategy_dict.update( + {open_trade.strategy: self.pnl_strategy_dict.get(open_trade.strategy, 0) + result.pnl}) + + msg = u'gid:{} {}[{}:开空tid={}:{}]-[{}.平空tid={},{},vol:{}],净盈亏pnl={},手续费:{}' \ + .format(g_id, open_trade.vt_symbol, open_trade.tradeTime, shortid, open_trade.price, + trade.tradeTime, vt_tradeid, trade.price, + cover_volume, result.pnl, result.commission) + + self.write_log(msg) + + # 更新（减少）开仓单的volume,重新推进开仓单列表中 + open_trade.volume = remain_volume + self.write_log(u'更新（减少）开仓单的volume,重新推进开仓单列表中:{}'.format(open_trade.volume)) + self.short_position_list.append(open_trade) + cur_short_pos_list = [s_pos.volume for s_pos in self.short_position_list] + self.write_log(u'当前空单:{}'.format(cur_short_pos_list)) + + cover_volume = 0 + result_list.append(result) + + if g_result is not None: + # 更新组合的数据 + g_result.turnover = g_result.turnover + result.turnover + g_result.commission = g_result.commission + result.commission + g_result.slippage = g_result.slippage + result.slippage + g_result.pnl = g_result.pnl + result.pnl + g_result.volume = abs(trade.volume) + + if g_result is not None: + self.write_log(u'组合净盈亏:{0}'.format(g_result.pnl)) + + # Short Trade + elif trade.direction == Direction.SHORT and trade.offset == Offset.OPEN: + self.write_log(f'{trade.vt_symbol}, short: price:{trade.price},volume{trade.volume}') + self.short_position_list.append(trade) + continue + + # sell trade + elif trade.direction == Direction.SHORT and trade.offset == Offset.CLOSE: + g_id = trade.vt_tradeid # 交易组（多个平仓数为一组） + g_result = None # 组合的交易结果 + + sell_volume = trade.volume + + while sell_volume > 0: + if len(self.long_position_list) == 0: + self.write_error(f'异常，没有{trade.vt_symbol}的多仓') + raise RuntimeError(u'realtimeCalculate2() Exception,没有开多单') + return + + pop_indexs = [i for i, val in enumerate(self.long_position_list) if + val.vt_symbol == trade.vt_symbol and val.strategy == trade.strategy] + if len(pop_indexs) < 1: + self.write_error(f'没有{trade.strategy}对应的symbol{trade.vt_symbol}多单数据,') + raise RuntimeError( + f'realtimeCalculate2() Exception,没有对应的symbol{trade.vt_symbol}多单数据,') + return + + pop_index = pop_indexs[0] + open_trade = self.long_position_list.pop(pop_index) + # 开多volume，不大于平仓volume + if sell_volume >= open_trade.volume: + self.write_log(f'{open_trade.vt_symbol},Sell Volume:{sell_volume} 满足:{open_trade.volume}') + sell_volume = sell_volume - open_trade.volume + + self.write_log(f'{open_trade.vt_symbol},sell, price:{trade.price},volume:{open_trade.volume}') + + result = TradingResult(open_price=open_trade.price, + open_datetime=open_trade.datetime, + exit_price=trade.price, + close_datetime=trade.datetime, + volume=open_trade.volume, + rate=self.get_commission_rate(trade.vt_symbol), + slippage=self.get_slippage(trade.vt_symbol), + size=self.get_size(trade.vt_symbol), + group_id=g_id, + fix_commission=self.get_fix_commission(trade.vt_symbol)) + + t = OrderedDict() + t['gid'] = g_id + t['strategy'] = open_trade.strategy + t['vt_symbol'] = open_trade.vt_symbol + t['open_time'] = open_trade.tradeTime + t['open_price'] = open_trade.price + t['direction'] = u'Long' + t['close_time'] = trade.tradeTime + t['close_price'] = trade.price + t['volume'] = open_trade.volume + t['profit'] = result.pnl + t['commission'] = result.commission + self.trade_pnl_list.append(t) + + # 非自定义套利对，才更新盈亏 + if not (open_trade.vt_symbol.endswith('SPD') or open_trade.vt_symbol.endswith('SPD99')): + # 更新策略实例的累加盈亏 + self.pnl_strategy_dict.update( + {open_trade.strategy: self.pnl_strategy_dict.get(open_trade.strategy, 0) + result.pnl}) + + msg = u'gid:{} {}[{}:开多tid={}:{}]-[{}.平多tid={},{},vol:{}],净盈亏pnl={},手续费:{}' \ + .format(g_id, open_trade.vt_symbol, + open_trade.tradeTime, longid, open_trade.price, + trade.tradeTime, vt_tradeid, trade.price, + open_trade.volume, result.pnl, result.commission) + + self.write_log(msg) + result_list.append(result) + + if g_result is None: + if sell_volume > 0: + # 属于组合 + g_result = copy.deepcopy(result) + else: + # 更新组合的数据 + g_result.turnover = g_result.turnover + result.turnover + g_result.commission = g_result.commission + result.commission + g_result.slippage = g_result.slippage + result.slippage + g_result.pnl = g_result.pnl + result.pnl + + if sell_volume == 0: + g_result.volume = abs(trade.volume) + + # 开多volume,大于平仓volume，需要更新减少tradeDict的数量。 + else: + remain_volume = open_trade.volume - sell_volume + self.write_log(f'{open_trade.vt_symbol} short pos: {open_trade.volume} => {remain_volume}') + + result = TradingResult(open_price=open_trade.price, + open_datetime=open_trade.datetime, + exit_price=trade.price, + close_datetime=trade.datetime, + volume=sell_volume, + rate=self.get_commission_rate(trade.vt_symbol), + slippage=self.get_slippage(trade.vt_symbol), + size=self.get_size(trade.vt_symbol), + group_id=g_id, + fix_commission=self.get_fix_commission(trade.vt_symbol)) + + t = OrderedDict() + t['gid'] = g_id + t['strategy'] = open_trade.strategy + t['vt_symbol'] = open_trade.vt_symbol + t['open_time'] = open_trade.tradeTime + t['open_price'] = open_trade.price + t['direction'] = u'Long' + t['close_time'] = trade.tradeTime + t['close_price'] = trade.price + t['volume'] = sell_volume + t['profit'] = result.pnl + t['commission'] = result.commission + self.trade_pnl_list.append(t) + + # 非自定义套利对，才更新盈亏 + if not (open_trade.vt_symbol.endswith('SPD') or open_trade.vt_symbol.endswith('SPD99')): + # 更新策略实例的累加盈亏 + self.pnl_strategy_dict.update( + {open_trade.strategy: self.pnl_strategy_dict.get(open_trade.strategy, 0) + result.pnl}) + + msg = u'Gid:{} {}[{}:开多tid={}:{}]-[{}.平多tid={},{},vol:{}],净盈亏pnl={},手续费:{}' \ + .format(g_id, open_trade.vt_symbol, open_trade.tradeTime, longid, open_trade.price, + trade.tradeTime, vt_tradeid, trade.price, sell_volume, result.pnl, + result.commission) + + self.write_log(msg) + + # 减少开多volume,重新推进多单持仓列表中 + open_trade.volume = remain_volume + self.long_position_list.append(open_trade) + + sell_volume = 0 + result_list.append(result) + + if g_result is not None: + # 更新组合的数据 + g_result.turnover = g_result.turnover + result.turnover + g_result.commission = g_result.commission + result.commission + g_result.slippage = g_result.slippage + result.slippage + g_result.pnl = g_result.pnl + result.pnl + g_result.volume = abs(trade.volume) + + if g_result is not None: + self.write_log(u'组合净盈亏:{0}'.format(g_result.pnl)) + + # 计算仓位比例 + occupy_money = 0.0 # 保证金 + occupy_long_money_dict = {} # 多单保证金，key为合约短号，value为保证金 + occupy_short_money_dict = {} # 空单保证金，key为合约短号，value为保证金 + occupy_underly_symbol_set = set() # 所有合约短号 + + long_pos_dict = {} + short_pos_dict = {} + if len(self.long_position_list) > 0: + for t in self.long_position_list: + # 不计算套利合约的持仓占用保证金 + if t.vt_symbol.endswith('SPD') or t.vt_symbol.endswith('SPD99'): + continue + # 当前持仓的保证金 + if self.use_margin: + cur_occupy_money = t.price * abs(t.volume) * self.get_size(t.vt_symbol) * self.get_margin_rate( + t.vt_symbol) + else: + cur_occupy_money = self.get_price(t.vt_symbol) * abs(t.volume) * self.get_size( + t.vt_symbol) * self.get_margin_rate(t.vt_symbol) + + # 更新该合约短号的累计保证金 + underly_symbol = get_underlying_symbol(t.symbol) + occupy_underly_symbol_set.add(underly_symbol) + occupy_long_money_dict.update( + {underly_symbol: occupy_long_money_dict.get(underly_symbol, 0) + cur_occupy_money}) + + if t.vt_symbol in long_pos_dict: + long_pos_dict[t.vt_symbol] += abs(t.volume) + else: + long_pos_dict[t.vt_symbol] = abs(t.volume) + + if len(self.short_position_list) > 0: + for t in self.short_position_list: + # 不计算套利合约的持仓占用保证金 + if t.vt_symbol.endswith('SPD') or t.vt_symbol.endswith('SPD99'): + continue + # 当前空单保证金 + if self.use_margin: + cur_occupy_money = max(self.get_price(t.vt_symbol), t.price) * abs(t.volume) * self.get_size( + t.vt_symbol) * self.get_margin_rate(t.vt_symbol) + else: + cur_occupy_money = self.get_price(t.vt_symbol) * abs(t.volume) * self.get_size( + t.vt_symbol) * self.get_margin_rate(t.vt_symbol) + + # 该合约短号的累计空单保证金 + underly_symbol = get_underlying_symbol(t.symbol) + occupy_underly_symbol_set.add(underly_symbol) + occupy_short_money_dict.update( + {underly_symbol: occupy_short_money_dict.get(underly_symbol, 0) + cur_occupy_money}) + + if t.vt_symbol in short_pos_dict: + short_pos_dict[t.vt_symbol] += abs(t.volume) + else: + short_pos_dict[t.vt_symbol] = abs(t.volume) + + # 计算多空的保证金累加（对锁的取最大值) + for underly_symbol in occupy_underly_symbol_set: + occupy_money += max(occupy_long_money_dict.get(underly_symbol, 0), + occupy_short_money_dict.get(underly_symbol, 0)) + + # 可用资金 = 当前净值 - 占用保证金 + self.avaliable = self.net_capital - occupy_money + # 当前保证金占比 + self.percent = round(float(occupy_money * 100 / self.net_capital), 2) + # 更新最大保证金占比 + self.max_occupy_rate = max(self.max_occupy_rate, self.percent) + + # 检查是否有平交易 + if len(result_list) == 0: + msg = u'' + if len(self.long_position_list) > 0: + msg += u'持多仓{0},'.format(str(long_pos_dict)) + + if len(self.short_position_list) > 0: + msg += u'持空仓{0},'.format(str(short_pos_dict)) + + msg += u'资金占用:{0},仓位:{1}%%'.format(occupy_money, self.percent) + + self.write_log(msg) + return + + # 对交易结果汇总统计 + for result in result_list: + if result.pnl > 0: + self.winning_result += 1 + self.total_winning += result.pnl + else: + self.losing_result += 1 + self.total_losing += result.pnl + self.cur_capital += result.pnl + self.max_capital = max(self.cur_capital, self.max_capital) + self.net_capital = max(self.net_capital, self.cur_capital) + self.max_net_capital = max(self.net_capital, self.max_net_capital) + # self.maxVolume = max(self.maxVolume, result.volume) + drawdown = self.net_capital - self.max_net_capital + drawdown_rate = round(float(drawdown * 100 / self.max_net_capital), 4) + + self.pnl_list.append(result.pnl) + self.time_list.append(result.close_datetime) + self.capital_list.append(self.cur_capital) + self.drawdown_list.append(drawdown) + self.drawdown_rate_list.append(drawdown_rate) + + self.total_trade_count += 1 + self.total_turnover += result.turnover + self.total_commission += result.commission + self.total_slippage += result.slippage + + msg = u'[gid:{}] {} 交易盈亏:{},交易手续费:{}回撤:{}/{},账号平仓权益:{},持仓权益：{}，累计手续费:{}' \ + .format(result.group_id, result.close_datetime, result.pnl, result.commission, drawdown, + drawdown_rate, self.cur_capital, self.net_capital, self.total_commission) + + self.write_log(msg) + + # 重新计算一次avaliable + self.avaliable = self.net_capital - occupy_money + self.percent = round(float(occupy_money * 100 / self.net_capital), 2) + + def saving_daily_data(self, d, c, m, commission, benchmark=0): + """保存每日数据""" + dict = {} + dict['date'] = d.strftime('%Y/%m/%d') # 日期 + dict['capital'] = c # 当前平仓净值 + dict['max_capital'] = m # 之前得最高净值 + today_holding_profit = 0 # 持仓浮盈 + long_pos_occupy_money = 0 + short_pos_occupy_money = 0 + strategy_pnl = {} + for strategy in self.strategies.keys(): + strategy_pnl.update({strategy: self.pnl_strategy_dict.get(strategy, 0)}) + + if self.daily_first_benchmark is None and benchmark > 0: + self.daily_first_benchmark = benchmark + + if benchmark > 0 and self.daily_first_benchmark is not None and self.daily_first_benchmark > 0: + benchmark = benchmark / self.daily_first_benchmark + else: + benchmark = 1 + + positionMsg = "" + for longpos in self.long_position_list: + # 不计算套利合约的持仓盈亏 + if longpos.vt_symbol.endswith('SPD') or longpos.vt_symbol.endswith('SPD99'): + continue + symbol = longpos.vt_symbol + # 计算持仓浮盈浮亏/占用保证金 + holding_profit = 0 + last_price = self.get_price(symbol) + if last_price is not None: + holding_profit = (last_price - longpos.price) * longpos.volume * self.get_size(symbol) + long_pos_occupy_money += last_price * abs(longpos.volume) * self.get_size( + symbol) * self.get_margin_rate(symbol) + + # 账号的持仓盈亏 + today_holding_profit += holding_profit + + # 计算每个策略实例的持仓盈亏 + strategy_pnl.update({longpos.strategy: strategy_pnl.get(longpos.strategy, 0) + holding_profit}) + + positionMsg += "{},long,p={},v={},m={};".format(symbol, longpos.price, longpos.volume, holding_profit) + + for shortpos in self.short_position_list: + # 不计算套利合约的持仓盈亏 + if shortpos.vt_symbol.endswith('SPD') or shortpos.vt_symbol.endswith('SPD99'): + continue + symbol = shortpos.vt_symbol + # 计算持仓浮盈浮亏/占用保证金 + holding_profit = 0 + last_price = self.get_price(symbol, None) + if last_price is not None: + holding_profit = (shortpos.price - last_price) * shortpos.volume * self.get_size(symbol) + short_pos_occupy_money += last_price * abs(shortpos.volume) * self.get_size( + symbol) * self.get_margin_rate(symbol) + + # 账号的持仓盈亏 + today_holding_profit += holding_profit + # 计算每个策略实例的持仓盈亏 + strategy_pnl.update({shortpos.strategy: strategy_pnl.get(shortpos.strategy, 0) + holding_profit}) + + positionMsg += "{},short,p={},v={},m={};".format(symbol, shortpos.price, shortpos.volume, holding_profit) + + dict['net'] = c + today_holding_profit # 当日净值（含持仓盈亏） + dict['rate'] = (c + today_holding_profit) / self.init_capital + dict['occupy_money'] = max(long_pos_occupy_money, short_pos_occupy_money) + dict['occupy_rate'] = dict['occupy_money'] / dict['capital'] + dict['commission'] = commission + dict['benchmark'] = benchmark + + dict.update(strategy_pnl) + + self.daily_list.append(dict) + + # 更新每日浮动净值 + self.net_capital = dict['net'] + + # 更新最大初次持仓浮盈净值 + if dict['net'] > self.max_net_capital: + self.max_net_capital = dict['net'] + self.max_net_capital_time = dict['date'] + drawdown_rate = round((float(self.max_net_capital - dict['net']) * 100) / self.max_net_capital, 4) + if drawdown_rate > self.daily_max_drawdown_rate: + self.daily_max_drawdown_rate = drawdown_rate + self.max_drawdown_rate_time = dict['date'] + + self.write_log(u'{}: net={}, capital={} max={} margin={} commission={}， pos: {}' + .format( + dict['date'], + dict['net'], c, m, today_holding_profit, commission, + positionMsg)) + + # --------------------------------------------------------------------- + def export_trade_result(self): + """ + 导出交易结果（开仓-》平仓, 平仓收益） + 导出每日净值结果表 + :return: + """ + if len(self.trade_pnl_list) == 0: + self.write_log('no traded records') + return + + s = '' + s = self.test_name.replace('&', '') + s = s.replace(' ', '') + trade_list_csv_file = os.path.abspath(os.path.join(self.get_logs_path(), '{}_trade_list.csv'.format(s))) + + self.write_log(u'save trade records to:{}'.format(trade_list_csv_file)) + import csv + csv_write_file = open(trade_list_csv_file, 'w', encoding='utf8', newline='') + + fieldnames = ['gid', 'strategy', 'vt_symbol', 'open_time', 'open_price', 'direction', 'close_time', + 'close_price', + 'volume', 'profit', 'commission'] + writer = csv.DictWriter(f=csv_write_file, fieldnames=fieldnames, dialect='excel') + writer.writeheader() + + for row in self.trade_pnl_list: + writer.writerow(row) + + # 导出每日净值记录表 + if not self.daily_list: + return + + if self.daily_report_name == '': + daily_csv_file = os.path.abspath(os.path.join(self.get_logs_path(), '{}_daily_list.csv'.format(s))) + else: + daily_csv_file = self.daily_report_name + self.write_log(u'save daily records to:{}'.format(daily_csv_file)) + + csv_write_file2 = open(daily_csv_file, 'w', encoding='utf8', newline='') + fieldnames = ['date', 'capital', 'net', 'max_capital', 'rate', 'commission', 'long_money', 'short_money', + 'occupy_money', 'occupy_rate', 'today_margin_long', 'today_margin_short', 'benchmark'] + fieldnames.extend(sorted(self.strategies.keys())) + writer2 = csv.DictWriter(f=csv_write_file2, fieldnames=fieldnames, dialect='excel') + writer2.writeheader() + + for row in self.daily_list: + writer2.writerow(row) + + return + + def get_result(self): + # 返回回测结果 + d = {} + d['init_capital'] = self.init_capital + d['profit'] = self.cur_capital - self.init_capital + d['max_capital'] = self.max_net_capital # 取消原 maxCapital + + if len(self.pnl_list) == 0: + return {}, [], [] + + d['max_pnl'] = max(self.pnl_list) + d['min_pnl'] = min(self.pnl_list) + + d['max_occupy_rate'] = self.max_occupy_rate + d['total_trade_count'] = self.total_trade_count + d['total_turnover'] = self.total_turnover + d['total_commission'] = self.total_commission + d['total_slippage'] = self.total_slippage + d['time_list'] = self.time_list + d['pnl_list'] = self.pnl_list + d['capital_list'] = self.capital_list + d['drawdown_list'] = self.drawdown_list + d['drawdown_rate_list'] = self.drawdown_rate_list # 净值最大回撤率列表 + d['winning_rate'] = round(100 * self.winning_result / len(self.pnl_list), 4) + + average_winning = 0 # 这里把数据都初始化为0 + average_losing = 0 + profit_loss_ratio = 0 + + if self.winning_result: + average_winning = self.total_winning / self.winning_result # 平均每笔盈利 + if self.losing_result: + average_losing = self.total_losing / self.losing_result # 平均每笔亏损 + if average_losing: + profit_loss_ratio = -average_winning / average_losing # 盈亏比 + + d['average_winning'] = average_winning + d['average_losing'] = average_losing + d['profit_loss_ratio'] = profit_loss_ratio + + # 计算Sharp + if not self.daily_list: + return {}, [], [] + + capital_net_list = [] + capitalList = [] + for row in self.daily_list: + capital_net_list.append(row['net']) + capitalList.append(row['capital']) + + capital = pd.Series(capital_net_list) + log_returns = np.log(capital).diff().fillna(0) + sharpe = (log_returns.mean() * 252) / (log_returns.std() * np.sqrt(252)) + d['sharpe'] = sharpe + + return d, capital_net_list, capitalList + + def show_backtesting_result(self, is_plot_daily=False): + """显示回测结果""" + + d, daily_net_capital, daily_capital = self.get_result() + + if len(d) == 0: + self.output(u'无交易结果') + return {}, '' + + # 导出交易清单 + self.export_trade_result() + + result_info = OrderedDict() + + # 输出 + self.output('-' * 30) + result_info.update({u'第一笔交易': str(d['timeList'][0])}) + self.output(u'第一笔交易：\t%s' % d['timeList'][0]) + + result_info.update({u'最后一笔交易': str(d['timeList'][-1])}) + self.output(u'最后一笔交易：\t%s' % d['timeList'][-1]) + + result_info.update({u'总交易次数': d['total_trade_count']}) + self.output(u'总交易次数：\t%s' % format_number(d['total_trade_count'])) + + result_info.update({u'期初资金': d['init_capital']}) + self.output(u'期初资金：\t%s' % format_number(d['init_capital'])) + + result_info.update({u'总盈亏': d['profit']}) + self.output(u'总盈亏：\t%s' % format_number(d['profit'])) + + result_info.update({u'资金最高净值': d['max_capital']}) + self.output(u'资金最高净值：\t%s' % format_number(d['max_capital'])) + + result_info.update({u'资金最高净值时间': str(self.max_net_capital_time)}) + self.output(u'资金最高净值时间：\t%s' % self.max_net_capital_time) + + result_info.update({u'每笔最大盈利': d['max_pnl']}) + self.output(u'每笔最大盈利：\t%s' % format_number(d['max_pnl'])) + + result_info.update({u'每笔最大亏损': d['min_pnl']}) + self.output(u'每笔最大亏损：\t%s' % format_number(d['min_pnl'])) + + result_info.update({u'净值最大回撤': min(d['drawdown_dist'])}) + self.output(u'净值最大回撤: \t%s' % format_number(min(d['drawdown_dist']))) + + result_info.update({u'净值最大回撤率': self.daily_max_drawdown_rate}) + # self.writeCtaNotification(u'净值最大回撤率: \t%s' % formatNumber(max(d['drawdownRateList']))) + self.output(u'净值最大回撤率: \t%s' % format_number(self.daily_max_drawdown_rate)) + + result_info.update({u'净值最大回撤时间': str(self.max_drawdown_rate_time)}) + self.output(u'净值最大回撤时间：\t%s' % self.max_drawdown_rate_time) + + result_info.update({u'胜率': d['winning_rate']}) + self.output(u'胜率：\t%s' % format_number(d['winning_rate'])) + + result_info.update({u'盈利交易平均值': d['average_winning']}) + self.output(u'盈利交易平均值\t%s' % format_number(d['average_winning'])) + + result_info.update({u'亏损交易平均值': d['average_losing']}) + self.output(u'亏损交易平均值\t%s' % format_number(d['average_losing'])) + + result_info.update({u'盈亏比': d['profit_loss_ratio']}) + self.output(u'盈亏比：\t%s' % format_number(d['profit_loss_ratio'])) + + result_info.update({u'最大资金占比': d['max_occupy_rate']}) + self.output(u'最大资金占比：\t%s' % format_number(d['max_occupy_rate'])) + + result_info.update({u'平均每笔盈利': d['capital'] / d['total_trade_count']}) + self.output(u'平均每笔盈利：\t%s' % format_number(d['capital'] / d['total_trade_count'])) + + result_info.update({u'平均每笔滑点成本': d['total_slippage'] / d['total_trade_count']}) + self.output(u'平均每笔滑点成本：\t%s' % format_number(d['total_slippage'] / d['total_trade_count'])) + + result_info.update({u'平均每笔佣金': d['total_commission'] / d['total_trade_count']}) + self.output(u'平均每笔佣金：\t%s' % format_number(d['total_commission'] / d['total_trade_count'])) + + result_info.update({u'Sharpe Ratio': d['sharpe']}) + self.output(u'Sharpe Ratio：\t%s' % format_number(d['sharpe'])) + + return result_info + + def put_strategy_event(self, strategy: CtaTemplate): + """发送策略更新事件，回测中忽略""" + pass + + def clear_backtesting_result(self): + """清空之前回测的结果""" + # 清空限价单相关 + self.limit_order_count = 0 + self.limit_orders.clear() + self.active_limit_orders.clear() + + # 清空成交相关 + self.trade_count = 0 + self.trade_dict.clear() + self.trades.clear() + self.trade_pnl_list = [] + + def append_trade(self, trade: TradeData): + # 根据策略名称，写入 logs\test_name_straetgy_name_trade.csv文件 + strategy_name = getattr(trade, 'strategy', self.test_name) + trade_fields = ['symbol', 'exchange', 'vt_symbol', 'tradeid', 'vt_tradeid', 'orderid', 'vt_orderid', + 'direction', + 'offset', 'price', 'volume', 'time'] + + d = OrderedDict() + try: + for k in trade_fields: + d[k] = getattr(trade, k, '') + + trade_folder = os.path.abspath(os.path.join(self.get_logs_path(), self.test_name)) + if not os.path.exists(trade_folder): + os.makedirs(trade_folder) + trade_file = os.path.abspath(os.path.join(trade_folder, '{}_trade.csv'.format(strategy_name))) + self.append_data(file_name=trade_file, dict_data=d) + except Exception as ex: + self.write_error(u'写入交易记录csv出错：{},{}'.format(str(ex), traceback.format_exc())) + + # 保存记录相关 + def append_data(self, file_name: str, dict_data: OrderedDict, field_names: list = None): + """ + 添加数据到csv文件中 + :param file_name: csv的文件全路径 + :param dict_data: OrderedDict + :return: + """ + if field_names is None or field_names == []: + dict_fieldnames = list(dict_data.keys()) + else: + dict_fieldnames = field_names + + try: + if not os.path.exists(file_name): + self.write_log(u'create csv file:{}'.format(file_name)) + with open(file_name, 'a', encoding='utf8', newline='') as csvWriteFile: + writer = csv.DictWriter(f=csvWriteFile, fieldnames=dict_fieldnames, dialect='excel') + self.write_log(u'write csv header:{}'.format(dict_fieldnames)) + writer.writeheader() + writer.writerow(dict_data) + else: + with open(file_name, 'a', encoding='utf8', newline='') as csvWriteFile: + writer = csv.DictWriter(f=csvWriteFile, fieldnames=dict_fieldnames, dialect='excel', + extrasaction='ignore') + writer.writerow(dict_data) + except Exception as ex: + self.write_error(u'append_data exception:{}'.format(str(ex))) + + +######################################################################## +class TradingResult(object): + """每笔交易的结果""" + + def __init__(self, open_price, open_datetime, exit_price, close_datetime, volume, rate, slippage, size, group_id, + fix_commission=0.0): + """Constructor""" + self.open_price = open_price # 开仓价格 + self.exit_price = exit_price # 平仓价格 + + self.open_datetime = open_datetime # 开仓时间datetime + self.close_datetime = close_datetime # 平仓时间 + + self.volume = volume # 交易数量（+/-代表方向） + self.group_id = group_id # 主交易ID（针对多手平仓） + + self.turnover = (self.open_price + self.exit_price) * size * abs(volume) # 成交金额 + if fix_commission > 0: + self.commission = fix_commission * abs(self.volume) + else: + self.commission = abs(self.turnover * rate) # 手续费成本 + self.slippage = slippage * 2 * size * abs(volume) # 滑点成本 + self.pnl = ((self.exit_price - self.open_price) * volume * size + - self.commission - self.slippage) # 净盈亏 + + diff --git a/vnpy/data/tdx/future_contracts.json b/vnpy/data/tdx/future_contracts.json index c71c6d46..712c9477 100644 --- a/vnpy/data/tdx/future_contracts.json +++ b/vnpy/data/tdx/future_contracts.json @@ -4,511 +4,575 @@ "mi_symbol": "a2005", "full_symbol": "A2005", "exchange": "DCE", - "symbol_size": "10", - "price_tick": "1" + "margin_rate": 0.05, + "symbol_size": 10, + "price_tick": 1.0 }, "AG": { "underlying_symbol": "AG", "mi_symbol": "ag2007", "full_symbol": "AG2007", "exchange": "SHFE", - "symbol_size": "15", - "price_tick": "1" + "margin_rate": 0.07, + "symbol_size": 15, + "price_tick": 1.0 }, "AL": { "underlying_symbol": "AL", - "mi_symbol": "al2002", - "full_symbol": "AL2002", + "mi_symbol": "al2003", + "full_symbol": "AL2003", "exchange": "SHFE", - "symbol_size": "5", - "price_tick": "5" + "margin_rate": 0.07, + "symbol_size": 5, + "price_tick": 5.0 }, "AP": { "underlying_symbol": "AP", "mi_symbol": "AP005", "full_symbol": "AP2005", "exchange": "CZCE", - "symbol_size": "10", - "price_tick": "1" + "margin_rate": 0.08, + "symbol_size": 10, + "price_tick": 1.0 }, "AU": { "underlying_symbol": "AU", "mi_symbol": "au2006", "full_symbol": "AU2006", "exchange": "SHFE", - "symbol_size": "1000", - "price_tick": "0.05" + "margin_rate": 0.06, + "symbol_size": 1000, + "price_tick": 0.02 }, "B": { "underlying_symbol": "B", "mi_symbol": "b2003", "full_symbol": "B2003", "exchange": "DCE", - "symbol_size": "10", - "price_tick": "1" + "margin_rate": 0.05, + "symbol_size": 10, + "price_tick": 1.0 }, "BB": { "underlying_symbol": "BB", "mi_symbol": "bb2012", "full_symbol": "BB2012", "exchange": "DCE", - "symbol_size": "500", - "price_tick": "0.05" + "margin_rate": 0.2, + "symbol_size": 500, + "price_tick": 0.05 }, "BU": { "underlying_symbol": "BU", "mi_symbol": "bu2006", "full_symbol": "BU2006", "exchange": "SHFE", - "symbol_size": "10", - "price_tick": "2" + "margin_rate": 0.09, + "symbol_size": 10, + "price_tick": 2.0 }, "C": { "underlying_symbol": "C", "mi_symbol": "c2005", "full_symbol": "C2005", "exchange": "DCE", - "symbol_size": "10", - "price_tick": "1" + "margin_rate": 0.05, + "symbol_size": 10, + "price_tick": 1.0 }, "CF": { "underlying_symbol": "CF", "mi_symbol": "CF005", "full_symbol": "CF2005", "exchange": "CZCE", - "symbol_size": "5", - "price_tick": "5" + "margin_rate": 0.05, + "symbol_size": 5, + "price_tick": 5.0 }, "CJ": { "underlying_symbol": "CJ", "mi_symbol": "CJ005", "full_symbol": "CJ2005", "exchange": "CZCE", - "symbol_size": "5", - "price_tick": "5" + "margin_rate": 0.07, + "symbol_size": 5, + "price_tick": 5.0 }, "CS": { "underlying_symbol": "CS", "mi_symbol": "cs2005", "full_symbol": "CS2005", "exchange": "DCE", - "symbol_size": "10", - "price_tick": "1" + "margin_rate": 0.05, + "symbol_size": 10, + "price_tick": 1.0 }, "CU": { "underlying_symbol": "CU", "mi_symbol": "cu2003", "full_symbol": "CU2003", "exchange": "SHFE", - "symbol_size": "5", - "price_tick": "10" + "margin_rate": 0.07, + "symbol_size": 5, + "price_tick": 10.0 }, "CY": { "underlying_symbol": "CY", "mi_symbol": "CY005", "full_symbol": "CY2005", "exchange": "CZCE", - "symbol_size": "5", - "price_tick": "5" + "margin_rate": 0.05, + "symbol_size": 5, + "price_tick": 5.0 }, "EB": { "underlying_symbol": "EB", "mi_symbol": "eb2005", "full_symbol": "EB2005", "exchange": "DCE", - "symbol_size": "5", - "price_tick": "1" + "margin_rate": 0.05, + "symbol_size": 5, + "price_tick": 1.0 }, "EG": { "underlying_symbol": "EG", "mi_symbol": "eg2005", "full_symbol": "EG2005", "exchange": "DCE", - "symbol_size": "10", - "price_tick": "1" + "margin_rate": 0.06, + "symbol_size": 10, + "price_tick": 1.0 }, "FB": { "underlying_symbol": "FB", "mi_symbol": "fb2005", "full_symbol": "FB2005", "exchange": "DCE", - "symbol_size": "500", - "price_tick": "0.05" + "margin_rate": 0.1, + "symbol_size": 10, + "price_tick": 0.5 }, "FG": { "underlying_symbol": "FG", "mi_symbol": "FG005", "full_symbol": "FG2005", "exchange": "CZCE", - "symbol_size": "20", - "price_tick": "1" + "margin_rate": 0.05, + "symbol_size": 20, + "price_tick": 1.0 }, "FU": { "underlying_symbol": "FU", "mi_symbol": "fu2005", "full_symbol": "FU2005", "exchange": "SHFE", - "symbol_size": "10", - "price_tick": "1" + "margin_rate": 0.1, + "symbol_size": 10, + "price_tick": 1.0 }, "HC": { "underlying_symbol": "HC", "mi_symbol": "hc2005", "full_symbol": "HC2005", "exchange": "SHFE", - "symbol_size": "10", - "price_tick": "1" + "margin_rate": 0.08, + "symbol_size": 10, + "price_tick": 1.0 }, "I": { "underlying_symbol": "I", "mi_symbol": "i2005", "full_symbol": "I2005", "exchange": "DCE", - "symbol_size": "100", - "price_tick": "0.5" + "margin_rate": 0.08, + "symbol_size": 100, + "price_tick": 0.5 }, "IC": { "underlying_symbol": "IC", "mi_symbol": "IC2003", "full_symbol": "IC2003", "exchange": "CFFEX", - "symbol_size": "200", - "price_tick": "0.2" + "margin_rate": 0.12, + "symbol_size": 200, + "price_tick": 0.2 }, "IF": { "underlying_symbol": "IF", "mi_symbol": "IF2003", "full_symbol": "IF2003", "exchange": "CFFEX", - "symbol_size": "300", - "price_tick": "0.2" + "margin_rate": 0.1, + "symbol_size": 300, + "price_tick": 0.2 }, "IH": { "underlying_symbol": "IH", "mi_symbol": "IH2003", "full_symbol": "IH2003", "exchange": "CFFEX", - "symbol_size": "300", - "price_tick": "0.2" + "margin_rate": 0.1, + "symbol_size": 300, + "price_tick": 0.2 }, "J": { "underlying_symbol": "J", "mi_symbol": "j2005", "full_symbol": "J2005", "exchange": "DCE", - "symbol_size": "100", - "price_tick": "0.5" + "margin_rate": 0.08, + "symbol_size": 100, + "price_tick": 0.5 }, "JD": { "underlying_symbol": "JD", "mi_symbol": "jd2005", "full_symbol": "JD2005", "exchange": "DCE", - "symbol_size": "10", - "price_tick": "1" + "margin_rate": 0.07, + "symbol_size": 10, + "price_tick": 1.0 }, "JM": { "underlying_symbol": "JM", "mi_symbol": "jm2005", "full_symbol": "JM2005", "exchange": "DCE", - "symbol_size": "60", - "price_tick": "0.5" + "margin_rate": 0.08, + "symbol_size": 60, + "price_tick": 0.5 }, "JR": { "underlying_symbol": "JR", "mi_symbol": "JR011", "full_symbol": "JR2011", "exchange": "CZCE", - "symbol_size": "20", - "price_tick": "1" + "margin_rate": 0.05, + "symbol_size": 20, + "price_tick": 1.0 }, "L": { "underlying_symbol": "L", "mi_symbol": "l2005", "full_symbol": "L2005", "exchange": "DCE", - "symbol_size": "5", - "price_tick": "5" + "margin_rate": 0.05, + "symbol_size": 5, + "price_tick": 5.0 }, "LR": { "underlying_symbol": "LR", "mi_symbol": "LR007", "full_symbol": "LR2007", "exchange": "CZCE", - "symbol_size": "20", - "price_tick": "1" + "margin_rate": 0.05, + "symbol_size": 20, + "price_tick": 1.0 }, "M": { "underlying_symbol": "M", "mi_symbol": "m2005", "full_symbol": "M2005", "exchange": "DCE", - "symbol_size": "10", - "price_tick": "1" + "margin_rate": 0.05, + "symbol_size": 10, + "price_tick": 1.0 }, "MA": { "underlying_symbol": "MA", "mi_symbol": "MA005", "full_symbol": "MA2005", "exchange": "CZCE", - "symbol_size": "10", - "price_tick": "1" + "margin_rate": 0.07, + "symbol_size": 10, + "price_tick": 1.0 }, "NI": { "underlying_symbol": "NI", "mi_symbol": "ni2003", "full_symbol": "NI2003", "exchange": "SHFE", - "symbol_size": "1", - "price_tick": "10" + "margin_rate": 0.1, + "symbol_size": 1, + "price_tick": 10.0 }, "NR": { "underlying_symbol": "NR", "mi_symbol": "nr2004", "full_symbol": "NR2004", "exchange": "INE", - "symbol_size": "10", - "price_tick": "5" + "margin_rate": 0.09, + "symbol_size": 10, + "price_tick": 5.0 }, "OI": { "underlying_symbol": "OI", "mi_symbol": "OI005", "full_symbol": "OI2005", "exchange": "CZCE", - "symbol_size": "10", - "price_tick": "1" + "margin_rate": 0.05, + "symbol_size": 10, + "price_tick": 1.0 }, "P": { "underlying_symbol": "P", "mi_symbol": "p2005", "full_symbol": "P2005", "exchange": "DCE", - "symbol_size": "10", - "price_tick": "2" + "margin_rate": 0.05, + "symbol_size": 10, + "price_tick": 2.0 }, "PB": { "underlying_symbol": "PB", - "mi_symbol": "pb2002", - "full_symbol": "PB2002", + "mi_symbol": "pb2003", + "full_symbol": "PB2003", "exchange": "SHFE", - "symbol_size": "5", - "price_tick": "5" + "margin_rate": 0.07, + "symbol_size": 5, + "price_tick": 5.0 }, "PM": { "underlying_symbol": "PM", "mi_symbol": "PM011", "full_symbol": "PM2011", "exchange": "CZCE", - "symbol_size": "50", - "price_tick": "1" + "margin_rate": 0.05, + "symbol_size": 50, + "price_tick": 1.0 }, "PP": { "underlying_symbol": "PP", "mi_symbol": "pp2005", "full_symbol": "PP2005", "exchange": "DCE", - "symbol_size": "5", - "price_tick": "1" + "margin_rate": 0.05, + "symbol_size": 5, + "price_tick": 1.0 }, "RB": { "underlying_symbol": "RB", "mi_symbol": "rb2005", "full_symbol": "RB2005", "exchange": "SHFE", - "symbol_size": "10", - "price_tick": "1" + "margin_rate": 0.08, + "symbol_size": 10, + "price_tick": 1.0 }, "RI": { "underlying_symbol": "RI", "mi_symbol": "RI011", "full_symbol": "RI2011", "exchange": "CZCE", - "symbol_size": "20", - "price_tick": "1" + "margin_rate": 0.05, + "symbol_size": 20, + "price_tick": 1.0 }, "RM": { "underlying_symbol": "RM", "mi_symbol": "RM005", "full_symbol": "RM2005", "exchange": "CZCE", - "symbol_size": "10", - "price_tick": "1" + "margin_rate": 0.06, + "symbol_size": 10, + "price_tick": 1.0 }, "RR": { "underlying_symbol": "RR", "mi_symbol": "rr2005", "full_symbol": "RR2005", "exchange": "DCE", - "symbol_size": "10", - "price_tick": "1" + "margin_rate": 0.05, + "symbol_size": 10, + "price_tick": 1.0 }, "RS": { "underlying_symbol": "RS", "mi_symbol": "RS011", "full_symbol": "RS2011", "exchange": "CZCE", - "symbol_size": "10", - "price_tick": "1" + "margin_rate": 0.2, + "symbol_size": 10, + "price_tick": 1.0 }, "RU": { "underlying_symbol": "RU", "mi_symbol": "ru2005", "full_symbol": "RU2005", "exchange": "SHFE", - "symbol_size": "10", - "price_tick": "5" + "margin_rate": 0.09, + "symbol_size": 10, + "price_tick": 5.0 }, "SA": { "underlying_symbol": "SA", "mi_symbol": "SA005", "full_symbol": "SA2005", "exchange": "CZCE", - "symbol_size": "20", - "price_tick": "1" + "margin_rate": 0.05, + "symbol_size": 20, + "price_tick": 1.0 }, "SC": { "underlying_symbol": "SC", "mi_symbol": "sc2003", "full_symbol": "SC2003", "exchange": "INE", - "symbol_size": "1000", - "price_tick": "0.1" + "margin_rate": 0.07, + "symbol_size": 1000, + "price_tick": 0.1 }, "SF": { "underlying_symbol": "SF", "mi_symbol": "SF005", "full_symbol": "SF2005", "exchange": "CZCE", - "symbol_size": "5", - "price_tick": "2" + "margin_rate": 0.07, + "symbol_size": 5, + "price_tick": 2.0 }, "SM": { "underlying_symbol": "SM", "mi_symbol": "SM005", "full_symbol": "SM2005", "exchange": "CZCE", - "symbol_size": "5", - "price_tick": "2" + "margin_rate": 0.07, + "symbol_size": 5, + "price_tick": 2.0 }, "SN": { "underlying_symbol": "SN", "mi_symbol": "sn2006", "full_symbol": "SN2006", "exchange": "SHFE", - "symbol_size": "1", - "price_tick": "10" + "margin_rate": 0.08, + "symbol_size": 1, + "price_tick": 10.0 }, "SP": { "underlying_symbol": "SP", "mi_symbol": "sp2005", "full_symbol": "SP2005", "exchange": "SHFE", - "symbol_size": "10", - "price_tick": "2" + "margin_rate": 0.07, + "symbol_size": 10, + "price_tick": 2.0 }, "SR": { "underlying_symbol": "SR", "mi_symbol": "SR005", "full_symbol": "SR2005", "exchange": "CZCE", - "symbol_size": "10", - "price_tick": "1" + "margin_rate": 0.05, + "symbol_size": 10, + "price_tick": 1.0 }, "SS": { "underlying_symbol": "SS", "mi_symbol": "ss2006", "full_symbol": "SS2006", "exchange": "SHFE", - "symbol_size": "5", - "price_tick": "5" + "margin_rate": 0.08, + "symbol_size": 5, + "price_tick": 5.0 }, "T": { "underlying_symbol": "T", "mi_symbol": "T2003", "full_symbol": "T2003", "exchange": "CFFEX", - "symbol_size": "10000", - "price_tick": "0.005" + "margin_rate": 0.02, + "symbol_size": 10000, + "price_tick": 0.005 }, "TA": { "underlying_symbol": "TA", "mi_symbol": "TA005", "full_symbol": "TA2005", "exchange": "CZCE", - "symbol_size": "5", - "price_tick": "2" + "margin_rate": 0.06, + "symbol_size": 5, + "price_tick": 2.0 }, "TF": { "underlying_symbol": "TF", "mi_symbol": "TF2003", "full_symbol": "TF2003", "exchange": "CFFEX", - "symbol_size": "10000", - "price_tick": "0.005" + "margin_rate": 0.012, + "symbol_size": 10000, + "price_tick": 0.005 }, "TS": { "underlying_symbol": "TS", "mi_symbol": "TS2003", "full_symbol": "TS2003", "exchange": "CFFEX", - "symbol_size": "20000", - "price_tick": "0.005" + "margin_rate": 0.005, + "symbol_size": 20000, + "price_tick": 0.005 }, "UR": { "underlying_symbol": "UR", "mi_symbol": "UR005", "full_symbol": "UR2005", "exchange": "CZCE", - "symbol_size": "20", - "price_tick": "1" + "margin_rate": 0.05, + "symbol_size": 20, + "price_tick": 1.0 }, "V": { "underlying_symbol": "V", "mi_symbol": "v2005", "full_symbol": "V2005", "exchange": "DCE", - "symbol_size": "5", - "price_tick": "5" + "margin_rate": 0.05, + "symbol_size": 5, + "price_tick": 5.0 }, "WH": { "underlying_symbol": "WH", - "mi_symbol": "WH005", - "full_symbol": "WH2005", + "mi_symbol": "WH011", + "full_symbol": "WH2011", "exchange": "CZCE", - "symbol_size": "20", - "price_tick": "1" + "margin_rate": 0.07, + "symbol_size": 20, + "price_tick": 1.0 }, "WR": { "underlying_symbol": "WR", "mi_symbol": "wr2012", "full_symbol": "WR2012", "exchange": "SHFE", - "symbol_size": "10", - "price_tick": "1" + "margin_rate": 0.08, + "symbol_size": 10, + "price_tick": 1.0 }, "Y": { "underlying_symbol": "Y", "mi_symbol": "y2005", "full_symbol": "Y2005", "exchange": "DCE", - "symbol_size": "10", - "price_tick": "2" + "margin_rate": 0.05, + "symbol_size": 10, + "price_tick": 2.0 }, "ZC": { "underlying_symbol": "ZC", "mi_symbol": "ZC005", "full_symbol": "ZC2005", "exchange": "CZCE", - "symbol_size": "100", - "price_tick": "0.2" + "margin_rate": 0.06, + "symbol_size": 100, + "price_tick": 0.2 }, "ZN": { "underlying_symbol": "ZN", "mi_symbol": "zn2003", "full_symbol": "ZN2003", "exchange": "SHFE", - "symbol_size": "5", - "price_tick": "5" + "margin_rate": 0.07, + "symbol_size": 5, + "price_tick": 5.0 } } \ No newline at end of file diff --git a/vnpy/data/tdx/refill_tdx_future_bars.py b/vnpy/data/tdx/refill_tdx_future_bars.py index 1ea2d4b5..0d6a9594 100644 --- a/vnpy/data/tdx/refill_tdx_future_bars.py +++ b/vnpy/data/tdx/refill_tdx_future_bars.py @@ -20,7 +20,7 @@ from vnpy.data.tdx.tdx_future_data import * bar_data_folder = os.path.abspath(os.path.join(vnpy_root, 'bar_data')) # 开始日期（每年大概需要几分钟） -start_date = '20190101' +start_date = '20160101' # 创建API对象 api_01 = TdxFutureData() @@ -29,7 +29,7 @@ api_01 = TdxFutureData() api_01.update_mi_contracts() # 逐一指数合约下载并更新 -for underlying_symbol in api_01.future_contracts.keys(): +for underlying_symbol in ['RB', 'J']: #api_01.future_contracts.keys(): index_symbol = underlying_symbol + '99' print(f'开始更新:{index_symbol}') # csv数据文件名 @@ -76,4 +76,6 @@ for underlying_symbol in api_01.future_contracts.keys(): print(data_df.tail()) data_df.to_csv(bar_file_path, index=True) print(f'更新{index_symbol}数据 => 文件{bar_file_path}') - break + +print('更新完毕') +os._exit(0) diff --git a/vnpy/data/tdx/tdx_future_data.py b/vnpy/data/tdx/tdx_future_data.py index 56fb15c9..95114976 100644 --- a/vnpy/data/tdx/tdx_future_data.py +++ b/vnpy/data/tdx/tdx_future_data.py @@ -773,14 +773,14 @@ class TdxFutureData(object): should_save = True else: # 添加到新合约中 - # todo 这里缺少size和price_tick + # 这里缺少size和price_tick, margin_rate，当ctp_gateway启动时，会自动补充和修正完毕 info = { "underlying_symbol": underlying_symbol, "mi_symbol": mi_symbol, "full_symbol": full_symbol, "exchange": vn_exchange.value } - self.write_log(u'新合约:{}'.format(info)) + self.write_log(u'新合约:{}, 需要待ctp连接后更新合约的size/price_tick/margin_rate'.format(info)) self.future_contracts.update({underlying_symbol: info}) should_save = True diff --git a/vnpy/data/tdx/test_tdx_future.py b/vnpy/data/tdx/test_tdx_future.py index 5c4a54c5..9a99b9f9 100644 --- a/vnpy/data/tdx/test_tdx_future.py +++ b/vnpy/data/tdx/test_tdx_future.py @@ -22,11 +22,11 @@ str_markets = json.dumps(markets, indent=1, ensure_ascii=False) print(u'{}'.format(str_markets)) # 获取所有的期货合约明细 -# api_01.qry_instrument() +api_01.qry_instrument() # 获取某个合约得最新价 -# price = api_01.get_price('rb2005') -# print('price={}'.format(price)) +price = api_01.get_price('rb2005') +print('price={}'.format(price)) # 获取主力合约 diff --git a/vnpy/gateway/ctp/ctp_gateway.py b/vnpy/gateway/ctp/ctp_gateway.py index f82797ad..0dd9eea1 100644 --- a/vnpy/gateway/ctp/ctp_gateway.py +++ b/vnpy/gateway/ctp/ctp_gateway.py @@ -3,7 +3,7 @@ import traceback import json from datetime import datetime, timedelta -from copy import copy +from copy import copy,deepcopy from vnpy.api.ctp import ( MdApi, @@ -76,6 +76,7 @@ from vnpy.amqp.consumer import subscriber from vnpy.data.tdx.tdx_common import ( TDX_FUTURE_HOSTS, get_future_contracts, + save_future_contracts, get_cache_json, save_cache_json, TDX_FUTURE_CONFIG) @@ -137,7 +138,9 @@ OPTIONTYPE_CTP2VT = { symbol_exchange_map = {} symbol_name_map = {} symbol_size_map = {} - +index_contracts = {} +# tdx 期货配置本地缓存 +future_contracts = get_future_contracts() class CtpGateway(BaseGateway): """ @@ -479,6 +482,7 @@ class CtpTdApi(TdApi): self.trade_data = [] self.positions = {} self.sysid_orderid_map = {} + self.future_contract_changed = False def onFrontConnected(self): """""" @@ -665,9 +669,40 @@ class CtpTdApi(TdApi): symbol_name_map[contract.symbol] = contract.name symbol_size_map[contract.symbol] = contract.size + if contract.product == Product.FUTURES: + # 生成指数合约信息 + underlying_symbol = data["ProductID"] # 短合约名称 + underlying_symbol = underlying_symbol.upper() + # 只推送普通合约的指数 + if len(underlying_symbol) <= 2: + idx_contract = index_contracts.get(underlying_symbol, None) + if idx_contract is None: + idx_contract = deepcopy(contract) + idx_contract.symbol = '{}99'.format(underlying_symbol) + idx_contract.name = u'{}指数'.format(underlying_symbol) + self.gateway.on_contract(idx_contract) + + # 获取data/tdx/future_contracts.json中的合约记录 + future_contract = future_contracts.get(underlying_symbol, {}) + mi_contract_symbol = future_contract.get('mi_symbol', '') + margin_rate = float(future_contract.get('margin_rate', 0)) + mi_margin_rate = round(idx_contract.margin_rate, 4) + if mi_contract_symbol == contract.symbol: + if margin_rate != mi_margin_rate: + self.gateway.write_log(f"{underlying_symbol}合约主力{mi_contract_symbol} 保证金{margin_rate}=>{mi_margin_rate}") + future_contract.update({'margin_rate': mi_margin_rate}) + future_contract.update({'symbol_size': idx_contract.size}) + future_contract.update({'price_tick': idx_contract.pricetick}) + future_contracts.update({underlying_symbol: future_contract}) + self.future_contract_changed = True + index_contracts.update({underlying_symbol: idx_contract}) if last: self.gateway.write_log("合约信息查询成功") + if self.future_contract_changed: + self.gateway.write_log('更新vnpy/data/tdx/future_contracts.json') + save_future_contracts(future_contracts) + for data in self.order_data: self.onRtnOrder(data) self.order_data.clear() @@ -902,7 +937,6 @@ class CtpTdApi(TdApi): if self.connect_status: self.exit() - class TdxMdApi(): """ 通达信数据行情API实现 @@ -923,8 +957,7 @@ class TdxMdApi(): self.symbol_vn_dict = {} # tdx合约与vtSymbol的对应 self.symbol_tick_dict = {} # tdx合约与最后一个Tick得字典 - # tdx 期货配置本地缓存 - self.future_contracts = get_future_contracts() + self.registered_symbol_set = set() @@ -1180,7 +1213,7 @@ class TdxMdApi(): underlying_symbol = get_underlying_symbol(vn_symbol) if exchange is None: - symbol_info = self.future_contracts.get(underlying_symbol, None) + symbol_info = future_contracts.get(underlying_symbol, None) if not symbol_info: continue exchange_value = symbol_info.get('exchange', None) diff --git a/vnpy/trader/constant.py b/vnpy/trader/constant.py index 92729a3c..5aa2d84d 100644 --- a/vnpy/trader/constant.py +++ b/vnpy/trader/constant.py @@ -134,7 +134,7 @@ class Exchange(Enum): # Special Function LOCAL = "LOCAL" # For local generated data - + SPD = "SPD" # Customer Spread data class Currency(Enum): """ diff --git a/vnpy/trader/converter.py b/vnpy/trader/converter.py index ed512428..d2fe23d4 100644 --- a/vnpy/trader/converter.py +++ b/vnpy/trader/converter.py @@ -301,3 +301,4 @@ class PositionHolding: req_list.append(req_open) return req_list + diff --git a/vnpy/trader/engine.py b/vnpy/trader/engine.py index b2d24257..2d2f3514 100644 --- a/vnpy/trader/engine.py +++ b/vnpy/trader/engine.py @@ -66,12 +66,14 @@ class MainEngine: self.engines[engine.engine_name] = engine return engine - def add_gateway(self, gateway_class: Type[BaseGateway]): + def add_gateway(self, gateway_class: Type[BaseGateway], gateway_name: str = None): """ Add gateway. """ gateway = gateway_class(self.event_engine) - self.gateways[gateway.gateway_name] = gateway + if gateway_name is None: + gateway_name = gateway.gateway_name + self.gateways[gateway_name] = gateway # Add gateway supported exchanges into engine for exchange in gateway.exchanges: diff --git a/vnpy/trader/object.py b/vnpy/trader/object.py index bb607e95..bc3266dc 100644 --- a/vnpy/trader/object.py +++ b/vnpy/trader/object.py @@ -137,6 +137,7 @@ class OrderData(BaseData): traded: float = 0 status: Status = Status.SUBMITTING time: str = "" + cancel_time: str = "" def __post_init__(self): """""" @@ -179,6 +180,8 @@ class TradeData(BaseData): price: float = 0 volume: float = 0 time: str = "" + datetime: datetime = None + strategy_name: str = "" def __post_init__(self): """""" diff --git a/vnpy/trader/utility.py b/vnpy/trader/utility.py index 36cc5d23..24f242fc 100644 --- a/vnpy/trader/utility.py +++ b/vnpy/trader/utility.py @@ -177,6 +177,10 @@ def generate_vt_symbol(symbol: str, exchange: Exchange): """ return f"{symbol}.{exchange.value}" +def format_number(n): + """格式化数字到字符串""" + rn = round(n, 2) # 保留两位小数 + return format(rn, ',') # 加上千分符 def _get_trader_dir(temp_name: str): """