[Add]增加海龟策略的测试用数据，初步完成海龟策略

examples/DataService/RqdataDataService/downloadData.py

@@ -8,10 +8,7 @@ from dataService import *
 
 
 if __name__ == '__main__':
-    #downloadMinuteBarBySymbol('IF1812')
-    #downloadAllMinuteBar()
-    #downloadMinuteBarBySymbol('CU99')
-    downloadDailyBarBySymbol('CU99')
+    downloadMinuteBarBySymbol('CU99')
     downloadDailyBarBySymbol('IF99')
     downloadDailyBarBySymbol('TA99')
     downloadDailyBarBySymbol('I99')

examples/TurtleStrategy/README.MD

@@ -0,0 +1,15 @@
+## 海龟交易策略（完整版）
+
+使用说明：
+1. 在cmd中运行python loadCsv.py，将000300.csv中的沪深300指数数据加载到MongoDB数据库中
+2. 使用Jupyter Notebook打开run.ipynb，并执行相应的回测分析
+
+开发进度
+1. 海龟交易信号（负责判断具体的买卖位置）：已完成
+2. 海龟投资组合（负责根据信号执行具体交易）：已完成
+3. 回测引擎配置组合和信号：已完成
+4. 回测引擎加载历史数据：已完成
+5. 回测引擎回放历史数据：已完成
+6. 回测引擎计算每日盈亏情况：已完成
+7. 回测引擎统计整体回测结果和画图：未完成
+

examples/TurtleStrategy/loadCsv.py

@@ -0,0 +1,37 @@
+# encoding: UTF-8
+
+from csv import DictReader
+from datetime import datetime
+from pymongo import MongoClient
+
+from vnpy.trader.vtObject import VtBarData
+
+from turtleEngine import DAILY_DB_NAME
+
+
+#----------------------------------------------------------------------
+def loadCsv(filename):
+    """"""
+    symbol = filename.split('.')[0]
+    
+    mc = MongoClient()
+    db = mc[DAILY_DB_NAME]
+    collection = db[symbol]
+    
+    with open(filename) as f:
+        r = DictReader(f)
+        for d in r:
+            bar = VtBarData()
+            bar.datetime = datetime.strptime(d['date'], '%Y/%m/%d')
+            bar.vtSymbol = symbol
+            bar.open = float(d['open'])
+            bar.high = float(d['high'])
+            bar.low = float(d['low'])
+            bar.close = float(d['close'])
+            bar.volume= int(d['volume'])
+        
+            collection.insert(bar.__dict__)
+    
+if __name__ == '__main__':
+    loadCsv('000300.csv')
+    loadCsv('000905.csv')

examples/TurtleStrategy/test.csv

@@ -0,0 +1,3 @@
+vtSymbol,size,priceTick,variableCommission,fixedCommission,slippage
+000300,1,0.2,0,0,0
+000905,1,0.1,0,0,0

examples/TurtleStrategy/turtleEngine.py

@@ -73,6 +73,9 @@ class BacktestingEngine(object):
         self.portfolio = TurtlePortfolio(self)
         self.portfolio.init(portfolioValue, self.vtSymbolList, SIZE_DICT)
         
+        self.writeLog(u'投资组合的合约代码%s' %(self.vtSymbolList))
+        self.writeLog(u'投资组合的初始价值%s' %(portfolioValue))
+    
     #----------------------------------------------------------------------
     def loadData(self):
         """"""
@@ -100,6 +103,8 @@ class BacktestingEngine(object):
     #----------------------------------------------------------------------
     def runBacktesting(self):
         """"""
+        self.writeLog(u'开始回放K线数据')
+        
         for dt, barDict in self.dataDict.items():
             self.currentDt = dt
             
@@ -116,12 +121,18 @@ class BacktestingEngine(object):
             self.resultList.append(result)
             self.result = result
         
+        self.writeLog(u'K线数据回放结束')
+    
     #----------------------------------------------------------------------
     def calculateResult(self):
         """"""
+        self.writeLog(u'开始统计回测结果')
+        
         for result in self.resultList:
             result.calculatePnl()
         
+        self.writeLog(u'回测结果统计结束')
+    
     #----------------------------------------------------------------------
     def sendOrder(self, vtSymbol, direction, offset, price, volume):
         """"""
@@ -139,7 +150,7 @@ class BacktestingEngine(object):
     #----------------------------------------------------------------------
     def writeLog(self, content):
         """"""
-        print '%s:%s' %(datetime.now().strftime('%H:%M:%S.%f'), content)
+        print '%s:\t%s' %(datetime.now().strftime('%H:%M:%S.%f'), content)
     
     
 ########################################################################