From 11926f6f6f1cd24d4c275ff3be9d90c6790e73a0 Mon Sep 17 00:00:00 2001 From: msincenselee Date: Thu, 8 Jun 2017 16:50:51 +0800 Subject: [PATCH] =?UTF-8?q?=E6=9A=82=E6=97=B6=E6=B3=A8=E9=87=8AMysql=20?= =?UTF-8?q?=E6=9B=B4=E6=96=B0Mongodbh=E5=9B=9E=E6=B5=8B=E5=8D=95=E5=93=81?= =?UTF-8?q?=E7=A7=8D/=E5=A5=97=E5=88=A9=E5=93=81=E7=A7=8D=E3=80=82?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vn.trader/ctaStrategy/ctaBacktesting.py | 238 +++++++++++++++++++----- 1 file changed, 192 insertions(+), 46 deletions(-) diff --git a/vn.trader/ctaStrategy/ctaBacktesting.py b/vn.trader/ctaStrategy/ctaBacktesting.py index d5139d6d..154e06b8 100644 --- a/vn.trader/ctaStrategy/ctaBacktesting.py +++ b/vn.trader/ctaStrategy/ctaBacktesting.py @@ -234,45 +234,6 @@ class BacktestingEngine(object): self.priceTick = priceTick self.minDiff = priceTick - #---------------------------------------------------------------------- - def loadHistoryDataFromMongo(self): - """载入历史数据""" - host, port, log = loadMongoSetting() - - self.dbClient = pymongo.MongoClient(host, port) - collection = self.dbClient[self.dbName][self.symbol] - - self.output(u'开始载入数据') - - # 首先根据回测模式，确认要使用的数据类 - if self.mode == self.BAR_MODE: - dataClass = CtaBarData - func = self.newBar - else: - dataClass = CtaTickData - func = self.newTick - - # 载入初始化需要用的数据 - flt = {'datetime':{'$gte':self.dataStartDate, - '$lt':self.strategyStartDate}} - initCursor = collection.find(flt) - - # 将数据从查询指针中读取出，并生成列表 - self.initData = [] # 清空initData列表 - for d in initCursor: - data = dataClass() - data.__dict__ = d - self.initData.append(data) - - # 载入回测数据 - if not self.dataEndDate: - flt = {'datetime':{'$gte':self.strategyStartDate}} # 数据过滤条件 - else: - flt = {'datetime':{'$gte':self.strategyStartDate, - '$lte':self.dataEndDate}} - self.dbCursor = collection.find(flt) - - self.output(u'载入完成，数据量：%s' %(initCursor.count() + self.dbCursor.count())) #---------------------------------------------------------------------- def connectMysql(self): @@ -1358,6 +1319,143 @@ class BacktestingEngine(object): else: self.newTick(leg2) leg2_tick = None + + def runBackTestingWithNonStrArbTickFromMongoDB(self, leg1Symbol, leg2Symbol): + """运行套利回测（使用服务器数据，数据从taobao标普购买) + 参数： + leg1Symbol： leg1合约 + Leg2Symbol：leg2合约 + added by IncenseLee + + 目录为交易日。 + 按照回测的开始日期，到结束日期，循环每一天。 + + 读取eg1（如RB1610），读取Leg2（如RB1701），根据两者tick的时间优先顺序，逐一tick灌输到策略的onTick中。 + """ + + # 连接数据库 + host, port, log = loadMongoSetting() + self.dbClient = pymongo.MongoClient(host, port) + + self.capital = self.initCapital # 更新设置期初资金 + + if not self.dataStartDate: + self.writeCtaLog(u'回测开始日期未设置。') + return + # RB + if len(self.symbol) < 1: + self.writeCtaLog(u'回测对象未设置。') + return + + if not self.dataEndDate: + self.dataEndDate = datetime.today() + + # 首先根据回测模式，确认要使用的数据类 + if self.mode == self.BAR_MODE: + self.writeCtaLog(u'本回测仅支持tick模式') + return + + testdays = (self.dataEndDate - self.dataStartDate).days + + if testdays < 1: + self.writeCtaLog(u'回测时间不足') + return + + for i in range(0, testdays): + testday = self.dataStartDate + timedelta(days=i) + + self.output(u'回测日期:{0}'.format(testday)) + + # 加载运行每天数据 + self.__loadNotStdArbTicksFromMongoDB( testday, leg1Symbol, leg2Symbol) + + self.savingDailyData(testday, self.capital, self.maxCapital) + + def __loadNotStdArbTicksFromMongoDB(self,testday, leg1Symbol, leg2Symbol): + + self.writeCtaLog(u'从MongoDB加载回测日期:{0}的{1}-{2}价差tick'.format(testday,leg1Symbol, leg2Symbol)) + + leg1Ticks = self.__loadTicksFromMongoDB(tickDate=testday, vtSymbol=leg1Symbol) + if len(leg1Ticks) == 0: + self.writeCtaLog(u'读取{0}tick数为空'.format(leg1Symbol)) + return + + leg2Ticks = self.__loadTicksFromMongoDB(tickDate=testday, vtSymbol=leg2Symbol) + if len(leg2Ticks) == 0: + self.writeCtaLog(u'读取{0}tick数为空'.format(leg1Symbol)) + return + + leg1_tick = None + leg2_tick = None + + while not (len(leg1Ticks) == 0 or len(leg2Ticks) == 0): + if leg1_tick is None and len(leg1Ticks) > 0: + leg1_tick = leg1Ticks.popitem(last=False) + if leg2_tick is None and len(leg2Ticks) > 0: + leg2_tick = leg2Ticks.popitem(last=False) + + if leg1_tick is None and leg2_tick is not None: + self.newTick(leg2_tick[1]) + leg2_tick = None + elif leg1_tick is not None and leg2_tick is None: + self.newTick(leg1_tick[1]) + leg1_tick = None + elif leg1_tick is not None and leg2_tick is not None: + leg1 = leg1_tick[1] + leg2 = leg2_tick[1] + if leg1.datetime <= leg2.datetime: + self.newTick(leg1) + leg1_tick = None + else: + self.newTick(leg2) + leg2_tick = None + + def __loadTicksFromMongoDB(self, tickDate, vtSymbol): + """从mongodb读取tick""" + # 先读取数据到Dict，以日期时间为key + ticks = OrderedDict() + + p = re.compile(r"([A-Z]+)[0-9]+", re.I) + shortSymbol = p.match(vtSymbol) + if shortSymbol is None : + self.writeCtaLog(u'{0}不能正则分解'.format(vtSymbol)) + return + + shortSymbol = shortSymbol.group(1) + shortSymbol = shortSymbol + vtSymbol[-2:] # 例如 AU01 + + testday_monrning = tickDate.replace(hour=0, minute=0, second=0, microsecond=0) + testday_midnight = tickDate.replace(hour=23, minute=59, second=59, microsecond=999999) + + + # 载入初始化需要用的数据 + flt = {'datetime': {'$gte': testday_monrning, + '$lt': testday_midnight}} + db = self.dbClient['ticks'] + collection = db[shortSymbol] + initCursor = collection.find(flt).sort('datetime', pymongo.ASCENDING) + + # 将数据从查询指针中读取出，并生成列表 + count_ticks = 0 + for d in initCursor: + tick = CtaTickData() + tick.__dict__ = d + # 更新symbol + tick.vtSymbol = vtSymbol + tick.symbol = vtSymbol + + # 排除涨停/跌停的数据 + if (tick.bidPrice1 == float('1.79769E308') and tick.bidVolume1 == 0) \ + or (tick.askPrice1 == float('1.79769E308') and tick.askVolume1 == 0): + continue + dtStr = tick.date + ' ' + tick.time + if dtStr not in ticks: + ticks[dtStr] = tick + + count_ticks += 1 + + return ticks + #---------------------------------------------------------------------- def runBackTestingWithBarFile(self, filename): """运行回测（使用本地csv数据) @@ -1523,9 +1621,6 @@ class BacktestingEngine(object): self.capital = self.initCapital # 更新设置期初资金 - # 载入历史数据 - #self.loadHistoryData() - self.loadHistoryDataFromMongo() # 首先根据回测模式，确认要使用的数据类 if self.mode == self.BAR_MODE: @@ -1547,13 +1642,64 @@ class BacktestingEngine(object): self.output(u'开始回放数据') - for d in self.dbCursor: - data = dataClass() - data.__dict__ = d - func(data) + self.loadHistoryDataFromMongo() + self.output(u'数据回放结束') + # ---------------------------------------------------------------------- + def loadHistoryDataFromMongo(self): + """载入历史数据""" + host, port, log = loadMongoSetting() + + self.dbClient = pymongo.MongoClient(host, port) + collection = self.dbClient[self.dbName][self.symbol] + + self.output(u'开始载入数据') + + # 首先根据回测模式，确认要使用的数据类 + if self.mode == self.BAR_MODE: + dataClass = CtaBarData + func = self.newBar + else: + dataClass = CtaTickData + func = self.newTick + + # 载入回测数据 + if not self.dataEndDate: + self.dataEndDate = datetime.now() + + testdays = (self.dataEndDate - self.dataStartDate).days + + if testdays < 1: + self.writeCtaLog(u'回测时间不足') + return + + for i in range(0, testdays): + testday = self.dataStartDate + timedelta(days=i) + testday_monrning = testday.replace(hour=0, minute=0, second=0, microsecond=0) + testday_midnight = testday.replace(hour=23, minute=59, second=59, microsecond=999999) + + query_time = datetime.now() + # 载入初始化需要用的数据 + flt = {'datetime': {'$gte': testday_monrning, + '$lt': testday_midnight}} + + initCursor = collection.find(flt).sort('datetime', pymongo.ASCENDING) + + process_time = datetime.now() + # 将数据从查询指针中读取出，并生成列表 + count_ticks = 0 + for d in initCursor: + data = dataClass() + data.__dict__ = d + func(data) + count_ticks += 1 + + self.output(u'回测日期{0}，数据量：{1}，查询耗时:{2},回测耗时:{3}' + .format(testday.strftime('%Y-%m-%d'), count_ticks, str(datetime.now() - query_time), + str(datetime.now() - process_time))) + def __sendOnBarEvent(self, bar): """发送Bar的事件""" if self.eventEngine is not None: