[Mod]改为使用csv配置文件加载海龟组合

examples/TurtleStrategy/setting.csv

@@ -0,0 +1,5 @@
+vtSymbol,size,priceTick,variableCommission,fixedCommission,slippage
+IF99,300,0.2,0.00003,0,0.2
+I99,100,0.5,0.00006,0,0.5
+CU99,5,10,0.00005,0,10
+TA99,5,2,0,12,2

examples/TurtleStrategy/turtleEngine.py

@@ -1,5 +1,6 @@
 # encoding: UTF-8
 
+from csv import DictReader
 from datetime import datetime
 
 from pymongo import MongoClient
@@ -23,7 +24,14 @@ class BacktestingEngine(object):
     def __init__(self):
         """Constructor"""
         self.portfolio = None
+        
+        # 合约配置信息
         self.vtSymbolList = []
+        self.sizeDict = {}                  # 合约大小字典
+        self.priceTickDict = {}             # 最小价格变动字典
+        self.variableCommissionDict = {}    # 变动手续费字典
+        self.fixedCommissionDict = {}       # 固定手续费字典
+        self.slippageDict = {}              # 滑点成本字典
         
         self.startDt = None
         self.endDt = None
@@ -42,12 +50,20 @@ class BacktestingEngine(object):
         self.endDt = endDt
     
     #----------------------------------------------------------------------
-    def initPortfolio(self, vtSymbolList):
+    def initPortfolio(self, filename):
         """"""
-        self.vtSymbolList = vtSymbolList
+        with open(filename) as f:
+            r = DictReader(f)
+            for d in r:
+                self.vtSymbolList.append(d['vtSymbol'])
+                self.sizeDict[d['vtSymbol']] = int(d['size'])
+                self.priceTickDict[d['priceTick']] = float(d['priceTick'])
+                self.variableCommissionDict[d['vtSymbol']] = float(d['variableCommission'])
+                self.fixedCommissionDict[d['vtSymbol']] = float(d['fixedCommission'])
+                self.slippageDict[d['vtSymbol']] = float(d['slippage'])
             
         self.portfolio = TurtlePortfolio(self)
-        self.portfolio.init(vtSymbolList)
+        self.portfolio.init(self.vtSymbolList)
     
     #----------------------------------------------------------------------
     def loadData(self):

examples/TurtleStrategy/turtleStrategy.py

@@ -7,8 +7,8 @@ from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT,
 from vnpy.trader.vtUtility import ArrayManager
 
 
-MAX_PRODUCT_POS = 4
-MAX_DIRECTION_POS = 10
+MAX_PRODUCT_POS = 4         # 单品种最大持仓
+MAX_DIRECTION_POS = 10      # 单方向最大持仓
 
 
 ########################################################################
@@ -156,6 +156,7 @@ class TurtleSignal(object):
         self.entryUp, self.entryDown = self.am.donchian(self.entryWindow)
         self.exitUp, self.exitDown = self.am.donchian(self.exitWindow)
         
+        # 有持仓后，ATR波动率和入场位等都不再变化
         if not self.pos:
             self.atrVolatility = self.am.atr(self.atrWindow)