[Fix] bug in calculating daily backtesting pnl result

tests/backtesting/.ipynb_checkpoints/turtle-checkpoint.ipynb

@@ -1,6 +1,84 @@
 {
- "cells": [],
- "metadata": {},
+ "cells": [
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "#%%\n",
+    "from vnpy.app.cta_strategy.backtesting import BacktestingEngine\n",
+    "from vnpy.app.cta_strategy.strategies.turtle_signal_strategy import (\n",
+    "    TurtleSignalStrategy,\n",
+    ")\n",
+    "from datetime import datetime"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "#%%\n",
+    "engine = BacktestingEngine()\n",
+    "engine.set_parameters(\n",
+    "    vt_symbol=\"IF88.CFFEX\",\n",
+    "    interval=\"1m\",\n",
+    "    start=datetime(2013, 1, 1),\n",
+    "    end=datetime(2015, 3, 30),\n",
+    "    rate=0,\n",
+    "    slippage=0,\n",
+    "    size=300,\n",
+    "    pricetick=0.2,\n",
+    "    capital=1_000_000,\n",
+    ")"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {
+    "scrolled": false
+   },
+   "outputs": [],
+   "source": [
+    "#%%\n",
+    "engine.add_strategy(TurtleSignalStrategy, {})\n",
+    "engine.load_data()\n",
+    "engine.run_backtesting()\n",
+    "df = engine.calculate_result()\n",
+    "engine.calculate_statistics()\n",
+    "engine.show_chart()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": []
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.7.1"
+  }
+ },
  "nbformat": 4,
  "nbformat_minor": 2
 }

vnpy/app/cta_strategy/backtesting.py

@@ -12,6 +12,8 @@ from pandas import DataFrame
 from vnpy.trader.constant import Direction, Exchange, Interval, Status
 from vnpy.trader.database import DbBarData, DbTickData
 from vnpy.trader.object import OrderData, TradeData
+from vnpy.trader.utility import round_to_pricetick
+
 from .base import (
     BacktestingMode,
     CtaOrderType,
@@ -698,6 +700,7 @@ class BacktestingEngine:
         stop: bool = False,
     ):
         """"""
+        price = round_to_pricetick(price, self.pricetick)
         if stop:
             return self.send_stop_order(order_type, price, volume)
         else:
@@ -846,18 +849,19 @@ class DailyResult:
     ):
         """"""
         # Holding pnl is the pnl from holding position at day start
-        self.start_pos = self.end_pos = start_pos
+        self.start_pos = start_pos
+        self.end_pos = start_pos
         self.holding_pnl = self.start_pos * (self.close_price - self.pre_close) * size
 
         # Trading pnl is the pnl from new trade during the day
         self.trade_count = len(self.trades)
 
-        pos_change = 0
         for trade in self.trades:
             if trade.direction == Direction.LONG:
-                pos_change += trade.volume
+                pos_change = trade.volume
             else:
-                pos_change -= trade.volume
+                pos_change = -trade.volume
+
             turnover = trade.price * trade.volume * size
 
             self.trading_pnl += pos_change * (self.close_price - trade.price) * size