[Fix] bugs in cta backtesting

vnpy/app/cta_strategy/backtesting.py

@@ -208,6 +208,7 @@ class BacktestingEngine:
                 )
                 .order_by(DbBarData.datetime)
             )
+            self.history_data = [db_bar.to_bar() for db_bar in s]
         else:
             s = (
                 DbTickData.select()
@@ -218,8 +219,7 @@ class BacktestingEngine:
                 )
                 .order_by(DbTickData.datetime)
             )
-
-        self.history_data = list(s)
+            self.history_data = [db_tick.to_tick() for db_tick in s]
 
         self.output(f"历史数据加载完成，数据量：{len(self.history_data)}")
 
@@ -303,9 +303,7 @@ class BacktestingEngine:
 
         # Calculate balance related time series data
         df["balance"] = df["net_pnl"].cumsum() + self.capital
-        df["return"] = (np.log(df["balance"] - np.log(df["balance"].shift(1)))).fillna(
-            0
-        )
+        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()
@@ -740,7 +738,7 @@ class BacktestingEngine:
         )
 
         self.active_limit_orders[order.vt_orderid] = order
-        self.limit_order_count[order.vt_orderid] = order
+        self.limit_orders[order.vt_orderid] = order
 
         return order.vt_orderid
 
@@ -749,9 +747,9 @@ class BacktestingEngine:
         Cancel order by vt_orderid.
         """
         if vt_orderid.startswith(STOPORDER_PREFIX):
-            self.cancel_stop_order(vt_orderid)
+            self.cancel_stop_order(strategy, vt_orderid)
         else:
-            self.cancel_limit_order(vt_orderid)
+            self.cancel_limit_order(strategy, vt_orderid)
 
     def cancel_stop_order(self, strategy: CtaTemplate, vt_orderid: str):
         """"""

vnpy/app/cta_strategy/engine.py

@@ -403,7 +403,7 @@ class CtaEngine(BaseEngine):
         # Query data from RQData by default, if not found, load from database.
         data = self.query_bar_from_rq(vt_symbol, interval, start, end)
         if not data:
-            data = (
+            s = (
                 DbBarData.select()
                 .where(
                     (DbBarData.vt_symbol == vt_symbol) &
@@ -413,6 +413,7 @@ class CtaEngine(BaseEngine):
                 )
                 .order_by(DbBarData.datetime)
             )
+            data = [db_bar.to_bar() for db_bar in s]
 
         for bar in data:
             callback(bar)