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修改套利回测的计算bug，增加每日净值的结果导出。（暂不支持结算价的净值记过计算）

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This commit is contained in:
msincenselee 2017-04-20 20:32:18 +08:00
parent fa572b40ba
commit 3e033a9aff
1 changed files with 3 additions and 4 deletions
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7
vn.trader/ctaAlgo/ctaBacktesting.py
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@ -155,7 +155,6 @@ class BacktestingEngine(object):
return self.capital, self.avaliable, self.percent, self.percentLimit return self.capital, self.avaliable, self.percent, self.percentLimit
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def setStartDate(self, startDate='20100416', initDays=10): def setStartDate(self, startDate='20100416', initDays=10):
"""设置回测的启动日期""" """设置回测的启动日期"""
@ -1388,12 +1387,14 @@ class BacktestingEngine(object):
""" """
self.strategy = strategyClass(self, setting) self.strategy = strategyClass(self, setting)
self.strategy.name = self.strategy.className self.strategy.name = self.strategy.className
self.strategy.onInit()
self.strategy.onStart()
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def sendOrder(self, vtSymbol, orderType, price, volume, strategy): def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
"""发单""" """发单"""
self.writeCtaLog(u'{0},{1},{2}@{3}'.format(vtSymbol,orderType,price,volume)) self.writeCtaLog(u'{0},{1},{2}@{3}'.format(vtSymbol, orderType, price, volume))
self.limitOrderCount += 1 self.limitOrderCount += 1
orderID = str(self.limitOrderCount) orderID = str(self.limitOrderCount)
@ -1458,8 +1459,6 @@ class BacktestingEngine(object):
order.cancelTime = str(self.dt) order.cancelTime = str(self.dt)
del self.workingLimitOrderDict[vtOrderID] del self.workingLimitOrderDict[vtOrderID]
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def sendStopOrder(self, vtSymbol, orderType, price, volume, strategy): def sendStopOrder(self, vtSymbol, orderType, price, volume, strategy):
"""发停止单（本地实现）""" """发停止单（本地实现）"""