senset/vnpy
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

更新使用MongoDB数据回测套利

Browse Source
This commit is contained in:
msincenselee 2017-06-10 21:04:36 +08:00
parent 88cd5f3c61
commit 4291061fdc
1 changed files with 13 additions and 14 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

27
vn.trader/ctaStrategy/ctaBacktesting.py
View File

@ -528,7 +528,7 @@ class BacktestingEngine(object):
# ---------------------------------------------------------------------- # ----------------------------------------------------------------------
def runBackTestingWithArbTickFile(self,mainPath, arbSymbol): def runBackTestingWithArbTickFile(self,mainPath, arbSymbol):
"""运行套利回测（使用本地tickcsv数据) """运行套利回测（使用本地tick TXT csv数据)
参数：套利代码 SP rb1610&rb1701 参数：套利代码 SP rb1610&rb1701
added by IncenseLee added by IncenseLee
原始的tick，分别存放在白天目录1和夜盘目录2中，每天都有各个合约的数据 原始的tick，分别存放在白天目录1和夜盘目录2中，每天都有各个合约的数据
@ -865,7 +865,7 @@ class BacktestingEngine(object):
self.writeCtaLog(u'{0},{1}不能正则分解'.format(leg1Symbol, leg2Symbol)) self.writeCtaLog(u'{0},{1}不能正则分解'.format(leg1Symbol, leg2Symbol))
return return
leg1_shortSymbol = leg1_shortSymbol.group(1) leg1_shortSymbol = leg1_shortSymbolc
leg2_shortSymbol = leg2_shortSymbol.group(1) leg2_shortSymbol = leg2_shortSymbol.group(1)
arbTicks = [] arbTicks = []
@ -887,9 +887,9 @@ class BacktestingEngine(object):
return return
# 先读取leg2的数据到目录，以日期时间为key # 先读取leg2的数据到目录，以日期时间为key
leg2Ticks = self.__loadTicksFromFile2(filepath=leg2File,tickDate=testday,vtSymbol=leg2Symbol) leg2Ticks = self.__loadTicksFromCsvFile(filepath=leg2File, tickDate=testday, vtSymbol=leg2Symbol)
leg1Ticks = self.__loadTicksFromFile2(filepath=leg1File, tickDate=testday, vtSymbol=leg1Symbol) leg1Ticks = self.__loadTicksFromCsvFile(filepath=leg1File, tickDate=testday, vtSymbol=leg1Symbol)
for dtStr,leg1_tick in leg1Ticks.iteritems(): for dtStr,leg1_tick in leg1Ticks.iteritems():
@ -996,7 +996,7 @@ class BacktestingEngine(object):
self.savingDailyData(self.dataEndDate, self.capital, self.maxCapital) self.savingDailyData(self.dataEndDate, self.capital, self.maxCapital)
def __loadTicksFromFile(self, filepath, tickDate, vtSymbol): def __loadTicksFromTxtFile(self, filepath, tickDate, vtSymbol):
"""从文件中读取tick""" """从文件中读取tick"""
# 先读取数据到Dict，以日期时间为key # 先读取数据到Dict，以日期时间为key
ticks = OrderedDict() ticks = OrderedDict()
@ -1045,8 +1045,8 @@ class BacktestingEngine(object):
tick.askVolume1 = int(float(row['AskVolume'])) tick.askVolume1 = int(float(row['AskVolume']))
# 排除涨停/跌停的数据 # 排除涨停/跌停的数据
if (tick.bidPrice1 == float('1.79769E308') and tick.bidVolume1 == 0) \ if (tick.bidPrice1 == float('1.79769E308') and tick.bidVolume1 == 0 and tick.askVolume1 >0) \
or (tick.askPrice1 == float('1.79769E308') and tick.askVolume1 == 0): or (tick.askPrice1 == float('1.79769E308') and tick.askVolume1 == 0 and tick.bidVolume1>0):
continue continue
dtStr = tick.date + ' ' + tick.time dtStr = tick.date + ' ' + tick.time
@ -1089,12 +1089,12 @@ class BacktestingEngine(object):
self.writeCtaLog(u'{0}文件不存在'.format(leg2File)) self.writeCtaLog(u'{0}文件不存在'.format(leg2File))
return return
leg1Ticks = self.__loadTicksFromFile(filepath=leg1File,tickDate= testday, vtSymbol=leg1Symbol) leg1Ticks = self.__loadTicksFromTxtFile(filepath=leg1File, tickDate= testday, vtSymbol=leg1Symbol)
if len(leg1Ticks) == 0: if len(leg1Ticks) == 0:
self.writeCtaLog(u'{0}读取tick数为空'.format(leg1File)) self.writeCtaLog(u'{0}读取tick数为空'.format(leg1File))
return return
leg2Ticks = self.__loadTicksFromFile(filepath=leg2File, tickDate=testday, vtSymbol=leg2Symbol) leg2Ticks = self.__loadTicksFromTxtFile(filepath=leg2File, tickDate=testday, vtSymbol=leg2Symbol)
if len(leg2Ticks) == 0: if len(leg2Ticks) == 0:
self.writeCtaLog(u'{0}读取tick数为空'.format(leg1File)) self.writeCtaLog(u'{0}读取tick数为空'.format(leg1File))
return return
@ -1178,7 +1178,7 @@ class BacktestingEngine(object):
self.savingDailyData(testday, self.capital, self.maxCapital) self.savingDailyData(testday, self.capital, self.maxCapital)
def __loadTicksFromFile2(self, filepath, tickDate, vtSymbol): def __loadTicksFromCsvFile(self, filepath, tickDate, vtSymbol):
"""从csv文件中UnicodeDictReader读取tick""" """从csv文件中UnicodeDictReader读取tick"""
# 先读取数据到Dict，以日期时间为key # 先读取数据到Dict，以日期时间为key
ticks = OrderedDict() ticks = OrderedDict()
@ -1285,12 +1285,12 @@ class BacktestingEngine(object):
self.writeCtaLog(u'{0}文件不存在'.format(leg2File)) self.writeCtaLog(u'{0}文件不存在'.format(leg2File))
return return
leg1Ticks = self.__loadTicksFromFile2(filepath=leg1File, tickDate=testday, vtSymbol=leg1Symbol) leg1Ticks = self.__loadTicksFromCsvFile(filepath=leg1File, tickDate=testday, vtSymbol=leg1Symbol)
if len(leg1Ticks) == 0: if len(leg1Ticks) == 0:
self.writeCtaLog(u'{0}读取tick数为空'.format(leg1File)) self.writeCtaLog(u'{0}读取tick数为空'.format(leg1File))
return return
leg2Ticks = self.__loadTicksFromFile2(filepath=leg2File, tickDate=testday, vtSymbol=leg2Symbol) leg2Ticks = self.__loadTicksFromCsvFile(filepath=leg2File, tickDate=testday, vtSymbol=leg2Symbol)
if len(leg2Ticks) == 0: if len(leg2Ticks) == 0:
self.writeCtaLog(u'{0}读取tick数为空'.format(leg1File)) self.writeCtaLog(u'{0}读取tick数为空'.format(leg1File))
return return
@ -1431,7 +1431,7 @@ class BacktestingEngine(object):
# 载入初始化需要用的数据 # 载入初始化需要用的数据
flt = {'datetime': {'$gte': testday_monrning, flt = {'datetime': {'$gte': testday_monrning,
'$lt': testday_midnight}} '$lt': testday_midnight}}
db = self.dbClient['ticks'] db = self.dbClient[self.dbName]
collection = db[shortSymbol] collection = db[shortSymbol]
initCursor = collection.find(flt).sort('datetime', pymongo.ASCENDING) initCursor = collection.find(flt).sort('datetime', pymongo.ASCENDING)
@ -1621,7 +1621,6 @@ class BacktestingEngine(object):
self.capital = self.initCapital # 更新设置期初资金 self.capital = self.initCapital # 更新设置期初资金
# 首先根据回测模式，确认要使用的数据类 # 首先根据回测模式，确认要使用的数据类
if self.mode == self.BAR_MODE: if self.mode == self.BAR_MODE:
dataClass = CtaBarData dataClass = CtaBarData