[Add] backtesting function for spread trading
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vn.py
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120
examples/spread_backtesting/backtesting.ipynb
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120
examples/spread_backtesting/backtesting.ipynb
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@ -0,0 +1,120 @@
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{
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"cells": [
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{
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"cell_type": "code",
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"execution_count": 1,
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"metadata": {},
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"outputs": [],
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"source": [
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"#%%\n",
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"from vnpy.app.spread_trading.backtesting import BacktestingEngine\n",
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"from vnpy.app.spread_trading.strategies.statistical_arbitrage_strategy import (\n",
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" StatisticalArbitrageStrategy\n",
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")\n",
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"from vnpy.app.spread_trading.base import LegData, SpreadData\n",
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"from datetime import datetime"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 2,
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"metadata": {},
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"outputs": [],
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"source": [
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"spread = SpreadData(\n",
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" name=\"IF-Spread\",\n",
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" legs=[LegData(\"IF1911.CFFEX\"), LegData(\"IF1912.CFFEX\")],\n",
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" price_multipliers={\"IF1911.CFFEX\": 1, \"IF1912.CFFEX\": -1},\n",
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" trading_multipliers={\"IF1911.CFFEX\": 1, \"IF1912.CFFEX\": -1},\n",
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" active_symbol=\"IF1911.CFFEX\",\n",
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" inverse_contracts={\"IF1911.CFFEX\": False, \"IF1912.CFFEX\": False},\n",
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" min_volume=1\n",
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")"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 3,
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"metadata": {},
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"outputs": [],
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"source": [
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"#%%\n",
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"engine = BacktestingEngine()\n",
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"engine.set_parameters(\n",
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" spread=spread,\n",
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" interval=\"1m\",\n",
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" start=datetime(2019, 6, 10),\n",
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" end=datetime(2019, 11, 10),\n",
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" rate=0,\n",
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" slippage=0,\n",
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" size=300,\n",
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" pricetick=0.2,\n",
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" capital=1_000_000,\n",
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")\n",
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"engine.add_strategy(StatisticalArbitrageStrategy, {})"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {
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"scrolled": false
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},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"2019-11-10 16:09:03.822440\t开始加载历史数据\n"
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]
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}
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],
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"source": [
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"#%%\n",
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"engine.load_data()\n",
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"engine.run_backtesting()\n",
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"df = engine.calculate_result()\n",
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"engine.calculate_statistics()\n",
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"engine.show_chart()"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"for trade in engine.trades.values():\n",
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" print(trade)"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": []
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}
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],
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"metadata": {
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"kernelspec": {
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"display_name": "Python 3",
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"language": "python",
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"name": "python3"
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},
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"language_info": {
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"codemirror_mode": {
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"name": "ipython",
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"version": 3
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},
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"file_extension": ".py",
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"mimetype": "text/x-python",
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"name": "python",
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"nbconvert_exporter": "python",
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"pygments_lexer": "ipython3",
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"version": "3.7.1"
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}
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},
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"nbformat": 4,
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"nbformat_minor": 2
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}
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@ -3,7 +3,9 @@ from pathlib import Path
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from vnpy.trader.app import BaseApp
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from vnpy.trader.object import (
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OrderData,
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TradeData
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TradeData,
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TickData,
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BarData
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)
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from .engine import (
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@ -1,6 +1,6 @@
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from collections import defaultdict
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from datetime import date, datetime, timedelta
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from typing import Callable
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from typing import Callable, Type, Dict, List
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from functools import lru_cache
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import numpy as np
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@ -14,7 +14,7 @@ from vnpy.trader.database import database_manager
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from vnpy.trader.object import TradeData, BarData, TickData
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from vnpy.trader.utility import round_to
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from .template import SpreadStrategyTemplate
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from .template import SpreadStrategyTemplate, SpreadAlgoTemplate
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from .base import SpreadData, BacktestingMode
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sns.set_style("whitegrid")
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@ -38,8 +38,8 @@ class BacktestingEngine:
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self.capital = 1_000_000
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self.mode = BacktestingMode.BAR
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self.strategy_class = None
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self.strategy = None
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self.strategy_class: Type[SpreadStrategyTemplate] = None
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self.strategy: SpreadStrategyTemplate = None
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self.tick: TickData = None
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self.bar: BarData = None
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self.datetime = None
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@ -138,7 +138,8 @@ class BacktestingEngine:
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self.spread,
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self.interval,
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self.start,
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self.end
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self.end,
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self.pricetick
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)
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else:
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self.history_datas = load_tick_data(
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@ -208,8 +209,7 @@ class BacktestingEngine:
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start_pos,
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self.size,
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self.rate,
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self.slippage,
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self.inverse
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self.slippage
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)
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pre_close = daily_result.close_price
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@ -427,10 +427,9 @@ class BacktestingEngine:
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""""""
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self.bar = bar
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self.datetime = bar.datetime
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self.cross_algo()
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self.cross_limit_order()
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self.cross_stop_order()
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self.strategy.on_bar(bar)
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self.strategy.on_spread_bar(bar)
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self.update_daily_close(bar.close_price)
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@ -438,44 +437,39 @@ class BacktestingEngine:
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""""""
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self.tick = tick
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self.datetime = tick.datetime
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self.cross_algo()
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self.cross_limit_order()
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self.cross_stop_order()
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self.strategy.on_tick(tick)
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self.spread.bid_price = tick.bid_price_1
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self.spread.bid_volume = tick.bid_volume_1
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self.spread.ask_price = tick.ask_price_1
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self.spread.ask_volume = tick.ask_volume_1
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self.strategy.on_spread_data()
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self.update_daily_close(tick.last_price)
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def cross_limit_order(self):
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def cross_algo(self):
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"""
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Cross limit order with last bar/tick data.
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"""
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if self.mode == BacktestingMode.BAR:
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long_cross_price = self.bar.low_price
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short_cross_price = self.bar.high_price
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long_best_price = self.bar.open_price
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short_best_price = self.bar.open_price
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long_cross_price = self.bar.close_price
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short_cross_price = self.bar.close_price
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else:
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long_cross_price = self.tick.ask_price_1
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short_cross_price = self.tick.bid_price_1
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long_best_price = long_cross_price
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short_best_price = short_cross_price
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for order in list(self.active_limit_orders.values()):
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# Push order update with status "not traded" (pending).
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if order.status == Status.SUBMITTING:
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order.status = Status.NOTTRADED
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self.strategy.on_order(order)
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for algo in list(self.active_algos.values()):
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# Check whether limit orders can be filled.
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long_cross = (
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order.direction == Direction.LONG
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and order.price >= long_cross_price
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algo.direction == Direction.LONG
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and algo.price >= long_cross_price
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and long_cross_price > 0
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)
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short_cross = (
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order.direction == Direction.SHORT
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and order.price <= short_cross_price
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algo.direction == Direction.SHORT
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and algo.price <= short_cross_price
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and short_cross_price > 0
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)
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@ -483,49 +477,49 @@ class BacktestingEngine:
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continue
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# Push order udpate with status "all traded" (filled).
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order.traded = order.volume
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order.status = Status.ALLTRADED
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self.strategy.on_order(order)
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algo.traded = algo.volume
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algo.status = Status.ALLTRADED
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self.strategy.update_spread_algo(algo)
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self.active_limit_orders.pop(order.vt_orderid)
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self.active_algos.pop(algo.algoid)
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# Push trade update
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self.trade_count += 1
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if long_cross:
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trade_price = min(order.price, long_best_price)
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pos_change = order.volume
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trade_price = long_cross_price
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pos_change = algo.volume
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else:
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trade_price = max(order.price, short_best_price)
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pos_change = -order.volume
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trade_price = short_cross_price
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pos_change = -algo.volume
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trade = TradeData(
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symbol=order.symbol,
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exchange=order.exchange,
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orderid=order.orderid,
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symbol=self.spread.name,
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exchange=Exchange.LOCAL,
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orderid=algo.algoid,
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tradeid=str(self.trade_count),
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direction=order.direction,
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offset=order.offset,
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direction=algo.direction,
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offset=algo.offset,
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price=trade_price,
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volume=order.volume,
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volume=algo.volume,
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time=self.datetime.strftime("%H:%M:%S"),
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gateway_name=self.gateway_name,
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)
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trade.datetime = self.datetime
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self.strategy.pos += pos_change
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self.strategy.on_trade(trade)
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self.spread.net_pos += pos_change
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self.strategy.on_spread_pos()
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self.trades[trade.vt_tradeid] = trade
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def load_bar(
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self, spread: str, days: int, interval: Interval, callback: Callable
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self, spread: SpreadData, days: int, interval: Interval, callback: Callable
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):
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""""""
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self.days = days
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self.callback = callback
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def load_tick(self, spread: str, days: int, callback: Callable):
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def load_tick(self, spread: SpreadData, days: int, callback: Callable):
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""""""
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self.days = days
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self.callback = callback
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@ -543,14 +537,39 @@ class BacktestingEngine:
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lock: bool
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) -> str:
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""""""
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pass
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self.algo_count += 1
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algoid = str(self.algo_count)
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algo = SpreadAlgoTemplate(
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self,
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algoid,
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self.spread,
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direction,
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offset,
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price,
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volume,
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payup,
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interval,
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lock
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)
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self.algos[algoid] = algo
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self.active_algos[algoid] = algo
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return algoid
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def stop_algo(
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self,
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strategy: SpreadStrategyTemplate,
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algoid: str
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):
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""""""
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pass
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if algoid not in self.active_algos:
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return
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algo = self.active_algos.pop(algoid)
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algo.status = Status.CANCELLED
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self.strategy.update_spread_algo(algo)
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def send_order(
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self,
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@ -563,23 +582,15 @@ class BacktestingEngine:
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lock: bool
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):
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""""""
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price = round_to(price, self.pricetick)
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if stop:
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vt_orderid = self.send_stop_order(direction, offset, price, volume)
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else:
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vt_orderid = self.send_limit_order(direction, offset, price, volume)
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return [vt_orderid]
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pass
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def cancel_order(self, strategy: SpreadStrategyTemplate, vt_orderid: str):
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"""
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Cancel order by vt_orderid.
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"""
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if vt_orderid.startswith(STOPORDER_PREFIX):
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self.cancel_stop_order(strategy, vt_orderid)
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else:
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self.cancel_limit_order(strategy, vt_orderid)
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pass
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def write_log(self, msg: str, strategy: SpreadStrategyTemplate = None):
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def write_strategy_log(self, strategy: SpreadStrategyTemplate, msg: str):
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"""
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Write log message.
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"""
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@ -598,6 +609,10 @@ class BacktestingEngine:
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"""
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pass
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def write_algo_log(self, algo: SpreadAlgoTemplate, msg: str):
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""""""
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pass
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class DailyResult:
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""""""
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@ -633,8 +648,7 @@ class DailyResult:
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start_pos: float,
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size: int,
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rate: float,
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slippage: float,
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inverse: bool
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slippage: float
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):
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""""""
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# If no pre_close provided on the first day,
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@ -648,12 +662,7 @@ class DailyResult:
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self.start_pos = start_pos
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self.end_pos = start_pos
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if not inverse: # For normal contract
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self.holding_pnl = self.start_pos * \
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(self.close_price - self.pre_close) * size
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else: # For crypto currency inverse contract
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self.holding_pnl = self.start_pos * \
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(1 / self.pre_close - 1 / self.close_price) * size
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self.holding_pnl = self.start_pos * (self.close_price - self.pre_close) * size
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# Trading pnl is the pnl from new trade during the day
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self.trade_count = len(self.trades)
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@ -666,18 +675,10 @@ class DailyResult:
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self.end_pos += pos_change
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# For normal contract
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if not inverse:
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turnover = trade.volume * size * trade.price
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self.trading_pnl += pos_change * \
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(self.close_price - trade.price) * size
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self.slippage += trade.volume * size * slippage
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# For crypto currency inverse contract
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else:
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turnover = trade.volume * size / trade.price
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self.trading_pnl += pos_change * \
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(1 / trade.price - 1 / self.close_price) * size
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self.slippage += trade.volume * size * slippage / (trade.price ** 2)
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turnover = trade.volume * size * trade.price
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self.trading_pnl += pos_change * \
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(self.close_price - trade.price) * size
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self.slippage += trade.volume * size * slippage
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self.turnover += turnover
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self.commission += turnover * rate
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@ -687,30 +688,72 @@ class DailyResult:
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self.net_pnl = self.total_pnl - self.commission - self.slippage
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@lru_cache(maxsize=999)
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def load_bar_data(
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symbol: str,
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exchange: Exchange,
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spread: SpreadData,
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interval: Interval,
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start: datetime,
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end: datetime
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end: datetime,
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pricetick: float
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):
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""""""
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return database_manager.load_bar_data(
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symbol, exchange, interval, start, end
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)
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# Load bar data of each spread leg
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leg_bars: Dict[str, Dict] = {}
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for vt_symbol in spread.legs.keys():
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symbol, exchange_str = vt_symbol.split(".")
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exchange = Exchange(exchange_str)
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bar_data: List[BarData] = database_manager.load_bar_data(
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symbol, exchange, interval, start, end
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)
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bars: Dict[datetime, BarData] = {bar.datetime: bar for bar in bar_data}
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leg_bars[vt_symbol] = bars
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# Calculate spread bar data
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spread_bars: List[BarData] = []
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for dt in bars.keys():
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spread_price = 0
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spread_available = True
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for leg in spread.legs.values():
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leg_bar = leg_bars[leg.vt_symbol].get(dt, None)
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if leg_bar:
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price_multiplier = spread.price_multipliers[leg.vt_symbol]
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spread_price += price_multiplier * leg_bar.close_price
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else:
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spread_available = False
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if spread_available:
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spread_price = round_to(spread_price, pricetick)
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|
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spread_bar = BarData(
|
||||
symbol=spread.name,
|
||||
exchange=exchange.LOCAL,
|
||||
datetime=dt,
|
||||
interval=interval,
|
||||
open_price=spread_price,
|
||||
high_price=spread_price,
|
||||
low_price=spread_price,
|
||||
close_price=spread_price,
|
||||
gateway_name=BacktestingEngine.gateway_name,
|
||||
)
|
||||
spread_bars.append(spread_bar)
|
||||
|
||||
return spread_bars
|
||||
|
||||
|
||||
@lru_cache(maxsize=999)
|
||||
def load_tick_data(
|
||||
symbol: str,
|
||||
exchange: Exchange,
|
||||
spread: SpreadData,
|
||||
start: datetime,
|
||||
end: datetime
|
||||
):
|
||||
""""""
|
||||
return database_manager.load_tick_data(
|
||||
symbol, exchange, start, end
|
||||
spread.name, Exchange.LOCAL, start, end
|
||||
)
|
||||
|
||||
|
||||
@ -1,5 +1,6 @@
|
||||
from typing import Dict, List
|
||||
from datetime import datetime
|
||||
from enum import Enum
|
||||
|
||||
from vnpy.trader.object import TickData, PositionData, TradeData, ContractData
|
||||
from vnpy.trader.constant import Direction, Offset, Exchange
|
||||
|
||||
@ -1,10 +1,12 @@
|
||||
|
||||
from collections import defaultdict
|
||||
from typing import Dict, List, Set
|
||||
from typing import Dict, List, Set, Callable
|
||||
from copy import copy
|
||||
|
||||
from vnpy.trader.object import TickData, TradeData, OrderData, ContractData
|
||||
from vnpy.trader.constant import Direction, Status, Offset
|
||||
from vnpy.trader.object import (
|
||||
TickData, TradeData, OrderData, ContractData, BarData
|
||||
)
|
||||
from vnpy.trader.constant import Direction, Status, Offset, Interval
|
||||
from vnpy.trader.utility import virtual, floor_to, ceil_to, round_to
|
||||
|
||||
from .base import SpreadData, calculate_inverse_volume
|
||||
@ -434,6 +436,20 @@ class SpreadStrategyTemplate:
|
||||
"""
|
||||
pass
|
||||
|
||||
@virtual
|
||||
def on_spread_tick(self, tick: TickData):
|
||||
"""
|
||||
Callback when new spread tick data is generated.
|
||||
"""
|
||||
pass
|
||||
|
||||
@virtual
|
||||
def on_spread_bar(self, bar: BarData):
|
||||
"""
|
||||
Callback when new spread bar data is generated.
|
||||
"""
|
||||
pass
|
||||
|
||||
@virtual
|
||||
def on_spread_pos(self):
|
||||
"""
|
||||
@ -635,3 +651,23 @@ class SpreadStrategyTemplate:
|
||||
"""
|
||||
if self.inited:
|
||||
self.strategy_engine.send_email(msg, self)
|
||||
|
||||
def load_bar(
|
||||
self,
|
||||
days: int,
|
||||
interval: Interval = Interval.MINUTE,
|
||||
callback: Callable = None,
|
||||
):
|
||||
"""
|
||||
Load historical bar data for initializing strategy.
|
||||
"""
|
||||
if not callback:
|
||||
callback = self.on_spread_bar
|
||||
|
||||
self.strategy_engine.load_bar(self.spread, days, interval, callback)
|
||||
|
||||
def load_tick(self, days: int):
|
||||
"""
|
||||
Load historical tick data for initializing strategy.
|
||||
"""
|
||||
self.strategy_engine.load_tick(self.spread, days, self.on_spread_tick)
|
||||
|
||||
Loading…
Reference in New Issue
Block a user