[Add]增加计算盈亏时、以及计算海龟组合委托数量时，对合约乘数的计算

examples/TurtleStrategy/turtleEngine.py

@@ -15,6 +15,13 @@ from turtleStrategy import TurtlePortfolio
 DAILY_DB_NAME = 'VnTrader_Daily_Db'
 
 
+SIZE_DICT = {}
+PRICETICK_DICT = {}
+VARIABLE_COMMISSION_DICT = {}
+FIXED_COMMISSION_DICT = {}
+SLIPPAGE_DICT = {}
+
+
 
 ########################################################################
 class BacktestingEngine(object):
@@ -50,20 +57,21 @@ class BacktestingEngine(object):
         self.endDt = endDt
     
     #----------------------------------------------------------------------
-    def initPortfolio(self, filename):
+    def initPortfolio(self, filename, portfolioValue=10000000):
         """"""
         with open(filename) as f:
             r = DictReader(f)
             for d in r:
                 self.vtSymbolList.append(d['vtSymbol'])
-                self.sizeDict[d['vtSymbol']] = int(d['size'])
+                
-                self.priceTickDict[d['priceTick']] = float(d['priceTick'])
+                SIZE_DICT[d['vtSymbol']] = int(d['size'])
-                self.variableCommissionDict[d['vtSymbol']] = float(d['variableCommission'])
+                PRICETICK_DICT[d['vtSymbol']] = float(d['priceTick'])
-                self.fixedCommissionDict[d['vtSymbol']] = float(d['fixedCommission'])
+                VARIABLE_COMMISSION_DICT[d['vtSymbol']] = float(d['variableCommission'])
-                self.slippageDict[d['vtSymbol']] = float(d['slippage'])
+                FIXED_COMMISSION_DICT[d['vtSymbol']] = float(d['fixedCommission'])
+                SLIPPAGE_DICT[d['vtSymbol']] = float(d['slippage'])
             
         self.portfolio = TurtlePortfolio(self)
-        self.portfolio.init(self.vtSymbolList)
+        self.portfolio.init(portfolioValue, self.vtSymbolList, SIZE_DICT)
     
     #----------------------------------------------------------------------
     def loadData(self):
@@ -117,6 +125,11 @@ class BacktestingEngine(object):
     #----------------------------------------------------------------------
     def sendOrder(self, vtSymbol, direction, offset, price, volume):
         """"""
+        # 对价格四舍五入
+        priceTick = PRICETICK_DICT[vtSymbol]
+        price = int(round(price/priceTick, 0)) * priceTick
+        
+        # 记录成交数据
         trade = TradeData(vtSymbol, direction, offset, price, volume)
         l = self.tradeDict.setdefault(self.currentDt, [])        
         l.append(trade)
@@ -188,13 +201,14 @@ class DailyResult(object):
         """计算当日交易盈亏"""
         for vtSymbol, l in self.tradeDict.items():
             close = self.closeDict[vtSymbol]
+            size = SIZE_DICT[vtSymbol]
             
             for trade in l:
                 if trade.direction == DIRECTION_LONG:
                     side = 1
                 else:
                     side = -1
-                pnl = (close - trade.price) * trade.volume * side
+                pnl = (close - trade.price) * trade.volume * side * size
                 self.tradingPnl += pnl
     
     #----------------------------------------------------------------------
@@ -203,7 +217,9 @@ class DailyResult(object):
         for vtSymbol, pos in self.posDict.items():
             previousClose = self.previousCloseDict.get(vtSymbol, 0)
             close = self.closeDict[vtSymbol]
-            pnl = (close - previousClose) * pos
+            size = SIZE_DICT[vtSymbol]
+            
+            pnl = (close - previousClose) * pos * size
             self.holdingPnl += pnl
 
     #----------------------------------------------------------------------

examples/TurtleStrategy/turtleStrategy.py

@@ -267,15 +267,23 @@ class TurtlePortfolio(object):
         
         self.signalDict = defaultdict(list)
         
-        self.posDict = {}       # 每个品种的持仓情况
+        self.posDict = {}           # 每个品种的持仓情况
-        self.totalLong = 0      # 总的多头持仓
+        self.totalLong = 0          # 总的多头持仓
-        self.totalShort = 0     # 总的空头持仓
+        self.totalShort = 0         # 总的空头持仓
         
-        self.tradingDict = {}   # 交易中的信号字典
+        self.tradingDict = {}       # 交易中的信号字典
+        
+        self.sizeDict = {}          # 合约大小字典
+        self.unitDict = {}          # 按照波动幅度计算的委托量单位字典
+        
+        self.portfolioValue = 0     # 组合市值
     
     #----------------------------------------------------------------------
-    def init(self, vtSymbolList):
+    def init(self, portfolioValue, vtSymbolList, sizeDict):
         """"""
+        self.portfolioValue = portfolioValue
+        self.sizeDict = sizeDict
+        
         for vtSymbol in vtSymbolList:
             signal1 = TurtleSignal(self, vtSymbol, 20, 10, 20, True)
             signal2 = TurtleSignal(self, vtSymbol, 55, 20, 20, False)
@@ -297,6 +305,16 @@ class TurtlePortfolio(object):
         """对交易信号进行过滤，符合条件的才发单执行"""
         pos = self.posDict[signal.vtSymbol]
         
+        # 如果当前无仓位，则重新根据波动幅度计算委托量单位
+        if not pos:
+            size = self.sizeDict[signal.vtSymbol]
+            riskValue = self.portfolioValue * 0.01
+            unit = riskValue / (signal.atrVolatility * size)
+            unit = int(round(unit, 0))
+            self.unitDict[signal.vtSymbol] = unit
+        else:
+            unit = self.unitDict[signal.vtSymbol]
+            
         # 开仓
         if offset == OFFSET_OPEN:
             # 检查上一次是否为盈利
@@ -348,10 +366,10 @@ class TurtlePortfolio(object):
         else:
             self.tradingDict.pop(signal.vtSymbol)
         
-        self.sendOrder(signal.vtSymbol, direction, offset, price, volume)
+        self.sendOrder(signal.vtSymbol, direction, offset, price, volume, unit)
     
     #----------------------------------------------------------------------
-    def sendOrder(self, vtSymbol, direction, offset, price, volume):
+    def sendOrder(self, vtSymbol, direction, offset, price, volume, unit):
         """"""
         # 计算合约持仓
         if direction == DIRECTION_LONG:
@@ -370,5 +388,5 @@ class TurtlePortfolio(object):
                 self.totalShort += pos
         
         # 向回测引擎中发单记录
-        self.engine.sendOrder(vtSymbol, direction, offset, price, volume)
+        self.engine.sendOrder(vtSymbol, direction, offset, price, volume*unit)