[update] 一般更新
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msincenselee
parent
e260c16795
commit
7104a2fe0b
@ -63,6 +63,7 @@ class AlgoEngine(BaseEngine):
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from .algos.dma_algo import DmaAlgo
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from .algos.arbitrage_algo import ArbitrageAlgo
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from .algos.spread_algo_v2 import SpreadAlgoV2
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from .algos.autostopwin_algo import AutoStopWinAlgo
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self.add_algo_template(TwapAlgo)
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self.add_algo_template(IcebergAlgo)
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@ -73,6 +74,7 @@ class AlgoEngine(BaseEngine):
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self.add_algo_template(DmaAlgo)
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self.add_algo_template(ArbitrageAlgo)
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self.add_algo_template(SpreadAlgoV2)
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self.add_algo_template(AutoStopWinAlgo)
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def add_algo_template(self, template: AlgoTemplate):
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""""""
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@ -180,7 +182,8 @@ class AlgoEngine(BaseEngine):
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def stop_all(self):
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""""""
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for algo_name in list(self.algos.keys()):
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self.stop_algo(algo_name)
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if self.stop_algo(algo_name):
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self.main_engine.write_log(f'{algo_name}已停止')
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def subscribe(self, algo: AlgoTemplate, vt_symbol: str):
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""""""
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@ -215,7 +218,7 @@ class AlgoEngine(BaseEngine):
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contract = self.main_engine.get_contract(vt_symbol)
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if not contract:
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self.write_log(f'委托下单失败，找不到合约：{vt_symbol}', algo_name=algo.algo_name)
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return
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return []
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volume = round_to(volume, contract.min_volume)
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if not volume:
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@ -104,12 +104,10 @@ STOP_STATUS_MAP = {
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# 假期，后续可以从cta_option_config.json文件中获取更新
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holiday_dict = {
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# 放假第一天:放假最后一天
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"2000124": "20200130",
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"20200501": "20200505",
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"20201001": "20201008",
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"20210211": "20210217",
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"20210501": "20210505",
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"20211001": "20211007",
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"20220131": "20220206",
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"20220430": "20220504",
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"20221001": "20221007",
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# updated by 黄健威 2022.01.07
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}
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@ -142,9 +142,9 @@ class BackTestingEngine(object):
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self.holdings = {} # 多空持仓
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# 当前最新数据，用于模拟成交用
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self.gateway_name = u'BackTest'
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# 当前最新数据，用于模拟成交用
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self.last_bar = {} # 最新的bar
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self.last_tick = {} # 最新tick
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self.last_dt = None # 最新时间
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@ -158,7 +158,7 @@ class BackTestingEngine(object):
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# 回测计算相关
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self.use_margin = True # 使用保证金模式（期货使用，计算保证金时，按照开仓价计算。股票是按照当前价计算）
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self.force_cross = False # 强制撮合成功,不使用价格比对，一般用于模拟市价成交
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self.init_capital = 1000000 # 期初资金
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self.cur_capital = self.init_capital # 当前资金净值
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self.net_capital = self.init_capital # 实时资金净值（每日根据capital和持仓浮盈计算）
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@ -604,6 +604,11 @@ class BackTestingEngine(object):
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# 缺省使用保证金方式。（期货使用保证金/股票不使用保证金）
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self.use_margin = test_setting.get('use_margin', True)
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if 'force_cross' in test_setting:
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self.force_cross = test_setting.get('force_cross', False)
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if self.force_cross:
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self.write_log(f'使用强制撮合模式!')
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# 设置最大资金使用比例
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if 'percent_limit' in test_setting:
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self.write_log(u'设置最大资金使用比例:{}%'.format(test_setting.get('percent_limit')))
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@ -645,6 +650,7 @@ class BackTestingEngine(object):
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# 创建资金K线
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self.create_fund_kline(self.test_name, use_renko=test_setting.get('use_renko', False))
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# 自动输出日线净值曲线图png文件
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self.is_plot_daily = test_setting.get('is_plot_daily', False)
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# 加载所有本地策略class
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@ -1293,8 +1299,8 @@ class BackTestingEngine(object):
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sell_best_cross_price = tick.last_price
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# 判断是否会成交
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buy_cross = order.direction == Direction.LONG and order.price >= buy_cross_price
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sell_cross = order.direction == Direction.SHORT and order.price <= sell_cross_price
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buy_cross = order.direction == Direction.LONG and (order.price >= buy_cross_price or self.force_cross)
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sell_cross = order.direction == Direction.SHORT and (order.price <= sell_cross_price or self.force_cross)
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# 如果发生了成交
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if buy_cross or sell_cross:
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@ -1321,9 +1327,9 @@ class BackTestingEngine(object):
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# 2. 假设在上一根K线结束(也是当前K线开始)的时刻，策略发出的委托为限价105
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# 3. 则在实际中的成交价会是100而不是105，因为委托发出时市场的最优价格是100
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if buy_cross:
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trade_price = min(order.price, buy_best_cross_price)
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trade_price = min(order.price, buy_best_cross_price) if not self.force_cross else order.price
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else:
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trade_price = max(order.price, sell_best_cross_price)
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trade_price = max(order.price, sell_best_cross_price) if not self.force_cross else order.price
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# renko bar较为特殊，使用委托价进行成交
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if trade.vt_symbol.startswith('future_renko'):
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@ -160,6 +160,12 @@ class PortfolioTestingEngine(BackTestingEngine):
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self.use_pkb2 = test_setting.get('use_pkb2', True)
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if self.use_tq:
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self.use_pkb2 = False
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self.output(f'使用天勤数据')
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if self.use_pkb2:
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self.output(f'使用pkb2压缩格式')
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else:
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self.output(f'使用csv文件格式')
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def prepare_data(self, data_dict):
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"""
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@ -282,6 +288,7 @@ class PortfolioTestingEngine(BackTestingEngine):
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bar.low_time = bar_data.get('low_time', None) # 最后一次进入低位区域的时间
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bar.high_time = bar_data.get('high_time', None) # 最后一次进入高位区域的时间
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else:
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# 读取的bar是以bar结束时间作为datetime，vnpy是以bar开始时间作为bar datetime
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bar_datetime = dt - timedelta(seconds=self.bar_interval_seconds)
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bar = BarData(
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@ -400,7 +407,7 @@ class PortfolioTestingEngine(BackTestingEngine):
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return None
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df = pd.read_csv(file_path, encoding='gbk', parse_dates=False)
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df.columns = ['date', 'time', 'last_price', 'volume', 'last_volume', 'open_interest',
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df.columns = ['date', 'time', 'last_price', 'last_volume', 'volume', 'open_interest',
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'bid_price_1', 'bid_volume_1', 'bid_price_2', 'bid_volume_2', 'bid_price_3', 'bid_volume_3',
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'ask_price_1', 'ask_volume_1', 'ask_price_2', 'ask_volume_2', 'ask_price_3', 'ask_volume_3', 'BS']
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@ -323,7 +323,7 @@ class SpreadTestingEngine(BackTestingEngine):
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symbol, exchange = extract_vt_symbol(vt_symbol)
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underly_symbol = get_underlying_symbol(symbol)
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exchange_folder = VN_EXCHANGE_TICKFOLDER_MAP.get(exchange.value)
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exchange_folder = VN_EXCHANGE_TICKFOLDER_MAP.get(exchange.value,'LOCAL')
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if exchange == Exchange.INE:
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file_path = os.path.abspath(
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@ -627,6 +627,16 @@ def check_chan_xt_nine_bi(kline, bi_list: List[ChanObject]):
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if bi_9.high > gg > zg > bi_9.low > zd:
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return ChanSignals.Q2L0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类二买', v2='九笔')
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if min_low == bi_7.low and max_high == bi_1.high and bi_6.high < bi_2.low: # 前7笔构成向下类趋势
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zd = max([x.low for x in [bi_5, bi_6]])
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zg = min([x.high for x in [bi_4, bi_6]])
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gg = max([x.high for x in [bi_4, bi_6]])
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if zg > zd and bi_8.high > gg == bi_4.high : # 456构成中枢，7离开中枢，8反包且8的高点大于gg,4高 >6高点
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atan = (bi_4.high - bi_6.high) / (bi_5.bars + bi_6.bars - 1)
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p = bi_6.high - atan * (bi_7.bars + bi_8.bars + bi_9.bars - 2)
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if zd > bi_9.low > p:
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return ChanSignals.Q2L0.value
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elif direction == 1:
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# 倒9笔是最高点，倒一笔是最低点
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@ -688,8 +698,8 @@ def check_chan_xt_nine_bi(kline, bi_list: List[ChanObject]):
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# 参考双重顶或者圆弧顶， 在 bi_5.low => bi_7.low => p点 形成一条斜线，如果bi_9.high 在斜线之下，就是三卖
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if dd == bi_5.low and zd == bi_7.low:
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atan = (zd - dd) / (bi_5.bars + bi_6.bars)
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p = bi_7.low + atan * (bi_7.bars + bi_8.bars + bi_9.bars)
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atan = (zd - dd) / (bi_5.bars + bi_6.bars - 1)
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p = bi_7.low + atan * (bi_7.bars + bi_8.bars + bi_9.bars - 2)
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if bi_9.high < p:
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return ChanSignals.Q3S0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类三卖', v2='九笔ZD三卖')
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@ -697,6 +707,16 @@ def check_chan_xt_nine_bi(kline, bi_list: List[ChanObject]):
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if dd < zd <= bi_9.high < zg:
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return ChanSignals.Q2S0.value # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类二卖', v2='九笔')
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if min_low == bi_1.low and max_high == bi_7.high and bi_2.high < bi_6.low: # 前7笔形成上涨趋势
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zd = max([x.low for x in [bi_4, bi_6]])
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zg = min([x.high for x in [bi_4, bi_6]])
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dd = min([x.low for x in [bi_4, bi_6]])
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if zg > zd and bi_8.low < dd == bi_4.low: # 456构成中枢，7离开中枢，8反包且8的低点小于dd,4低点< 6低点
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atan = (bi_6.low - bi_4.low) / (bi_5.bars + bi_6.bars -1)
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p = bi_6.low + atan * (bi_7.bars + bi_8.bars + bi_9.bars - 2)
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if zg < bi_9.high < p:
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return ChanSignals.Q2S0.value
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return v
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@ -337,6 +337,7 @@ class ContractData(BaseData):
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option_underlying: str = "" # vt_symbol of underlying contract
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option_type: OptionType = None
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option_expiry: datetime = None
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option_portfolio: str = ""
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option_index: str = "" # vt_symbol mapping cur option
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def __post_init__(self):
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