From 72222b5c496c0839e4a1770ec313dc3cd25f612c Mon Sep 17 00:00:00 2001 From: msincenselee Date: Sat, 29 Feb 2020 17:26:30 +0800 Subject: [PATCH] =?UTF-8?q?[=E5=A2=9E=E5=BC=BA]=20=E5=9B=9E=E6=B5=8B?= =?UTF-8?q?=E5=BC=95=E6=93=8E=E6=94=AF=E6=8C=81PositionHolding?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- prod/jobs/refill_future_renko.py | 37 ++++++++ tests/renko/ui_renko_reverse_klines.py | 63 +++++++++++++ vnpy/app/cta_strategy_pro/back_testing.py | 74 +++++++++++++-- .../app/cta_strategy_pro/portfolio_testing.py | 87 +---------------- vnpy/app/cta_strategy_pro/template.py | 93 ++++++++++--------- 5 files changed, 220 insertions(+), 134 deletions(-) create mode 100644 prod/jobs/refill_future_renko.py create mode 100644 tests/renko/ui_renko_reverse_klines.py diff --git a/prod/jobs/refill_future_renko.py b/prod/jobs/refill_future_renko.py new file mode 100644 index 00000000..17f1cf36 --- /dev/null +++ b/prod/jobs/refill_future_renko.py @@ -0,0 +1,37 @@ +# flake8: noqa + +import sys, os, copy, csv, signal + +vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..')) +if vnpy_root not in sys.path: + print(f'append {vnpy_root} into sys.path') + sys.path.append(vnpy_root) + +os.environ["VNPY_TESTING"] = "1" + +from vnpy.data.renko.rebuild_future import * + + +if __name__ == "__main__": + + if len(sys.argv) < 4: + print(u'请输入三个参数 host symbol pricetick') + exit() + print(sys.argv) + host = sys.argv[1] + + setting = { + "host": host, + "db_name": FUTURE_RENKO_DB_NAME, + "cache_folder": os.path.join(vnpy_root, 'ticks', 'tdx', 'future') + } + builder = FutureRenkoRebuilder(setting) + + symbol = sys.argv[2] + price_tick = float(sys.argv[3]) + + print(f'启动期货renko补全,数据库:{host}/{FUTURE_RENKO_DB_NAME} 合约:{symbol}') + builder.start(symbol=symbol, price_tick=price_tick, height=[3, 5, 10, 'K3', 'K5', 'K10'], refill=True) + + print(f'exit refill {symbol} renkos') + diff --git a/tests/renko/ui_renko_reverse_klines.py b/tests/renko/ui_renko_reverse_klines.py new file mode 100644 index 00000000..ae68ff2e --- /dev/null +++ b/tests/renko/ui_renko_reverse_klines.py @@ -0,0 +1,63 @@ +# flake8: noqa +""" +多周期显示K线， +时间点同步 +华富资产/李来佳 +""" + +import sys +import os +import ctypes +import platform +system = platform.system() +os.environ["VNPY_TESTING"] = "1" + +# 将repostory的目录，作为根目录，添加到系统环境中。 +ROOT_PATH = os.path.abspath(os.path.join(os.path.dirname(__file__), '..' , '..')) +sys.path.append(ROOT_PATH) + +from vnpy.trader.ui.kline.crosshair import Crosshair +from vnpy.trader.ui.kline.kline import * + +if __name__ == '__main__': + + # K线界面 + try: + kline_settings = { + "M15": + { + "data_file": "log/renko_reverse_v1_J99_M15.csv", + "main_indicators": [ + "pre_high", + "pre_low", + "ma5", + "ma18", + "ma60" + ], + "sub_indicators": [ + "atr" + ] + }, + "Renko_K3": + { + "data_file": "log/renko_reverse_v1_J99_Renko_K3.csv", + "main_indicators": [ + "pre_high", + "pre_low", + "boll_upper", + "boll_middle", + "boll_lower", + "ma5", + "yb" + ], + "sub_indicators": [ + "sk", + "sd", + ] + + } + } + display_multi_grid(kline_settings) + + except Exception as ex: + print(u'exception:{},trace:{}'.format(str(ex), traceback.format_exc())) diff --git a/vnpy/app/cta_strategy_pro/back_testing.py b/vnpy/app/cta_strategy_pro/back_testing.py index e10bb189..7020343d 100644 --- a/vnpy/app/cta_strategy_pro/back_testing.py +++ b/vnpy/app/cta_strategy_pro/back_testing.py @@ -77,8 +77,11 @@ class BackTestingEngine(object): # 绑定事件引擎 self.event_engine = event_engine + self.mode = 'bar' # 'bar': 根据1分钟k线进行回测， 'tick'，根据分笔tick进行回测 + # 引擎类型为回测 self.engine_type = EngineType.BACKTESTING + self.contract_type = 'future' # future, stock, digital # 回测策略相关 self.classes = {} # 策略类，class_name: stategy_class @@ -129,6 +132,8 @@ class BackTestingEngine(object): self.long_position_list = [] # 多单持仓 self.short_position_list = [] # 空单持仓 + self.holdings = {} # 多空持仓 + # 当前最新数据，用于模拟成交用 self.gateway_name = u'BackTest' @@ -357,6 +362,30 @@ class BackTestingEngine(object): def get_exchange(self, symbol: str): return self.symbol_exchange_dict.get(symbol, Exchange.LOCAL) + def get_position_holding(self, vt_symbol: str, gateway_name: str = ''): + """ 查询合约在账号的持仓（包含多空）""" + k = f'{gateway_name}.{vt_symbol}' + holding = self.holdings.get(k, None) + if not holding: + symbol, exchange = extract_vt_symbol(vt_symbol) + if self.contract_type== 'future': + product = Product.FUTURES + elif self.contract_type == 'stock': + product = Product.EQUITY + else: + product = Product.SPOT + contract = ContractData(gateway_name=gateway_name, + name=vt_symbol, + product=product, + symbol=symbol, + exchange=exchange, + size=self.get_size(vt_symbol), + pricetick=self.get_price_tick(vt_symbol), + margin_rate=self.get_margin_rate(vt_symbol)) + holding = PositionHolding(contract) + self.holdings[k] = holding + return holding + def set_name(self, test_name): """ 设置组合的运行实例名称 @@ -387,6 +416,12 @@ class BackTestingEngine(object): if 'name' in test_settings: self.set_name(test_settings.get('name')) + self.mode = test_settings.get('mode', 'bar') + self.output(f'采用{self.mode}方式回测') + + self.contract_type = test_settings.get('contract_type', 'future') + self.output(f'测试合约主要为{self.contract_type}') + self.debug = test_settings.get('debug', False) # 更新数据目录 @@ -442,6 +477,9 @@ class BackTestingEngine(object): self.write_log(u'准备数据') self.prepare_data(test_settings.get('symbol_datas')) + if self.mode == 'tick': + self.tick_path = test_settings.get('tick_path', None) + # 设置bar文件的时间间隔秒数 if 'bar_interval_seconds' in test_settings: self.write_log(u'设置bar文件的时间间隔秒数：{}'.format(test_settings.get('bar_interval_seconds'))) @@ -639,14 +677,18 @@ class BackTestingEngine(object): vt_symbol = strategy_setting.get('vt_symbol') if '.' in vt_symbol: symbol, exchange = extract_vt_symbol(vt_symbol) - else: + elif self.contract_type == 'future': symbol = vt_symbol underly_symbol = get_underlying_symbol(symbol).upper() exchange = self.get_exchange(f'{underly_symbol}99') vt_symbol = '.'.join([symbol, exchange.value]) + else: + symbol = vt_symbol + exchange = Exchange.LOCAL + vt_symbol = '.'.join([symbol, exchange.value]) # 在期货组合回测，中需要把一般配置的主力合约，更换为指数合约 - if '99' not in symbol and exchange != Exchange.SPD: + if '99' not in symbol and exchange != Exchange.SPD and self.contract_type == 'future': underly_symbol = get_underlying_symbol(symbol).upper() self.write_log(u'更新vt_symbol为指数合约:{}=>{}'.format(vt_symbol, underly_symbol + '99.' + exchange.value)) vt_symbol = underly_symbol.upper() + '99.' + exchange.value @@ -1025,6 +1067,8 @@ class BackTestingEngine(object): strategy.on_stop_order(stop_order) strategy.on_order(order) self.append_trade(trade) + holding = self.get_position_holding(vt_symbol=trade.vt_symbol) + holding.update_trade(trade) strategy.on_trade(trade) def cross_limit_order(self, bar: BarData = None, tick: TickData = None): @@ -1854,10 +1898,28 @@ class BackTestingEngine(object): self.daily_max_drawdown_rate = drawdown_rate self.max_drawdown_rate_time = data['date'] - self.write_log(u'{}: net={}, capital={} max={} margin={} commission={}， pos: {}' - .format(data['date'], data['net'], c, m, - today_holding_profit, commission, - positionMsg)) + msg = u'{}: net={}, capital={} max={} margin={} commission={}， pos: {}'\ + .format(data['date'], + data['net'], c, m, + today_holding_profit, + commission, + positionMsg) + + if not self.debug: + self.output(msg) + else: + self.write_log(msg) + + # 今仓 =》 昨仓 + for holding in self.holdings.values(): + if holding.long_td > 0: + self.write_log(f'{holding.vt_symbol} 多单今仓{holding.long_td},昨仓:{holding.long_yd}=> 昨仓:{holding.long_pos}') + holding.long_td = 0 + holding.long_yd = holding.long_pos + if holding.short_td > 0: + self.write_log(f'{holding.vt_symbol} 空单今仓{holding.short_td},昨仓:{holding.short_yd}=> 昨仓:{holding.short_pos}') + holding.short_td = 0 + holding.short_yd = holding.short_pos # --------------------------------------------------------------------- def export_trade_result(self): diff --git a/vnpy/app/cta_strategy_pro/portfolio_testing.py b/vnpy/app/cta_strategy_pro/portfolio_testing.py index 0b9b460a..b8491d05 100644 --- a/vnpy/app/cta_strategy_pro/portfolio_testing.py +++ b/vnpy/app/cta_strategy_pro/portfolio_testing.py @@ -50,8 +50,6 @@ class PortfolioTestingEngine(BackTestingEngine): """Constructor""" super().__init__(event_engine) - self.mode = 'bar' # 'bar': 根据1分钟k线进行回测， 'tick'，根据分笔tick进行回测 - self.bar_csv_file = {} self.bar_df_dict = {} # 历史数据的df，回测用 self.bar_df = None # 历史数据的df，时间+symbol作为组合索引 @@ -116,83 +114,8 @@ class PortfolioTestingEngine(BackTestingEngine): self.bar_df_dict.clear() def prepare_env(self, test_settings): - self.output('prepare_env') - - if 'name' in test_settings: - self.set_name(test_settings.get('name')) - - self.mode = test_settings.get('mode', 'bar') - self.output(f'采用{self.mode}方式回测') - - self.debug = test_settings.get('debug', False) - - # 更新数据目录 - if 'data_path' in test_settings: - self.data_path = test_settings.get('data_path') - else: - self.data_path = os.path.abspath(os.path.join(os.getcwd(), 'data')) - - self.output(f'数据输出目录:{self.data_path}') - - # 更新日志目录 - if 'logs_path' in test_settings: - self.logs_path = os.path.abspath(os.path.join(test_settings.get('logs_path'), self.test_name)) - else: - self.logs_path = os.path.abspath(os.path.join(os.getcwd(), 'log', self.test_name)) - self.output(f'日志输出目录:{self.logs_path}') - - # 创建日志 - self.create_logger(debug=self.debug) - - # 设置资金 - if 'init_capital' in test_settings: - self.write_log(u'设置期初资金:{}'.format(test_settings.get('init_capital'))) - self.set_init_capital(test_settings.get('init_capital')) - - # 缺省使用保证金方式。 - self.use_margin = test_settings.get('use_margin', True) - - # 设置最大资金使用比例 - if 'percent_limit' in test_settings: - self.write_log(u'设置最大资金使用比例:{}%'.format(test_settings.get('percent_limit'))) - self.percent_limit = test_settings.get('percent_limit') - - if 'start_date' in test_settings: - if 'strategy_start_date' not in test_settings: - init_days = test_settings.get('init_days', 10) - self.write_log(u'设置回测开始日期:{}，数据加载日数:{}'.format(test_settings.get('start_date'), init_days)) - self.set_test_start_date(test_settings.get('start_date'), init_days) - else: - start_date = test_settings.get('start_date') - strategy_start_date = test_settings.get('strategy_start_date') - self.write_log(u'使用指定的数据开始日期：{}和策略启动日期:{}'.format(start_date, strategy_start_date)) - self.test_start_date = start_date - self.data_start_date = datetime.strptime(start_date.replace('-', ''), '%Y%m%d') - self.strategy_start_date = datetime.strptime(strategy_start_date.replace('-', ''), '%Y%m%d') - - if 'end_date' in test_settings: - self.write_log(u'设置回测结束日期:{}'.format(test_settings.get('end_date'))) - self.set_test_end_date(test_settings.get('end_date')) - - # 设置bar文件的时间间隔秒数 - if 'bar_interval_seconds' in test_settings: - self.write_log(u'设置bar文件的时间间隔秒数：{}'.format(test_settings.get('bar_interval_seconds'))) - self.bar_interval_seconds = test_settings.get('bar_interval_seconds') - - # 准备数据 - if 'symbol_datas' in test_settings: - self.write_log(u'准备数据') - self.prepare_data(test_settings.get('symbol_datas')) - - if self.mode == 'tick': - self.tick_path = test_settings.get('tick_path', None) - - self.acivte_fund_kline = test_settings.get('acivte_fund_kline', False) - if self.acivte_fund_kline: - # 创建资金K线 - self.create_fund_kline(self.test_name, use_renko=test_settings.get('use_renko', False)) - - self.load_strategy_class() + self.output('portfolio prepare_env') + super().prepare_env(test_settings) def prepare_data(self, data_dict): """ @@ -458,7 +381,7 @@ class PortfolioTestingEngine(BackTestingEngine): continue try: - for (dt, vt_symbol), bar_data in combined_df.iterrows(): + for (dt, vt_symbol), tick_data in combined_df.iterrows(): symbol, exchange = extract_vt_symbol(vt_symbol) tick = TickData( gateway_name='backtesting', @@ -468,8 +391,8 @@ class PortfolioTestingEngine(BackTestingEngine): date=dt.strftime('%Y-%m-%d'), time=dt.strftime('%H:%M:%S.%f'), trading_day=test_day.strftime('%Y-%m-%d'), - last_price=bar_data['price'], - volume=bar_data['volume'] + last_price=tick_data['price'], + volume=tick_data['volume'] ) self.new_tick(tick) diff --git a/vnpy/app/cta_strategy_pro/template.py b/vnpy/app/cta_strategy_pro/template.py index 1f24f9d0..ab644d56 100644 --- a/vnpy/app/cta_strategy_pro/template.py +++ b/vnpy/app/cta_strategy_pro/template.py @@ -4,6 +4,7 @@ import uuid import bz2 import pickle import traceback +import zlib from abc import ABC from copy import copy @@ -704,9 +705,12 @@ class CtaProTemplate(CtaTemplate): d = { 'strategy': self.strategy_name, 'datetime': datetime.now()} - + klines = {} for kline_name in sorted(self.klines.keys()): - d.update({kline_name: self.klines.get(kline_name).get_data()}) + klines.update({kline_name: self.klines.get(kline_name).get_data()}) + kline_names = list(klines.keys()) + binary_data = zlib.compress(pickle.dumps(klines)) + d.update({'kline_names': kline_names, 'klines': binary_data, 'zlib': True}) return d except Exception as ex: self.write_error(f'获取klines切片数据失败:{str(ex)}') @@ -1070,7 +1074,7 @@ class CtaProFutureTemplate(CtaProTemplate): self.write_log(u'load_policy(),初始化Policy') self.policy.load() - self.write_log(u'Policy:{}'.format(self.policy.toJson())) + self.write_log(u'Policy:{}'.format(self.policy.to_json())) def on_start(self): """启动策略（必须由用户继承实现）""" @@ -1175,50 +1179,47 @@ class CtaProFutureTemplate(CtaProTemplate): self.write_log(u'{},委托单:{}全部完成'.format(order.time, order.vt_orderid)) order_info = self.active_orders[order.vt_orderid] - # 平空仓完成(cover) - if order_info['direction'] == Direction.LONG.value and order.offset != Offset.OPEN: - self.write_log(u'{}平空仓完成(cover),委托价格:{}'.format(order.vt_symbol, order.price)) - # 通过vt_orderid，找到对应的网格 - grid = order_info.get('grid', None) - if grid is not None: - # 移除当前委托单 - if order.vt_orderid in grid.order_ids: - grid.order_ids.remove(order.vt_orderid) + # 通过vt_orderid，找到对应的网格 + grid = order_info.get('grid', None) + if grid is not None: + # 移除当前委托单 + if order.vt_orderid in grid.order_ids: + grid.order_ids.remove(order.vt_orderid) - # 网格的所有委托单已经执行完毕 - if len(grid.order_ids) == 0: - grid.order_status = False - grid.traded_volume = 0 + # 网格的所有委托单已经执行完毕 + if len(grid.order_ids) == 0: + grid.order_status = False + grid.traded_volume = 0 - # 平仓完毕（cover， sell） - if order.offset != Offset.OPEN: - grid.open_status = False - grid.close_status = True + # 平仓完毕（cover， sell） + if order.offset != Offset.OPEN: + grid.open_status = False + grid.close_status = True - self.write_log(f'{grid.direction.value}单已平仓完毕,order_price:{order.price}' - + f',volume:{order.volume}') + self.write_log(f'{grid.direction.value}单已平仓完毕,order_price:{order.price}' + + f',volume:{order.volume}') - self.write_log(f'移除网格:{grid.to_json()}') - self.gt.remove_grids_by_ids(direction=grid.direction, ids=[grid.id]) + self.write_log(f'移除网格:{grid.to_json()}') + self.gt.remove_grids_by_ids(direction=grid.direction, ids=[grid.id]) - # 开仓完毕( buy, short) - else: - grid.open_status = True - self.write_log(f'{grid.direction.value}单已开仓完毕,order_price:{order.price}' - + f',volume:{order.volume}') - - # 网格的所有委托单部分执行完毕 + # 开仓完毕( buy, short) else: - old_traded_volume = grid.traded_volume - grid.traded_volume += order.volume + grid.open_status = True + self.write_log(f'{grid.direction.value}单已开仓完毕,order_price:{order.price}' + + f',volume:{order.volume}') - self.write_log(f'{grid.direction.value}单部分{order.offset}仓，' - + f'网格volume:{grid.volume}, traded_volume:{old_traded_volume}=>{grid.traded_volume}') + # 网格的所有委托单部分执行完毕 + else: + old_traded_volume = grid.traded_volume + grid.traded_volume += order.volume - self.write_log(f'剩余委托单号:{grid.order_ids}') + self.write_log(f'{grid.direction.value}单部分{order.offset}仓，' + + f'网格volume:{grid.volume}, traded_volume:{old_traded_volume}=>{grid.traded_volume}') - # 在策略得活动订单中，移除 - self.active_orders.pop(order.vt_orderid, None) + self.write_log(f'剩余委托单号:{grid.order_ids}') + + # 在策略得活动订单中，移除 + self.active_orders.pop(order.vt_orderid, None) def on_order_open_canceled(self, order: OrderData): """ @@ -1657,7 +1658,7 @@ class CtaProFutureTemplate(CtaProTemplate): :param 平仓网格 :return: """ - self.write_log(u'执行事务平多仓位:{}'.format(grid.toJson())) + self.write_log(u'执行事务平多仓位:{}'.format(grid.to_json())) # 平仓网格得合约 sell_symbol = grid.snapshot.get('mi_symbol', self.vt_symbol) @@ -1748,7 +1749,7 @@ class CtaProFutureTemplate(CtaProTemplate): :param 平仓网格 :return: """ - self.write_log(u'执行事务平空仓位:{}'.format(grid.toJson())) + self.write_log(u'执行事务平空仓位:{}'.format(grid.to_json())) # 平仓网格得合约 cover_symbol = grid.snapshot.get('mi_symbol', self.vt_symbol) # vt_symbol => holding position @@ -1849,7 +1850,7 @@ class CtaProFutureTemplate(CtaProTemplate): symbol = g.snapshot.get('mi_symbol', self.vt_symbol) if g.order_status or g.order_ids: - self.write_log(u'当前对锁格:{}存在委托,不纳入计算'.format(g.toJson())) + self.write_log(u'当前对锁格:{}存在委托,不纳入计算'.format(g.to_json())) continue if symbol != open_symbol: @@ -1874,7 +1875,7 @@ class CtaProFutureTemplate(CtaProTemplate): for g in locked_short_grids: symbol = g.snapshot.get('mi_symbol', self.vt_symbol) if g.order_status or g.order_ids: - self.write_log(u'当前对锁格:{}存在委托,不进行解锁'.format(g.toJson())) + self.write_log(u'当前对锁格:{}存在委托,不进行解锁'.format(g.to_json())) continue if symbol != open_symbol: self.write_log(u'不处理symbol不一致: 委托请求:{}, Grid mi Symbol:{}'.format(open_symbol, symbol)) @@ -2037,7 +2038,7 @@ class CtaProFutureTemplate(CtaProTemplate): volume = g.volume - g.traded_volume locked_long_dict.update({vt_symbol: locked_long_dict.get(vt_symbol, 0) + volume}) if g.orderStatus or g.order_ids: - self.write_log(u'当前对锁格:{}存在委托,不进行解锁'.format(g.toJson())) + self.write_log(u'当前对锁格:{}存在委托,不进行解锁'.format(g.to_json())) return locked_long_volume = sum(locked_long_dict.values(), 0) @@ -2054,14 +2055,14 @@ class CtaProFutureTemplate(CtaProTemplate): volume = g.volume - g.traded_volume locked_short_dict.update({vt_symbol: locked_short_dict.get(vt_symbol, 0) + volume}) if g.orderStatus or g.order_ids: - self.write_log(u'当前对锁格:{}存在委托,不进行解锁'.format(g.toJson())) + self.write_log(u'当前对锁格:{}存在委托,不进行解锁'.format(g.to_json())) return locked_short_volume = sum(locked_short_dict.values(), 0) # debug info - self.write_log(u'多单对锁格:{}'.format([g.toJson() for g in locked_long_grids])) - self.write_log(u'空单对锁格:{}'.format([g.toJson() for g in locked_short_grids])) + self.write_log(u'多单对锁格:{}'.format([g.to_json() for g in locked_long_grids])) + self.write_log(u'空单对锁格:{}'.format([g.to_json() for g in locked_short_grids])) if locked_long_volume != locked_short_volume: self.write_error(u'对锁格多空数量不一致,不能解锁.\n多:{},\n空:{}'