[增强] 回测引擎支持PositionHolding
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msincenselee
parent
cfedf54cde
commit
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37
prod/jobs/refill_future_renko.py
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37
prod/jobs/refill_future_renko.py
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@ -0,0 +1,37 @@
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# flake8: noqa
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import sys, os, copy, csv, signal
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vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..'))
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if vnpy_root not in sys.path:
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print(f'append {vnpy_root} into sys.path')
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sys.path.append(vnpy_root)
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os.environ["VNPY_TESTING"] = "1"
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from vnpy.data.renko.rebuild_future import *
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if __name__ == "__main__":
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if len(sys.argv) < 4:
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print(u'请输入三个参数 host symbol pricetick')
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exit()
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print(sys.argv)
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host = sys.argv[1]
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setting = {
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"host": host,
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"db_name": FUTURE_RENKO_DB_NAME,
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"cache_folder": os.path.join(vnpy_root, 'ticks', 'tdx', 'future')
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}
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builder = FutureRenkoRebuilder(setting)
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symbol = sys.argv[2]
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price_tick = float(sys.argv[3])
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print(f'启动期货renko补全,数据库:{host}/{FUTURE_RENKO_DB_NAME} 合约:{symbol}')
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builder.start(symbol=symbol, price_tick=price_tick, height=[3, 5, 10, 'K3', 'K5', 'K10'], refill=True)
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print(f'exit refill {symbol} renkos')
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63
tests/renko/ui_renko_reverse_klines.py
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63
tests/renko/ui_renko_reverse_klines.py
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@ -0,0 +1,63 @@
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# flake8: noqa
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"""
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多周期显示K线，
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时间点同步
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华富资产/李来佳
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"""
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import sys
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import os
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import ctypes
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import platform
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system = platform.system()
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os.environ["VNPY_TESTING"] = "1"
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# 将repostory的目录，作为根目录，添加到系统环境中。
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ROOT_PATH = os.path.abspath(os.path.join(os.path.dirname(__file__), '..' , '..'))
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sys.path.append(ROOT_PATH)
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from vnpy.trader.ui.kline.crosshair import Crosshair
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from vnpy.trader.ui.kline.kline import *
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if __name__ == '__main__':
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# K线界面
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try:
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kline_settings = {
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"M15":
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{
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"data_file": "log/renko_reverse_v1_J99_M15.csv",
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"main_indicators": [
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"pre_high",
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"pre_low",
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"ma5",
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"ma18",
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"ma60"
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],
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"sub_indicators": [
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"atr"
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]
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},
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"Renko_K3":
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{
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"data_file": "log/renko_reverse_v1_J99_Renko_K3.csv",
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"main_indicators": [
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"pre_high",
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"pre_low",
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"boll_upper",
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"boll_middle",
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"boll_lower",
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"ma5",
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"yb"
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],
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"sub_indicators": [
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"sk",
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"sd",
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]
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}
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}
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display_multi_grid(kline_settings)
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except Exception as ex:
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print(u'exception:{},trace:{}'.format(str(ex), traceback.format_exc()))
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@ -77,8 +77,11 @@ class BackTestingEngine(object):
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# 绑定事件引擎
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self.event_engine = event_engine
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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
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# 引擎类型为回测
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self.engine_type = EngineType.BACKTESTING
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self.contract_type = 'future' # future, stock, digital
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# 回测策略相关
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self.classes = {} # 策略类，class_name: stategy_class
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@ -129,6 +132,8 @@ class BackTestingEngine(object):
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self.long_position_list = [] # 多单持仓
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self.short_position_list = [] # 空单持仓
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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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@ -357,6 +362,30 @@ class BackTestingEngine(object):
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def get_exchange(self, symbol: str):
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return self.symbol_exchange_dict.get(symbol, Exchange.LOCAL)
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def get_position_holding(self, vt_symbol: str, gateway_name: str = ''):
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""" 查询合约在账号的持仓（包含多空）"""
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k = f'{gateway_name}.{vt_symbol}'
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holding = self.holdings.get(k, None)
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if not holding:
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symbol, exchange = extract_vt_symbol(vt_symbol)
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if self.contract_type== 'future':
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product = Product.FUTURES
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elif self.contract_type == 'stock':
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product = Product.EQUITY
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else:
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product = Product.SPOT
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contract = ContractData(gateway_name=gateway_name,
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name=vt_symbol,
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product=product,
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symbol=symbol,
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exchange=exchange,
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size=self.get_size(vt_symbol),
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pricetick=self.get_price_tick(vt_symbol),
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margin_rate=self.get_margin_rate(vt_symbol))
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holding = PositionHolding(contract)
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self.holdings[k] = holding
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return holding
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def set_name(self, test_name):
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"""
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设置组合的运行实例名称
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@ -387,6 +416,12 @@ class BackTestingEngine(object):
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if 'name' in test_settings:
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self.set_name(test_settings.get('name'))
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self.mode = test_settings.get('mode', 'bar')
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self.output(f'采用{self.mode}方式回测')
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self.contract_type = test_settings.get('contract_type', 'future')
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self.output(f'测试合约主要为{self.contract_type}')
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self.debug = test_settings.get('debug', False)
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# 更新数据目录
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@ -442,6 +477,9 @@ class BackTestingEngine(object):
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self.write_log(u'准备数据')
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self.prepare_data(test_settings.get('symbol_datas'))
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if self.mode == 'tick':
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self.tick_path = test_settings.get('tick_path', None)
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# 设置bar文件的时间间隔秒数
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if 'bar_interval_seconds' in test_settings:
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self.write_log(u'设置bar文件的时间间隔秒数：{}'.format(test_settings.get('bar_interval_seconds')))
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@ -639,14 +677,18 @@ class BackTestingEngine(object):
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vt_symbol = strategy_setting.get('vt_symbol')
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if '.' in vt_symbol:
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symbol, exchange = extract_vt_symbol(vt_symbol)
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else:
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elif self.contract_type == 'future':
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symbol = vt_symbol
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underly_symbol = get_underlying_symbol(symbol).upper()
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exchange = self.get_exchange(f'{underly_symbol}99')
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vt_symbol = '.'.join([symbol, exchange.value])
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else:
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symbol = vt_symbol
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exchange = Exchange.LOCAL
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vt_symbol = '.'.join([symbol, exchange.value])
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# 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
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if '99' not in symbol and exchange != Exchange.SPD:
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if '99' not in symbol and exchange != Exchange.SPD and self.contract_type == 'future':
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underly_symbol = get_underlying_symbol(symbol).upper()
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self.write_log(u'更新vt_symbol为指数合约:{}=>{}'.format(vt_symbol, underly_symbol + '99.' + exchange.value))
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vt_symbol = underly_symbol.upper() + '99.' + exchange.value
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@ -1025,6 +1067,8 @@ class BackTestingEngine(object):
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strategy.on_stop_order(stop_order)
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strategy.on_order(order)
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self.append_trade(trade)
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holding = self.get_position_holding(vt_symbol=trade.vt_symbol)
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holding.update_trade(trade)
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strategy.on_trade(trade)
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def cross_limit_order(self, bar: BarData = None, tick: TickData = None):
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@ -1854,10 +1898,28 @@ class BackTestingEngine(object):
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self.daily_max_drawdown_rate = drawdown_rate
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self.max_drawdown_rate_time = data['date']
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self.write_log(u'{}: net={}, capital={} max={} margin={} commission={}， pos: {}'
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.format(data['date'], data['net'], c, m,
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today_holding_profit, commission,
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positionMsg))
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msg = u'{}: net={}, capital={} max={} margin={} commission={}， pos: {}'\
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.format(data['date'],
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data['net'], c, m,
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today_holding_profit,
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commission,
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positionMsg)
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if not self.debug:
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self.output(msg)
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else:
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self.write_log(msg)
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# 今仓 =》 昨仓
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for holding in self.holdings.values():
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if holding.long_td > 0:
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self.write_log(f'{holding.vt_symbol} 多单今仓{holding.long_td},昨仓:{holding.long_yd}=> 昨仓:{holding.long_pos}')
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holding.long_td = 0
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holding.long_yd = holding.long_pos
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if holding.short_td > 0:
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self.write_log(f'{holding.vt_symbol} 空单今仓{holding.short_td},昨仓:{holding.short_yd}=> 昨仓:{holding.short_pos}')
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holding.short_td = 0
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holding.short_yd = holding.short_pos
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# ---------------------------------------------------------------------
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def export_trade_result(self):
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@ -50,8 +50,6 @@ class PortfolioTestingEngine(BackTestingEngine):
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"""Constructor"""
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super().__init__(event_engine)
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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
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self.bar_csv_file = {}
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self.bar_df_dict = {} # 历史数据的df，回测用
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self.bar_df = None # 历史数据的df，时间+symbol作为组合索引
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@ -116,83 +114,8 @@ class PortfolioTestingEngine(BackTestingEngine):
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self.bar_df_dict.clear()
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def prepare_env(self, test_settings):
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self.output('prepare_env')
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if 'name' in test_settings:
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self.set_name(test_settings.get('name'))
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self.mode = test_settings.get('mode', 'bar')
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self.output(f'采用{self.mode}方式回测')
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self.debug = test_settings.get('debug', False)
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# 更新数据目录
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if 'data_path' in test_settings:
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self.data_path = test_settings.get('data_path')
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else:
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self.data_path = os.path.abspath(os.path.join(os.getcwd(), 'data'))
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self.output(f'数据输出目录:{self.data_path}')
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# 更新日志目录
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if 'logs_path' in test_settings:
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self.logs_path = os.path.abspath(os.path.join(test_settings.get('logs_path'), self.test_name))
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else:
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self.logs_path = os.path.abspath(os.path.join(os.getcwd(), 'log', self.test_name))
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self.output(f'日志输出目录:{self.logs_path}')
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# 创建日志
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self.create_logger(debug=self.debug)
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# 设置资金
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if 'init_capital' in test_settings:
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self.write_log(u'设置期初资金:{}'.format(test_settings.get('init_capital')))
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self.set_init_capital(test_settings.get('init_capital'))
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# 缺省使用保证金方式。
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self.use_margin = test_settings.get('use_margin', True)
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# 设置最大资金使用比例
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if 'percent_limit' in test_settings:
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self.write_log(u'设置最大资金使用比例:{}%'.format(test_settings.get('percent_limit')))
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self.percent_limit = test_settings.get('percent_limit')
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if 'start_date' in test_settings:
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if 'strategy_start_date' not in test_settings:
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init_days = test_settings.get('init_days', 10)
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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))
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self.set_test_start_date(test_settings.get('start_date'), init_days)
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else:
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start_date = test_settings.get('start_date')
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strategy_start_date = test_settings.get('strategy_start_date')
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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))
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self.test_start_date = start_date
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self.data_start_date = datetime.strptime(start_date.replace('-', ''), '%Y%m%d')
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self.strategy_start_date = datetime.strptime(strategy_start_date.replace('-', ''), '%Y%m%d')
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if 'end_date' in test_settings:
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self.write_log(u'设置回测结束日期:{}'.format(test_settings.get('end_date')))
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self.set_test_end_date(test_settings.get('end_date'))
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# 设置bar文件的时间间隔秒数
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if 'bar_interval_seconds' in test_settings:
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self.write_log(u'设置bar文件的时间间隔秒数：{}'.format(test_settings.get('bar_interval_seconds')))
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self.bar_interval_seconds = test_settings.get('bar_interval_seconds')
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# 准备数据
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if 'symbol_datas' in test_settings:
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self.write_log(u'准备数据')
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self.prepare_data(test_settings.get('symbol_datas'))
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if self.mode == 'tick':
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self.tick_path = test_settings.get('tick_path', None)
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self.acivte_fund_kline = test_settings.get('acivte_fund_kline', False)
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if self.acivte_fund_kline:
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# 创建资金K线
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self.create_fund_kline(self.test_name, use_renko=test_settings.get('use_renko', False))
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self.load_strategy_class()
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self.output('portfolio prepare_env')
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super().prepare_env(test_settings)
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def prepare_data(self, data_dict):
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"""
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@ -458,7 +381,7 @@ class PortfolioTestingEngine(BackTestingEngine):
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continue
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try:
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for (dt, vt_symbol), bar_data in combined_df.iterrows():
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for (dt, vt_symbol), tick_data in combined_df.iterrows():
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symbol, exchange = extract_vt_symbol(vt_symbol)
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tick = TickData(
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gateway_name='backtesting',
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@ -468,8 +391,8 @@ class PortfolioTestingEngine(BackTestingEngine):
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date=dt.strftime('%Y-%m-%d'),
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time=dt.strftime('%H:%M:%S.%f'),
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trading_day=test_day.strftime('%Y-%m-%d'),
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last_price=bar_data['price'],
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volume=bar_data['volume']
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last_price=tick_data['price'],
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volume=tick_data['volume']
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)
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self.new_tick(tick)
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@ -4,6 +4,7 @@ import uuid
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import bz2
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import pickle
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import traceback
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import zlib
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from abc import ABC
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from copy import copy
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@ -704,9 +705,12 @@ class CtaProTemplate(CtaTemplate):
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d = {
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'strategy': self.strategy_name,
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'datetime': datetime.now()}
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klines = {}
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for kline_name in sorted(self.klines.keys()):
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d.update({kline_name: self.klines.get(kline_name).get_data()})
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klines.update({kline_name: self.klines.get(kline_name).get_data()})
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kline_names = list(klines.keys())
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binary_data = zlib.compress(pickle.dumps(klines))
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d.update({'kline_names': kline_names, 'klines': binary_data, 'zlib': True})
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return d
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except Exception as ex:
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self.write_error(f'获取klines切片数据失败:{str(ex)}')
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@ -1070,7 +1074,7 @@ class CtaProFutureTemplate(CtaProTemplate):
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self.write_log(u'load_policy(),初始化Policy')
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self.policy.load()
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self.write_log(u'Policy:{}'.format(self.policy.toJson()))
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self.write_log(u'Policy:{}'.format(self.policy.to_json()))
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def on_start(self):
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"""启动策略（必须由用户继承实现）"""
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@ -1175,50 +1179,47 @@ class CtaProFutureTemplate(CtaProTemplate):
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self.write_log(u'{},委托单:{}全部完成'.format(order.time, order.vt_orderid))
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order_info = self.active_orders[order.vt_orderid]
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# 平空仓完成(cover)
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if order_info['direction'] == Direction.LONG.value and order.offset != Offset.OPEN:
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self.write_log(u'{}平空仓完成(cover),委托价格:{}'.format(order.vt_symbol, order.price))
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# 通过vt_orderid，找到对应的网格
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grid = order_info.get('grid', None)
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if grid is not None:
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# 移除当前委托单
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if order.vt_orderid in grid.order_ids:
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grid.order_ids.remove(order.vt_orderid)
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# 通过vt_orderid，找到对应的网格
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grid = order_info.get('grid', None)
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if grid is not None:
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# 移除当前委托单
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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:{}'
|
||||
|
||||
Loading…
Reference in New Issue
Block a user