增加实时结算2，支持对锁单。
This commit is contained in:
msincenselee
parent
e907dacaa1
commit
7792ef4ccf
@ -22,6 +22,7 @@ from eventEngine import *
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import MySQLdb
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import json
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import os
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import sys
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import cPickle
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import csv
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import logging
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@ -105,7 +106,9 @@ class BacktestingEngine(object):
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self.tradeCount = 0 # 成交编号
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self.tradeDict = OrderedDict() # 成交字典
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self.longPosition = [] # 多单持仓
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self.shortPosition = [] # 空单持仓
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self.logList = [] # 日志记录
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# 当前最新数据，用于模拟成交用
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@ -960,14 +963,17 @@ class BacktestingEngine(object):
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leg2_shortSymbol = leg2_shortSymbol.group(1)
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# E:\Ticks\ZJ\2015\201505\TF
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leg1File = u'{0}\\{1}\\{2}\\{3}\\{4}\\{5}.txt' \
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.format(leg1MainPath, testday.strftime('%Y'),testday.strftime('%Y%m'), leg1_shortSymbol, testday.strftime('%m%d'), leg1Symbol)
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leg1File = os.path.abspath(os.path.join(leg1MainPath, testday.strftime('%Y'),testday.strftime('%Y%m'),leg1_shortSymbol,testday.strftime('%m%d'),'{0}.txt'.format(leg1Symbol)))
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#leg1File = u'{0}\\{1}\\{2}\\{3}\\{4}\\{5}.txt' \
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# .format(leg1MainPath, testday.strftime('%Y'),testday.strftime('%Y%m'), leg1_shortSymbol, testday.strftime('%m%d'), leg1Symbol)
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if not os.path.isfile(leg1File):
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self.writeCtaLog(u'{0}文件不存在'.format(leg1File))
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return
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leg2File = u'{0}\\{1}\\{2}\\{3}\\{4}\\{5}.txt' \
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.format(leg2MainPath, testday.strftime('%Y'), testday.strftime('%Y%m'), leg2_shortSymbol, testday.strftime('%m%d'), leg2Symbol)
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leg2File=os.path.abspath(os.path.join(leg2MainPath, testday.strftime('%Y'), testday.strftime('%Y%m'), leg2_shortSymbol,
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testday.strftime('%m%d'), '{0}.txt'.format(leg2Symbol)))
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#leg2File = u'{0}\\{1}\\{2}\\{3}\\{4}\\{5}.txt' \
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# .format(leg2MainPath, testday.strftime('%Y'), testday.strftime('%Y%m'), leg2_shortSymbol, testday.strftime('%m%d'), leg2Symbol)
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if not os.path.isfile(leg2File):
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self.writeCtaLog(u'{0}文件不存在'.format(leg2File))
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return
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@ -1608,9 +1614,9 @@ class BacktestingEngine(object):
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except Exception as ex:
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self.writeCtaError(u'{0}:{1}'.format(Exception, ex))
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# 实时计算模式
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if self.calculateMode == self.REALTIME_MODE:
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self.realtimeCalculate()
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# 实时计算模式
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if self.calculateMode == self.REALTIME_MODE:
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self.realtimeCalculate2()
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#----------------------------------------------------------------------
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def crossStopOrder(self):
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@ -1687,9 +1693,9 @@ class BacktestingEngine(object):
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if stopOrderID in self.workingStopOrderDict:
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del self.workingStopOrderDict[stopOrderID]
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# 若采用实时计算净值
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if self.calculateMode == self.REALTIME_MODE:
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self.realtimeCalculate()
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# 若采用实时计算净值
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if self.calculateMode == self.REALTIME_MODE:
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self.realtimeCalculate2()
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#----------------------------------------------------------------------
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@ -1729,6 +1735,9 @@ class BacktestingEngine(object):
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def realtimeCalculate(self):
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"""实时计算交易结果"""
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if len(self.tradeDict) < 1:
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return
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resultDict = OrderedDict() # 交易结果记录
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longTrade = [] # 未平仓的多头交易
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@ -2146,6 +2155,416 @@ class BacktestingEngine(object):
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self.avaliable = self.capital - occupyMoney
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self.percent = round(float(occupyMoney * 100 / self.capital), 2)
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def realtimeCalculate2(self):
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"""实时计算交易结果2
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支持多空仓位并存"""
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if len(self.tradeDict) <1:
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return
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tradeids = self.tradeDict.keys()
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resultDict = OrderedDict() # 交易结果记录
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longTrade = [] # 未平仓的多头交易
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shortTrade = [] # 未平仓的空头交易
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longid = EMPTY_STRING
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shortid = EMPTY_STRING
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no_match_shortTrade = False
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no_match_longTrade = False
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# 对交易记录逐一处理
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for tradeid in tradeids:
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try:
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trade = self.tradeDict[tradeid]
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except:
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self.output(u'没有{0}的成交单'.format(tradeid))
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continue
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# buy trade
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if trade.direction == DIRECTION_LONG and trade.offset == OFFSET_OPEN:
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self.output(u'{0}多开:{1},{2}'.format(trade.vtSymbol, trade.volume, trade.price))
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self.writeCtaLog(u'{0}多开:{1},{2}'.format(trade.vtSymbol, trade.volume, trade.price))
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self.longPosition.append(trade)
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del self.tradeDict[tradeid]
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# cover trade，
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elif trade.direction == DIRECTION_LONG and trade.offset == OFFSET_CLOSE:
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gId = trade.tradeID # 交易组（多个平仓数为一组）
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gr = None # 组合的交易结果
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coverVolume = trade.volume
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while coverVolume > 0:
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if len(self.shortPosition) == 0:
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self.writeCtaError(u'异常!没有开空仓的数据')
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break
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pop_indexs = [i for i, val in enumerate(self.shortPosition) if val.vtSymbol == trade.vtSymbol]
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if len(pop_indexs) < 1:
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self.writeCtaError(u'异常，没有对应symbol:{0}的空单持仓'.format(trade.vtSymbol))
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break
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pop_index = pop_indexs[0]
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# 从未平仓的空头交易
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entryTrade = self.shortPosition.pop(pop_index)
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# 开空volume，不大于平仓volume
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if coverVolume >= entryTrade.volume:
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self.writeCtaLog(u'coverVolume:{0} >= entryTrade.volume:{1}'.format(coverVolume, entryTrade.volume))
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coverVolume = coverVolume - entryTrade.volume
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self.output(u'{0}空平:{1},{2}'.format(entryTrade.vtSymbol, entryTrade.volume, trade.price))
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self.writeCtaLog(u'{0}空平:{1},{2}'.format(entryTrade.vtSymbol, entryTrade.volume, trade.price))
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result = TradingResult(entryPrice=entryTrade.price,
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entryDt=entryTrade.dt,
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exitPrice=trade.price,
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exitDt=trade.dt,
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volume=-entryTrade.volume,
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rate=self.rate,
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slippage=self.slippage,
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size=self.size,
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groupId=gId,
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fixcommission=self.fixCommission)
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t = {}
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t['vtSymbol'] = entryTrade.vtSymbol
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t['OpenTime'] = entryTrade.tradeTime
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t['OpenPrice'] = entryTrade.price
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t['Direction'] = u'Short'
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t['CloseTime'] = trade.tradeTime
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t['ClosePrice'] = trade.price
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t['Volume'] = entryTrade.volume
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t['Profit'] = result.pnl
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self.exportTradeList.append(t)
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msg = u'Gid:{0} {1}[{2}:开空tid={3}:{4}]-[{5}.平空tid={6},{7},vol:{8}],净盈亏：{9}'\
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.format(gId, entryTrade.vtSymbol, entryTrade.tradeTime, shortid, entryTrade.price,
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trade.tradeTime, tradeid, trade.price,
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entryTrade.volume, result.pnl)
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self.output(msg)
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self.writeCtaLog(msg)
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if type(gr) == type(None):
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if coverVolume > 0:
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# 属于组合
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gr = copy.deepcopy(result)
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else:
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# 不属于组合
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resultDict[entryTrade.dt] = result
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# 删除平空交易单，
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del self.tradeDict[trade.tradeID]
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else:
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# 更新组合的数据
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gr.turnover = gr.turnover + result.turnover
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gr.commission = gr.commission + result.commission
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gr.slippage = gr.slippage + result.slippage
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gr.pnl = gr.pnl + result.pnl
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# 所有仓位平完
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if coverVolume == 0:
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gr.volume = trade.volume
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resultDict[entryTrade.dt] = gr
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# 删除平空交易单，
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del self.tradeDict[trade.tradeID]
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# 开空volume,大于平仓volume，需要更新减少tradeDict的数量。
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else:
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self.writeCtaLog(u'Short volume:{0} > Cover volume:{1}，需要更新减少tradeDict的数量。'.format(entryTrade.volume,coverVolume))
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shortVolume = entryTrade.volume - coverVolume
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result = TradingResult(entryPrice=entryTrade.price,
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entryDt=entryTrade.dt,
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exitPrice=trade.price,
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exitDt=trade.dt,
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volume=-coverVolume,
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rate=self.rate,
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slippage=self.slippage,
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size=self.size,
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groupId=gId,
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fixcommission=self.fixCommission)
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t = {}
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t['vtSymbol'] = entryTrade.vtSymbol
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t['OpenTime'] = entryTrade.tradeTime
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t['OpenPrice'] = entryTrade.price
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t['Direction'] = u'Short'
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t['CloseTime'] = trade.tradeTime
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t['ClosePrice'] = trade.price
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t['Volume'] = coverVolume
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t['Profit'] = result.pnl
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self.exportTradeList.append(t)
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msg = u'Gid:{0} {1}[{2}:开空tid={3}:{4}]-[{5}.平空tid={6},{7},vol:{8}],净盈亏：{9}'\
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.format(gId, entryTrade.vtSymbol, entryTrade.tradeTime, shortid, entryTrade.price,
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trade.tradeTime, tradeid, trade.price,
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coverVolume, result.pnl)
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self.output(msg)
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self.writeCtaLog(msg)
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# 更新（减少）开仓单的volume,重新推进开仓单列表中
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entryTrade.volume = shortVolume
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self.shortPosition.append(entryTrade)
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coverVolume = 0
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if type(gr) == type(None):
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resultDict[entryTrade.dt] = result
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else:
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# 更新组合的数据
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gr.turnover = gr.turnover + result.turnover
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gr.commission = gr.commission + result.commission
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gr.slippage = gr.slippage + result.slippage
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gr.pnl = gr.pnl + result.pnl
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gr.volume = trade.volume
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resultDict[entryTrade.dt] = gr
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# 删除平空交易单，
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del self.tradeDict[trade.tradeID]
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if type(gr) != type(None):
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self.writeCtaLog(u'组合净盈亏:{0}'.format(gr.pnl))
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self.writeCtaLog(u'-------------')
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# Short Trade
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elif trade.direction == DIRECTION_SHORT and trade.offset == OFFSET_OPEN:
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self.output(u'{0}空开:{1},{2}'.format(trade.vtSymbol, trade.volume, trade.price))
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self.writeCtaLog(u'{0}空开:{1},{2}'.format(trade.vtSymbol, trade.volume, trade.price))
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self.shortPosition.append(trade)
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del self.tradeDict[trade.tradeID]
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continue
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# sell trade
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elif trade.direction == DIRECTION_SHORT and trade.offset == OFFSET_CLOSE:
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gId = trade.tradeID # 交易组（多个平仓数为一组） s
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gr = None # 组合的交易结果
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sellVolume = trade.volume
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while sellVolume > 0:
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if len(self.longPosition) == 0:
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self.writeCtaError(u'异常，没有开多单')
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break
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pop_indexs = [i for i, val in enumerate(self.longPosition) if val.vtSymbol == trade.vtSymbol]
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if len(pop_indexs) < 1:
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self.writeCtaError(u'没有对应的symbol{0}开多仓数据,'.format(trade.vtSymbol))
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break
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pop_index = pop_indexs[0]
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entryTrade = self.longPosition.pop(pop_index)
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# 开多volume，不大于平仓volume
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if sellVolume >= entryTrade.volume:
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self.writeCtaLog(u'{0}Sell Volume:{1} >= Entry Volume:{2}'.format(entryTrade.vtSymbol, sellVolume, entryTrade.volume))
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sellVolume = sellVolume - entryTrade.volume
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self.output(u'{0}多平:{1},{2}'.format(entryTrade.vtSymbol, entryTrade.volume, trade.price))
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self.writeCtaLog(u'{0}多平:{1},{2}'.format(entryTrade.vtSymbol, entryTrade.volume, trade.price))
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result = TradingResult(entryPrice=entryTrade.price,
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entryDt=entryTrade.dt,
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exitPrice=trade.price,
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exitDt=trade.dt,
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volume=entryTrade.volume,
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rate=self.rate,
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slippage=self.slippage,
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size=self.size,
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groupId=gId,
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fixcommission=self.fixCommission)
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t = {}
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t['vtSymbol'] = entryTrade.vtSymbol
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t['OpenTime'] = entryTrade.tradeTime
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t['OpenPrice'] = entryTrade.price
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t['Direction'] = u'Long'
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t['CloseTime'] = trade.tradeTime
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t['ClosePrice'] = trade.price
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t['Volume'] = entryTrade.volume
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t['Profit'] = result.pnl
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self.exportTradeList.append(t)
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msg = u'Gid:{0} {1}[{2}:开多tid={3}:{4}]-[{5}.平多tid={6},{7},vol:{8}],净盈亏：{9}'\
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.format(gId, entryTrade.vtSymbol,
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entryTrade.tradeTime, longid, entryTrade.price,
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trade.tradeTime, tradeid, trade.price,
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entryTrade.volume, result.pnl)
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self.output(msg)
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self.writeCtaLog(msg)
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if type(gr) == type(None):
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if sellVolume > 0:
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# 属于组合
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gr = copy.deepcopy(result)
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else:
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# 不属于组合
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resultDict[entryTrade.dt] = result
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# 删除平多交易单，
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del self.tradeDict[trade.tradeID]
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else:
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# 更新组合的数据
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gr.turnover = gr.turnover + result.turnover
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gr.commission = gr.commission + result.commission
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gr.slippage = gr.slippage + result.slippage
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gr.pnl = gr.pnl + result.pnl
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if sellVolume == 0:
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gr.volume = trade.volume
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resultDict[entryTrade.dt] = gr
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# 删除平多交易单，
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del self.tradeDict[trade.tradeID]
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# 开多volume,大于平仓volume，需要更新减少tradeDict的数量。
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else:
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longVolume = entryTrade.volume -sellVolume
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self.writeCtaLog(u'Long Volume:{0} > sell Volume:{1}'.format(entryTrade.volume,sellVolume))
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result = TradingResult(entryPrice=entryTrade.price,
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entryDt=entryTrade.dt,
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exitPrice=trade.price,
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exitDt=trade.dt,
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volume=sellVolume,
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rate=self.rate,
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slippage=self.slippage,
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size=self.size,
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groupId=gId,
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fixcommission=self.fixCommission)
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t = {}
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t['vtSymbol'] = entryTrade.vtSymbol
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t['OpenTime'] = entryTrade.tradeTime
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t['OpenPrice'] = entryTrade.price
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t['Direction'] = u'Long'
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t['CloseTime'] = trade.tradeTime
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t['ClosePrice'] = trade.price
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t['Volume'] = sellVolume
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t['Profit'] = result.pnl
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self.exportTradeList.append(t)
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self.writeCtaLog(u'Gid:{0} {1}[{2}:开多tid={3}:{4}]-[{5}.平多tid={6},{7},vol:{8}],净盈亏：{9}'
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.format(gId, entryTrade.vtSymbol,entryTrade.tradeTime, longid, entryTrade.price,
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trade.tradeTime, tradeid, trade.price,
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sellVolume, result.pnl))
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# 减少开多volume,重新推进多单持仓列表中
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entryTrade.volume = longVolume
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self.longPosition.append(entryTrade)
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sellVolume = 0
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if type(gr) == type(None):
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resultDict[entryTrade.dt] = result
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else:
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# 更新组合的数据
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gr.turnover = gr.turnover + result.turnover
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gr.commission = gr.commission + result.commission
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gr.slippage = gr.slippage + result.slippage
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gr.pnl = gr.pnl + result.pnl
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gr.volume = trade.volume
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resultDict[entryTrade.dt] = gr
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# 删除平多交易单，
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del self.tradeDict[trade.tradeID]
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if type(gr) != type(None):
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self.writeCtaLog(u'组合净盈亏:{0}'.format(gr.pnl))
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self.writeCtaLog(u'-------------')
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# 计算仓位比例
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occupyMoney = EMPTY_FLOAT
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occupyLongVolume = EMPTY_INT
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occupyShortVolume = EMPTY_INT
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longPos = {}
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shortPos = {}
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if len(self.longPosition) > 0:
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for t in self.longPosition:
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occupyMoney += t.price * abs(t.volume) * self.size * self.margin_rate
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occupyLongVolume += abs(t.volume)
|
||||
if t.vtSymbol in longPos:
|
||||
longPos[t.vtSymbol] += abs(t.volume)
|
||||
else:
|
||||
longPos[t.vtSymbol] = abs(t.volume)
|
||||
|
||||
if len(self.shortPosition) > 0:
|
||||
for t in self.shortPosition:
|
||||
occupyMoney += t.price * abs(t.volume) * self.size * self.margin_rate
|
||||
occupyShortVolume += (t.volume)
|
||||
if t.vtSymbol in shortPos:
|
||||
shortPos[t.vtSymbol] += abs(t.volume)
|
||||
else:
|
||||
shortPos[t.vtSymbol] = abs(t.volume)
|
||||
|
||||
self.output(u'L:{0}|{1},S:{2}|{3}'.format(occupyLongVolume, str(longPos), occupyShortVolume, str(shortPos)))
|
||||
self.writeCtaLog(u'L:{0}|{1},S:{2}|{3}'.format(occupyLongVolume, str(longPos), occupyShortVolume, str(shortPos)))
|
||||
# 最大持仓
|
||||
self.maxVolume = max(self.maxVolume, occupyLongVolume + occupyShortVolume)
|
||||
|
||||
self.avaliable = self.capital - occupyMoney
|
||||
self.percent = round(float(occupyMoney * 100 / self.capital), 2)
|
||||
|
||||
# 检查是否有平交易
|
||||
if not resultDict:
|
||||
|
||||
msg = u''
|
||||
if len(self.longPosition) > 0:
|
||||
msg += u'持多仓{0},'.format( str(longPos))
|
||||
|
||||
if len(self.shortPosition) > 0:
|
||||
msg += u'持空仓{0},'.format(str(shortPos))
|
||||
|
||||
msg += u'资金占用:{0},仓位:{1}%%'.format(occupyMoney, self.percent)
|
||||
self.output(msg)
|
||||
self.writeCtaLog(msg)
|
||||
return
|
||||
|
||||
# 对交易结果汇总统计
|
||||
for time, result in resultDict.items():
|
||||
|
||||
if result.pnl > 0:
|
||||
self.winningResult += 1
|
||||
self.totalWinning += result.pnl
|
||||
else:
|
||||
self.losingResult += 1
|
||||
self.totalLosing += result.pnl
|
||||
self.capital += result.pnl
|
||||
self.maxCapital = max(self.capital, self.maxCapital)
|
||||
#self.maxVolume = max(self.maxVolume, result.volume)
|
||||
drawdown = self.capital - self.maxCapital
|
||||
drawdownRate = round(float(drawdown*100/self.maxCapital),4)
|
||||
|
||||
self.pnlList.append(result.pnl)
|
||||
self.timeList.append(time)
|
||||
self.capitalList.append(self.capital)
|
||||
self.drawdownList.append(drawdown)
|
||||
self.drawdownRateList.append(drawdownRate)
|
||||
|
||||
self.totalResult += 1
|
||||
self.totalTurnover += result.turnover
|
||||
self.totalCommission += result.commission
|
||||
self.totalSlippage += result.slippage
|
||||
|
||||
self.output(u'[{5}],{6} Vol:{0},盈亏:{1},回撤:{2}/{3},权益:{4}'.
|
||||
format(abs(result.volume), result.pnl, drawdown,
|
||||
drawdownRate, self.capital, result.groupId, time))
|
||||
|
||||
# 重新计算一次avaliable
|
||||
self.avaliable = self.capital - occupyMoney
|
||||
self.percent = round(float(occupyMoney * 100 / self.capital), 2)
|
||||
|
||||
def savingDailyData(self, d, c, m):
|
||||
"""保存每日数据"""
|
||||
dict = {}
|
||||
|
||||
Loading…
Reference in New Issue
Block a user