diff --git a/vn.trader/ctaStrategy/ctaBacktesting.py b/vn.trader/ctaStrategy/ctaBacktesting.py index 0c81e9db..2a6230c5 100644 --- a/vn.trader/ctaStrategy/ctaBacktesting.py +++ b/vn.trader/ctaStrategy/ctaBacktesting.py @@ -22,6 +22,7 @@ from eventEngine import * import MySQLdb import json import os +import sys import cPickle import csv import logging @@ -105,7 +106,9 @@ class BacktestingEngine(object): self.tradeCount = 0 # 成交编号 self.tradeDict = OrderedDict() # 成交字典 - + self.longPosition = [] # 多单持仓 + self.shortPosition = [] # 空单持仓 + self.logList = [] # 日志记录 # 当前最新数据，用于模拟成交用 @@ -960,14 +963,17 @@ class BacktestingEngine(object): leg2_shortSymbol = leg2_shortSymbol.group(1) # E:\Ticks\ZJ\2015\201505\TF - leg1File = u'{0}\\{1}\\{2}\\{3}\\{4}\\{5}.txt' \ - .format(leg1MainPath, testday.strftime('%Y'),testday.strftime('%Y%m'), leg1_shortSymbol, testday.strftime('%m%d'), leg1Symbol) + 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))) + #leg1File = u'{0}\\{1}\\{2}\\{3}\\{4}\\{5}.txt' \ + # .format(leg1MainPath, testday.strftime('%Y'),testday.strftime('%Y%m'), leg1_shortSymbol, testday.strftime('%m%d'), leg1Symbol) if not os.path.isfile(leg1File): self.writeCtaLog(u'{0}文件不存在'.format(leg1File)) return - leg2File = u'{0}\\{1}\\{2}\\{3}\\{4}\\{5}.txt' \ - .format(leg2MainPath, testday.strftime('%Y'), testday.strftime('%Y%m'), leg2_shortSymbol, testday.strftime('%m%d'), leg2Symbol) + leg2File=os.path.abspath(os.path.join(leg2MainPath, testday.strftime('%Y'), testday.strftime('%Y%m'), leg2_shortSymbol, + testday.strftime('%m%d'), '{0}.txt'.format(leg2Symbol))) + #leg2File = u'{0}\\{1}\\{2}\\{3}\\{4}\\{5}.txt' \ + # .format(leg2MainPath, testday.strftime('%Y'), testday.strftime('%Y%m'), leg2_shortSymbol, testday.strftime('%m%d'), leg2Symbol) if not os.path.isfile(leg2File): self.writeCtaLog(u'{0}文件不存在'.format(leg2File)) return @@ -1608,9 +1614,9 @@ class BacktestingEngine(object): except Exception as ex: self.writeCtaError(u'{0}:{1}'.format(Exception, ex)) - # 实时计算模式 - if self.calculateMode == self.REALTIME_MODE: - self.realtimeCalculate() + # 实时计算模式 + if self.calculateMode == self.REALTIME_MODE: + self.realtimeCalculate2() #---------------------------------------------------------------------- def crossStopOrder(self): @@ -1687,9 +1693,9 @@ class BacktestingEngine(object): if stopOrderID in self.workingStopOrderDict: del self.workingStopOrderDict[stopOrderID] - # 若采用实时计算净值 - if self.calculateMode == self.REALTIME_MODE: - self.realtimeCalculate() + # 若采用实时计算净值 + if self.calculateMode == self.REALTIME_MODE: + self.realtimeCalculate2() #---------------------------------------------------------------------- @@ -1729,6 +1735,9 @@ class BacktestingEngine(object): def realtimeCalculate(self): """实时计算交易结果""" + if len(self.tradeDict) < 1: + return + resultDict = OrderedDict() # 交易结果记录 longTrade = [] # 未平仓的多头交易 @@ -2146,6 +2155,416 @@ class BacktestingEngine(object): self.avaliable = self.capital - occupyMoney self.percent = round(float(occupyMoney * 100 / self.capital), 2) + def realtimeCalculate2(self): + """实时计算交易结果2 + 支持多空仓位并存""" + + if len(self.tradeDict) <1: + return + + tradeids = self.tradeDict.keys() + + resultDict = OrderedDict() # 交易结果记录 + + longTrade = [] # 未平仓的多头交易 + shortTrade = [] # 未平仓的空头交易 + longid = EMPTY_STRING + shortid = EMPTY_STRING + + no_match_shortTrade = False + no_match_longTrade = False + + # 对交易记录逐一处理 + for tradeid in tradeids: + try: + trade = self.tradeDict[tradeid] + except: + self.output(u'没有{0}的成交单'.format(tradeid)) + continue + + # buy trade + if trade.direction == DIRECTION_LONG and trade.offset == OFFSET_OPEN: + self.output(u'{0}多开:{1},{2}'.format(trade.vtSymbol, trade.volume, trade.price)) + self.writeCtaLog(u'{0}多开:{1},{2}'.format(trade.vtSymbol, trade.volume, trade.price)) + self.longPosition.append(trade) + del self.tradeDict[tradeid] + + # cover trade， + elif trade.direction == DIRECTION_LONG and trade.offset == OFFSET_CLOSE: + + gId = trade.tradeID # 交易组（多个平仓数为一组） + gr = None # 组合的交易结果 + + coverVolume = trade.volume + + while coverVolume > 0: + if len(self.shortPosition) == 0: + self.writeCtaError(u'异常!没有开空仓的数据') + break + pop_indexs = [i for i, val in enumerate(self.shortPosition) if val.vtSymbol == trade.vtSymbol] + if len(pop_indexs) < 1: + self.writeCtaError(u'异常，没有对应symbol:{0}的空单持仓'.format(trade.vtSymbol)) + break + + pop_index = pop_indexs[0] + # 从未平仓的空头交易 + entryTrade = self.shortPosition.pop(pop_index) + + # 开空volume，不大于平仓volume + if coverVolume >= entryTrade.volume: + self.writeCtaLog(u'coverVolume:{0} >= entryTrade.volume:{1}'.format(coverVolume, entryTrade.volume)) + coverVolume = coverVolume - entryTrade.volume + + self.output(u'{0}空平:{1},{2}'.format(entryTrade.vtSymbol, entryTrade.volume, trade.price)) + self.writeCtaLog(u'{0}空平:{1},{2}'.format(entryTrade.vtSymbol, entryTrade.volume, trade.price)) + + result = TradingResult(entryPrice=entryTrade.price, + entryDt=entryTrade.dt, + exitPrice=trade.price, + exitDt=trade.dt, + volume=-entryTrade.volume, + rate=self.rate, + slippage=self.slippage, + size=self.size, + groupId=gId, + fixcommission=self.fixCommission) + + t = {} + t['vtSymbol'] = entryTrade.vtSymbol + t['OpenTime'] = entryTrade.tradeTime + t['OpenPrice'] = entryTrade.price + t['Direction'] = u'Short' + t['CloseTime'] = trade.tradeTime + t['ClosePrice'] = trade.price + t['Volume'] = entryTrade.volume + t['Profit'] = result.pnl + self.exportTradeList.append(t) + + msg = u'Gid:{0} {1}[{2}:开空tid={3}:{4}]-[{5}.平空tid={6},{7},vol:{8}],净盈亏：{9}'\ + .format(gId, entryTrade.vtSymbol, entryTrade.tradeTime, shortid, entryTrade.price, + trade.tradeTime, tradeid, trade.price, + entryTrade.volume, result.pnl) + self.output(msg) + + self.writeCtaLog(msg) + + if type(gr) == type(None): + if coverVolume > 0: + # 属于组合 + gr = copy.deepcopy(result) + + else: + # 不属于组合 + resultDict[entryTrade.dt] = result + + # 删除平空交易单， + del self.tradeDict[trade.tradeID] + + else: + # 更新组合的数据 + gr.turnover = gr.turnover + result.turnover + gr.commission = gr.commission + result.commission + gr.slippage = gr.slippage + result.slippage + gr.pnl = gr.pnl + result.pnl + + # 所有仓位平完 + if coverVolume == 0: + gr.volume = trade.volume + resultDict[entryTrade.dt] = gr + # 删除平空交易单， + del self.tradeDict[trade.tradeID] + + # 开空volume,大于平仓volume，需要更新减少tradeDict的数量。 + else: + self.writeCtaLog(u'Short volume:{0} > Cover volume:{1}，需要更新减少tradeDict的数量。'.format(entryTrade.volume,coverVolume)) + shortVolume = entryTrade.volume - coverVolume + + result = TradingResult(entryPrice=entryTrade.price, + entryDt=entryTrade.dt, + exitPrice=trade.price, + exitDt=trade.dt, + volume=-coverVolume, + rate=self.rate, + slippage=self.slippage, + size=self.size, + groupId=gId, + fixcommission=self.fixCommission) + + t = {} + t['vtSymbol'] = entryTrade.vtSymbol + t['OpenTime'] = entryTrade.tradeTime + t['OpenPrice'] = entryTrade.price + t['Direction'] = u'Short' + t['CloseTime'] = trade.tradeTime + t['ClosePrice'] = trade.price + t['Volume'] = coverVolume + t['Profit'] = result.pnl + self.exportTradeList.append(t) + + msg = u'Gid:{0} {1}[{2}:开空tid={3}:{4}]-[{5}.平空tid={6},{7},vol:{8}],净盈亏：{9}'\ + .format(gId, entryTrade.vtSymbol, entryTrade.tradeTime, shortid, entryTrade.price, + trade.tradeTime, tradeid, trade.price, + coverVolume, result.pnl) + self.output(msg) + self.writeCtaLog(msg) + + # 更新（减少）开仓单的volume,重新推进开仓单列表中 + entryTrade.volume = shortVolume + self.shortPosition.append(entryTrade) + + coverVolume = 0 + + if type(gr) == type(None): + resultDict[entryTrade.dt] = result + + else: + # 更新组合的数据 + gr.turnover = gr.turnover + result.turnover + gr.commission = gr.commission + result.commission + gr.slippage = gr.slippage + result.slippage + gr.pnl = gr.pnl + result.pnl + gr.volume = trade.volume + resultDict[entryTrade.dt] = gr + + # 删除平空交易单， + del self.tradeDict[trade.tradeID] + + if type(gr) != type(None): + self.writeCtaLog(u'组合净盈亏:{0}'.format(gr.pnl)) + + self.writeCtaLog(u'-------------') + + # Short Trade + elif trade.direction == DIRECTION_SHORT and trade.offset == OFFSET_OPEN: + + self.output(u'{0}空开:{1},{2}'.format(trade.vtSymbol, trade.volume, trade.price)) + self.writeCtaLog(u'{0}空开:{1},{2}'.format(trade.vtSymbol, trade.volume, trade.price)) + self.shortPosition.append(trade) + del self.tradeDict[trade.tradeID] + continue + + # sell trade + elif trade.direction == DIRECTION_SHORT and trade.offset == OFFSET_CLOSE: + gId = trade.tradeID # 交易组（多个平仓数为一组） s + gr = None # 组合的交易结果 + + sellVolume = trade.volume + + while sellVolume > 0: + if len(self.longPosition) == 0: + self.writeCtaError(u'异常，没有开多单') + break + + pop_indexs = [i for i, val in enumerate(self.longPosition) if val.vtSymbol == trade.vtSymbol] + if len(pop_indexs) < 1: + self.writeCtaError(u'没有对应的symbol{0}开多仓数据,'.format(trade.vtSymbol)) + break + + pop_index = pop_indexs[0] + + entryTrade = self.longPosition.pop(pop_index) + + # 开多volume，不大于平仓volume + if sellVolume >= entryTrade.volume: + self.writeCtaLog(u'{0}Sell Volume:{1} >= Entry Volume:{2}'.format(entryTrade.vtSymbol, sellVolume, entryTrade.volume)) + sellVolume = sellVolume - entryTrade.volume + self.output(u'{0}多平:{1},{2}'.format(entryTrade.vtSymbol, entryTrade.volume, trade.price)) + self.writeCtaLog(u'{0}多平:{1},{2}'.format(entryTrade.vtSymbol, entryTrade.volume, trade.price)) + + result = TradingResult(entryPrice=entryTrade.price, + entryDt=entryTrade.dt, + exitPrice=trade.price, + exitDt=trade.dt, + volume=entryTrade.volume, + rate=self.rate, + slippage=self.slippage, + size=self.size, + groupId=gId, + fixcommission=self.fixCommission) + + t = {} + t['vtSymbol'] = entryTrade.vtSymbol + t['OpenTime'] = entryTrade.tradeTime + t['OpenPrice'] = entryTrade.price + t['Direction'] = u'Long' + t['CloseTime'] = trade.tradeTime + t['ClosePrice'] = trade.price + t['Volume'] = entryTrade.volume + t['Profit'] = result.pnl + self.exportTradeList.append(t) + + msg = u'Gid:{0} {1}[{2}:开多tid={3}:{4}]-[{5}.平多tid={6},{7},vol:{8}],净盈亏：{9}'\ + .format(gId, entryTrade.vtSymbol, + entryTrade.tradeTime, longid, entryTrade.price, + trade.tradeTime, tradeid, trade.price, + entryTrade.volume, result.pnl) + self.output(msg) + self.writeCtaLog(msg) + + if type(gr) == type(None): + if sellVolume > 0: + # 属于组合 + gr = copy.deepcopy(result) + + else: + # 不属于组合 + resultDict[entryTrade.dt] = result + + # 删除平多交易单， + del self.tradeDict[trade.tradeID] + + else: + # 更新组合的数据 + gr.turnover = gr.turnover + result.turnover + gr.commission = gr.commission + result.commission + gr.slippage = gr.slippage + result.slippage + gr.pnl = gr.pnl + result.pnl + + if sellVolume == 0: + gr.volume = trade.volume + resultDict[entryTrade.dt] = gr + # 删除平多交易单， + del self.tradeDict[trade.tradeID] + + # 开多volume,大于平仓volume，需要更新减少tradeDict的数量。 + else: + longVolume = entryTrade.volume -sellVolume + self.writeCtaLog(u'Long Volume:{0} > sell Volume:{1}'.format(entryTrade.volume,sellVolume)) + + result = TradingResult(entryPrice=entryTrade.price, + entryDt=entryTrade.dt, + exitPrice=trade.price, + exitDt=trade.dt, + volume=sellVolume, + rate=self.rate, + slippage=self.slippage, + size=self.size, + groupId=gId, + fixcommission=self.fixCommission) + + t = {} + t['vtSymbol'] = entryTrade.vtSymbol + t['OpenTime'] = entryTrade.tradeTime + t['OpenPrice'] = entryTrade.price + t['Direction'] = u'Long' + t['CloseTime'] = trade.tradeTime + t['ClosePrice'] = trade.price + t['Volume'] = sellVolume + t['Profit'] = result.pnl + self.exportTradeList.append(t) + + self.writeCtaLog(u'Gid:{0} {1}[{2}:开多tid={3}:{4}]-[{5}.平多tid={6},{7},vol:{8}],净盈亏：{9}' + .format(gId, entryTrade.vtSymbol,entryTrade.tradeTime, longid, entryTrade.price, + trade.tradeTime, tradeid, trade.price, + sellVolume, result.pnl)) + + # 减少开多volume,重新推进多单持仓列表中 + entryTrade.volume = longVolume + self.longPosition.append(entryTrade) + + sellVolume = 0 + + if type(gr) == type(None): + resultDict[entryTrade.dt] = result + + else: + # 更新组合的数据 + gr.turnover = gr.turnover + result.turnover + gr.commission = gr.commission + result.commission + gr.slippage = gr.slippage + result.slippage + gr.pnl = gr.pnl + result.pnl + gr.volume = trade.volume + resultDict[entryTrade.dt] = gr + + # 删除平多交易单， + del self.tradeDict[trade.tradeID] + + if type(gr) != type(None): + self.writeCtaLog(u'组合净盈亏:{0}'.format(gr.pnl)) + + self.writeCtaLog(u'-------------') + + # 计算仓位比例 + occupyMoney = EMPTY_FLOAT + occupyLongVolume = EMPTY_INT + occupyShortVolume = EMPTY_INT + longPos = {} + shortPos = {} + if len(self.longPosition) > 0: + for t in self.longPosition: + occupyMoney += t.price * abs(t.volume) * self.size * self.margin_rate + 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 = {}