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tune backtestEngine

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This commit is contained in:
msincenselee 2015-10-15 00:41:45 +08:00
parent 019dc69bf2
commit 9347691f44
6 changed files with 136 additions and 41 deletions
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14
vn.data/mysqldb.sql Normal file
View File

@ -0,0 +1,14 @@
use BackTest;
create table TB_Trade
(
Id varchar(255),
symbol varchar(20),
orderRef varchar(20),
tradeID varchar(20),
direction varchar(10),
offset varchar(10),
price float,
volume int
);

105
vn.strategy/strategydemo/backtestingEngine.py
View File

@ -25,6 +25,9 @@ class LimitOrder(object):
self.direction = None
self.offset = None
#Modified by Incense Lee
self.orderTime = datetime.now() #下单时间
########################################################################
class BacktestingEngine(object):
@ -37,15 +40,15 @@ class BacktestingEngine(object):
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.eventEngine = EventEngine()
self.eventEngine = EventEngine() # 实例化
# 策略引擎
self.strategyEngine = None
self.strategyEngine = None # 通过setStrategyEngine进行设置
# TICK历史数据列表，由于要使用For循环来实现仿真回放
# 使用list的速度比Numpy和Pandas都要更快
self.listDataHistory = []
# 限价单字典
self.dictOrder = {}
@ -60,6 +63,9 @@ class BacktestingEngine(object):
# 成交编号
self.tradeID = 0
# 回测编号
self.Id = datetime.now().strftime('%Y%m%d-%H%M%S')
#----------------------------------------------------------------------
def setStrategyEngine(self, engine):
@ -114,6 +120,7 @@ class BacktestingEngine(object):
#----------------------------------------------------------------------
def loadMysqlDataHistory(self, symbol, startDate, endDate):
"""从Mysql载入历史TICK数据,"""
#Todo :判断开始和结束时间，如果间隔天过长，数据量会过大，需要批次提取。
try:
if self.__mysqlConnected:
@ -147,18 +154,41 @@ class BacktestingEngine(object):
self.writeLog(sqlstring)
count = cur.execute(sqlstring)
self.writeLog(u'历史TICK数据共{0}条'.format(count))
# 将TICK数据读入内存
self.listDataHistory = cur.fetchall()
#self.listDataHistory = cur.fetchall()
fetch_counts = 0
fetch_size = 10000
while True:
results = cur.fetchmany(fetch_size)
if not results:
break
fetch_counts = fetch_counts+fetch_size
if not self.listDataHistory:
self.listDataHistory =results
else:
self.listDataHistory = self.listDataHistory + results
self.writeLog(u'历史TICK数据载入{0}条'.format(fetch_counts))
self.writeLog(u'历史TICK数据载入完成，{1}~{2},共{0}条'.format(count,startDate,endDate))
self.writeLog(u'历史TICK数据载入完成，共{0}条'.format(count))
else:
self.writeLog(u'MysqlDB未连接，请检查')
except MySQLdb.Error, e:
self.writeLog(u'MysqlDB载入数据失败，请检查.Error {0}: {1}'.format(e.arg[0],e.arg[1]))
self.writeLog(u'MysqlDB载入数据失败，请检查.Error {0}'.format(e))
#----------------------------------------------------------------------
def getMysqlDeltaDate(self,symbol, startDate, decreaseDays):
"""从mysql库中获取交易日前若干天"""
try:
if self.__mysqlConnected:
@ -193,7 +223,10 @@ class BacktestingEngine(object):
#----------------------------------------------------------------------
def processLimitOrder(self):
"""处理限价单"""
"""
处理限价单
为体现准确性，回测引擎需要真实tick数据的买一或卖一价比对。
"""
for ref, order in self.dictOrder.items():
# 如果是买单，且限价大于等于当前TICK的卖一价，则假设成交
if order.direction == DIRECTION_BUY and \
@ -206,7 +239,10 @@ class BacktestingEngine(object):
#----------------------------------------------------------------------
def executeLimitOrder(self, ref, order, price):
"""限价单成交处理"""
"""
模拟限价单成交处理
回测引擎模拟成交
"""
# 成交回报
self.tradeID = self.tradeID + 1
@ -218,6 +254,7 @@ class BacktestingEngine(object):
tradeData['OffsetFlag'] = order.offset
tradeData['Price'] = price
tradeData['Volume'] = order.volume
tradeData['TradeTime'] = order.insertTime
print tradeData
@ -243,10 +280,10 @@ class BacktestingEngine(object):
orderEvent = Event()
orderEvent.dict_['data'] = orderData
self.strategyEngine.updateOrder(orderEvent)
# 记录该成交到列表中
self.listTrade.append(tradeData)
# 删除该限价单
del self.dictOrder[ref]
@ -265,16 +302,17 @@ class BacktestingEngine(object):
# 记录最新的TICK数据
self.currentData = data
# 处理限价单
self.processLimitOrder()
# 推送到策略引擎中
event = Event()
event.dict_['data'] = data
self.strategyEngine.updateMarketData(event)
self.saveTradeData()
#保存到数据库中
self.saveTradeDataToMysql()
t2 = datetime.now()
self.writeLog(u'回测结束,{0},耗时:{1}秒'.format(str(t2),(t2-t1).seconds))
@ -282,13 +320,15 @@ class BacktestingEngine(object):
#----------------------------------------------------------------------
def sendOrder(self, instrumentid, exchangeid, price, pricetype, volume, direction, offset):
def sendOrder(self, instrumentid, exchangeid, price, pricetype, volume, direction, offset, orderTime=datetime.now()):
"""回测发单"""
order = LimitOrder(instrumentid)
order.price = price
order.direction = direction
order.volume = volume
order.offset = offset
order.orderTime = orderTime
self.orderRef = self.orderRef + 1
self.dictOrder[str(self.orderRef)] = order
@ -330,4 +370,37 @@ class BacktestingEngine(object):
"""仿真订阅合约"""
pass
#----------------------------------------------------------------------
def saveTradeDataToMysql(self):
"""保存交易记录到mysql,added by Incense Lee"""
if self.__mysqlConnected:
sql='insert into BackTest.TB_Trade values '
values = ''
for tradeItem in self.listTrade:
if len(values) > 0:
values = values + ','
values = values + '(\'{0}\',\'{1}\',\'{2}\',\'{3}\',\'{4}\',\'{5}\',{6},{7})'.format(
self.Id,
tradeItem['InstrumentID'],
tradeItem['OrderRef'],
tradeItem['TradeID'],
tradeItem['Direction'],
tradeItem['OffsetFlag'],
tradeItem['Price'],
tradeItem['Volume'])
cur = self.__mysqlConnection.cursor(MySQLdb.cursors.DictCursor)
try:
cur.execute(sql+values)
self.__mysqlConnection.commit()
except Exception, e:
print e
else:
self.saveTradeData()

2
vn.strategy/strategydemo/demoBacktesting.py
View File

@ -24,7 +24,7 @@ if __name__ == '__main__':
be.connectMysql()
#be.loadMongoDataHistory(symbol, datetime(2015,5,1), datetime.today())
#be.loadMongoDataHistory(symbol, datetime(2012,1,9), datetime(2012,1,14))
be.loadMysqlDataHistory(symbol, datetime(2012,1,9), datetime(2012,3,30))
be.loadMysqlDataHistory(symbol, datetime(2012,1,9), datetime(2012,1,30))
# 创建策略对象
setting = {}

2
vn.strategy/strategydemo/demoEngine.py
View File

@ -27,7 +27,7 @@ class MainEngine:
def __init__(self):
"""Constructor"""
self.ee = EventEngine() # 创建事件驱动引擎
print u'demoEngine.MainEngine create EventEngine() success'
print u'demoEngine.MainEngineee create EventEngine() success'
self.md = DemoMdApi(self.ee) # 创建API接口
print u'demoEngine.MainEngine create DemoMdApi() success'

2
vn.strategy/strategydemo/demoStrategy.py
View File

@ -230,7 +230,7 @@ class SimpleEmaStrategy(StrategyTemplate):
#----------------------------------------------------------------------
def onBar(self, o, h, l, c, volume, time):
"""K线数据更新"""
"""K线数据更新，同时进行策略的买入、卖出逻辑计算"""
# 保存K线序列数据
self.listOpen.append(o)
self.listHigh.append(h)

52
vn.strategy/strategydemo/strategyEngine.py
View File

@ -90,6 +90,8 @@ class Trade(object):
self.offset = None # 开平
self.price = 0 # 成交价
self.volume = 0 # 成交量
self.tradeTime = '' # 成交时间
########################################################################
@ -144,8 +146,8 @@ class StrategyEngine(object):
#----------------------------------------------------------------------
def __init__(self, eventEngine, mainEngine, backtesting=False):
"""Constructor"""
self.__eventEngine = eventEngine
self.mainEngine = mainEngine
self.__eventEngine = eventEngine # 引用事件引擎
self.mainEngine = mainEngine # 主引擎，在回测中，为backtestingEngin,在交易中，为demoEngine
self.backtesting = backtesting # 是否在进行回测
# 获取代表今日的datetime
@ -192,7 +194,7 @@ class StrategyEngine(object):
#----------------------------------------------------------------------
def createStrategy(self, strategyName, strategySymbol, strategyClass, strategySetting):
"""创建策略"""
"""创建策略（实例化）"""
strategy = strategyClass(strategyName, strategySymbol, self)
self.writeLog(u"创建策略:{0}".format(strategyName))
@ -203,7 +205,7 @@ class StrategyEngine(object):
# 订阅合约行情，注意这里因为是CTP，所以ExchangeID可以忽略
self.mainEngine.subscribe(strategySymbol, None)
# 注册策略监听
self.registerStrategy(strategySymbol, strategy)
@ -225,7 +227,8 @@ class StrategyEngine(object):
# symbol = data['InstrumentID']
# data['date'] = self.today
# self.__mongoTickDB[symbol].insert(data)
# #
#
# #----------------------------------------------------------------------
# def loadTickFromMongo(self, symbol, startDate, endDate=None):
# """从MongoDB中读取Tick数据"""
@ -257,7 +260,8 @@ class StrategyEngine(object):
# symbol = data['InstrumentID']
# data['date'] = self.today
# self.__mongoTickDB[symbol].insert(data)
pass;
pass
#----------------------------------------------------------------------
def loadTickFromMysql(self, symbol, startDate, endDate=None):
"""从MysqlDB中读取Tick数据"""
@ -295,7 +299,7 @@ class StrategyEngine(object):
cx = cur.fetchall()
self.writeLog(u'历史TICK数据载入完成，共{0}条'.format(count))
self.writeLog(u'历史TICK数据载入完成，{1}~{2},共{0}条'.format(count,startDate,endDate))
return cx
else:
@ -303,6 +307,7 @@ class StrategyEngine(object):
#----------------------------------------------------------------------
def getMysqlDeltaDate(self,symbol, startDate, decreaseDays):
"""从mysql获取交易日天数差"""
try:
if self.__mysqlConnected:
@ -329,7 +334,7 @@ class StrategyEngine(object):
self.writeLog(u'MysqlDB未连接，请检查')
except MySQLdb.Error, e:
self.writeLog(u'MysqlDB载入数据失败，请检查.Error %d: %s'.format(e.arg[0],e.arg[1]))
self.writeLog(u'MysqlDB载入数据失败，请检查.Error %s'.format(e))
td = timedelta(days=3)
@ -432,7 +437,7 @@ class StrategyEngine(object):
# 以当日涨停价发出限价单买入
print u'sendOrder({0},{1},{2},{3},{4}'.format(symbol,'Direction_Buy',so.offset,upperLimit,so.volume)
ref = self.sendOrder(symbol, DIRECTION_BUY, so.offset,
upperLimit, so.volume, strategy)
upperLimit, so.volume,tick.time, strategy)
# 触发策略的止损单发出更新
so.strategy.onStopOrder(ref)
@ -444,7 +449,7 @@ class StrategyEngine(object):
elif so.direction == DIRECTION_SELL and lastPrice <= so.price:
print u'sendOrder({0},{1},{2},{3},{4}'.format(symbol,'Direction_Sell',so.offset,upperLimit,so.volume)
ref = self.sendOrder(symbol, DIRECTION_SELL, so.offset,
lowerLimit, so.volume, strategy)
lowerLimit, so.volume,tick.time, strategy)
so.strategy.onStopOrder(ref)
@ -527,7 +532,7 @@ class StrategyEngine(object):
#print u'strategyEngine.py updateTrade() end.'
#----------------------------------------------------------------------
def sendOrder(self, symbol, direction, offset, price, volume, strategy):
def sendOrder(self, symbol, direction, offset, price, volume, orderTime, strategy):
"""
发单（仅允许限价单）
symbol：合约代码
@ -535,6 +540,7 @@ class StrategyEngine(object):
offset：开平，OFFSET_OPEN/OFFSET_CLOSE
price：下单价格
volume：下单手数
orderTime:下单时间（回归测试使用）
strategy：策略对象
"""
@ -542,14 +548,15 @@ class StrategyEngine(object):
contract = self.mainEngine.selectInstrument(symbol)
if contract:
#放入事件引擎
#调用主引擎的发单函数
ref = self.mainEngine.sendOrder(symbol,
contract['ExchangeID'],
price,
PRICETYPE_LIMIT,
volume,
direction,
offset)
offset,
orderTime)
self.__dictOrderRefStrategy[ref] = strategy
@ -568,6 +575,7 @@ class StrategyEngine(object):
contract = self.mainEngine.selectInstrument(symbol)
if contract:
#调用主引擎的撤单函数
self.mainEngine.cancelOrder(symbol,
contract['ExchangeID'],
orderRef,
@ -616,7 +624,7 @@ class StrategyEngine(object):
#----------------------------------------------------------------------
def placeStopOrder(self, symbol, direction, offset, price, volume, strategy):
"""
下停止单（运行于本地引擎中）
下停止单（止损单，运行于本地引擎中）
注意这里的price是停止单的触发价
"""
# 创建止损单对象
@ -741,7 +749,7 @@ class StrategyTemplate(object):
raise NotImplementedError
#----------------------------------------------------------------------
def buy(self, price, volume, stopOrder=False):
def buy(self, price, volume, stopOrder=False, orderTime=datetime.now()):
"""买入开仓"""
print u'strategyEngine.py StrategyTemplate({3}) buy() begin. symbol:{0}, price:{1},volume:{2}'.format(self.symbol, price, volume, self.name)
@ -752,7 +760,7 @@ class StrategyTemplate(object):
return so
else:
ref = self.engine.sendOrder(self.symbol, DIRECTION_BUY,
OFFSET_OPEN, price, volume, self)
OFFSET_OPEN, price, volume, orderTime, self)
return ref
else:
return None
@ -760,7 +768,7 @@ class StrategyTemplate(object):
#print (u'strategyEngine.py buy() end.')
#----------------------------------------------------------------------
def cover(self, price, volume, stopOrder=False):
def cover(self, price, volume, stopOrder=False, orderTime=datetime.now()):
"""买入平仓"""
print u'strategyEngine.py StrategyTemplate({3}) cover() begin. symbol:{0}, price:{1},volume:{2}'.format(self.symbol, price, volume, self.name)
@ -772,14 +780,14 @@ class StrategyTemplate(object):
return so
else:
ref = self.engine.sendOrder(self.symbol, DIRECTION_BUY,
OFFSET_CLOSE, price, volume, self)
OFFSET_CLOSE, price, volume, orderTime, self)
return ref
else:
return None
print (u'strategyEngine.py cover() end.')
#----------------------------------------------------------------------
def sell(self, price, volume, stopOrder=False):
def sell(self, price, volume, stopOrder=False, orderTime=datetime.now()):
"""卖出平仓"""
print u'strategyEngine.py StrategyTemplate({3}) sell() begin. symbol:{0}, price:{1},volume:{2}'.format(self.symbol, price, volume, self.name)
@ -791,14 +799,14 @@ class StrategyTemplate(object):
return so
else:
ref = self.engine.sendOrder(self.symbol, DIRECTION_SELL,
OFFSET_CLOSE, price, volume, self)
OFFSET_CLOSE, price, volume, orderTime, self)
return ref
else:
return None
#print u'strategyEngine.py sell() end.'
#----------------------------------------------------------------------
def short(self, price, volume, stopOrder=False):
def short(self, price, volume, stopOrder=False, orderTime=datetime.now()):
"""卖出开仓"""
print u'strategyEngine.py StrategyTemplate({3}) short() begin. symbol:{0}, price:{1},volume:{2}'.format(self.symbol, price, volume, self.name)
if self.trading:
@ -808,7 +816,7 @@ class StrategyTemplate(object):
return so
else:
ref = self.engine.sendOrder(self.symbol, DIRECTION_SELL,
OFFSET_OPEN, price, volume, self)
OFFSET_OPEN, price, volume, orderTime, self)
return ref
else:
return None