改进了CTA引擎模块，增加了合约大小、百分比手续费的支持
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chenxy123
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@ -45,6 +45,8 @@ class BacktestingEngine(object):
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self.mode = self.BAR_MODE # 回测模式，默认为K线
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self.slippage = 0 # 回测时假设的滑点
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self.rate = 0 # 回测时假设的佣金比例（适用于百分比佣金）
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self.size = 1 # 合约大小，默认为1
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self.dbClient = None # 数据库客户端
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self.dbCursor = None # 数据库指针
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@ -283,14 +285,13 @@ class BacktestingEngine(object):
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# 1. 假设当根K线的OHLC分别为：100, 125, 90, 110
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# 2. 假设在上一根K线结束(也是当前K线开始)的时刻，策略发出的委托为限价105
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# 3. 则在实际中的成交价会是100而不是105，因为委托发出时市场的最优价格是100
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# 同时更新策略对象的持仓情况
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if buyCross:
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trade.price = min(order.price, bestCrossPrice)
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self.strategy.pos += order.totalVolume
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else:
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trade.price = max(order.price, bestCrossPrice)
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self.strategy.pos -= order.totalVolume
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trade.volume = order.totalVolume
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trade.tradeTime = str(self.dt)
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trade.dt = self.dt
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@ -313,9 +314,11 @@ class BacktestingEngine(object):
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if self.mode == self.BAR_MODE:
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buyCrossPrice = self.bar.high # 若买入方向停止单价格低于该价格，则会成交
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sellCrossPrice = self.bar.low # 若卖出方向限价单价格高于该价格，则会成交
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bestCrossPrice = self.bar.open # 最优成交价，买入停止单不能低于，卖出停止单不能高于
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else:
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buyCrossPrice = self.tick.lastPrice
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sellCrossPrice = self.tick.lastPrice
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bestCrossPrice = self.tick.lastPrice
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# 遍历停止单字典中的所有停止单
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for stopOrderID, so in self.workingStopOrderDict.items():
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@ -325,12 +328,6 @@ class BacktestingEngine(object):
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# 如果发生了成交
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if buyCross or sellCross:
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# 更新策略对象的持仓情况
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if buyCross:
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self.strategy.pos += order.totalVolume
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else:
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self.strategy.pos -= order.totalVolume
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# 推送成交数据
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self.tradeCount += 1 # 成交编号自增1
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tradeID = str(self.tradeCount)
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@ -339,6 +336,13 @@ class BacktestingEngine(object):
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trade.tradeID = tradeID
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trade.vtTradeID = tradeID
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if buyCross:
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self.strategy.pos += so.volume
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trade.price = max(bestCrossPrice, so.price)
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else:
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self.strategy.pos -= so.volume
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trade.price = min(bestCrossPrice, so.price)
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self.limitOrderCount += 1
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orderID = str(self.limitOrderCount)
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trade.orderID = orderID
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@ -346,7 +350,6 @@ class BacktestingEngine(object):
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trade.direction = so.direction
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trade.offset = so.offset
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trade.price = so.price
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trade.volume = so.volume
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trade.tradeTime = str(self.dt)
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trade.dt = self.dt
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@ -414,6 +417,9 @@ class BacktestingEngine(object):
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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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# 计算滑点，一个来回包括两次
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totalSlippage = self.slippage * 2
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for trade in self.tradeDict.values():
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# 多头交易
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if trade.direction == DIRECTION_LONG:
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@ -423,8 +429,11 @@ class BacktestingEngine(object):
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# 当前多头交易为平空
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else:
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entryTrade = shortTrade.pop(0)
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# 滑点对于交易而言永远是不利的方向，因此每笔交易开平需要减去两倍的滑点
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pnl = (trade.price - entryTrade.price - self.slippage * 2) * trade.volume * (-1)
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# 计算比例佣金
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commission = (trade.price+entryTrade.price) * self.rate
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# 计算盈亏
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pnl = ((trade.price - entryTrade.price)*(-1) - totalSlippage - commission) \
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* trade.volume * self.size
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pnlDict[trade.dt] = pnl
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# 空头交易
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else:
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@ -434,7 +443,11 @@ class BacktestingEngine(object):
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# 当前空头交易为平多
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else:
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entryTrade = longTrade.pop(0)
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pnl = (trade.price - entryTrade.price - self.slippage * 2) * trade.volume
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# 计算比例佣金
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commission = (trade.price+entryTrade.price) * self.rate
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# 计算盈亏
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pnl = ((trade.price - entryTrade.price) - totalSlippage - commission) \
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* trade.volume * self.size
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pnlDict[trade.dt] = pnl
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# 然后基于每笔交易的结果，我们可以计算具体的盈亏曲线和最大回撤等
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@ -458,6 +471,14 @@ class BacktestingEngine(object):
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maxCapitalList.append(maxCapital)
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drawdownList.append(drawdown)
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# 输出
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self.output('-' * 50)
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self.output(u'第一笔交易时间：%s' % timeList[0])
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self.output(u'最后一笔交易时间：%s' % timeList[-1])
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self.output(u'总交易次数：%s' % len(pnlList))
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self.output(u'总盈亏：%s' % capitalList[-1])
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self.output(u'最大回撤: %s' % min(drawdownList))
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# 绘图
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import matplotlib.pyplot as plt
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@ -474,14 +495,6 @@ class BacktestingEngine(object):
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pPnl.hist(pnlList, bins=20)
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plt.show()
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# 输出
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self.output('-' * 50)
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self.output(u'第一笔交易时间：%s' % timeList[0])
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self.output(u'最后一笔交易时间：%s' % timeList[-1])
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self.output(u'总交易次数：%s' % len(pnlList))
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self.output(u'总盈亏：%s' % capitalList[-1])
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self.output(u'最大回撤: %s' % min(drawdownList))
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#----------------------------------------------------------------------
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def putStrategyEvent(self, name):
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@ -492,6 +505,17 @@ class BacktestingEngine(object):
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def setSlippage(self, slippage):
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"""设置滑点"""
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self.slippage = slippage
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#----------------------------------------------------------------------
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def setSize(self, size):
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"""设置合约大小"""
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self.size = size
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#----------------------------------------------------------------------
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def setRate(self, rate):
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"""设置佣金比例"""
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self.rate = rate
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if __name__ == '__main__':
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@ -505,16 +529,18 @@ if __name__ == '__main__':
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# 设置引擎的回测模式为K线
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engine.setBacktestingMode(engine.BAR_MODE)
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# 设置滑点
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engine.setSlippage(0.2) # 股指1跳
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# 设置回测用的数据起始日期
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engine.setStartDate('20100416')
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engine.setStartDate('20120101')
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# 载入历史数据到引擎中
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engine.loadHistoryData(MINUTE_DB_NAME, 'IF0000')
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# 设置产品相关参数
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engine.setSlippage(0.2) # 股指1跳
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engine.setRate(0.3/10000) # 万0.3
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engine.setSize(300) # 股指合约大小
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# 在引擎中创建策略对象
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engine.initStrategy(DoubleEmaDemo, {})
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@ -285,4 +285,3 @@ class OrderManagementDemo(CtaTemplate):
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"""收到成交推送（必须由用户继承实现）"""
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# 对于无需做细粒度委托控制的策略，可以忽略onOrder
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pass
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