增加手续费的统计显示
This commit is contained in:
msincenselee
parent
ecd82aa8fa
commit
aad45d2485
@ -30,7 +30,7 @@ from vnpy.trader.vtConstant import *
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from vnpy.trader.vtGateway import VtOrderData, VtTradeData
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from vnpy.trader.vtFunction import loadMongoSetting
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from vnpy.trader.vtEvent import *
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from vnpy.trader.setup_logger import setup_logger,get_logger
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from vnpy.trader.setup_logger import setup_logger
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########################################################################
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@ -1032,12 +1032,12 @@ class BacktestingEngine(object):
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# 加载运行白天数据
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self.__loadNotStdArbTicks(leg1MainPath, leg2MainPath, testday, leg1Symbol,leg2Symbol)
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self.savingDailyData(testday, self.capital, self.maxCapital)
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self.savingDailyData(testday, self.capital, self.maxCapital,self.totalCommission)
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# 加载运行夜盘数据
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self.__loadNotStdArbTicks(leg1MainPath+'_night', leg2MainPath+'_night', testday, leg1Symbol, leg2Symbol)
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self.savingDailyData(self.dataEndDate, self.capital, self.maxCapital)
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self.savingDailyData(self.dataEndDate, self.capital, self.maxCapital,self.totalCommission)
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def __loadTicksFromTxtFile(self, filepath, tickDate, vtSymbol):
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"""从文件中读取tick"""
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@ -1229,7 +1229,7 @@ class BacktestingEngine(object):
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# 加载运行每天数据
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self.__loadNotStdArbTicks2(leg1MainPath, leg2MainPath, testday, leg1Symbol, leg2Symbol)
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self.savingDailyData(testday, self.capital, self.maxCapital)
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self.savingDailyData(testday, self.capital, self.maxCapital,self.totalCommission)
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def __loadTicksFromCsvFile(self, filepath, tickDate, vtSymbol):
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@ -1438,7 +1438,7 @@ class BacktestingEngine(object):
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# 加载运行每天数据
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self.__loadNotStdArbTicksFromMongoDB( testday, leg1Symbol, leg2Symbol)
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self.savingDailyData(testday, self.capital, self.maxCapital)
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self.savingDailyData(testday, self.capital, self.maxCapital,self.totalCommission)
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def __loadNotStdArbTicksFromMongoDB(self,testday, leg1Symbol, leg2Symbol):
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self.writeCtaLog(u'从MongoDB加载回测日期:{0}的{1}-{2}价差tick'.format(testday,leg1Symbol, leg2Symbol))
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@ -1594,18 +1594,22 @@ class BacktestingEngine(object):
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bar.close = float(row['close'])
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bar.volume = float(row['volume'])
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barEndTime = datetime.strptime(row['index'], '%Y-%m-%d %H:%M:%S')
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bar.tradingDay = row['trading_date']
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# 使用Bar的开始时间作为datetime
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bar.datetime = barEndTime - timedelta(seconds=self.barTimeInterval)
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bar.date = bar.datetime.strftime('%Y-%m-%d')
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bar.time = bar.datetime.strftime('%H:%M:%S')
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if 'trading_date' in row:
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bar.tradingDay = row['trading_date']
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else:
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bar.tradingDay = bar.date
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if not (bar.datetime < self.dataStartDate or bar.datetime >= self.dataEndDate):
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if last_tradingDay != bar.tradingDay:
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if last_tradingDay is not None:
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self.savingDailyData(datetime.strptime(last_tradingDay, '%Y-%m-%d'), self.capital,
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self.maxCapital)
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self.maxCapital,self.totalCommission)
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last_tradingDay = bar.tradingDay
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self.newBar(bar)
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@ -1778,7 +1782,7 @@ class BacktestingEngine(object):
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.format(testday.strftime('%Y-%m-%d'), count_ticks, str(datetime.now() - query_time),
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str(datetime.now() - process_time)))
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# 记录每日净值
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self.savingDailyData(testday, self.capital, self.maxCapital)
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self.savingDailyData(testday, self.capital, self.maxCapital,self.totalCommission)
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def __sendOnBarEvent(self, bar):
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"""发送Bar的事件"""
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@ -2009,11 +2013,11 @@ class BacktestingEngine(object):
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try:
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del self.workingLimitOrderDict[orderID]
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except Exception as ex:
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self.writeCtaError(u'{0}:{1}'.format(Exception, ex))
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self.writeCtaError(u'crossLimitOrder exception:{},{}'.format(str(ex),traceback.format_exec()))
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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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self.realtimeCalculate()
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#----------------------------------------------------------------------
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def crossStopOrder(self):
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@ -2092,7 +2096,7 @@ class BacktestingEngine(object):
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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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self.realtimeCalculate()
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#----------------------------------------------------------------------
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@ -2110,11 +2114,37 @@ class BacktestingEngine(object):
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"""直接返回初始化数据列表中的Tick"""
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return self.initData
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def createLogger(self, debug=False):
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filename = os.path.abspath(os.path.join(cta_engine_path, 'TestLogs', '{}'.format(
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self.strategy_name if len(self.strategy_name) > 0 else 'strategy')))
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def get_data_path(self):
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"""
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获取数据保存目录
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:return:
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"""
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logs_folder = os.path.abspath(os.path.join(os.getcwd(), 'data'))
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if os.path.exists(logs_folder):
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return logs_folder
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else:
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return os.path.abspath(os.path.join(cta_engine_path, 'data'))
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def get_logs_path(self):
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"""
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获取日志保存目录
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:return:
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"""
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logs_folder = os.path.abspath(os.path.join(os.getcwd(), 'logs'))
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if os.path.exists(logs_folder):
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return logs_folder
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else:
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return os.path.abspath(os.path.join(cta_engine_path, 'TestLogs'))
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def createLogger(self, debug=False):
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"""
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创建日志
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:param debug:
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:return:
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"""
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filename = os.path.abspath(os.path.join(self.get_logs_path(), '{}'.format(self.strategy_name if len(self.strategy_name) > 0 else 'strategy')))
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self.logger = setup_logger(filename=filename, name=self.strategy_name if len(self.strategy_name) > 0 else 'strategy', debug=debug)
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self.logger = setup_logger(filename=filename, name=self.strategy_name if len(self.strategy_name) > 0 else 'strategy',debug=debug )
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#----------------------------------------------------------------------
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def writeCtaLog(self, content):
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"""记录日志"""
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@ -2150,434 +2180,6 @@ class BacktestingEngine(object):
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pass
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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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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 self.tradeDict.keys():
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trade = self.tradeDict[tradeid]
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# 多头交易
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if trade.direction == DIRECTION_LONG:
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# 存在空单
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if len(shortTrade)>0:
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# 检查是否存在与Symbol一致的空单
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pop_indexs = [i for i, val in enumerate(shortTrade) if val.vtSymbol == trade.vtSymbol]
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if len(pop_indexs) < 1:
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#self.output(u'空头交易清单，没有{0}的空单'.format(trade.vtSymbol))
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no_match_shortTrade = True
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# 如果尚无空单
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if len(shortTrade) == 0 or no_match_shortTrade:
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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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longTrade.append(trade)
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longid = tradeid
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no_match_shortTrade = False
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# 当前多头交易为平空
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else:
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gId = 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(shortTrade)==0:
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self.writeCtaError(u'异常，没有开空仓的数据')
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raise RuntimeError(u'realtimeCalculate() Exception,没有开空仓的数据')
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pop_indexs = [i for i, val in enumerate(shortTrade) 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}开空仓数据'.format(trade.vtSymbol))
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raise RuntimeError(u'realtimeCalculate() Exception,没有对应的symbol:{0}开空仓数据'.format(trade.vtSymbol))
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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 = shortTrade.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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# 删除开空交易单
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del self.tradeDict[entryTrade.tradeID]
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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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# 删除开空交易单
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del self.tradeDict[entryTrade.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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# 删除开空交易单
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del self.tradeDict[entryTrade.tradeID]
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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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shortTrade.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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# 空头交易
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else:
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if len(longTrade) > 0:
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pop_indexs = [i for i, val in enumerate(longTrade) if val.vtSymbol == trade.vtSymbol]
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if len(pop_indexs) < 1:
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#self.output(u'多头交易清单，没有{0}的多单'.format(trade.vtSymbol))
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no_match_longTrade = True
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# 如果尚无多单
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if len(longTrade) == 0 or no_match_longTrade:
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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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shortTrade.append(trade)
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shortid = tradeid
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no_match_longTrade = False
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# 当前空头交易为平多
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else:
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gId = 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(longTrade) == 0:
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self.writeCtaError(u'异常，没有开多单')
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raise RuntimeError(u'realtimeCalculate() Exception,没有开多单')
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return
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pop_indexs = [i for i, val in enumerate(longTrade) 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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raise RuntimeError(u'realimeCalculate() Exception,没有对应的symbol{0}开多仓数据,'.format(trade.vtSymbol))
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return
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pop_index = pop_indexs[0]
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entryTrade = longTrade.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,
|
||||
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)
|
||||
# 删除开多交易单
|
||||
del self.tradeDict[entryTrade.tradeID]
|
||||
|
||||
else:
|
||||
# 不属于组合
|
||||
resultDict[entryTrade.dt] = result
|
||||
|
||||
# 删除平多交易单，
|
||||
del self.tradeDict[trade.tradeID]
|
||||
# 删除开多交易单
|
||||
del self.tradeDict[entryTrade.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
|
||||
|
||||
# 删除开多交易单
|
||||
del self.tradeDict[entryTrade.tradeID]
|
||||
|
||||
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,重新推进开多单列表中
|
||||
entryTrade.volume = longVolume
|
||||
longTrade.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
|
||||
if len(longTrade) > 0:
|
||||
for t in longTrade:
|
||||
occupyMoney += t.price * abs(t.volume) * self.size * self.margin_rate
|
||||
occupyLongVolume += abs(t.volume)
|
||||
if len(shortTrade) > 0:
|
||||
for t in shortTrade:
|
||||
occupyMoney += t.price * abs(t.volume) * self.size * self.margin_rate
|
||||
occupyShortVolume += (t.volume)
|
||||
|
||||
self.output(u'occupyLongVolume:{0},occupyShortVolume:{1}'.format(occupyLongVolume,occupyShortVolume))
|
||||
self.writeCtaLog(u'occupyLongVolume:{0},occupyShortVolume:{1}'.format(occupyLongVolume, occupyShortVolume))
|
||||
# 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(longTrade) > 0:
|
||||
msg += u'持多仓{0},'.format(occupyLongVolume)
|
||||
|
||||
if len(shortTrade) > 0:
|
||||
msg += u'持空仓{0},'.format(occupyShortVolume)
|
||||
|
||||
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 realtimeCalculate2(self):
|
||||
"""实时计算交易结果2
|
||||
支持多空仓位并存"""
|
||||
|
||||
@ -2661,12 +2263,13 @@ class BacktestingEngine(object):
|
||||
t['ClosePrice'] = trade.price
|
||||
t['Volume'] = entryTrade.volume
|
||||
t['Profit'] = result.pnl
|
||||
t['Commission'] = result.commission
|
||||
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}'\
|
||||
msg = u'Gid:{0} {1}[{2}:开空tid={3}:{4}]-[{5}.平空tid={6},{7},vol:{8}],净盈亏:{9},手续费:{10}'\
|
||||
.format(gId, entryTrade.vtSymbol, entryTrade.tradeTime, shortid, entryTrade.price,
|
||||
trade.tradeTime, tradeid, trade.price,
|
||||
entryTrade.volume, result.pnl)
|
||||
entryTrade.volume, result.pnl,result.commission)
|
||||
self.output(msg)
|
||||
self.writeCtaLog(msg)
|
||||
|
||||
@ -2720,12 +2323,13 @@ class BacktestingEngine(object):
|
||||
t['ClosePrice'] = trade.price
|
||||
t['Volume'] = coverVolume
|
||||
t['Profit'] = result.pnl
|
||||
t['Commission'] = result.commission
|
||||
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}'\
|
||||
msg = u'Gid:{0} {1}[{2}:开空tid={3}:{4}]-[{5}.平空tid={6},{7},vol:{8}],净盈亏：{9},手续费:{10}'\
|
||||
.format(gId, entryTrade.vtSymbol, entryTrade.tradeTime, shortid, entryTrade.price,
|
||||
trade.tradeTime, tradeid, trade.price,
|
||||
coverVolume, result.pnl)
|
||||
coverVolume, result.pnl,result.commission)
|
||||
self.output(msg)
|
||||
self.writeCtaLog(msg)
|
||||
|
||||
@ -2811,13 +2415,14 @@ class BacktestingEngine(object):
|
||||
t['ClosePrice'] = trade.price
|
||||
t['Volume'] = entryTrade.volume
|
||||
t['Profit'] = result.pnl
|
||||
t['Commission'] = result.commission
|
||||
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}'\
|
||||
msg = u'Gid:{0} {1}[{2}:开多tid={3}:{4}]-[{5}.平多tid={6},{7},vol:{8}],净盈亏：{9},手续费:{10}'\
|
||||
.format(gId, entryTrade.vtSymbol,
|
||||
entryTrade.tradeTime, longid, entryTrade.price,
|
||||
trade.tradeTime, tradeid, trade.price,
|
||||
entryTrade.volume, result.pnl)
|
||||
entryTrade.volume, result.pnl, result.commission)
|
||||
self.output(msg)
|
||||
self.writeCtaLog(msg)
|
||||
|
||||
@ -2872,11 +2477,12 @@ class BacktestingEngine(object):
|
||||
t['ClosePrice'] = trade.price
|
||||
t['Volume'] = sellVolume
|
||||
t['Profit'] = result.pnl
|
||||
t['Commission'] = result.commission
|
||||
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}'\
|
||||
msg = u'Gid:{0} {1}[{2}:开多tid={3}:{4}]-[{5}.平多tid={6},{7},vol:{8}],净盈亏：{9},手续费:{10}'\
|
||||
.format(gId, entryTrade.vtSymbol,entryTrade.tradeTime, longid, entryTrade.price,
|
||||
trade.tradeTime, tradeid, trade.price, sellVolume, result.pnl)
|
||||
trade.tradeTime, tradeid, trade.price, sellVolume, result.pnl, result.commission)
|
||||
self.output(msg)
|
||||
self.writeCtaLog(msg)
|
||||
|
||||
@ -2979,9 +2585,9 @@ class BacktestingEngine(object):
|
||||
self.totalCommission += result.commission
|
||||
self.totalSlippage += result.slippage
|
||||
|
||||
msg =u'[{0}] {1} 盈亏:{2},回撤:{3}/{4},权益:{5}'\
|
||||
msg =u'[{0}] {1} 盈亏:{2},回撤:{3}/{4},权益:{5},手续费:{6}'\
|
||||
.format(result.groupId, time, result.pnl, drawdown,
|
||||
drawdownRate, self.capital, )
|
||||
drawdownRate, self.capital,self.totalCommission )
|
||||
self.output(msg)
|
||||
self.writeCtaLog(msg)
|
||||
|
||||
@ -2989,7 +2595,7 @@ class BacktestingEngine(object):
|
||||
self.avaliable = self.capital - occupyMoney
|
||||
self.percent = round(float(occupyMoney * 100 / self.capital), 2)
|
||||
|
||||
def savingDailyData(self, d, c, m):
|
||||
def savingDailyData(self, d, c, m, commission):
|
||||
"""保存每日数据"""
|
||||
dict = {}
|
||||
dict['date'] = d.strftime('%Y/%m/%d')
|
||||
@ -3048,6 +2654,7 @@ class BacktestingEngine(object):
|
||||
dict['shortMoney'] = short_pos_occupy_money
|
||||
dict['occupyMoney'] = max(long_pos_occupy_money, short_pos_occupy_money)
|
||||
dict['occupyRate'] = dict['occupyMoney'] / dict['capital']
|
||||
dict['commission'] = commission
|
||||
self.dailyList.append(dict)
|
||||
|
||||
# ----------------------------------------------------------------------
|
||||
@ -3136,6 +2743,7 @@ class BacktestingEngine(object):
|
||||
t['ClosePrice'] = trade.price
|
||||
t['Volume'] = tradeUnit
|
||||
t['Profit'] = result.pnl
|
||||
t['Commission'] = result.commission
|
||||
self.exportTradeList.append(t)
|
||||
|
||||
self.writeCtaLog(u'{9}@{6} [{7}:开空{0},short:{1}]-[{8}:平空{2},cover:{3},vol:{4}],净盈亏:{5}'
|
||||
@ -3202,6 +2810,7 @@ class BacktestingEngine(object):
|
||||
t['ClosePrice'] = trade.price
|
||||
t['Volume'] = tradeUnit
|
||||
t['Profit'] = result.pnl
|
||||
t['Commission'] = result.commission
|
||||
self.exportTradeList.append(t)
|
||||
|
||||
self.writeCtaLog(u'{9}@{6} [{7}:开多{0},buy:{1}]-[{8}.平多{2},sell:{3},vol:{4}],净盈亏：{5}'
|
||||
@ -3279,35 +2888,40 @@ class BacktestingEngine(object):
|
||||
|
||||
# ---------------------------------------------------------------------
|
||||
def exportTradeResult(self):
|
||||
"""到处回测结果表"""
|
||||
"""
|
||||
导出回测结果表
|
||||
导出每日净值结果表
|
||||
:return:
|
||||
"""
|
||||
if not self.exportTradeList:
|
||||
return
|
||||
s = EMPTY_STRING
|
||||
s = self.strategy_name.replace('&','')
|
||||
s = s.replace(' ', '')
|
||||
csvOutputFile = os.path.abspath(os.path.join(os.path.dirname(__file__), 'TestLogs',
|
||||
csvOutputFile = os.path.abspath(os.path.join(self.get_logs_path(),
|
||||
'{}_TradeList_{}.csv'.format(s, datetime.now().strftime('%Y%m%d_%H%M'))))
|
||||
|
||||
import csv
|
||||
csvWriteFile = open(csvOutputFile, 'w',encoding='utf8')
|
||||
fieldnames = ['vtSymbol','OpenTime', 'OpenPrice', 'Direction', 'CloseTime', 'ClosePrice', 'Volume', 'Profit']
|
||||
csvWriteFile = open(csvOutputFile, 'w', encoding='utf8')
|
||||
fieldnames = ['vtSymbol','OpenTime', 'OpenPrice', 'Direction', 'CloseTime', 'ClosePrice', 'Volume', 'Profit', 'Commission']
|
||||
writer = csv.DictWriter(f=csvWriteFile, fieldnames=fieldnames, dialect='excel')
|
||||
writer.writeheader()
|
||||
|
||||
for row in self.exportTradeList:
|
||||
writer.writerow(row)
|
||||
|
||||
# 导出每日净值记录表
|
||||
if not self.dailyList:
|
||||
return
|
||||
|
||||
if self.daily_report_name == EMPTY_STRING:
|
||||
csvOutputFile2 = os.path.abspath(os.path.join(os.path.dirname(__file__), 'TestLogs',
|
||||
csvOutputFile2 = os.path.abspath(os.path.join(self.get_logs_path(),
|
||||
'DailyList_{0}.csv'.format(datetime.now().strftime('%Y%m%d_%H%M'))))
|
||||
else:
|
||||
csvOutputFile2 = self.daily_report_name
|
||||
|
||||
csvWriteFile2 = open(csvOutputFile2, 'w',encoding='utf8')
|
||||
fieldnames = ['date','capital','net', 'maxCapital','rate','longMoney','shortMoney','occupyMoney','occupyRate','longPos','shortPos']
|
||||
csvWriteFile2 = open(csvOutputFile2, 'w', encoding='utf8')
|
||||
fieldnames = ['date', 'capital','net', 'maxCapital','rate', 'commission', 'longMoney','shortMoney','occupyMoney','occupyRate','longPos','shortPos']
|
||||
writer2 = csv.DictWriter(f=csvWriteFile2, fieldnames=fieldnames, dialect='excel')
|
||||
writer2.writeheader()
|
||||
|
||||
@ -3440,7 +3054,7 @@ class BacktestingEngine(object):
|
||||
plt.tight_layout()
|
||||
#plt.xticks(xindex, tradeTimeIndex, rotation=30) # 旋转15
|
||||
|
||||
fig_file_name = os.path.abspath(os.path.join(os.path.dirname(__file__), 'TestLogs',
|
||||
fig_file_name = os.path.abspath(os.path.join(self.get_logs_path(),
|
||||
'{}_plot_{}.png'.format(self.strategy_name,
|
||||
datetime.now().strftime('%Y%m%d_%H%M'))))
|
||||
|
||||
|
||||
Loading…
Reference in New Issue
Block a user