From aad45d2485e8ffaa1a93a6f186fc85dab7ac76ef Mon Sep 17 00:00:00 2001 From: msincenselee Date: Sun, 25 Mar 2018 17:16:04 +0800 Subject: [PATCH] =?UTF-8?q?=E5=A2=9E=E5=8A=A0=E6=89=8B=E7=BB=AD=E8=B4=B9?= =?UTF-8?q?=E7=9A=84=E7=BB=9F=E8=AE=A1=E6=98=BE=E7=A4=BA?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/app/ctaStrategy/ctaBacktesting.py | 538 +++--------------- 1 file changed, 76 insertions(+), 462 deletions(-) diff --git a/vnpy/trader/app/ctaStrategy/ctaBacktesting.py b/vnpy/trader/app/ctaStrategy/ctaBacktesting.py index ce690504..1ad09027 100644 --- a/vnpy/trader/app/ctaStrategy/ctaBacktesting.py +++ b/vnpy/trader/app/ctaStrategy/ctaBacktesting.py @@ -30,7 +30,7 @@ from vnpy.trader.vtConstant import * from vnpy.trader.vtGateway import VtOrderData, VtTradeData from vnpy.trader.vtFunction import loadMongoSetting from vnpy.trader.vtEvent import * -from vnpy.trader.setup_logger import setup_logger,get_logger +from vnpy.trader.setup_logger import setup_logger ######################################################################## @@ -1032,12 +1032,12 @@ class BacktestingEngine(object): # 加载运行白天数据 self.__loadNotStdArbTicks(leg1MainPath, leg2MainPath, testday, leg1Symbol,leg2Symbol) - self.savingDailyData(testday, self.capital, self.maxCapital) + self.savingDailyData(testday, self.capital, self.maxCapital,self.totalCommission) # 加载运行夜盘数据 self.__loadNotStdArbTicks(leg1MainPath+'_night', leg2MainPath+'_night', testday, leg1Symbol, leg2Symbol) - self.savingDailyData(self.dataEndDate, self.capital, self.maxCapital) + self.savingDailyData(self.dataEndDate, self.capital, self.maxCapital,self.totalCommission) def __loadTicksFromTxtFile(self, filepath, tickDate, vtSymbol): """从文件中读取tick""" @@ -1229,7 +1229,7 @@ class BacktestingEngine(object): # 加载运行每天数据 self.__loadNotStdArbTicks2(leg1MainPath, leg2MainPath, testday, leg1Symbol, leg2Symbol) - self.savingDailyData(testday, self.capital, self.maxCapital) + self.savingDailyData(testday, self.capital, self.maxCapital,self.totalCommission) def __loadTicksFromCsvFile(self, filepath, tickDate, vtSymbol): @@ -1438,7 +1438,7 @@ class BacktestingEngine(object): # 加载运行每天数据 self.__loadNotStdArbTicksFromMongoDB( testday, leg1Symbol, leg2Symbol) - self.savingDailyData(testday, self.capital, self.maxCapital) + self.savingDailyData(testday, self.capital, self.maxCapital,self.totalCommission) def __loadNotStdArbTicksFromMongoDB(self,testday, leg1Symbol, leg2Symbol): self.writeCtaLog(u'从MongoDB加载回测日期:{0}的{1}-{2}价差tick'.format(testday,leg1Symbol, leg2Symbol)) @@ -1594,18 +1594,22 @@ class BacktestingEngine(object): bar.close = float(row['close']) bar.volume = float(row['volume']) barEndTime = datetime.strptime(row['index'], '%Y-%m-%d %H:%M:%S') - bar.tradingDay = row['trading_date'] + # 使用Bar的开始时间作为datetime bar.datetime = barEndTime - timedelta(seconds=self.barTimeInterval) bar.date = bar.datetime.strftime('%Y-%m-%d') bar.time = bar.datetime.strftime('%H:%M:%S') + if 'trading_date' in row: + bar.tradingDay = row['trading_date'] + else: + bar.tradingDay = bar.date if not (bar.datetime < self.dataStartDate or bar.datetime >= self.dataEndDate): if last_tradingDay != bar.tradingDay: if last_tradingDay is not None: self.savingDailyData(datetime.strptime(last_tradingDay, '%Y-%m-%d'), self.capital, - self.maxCapital) + self.maxCapital,self.totalCommission) last_tradingDay = bar.tradingDay self.newBar(bar) @@ -1778,7 +1782,7 @@ class BacktestingEngine(object): .format(testday.strftime('%Y-%m-%d'), count_ticks, str(datetime.now() - query_time), str(datetime.now() - process_time))) # 记录每日净值 - self.savingDailyData(testday, self.capital, self.maxCapital) + self.savingDailyData(testday, self.capital, self.maxCapital,self.totalCommission) def __sendOnBarEvent(self, bar): """发送Bar的事件""" @@ -2009,11 +2013,11 @@ class BacktestingEngine(object): try: del self.workingLimitOrderDict[orderID] except Exception as ex: - self.writeCtaError(u'{0}:{1}'.format(Exception, ex)) + self.writeCtaError(u'crossLimitOrder exception:{},{}'.format(str(ex),traceback.format_exec())) # 实时计算模式 if self.calculateMode == self.REALTIME_MODE: - self.realtimeCalculate2() + self.realtimeCalculate() #---------------------------------------------------------------------- def crossStopOrder(self): @@ -2092,7 +2096,7 @@ class BacktestingEngine(object): # 若采用实时计算净值 if self.calculateMode == self.REALTIME_MODE: - self.realtimeCalculate2() + self.realtimeCalculate() #---------------------------------------------------------------------- @@ -2110,11 +2114,37 @@ class BacktestingEngine(object): """直接返回初始化数据列表中的Tick""" return self.initData - def createLogger(self, debug=False): - filename = os.path.abspath(os.path.join(cta_engine_path, 'TestLogs', '{}'.format( - self.strategy_name if len(self.strategy_name) > 0 else 'strategy'))) + def get_data_path(self): + """ + 获取数据保存目录 + :return: + """ + logs_folder = os.path.abspath(os.path.join(os.getcwd(), 'data')) + if os.path.exists(logs_folder): + return logs_folder + else: + return os.path.abspath(os.path.join(cta_engine_path, 'data')) + + def get_logs_path(self): + """ + 获取日志保存目录 + :return: + """ + logs_folder = os.path.abspath(os.path.join(os.getcwd(), 'logs')) + if os.path.exists(logs_folder): + return logs_folder + else: + return os.path.abspath(os.path.join(cta_engine_path, 'TestLogs')) + + def createLogger(self, debug=False): + """ + 创建日志 + :param debug: + :return: + """ + filename = os.path.abspath(os.path.join(self.get_logs_path(), '{}'.format(self.strategy_name if len(self.strategy_name) > 0 else 'strategy'))) + self.logger = setup_logger(filename=filename, name=self.strategy_name if len(self.strategy_name) > 0 else 'strategy', debug=debug) - self.logger = setup_logger(filename=filename, name=self.strategy_name if len(self.strategy_name) > 0 else 'strategy',debug=debug ) #---------------------------------------------------------------------- def writeCtaLog(self, content): """记录日志""" @@ -2150,434 +2180,6 @@ class BacktestingEngine(object): pass 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 - 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 self.tradeDict.keys(): - trade = self.tradeDict[tradeid] - # 多头交易 - if trade.direction == DIRECTION_LONG: - # 存在空单 - if len(shortTrade)>0: - # 检查是否存在与Symbol一致的空单 - pop_indexs = [i for i, val in enumerate(shortTrade) if val.vtSymbol == trade.vtSymbol] - if len(pop_indexs) < 1: - #self.output(u'空头交易清单，没有{0}的空单'.format(trade.vtSymbol)) - no_match_shortTrade = True - - # 如果尚无空单 - if len(shortTrade) == 0 or no_match_shortTrade: - #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)) - longTrade.append(trade) - longid = tradeid - no_match_shortTrade = False - - # 当前多头交易为平空 - else: - gId = 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(shortTrade)==0: - self.writeCtaError(u'异常，没有开空仓的数据') - raise RuntimeError(u'realtimeCalculate() Exception,没有开空仓的数据') - - - pop_indexs = [i for i, val in enumerate(shortTrade) if val.vtSymbol == trade.vtSymbol] - if len(pop_indexs) < 1: - self.writeCtaError(u'没有对应的symbol:{0}开空仓数据'.format(trade.vtSymbol)) - raise RuntimeError(u'realtimeCalculate() Exception,没有对应的symbol:{0}开空仓数据'.format(trade.vtSymbol)) - - pop_index = pop_indexs[0] - # 从未平仓的空头交易 - entryTrade = shortTrade.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) - - # 删除开空交易单 - del self.tradeDict[entryTrade.tradeID] - - else: - # 不属于组合 - resultDict[entryTrade.dt] = result - - # 删除平空交易单， - del self.tradeDict[trade.tradeID] - # 删除开空交易单 - 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 - - # 删除开空交易单 - del self.tradeDict[entryTrade.tradeID] - - # 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 - shortTrade.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'-------------') - - # 空头交易 - else: - if len(longTrade) > 0: - pop_indexs = [i for i, val in enumerate(longTrade) if val.vtSymbol == trade.vtSymbol] - if len(pop_indexs) < 1: - #self.output(u'多头交易清单，没有{0}的多单'.format(trade.vtSymbol)) - no_match_longTrade = True - - # 如果尚无多单 - if len(longTrade) == 0 or no_match_longTrade: - #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)) - shortTrade.append(trade) - shortid = tradeid - no_match_longTrade = False - - # 当前空头交易为平多 - else: - gId = 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(longTrade) == 0: - self.writeCtaError(u'异常，没有开多单') - raise RuntimeError(u'realtimeCalculate() Exception,没有开多单') - return - - pop_indexs = [i for i, val in enumerate(longTrade) 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)) - raise RuntimeError(u'realimeCalculate() Exception,没有对应的symbol{0}开多仓数据,'.format(trade.vtSymbol)) - return - - pop_index = pop_indexs[0] - - entryTrade = longTrade.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) - # 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'))))