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增加手续费的统计显示

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msincenselee 2018-03-25 17:16:04 +08:00
parent ecd82aa8fa
commit aad45d2485
1 changed files with 76 additions and 462 deletions
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vnpy/trader/app/ctaStrategy/ctaBacktesting.py
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@ -30,7 +30,7 @@ from vnpy.trader.vtConstant import *
from vnpy.trader.vtGateway import VtOrderData, VtTradeData from vnpy.trader.vtGateway import VtOrderData, VtTradeData
from vnpy.trader.vtFunction import loadMongoSetting from vnpy.trader.vtFunction import loadMongoSetting
from vnpy.trader.vtEvent import * 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 # 加载运行白天数据
self.__loadNotStdArbTicks(leg1MainPath, leg2MainPath, testday, leg1Symbol,leg2Symbol) 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 # 加载运行夜盘数据
self.__loadNotStdArbTicks(leg1MainPath+'_night', leg2MainPath+'_night', testday, leg1Symbol, leg2Symbol) 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): def __loadTicksFromTxtFile(self, filepath, tickDate, vtSymbol):
"""从文件中读取tick""" """从文件中读取tick"""
@ -1229,7 +1229,7 @@ class BacktestingEngine(object):
# 加载运行每天数据 # 加载运行每天数据
self.__loadNotStdArbTicks2(leg1MainPath, leg2MainPath, testday, leg1Symbol, leg2Symbol) 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): def __loadTicksFromCsvFile(self, filepath, tickDate, vtSymbol):
@ -1438,7 +1438,7 @@ class BacktestingEngine(object):
# 加载运行每天数据 # 加载运行每天数据
self.__loadNotStdArbTicksFromMongoDB( testday, leg1Symbol, leg2Symbol) 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): 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)) 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.close = float(row['close'])
bar.volume = float(row['volume']) bar.volume = float(row['volume'])
barEndTime = datetime.strptime(row['index'], '%Y-%m-%d %H:%M:%S') 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 # 使用Bar的开始时间作为datetime
bar.datetime = barEndTime - timedelta(seconds=self.barTimeInterval) bar.datetime = barEndTime - timedelta(seconds=self.barTimeInterval)
bar.date = bar.datetime.strftime('%Y-%m-%d') bar.date = bar.datetime.strftime('%Y-%m-%d')
bar.time = bar.datetime.strftime('%H:%M:%S') 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 not (bar.datetime < self.dataStartDate or bar.datetime >= self.dataEndDate):
if last_tradingDay != bar.tradingDay: if last_tradingDay != bar.tradingDay:
if last_tradingDay is not None: if last_tradingDay is not None:
self.savingDailyData(datetime.strptime(last_tradingDay, '%Y-%m-%d'), self.capital, self.savingDailyData(datetime.strptime(last_tradingDay, '%Y-%m-%d'), self.capital,
self.maxCapital) self.maxCapital,self.totalCommission)
last_tradingDay = bar.tradingDay last_tradingDay = bar.tradingDay
self.newBar(bar) self.newBar(bar)
@ -1778,7 +1782,7 @@ class BacktestingEngine(object):
.format(testday.strftime('%Y-%m-%d'), count_ticks, str(datetime.now() - query_time), .format(testday.strftime('%Y-%m-%d'), count_ticks, str(datetime.now() - query_time),
str(datetime.now() - process_time))) str(datetime.now() - process_time)))
# 记录每日净值 # 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): def __sendOnBarEvent(self, bar):
"""发送Bar的事件""" """发送Bar的事件"""
@ -2009,11 +2013,11 @@ class BacktestingEngine(object):
try: try:
del self.workingLimitOrderDict[orderID] del self.workingLimitOrderDict[orderID]
except Exception as ex: 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 # 实时计算模式
if self.calculateMode == self.REALTIME_MODE: if self.calculateMode == self.REALTIME_MODE:
self.realtimeCalculate2() self.realtimeCalculate()
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def crossStopOrder(self): def crossStopOrder(self):
@ -2092,7 +2096,7 @@ class BacktestingEngine(object):
# 若采用实时计算净值 # 若采用实时计算净值
if self.calculateMode == self.REALTIME_MODE: 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""" """直接返回初始化数据列表中的Tick"""
return self.initData return self.initData
def createLogger(self, debug=False): def get_data_path(self):
filename = os.path.abspath(os.path.join(cta_engine_path, 'TestLogs', '{}'.format( """
self.strategy_name if len(self.strategy_name) > 0 else 'strategy'))) 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): def writeCtaLog(self, content):
"""记录日志""" """记录日志"""
@ -2150,434 +2180,6 @@ class BacktestingEngine(object):
pass pass
def realtimeCalculate(self): 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 """实时计算交易结果2
支持多空仓位并存""" 支持多空仓位并存"""
@ -2661,12 +2263,13 @@ class BacktestingEngine(object):
t['ClosePrice'] = trade.price t['ClosePrice'] = trade.price
t['Volume'] = entryTrade.volume t['Volume'] = entryTrade.volume
t['Profit'] = result.pnl t['Profit'] = result.pnl
t['Commission'] = result.commission
self.exportTradeList.append(t) 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, .format(gId, entryTrade.vtSymbol, entryTrade.tradeTime, shortid, entryTrade.price,
trade.tradeTime, tradeid, trade.price, trade.tradeTime, tradeid, trade.price,
entryTrade.volume, result.pnl) entryTrade.volume, result.pnl,result.commission)
self.output(msg) self.output(msg)
self.writeCtaLog(msg) self.writeCtaLog(msg)
@ -2720,12 +2323,13 @@ class BacktestingEngine(object):
t['ClosePrice'] = trade.price t['ClosePrice'] = trade.price
t['Volume'] = coverVolume t['Volume'] = coverVolume
t['Profit'] = result.pnl t['Profit'] = result.pnl
t['Commission'] = result.commission
self.exportTradeList.append(t) 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, .format(gId, entryTrade.vtSymbol, entryTrade.tradeTime, shortid, entryTrade.price,
trade.tradeTime, tradeid, trade.price, trade.tradeTime, tradeid, trade.price,
coverVolume, result.pnl) coverVolume, result.pnl,result.commission)
self.output(msg) self.output(msg)
self.writeCtaLog(msg) self.writeCtaLog(msg)
@ -2811,13 +2415,14 @@ class BacktestingEngine(object):
t['ClosePrice'] = trade.price t['ClosePrice'] = trade.price
t['Volume'] = entryTrade.volume t['Volume'] = entryTrade.volume
t['Profit'] = result.pnl t['Profit'] = result.pnl
t['Commission'] = result.commission
self.exportTradeList.append(t) 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, .format(gId, entryTrade.vtSymbol,
entryTrade.tradeTime, longid, entryTrade.price, entryTrade.tradeTime, longid, entryTrade.price,
trade.tradeTime, tradeid, trade.price, trade.tradeTime, tradeid, trade.price,
entryTrade.volume, result.pnl) entryTrade.volume, result.pnl, result.commission)
self.output(msg) self.output(msg)
self.writeCtaLog(msg) self.writeCtaLog(msg)
@ -2872,11 +2477,12 @@ class BacktestingEngine(object):
t['ClosePrice'] = trade.price t['ClosePrice'] = trade.price
t['Volume'] = sellVolume t['Volume'] = sellVolume
t['Profit'] = result.pnl t['Profit'] = result.pnl
t['Commission'] = result.commission
self.exportTradeList.append(t) 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, .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.output(msg)
self.writeCtaLog(msg) self.writeCtaLog(msg)
@ -2979,9 +2585,9 @@ class BacktestingEngine(object):
self.totalCommission += result.commission self.totalCommission += result.commission
self.totalSlippage += result.slippage 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, .format(result.groupId, time, result.pnl, drawdown,
drawdownRate, self.capital, ) drawdownRate, self.capital,self.totalCommission )
self.output(msg) self.output(msg)
self.writeCtaLog(msg) self.writeCtaLog(msg)
@ -2989,7 +2595,7 @@ class BacktestingEngine(object):
self.avaliable = self.capital - occupyMoney self.avaliable = self.capital - occupyMoney
self.percent = round(float(occupyMoney * 100 / self.capital), 2) 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""" """保存每日数据"""
dict = {} dict = {}
dict['date'] = d.strftime('%Y/%m/%d') dict['date'] = d.strftime('%Y/%m/%d')
@ -3048,6 +2654,7 @@ class BacktestingEngine(object):
dict['shortMoney'] = short_pos_occupy_money dict['shortMoney'] = short_pos_occupy_money
dict['occupyMoney'] = max(long_pos_occupy_money, short_pos_occupy_money) dict['occupyMoney'] = max(long_pos_occupy_money, short_pos_occupy_money)
dict['occupyRate'] = dict['occupyMoney'] / dict['capital'] dict['occupyRate'] = dict['occupyMoney'] / dict['capital']
dict['commission'] = commission
self.dailyList.append(dict) self.dailyList.append(dict)
# ---------------------------------------------------------------------- # ----------------------------------------------------------------------
@ -3136,6 +2743,7 @@ class BacktestingEngine(object):
t['ClosePrice'] = trade.price t['ClosePrice'] = trade.price
t['Volume'] = tradeUnit t['Volume'] = tradeUnit
t['Profit'] = result.pnl t['Profit'] = result.pnl
t['Commission'] = result.commission
self.exportTradeList.append(t) 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}' 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['ClosePrice'] = trade.price
t['Volume'] = tradeUnit t['Volume'] = tradeUnit
t['Profit'] = result.pnl t['Profit'] = result.pnl
t['Commission'] = result.commission
self.exportTradeList.append(t) 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}' 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): 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: if not self.exportTradeList:
return return
s = EMPTY_STRING s = EMPTY_STRING
s = self.strategy_name.replace('&','') s = self.strategy_name.replace('&','')
s = s.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')))) '{}_TradeList_{}.csv'.format(s, datetime.now().strftime('%Y%m%d_%H%M'))))
import csv import csv
csvWriteFile = open(csvOutputFile, 'w', encoding='utf8') csvWriteFile = open(csvOutputFile, 'w', encoding='utf8')
fieldnames = ['vtSymbol','OpenTime', 'OpenPrice', 'Direction', 'CloseTime', 'ClosePrice', 'Volume', 'Profit'] fieldnames = ['vtSymbol','OpenTime', 'OpenPrice', 'Direction', 'CloseTime', 'ClosePrice', 'Volume', 'Profit', 'Commission']
writer = csv.DictWriter(f=csvWriteFile, fieldnames=fieldnames, dialect='excel') writer = csv.DictWriter(f=csvWriteFile, fieldnames=fieldnames, dialect='excel')
writer.writeheader() writer.writeheader()
for row in self.exportTradeList: for row in self.exportTradeList:
writer.writerow(row) writer.writerow(row)
# 导出每日净值记录表
if not self.dailyList: if not self.dailyList:
return return
if self.daily_report_name == EMPTY_STRING: 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')))) 'DailyList_{0}.csv'.format(datetime.now().strftime('%Y%m%d_%H%M'))))
else: else:
csvOutputFile2 = self.daily_report_name csvOutputFile2 = self.daily_report_name
csvWriteFile2 = open(csvOutputFile2, 'w', encoding='utf8') csvWriteFile2 = open(csvOutputFile2, 'w', encoding='utf8')
fieldnames = ['date','capital','net', 'maxCapital','rate','longMoney','shortMoney','occupyMoney','occupyRate','longPos','shortPos'] fieldnames = ['date', 'capital','net', 'maxCapital','rate', 'commission', 'longMoney','shortMoney','occupyMoney','occupyRate','longPos','shortPos']
writer2 = csv.DictWriter(f=csvWriteFile2, fieldnames=fieldnames, dialect='excel') writer2 = csv.DictWriter(f=csvWriteFile2, fieldnames=fieldnames, dialect='excel')
writer2.writeheader() writer2.writeheader()
@ -3440,7 +3054,7 @@ class BacktestingEngine(object):
plt.tight_layout() plt.tight_layout()
#plt.xticks(xindex, tradeTimeIndex, rotation=30) # 旋转15 #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, '{}_plot_{}.png'.format(self.strategy_name,
datetime.now().strftime('%Y%m%d_%H%M')))) datetime.now().strftime('%Y%m%d_%H%M'))))