增加CTA模块回测引擎中的灵活手数计算功能，允许每次委托的数量不一样，实现自动比较清算

vn.trader/ctaAlgo/ctaBacktesting.py

@@ -455,7 +455,8 @@ class BacktestingEngine(object):
         self.output(u'计算回测结果')
         
         # 首先基于回测后的成交记录，计算每笔交易的盈亏
-        resultDict = OrderedDict()  # 交易结果记录
+        resultList = []             # 交易结果列表
+        
         longTrade = []              # 未平仓的多头交易
         shortTrade = []             # 未平仓的空头交易
         
@@ -467,11 +468,40 @@ class BacktestingEngine(object):
                     longTrade.append(trade)
                 # 当前多头交易为平空
                 else:
-                    entryTrade = shortTrade.pop(0)
+                    while True:
+                        entryTrade = shortTrade[0]
+                        exitTrade = trade
+                        
+                        # 清算开平仓交易
+                        closedVolume = min(exitTrade.volume, entryTrade.volume)
+                        result = TradingResult(entryTrade.price, entryTrade.dt, 
+                                               exitTrade.price, exitTrade.dt,
+                                               -closedVolume, self.rate, self.slippage, self.size)
+                        resultList.append(result)
+                        
+                        # 计算未清算部分
+                        entryTrade.volume -= closedVolume
+                        exitTrade.volume -= closedVolume
+                        
+                        # 如果开仓交易已经全部清算，则从列表中移除
+                        if not entryTrade.volume:
+                            shortTrade.pop(0)
+                        
+                        # 如果平仓交易已经全部清算，则退出循环
+                        if not exitTrade.volume:
+                            break
+                        
+                        # 如果平仓交易未全部清算，
+                        if exitTrade.volume:
+                            # 且开仓交易已经全部清算完，则平仓交易剩余的部分
+                            # 等于新的反向开仓交易，添加到队列中
+                            if not shortTrade:
+                                longTrade.append(exitTrade)
+                                break
+                            # 如果开仓交易还有剩余，则进入下一轮循环
+                            else:
+                                pass
                         
-                    result = TradingResult(entryTrade.price, trade.price, -trade.volume, 
-                                           self.rate, self.slippage, self.size)
-                    resultDict[trade.dt] = result
             # 空头交易        
             else:
                 # 如果尚无多头交易
@@ -479,14 +509,42 @@ class BacktestingEngine(object):
                     shortTrade.append(trade)
                 # 当前空头交易为平多
                 else:                    
-                    entryTrade = longTrade.pop(0)
+                    while True:
+                        entryTrade = longTrade[0]
+                        exitTrade = trade
                         
-                    result = TradingResult(entryTrade.price, trade.price, trade.volume, 
+                        # 清算开平仓交易
-                                           self.rate, self.slippage, self.size)
+                        closedVolume = min(exitTrade.volume, entryTrade.volume)
-                    resultDict[trade.dt] = result           
+                        result = TradingResult(entryTrade.price, entryTrade.dt, 
+                                               exitTrade.price, exitTrade.dt,
+                                               -closedVolume, self.rate, self.slippage, self.size)
+                        resultList.append(result)
+                        
+                        # 计算未清算部分
+                        entryTrade.volume -= closedVolume
+                        exitTrade.volume -= closedVolume
+                        
+                        # 如果开仓交易已经全部清算，则从列表中移除
+                        if not entryTrade.volume:
+                            longTrade.pop(0)
+                        
+                        # 如果平仓交易已经全部清算，则退出循环
+                        if not exitTrade.volume:
+                            break
+                        
+                        # 如果平仓交易未全部清算，
+                        if exitTrade.volume:
+                            # 且开仓交易已经全部清算完，则平仓交易剩余的部分
+                            # 等于新的反向开仓交易，添加到队列中
+                            if not longTrade:
+                                shortTrade.append(exitTrade)
+                                break
+                            # 如果开仓交易还有剩余，则进入下一轮循环
+                            else:
+                                pass                    
                     
         # 检查是否有交易
-        if not resultDict:
+        if not resultList:
             self.output(u'无交易结果')
             return {}
         
@@ -505,18 +563,13 @@ class BacktestingEngine(object):
         capitalList = []        # 盈亏汇总的时间序列
         drawdownList = []       # 回撤的时间序列
         
-        winningResult = 0       # 盈利次数
+        for result in resultList:
-        losingResult = 0        # 亏损次数
-        totalWinning = 0        # 总盈利金额
-        totalLosing = 0         # 总亏损金额
-        
-        for time, result in resultDict.items():
             capital += result.pnl
             maxCapital = max(capital, maxCapital)
             drawdown = capital - maxCapital
             
             pnlList.append(result.pnl)
-            timeList.append(time)
+            timeList.append(result.exitDt)      # 交易的时间戳使用平仓时间
             capitalList.append(capital)
             drawdownList.append(drawdown)
             
@@ -674,17 +727,22 @@ class TradingResult(object):
     """每笔交易的结果"""
 
     #----------------------------------------------------------------------
-    def __init__(self, entry, exit, volume, rate, slippage, size):
+    def __init__(self, entryPrice, entryDt, exitPrice, 
+                 exitDt, volume, rate, slippage, size):
         """Constructor"""
-        self.entry = entry      # 开仓价格
+        self.entryPrice = entryPrice    # 开仓价格
-        self.exit = exit        # 平仓价格
+        self.exitPrice = exitPrice      # 平仓价格
+        
+        self.entryDt = entryDt          # 开仓时间datetime    
+        self.exitDt = exitDt            # 平仓时间
+        
         self.volume = volume    # 交易数量（+/-代表方向）
         
-        self.turnover = (self.entry+self.exit)*size*abs(volume)     # 成交金额
+        self.turnover = (self.entryPrice+self.exitPrice)*size*abs(volume)   # 成交金额
-        self.commission = self.turnover*rate                        # 手续费成本
+        self.commission = self.turnover*rate                                # 手续费成本
-        self.slippage = slippage*2*size*abs(volume)                 # 滑点成本
+        self.slippage = slippage*2*size*abs(volume)                         # 滑点成本
-        self.pnl = ((self.exit - self.entry) * volume * size 
+        self.pnl = ((self.exitPrice - self.entryPrice) * volume * size 
-                    - self.commission - self.slippage)              # 净盈亏
+                    - self.commission - self.slippage)                      # 净盈亏
 
 
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