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
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chenxy123
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e36bd4a3f2
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ab9d99d725
@ -455,7 +455,8 @@ class BacktestingEngine(object):
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self.output(u'计算回测结果')
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# 首先基于回测后的成交记录，计算每笔交易的盈亏
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resultDict = OrderedDict() # 交易结果记录
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resultList = [] # 交易结果列表
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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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@ -467,11 +468,40 @@ class BacktestingEngine(object):
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longTrade.append(trade)
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# 当前多头交易为平空
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else:
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entryTrade = shortTrade.pop(0)
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while True:
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entryTrade = shortTrade[0]
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exitTrade = trade
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# 清算开平仓交易
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closedVolume = min(exitTrade.volume, entryTrade.volume)
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result = TradingResult(entryTrade.price, entryTrade.dt,
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exitTrade.price, exitTrade.dt,
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-closedVolume, self.rate, self.slippage, self.size)
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resultList.append(result)
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# 计算未清算部分
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entryTrade.volume -= closedVolume
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exitTrade.volume -= closedVolume
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# 如果开仓交易已经全部清算，则从列表中移除
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if not entryTrade.volume:
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shortTrade.pop(0)
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# 如果平仓交易已经全部清算，则退出循环
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if not exitTrade.volume:
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break
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# 如果平仓交易未全部清算，
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if exitTrade.volume:
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# 且开仓交易已经全部清算完，则平仓交易剩余的部分
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# 等于新的反向开仓交易，添加到队列中
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if not shortTrade:
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longTrade.append(exitTrade)
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break
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# 如果开仓交易还有剩余，则进入下一轮循环
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else:
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pass
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result = TradingResult(entryTrade.price, trade.price, -trade.volume,
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self.rate, self.slippage, self.size)
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resultDict[trade.dt] = result
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# 空头交易
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else:
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# 如果尚无多头交易
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@ -479,14 +509,42 @@ class BacktestingEngine(object):
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shortTrade.append(trade)
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# 当前空头交易为平多
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else:
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entryTrade = longTrade.pop(0)
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while True:
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entryTrade = longTrade[0]
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exitTrade = trade
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result = TradingResult(entryTrade.price, trade.price, trade.volume,
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self.rate, self.slippage, self.size)
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resultDict[trade.dt] = result
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# 清算开平仓交易
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closedVolume = min(exitTrade.volume, entryTrade.volume)
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result = TradingResult(entryTrade.price, entryTrade.dt,
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exitTrade.price, exitTrade.dt,
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-closedVolume, self.rate, self.slippage, self.size)
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resultList.append(result)
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# 计算未清算部分
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entryTrade.volume -= closedVolume
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exitTrade.volume -= closedVolume
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# 如果开仓交易已经全部清算，则从列表中移除
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if not entryTrade.volume:
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longTrade.pop(0)
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# 如果平仓交易已经全部清算，则退出循环
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if not exitTrade.volume:
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break
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# 如果平仓交易未全部清算，
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if exitTrade.volume:
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# 且开仓交易已经全部清算完，则平仓交易剩余的部分
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# 等于新的反向开仓交易，添加到队列中
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if not longTrade:
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shortTrade.append(exitTrade)
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break
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# 如果开仓交易还有剩余，则进入下一轮循环
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else:
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pass
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# 检查是否有交易
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if not resultDict:
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if not resultList:
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self.output(u'无交易结果')
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return {}
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@ -505,18 +563,13 @@ class BacktestingEngine(object):
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capitalList = [] # 盈亏汇总的时间序列
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drawdownList = [] # 回撤的时间序列
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winningResult = 0 # 盈利次数
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losingResult = 0 # 亏损次数
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totalWinning = 0 # 总盈利金额
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totalLosing = 0 # 总亏损金额
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for time, result in resultDict.items():
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for result in resultList:
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capital += result.pnl
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maxCapital = max(capital, maxCapital)
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drawdown = capital - maxCapital
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pnlList.append(result.pnl)
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timeList.append(time)
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timeList.append(result.exitDt) # 交易的时间戳使用平仓时间
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capitalList.append(capital)
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drawdownList.append(drawdown)
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@ -674,17 +727,22 @@ class TradingResult(object):
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"""每笔交易的结果"""
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#----------------------------------------------------------------------
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def __init__(self, entry, exit, volume, rate, slippage, size):
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def __init__(self, entryPrice, entryDt, exitPrice,
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exitDt, volume, rate, slippage, size):
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"""Constructor"""
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self.entry = entry # 开仓价格
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self.exit = exit # 平仓价格
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self.entryPrice = entryPrice # 开仓价格
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self.exitPrice = exitPrice # 平仓价格
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self.entryDt = entryDt # 开仓时间datetime
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self.exitDt = exitDt # 平仓时间
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self.volume = volume # 交易数量（+/-代表方向）
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self.turnover = (self.entry+self.exit)*size*abs(volume) # 成交金额
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self.commission = self.turnover*rate # 手续费成本
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self.slippage = slippage*2*size*abs(volume) # 滑点成本
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self.pnl = ((self.exit - self.entry) * volume * size
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- self.commission - self.slippage) # 净盈亏
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self.turnover = (self.entryPrice+self.exitPrice)*size*abs(volume) # 成交金额
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self.commission = self.turnover*rate # 手续费成本
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self.slippage = slippage*2*size*abs(volume) # 滑点成本
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self.pnl = ((self.exitPrice - self.entryPrice) * volume * size
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- self.commission - self.slippage) # 净盈亏
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########################################################################
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