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[Add] monitor for trade/order/dailyresult data in backtesting

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This commit is contained in:
vn.py 2019-05-30 13:59:09 +08:00
parent 15559a626d
commit c57c09eea6
1 changed files with 192 additions and 3 deletions
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193
vnpy/app/cta_backtester/ui/widget.py
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@ -12,6 +12,7 @@ from ..engine import (
from vnpy.trader.constant import Interval
from vnpy.trader.engine import MainEngine
from vnpy.trader.ui import QtCore, QtWidgets, QtGui
from vnpy.trader.ui.widget import BaseMonitor, BaseCell, DirectionCell, EnumCell
from vnpy.event import Event, EventEngine
@ -95,11 +96,26 @@ class BacktesterManager(QtWidgets.QWidget):
downloading_button = QtWidgets.QPushButton("下载数据")
downloading_button.clicked.connect(self.start_downloading)
self.order_button = QtWidgets.QPushButton("委托记录")
self.order_button.clicked.connect(self.show_backtesting_orders)
self.order_button.setEnabled(False)
self.trade_button = QtWidgets.QPushButton("成交记录")
self.trade_button.clicked.connect(self.show_backtesting_trades)
self.trade_button.setEnabled(False)
self.daily_button = QtWidgets.QPushButton("每日盈亏")
self.daily_button.clicked.connect(self.show_daily_results)
self.daily_button.setEnabled(False)
for button in [
backtesting_button,
optimization_button,
downloading_button,
self.result_button
self.result_button,
self.order_button,
self.trade_button,
self.daily_button
]:
button.setFixedHeight(button.sizeHint().height() * 2)
@ -114,12 +130,16 @@ class BacktesterManager(QtWidgets.QWidget):
form.addRow("合约乘数", self.size_line)
form.addRow("价格跳动", self.pricetick_line)
form.addRow("回测资金", self.capital_line)
form.addRow(backtesting_button)
left_vbox = QtWidgets.QVBoxLayout()
left_vbox.addLayout(form)
left_vbox.addWidget(backtesting_button)
left_vbox.addWidget(downloading_button)
left_vbox.addStretch()
left_vbox.addWidget(self.trade_button)
left_vbox.addWidget(self.order_button)
left_vbox.addWidget(self.daily_button)
left_vbox.addStretch()
left_vbox.addWidget(optimization_button)
left_vbox.addWidget(self.result_button)
@ -132,6 +152,25 @@ class BacktesterManager(QtWidgets.QWidget):
self.chart = BacktesterChart()
self.chart.setMinimumWidth(1000)
self.trade_dialog = BacktestingResultDialog(
self.main_engine,
self.event_engine,
"回测成交记录",
BacktestingTradeMonitor
)
self.order_dialog = BacktestingResultDialog(
self.main_engine,
self.event_engine,
"回测委托记录",
BacktestingOrderMonitor
)
self.daily_dialog = BacktestingResultDialog(
self.main_engine,
self.event_engine,
"回测每日盈亏",
DailyResultMonitor
)
# Layout
vbox = QtWidgets.QVBoxLayout()
vbox.addWidget(self.statistics_monitor)
@ -176,6 +215,10 @@ class BacktesterManager(QtWidgets.QWidget):
df = self.backtester_engine.get_result_df()
self.chart.set_data(df)
self.trade_button.setEnabled(True)
self.order_button.setEnabled(True)
self.daily_button.setEnabled(True)
def process_optimization_finished_event(self, event: Event):
""""""
self.write_log("请点击[优化结果]按钮查看")
@ -221,6 +264,14 @@ class BacktesterManager(QtWidgets.QWidget):
self.statistics_monitor.clear_data()
self.chart.clear_data()
self.trade_button.setEnabled(False)
self.order_button.setEnabled(False)
self.daily_button.setEnabled(False)
self.trade_dialog.clear_data()
self.order_dialog.clear_data()
self.daily_dialog.clear_data()
def start_optimization(self):
""""""
class_name = self.class_combo.currentText()
@ -284,6 +335,30 @@ class BacktesterManager(QtWidgets.QWidget):
)
dialog.exec_()
def show_backtesting_trades(self):
""""""
if not self.trade_dialog.is_updated():
trades = self.backtester_engine.get_all_trades()
self.trade_dialog.update_data(trades)
self.trade_dialog.exec_()
def show_backtesting_orders(self):
""""""
if not self.order_dialog.is_updated():
orders = self.backtester_engine.get_all_orders()
self.order_dialog.update_data(orders)
self.order_dialog.exec_()
def show_daily_results(self):
""""""
if not self.daily_dialog.is_updated():
results = self.backtester_engine.get_all_daily_results()
self.daily_dialog.update_data(results)
self.daily_dialog.exec_()
def show(self):
""""""
self.showMaximized()
@ -750,3 +825,117 @@ class OptimizationResultMonitor(QtWidgets.QDialog):
vbox.addWidget(table)
self.setLayout(vbox)
class BacktestingTradeMonitor(BaseMonitor):
"""
Monitor for backtesting trade data.
"""
headers = {
"tradeid": {"display": "成交号 ", "cell": BaseCell, "update": False},
"orderid": {"display": "委托号", "cell": BaseCell, "update": False},
"symbol": {"display": "代码", "cell": BaseCell, "update": False},
"exchange": {"display": "交易所", "cell": EnumCell, "update": False},
"direction": {"display": "方向", "cell": DirectionCell, "update": False},
"offset": {"display": "开平", "cell": EnumCell, "update": False},
"price": {"display": "价格", "cell": BaseCell, "update": False},
"volume": {"display": "数量", "cell": BaseCell, "update": False},
"datetime": {"display": "时间", "cell": BaseCell, "update": False},
"gateway_name": {"display": "接口", "cell": BaseCell, "update": False},
}
class BacktestingOrderMonitor(BaseMonitor):
"""
Monitor for backtesting order data.
"""
headers = {
"orderid": {"display": "委托号", "cell": BaseCell, "update": False},
"symbol": {"display": "代码", "cell": BaseCell, "update": False},
"exchange": {"display": "交易所", "cell": EnumCell, "update": False},
"type": {"display": "类型", "cell": EnumCell, "update": False},
"direction": {"display": "方向", "cell": DirectionCell, "update": False},
"offset": {"display": "开平", "cell": EnumCell, "update": False},
"price": {"display": "价格", "cell": BaseCell, "update": False},
"volume": {"display": "总数量", "cell": BaseCell, "update": False},
"traded": {"display": "已成交", "cell": BaseCell, "update": False},
"status": {"display": "状态", "cell": EnumCell, "update": False},
"datetime": {"display": "时间", "cell": BaseCell, "update": False},
"gateway_name": {"display": "接口", "cell": BaseCell, "update": False},
}
class DailyResultMonitor(BaseMonitor):
"""
Monitor for backtesting daily result.
"""
headers = {
"date": {"display": "日期", "cell": BaseCell, "update": False},
"trade_count": {"display": "成交笔数", "cell": BaseCell, "update": False},
"start_pos": {"display": "开盘持仓", "cell": BaseCell, "update": False},
"end_pos": {"display": "收盘持仓", "cell": BaseCell, "update": False},
"turnover": {"display": "成交额", "cell": BaseCell, "update": False},
"commission": {"display": "手续费", "cell": BaseCell, "update": False},
"slippage": {"display": "滑点", "cell": BaseCell, "update": False},
"trading_pnl": {"display": "交易盈亏", "cell": BaseCell, "update": False},
"holding_pnl": {"display": "持仓盈亏", "cell": BaseCell, "update": False},
"total_pnl": {"display": "总盈亏", "cell": BaseCell, "update": False},
"net_pnl": {"display": "净盈亏", "cell": BaseCell, "update": False},
}
class BacktestingResultDialog(QtWidgets.QDialog):
"""
"""
def __init__(
self,
main_engine: MainEngine,
event_engine: EventEngine,
title: str,
table_class: QtWidgets.QTableWidget
):
""""""
super().__init__()
self.main_engine = main_engine
self.event_engine = event_engine
self.title = title
self.table_class = table_class
self.updated = False
self.init_ui()
def init_ui(self):
""""""
self.setWindowTitle(self.title)
self.resize(1100, 600)
self.table = self.table_class(self.main_engine, self.event_engine)
vbox = QtWidgets.QVBoxLayout()
vbox.addWidget(self.table)
self.setLayout(vbox)
def clear_data(self):
""""""
self.updated = False
self.table.setRowCount(0)
def update_data(self, data: list):
""""""
self.updated = True
data.reverse()
for obj in data:
self.table.insert_new_row(obj)
def is_updated(self):
""""""
return self.updated