From c76202586c990fd545bb66b510e581df71c85afb Mon Sep 17 00:00:00 2001 From: msincenselee Date: Mon, 7 Sep 2020 16:28:37 +0800 Subject: [PATCH] =?UTF-8?q?[=E5=A2=9E=E5=BC=BA=E5=8A=9F=E8=83=BD]=20?= =?UTF-8?q?=E6=99=AE=E9=80=9A=E6=9B=B4=E6=96=B0?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/app/cta_strategy_pro/back_testing.py | 30 +++++++--- .../app/cta_strategy_pro/portfolio_testing.py | 9 ++- vnpy/app/cta_strategy_pro/template_spread.py | 8 ++- vnpy/data/tq/tianqin_data.py | 60 +++++++++++++++++-- vnpy/gateway/ctp/ctp_gateway.py | 8 ++- vnpy/gateway/xtp/xtp_gateway.py | 7 --- vnpy/trader/converter.py | 13 ++-- 7 files changed, 106 insertions(+), 29 deletions(-) diff --git a/vnpy/app/cta_strategy_pro/back_testing.py b/vnpy/app/cta_strategy_pro/back_testing.py index fabfed11..f1bd3c6e 100644 --- a/vnpy/app/cta_strategy_pro/back_testing.py +++ b/vnpy/app/cta_strategy_pro/back_testing.py @@ -87,6 +87,7 @@ class BackTestingEngine(object): # 引擎类型为回测 self.engine_type = EngineType.BACKTESTING self.contract_type = 'future' # future, stock, digital + self.using_99_contract = True # 回测策略相关 self.classes = {} # 策略类，class_name: stategy_class @@ -450,6 +451,10 @@ class BackTestingEngine(object): self.debug = test_setting.get('debug', False) + if 'using_99_contract' in test_setting: + self.using_99_contract = test_setting.get('using_99_contract') + self.write_log(f'是否使用指数合约:{self.using_99_contract}') + # 更新数据目录 if 'data_path' in test_setting: self.data_path = test_setting.get('data_path') @@ -711,21 +716,27 @@ class BackTestingEngine(object): symbol, exchange = extract_vt_symbol(vt_symbol) elif self.contract_type == 'future': symbol = vt_symbol - underly_symbol = get_underlying_symbol(symbol).upper() - exchange = self.get_exchange(f'{underly_symbol}99') + if self.using_99_contract: + underly_symbol = get_underlying_symbol(symbol).upper() # WJ: 当需要回测A1701.DCE时，不能替换成99合约。 + exchange = self.get_exchange(f'{underly_symbol}99') + else: + exchange = self.get_exchange(symbol) vt_symbol = '.'.join([symbol, exchange.value]) + strategy_setting.update({'vt_symbol': vt_symbol}) else: symbol = vt_symbol exchange = Exchange.LOCAL vt_symbol = '.'.join([symbol, exchange.value]) - - # 在期货组合回测，中需要把一般配置的主力合约，更换为指数合约 - if '99' not in symbol and exchange != Exchange.SPD and self.contract_type == 'future': - underly_symbol = get_underlying_symbol(symbol).upper() - self.write_log(u'更新vt_symbol为指数合约:{}=>{}'.format(vt_symbol, underly_symbol + '99.' + exchange.value)) - vt_symbol = underly_symbol.upper() + '99.' + exchange.value strategy_setting.update({'vt_symbol': vt_symbol}) + # 在期货组合回测时，如果直接使用运行得配置，需要把一般配置的主力合约，更换为指数合约 + if self.using_99_contract: + if '99' not in symbol and exchange != Exchange.SPD and self.contract_type == 'future': + underly_symbol = get_underlying_symbol(symbol).upper() + self.write_log(u'更新vt_symbol为指数合约:{}=>{}'.format(vt_symbol, underly_symbol + '99.' + exchange.value)) + vt_symbol = underly_symbol.upper() + '99.' + exchange.value + strategy_setting.update({'vt_symbol': vt_symbol}) + # 属于自定义套利合约 if exchange == Exchange.SPD: symbol_pairs = symbol.split('-') @@ -2186,6 +2197,9 @@ class BackTestingEngine(object): 'test_setting': self.test_setting, # 回测参数 'strategy_setting': self.strategy_setting, # 策略参数 } + # 去除包含"."的域 + if 'symbol_datas' in d['test_setting'].keys(): + d['test_setting'].pop('symbol_datas') # 保存入数据库 self.mongo_api.db_insert( diff --git a/vnpy/app/cta_strategy_pro/portfolio_testing.py b/vnpy/app/cta_strategy_pro/portfolio_testing.py index 52d51598..68e2b9fd 100644 --- a/vnpy/app/cta_strategy_pro/portfolio_testing.py +++ b/vnpy/app/cta_strategy_pro/portfolio_testing.py @@ -226,8 +226,8 @@ class PortfolioTestingEngine(BackTestingEngine): if exchange == Exchange.SPD: try: active_symbol, active_rate, passive_symbol, passive_rate, spd_type = symbol.split('-') - active_vt_symbol = '.'.join([active_symbol, self.get_exchange(symbol=active_symbol)]) - passive_vt_symbol = '.'.join([passive_symbol, self.get_exchange(symbol=passive_symbol)]) + active_vt_symbol = '.'.join([active_symbol, self.get_exchange(symbol=active_symbol).value]) + passive_vt_symbol = '.'.join([passive_symbol, self.get_exchange(symbol=passive_symbol).value]) self.load_bar_csv_to_df(active_vt_symbol, self.bar_csv_file.get(active_symbol)) self.load_bar_csv_to_df(passive_vt_symbol, self.bar_csv_file.get(passive_symbol)) except Exception as ex: @@ -282,6 +282,8 @@ class PortfolioTestingEngine(BackTestingEngine): str_td = str(bar_data.get('trading_day', '')) if len(str_td) == 8: bar.trading_day = str_td[0:4] + '-' + str_td[4:6] + '-' + str_td[6:8] + elif len(str_td) == 10: + bar.trading_day = str_td else: bar.trading_day = get_trading_date(bar_datetime) @@ -473,6 +475,9 @@ def single_test(test_setting: dict, strategy_setting: dict): # 回测结果，保存 engine.show_backtesting_result() + # 保存策略得内部数据 + engine.save_strategy_data() + except Exception as ex: print('组合回测异常{}'.format(str(ex))) traceback.print_exc() diff --git a/vnpy/app/cta_strategy_pro/template_spread.py b/vnpy/app/cta_strategy_pro/template_spread.py index 17dd117b..fc1572a7 100644 --- a/vnpy/app/cta_strategy_pro/template_spread.py +++ b/vnpy/app/cta_strategy_pro/template_spread.py @@ -403,10 +403,14 @@ class CtaSpreadTemplate(CtaTemplate): # 找到委托单记录 order_info = None + # 优先从活动订单获取 if trade.vt_orderid in self.active_orders.keys(): order_info = self.active_orders.get(trade.vt_orderid) - if trade.vt_orderid in self.history_orders.keys(): - order_info = self.history_orders.get(trade.vt_orderid) + # 如果找不到，可能被移动到历史订单中，从历史订单获取 + if not order_info: + if trade.vt_orderid in self.history_orders.keys(): + order_info = self.history_orders.get(trade.vt_orderid) + # 找到委托记录 if order_info is not None: # 委托单记录 =》 找到 Grid grid = order_info.get('grid') diff --git a/vnpy/data/tq/tianqin_data.py b/vnpy/data/tq/tianqin_data.py index 80076d5a..333b9ad8 100644 --- a/vnpy/data/tq/tianqin_data.py +++ b/vnpy/data/tq/tianqin_data.py @@ -18,7 +18,7 @@ from vnpy.trader.constant import ( OrderType, Interval, ) -from vnpy.trader.object import TickData +from vnpy.trader.object import TickData, BarData from vnpy.trader.utility import extract_vt_symbol, get_trading_date import pandas as pd import csv @@ -128,7 +128,7 @@ class TqFutureData(): def __init__(self, strategy=None): self.strategy = strategy # 传进来策略实例，这样可以写日志到策略实例 - self.api = TqApi(TqSim()) + self.api = TqApi(TqSim(), url="wss://u.shinnytech.com/t/md/front/mobile") def get_tick_serial(self, vt_symbol: str): # 获取最新的8964个数据 tick的话就相当于只有50分钟左右 @@ -191,6 +191,51 @@ class TqFutureData(): return [] + def get_bars(self, vt_symbol: str, start_date: datetime=None, end_date: datetime = None): + """ + 获取历史bar（受限于最大长度8964根bar） + :param vt_symbol: + :param start_date: + :param end_date: + :return: + """ + + self.write_log(f"从天勤请求合约:{vt_symbol}开始时间：{start_date}的历史1分钟bar数据") + symbol, exchange = extract_vt_symbol(vt_symbol) + + # 获取一分钟数据 + df = self.api.get_kline_serial(symbol=f'{exchange.value}.{symbol}', duration_seconds=60, data_length=8964) + bars = [] + if df is None: + self.write_error(f'返回空白dataframe') + return [] + + for index, row in df.iterrows(): + bar_datetime = datetime.strptime(self._nano_to_str(row['datetime']), "%Y-%m-%d %H:%M:%S.%f") + if start_date: + if bar_datetime < start_date: + continue + if end_date: + if bar_datetime > end_date: + continue + bar = BarData( + symbol=symbol, + exchange=exchange, + datetime=bar_datetime, + open_price=row['open'], + close_price=row['close'], + high_price=row['high'], + low_price=row['low'], + volume=row['volume'], + open_interest=row['close_oi'], + trading_day=get_trading_date(bar_datetime), + gateway_name='tq' + ) + bars.append(bar) + + return bars + + def get_ticks(self, vt_symbol: str, start_date: datetime, end_date: datetime = None): """获取历史tick""" @@ -291,6 +336,7 @@ class TqFutureData(): else: self.strategy.write_error(msg) + if __name__ == '__main__': # tqsdk = Query_tqsdk_data(strategy=self) # 在策略中使用 tqsdk = TqFutureData() @@ -298,11 +344,15 @@ if __name__ == '__main__': #tick_df = tqsdk.query_tick_history_data(vt_symbol="ni2009.SHFE", start_date=pd.to_datetime("2020-07-22")) #print(tick_df) - ticks = tqsdk.get_runtime_ticks("ni2009.SHFE") + #ticks = tqsdk.get_runtime_ticks("ni2009.SHFE") - print(ticks[0]) + #print(ticks[0]) + + #print(ticks[-1]) + bars = tqsdk.get_bars(vt_symbol='ni2011.SHFE') + print(bars[0]) + print(bars[-1]) - print(ticks[-1]) diff --git a/vnpy/gateway/ctp/ctp_gateway.py b/vnpy/gateway/ctp/ctp_gateway.py index 436123c5..50e8fb86 100644 --- a/vnpy/gateway/ctp/ctp_gateway.py +++ b/vnpy/gateway/ctp/ctp_gateway.py @@ -926,7 +926,13 @@ class CtpTdApi(TdApi): position.cur_price = self.gateway.prices.get(position.vt_symbol, None) if position.cur_price is None: position.cur_price = position.price - self.gateway.subscribe(SubscribeRequest(symbol=position.symbol, exchange=position.exchange)) + # 交易所有时候会给一些奇怪得套利合约，并且主动腿和被动腿是相同得，排除掉这些垃圾合约 + if position.symbol.startswith('SP') and '&' in position.symbol: + act_symbol, pas_symbol = position.symbol.split(' ')[-1].split('&') + if act_symbol != pas_symbol: + self.gateway.subscribe(SubscribeRequest(symbol=position.symbol, exchange=position.exchange)) + else: + self.gateway.subscribe(SubscribeRequest(symbol=position.symbol, exchange=position.exchange)) if last: self.long_option_cost = None diff --git a/vnpy/gateway/xtp/xtp_gateway.py b/vnpy/gateway/xtp/xtp_gateway.py index 7f841e43..83e0cfd9 100644 --- a/vnpy/gateway/xtp/xtp_gateway.py +++ b/vnpy/gateway/xtp/xtp_gateway.py @@ -214,13 +214,6 @@ class XtpGateway(BaseGateway): self.query_functions = [self.query_account, self.query_position] self.event_engine.register(EVENT_TIMER, self.process_timer_event) - def write_error(self, msg: str, error: dict) -> None: - """""" - error_id = error["error_id"] - error_msg = error["error_msg"] - msg = f"{msg}，代码：{error_id}，信息：{error_msg}" - self.write_log(msg) - class XtpMdApi(MdApi): diff --git a/vnpy/trader/converter.py b/vnpy/trader/converter.py index 40383ced..522844d8 100644 --- a/vnpy/trader/converter.py +++ b/vnpy/trader/converter.py @@ -163,16 +163,21 @@ class PositionHolding: self.update_order(order) def update_trade(self, trade: TradeData) -> None: - """""" + """更新交易""" + if trade.direction == Direction.LONG: + # 多，开仓 =》 增加今仓 if trade.offset == Offset.OPEN: self.long_td += trade.volume + # 多，平今 =》减少今仓 elif trade.offset == Offset.CLOSETODAY: self.short_td -= trade.volume + # 多，平昨 =》减少昨仓 elif trade.offset == Offset.CLOSEYESTERDAY: self.short_yd -= trade.volume + # 多，平仓 =》 减少 elif trade.offset == Offset.CLOSE: - if trade.exchange in [Exchange.SHFE, Exchange.INE]: + if trade.exchange in [Exchange.SHFE, Exchange.INE] and self.short_yd >=trade.volume: self.short_yd -= trade.volume else: self.short_td -= trade.volume @@ -189,9 +194,9 @@ class PositionHolding: elif trade.offset == Offset.CLOSETODAY: self.long_td -= trade.volume elif trade.offset == Offset.CLOSEYESTERDAY: - self.long_yd -= trade.volume + self.long_yd -= trade.volume elif trade.offset == Offset.CLOSE: - if trade.exchange in [Exchange.SHFE, Exchange.INE]: + if trade.exchange in [Exchange.SHFE, Exchange.INE] and self.long_yd >=trade.volume: self.long_yd -= trade.volume else: self.long_td -= trade.volume