[improved] bug fix 可用资金,增加支持港股、美股，币安现货
This commit is contained in:
msincenselee
parent
f218c676b1
commit
cf3ccfe3b8
@ -106,6 +106,7 @@ class BackTestingEngine(object):
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self.fix_commission = {} # 每手固定手续费
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self.size = {} # 合约大小，默认为1
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self.price_tick = {} # 价格最小变动
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self.volume_tick = {} # 合约委托单最小单位
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self.margin_rate = {} # 回测合约的保证金比率
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self.price_dict = {} # 登记vt_symbol对应的最新价
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self.contract_dict = {} # 登记vt_symbol得对应合约信息
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@ -161,7 +162,7 @@ class BackTestingEngine(object):
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self.net_capital = self.init_capital # 实时资金净值（每日根据capital和持仓浮盈计算）
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self.max_capital = self.init_capital # 资金最高净值
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self.max_net_capital = self.init_capital
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self.avaliable = self.init_capital
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self.available = self.init_capital
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self.max_pnl = 0 # 最高盈利
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self.min_pnl = 0 # 最大亏损
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@ -256,7 +257,7 @@ class BackTestingEngine(object):
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if self.net_capital == 0.0:
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self.percent = 0.0
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return self.net_capital, self.avaliable, self.percent, self.percent_limit
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return self.net_capital, self.available, self.percent, self.percent_limit
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def set_test_start_date(self, start_date: str = '20100416', init_days: int = 10):
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"""设置回测的启动日期"""
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@ -289,7 +290,7 @@ class BackTestingEngine(object):
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self.net_capital = capital # 实时资金净值（每日根据capital和持仓浮盈计算）
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self.max_capital = capital # 资金最高净值
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self.max_net_capital = capital
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self.avaliable = capital
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self.available = capital
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self.init_capital = capital
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def set_margin_rate(self, vt_symbol: str, margin_rate: float):
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@ -345,8 +346,15 @@ class BackTestingEngine(object):
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def get_price_tick(self, vt_symbol: str):
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return self.price_tick.get(vt_symbol, 1)
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def set_volume_tick(self, vt_symbol: str, volume_tick: float):
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"""设置委托单最小单位"""
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self.volume_tick.update({vt_symbol: volume_tick})
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def get_volume_tick(self, vt_symbol: str):
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return self.volume_tick.get(vt_symbol, 1)
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def set_contract(self, symbol: str, exchange: Exchange, product: Product, name: str, size: int,
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price_tick: float, margin_rate: float = 0.1):
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price_tick: float, volume_tick: float = 1, margin_rate: float = 0.1):
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"""设置合约信息"""
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vt_symbol = '.'.join([symbol, exchange.value])
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if vt_symbol not in self.contract_dict:
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@ -364,6 +372,7 @@ class BackTestingEngine(object):
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self.set_size(vt_symbol, size)
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self.set_margin_rate(vt_symbol, margin_rate)
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self.set_price_tick(vt_symbol, price_tick)
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self.set_volume_tick(vt_symbol, volume_tick)
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self.symbol_exchange_dict.update({symbol: exchange})
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@lru_cache()
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@ -528,7 +537,8 @@ class BackTestingEngine(object):
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for symbol, symbol_data in data_dict.items():
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self.write_log(u'配置{}数据:{}'.format(symbol, symbol_data))
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self.set_price_tick(symbol, symbol_data.get('price_tick', 1))
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volume_tick = symbol_data.get('min_volume', symbol_data.get('volume_tick', 1))
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self.set_volume_tick(symbol, volume_tick)
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self.set_slippage(symbol, symbol_data.get('slippage', 0))
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self.set_size(symbol, symbol_data.get('symbol_size', 10))
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@ -544,6 +554,7 @@ class BackTestingEngine(object):
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product=Product(symbol_data.get('product', "期货")),
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size=symbol_data.get('symbol_size', 10),
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price_tick=symbol_data.get('price_tick', 1),
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volume_tick=volume_tick,
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margin_rate=margin_rate
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)
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@ -1786,7 +1797,7 @@ class BackTestingEngine(object):
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occupy_short_money_dict.get(underly_symbol, 0))
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# 可用资金 = 当前净值 - 占用保证金
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self.avaliable = self.net_capital - occupy_money
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self.available = self.net_capital - occupy_money
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# 当前保证金占比
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self.percent = round(float(occupy_money * 100 / self.net_capital), 2)
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# 更新最大保证金占比
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@ -1840,7 +1851,7 @@ class BackTestingEngine(object):
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self.write_log(msg)
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# 重新计算一次avaliable
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self.avaliable = self.net_capital - occupy_money
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self.available = self.net_capital - occupy_money
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self.percent = round(float(occupy_money * 100 / self.net_capital), 2)
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def saving_daily_data(self, d, c, m, commission, benchmark=0):
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@ -28,7 +28,10 @@ from vnpy.trader.object import (
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SubscribeRequest,
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LogData,
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TickData,
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ContractData
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ContractData,
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HistoryRequest,
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Interval,
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BarData
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)
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from vnpy.trader.event import (
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EVENT_TIMER,
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@ -351,6 +354,7 @@ class CtaEngine(BaseEngine):
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# Update GUI
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self.put_strategy_event(strategy)
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# 如果配置文件 cta_stock_config.json中，有trade_2_wx的设置项，则发送微信通知
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if self.engine_config.get('trade_2_wx', False):
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accountid = self.engine_config.get('accountid', 'XXX')
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d = {
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@ -371,7 +375,6 @@ class CtaEngine(BaseEngine):
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self.offset_converter.update_position(position)
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def check_unsubscribed_symbols(self):
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"""检查未订阅合约"""
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@ -809,11 +812,22 @@ class CtaEngine(BaseEngine):
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"""查询价格最小跳动"""
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contract = self.main_engine.get_contract(vt_symbol)
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if contract is None:
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self.write_error(f'查询不到{vt_symbol}合约信息')
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self.write_error(f'查询不到{vt_symbol}合约信息，缺省使用0.1作为价格跳动')
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return 0.1
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return contract.pricetick
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@lru_cache()
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def get_volume_tick(self, vt_symbol: str):
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"""查询合约的最小成交数量"""
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contract = self.main_engine.get_contract(vt_symbol)
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if contract is None:
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self.write_error(f'查询不到{vt_symbol}合约信息,缺省使用1作为最小成交数量')
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return 1
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return contract.min_volume
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def get_tick(self, vt_symbol: str):
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"""获取合约得最新tick"""
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return self.main_engine.get_tick(vt_symbol)
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@ -878,6 +892,40 @@ class CtaEngine(BaseEngine):
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log_path = os.path.abspath(os.path.join(TRADER_DIR, 'log'))
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return log_path
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def load_bar(
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self,
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vt_symbol: str,
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days: int,
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interval: Interval,
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callback: Callable[[BarData], None],
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interval_num: int = 1
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):
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"""获取历史记录"""
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symbol, exchange = extract_vt_symbol(vt_symbol)
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end = datetime.now()
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start = end - timedelta(days)
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bars = []
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# Query bars from gateway if available
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contract = self.main_engine.get_contract(vt_symbol)
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if contract and contract.history_data:
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req = HistoryRequest(
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symbol=symbol,
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exchange=exchange,
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interval=interval,
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interval_num=interval_num,
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start=start,
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end=end
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)
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bars = self.main_engine.query_history(req, contract.gateway_name)
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for bar in bars:
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if bar.trading_day:
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bar.trading_day = bar.datetime.strftime('%Y-%m-%d')
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callback(bar)
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def call_strategy_func(
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self, strategy: CtaTemplate, func: Callable, params: Any = None
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):
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@ -131,6 +131,9 @@ class PortfolioTestingEngine(BackTestingEngine):
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:return:
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"""
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self.output('comine_df')
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if len(self.bar_df_dict) == 0:
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self.output(f'无加载任何数据,请检查bar文件路径配置')
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self.bar_df = pd.concat(self.bar_df_dict, axis=0).swaplevel(0, 1).sort_index()
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self.bar_df_dict.clear()
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229
vnpy/data/binance/binance_spot_data.py
Normal file
229
vnpy/data/binance/binance_spot_data.py
Normal file
@ -0,0 +1,229 @@
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# 币安现货数据
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import os
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import json
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from typing import Dict, List, Any
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from datetime import datetime, timedelta
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from vnpy.api.rest.rest_client import RestClient
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from vnpy.trader.object import (
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Interval,
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Exchange,
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Product,
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BarData,
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HistoryRequest
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)
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from vnpy.trader.utility import save_json, load_json
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BINANCE_INTERVALS = ["1m", "3m", "5m", "15m", "30m", "1h", "2h", "4h", "6h", "8h", "12h", "1d", "3d", "1w", "1M"]
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INTERVAL_VT2BINANCEF: Dict[Interval, str] = {
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Interval.MINUTE: "1m",
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Interval.HOUR: "1h",
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Interval.DAILY: "1d",
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}
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TIMEDELTA_MAP: Dict[Interval, timedelta] = {
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Interval.MINUTE: timedelta(minutes=1),
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Interval.HOUR: timedelta(hours=1),
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Interval.DAILY: timedelta(days=1),
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}
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REST_HOST: str = "https://api.binance.com"
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class BinanceSpotData(RestClient):
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"""现货数据接口"""
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def __init__(self, parent=None):
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super().__init__()
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self.parent = parent
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self.init(url_base=REST_HOST)
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def write_log(self, msg):
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"""日志"""
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if self.parent and hasattr(self.parent, 'write_log'):
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func = getattr(self.parent, 'write_log')
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func(msg)
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else:
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print(msg)
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def get_interval(self, interval, interval_num):
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""" =》K线间隔"""
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t = interval[-1]
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b_interval = f'{interval_num}{t}'
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if b_interval not in BINANCE_INTERVALS:
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return interval
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else:
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return b_interval
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def get_bars(self,
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req: HistoryRequest,
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return_dict=True,
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) -> List[Any]:
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"""获取历史kline"""
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bars = []
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limit = 1000
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start_time = int(datetime.timestamp(req.start))
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b_interval = self.get_interval(INTERVAL_VT2BINANCEF[req.interval], req.interval_num)
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while True:
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# Create query params
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params = {
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"symbol": req.symbol,
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"interval": b_interval,
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"limit": limit,
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"startTime": start_time * 1000, # convert to millisecond
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}
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# Add end time if specified
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if req.end:
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end_time = int(datetime.timestamp(req.end))
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params["endTime"] = end_time * 1000 # convert to millisecond
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# Get response from server
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resp = self.request(
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"GET",
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"/api/v3/klines",
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data={},
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params=params
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)
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# Break if request failed with other status code
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if resp.status_code // 100 != 2:
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msg = f"获取历史数据失败，状态码：{resp.status_code}，信息：{resp.text}"
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self.write_log(msg)
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break
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else:
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datas = resp.json()
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if not datas:
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msg = f"获取历史数据为空，开始时间：{start_time}"
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self.write_log(msg)
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break
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buf = []
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begin, end = None, None
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for data in datas:
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dt = datetime.fromtimestamp(data[0] / 1000) # convert to second
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if not begin:
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begin = dt
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end = dt
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if return_dict:
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bar = {
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"datetime": dt,
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"symbol": req.symbol,
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"exchange": req.exchange.value,
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"vt_symbol": f'{req.symbol}.{req.exchange.value}',
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"interval": req.interval.value,
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"volume": float(data[5]),
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"open": float(data[1]),
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"high": float(data[2]),
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"low": float(data[3]),
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"close": float(data[4]),
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"gateway_name": "",
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"open_interest": 0,
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"trading_day": dt.strftime('%Y-%m-%d')
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}
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else:
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bar = BarData(
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symbol=req.symbol,
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exchange=req.exchange,
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datetime=dt,
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trading_day=dt.strftime('%Y-%m-%d'),
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interval=req.interval,
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volume=float(data[5]),
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open_price=float(data[1]),
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high_price=float(data[2]),
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low_price=float(data[3]),
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close_price=float(data[4]),
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gateway_name=self.gateway_name
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)
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buf.append(bar)
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bars.extend(buf)
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msg = f"获取历史数据成功，{req.symbol} - {b_interval}，{begin} - {end}"
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self.write_log(msg)
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# Break if total data count less than limit (latest date collected)
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if len(datas) < limit:
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break
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# Update start time
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start_dt = end + TIMEDELTA_MAP[req.interval] * req.interval_num
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start_time = int(datetime.timestamp(start_dt))
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return bars
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def export_to(self, bars, file_name):
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"""导出bar到文件"""
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if len(bars) == 0:
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self.write_log('not data in bars')
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return
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import pandas as pd
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df = pd.DataFrame(bars)
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df = df.set_index('datetime')
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df.index.name = 'datetime'
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df.to_csv(file_name, index=True)
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self.write_log('保存成功')
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def get_contracts(self):
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contracts = {}
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# Get response from server
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resp = self.request(
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"GET",
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"/api/v3/exchangeInfo",
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data={}
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)
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if resp.status_code // 100 != 2:
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msg = f"获取交易所失败，状态码：{resp.status_code}，信息：{resp.text}"
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self.write_log(msg)
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else:
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data = resp.json()
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for d in data["symbols"]:
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self.write_log(json.dumps(d, indent=2))
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base_currency = d["baseAsset"]
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quote_currency = d["quoteAsset"]
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name = f"{base_currency.upper()}/{quote_currency.upper()}"
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pricetick = 1
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min_volume = 1
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for f in d["filters"]:
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if f["filterType"] == "PRICE_FILTER":
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pricetick = float(f["tickSize"])
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elif f["filterType"] == "LOT_SIZE":
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min_volume = float(f["stepSize"])
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contract = {
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"symbol": d["symbol"],
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"exchange": Exchange.BINANCE.value,
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"vt_symbol": d["symbol"] + '.' + Exchange.BINANCE.value,
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"name": name,
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"price_tick": pricetick,
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"symbol_size": 20,
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"margin_rate": 1,
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"min_volume": min_volume,
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"product": Product.SPOT.value,
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"commission_rate": 0.005
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}
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contracts.update({contract.get('vt_symbol'): contract})
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return contracts
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@classmethod
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def load_contracts(self):
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"""读取本地配置文件获取期货合约配置"""
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f = os.path.abspath(os.path.join(os.path.dirname(__file__), 'spot_contracts.json'))
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contracts = load_json(f, auto_save=False)
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return contracts
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def save_contracts(self):
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"""保存合约配置"""
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contracts = self.get_contracts()
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if len(contracts) > 0:
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f = os.path.abspath(os.path.join(os.path.dirname(__file__), 'spot_contracts.json'))
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save_json(f, contracts)
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self.write_log(f'保存合约配置=>{f}')
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@ -398,7 +398,7 @@ class TdxFutureData(object):
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add_bar.low_price = float(row['low'])
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add_bar.close_price = float(row['close'])
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add_bar.volume = float(row['volume'])
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add_bar.openInterest = float(row['open_interest'])
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add_bar.open_interest = float(row['open_interest'])
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except Exception as ex:
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self.write_error(
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'error when convert bar:{},ex:{},t:{}'.format(row, str(ex), traceback.format_exc()))
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@ -453,9 +453,12 @@ class OmsEngine(BaseEngine):
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contract_file_name = 'vn_contract.pkb2'
|
||||
if not os.path.exists(contract_file_name):
|
||||
return
|
||||
try:
|
||||
with bz2.BZ2File(contract_file_name, 'rb') as f:
|
||||
self.contracts = pickle.load(f)
|
||||
self.write_log(f'加载缓存合约字典:{contract_file_name}')
|
||||
except Exception as ex:
|
||||
self.write_log(f'加载缓存合约异常:{str(ex)}')
|
||||
|
||||
# 更新自定义合约
|
||||
custom_contracts = self.get_all_custom_contracts()
|
||||
|
||||
@ -74,7 +74,7 @@ def get_underlying_symbol(symbol: str):
|
||||
p = re.compile(r"([A-Z]+)[0-9]+", re.I)
|
||||
underlying_symbol = p.match(symbol)
|
||||
|
||||
if underlying_symbol is None:
|
||||
if underlying_symbol is None or len(underlying_symbol) == 0:
|
||||
return symbol
|
||||
|
||||
return underlying_symbol.group(1)
|
||||
|
||||
Loading…
Reference in New Issue
Block a user