增加回测非标准套利合约的方法。
This commit is contained in:
msincenselee
parent
a56b0524e9
commit
d19a5d721e
@ -25,6 +25,7 @@ from vtGateway import VtOrderData, VtTradeData
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from vtFunction import loadMongoSetting
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import logging
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import copy
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import pandas as pd
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########################################################################
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class BacktestingEngine(object):
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@ -90,6 +91,10 @@ class BacktestingEngine(object):
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self.workingLimitOrderDict = OrderedDict() # 活动限价单字典，用于进行撮合用
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self.limitOrderCount = 0 # 限价单编号
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# 持仓缓存字典
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# key为vtSymbol，value为PositionBuffer对象
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self.posBufferDict = {}
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self.tradeCount = 0 # 成交编号
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self.tradeDict = OrderedDict() # 成交字典
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@ -420,9 +425,8 @@ class BacktestingEngine(object):
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def __dataToTick(self, data):
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"""
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数据库查询返回的data结构，转换为tick对象
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added by IncenseLee
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"""
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tick = CtaTickData()
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added by IncenseLee """
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tick = CtaTickData()
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symbol = data['InstrumentID']
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tick.symbol = symbol
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@ -775,6 +779,349 @@ class BacktestingEngine(object):
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cache.close()
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return True
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def runBackTestingWithNonStrArbTickFile(self, leg1MainPath, leg2MainPath, leg1Symbol,leg2Symbol):
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"""运行套利回测（使用本地tickcsv数据)
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参数：
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leg1MainPath： leg1合约所在的市场路径
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leg2MainPath： leg2合约所在的市场路径
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leg1Symbol： leg1合约
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Leg2Symbol：leg2合约
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added by IncenseLee
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原始的tick，分别存放在白天目录1和夜盘目录2中，每天都有各个合约的数据
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Z:\ticks\SHFE\201606\RB\0601\
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RB1610.txt
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RB1701.txt
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....
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Z:\ticks\SHFE_night\201606\RB\0601
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RB1610.txt
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RB1701.txt
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....
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夜盘目录为自然日，不是交易日。
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按照回测的开始日期，到结束日期，循环每一天。
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每天优先读取日盘数据，再读取夜盘数据。
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读取eg1（如RB1610），读取Leg2（如RB701），根据两者tick的时间优先顺序，逐一tick灌输到策略的onTick中。
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"""
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self.capital = self.initCapital # 更新设置期初资金
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if not self.dataStartDate:
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self.writeCtaLog(u'回测开始日期未设置。')
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return
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# RB
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if len(self.symbol)<1:
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self.writeCtaLog(u'回测对象未设置。')
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return
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if not self.dataEndDate:
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self.dataEndDate = datetime.today()
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#首先根据回测模式，确认要使用的数据类
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if self.mode == self.BAR_MODE:
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self.writeCtaLog(u'本回测仅支持tick模式')
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return
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testdays = (self.dataEndDate - self.dataStartDate).days
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if testdays < 1:
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self.writeCtaLog(u'回测时间不足')
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return
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for i in range(0, testdays):
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testday = self.dataStartDate + timedelta(days = i)
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self.output(u'回测日期:{0}'.format(testday))
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# 加载运行白天数据
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self.__loadNotStdArbTicks(leg1MainPath, leg2MainPath, testday, leg1Symbol,leg2Symbol)
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# 加载运行夜盘数据
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self.__loadNotStdArbTicks(leg1MainPath+'_night', leg2MainPath+'_night', testday, leg1Symbol, leg2Symbol)
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def __loadTicksFromFile(self, filepath, tickDate, vtSymbol):
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"""从文件中读取tick"""
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# 先读取数据到Dict，以日期时间为key
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ticks = OrderedDict()
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if not os.path.isfile(filepath):
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self.writeCtaLog(u'{0}文件不存在'.format(filepath))
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return ticks
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dt = None
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csvReadFile = file(filepath, 'rb')
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reader = csv.DictReader(csvReadFile, delimiter=",")
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self.writeCtaLog(u'加载{0}'.format(filepath))
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for row in reader:
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tick = CtaTickData()
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tick.vtSymbol = vtSymbol
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tick.symbol = vtSymbol
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tick.date = tickDate.strftime('%Y%m%d')
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tick.tradingDay = tick.date
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tick.time = row['Time']
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try:
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tick.datetime = datetime.strptime(tick.date + ' ' + tick.time, '%Y%m%d %H:%M:%S.%f')
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except Exception as ex:
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self.writeCtaError(u'日期转换错误:{0},{1}:{2}'.format(tick.date + ' ' + tick.time, Exception, ex))
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continue
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# 修正毫秒
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if tick.datetime.replace(microsecond=0) == dt:
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# 与上一个tick的时间（去除毫秒后）相同,修改为500毫秒
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tick.datetime = tick.datetime.replace(microsecond=500)
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tick.time = tick.datetime.strftime('%H:%M:%S.%f')
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else:
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tick.datetime = tick.datetime.replace(microsecond=0)
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tick.time = tick.datetime.strftime('%H:%M:%S.%f')
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dt = tick.datetime
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tick.lastPrice = float(row['LastPrice'])
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tick.volume = int(float(row['LVolume']))
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tick.bidPrice1 = float(row['BidPrice']) # 叫买价（价格低）
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tick.bidVolume1 = int(float(row['BidVolume']))
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tick.askPrice1 = float(row['AskPrice']) # 叫卖价（价格高）
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tick.askVolume1 = int(float(row['AskVolume']))
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# 排除涨停/跌停的数据
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if (tick.bidPrice1 == float('1.79769E308') and tick.bidVolume1 == 0) \
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or (tick.askPrice1 == float('1.79769E308') and tick.askVolume1 == 0):
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continue
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dtStr = tick.date + ' ' + tick.time
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if dtStr in ticks:
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self.writeCtaError(u'日内数据重复，异常,数据时间为:{0}'.format(dtStr))
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else:
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ticks[dtStr] = tick
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return ticks
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def __loadNotStdArbTicks(self, leg1MainPath,leg2MainPath, testday, leg1Symbol, leg2Symbol):
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self.writeCtaLog(u'加载回测日期:{0}的价差tick'.format( testday))
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leg1File = u'z:\\ticks\\{0}\\{1}\\{2}\\{3}\\{4}.txt' \
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.format(leg1MainPath, testday.strftime('%Y%m'), self.symbol, testday.strftime('%m%d'), leg1Symbol)
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if not os.path.isfile(leg1File):
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self.writeCtaLog(u'{0}文件不存在'.format(leg1File))
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return
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leg2File = u'z:\\ticks\\{0}\\{1}\\{2}\\{3}\\{4}.txt' \
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.format(leg2MainPath, testday.strftime('%Y%m'), self.symbol, testday.strftime('%m%d'), leg2Symbol)
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if not os.path.isfile(leg2File):
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self.writeCtaLog(u'{0}文件不存在'.format(leg2File))
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return
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leg1Ticks = self.__loadTicksFromFile(filepath=leg1File,tickDate= testday, vtSymbol=leg1Symbol)
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if len(leg1Ticks) == 0:
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self.writeCtaLog(u'{0}读取tick数为空'.format(leg1File))
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return
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leg2Ticks = self.__loadTicksFromFile(filepath=leg2File, tickDate=testday, vtSymbol=leg2Symbol)
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if len(leg2Ticks) == 0:
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self.writeCtaLog(u'{0}读取tick数为空'.format(leg1File))
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return
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leg1_tick = None
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leg2_tick = None
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while not (len(leg1Ticks) == 0 or len(leg2Ticks) == 0):
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if leg1_tick is None and len(leg1Ticks) > 0:
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leg1_tick = leg1Ticks.popitem(last=False)
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if leg2_tick is None and len(leg2Ticks) > 0:
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leg2_tick = leg2Ticks.popitem(last=False)
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if leg1_tick is None and leg2_tick is not None:
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self.newTick(leg2_tick[1])
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leg2_tick = None
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elif leg1_tick is not None and leg2_tick is None:
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self.newTick(leg1_tick[1])
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leg1_tick = None
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elif leg1_tick is not None and leg2_tick is not None:
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leg1 = leg1_tick[1]
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leg2 = leg2_tick[1]
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if leg1.datetime <= leg2.datetime:
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self.newTick(leg1)
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leg1_tick = None
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else:
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self.newTick(leg2)
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leg2_tick = None
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def runBackTestingWithNonStrArbTickFile2(self, leg1MainPath, leg2MainPath, leg1Symbol, leg2Symbol):
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"""运行套利回测（使用本地tickcsv数据，数据从taobao标普购买)
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参数：
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leg1MainPath： leg1合约所在的市场路径
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leg2MainPath： leg2合约所在的市场路径
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leg1Symbol： leg1合约
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Leg2Symbol：leg2合约
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added by IncenseLee
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原始的tick，存放在相应市场下每天的目录中，目录包含市场各个合约的数据
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E:\ticks\SQ\201606\20160601\
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RB10.csv
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RB01.csv
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....
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目录为交易日。
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按照回测的开始日期，到结束日期，循环每一天。
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读取eg1（如RB1610），读取Leg2（如RB701），根据两者tick的时间优先顺序，逐一tick灌输到策略的onTick中。
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"""
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self.capital = self.initCapital # 更新设置期初资金
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if not self.dataStartDate:
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self.writeCtaLog(u'回测开始日期未设置。')
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return
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# RB
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if len(self.symbol) < 1:
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self.writeCtaLog(u'回测对象未设置。')
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return
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if not self.dataEndDate:
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self.dataEndDate = datetime.today()
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# 首先根据回测模式，确认要使用的数据类
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if self.mode == self.BAR_MODE:
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self.writeCtaLog(u'本回测仅支持tick模式')
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return
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testdays = (self.dataEndDate - self.dataStartDate).days
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if testdays < 1:
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self.writeCtaLog(u'回测时间不足')
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return
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for i in range(0, testdays):
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testday = self.dataStartDate + timedelta(days=i)
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self.output(u'回测日期:{0}'.format(testday))
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# 加载运行每天数据
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self.__loadNotStdArbTicks2(leg1MainPath, leg2MainPath, testday, leg1Symbol, leg2Symbol)
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def __loadTicksFromFile2(self, filepath, tickDate, vtSymbol):
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"""从csv文件中UnicodeDictReader读取tick"""
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# 先读取数据到Dict，以日期时间为key
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ticks = OrderedDict()
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if not os.path.isfile(filepath):
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self.writeCtaLog(u'{0}文件不存在'.format(filepath))
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return ticks
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dt = None
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csvReadFile = file(filepath, 'rb')
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df = pd.read_csv(filepath, encoding='gbk')
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df.columns = ['date', 'time', 'lastPrice', 'lastVolume', 'totalInterest', 'position',
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'bidPrice1', 'bidVolume1', 'bidPrice2', 'bidVolume2', 'bidPrice3', 'bidVolume3',
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'askPrice1', 'askVolume1', 'askPrice2', 'askVolume2', 'askPrice3', 'askVolume3','BS']
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self.writeCtaLog(u'加载{0}'.format(filepath))
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for i in range(0,len(df)):
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#日期, 时间, 成交价, 成交量, 总量, 属性(持仓增减), B1价, B1量, B2价, B2量, B3价, B3量, S1价, S1量, S2价, S2量, S3价, S3量, BS
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# 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18
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row = df.iloc[i].to_dict()
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tick = CtaTickData()
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tick.vtSymbol = vtSymbol
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tick.symbol = vtSymbol
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tick.date = row['date']
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tick.tradingDay = tickDate.strftime('%Y%m%d')
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tick.time = row['time']
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try:
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tick.datetime = datetime.strptime(tick.date + ' ' + tick.time, '%Y-%m-%d %H:%M:%S')
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except Exception as ex:
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self.writeCtaError(u'日期转换错误:{0},{1}:{2}'.format(tick.date + ' ' + tick.time, Exception, ex))
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continue
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tick.date = tick.datetime.strftime('%Y%m%d')
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# 修正毫秒
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if tick.datetime.replace(microsecond=0) == dt:
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# 与上一个tick的时间（去除毫秒后）相同,修改为500毫秒
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tick.datetime = tick.datetime.replace(microsecond=500)
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tick.time = tick.datetime.strftime('%H:%M:%S.%f')
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else:
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tick.datetime = tick.datetime.replace(microsecond=0)
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tick.time = tick.datetime.strftime('%H:%M:%S.%f')
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dt = tick.datetime
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tick.lastPrice = float(row['lastPrice'])
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tick.volume = int(float(row['lastVolume']))
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tick.bidPrice1 = float(row['bidPrice1']) # 叫买价（价格低）
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tick.bidVolume1 = int(float(row['bidVolume1']))
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tick.askPrice1 = float(row['askPrice1']) # 叫卖价（价格高）
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tick.askVolume1 = int(float(row['askVolume1']))
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# 排除涨停/跌停的数据
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if (tick.bidPrice1 == float('1.79769E308') and tick.bidVolume1 == 0) \
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or (tick.askPrice1 == float('1.79769E308') and tick.askVolume1 == 0):
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continue
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dtStr = tick.date + ' ' + tick.time
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if dtStr in ticks:
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self.writeCtaError(u'日内数据重复，异常,数据时间为:{0}'.format(dtStr))
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else:
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ticks[dtStr] = tick
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return ticks
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def __loadNotStdArbTicks2(self, leg1MainPath, leg2MainPath, testday, leg1Symbol, leg2Symbol):
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self.writeCtaLog(u'加载回测日期:{0}的价差tick'.format(testday))
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# E:\Ticks\SQ\2014\201401\20140102\ag01_20140102.csv
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leg1File = u'e:\\ticks\\{0}\\{1}\\{2}\\{3}\\{4}{5}_{3}.csv' \
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.format(leg1MainPath, testday.strftime('%Y'), testday.strftime('%Y%m'), testday.strftime('%Y%m%d'), self.symbol, leg1Symbol[-2:])
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if not os.path.isfile(leg1File):
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self.writeCtaLog(u'{0}文件不存在'.format(leg1File))
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return
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leg2File = u'e:\\ticks\\{0}\\{1}\\{2}\\{3}\\{4}{5}_{3}.csv' \
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.format(leg2MainPath,testday.strftime('%Y'), testday.strftime('%Y%m'), testday.strftime('%Y%m%d'), self.symbol, leg2Symbol[-2:])
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if not os.path.isfile(leg2File):
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self.writeCtaLog(u'{0}文件不存在'.format(leg2File))
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return
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leg1Ticks = self.__loadTicksFromFile2(filepath=leg1File, tickDate=testday, vtSymbol=leg1Symbol)
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if len(leg1Ticks) == 0:
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self.writeCtaLog(u'{0}读取tick数为空'.format(leg1File))
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return
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leg2Ticks = self.__loadTicksFromFile2(filepath=leg2File, tickDate=testday, vtSymbol=leg2Symbol)
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if len(leg2Ticks) == 0:
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self.writeCtaLog(u'{0}读取tick数为空'.format(leg1File))
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return
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leg1_tick = None
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leg2_tick = None
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while not (len(leg1Ticks) == 0 or len(leg2Ticks) == 0):
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if leg1_tick is None and len(leg1Ticks) > 0:
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leg1_tick = leg1Ticks.popitem(last=False)
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if leg2_tick is None and len(leg2Ticks) > 0:
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leg2_tick = leg2Ticks.popitem(last=False)
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if leg1_tick is None and leg2_tick is not None:
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self.newTick(leg2_tick[1])
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leg2_tick = None
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elif leg1_tick is not None and leg2_tick is None:
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self.newTick(leg1_tick[1])
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leg1_tick = None
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elif leg1_tick is not None and leg2_tick is not None:
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leg1 = leg1_tick[1]
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leg2 = leg2_tick[1]
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if leg1.datetime <= leg2.datetime:
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self.newTick(leg1)
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leg1_tick = None
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else:
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self.newTick(leg2)
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leg2_tick = None
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#----------------------------------------------------------------------
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def runBackTestingWithBarFile(self, filename):
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"""运行回测（使用本地csv数据)
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@ -831,6 +1178,9 @@ class BacktestingEngine(object):
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try:
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bar = CtaBarData()
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bar.symbol = self.symbol
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bar.vtSymbol = self.symbol
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# 从tb导出的csv文件
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#bar.open = float(row['Open'])
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#bar.high = float(row['High'])
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@ -1130,17 +1480,19 @@ class BacktestingEngine(object):
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sellCrossPrice = self.bar.high # 若卖出方向限价单价格低于该价格，则会成交
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buyBestCrossPrice = self.bar.open # 在当前时间点前发出的买入委托可能的最优成交价
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sellBestCrossPrice = self.bar.open # 在当前时间点前发出的卖出委托可能的最优成交价
|
||||
vtSymbol = self.bar.vtSymbol
|
||||
else:
|
||||
buyCrossPrice = self.tick.askPrice1
|
||||
sellCrossPrice = self.tick.bidPrice1
|
||||
buyBestCrossPrice = self.tick.askPrice1
|
||||
sellBestCrossPrice = self.tick.bidPrice1
|
||||
vtSymbol = self.tick.vtSymbol
|
||||
|
||||
# 遍历限价单字典中的所有限价单
|
||||
for orderID, order in self.workingLimitOrderDict.items():
|
||||
# 判断是否会成交
|
||||
buyCross = order.direction==DIRECTION_LONG and order.price >= buyCrossPrice
|
||||
sellCross = order.direction==DIRECTION_SHORT and order.price <= sellCrossPrice
|
||||
buyCross = order.direction == DIRECTION_LONG and order.price >= buyCrossPrice and vtSymbol == order.vtSymbol
|
||||
sellCross = order.direction == DIRECTION_SHORT and order.price <= sellCrossPrice and vtSymbol == order.vtSymbol
|
||||
|
||||
# 如果发生了成交
|
||||
if buyCross or sellCross:
|
||||
@ -1200,16 +1552,18 @@ class BacktestingEngine(object):
|
||||
buyCrossPrice = self.bar.high # 若买入方向停止单价格低于该价格，则会成交
|
||||
sellCrossPrice = self.bar.low # 若卖出方向限价单价格高于该价格，则会成交
|
||||
bestCrossPrice = self.bar.open # 最优成交价，买入停止单不能低于，卖出停止单不能高于
|
||||
vtSymbol = self.bar.vtSymbol
|
||||
else:
|
||||
buyCrossPrice = self.tick.lastPrice
|
||||
sellCrossPrice = self.tick.lastPrice
|
||||
bestCrossPrice = self.tick.lastPrice
|
||||
vtSymbol = self.tick.vtSymbol
|
||||
|
||||
# 遍历停止单字典中的所有停止单
|
||||
for stopOrderID, so in self.workingStopOrderDict.items():
|
||||
# 判断是否会成交
|
||||
buyCross = so.direction==DIRECTION_LONG and so.price <= buyCrossPrice
|
||||
sellCross = so.direction==DIRECTION_SHORT and so.price >= sellCrossPrice
|
||||
buyCross = so.direction == DIRECTION_LONG and so.price <= buyCrossPrice and vtSymbol == so.vtSymbol
|
||||
sellCross = so.direction == DIRECTION_SHORT and so.price >= sellCrossPrice and vtSymbol == so.vtSymbol
|
||||
|
||||
# 如果发生了成交
|
||||
if buyCross or sellCross:
|
||||
@ -1334,9 +1688,13 @@ class BacktestingEngine(object):
|
||||
if len(shortTrade)==0:
|
||||
self.writeCtaError(u'异常，没有开空仓的数据')
|
||||
break
|
||||
|
||||
pop_indexs = [i for i, val in enumerate(shortTrade) if val.vtSymbol == trade.vtSymbol]
|
||||
if len(pop_indexs) < 1:
|
||||
self.writeCtaLog(u'没有对应的symbol:{0}开空仓数据'.format(trade.vtSymbol))
|
||||
break
|
||||
pop_index = pop_indexs[0]
|
||||
# 从未平仓的空头交易
|
||||
entryTrade = shortTrade.pop(0)
|
||||
entryTrade = shortTrade.pop(pop_index)
|
||||
|
||||
# 开空volume，不大于平仓volume
|
||||
if coverVolume >= entryTrade.volume:
|
||||
@ -1347,6 +1705,7 @@ class BacktestingEngine(object):
|
||||
groupId=gId, fixcommission=self.fixCommission)
|
||||
|
||||
t = {}
|
||||
t['vtSymbol'] = entryTrade.vtSymbol
|
||||
t['OpenTime'] = entryTrade.tradeTime
|
||||
t['OpenPrice'] = entryTrade.price
|
||||
t['Direction'] = u'Short'
|
||||
@ -1406,6 +1765,7 @@ class BacktestingEngine(object):
|
||||
groupId=gId, fixcommission=self.fixCommission)
|
||||
|
||||
t = {}
|
||||
t['vtSymbol'] = entryTrade.vtSymbol
|
||||
t['OpenTime'] = entryTrade.tradeTime
|
||||
t['OpenPrice'] = entryTrade.price
|
||||
t['Direction'] = u'Short'
|
||||
@ -1467,7 +1827,14 @@ class BacktestingEngine(object):
|
||||
self.writeCtaError(u'异常，没有开多单')
|
||||
break
|
||||
|
||||
entryTrade = longTrade.pop(0)
|
||||
pop_indexs = [i for i, val in enumerate(longTrade) if val.vtSymbol == trade.vtSymbol]
|
||||
if len(pop_indexs) < 1:
|
||||
self.writeCtaLog(u'没有对应的symbol{0}开多仓数据'.format(trade.vtSymbol))
|
||||
break
|
||||
|
||||
pop_index = pop_indexs[0]
|
||||
|
||||
entryTrade = longTrade.pop(pop_index)
|
||||
|
||||
# 开多volume，不大于平仓volume
|
||||
if sellVolume >= entryTrade.volume:
|
||||
@ -1479,6 +1846,7 @@ class BacktestingEngine(object):
|
||||
groupId=gId, fixcommission=self.fixCommission)
|
||||
|
||||
t = {}
|
||||
t['vtSymbol'] = entryTrade.vtSymbol
|
||||
t['OpenTime'] = entryTrade.tradeTime
|
||||
t['OpenPrice'] = entryTrade.price
|
||||
t['Direction'] = u'Long'
|
||||
@ -1534,6 +1902,7 @@ class BacktestingEngine(object):
|
||||
groupId=gId, fixcommission=self.fixCommission)
|
||||
|
||||
t = {}
|
||||
t['vtSymbol'] = entryTrade.vtSymbol
|
||||
t['OpenTime'] = entryTrade.tradeTime
|
||||
t['OpenPrice'] = entryTrade.price
|
||||
t['Direction'] = u'Long'
|
||||
@ -1866,7 +2235,7 @@ class BacktestingEngine(object):
|
||||
|
||||
import csv
|
||||
csvWriteFile = file(csvOutputFile, 'wb')
|
||||
fieldnames = ['OpenTime', 'OpenPrice', 'Direction', 'CloseTime', 'ClosePrice', 'Volume', 'Profit']
|
||||
fieldnames = ['vtSymbol','OpenTime', 'OpenPrice', 'Direction', 'CloseTime', 'ClosePrice', 'Volume', 'Profit']
|
||||
writer = csv.DictWriter(f=csvWriteFile, fieldnames=fieldnames, dialect='excel')
|
||||
writer.writeheader()
|
||||
|
||||
|
||||
Loading…
Reference in New Issue
Block a user