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[Mod] add support for BitMEX inverse contract

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vn.py 2019-10-18 22:55:09 +08:00
parent 90caa3a408
commit da33b01f7b
1 changed files with 34 additions and 16 deletions
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50
vnpy/app/cta_strategy/backtesting.py
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@ -114,6 +114,7 @@ class BacktestingEngine:
self.pricetick = 0 self.pricetick = 0
self.capital = 1_000_000 self.capital = 1_000_000
self.mode = BacktestingMode.BAR self.mode = BacktestingMode.BAR
self.inverse = False
self.strategy_class = None self.strategy_class = None
self.strategy = None self.strategy = None
@ -177,6 +178,7 @@ class BacktestingEngine:
capital: int = 0, capital: int = 0,
end: datetime = None, end: datetime = None,
mode: BacktestingMode = BacktestingMode.BAR, mode: BacktestingMode = BacktestingMode.BAR,
inverse: bool = False
): ):
"""""" """"""
self.mode = mode self.mode = mode
@ -191,14 +193,10 @@ class BacktestingEngine:
self.symbol, exchange_str = self.vt_symbol.split(".") self.symbol, exchange_str = self.vt_symbol.split(".")
self.exchange = Exchange(exchange_str) self.exchange = Exchange(exchange_str)
if capital: self.capital = capital
self.capital = capital self.end = end
self.mode = mode
if end: self.inverse = inverse
self.end = end
if mode:
self.mode = mode
def add_strategy(self, strategy_class: type, setting: dict): def add_strategy(self, strategy_class: type, setting: dict):
"""""" """"""
@ -314,7 +312,12 @@ class BacktestingEngine:
for daily_result in self.daily_results.values(): for daily_result in self.daily_results.values():
daily_result.calculate_pnl( daily_result.calculate_pnl(
pre_close, start_pos, self.size, self.rate, self.slippage pre_close,
start_pos,
self.size,
self.rate,
self.slippage,
self.inverse
) )
pre_close = daily_result.close_price pre_close = daily_result.close_price
@ -1093,6 +1096,7 @@ class DailyResult:
size: int, size: int,
rate: float, rate: float,
slippage: float, slippage: float,
inverse: bool
): ):
"""""" """"""
self.pre_close = pre_close self.pre_close = pre_close
@ -1100,8 +1104,13 @@ class DailyResult:
# Holding pnl is the pnl from holding position at day start # Holding pnl is the pnl from holding position at day start
self.start_pos = start_pos self.start_pos = start_pos
self.end_pos = start_pos self.end_pos = start_pos
self.holding_pnl = self.start_pos * \
(self.close_price - self.pre_close) * size if not inverse: # For normal contract
self.holding_pnl = self.start_pos * \
(self.close_price - self.pre_close) * size
else: # For crypto currency inverse contract
self.holding_pnl = self.start_pos * \
(1 / self.pre_close - 1 / self.close_price) * size
# Trading pnl is the pnl from new trade during the day # Trading pnl is the pnl from new trade during the day
self.trade_count = len(self.trades) self.trade_count = len(self.trades)
@ -1112,14 +1121,23 @@ class DailyResult:
else: else:
pos_change = -trade.volume pos_change = -trade.volume
turnover = trade.price * trade.volume * size
self.trading_pnl += pos_change * \
(self.close_price - trade.price) * size
self.end_pos += pos_change self.end_pos += pos_change
# For normal contract
if not inverse:
turnover = trade.volume * size * trade.price
self.trading_pnl += pos_change * \
(self.close_price - trade.price) * size
self.slippage += trade.volume * size * slippage
# For crypto currency inverse contract
else:
turnover = trade.volume * size / trade.price
self.trading_pnl += pos_change * \
(1 / trade.price - 1 / self.close_price) * size
self.slippage += trade.volume * size * slippage / (trade.price ** 2)
self.turnover += turnover self.turnover += turnover
self.commission += turnover * rate self.commission += turnover * rate
self.slippage += trade.volume * size * slippage
# Net pnl takes account of commission and slippage cost # Net pnl takes account of commission and slippage cost
self.total_pnl = self.trading_pnl + self.holding_pnl self.total_pnl = self.trading_pnl + self.holding_pnl