From 5543976f7b3c2e6e4c692527078ca4aa159c7a0b Mon Sep 17 00:00:00 2001 From: chenxy123 Date: Wed, 9 Mar 2016 20:07:29 +0800 Subject: [PATCH 1/6] =?UTF-8?q?=E4=BF=AE=E5=A4=8Dvn.oanda=E4=B8=AD?= =?UTF-8?q?=E6=9C=8D=E5=8A=A1=E5=99=A8=E5=9C=B0=E5=9D=80=E7=9A=84bug?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vn.oanda/vnoanda.py | 2 +- vn.trader/oandaGateway/vnoanda.py | 2 +- 2 files changed, 2 insertions(+), 2 deletions(-) diff --git a/vn.oanda/vnoanda.py b/vn.oanda/vnoanda.py index a53eafe9..6272b651 100644 --- a/vn.oanda/vnoanda.py +++ b/vn.oanda/vnoanda.py @@ -9,7 +9,7 @@ from threading import Thread API_SETTING = {} API_SETTING['practice'] = {'rest': 'https://api-fxpractice.oanda.com', 'stream': 'https://stream-fxpractice.oanda.com'} -API_SETTING['trade'] = {'rest': 'https://api-fxpractice.oanda.com', +API_SETTING['trade'] = {'rest': 'https://api-fxtrade.oanda.com', 'stream': 'https://stream-fxtrade.oanda.com/'} diff --git a/vn.trader/oandaGateway/vnoanda.py b/vn.trader/oandaGateway/vnoanda.py index 570d3f73..62f29609 100644 --- a/vn.trader/oandaGateway/vnoanda.py +++ b/vn.trader/oandaGateway/vnoanda.py @@ -9,7 +9,7 @@ from threading import Thread API_SETTING = {} API_SETTING['practice'] = {'rest': 'https://api-fxpractice.oanda.com', 'stream': 'https://stream-fxpractice.oanda.com'} -API_SETTING['trade'] = {'rest': 'https://api-fxpractice.oanda.com', +API_SETTING['trade'] = {'rest': 'https://api-fxtrade.oanda.com', 'stream': 'https://stream-fxtrade.oanda.com/'} From 2a4dfc36b0f2d0401a963aa659912a0d1ffdc45e Mon Sep 17 00:00:00 2001 From: chenxy123 Date: Thu, 10 Mar 2016 19:26:03 +0800 Subject: [PATCH 2/6] =?UTF-8?q?=E4=BF=AE=E5=A4=8DCTA=E6=A8=A1=E5=9D=97?= =?UTF-8?q?=E4=B8=AD=E7=BC=BA=E5=B0=91=E7=9A=84SETTING=5FDB=5FNAME?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vn.trader/ctaAlgo/ctaBase.py | 1 + 1 file changed, 1 insertion(+) diff --git a/vn.trader/ctaAlgo/ctaBase.py b/vn.trader/ctaAlgo/ctaBase.py index 4d91d33e..56c058c1 100644 --- a/vn.trader/ctaAlgo/ctaBase.py +++ b/vn.trader/ctaAlgo/ctaBase.py @@ -28,6 +28,7 @@ STOPORDER_TRIGGERED = u'已触发' STOPORDERPREFIX = 'CtaStopOrder.' # 数据库名称 +SETTING_DB_NAME = 'VnTrader_Setting_Db' TICK_DB_NAME = 'VtTrader_Tick_Db' DAILY_DB_NAME = 'VtTrader_Daily_Db' MINUTE_DB_NAME = 'VtTrader_1Min_Db' From 97c244893c49698f59d706bca3c346ef37f1e263 Mon Sep 17 00:00:00 2001 From: sniper24 Date: Mon, 21 Mar 2016 00:22:15 +0800 Subject: [PATCH 3/6] Update test.py MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit 修改getPriceHisory方法的入参格式 --- vn.oanda/test.py | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/vn.oanda/test.py b/vn.oanda/test.py index e86559bb..eb3fdb88 100644 --- a/vn.oanda/test.py +++ b/vn.oanda/test.py @@ -19,7 +19,7 @@ if __name__ == '__main__': #api.getPrices({'instruments': 'EUR_USD'}) # 获取历史数据，失败 - #api.getPriceHisory({'instruments': 'EUR_USD', + #api.getPriceHisory({'instrument': 'EUR_USD', #'granularity': 'D', #'candleFormat': 'midpoint', #'count': '50'}) @@ -102,4 +102,4 @@ if __name__ == '__main__': #api.getAutochartist({'instrument': 'EUR_USD'}) # 阻塞 - input() \ No newline at end of file + input() From 5f65f553b8d1b9f7e42ceef2e79dd41552733bcf Mon Sep 17 00:00:00 2001 From: sniper24 Date: Mon, 21 Mar 2016 00:24:37 +0800 Subject: [PATCH 4/6] Update vnoanda.py --- vn.oanda/vnoanda.py | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/vn.oanda/vnoanda.py b/vn.oanda/vnoanda.py index 6272b651..a1ff6f30 100644 --- a/vn.oanda/vnoanda.py +++ b/vn.oanda/vnoanda.py @@ -87,7 +87,7 @@ class OandaApi(object): self.initFunctionSetting(FUNCTIONCODE_GETPRICES, {'path': '/v1/prices', 'method': 'GET'}) - self.initFunctionSetting(FUNCTIONCODE_GETPRICEHISTORY, {'path': 'v1/candles', + self.initFunctionSetting(FUNCTIONCODE_GETPRICEHISTORY, {'path': '/v1/candles', 'method': 'GET'}) self.initFunctionSetting(FUNCTIONCODE_GETACCOUNTS, {'path': '/v1/accounts', @@ -605,4 +605,4 @@ class OandaApi(object): if not self.active: break else: - self.onError(error, -1) \ No newline at end of file + self.onError(error, -1) From ecbc5b7e3f4bd462d92ff02012cc09c5d55520cb Mon Sep 17 00:00:00 2001 From: chenxy123 Date: Mon, 28 Mar 2016 20:52:15 +0800 Subject: [PATCH 5/6] =?UTF-8?q?=E4=BF=AE=E5=A4=8D=E9=83=A8=E5=88=86bug?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vn.oanda/vnoanda.py | 5 ++-- vn.trader/ctaAlgo/ctaBacktesting.py | 13 ++++++++- vn.trader/ctpGateway/ctpGateway.py | 45 ++++++++++++++++++++--------- vn.trader/oandaGateway/vnoanda.py | 5 ++-- 4 files changed, 49 insertions(+), 19 deletions(-) diff --git a/vn.oanda/vnoanda.py b/vn.oanda/vnoanda.py index 6272b651..9a77b35c 100644 --- a/vn.oanda/vnoanda.py +++ b/vn.oanda/vnoanda.py @@ -177,8 +177,9 @@ class OandaApi(object): #---------------------------------------------------------------------- def exit(self): """退出接口""" - self.active = False - self.reqThread.join() + if self.active: + self.active = False + self.reqThread.join() #---------------------------------------------------------------------- def initFunctionSetting(self, code, setting): diff --git a/vn.trader/ctaAlgo/ctaBacktesting.py b/vn.trader/ctaAlgo/ctaBacktesting.py index 69060680..3ca8d909 100644 --- a/vn.trader/ctaAlgo/ctaBacktesting.py +++ b/vn.trader/ctaAlgo/ctaBacktesting.py @@ -283,11 +283,14 @@ class BacktestingEngine(object): # 1. 假设当根K线的OHLC分别为：100, 125, 90, 110 # 2. 假设在上一根K线结束(也是当前K线开始)的时刻，策略发出的委托为限价105 # 3. 则在实际中的成交价会是100而不是105，因为委托发出时市场的最优价格是100 + # 同时更新策略对象的持仓情况 if buyCross: trade.price = min(order.price, bestCrossPrice) + self.strategy.pos += order.totalVolume else: trade.price = max(order.price, bestCrossPrice) - + self.strategy.pos -= order.totalVolume + trade.volume = order.totalVolume trade.tradeTime = str(self.dt) trade.dt = self.dt @@ -322,6 +325,12 @@ class BacktestingEngine(object): # 如果发生了成交 if buyCross or sellCross: + # 更新策略对象的持仓情况 + if buyCross: + self.strategy.pos += order.totalVolume + else: + self.strategy.pos -= order.totalVolume + # 推送成交数据 self.tradeCount += 1 # 成交编号自增1 tradeID = str(self.tradeCount) @@ -463,6 +472,8 @@ class BacktestingEngine(object): pPnl = plt.subplot(3, 1, 3) pPnl.set_ylabel("pnl") pPnl.hist(pnlList, bins=20) + + plt.show() # 输出 self.output('-' * 50) diff --git a/vn.trader/ctpGateway/ctpGateway.py b/vn.trader/ctpGateway/ctpGateway.py index 0a2ff7b1..768ea832 100644 --- a/vn.trader/ctpGateway/ctpGateway.py +++ b/vn.trader/ctpGateway/ctpGateway.py @@ -10,6 +10,7 @@ vtSymbol直接使用symbol import os import json +from copy import copy from vnctpmd import MdApi from vnctptd import TdApi @@ -436,6 +437,8 @@ class CtpTdApi(TdApi): self.frontID = EMPTY_INT # 前置机编号 self.sessionID = EMPTY_INT # 会话编号 + self.posDict = {} # 缓存持仓数据的字典 + #---------------------------------------------------------------------- def onFrontConnected(self): """服务器连接""" @@ -624,33 +627,47 @@ class CtpTdApi(TdApi): #---------------------------------------------------------------------- def onRspQryInvestorPosition(self, data, error, n, last): """持仓查询回报""" - pos = VtPositionData() - pos.gatewayName = self.gatewayName + # 获取缓存字典中的持仓对象，若无则创建并初始化 + positionName = '.'.join([data['InstrumentID'], data['PosiDirection']]) - # 保存代码 - pos.symbol = data['InstrumentID'] - pos.vtSymbol = pos.symbol # 这里因为data中没有ExchangeID这个字段 + if positionName in self.posDict: + pos = self.posDict[positionName] + else: + pos = VtPositionData() + self.posDict[positionName] = pos + + pos.gatewayName = self.gatewayName - # 方向和持仓冻结数量 - pos.direction = posiDirectionMapReverse.get(data['PosiDirection'], '') + # 保存代码 + pos.symbol = data['InstrumentID'] + pos.vtSymbol = pos.symbol # 这里因为data中没有ExchangeID这个字段 + + # 方向 + pos.direction = posiDirectionMapReverse.get(data['PosiDirection'], '') + + # VT系统持仓名 + pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction]) + + # 持仓冻结数量 if pos.direction == DIRECTION_NET or pos.direction == DIRECTION_LONG: pos.frozen = data['LongFrozen'] elif pos.direction == DIRECTION_SHORT: pos.frozen = data['ShortFrozen'] # 持仓量 - pos.position = data['Position'] - pos.ydPosition = data['YdPosition'] + if data['Position']: + pos.position = data['Position'] + + if data['YdPosition']: + pos.ydPosition = data['YdPosition'] # 持仓均价 if pos.position: pos.price = data['PositionCost'] / pos.position - - # VT系统持仓名 - pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction]) - + # 推送 - self.gateway.onPosition(pos) + newpos = copy(pos) + self.gateway.onPosition(newpos) #---------------------------------------------------------------------- def onRspQryTradingAccount(self, data, error, n, last): diff --git a/vn.trader/oandaGateway/vnoanda.py b/vn.trader/oandaGateway/vnoanda.py index 62f29609..57d1d16e 100644 --- a/vn.trader/oandaGateway/vnoanda.py +++ b/vn.trader/oandaGateway/vnoanda.py @@ -177,8 +177,9 @@ class OandaApi(object): #---------------------------------------------------------------------- def exit(self): """退出接口""" - self.active = False - self.reqThread.join() + if self.active: + self.active = False + self.reqThread.join() #---------------------------------------------------------------------- def initFunctionSetting(self, code, setting): From 941908687b7adc709e9496e2729d51f462d4259f Mon Sep 17 00:00:00 2001 From: chenxy123 Date: Sat, 2 Apr 2016 12:33:41 +0800 Subject: [PATCH 6/6] =?UTF-8?q?=E6=94=B9=E8=BF=9B=E4=BA=86CTA=E5=BC=95?= =?UTF-8?q?=E6=93=8E=E6=A8=A1=E5=9D=97=EF=BC=8C=E5=A2=9E=E5=8A=A0=E4=BA=86?= =?UTF-8?q?=E5=90=88=E7=BA=A6=E5=A4=A7=E5=B0=8F=E3=80=81=E7=99=BE=E5=88=86?= =?UTF-8?q?=E6=AF=94=E6=89=8B=E7=BB=AD=E8=B4=B9=E7=9A=84=E6=94=AF=E6=8C=81?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vn.trader/ctaAlgo/IF0000_1min.csv | 21095 ++++++++++++++++++++++++++ vn.trader/ctaAlgo/ctaBacktesting.py | 76 +- vn.trader/ctaAlgo/ctaDemo.py | 1 - 3 files changed, 21146 insertions(+), 26 deletions(-) diff --git a/vn.trader/ctaAlgo/IF0000_1min.csv b/vn.trader/ctaAlgo/IF0000_1min.csv index d9e62bf5..d74a5a4f 100644 --- a/vn.trader/ctaAlgo/IF0000_1min.csv +++ b/vn.trader/ctaAlgo/IF0000_1min.csv @@ -367735,3 +367735,21098 @@ 2015/11/25,15:13:00,3695.8,3696.6,3695.2,3695.2,95 2015/11/25,15:14:00,3695.2,3698.0,3695.0,3698.0,122 2015/11/25,15:15:00,3698.2,3698.8,3695.0,3695.0,171 +2015/11/26,09:16:00,3701.6,3710.0,3701.6,3707.6,278 +2015/11/26,09:17:00,3706.0,3707.0,3705.0,3706.0,154 +2015/11/26,09:18:00,3707.2,3710.6,3705.8,3710.6,69 +2015/11/26,09:19:00,3711.0,3716.8,3710.8,3716.0,149 +2015/11/26,09:20:00,3714.6,3717.0,3714.4,3715.8,74 +2015/11/26,09:21:00,3716.0,3717.0,3714.4,3716.8,79 +2015/11/26,09:22:00,3717.0,3719.6,3717.0,3717.6,81 +2015/11/26,09:23:00,3718.0,3718.0,3714.0,3715.0,82 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3ca8d909..14a3095b 100644 --- a/vn.trader/ctaAlgo/ctaBacktesting.py +++ b/vn.trader/ctaAlgo/ctaBacktesting.py @@ -45,6 +45,8 @@ class BacktestingEngine(object): self.mode = self.BAR_MODE # 回测模式，默认为K线 self.slippage = 0 # 回测时假设的滑点 + self.rate = 0 # 回测时假设的佣金比例（适用于百分比佣金） + self.size = 1 # 合约大小，默认为1 self.dbClient = None # 数据库客户端 self.dbCursor = None # 数据库指针 @@ -283,14 +285,13 @@ class BacktestingEngine(object): # 1. 假设当根K线的OHLC分别为：100, 125, 90, 110 # 2. 假设在上一根K线结束(也是当前K线开始)的时刻，策略发出的委托为限价105 # 3. 则在实际中的成交价会是100而不是105，因为委托发出时市场的最优价格是100 - # 同时更新策略对象的持仓情况 if buyCross: trade.price = min(order.price, bestCrossPrice) self.strategy.pos += order.totalVolume else: trade.price = max(order.price, bestCrossPrice) self.strategy.pos -= order.totalVolume - + trade.volume = order.totalVolume trade.tradeTime = str(self.dt) trade.dt = self.dt @@ -313,9 +314,11 @@ class BacktestingEngine(object): if self.mode == self.BAR_MODE: 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 else: buyCrossPrice = self.tick.lastPrice sellCrossPrice = self.tick.lastPrice + bestCrossPrice = self.tick.lastPrice # 遍历停止单字典中的所有停止单 for stopOrderID, so in self.workingStopOrderDict.items(): @@ -325,12 +328,6 @@ class BacktestingEngine(object): # 如果发生了成交 if buyCross or sellCross: - # 更新策略对象的持仓情况 - if buyCross: - self.strategy.pos += order.totalVolume - else: - self.strategy.pos -= order.totalVolume - # 推送成交数据 self.tradeCount += 1 # 成交编号自增1 tradeID = str(self.tradeCount) @@ -339,6 +336,13 @@ class BacktestingEngine(object): trade.tradeID = tradeID trade.vtTradeID = tradeID + if buyCross: + self.strategy.pos += so.volume + trade.price = max(bestCrossPrice, so.price) + else: + self.strategy.pos -= so.volume + trade.price = min(bestCrossPrice, so.price) + self.limitOrderCount += 1 orderID = str(self.limitOrderCount) trade.orderID = orderID @@ -346,7 +350,6 @@ class BacktestingEngine(object): trade.direction = so.direction trade.offset = so.offset - trade.price = so.price trade.volume = so.volume trade.tradeTime = str(self.dt) trade.dt = self.dt @@ -414,6 +417,9 @@ class BacktestingEngine(object): longTrade = [] # 未平仓的多头交易 shortTrade = [] # 未平仓的空头交易 + # 计算滑点，一个来回包括两次 + totalSlippage = self.slippage * 2 + for trade in self.tradeDict.values(): # 多头交易 if trade.direction == DIRECTION_LONG: @@ -423,8 +429,11 @@ class BacktestingEngine(object): # 当前多头交易为平空 else: entryTrade = shortTrade.pop(0) - # 滑点对于交易而言永远是不利的方向，因此每笔交易开平需要减去两倍的滑点 - pnl = (trade.price - entryTrade.price - self.slippage * 2) * trade.volume * (-1) + # 计算比例佣金 + commission = (trade.price+entryTrade.price) * self.rate + # 计算盈亏 + pnl = ((trade.price - entryTrade.price)*(-1) - totalSlippage - commission) \ + * trade.volume * self.size pnlDict[trade.dt] = pnl # 空头交易 else: @@ -434,7 +443,11 @@ class BacktestingEngine(object): # 当前空头交易为平多 else: entryTrade = longTrade.pop(0) - pnl = (trade.price - entryTrade.price - self.slippage * 2) * trade.volume + # 计算比例佣金 + commission = (trade.price+entryTrade.price) * self.rate + # 计算盈亏 + pnl = ((trade.price - entryTrade.price) - totalSlippage - commission) \ + * trade.volume * self.size pnlDict[trade.dt] = pnl # 然后基于每笔交易的结果，我们可以计算具体的盈亏曲线和最大回撤等 @@ -458,6 +471,14 @@ class BacktestingEngine(object): maxCapitalList.append(maxCapital) drawdownList.append(drawdown) + # 输出 + self.output('-' * 50) + self.output(u'第一笔交易时间：%s' % timeList[0]) + self.output(u'最后一笔交易时间：%s' % timeList[-1]) + self.output(u'总交易次数：%s' % len(pnlList)) + self.output(u'总盈亏：%s' % capitalList[-1]) + self.output(u'最大回撤: %s' % min(drawdownList)) + # 绘图 import matplotlib.pyplot as plt @@ -474,14 +495,6 @@ class BacktestingEngine(object): pPnl.hist(pnlList, bins=20) plt.show() - - # 输出 - self.output('-' * 50) - self.output(u'第一笔交易时间：%s' % timeList[0]) - self.output(u'最后一笔交易时间：%s' % timeList[-1]) - self.output(u'总交易次数：%s' % len(pnlList)) - self.output(u'总盈亏：%s' % capitalList[-1]) - self.output(u'最大回撤: %s' % min(drawdownList)) #---------------------------------------------------------------------- def putStrategyEvent(self, name): @@ -492,6 +505,17 @@ class BacktestingEngine(object): def setSlippage(self, slippage): """设置滑点""" self.slippage = slippage + + #---------------------------------------------------------------------- + def setSize(self, size): + """设置合约大小""" + self.size = size + + #---------------------------------------------------------------------- + def setRate(self, rate): + """设置佣金比例""" + self.rate = rate + if __name__ == '__main__': @@ -505,16 +529,18 @@ if __name__ == '__main__': # 设置引擎的回测模式为K线 engine.setBacktestingMode(engine.BAR_MODE) - - # 设置滑点 - engine.setSlippage(0.2) # 股指1跳 - + # 设置回测用的数据起始日期 - engine.setStartDate('20100416') + engine.setStartDate('20120101') # 载入历史数据到引擎中 engine.loadHistoryData(MINUTE_DB_NAME, 'IF0000') + # 设置产品相关参数 + engine.setSlippage(0.2) # 股指1跳 + engine.setRate(0.3/10000) # 万0.3 + engine.setSize(300) # 股指合约大小 + # 在引擎中创建策略对象 engine.initStrategy(DoubleEmaDemo, {}) diff --git a/vn.trader/ctaAlgo/ctaDemo.py b/vn.trader/ctaAlgo/ctaDemo.py index 660c6667..4391fb21 100644 --- a/vn.trader/ctaAlgo/ctaDemo.py +++ b/vn.trader/ctaAlgo/ctaDemo.py @@ -285,4 +285,3 @@ class OrderManagementDemo(CtaTemplate): """收到成交推送（必须由用户继承实现）""" # 对于无需做细粒度委托控制的策略，可以忽略onOrder pass -