save demostrategy data in backtesting

vn.strategy/strategydemo/backtestingEngine.py

@@ -384,12 +384,22 @@ class BacktestingEngine(object):
             values = ''
 
             print u'共{0}条交易记录.'.format(len(self.listTrade))
+
+            if len(self.listTrade) == 0:
+                return
+
             for tradeItem in self.listTrade:
 
                 if len(values) > 0:
                     values = values + ','
 
-                values = values + '(\'{0}\',\'{1}\',{2},{3},{4},{5},{6},{7},\'{8}\')'.format(
+                if tradeItem['OffsetFlag'] == '0':
+                    amount = 0-float(tradeItem['Price'])*int(tradeItem['Volume'])
+                else:
+                    amount = float(tradeItem['Price'])*int(tradeItem['Volume'])
+
+
+                values = values + '(\'{0}\',\'{1}\',{2},{3},{4},{5},{6},{7},\'{8}\',{9})'.format(
                     self.Id,
                     tradeItem['InstrumentID'],
                     tradeItem['OrderRef'],
@@ -398,7 +408,7 @@ class BacktestingEngine(object):
                     tradeItem['OffsetFlag'],
                     tradeItem['Price'],
                     tradeItem['Volume'],
-                    tradeItem['TradeTime'].strftime('%Y-%m-%d %H:%M:%S'))
+                    tradeItem['TradeTime'].strftime('%Y-%m-%d %H:%M:%S'),amount)
 
             cur = self.__mysqlConnection.cursor(MySQLdb.cursors.DictCursor)
 

vn.strategy/strategydemo/demoBacktesting.py

@@ -8,7 +8,7 @@ import decimal
 def main():
     """回测程序主函数"""
     # symbol = 'IF1506'
-    symbol = 'a'
+    symbol = 'ag'
 
     # 创建回测引擎
     be = BacktestingEngine()
@@ -22,14 +22,14 @@ def main():
     be.connectMysql()
     # be.loadMongoDataHistory(symbol, datetime(2015,5,1), datetime.today())
     # be.loadMongoDataHistory(symbol, datetime(2012,1,9), datetime(2012,1,14))
-    be.loadMysqlDataHistory(symbol, datetime(2012,1,9), datetime(2012,1,14))
+    be.loadMysqlDataHistory(symbol, datetime(2012,6,9), datetime(2012,6,20))
 
     # 创建策略对象
     setting = {}
     setting['fastAlpha'] = 0.2
     setting['slowAlpha'] =  0.05
     # setting['startDate'] = datetime(year=2015, month=5, day=20)
-    setting['startDate'] = datetime(year=2012, month=1, day=9)
+    setting['startDate'] = datetime(year=2012, month=6, day=9)
 
     se.createStrategy(u'EMA演示策略', symbol, SimpleEmaStrategy, setting)
 

vn.strategy/strategydemo/strategyEngine.py

@@ -347,6 +347,8 @@ class StrategyEngine(object):
             # cx = cur.fetchall()
             fetch_counts = 0
 
+            cx = None
+
             fetch_size = 1000
 
             while True:
@@ -355,8 +357,6 @@ class StrategyEngine(object):
                 if not results:
                     break
 
-
-
                 if fetch_counts == 0:
                     cx = results
                 else:
@@ -421,6 +421,9 @@ class StrategyEngine(object):
 
             print u'共{0}条Bar记录.'.format(len(barList))
 
+            if len(barList) == 0:
+                return
+
             steps = 0
 
             for bar in barList:
@@ -478,6 +481,9 @@ class StrategyEngine(object):
 
             print u'共{0}条EMA记录.'.format(len(emaList))
 
+            if len(emaList) == 0:
+                return
+
             steps = 0
 
             for ema in emaList: