[bug fix]
This commit is contained in:
msincenselee
parent
8080adf87a
commit
f218c676b1
@ -164,7 +164,7 @@ class BackTestingEngine(object):
|
||||
self.net_capital = self.init_capital # 实时资金净值（每日根据capital和持仓浮盈计算）
|
||||
self.max_capital = self.init_capital # 资金最高净值
|
||||
self.max_net_capital = self.init_capital
|
||||
self.avaliable = self.init_capital
|
||||
self.available = self.init_capital
|
||||
|
||||
self.max_pnl = 0 # 最高盈利
|
||||
self.min_pnl = 0 # 最大亏损
|
||||
@ -261,7 +261,7 @@ class BackTestingEngine(object):
|
||||
if self.net_capital == 0.0:
|
||||
self.percent = 0.0
|
||||
|
||||
return self.net_capital, self.avaliable, self.percent, self.percent_limit
|
||||
return self.net_capital, self.available, self.percent, self.percent_limit
|
||||
|
||||
def set_test_start_date(self, start_date: str = '20100416', init_days: int = 10):
|
||||
"""设置回测的启动日期"""
|
||||
@ -294,7 +294,7 @@ class BackTestingEngine(object):
|
||||
self.net_capital = capital # 实时资金净值（每日根据capital和持仓浮盈计算）
|
||||
self.max_capital = capital # 资金最高净值
|
||||
self.max_net_capital = capital
|
||||
self.avaliable = capital
|
||||
self.available = capital
|
||||
self.init_capital = capital
|
||||
|
||||
def set_margin_rate(self, vt_symbol: str, margin_rate: float):
|
||||
@ -1544,7 +1544,7 @@ class BackTestingEngine(object):
|
||||
holding_cost = holding_cost + cur_holding_cost
|
||||
|
||||
# 可用资金 = 当前净值 - 占用保证金
|
||||
self.avaliable = self.net_capital - holding_cost
|
||||
self.available = self.net_capital - holding_cost
|
||||
# 当前成本占比
|
||||
self.percent = round(float(holding_cost * 100 / self.net_capital), 2)
|
||||
# 更新最大成本占比
|
||||
@ -1595,7 +1595,7 @@ class BackTestingEngine(object):
|
||||
self.write_log(msg)
|
||||
|
||||
# 重新计算一次avaliable
|
||||
self.avaliable = self.net_capital - holding_cost
|
||||
self.available = self.net_capital - holding_cost
|
||||
self.percent = round(float(holding_cost * 100 / self.net_capital), 2)
|
||||
|
||||
def saving_daily_data(self, d, c, m, commission, benchmark=0):
|
||||
|
||||
@ -349,6 +349,20 @@ class CtaEngine(BaseEngine):
|
||||
# Update GUI
|
||||
self.put_strategy_event(strategy)
|
||||
|
||||
if self.engine_config.get('trade_2_wx', False):
|
||||
accountid = self.engine_config.get('accountid', 'XXX')
|
||||
d = {
|
||||
'account': accountid,
|
||||
'strategy': strategy_name,
|
||||
'symbol': trade.symbol,
|
||||
'action': f'{trade.direction.value} {trade.offset.value}',
|
||||
'price': str(trade.price),
|
||||
'volume': trade.volume,
|
||||
'remark': f'{accountid}:{strategy_name}',
|
||||
'timestamp': trade.time
|
||||
}
|
||||
send_wx_msg(content=d, target=accountid, msg_type='TRADE')
|
||||
|
||||
def process_position_event(self, event: Event):
|
||||
""""""
|
||||
position = event.data
|
||||
|
||||
@ -546,6 +546,7 @@ class CtaStockTemplate(CtaTemplate):
|
||||
def get_klines_snapshot(self):
|
||||
"""返回当前klines的切片数据"""
|
||||
try:
|
||||
self.write_log(f'获取{self.strategy_name}的切片数据')
|
||||
d = {
|
||||
'strategy': self.strategy_name,
|
||||
'datetime': datetime.now()}
|
||||
@ -878,11 +879,44 @@ class CtaStockTemplate(CtaTemplate):
|
||||
continue
|
||||
|
||||
cur_price = self.cta_engine.get_price(lg.vt_symbol)
|
||||
if lg.stop_price != 0 and lg.stop_price > cur_price > 0:
|
||||
|
||||
# 主动止盈
|
||||
if 0 < lg.close_price <= cur_price:
|
||||
cn_name = self.cta_engine.get_name(lg.vt_symbol)
|
||||
# 调用平仓模块
|
||||
self.write_log(u'{} {}当前价:{} 触发止损线{},开仓价:{},v：{}'.
|
||||
self.write_log(u'{} {}[{}] 当前价:{} 触发止盈{},开仓价:{},v：{}'.
|
||||
format(self.cur_datetime,
|
||||
lg.vt_symbol,
|
||||
cn_name,
|
||||
cur_price,
|
||||
lg.close_price,
|
||||
lg.open_price,
|
||||
lg.volume))
|
||||
|
||||
if lg.traded_volume > 0:
|
||||
lg.volume -= lg.traded_volume
|
||||
lg.traded_volume = 0
|
||||
if lg.volume <= 0:
|
||||
remove_gids.append(lg.id)
|
||||
lg.open_status = False
|
||||
lg.order_status = False
|
||||
lg.close_status = False
|
||||
continue
|
||||
|
||||
lg.order_status = True
|
||||
lg.close_status = True
|
||||
self.write_log(f'{lg.vt_symbol}[{cn_name}] 数量:{lg.volume}，准备卖出')
|
||||
continue
|
||||
|
||||
# 止损
|
||||
if lg.stop_price != 0 and lg.stop_price > cur_price > 0:
|
||||
cn_name = self.cta_engine.get_name(lg.vt_symbol)
|
||||
|
||||
# 调用平仓模块
|
||||
self.write_log(u'{} {}[{}] 当前价:{} 触发止损线{},开仓价:{},v：{}'.
|
||||
format(self.cur_datetime,
|
||||
lg.vt_symbol,
|
||||
cn_name,
|
||||
cur_price,
|
||||
lg.stop_price,
|
||||
lg.open_price,
|
||||
@ -900,13 +934,13 @@ class CtaStockTemplate(CtaTemplate):
|
||||
|
||||
lg.order_status = True
|
||||
lg.close_status = True
|
||||
self.write_log(f'{lg.vt_symbol} 数量:{lg.volume}，准备卖出')
|
||||
self.write_log(f'{lg.vt_symbol}[{cn_name}] 数量:{lg.volume}，准备卖出')
|
||||
|
||||
if len(remove_gids) > 0:
|
||||
self.gt.remove_grids_by_ids(direction=Direction.LONG, ids=remove_gids)
|
||||
self.gt.save()
|
||||
|
||||
def tns_excute_sell_grids(self):
|
||||
def tns_excute_sell_grids(self, vt_symbol=None):
|
||||
"""
|
||||
事务执行卖出网格
|
||||
1、找出所有order_status=True,open_status=Talse, close_status=True的网格。
|
||||
@ -926,6 +960,10 @@ class CtaStockTemplate(CtaTemplate):
|
||||
|
||||
ordering_grid = None
|
||||
for grid in self.gt.dn_grids:
|
||||
# 只扫描vt_symbol 匹配的网格
|
||||
if vt_symbol and vt_symbol != grid.vt_symbol:
|
||||
continue
|
||||
|
||||
# 排除: 未开仓/非平仓/非委托的网格
|
||||
if not grid.open_status or not grid.close_status or not grid.open_status:
|
||||
continue
|
||||
@ -1031,7 +1069,7 @@ class CtaStockTemplate(CtaTemplate):
|
||||
self.gt.save()
|
||||
self.policy.save()
|
||||
|
||||
def tns_execute_buy_grids(self):
|
||||
def tns_execute_buy_grids(self, vt_symbol=None):
|
||||
"""
|
||||
事务执行买入网格
|
||||
:return:
|
||||
@ -1048,6 +1086,11 @@ class CtaStockTemplate(CtaTemplate):
|
||||
|
||||
ordering_grid = None
|
||||
for grid in self.gt.dn_grids:
|
||||
|
||||
# 只扫描vt_symbol 匹配的网格
|
||||
if vt_symbol and vt_symbol != vt_symbol:
|
||||
continue
|
||||
|
||||
# 排除已经执行完毕(处于开仓状态）的网格， 或者处于平仓状态的网格
|
||||
if grid.open_status or grid.close_status:
|
||||
continue
|
||||
|
||||
Loading…
Reference in New Issue
Block a user