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bug fix backtest.

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This commit is contained in:
msincenselee 2016-09-15 10:08:14 +08:00
parent c2f3ba62c7
commit f6b9de141f
1 changed files with 8 additions and 7 deletions
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15
vn.trader/ctaAlgo/ctaBacktesting.py
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@ -610,13 +610,13 @@ class BacktestingEngine(object):
elif orderType == CTAORDER_COVER:
order.direction = DIRECTION_LONG
order.offset = OFFSET_CLOSE
# 保存到限价单字典中
self.workingLimitOrderDict[orderID] = order
self.limitOrderDict[orderID] = order
# modified by IncenseLee
return u'{0}.{1}'.format(order.gatewayName, orderID)
key = u'{0}.{1}'.format(order.gatewayName, orderID)
# 保存到限价单字典中
self.workingLimitOrderDict[key] = order
self.limitOrderDict[key] = order
return key
#----------------------------------------------------------------------
def cancelOrder(self, vtOrderID):
@ -630,6 +630,7 @@ class BacktestingEngine(object):
#----------------------------------------------------------------------
def sendStopOrder(self, vtSymbol, orderType, price, volume, strategy):
"""发停止单（本地实现）"""
self.stopOrderCount += 1
stopOrderID = STOPORDERPREFIX + str(self.stopOrderCount)
@ -858,7 +859,7 @@ class BacktestingEngine(object):
resultDict[trade.dt] = result
self.output(u'{0},short:{1},{2},cover:{3},vol:{4},{5}'
self.writeCtaLog(u'{0},short:{1},{2},cover:{3},vol:{4},{5}'
.format(entryTrade.tradeTime, entryTrade.price,trade.tradeTime,trade.price, trade.volume,result.pnl))
# 空头交易
@ -874,7 +875,7 @@ class BacktestingEngine(object):
self.rate, self.slippage, self.size)
resultDict[trade.dt] = result
self.output(u'{0},buy:{1},{2},sell:{3},vol:{4},{5}'
self.writeCtaLog(u'{0},buy:{1},{2},sell:{3},vol:{4},{5}'
.format(entryTrade.tradeTime, entryTrade.price,trade.tradeTime,trade.price, trade.volume,result.pnl))
# 检查是否有交易