From f6b9de141f3959653d6c145e6417f15490f3def3 Mon Sep 17 00:00:00 2001 From: msincenselee Date: Thu, 15 Sep 2016 10:08:14 +0800 Subject: [PATCH] bug fix backtest. --- vn.trader/ctaAlgo/ctaBacktesting.py | 15 ++++++++------- 1 file changed, 8 insertions(+), 7 deletions(-) diff --git a/vn.trader/ctaAlgo/ctaBacktesting.py b/vn.trader/ctaAlgo/ctaBacktesting.py index aa880f70..f7d199a0 100644 --- a/vn.trader/ctaAlgo/ctaBacktesting.py +++ b/vn.trader/ctaAlgo/ctaBacktesting.py @@ -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