{ "cells": [ { "cell_type": "code", "execution_count": 1, "metadata": {}, "outputs": [], "source": [ "%matplotlib inline\n", "\n", "from datetime import datetime\n", "\n", "import numpy as np\n", "import matplotlib.pyplot as plt\n", "\n", "from turtleEngine import BacktestingEngine" ] }, { "cell_type": "code", "execution_count": 2, "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "16:05:52.965000:\t投资组合的合约代码['IF99', 'I99', 'CU99', 'TA99']\n", "16:05:52.966000:\t投资组合的初始价值10000000\n" ] } ], "source": [ "engine = BacktestingEngine()\n", "engine.setPeriod(datetime(2014, 1, 1), datetime(2018, 12, 30))\n", "engine.initPortfolio('test.csv', 10000000)" ] }, { "cell_type": "code", "execution_count": 3, "metadata": { "scrolled": false }, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "16:05:53.031000:\tIF99数据加载完成，总数据量：1185\n", "16:05:53.064000:\tI99数据加载完成，总数据量：1185\n", "16:05:53.096000:\tCU99数据加载完成，总数据量：1185\n", "16:05:53.130000:\tTA99数据加载完成，总数据量：1185\n", "16:05:53.131000:\t全部数据加载完成\n", "16:05:53.131000:\t开始回放K线数据\n", "16:05:53.383000:\tK线数据回放结束\n", "16:05:53.383000:\t开始统计回测结果\n", "16:05:53.392000:\t回测结果统计结束\n" ] } ], "source": [ "engine.loadData()\n", "engine.runBacktesting()\n", "engine.calculateResult()" ] }, { "cell_type": "code", "execution_count": 4, "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "44093646.23195201\n" ] }, { "data": { "image/png": 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\n", "text/plain": [ "" ] }, "metadata": {}, "output_type": "display_data" } ], "source": [ "# 汇总每日盈亏，绘制简单资金曲线\n", "l = [result.totalPnl for result in engine.resultList]\n", "dateList = [result.date for result in engine.resultList]\n", "equity = np.cumsum(l)\n", "plt.plot(dateList, equity)" ] }, { "cell_type": "code", "execution_count": 9, "metadata": { "scrolled": false }, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "2014-04-03 00:00:00 IF99 多 开仓 2175.2 8\n", "2014-04-04 00:00:00 I99 多 开仓 803.5 52\n", "2014-04-08 00:00:00 IF99 多 开仓 2195.8 8\n", "2014-04-08 00:00:00 IF99 多 开仓 2216.2 8\n", "2014-04-08 00:00:00 IF99 多 开仓 2236.8 8\n", "2014-04-08 00:00:00 I99 多 开仓 813.5 52\n", "2014-04-08 00:00:00 I99 多 开仓 823.0 52\n", "2014-04-18 00:00:00 I99 空 平仓 784.5 156\n", "2014-04-21 00:00:00 TA99 空 开仓 6272.0 240\n", "2014-04-21 00:00:00 TA99 空 开仓 6230.0 240\n", "2014-04-22 00:00:00 IF99 空 平仓 2165.2 32\n", "2014-04-22 00:00:00 TA99 空 开仓 6190.0 240\n", "2014-04-24 00:00:00 CU99 多 开仓 47260.0 30\n", "2014-04-25 00:00:00 CU99 多 开仓 47590.0 30\n", "2014-04-25 00:00:00 CU99 多 开仓 47930.0 30\n", "2014-04-28 00:00:00 I99 空 开仓 758.0 58\n", "2014-05-05 00:00:00 IF99 空 开仓 2130.0 9\n", "2014-05-05 00:00:00 TA99 空 开仓 6148.0 240\n", "2014-05-07 00:00:00 I99 空 开仓 749.5 58\n", "2014-05-08 00:00:00 I99 空 开仓 740.5 58\n", "2014-05-09 00:00:00 I99 空 开仓 732.0 58\n", "2014-05-12 00:00:00 CU99 多 开仓 48260.0 30\n", "2014-05-15 00:00:00 TA99 多 平仓 6240.0 960\n", "2014-05-19 00:00:00 IF99 空 开仓 2111.8 9\n", "2014-05-19 00:00:00 IF99 空 开仓 2093.4 9\n", "2014-05-21 00:00:00 TA99 多 开仓 6324.0 252\n", "2014-05-21 00:00:00 TA99 多 开仓 6364.0 252\n", "2014-05-21 00:00:00 TA99 多 开仓 6402.0 252\n", "2014-05-23 00:00:00 TA99 多 开仓 6442.0 252\n", "2014-05-28 00:00:00 IF99 多 平仓 2166.8 27\n", "2014-06-05 00:00:00 CU99 空 平仓 47860.0 120\n", "2014-06-13 00:00:00 IF99 多 开仓 2176.2 11\n", "2014-06-16 00:00:00 IF99 多 开仓 2191.6 11\n", "2014-06-19 00:00:00 IF99 空 平仓 2129.6 22\n", "2014-06-23 00:00:00 I99 多 平仓 693.0 232\n", "2014-06-23 00:00:00 CU99 多 开仓 49310.0 38\n", "2014-06-26 00:00:00 CU99 多 开仓 49570.0 38\n", "2014-07-01 00:00:00 CU99 多 开仓 49830.0 38\n", "2014-07-01 00:00:00 CU99 多 开仓 50090.0 38\n", "2014-07-08 00:00:00 TA99 空 平仓 6986.0 1008\n", "2014-07-21 00:00:00 I99 空 开仓 679.5 71\n", "2014-07-22 00:00:00 IF99 多 开仓 2182.4 14\n", "2014-07-22 00:00:00 IF99 多 开仓 2194.0 14\n", "2014-07-23 00:00:00 IF99 多 开仓 2205.6 14\n", "2014-07-23 00:00:00 I99 空 开仓 673.5 71\n", "2014-07-24 00:00:00 IF99 多 开仓 2217.4 14\n", "2014-07-24 00:00:00 I99 空 开仓 666.5 71\n", "2014-08-05 00:00:00 I99 多 平仓 692.0 213\n", "2014-08-12 00:00:00 I99 空 开仓 665.5 86\n", "2014-08-14 00:00:00 I99 空 开仓 659.5 86\n", "2014-08-14 00:00:00 I99 空 开仓 653.5 86\n", "2014-08-14 00:00:00 CU99 空 平仓 49170.0 152\n", "2014-08-14 00:00:00 TA99 空 开仓 7052.0 185\n", "2014-08-15 00:00:00 TA99 空 开仓 6998.0 185\n", "2014-08-18 00:00:00 TA99 空 开仓 6944.0 185\n", "2014-08-18 00:00:00 TA99 空 开仓 6890.0 185\n", "2014-08-20 00:00:00 I99 空 开仓 648.0 86\n", "2014-08-26 00:00:00 IF99 空 平仓 2339.4 56\n", "2014-09-03 00:00:00 IF99 多 开仓 2399.6 11\n", "2014-09-03 00:00:00 IF99 多 开仓 2414.6 11\n", "2014-09-04 00:00:00 IF99 多 开仓 2429.6 11\n", "2014-09-04 00:00:00 IF99 多 开仓 2444.8 11\n", "2014-09-10 00:00:00 CU99 空 开仓 48600.0 37\n", "2014-09-11 00:00:00 CU99 空 开仓 48330.0 37\n", "2014-09-17 00:00:00 CU99 多 平仓 49150.0 74\n", "2014-09-22 00:00:00 IF99 空 平仓 2394.4 44\n", "2014-09-22 00:00:00 CU99 空 开仓 47920.0 30\n", "2014-09-22 00:00:00 CU99 空 开仓 47590.0 30\n", "2014-09-25 00:00:00 IF99 多 开仓 2484.6 9\n", "2014-10-14 00:00:00 I99 多 平仓 571.5 344\n", "2014-10-17 00:00:00 IF99 空 平仓 2428.8 9\n", "2014-10-17 00:00:00 CU99 空 开仓 46780.0 30\n", "2014-10-24 00:00:00 TA99 多 平仓 5718.0 740\n", "2014-10-27 00:00:00 IF99 空 开仓 2379.4 10\n", "2014-10-29 00:00:00 IF99 多 平仓 2446.8 10\n", "2014-10-30 00:00:00 CU99 多 平仓 47940.0 90\n", "2014-10-31 00:00:00 IF99 多 开仓 2499.6 10\n", "2014-10-31 00:00:00 IF99 多 开仓 2516.6 10\n", "2014-11-05 00:00:00 CU99 空 开仓 46480.0 32\n", "2014-11-07 00:00:00 IF99 多 开仓 2533.6 10\n", "2014-11-07 00:00:00 IF99 多 开仓 2550.4 10\n", "2014-11-13 00:00:00 TA99 多 开仓 5736.0 178\n", "2014-11-19 00:00:00 TA99 多 开仓 5792.0 178\n", "2014-11-24 00:00:00 CU99 多 平仓 47770.0 32\n", "2014-11-27 00:00:00 CU99 空 开仓 46450.0 33\n", "2014-11-28 00:00:00 CU99 空 开仓 46150.0 33\n", "2014-11-28 00:00:00 CU99 空 开仓 45850.0 33\n", "2014-11-28 00:00:00 TA99 空 平仓 5436.0 356\n", "2014-12-01 00:00:00 CU99 空 开仓 45540.0 33\n", "2014-12-01 00:00:00 TA99 空 开仓 5304.0 161\n", "2014-12-01 00:00:00 TA99 空 开仓 5248.0 161\n", "2014-12-08 00:00:00 TA99 空 开仓 5186.0 161\n", "2014-12-09 00:00:00 TA99 空 开仓 5046.0 161\n", "2015-01-19 00:00:00 IF99 空 平仓 3509.0 40\n", "2015-01-21 00:00:00 TA99 多 平仓 4740.0 644\n", "2015-01-26 00:00:00 I99 空 开仓 470.5 83\n", "2015-01-26 00:00:00 I99 空 开仓 464.5 83\n", "2015-02-13 00:00:00 I99 多 平仓 483.0 166\n", "2015-02-13 00:00:00 CU99 多 平仓 41940.0 132\n", "2015-03-05 00:00:00 I99 空 开仓 466.0 101\n", "2015-03-05 00:00:00 I99 空 开仓 461.5 101\n", "2015-03-06 00:00:00 I99 空 开仓 456.5 101\n", "2015-03-06 00:00:00 I99 空 开仓 451.5 101\n", "2015-03-13 00:00:00 IF99 多 开仓 3659.2 3\n", "2015-03-16 00:00:00 IF99 多 开仓 3707.0 3\n", "2015-03-16 00:00:00 TA99 空 开仓 4704.0 194\n", "2015-03-16 00:00:00 TA99 空 开仓 4652.0 194\n", "2015-03-17 00:00:00 IF99 多 开仓 3761.4 3\n", "2015-03-18 00:00:00 IF99 多 开仓 3806.2 3\n", "2015-03-23 00:00:00 CU99 多 开仓 43260.0 28\n", "2015-03-23 00:00:00 CU99 多 开仓 43620.0 28\n", "2015-03-23 00:00:00 CU99 多 开仓 43990.0 28\n", "2015-03-24 00:00:00 CU99 多 开仓 44350.0 28\n", "2015-03-24 00:00:00 TA99 多 平仓 4858.0 388\n", "2015-03-30 00:00:00 TA99 空 开仓 4630.0 181\n", "2015-04-02 00:00:00 TA99 空 开仓 4576.0 181\n", "2015-04-07 00:00:00 TA99 多 平仓 4822.0 362\n", "2015-04-08 00:00:00 TA99 多 开仓 4922.0 183\n", "2015-04-08 00:00:00 TA99 多 开仓 4978.0 183\n", "2015-04-09 00:00:00 CU99 空 平仓 43060.0 112\n", "2015-04-14 00:00:00 TA99 多 开仓 5086.0 183\n", "2015-04-17 00:00:00 I99 多 平仓 401.0 404\n", "2015-04-28 00:00:00 CU99 多 开仓 44090.0 30\n", 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开仓 612.5 37\n", "2017-01-16 00:00:00 I99 多 开仓 626.0 37\n", "2017-01-16 00:00:00 I99 多 开仓 639.5 37\n", "2017-01-16 00:00:00 CU99 多 开仓 48370.0 19\n", "2017-01-17 00:00:00 IF99 多 平仓 3277.0 18\n", "2017-01-17 00:00:00 I99 多 开仓 653.5 37\n", "2017-01-18 00:00:00 CU99 空 平仓 46240.0 57\n", "2017-01-20 00:00:00 IF99 多 开仓 3352.0 8\n", "2017-01-23 00:00:00 IF99 多 开仓 3372.2 8\n", "2017-01-23 00:00:00 I99 空 平仓 598.5 148\n", "2017-01-23 00:00:00 TA99 多 开仓 5540.0 205\n", "2017-01-24 00:00:00 TA99 多 开仓 5588.0 205\n", "2017-01-25 00:00:00 TA99 多 开仓 5636.0 205\n", "2017-01-25 00:00:00 TA99 多 开仓 5686.0 205\n", "2017-02-10 00:00:00 IF99 多 开仓 3392.2 8\n", "2017-02-10 00:00:00 I99 多 开仓 658.0 34\n", "2017-02-10 00:00:00 I99 多 开仓 673.0 34\n", "2017-02-13 00:00:00 I99 多 开仓 687.5 34\n", "2017-02-20 00:00:00 TA99 空 平仓 5662.0 820\n", "2017-03-03 00:00:00 IF99 空 平仓 3383.4 24\n", "2017-03-03 00:00:00 I99 空 平仓 659.5 102\n", "2017-03-09 00:00:00 I99 空 开仓 625.0 36\n", "2017-03-09 00:00:00 CU99 空 开仓 47120.0 22\n", 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"2017-04-17 00:00:00 CU99 多 平仓 47520.0 23\n", "2017-04-19 00:00:00 CU99 空 开仓 45640.0 21\n", "2017-04-20 00:00:00 CU99 空 开仓 45170.0 21\n", "2017-04-28 00:00:00 I99 多 平仓 515.5 144\n", "2017-05-02 00:00:00 CU99 多 平仓 47060.0 42\n", "2017-05-04 00:00:00 IF99 空 开仓 3371.6 10\n", "2017-05-05 00:00:00 IF99 空 开仓 3355.4 10\n", "2017-05-05 00:00:00 IF99 空 开仓 3339.0 10\n", "2017-05-05 00:00:00 CU99 空 开仓 44900.0 23\n", "2017-05-16 00:00:00 IF99 多 平仓 3404.4 30\n", "2017-05-22 00:00:00 CU99 多 平仓 45730.0 23\n", "2017-05-23 00:00:00 TA99 多 平仓 5034.0 824\n", "2017-05-25 00:00:00 IF99 多 开仓 3433.6 10\n", "2017-05-25 00:00:00 IF99 多 开仓 3449.8 10\n", "2017-05-25 00:00:00 IF99 多 开仓 3466.0 10\n", "2017-05-26 00:00:00 IF99 多 开仓 3482.2 10\n", "2017-05-31 00:00:00 I99 空 开仓 439.0 46\n", "2017-05-31 00:00:00 I99 空 开仓 428.5 46\n", "2017-06-01 00:00:00 I99 空 开仓 417.5 46\n", "2017-06-01 00:00:00 TA99 空 开仓 4774.0 249\n", "2017-06-12 00:00:00 CU99 多 开仓 46440.0 31\n", "2017-06-13 00:00:00 TA99 多 平仓 4934.0 249\n", "2017-06-23 00:00:00 CU99 多 开仓 46760.0 31\n", "2017-06-27 00:00:00 I99 多 平仓 437.5 138\n", "2017-06-28 00:00:00 I99 多 开仓 455.5 60\n", "2017-06-28 00:00:00 CU99 多 开仓 47080.0 31\n", "2017-06-29 00:00:00 I99 多 开仓 464.0 60\n", "2017-06-29 00:00:00 I99 多 开仓 472.0 60\n", "2017-08-11 00:00:00 IF99 空 平仓 3657.0 40\n", "2017-08-15 00:00:00 I99 空 平仓 526.5 180\n", "2017-09-04 00:00:00 TA99 多 开仓 5410.0 258\n", "2017-09-08 00:00:00 CU99 空 平仓 52050.0 93\n", "2017-09-11 00:00:00 I99 空 开仓 520.0 41\n", "2017-09-11 00:00:00 TA99 空 平仓 5254.0 258\n", "2017-09-14 00:00:00 I99 空 开仓 508.0 41\n", "2017-09-18 00:00:00 I99 空 开仓 496.0 41\n", "2017-09-21 00:00:00 I99 空 开仓 484.0 41\n", "2017-09-28 00:00:00 TA99 空 开仓 5194.0 266\n", "2017-09-28 00:00:00 TA99 空 开仓 5156.0 266\n", "2017-09-28 00:00:00 TA99 空 开仓 5118.0 266\n", "2017-10-09 00:00:00 TA99 空 开仓 5082.0 266\n", "2017-10-13 00:00:00 CU99 多 开仓 53520.0 26\n", "2017-10-16 00:00:00 CU99 多 开仓 53900.0 26\n", "2017-10-16 00:00:00 CU99 多 开仓 54290.0 26\n", "2017-10-16 00:00:00 CU99 多 开仓 54680.0 26\n", "2017-10-20 00:00:00 I99 多 平仓 468.0 164\n", "2017-10-30 00:00:00 TA99 多 平仓 5230.0 1064\n", "2017-11-06 00:00:00 TA99 多 开仓 5244.0 320\n", "2017-11-06 00:00:00 TA99 多 开仓 5274.0 320\n", "2017-11-06 00:00:00 TA99 多 开仓 5306.0 320\n", "2017-11-07 00:00:00 TA99 多 开仓 5338.0 320\n", "2017-11-09 00:00:00 CU99 空 平仓 53470.0 104\n", "2017-11-15 00:00:00 CU99 空 开仓 53280.0 22\n", "2017-11-28 00:00:00 TA99 空 平仓 5388.0 1280\n", "2017-11-30 00:00:00 CU99 空 开仓 52820.0 22\n", "2017-12-04 00:00:00 I99 多 开仓 551.0 62\n", "2017-12-04 00:00:00 TA99 多 开仓 5568.0 249\n", "2017-12-06 00:00:00 CU99 空 开仓 52360.0 22\n", "2017-12-06 00:00:00 CU99 空 开仓 51910.0 22\n", "2017-12-07 00:00:00 I99 空 平仓 518.5 62\n", "2017-12-07 00:00:00 TA99 空 平仓 5408.0 249\n", "2017-12-14 00:00:00 TA99 空 开仓 5340.0 248\n", "2017-12-18 00:00:00 CU99 多 平仓 53730.0 88\n", "2017-12-25 00:00:00 IF99 多 开仓 4103.6 6\n", "2017-12-25 00:00:00 CU99 多 开仓 55000.0 25\n", "2017-12-25 00:00:00 CU99 多 开仓 55400.0 25\n", "2017-12-26 00:00:00 TA99 多 平仓 5444.0 248\n", "2017-12-27 00:00:00 IF99 空 平仓 3996.6 6\n", "2017-12-28 00:00:00 CU99 多 开仓 55790.0 25\n", "2018-01-02 00:00:00 IF99 多 开仓 4105.4 6\n", "2018-01-03 00:00:00 IF99 多 开仓 4132.2 6\n", "2018-01-03 00:00:00 TA99 多 开仓 5584.0 295\n", "2018-01-04 00:00:00 TA99 多 开仓 5618.0 295\n", "2018-01-04 00:00:00 TA99 多 开仓 5652.0 295\n", "2018-01-08 00:00:00 IF99 多 开仓 4159.0 6\n", "2018-01-08 00:00:00 I99 多 开仓 553.0 57\n", "2018-01-12 00:00:00 CU99 空 平仓 54580.0 75\n", "2018-01-22 00:00:00 CU99 空 开仓 53650.0 29\n", "2018-01-23 00:00:00 I99 空 平仓 526.5 57\n", "2018-01-24 00:00:00 CU99 空 开仓 53190.0 29\n", "2018-01-24 00:00:00 CU99 空 开仓 52960.0 29\n", "2018-01-25 00:00:00 CU99 多 平仓 54340.0 87\n", "2018-01-29 00:00:00 I99 空 开仓 517.0 65\n", "2018-01-31 00:00:00 I99 空 开仓 509.0 65\n", "2018-02-01 00:00:00 IF99 空 平仓 4253.2 18\n", "2018-02-06 00:00:00 TA99 空 平仓 5630.0 885\n", "2018-02-08 00:00:00 CU99 空 开仓 52780.0 27\n", "2018-02-08 00:00:00 CU99 空 开仓 52410.0 27\n", "2018-02-08 00:00:00 CU99 空 开仓 52050.0 27\n", "2018-02-09 00:00:00 IF99 空 开仓 3937.4 5\n", "2018-02-09 00:00:00 IF99 空 开仓 3902.4 5\n", "2018-02-09 00:00:00 IF99 空 开仓 3867.4 5\n", "2018-02-09 00:00:00 IF99 空 开仓 3832.4 5\n", "2018-02-09 00:00:00 I99 多 平仓 533.0 130\n", "2018-02-09 00:00:00 CU99 空 开仓 51680.0 27\n", "2018-02-22 00:00:00 IF99 多 平仓 4010.2 20\n", "2018-02-22 00:00:00 CU99 多 平仓 53270.0 108\n", "2018-02-23 00:00:00 I99 多 开仓 549.0 75\n", "2018-02-26 00:00:00 I99 多 开仓 556.0 75\n", "2018-02-26 00:00:00 TA99 多 开仓 5788.0 291\n", "2018-02-27 00:00:00 TA99 多 开仓 5822.0 291\n", "2018-03-05 00:00:00 I99 空 平仓 529.0 150\n", "2018-03-07 00:00:00 TA99 空 平仓 5684.0 582\n", "2018-03-08 00:00:00 I99 空 开仓 506.5 79\n", "2018-03-09 00:00:00 I99 空 开仓 500.0 79\n", "2018-03-09 00:00:00 I99 空 开仓 493.5 79\n", "2018-03-09 00:00:00 I99 空 开仓 487.5 79\n", "2018-03-09 00:00:00 TA99 空 开仓 5570.0 290\n", "2018-03-09 00:00:00 TA99 空 开仓 5536.0 290\n", "2018-03-16 00:00:00 TA99 空 开仓 5502.0 290\n", "2018-03-20 00:00:00 TA99 空 开仓 5468.0 290\n", "2018-03-21 00:00:00 CU99 空 开仓 51250.0 27\n", "2018-03-21 00:00:00 CU99 空 开仓 50890.0 27\n", "2018-04-10 00:00:00 CU99 多 平仓 51280.0 54\n", "2018-04-17 00:00:00 IF99 空 开仓 3740.8 5\n", "2018-04-17 00:00:00 TA99 多 平仓 5500.0 1160\n", "2018-04-18 00:00:00 IF99 空 开仓 3704.4 5\n", "2018-04-19 00:00:00 I99 多 平仓 461.0 316\n", "2018-04-19 00:00:00 CU99 多 开仓 52020.0 27\n", "2018-04-19 00:00:00 CU99 多 开仓 52260.0 27\n", "2018-05-08 00:00:00 IF99 多 平仓 3832.8 10\n", "2018-05-09 00:00:00 CU99 空 平仓 51040.0 54\n", "2018-05-15 00:00:00 TA99 多 开仓 5836.0 302\n", "2018-05-16 00:00:00 TA99 多 开仓 5870.0 302\n", "2018-05-16 00:00:00 TA99 多 开仓 5902.0 302\n", "2018-05-21 00:00:00 IF99 多 开仓 3922.2 6\n", "2018-05-22 00:00:00 TA99 空 平仓 5770.0 906\n", "2018-05-23 00:00:00 I99 空 开仓 451.0 75\n", "2018-05-23 00:00:00 CU99 多 开仓 52370.0 34\n", "2018-05-24 00:00:00 IF99 空 平仓 3822.0 6\n", "2018-05-30 00:00:00 IF99 空 开仓 3714.2 6\n", "2018-05-30 00:00:00 CU99 空 平仓 51190.0 34\n", "2018-06-04 00:00:00 CU99 多 开仓 52470.0 33\n", "2018-06-05 00:00:00 CU99 多 开仓 52780.0 33\n", "2018-06-06 00:00:00 I99 多 平仓 469.5 75\n", "2018-06-06 00:00:00 CU99 多 开仓 53080.0 33\n", "2018-06-06 00:00:00 CU99 多 开仓 53380.0 33\n", "2018-06-07 00:00:00 IF99 多 平仓 3827.6 6\n", "2018-06-19 00:00:00 IF99 空 开仓 3667.4 6\n", "2018-06-19 00:00:00 IF99 空 开仓 3659.2 6\n", "2018-06-19 00:00:00 IF99 空 开仓 3631.0 6\n", "2018-06-19 00:00:00 IF99 空 开仓 3602.8 6\n", "2018-06-19 00:00:00 I99 空 开仓 446.5 87\n", "2018-06-19 00:00:00 CU99 空 平仓 52170.0 132\n", "2018-06-25 00:00:00 I99 多 平仓 469.5 87\n", "2018-06-28 00:00:00 TA99 多 开仓 5822.0 296\n", "2018-07-02 00:00:00 CU99 空 开仓 51370.0 32\n", "2018-07-03 00:00:00 TA99 多 开仓 5854.0 296\n", "2018-07-04 00:00:00 CU99 空 开仓 51050.0 32\n", "2018-07-04 00:00:00 CU99 空 开仓 50740.0 32\n", "2018-07-04 00:00:00 CU99 空 开仓 50430.0 32\n", "2018-07-09 00:00:00 TA99 多 开仓 5888.0 296\n", "2018-07-12 00:00:00 IF99 多 平仓 3476.2 24\n", "2018-07-19 00:00:00 TA99 多 开仓 5922.0 296\n", "2018-07-23 00:00:00 I99 多 开仓 476.0 110\n", "2018-07-25 00:00:00 CU99 多 平仓 49840.0 128\n", "2018-07-27 00:00:00 I99 多 开仓 480.5 110\n", "2018-07-27 00:00:00 I99 多 开仓 485.0 110\n", "2018-07-27 00:00:00 I99 多 开仓 489.5 110\n", "2018-08-02 00:00:00 I99 空 平仓 471.5 440\n", "2018-08-06 00:00:00 IF99 空 开仓 3272.8 4\n", "2018-08-06 00:00:00 IF99 空 开仓 3234.4 4\n", "2018-08-06 00:00:00 I99 多 开仓 493.5 110\n", "2018-08-06 00:00:00 I99 多 开仓 498.0 110\n", "2018-08-06 00:00:00 I99 多 开仓 502.5 110\n", "2018-08-06 00:00:00 I99 多 开仓 507.5 110\n", "2018-08-09 00:00:00 IF99 多 平仓 3387.8 8\n", "2018-08-16 00:00:00 IF99 空 开仓 3224.6 4\n", "2018-08-16 00:00:00 I99 空 平仓 489.0 440\n", "2018-08-17 00:00:00 IF99 空 开仓 3189.8 4\n", "2018-08-27 00:00:00 IF99 多 平仓 3346.8 8\n", "2018-09-05 00:00:00 CU99 空 开仓 47260.0 30\n", "2018-09-11 00:00:00 TA99 空 平仓 7666.0 1184\n", "2018-09-12 00:00:00 IF99 空 开仓 3188.4 5\n", "2018-09-13 00:00:00 CU99 多 平仓 48580.0 30\n", "2018-09-19 00:00:00 I99 多 开仓 508.0 92\n", "2018-09-19 00:00:00 I99 多 开仓 513.5 92\n", "2018-09-19 00:00:00 CU99 多 开仓 49160.0 30\n", "2018-09-19 00:00:00 CU99 多 开仓 49460.0 30\n", "2018-09-21 00:00:00 IF99 多 平仓 3325.4 5\n", "2018-09-21 00:00:00 CU99 多 开仓 49790.0 30\n", "2018-09-25 00:00:00 CU99 多 开仓 50300.0 30\n", "2018-09-26 00:00:00 IF99 多 开仓 3425.0 5\n", "2018-09-26 00:00:00 IF99 多 开仓 3457.6 5\n", "2018-09-28 00:00:00 I99 空 平仓 492.5 184\n", "2018-10-08 00:00:00 IF99 空 平仓 3326.8 10\n", "2018-10-10 00:00:00 I99 多 开仓 513.5 97\n", "2018-10-11 00:00:00 IF99 空 开仓 3183.6 5\n", "2018-10-11 00:00:00 IF99 空 开仓 3150.8 5\n", "2018-10-11 00:00:00 IF99 空 开仓 3118.0 5\n", "2018-10-17 00:00:00 IF99 空 开仓 3085.2 5\n", "2018-10-17 00:00:00 I99 多 开仓 519.0 97\n", "2018-10-18 00:00:00 I99 多 开仓 524.0 97\n", "2018-10-18 00:00:00 I99 多 开仓 529.0 97\n", "2018-10-18 00:00:00 TA99 空 开仓 7084.0 118\n", "2018-10-18 00:00:00 TA99 空 开仓 6998.0 118\n", "2018-10-22 00:00:00 IF99 多 平仓 3216.6 20\n", "2018-10-22 00:00:00 TA99 空 开仓 6914.0 118\n", "2018-10-25 00:00:00 CU99 空 平仓 49610.0 120\n", "2018-10-25 00:00:00 TA99 空 开仓 6830.0 118\n" ] }, { "name": "stdout", "output_type": "stream", "text": [ "2018-10-31 00:00:00 CU99 空 开仓 49400.0 31\n", "2018-10-31 00:00:00 CU99 空 开仓 49080.0 31\n", "2018-11-01 00:00:00 CU99 空 开仓 48760.0 31\n", "2018-11-02 00:00:00 I99 空 平仓 509.5 388\n", "2018-11-05 00:00:00 CU99 多 平仓 50050.0 93\n" ] } ], "source": [ "# 查看逐笔的交易记录\n", "for dt, l in engine.tradeDict.items():\n", " for trade in l:\n", " print dt, trade.vtSymbol, trade.direction, trade.offset, trade.price, trade.volume" ] } ], "metadata": { "kernelspec": { "display_name": "Python 2", "language": "python", "name": "python2" }, "language_info": { "codemirror_mode": { "name": "ipython", "version": 2 }, "file_extension": ".py", "mimetype": "text/x-python", "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython2", "version": "2.7.14" } }, "nbformat": 4, "nbformat_minor": 2 }