# encoding: UTF-8 from csv import DictReader from datetime import datetime from pymongo import MongoClient from collections import OrderedDict, defaultdict from vnpy.trader.vtObject import VtBarData from vnpy.trader.vtConstant import DIRECTION_LONG, DIRECTION_SHORT from turtleStrategy import TurtlePortfolio DAILY_DB_NAME = 'VnTrader_Daily_Db' SIZE_DICT = {} PRICETICK_DICT = {} VARIABLE_COMMISSION_DICT = {} FIXED_COMMISSION_DICT = {} SLIPPAGE_DICT = {} ######################################################################## class BacktestingEngine(object): """""" #---------------------------------------------------------------------- def __init__(self): """Constructor""" self.portfolio = None # 合约配置信息 self.vtSymbolList = [] self.sizeDict = {} # 合约大小字典 self.priceTickDict = {} # 最小价格变动字典 self.variableCommissionDict = {} # 变动手续费字典 self.fixedCommissionDict = {} # 固定手续费字典 self.slippageDict = {} # 滑点成本字典 self.startDt = None self.endDt = None self.currentDt = None self.dataDict = OrderedDict() self.tradeDict = OrderedDict() self.result = None self.resultList = [] #---------------------------------------------------------------------- def setPeriod(self, startDt, endDt): """""" self.startDt = startDt self.endDt = endDt #---------------------------------------------------------------------- def initPortfolio(self, filename, portfolioValue=10000000): """""" with open(filename) as f: r = DictReader(f) for d in r: self.vtSymbolList.append(d['vtSymbol']) SIZE_DICT[d['vtSymbol']] = int(d['size']) PRICETICK_DICT[d['vtSymbol']] = float(d['priceTick']) VARIABLE_COMMISSION_DICT[d['vtSymbol']] = float(d['variableCommission']) FIXED_COMMISSION_DICT[d['vtSymbol']] = float(d['fixedCommission']) SLIPPAGE_DICT[d['vtSymbol']] = float(d['slippage']) self.portfolio = TurtlePortfolio(self) self.portfolio.init(portfolioValue, self.vtSymbolList, SIZE_DICT) self.writeLog(u'投资组合的合约代码%s' %(self.vtSymbolList)) self.writeLog(u'投资组合的初始价值%s' %(portfolioValue)) #---------------------------------------------------------------------- def loadData(self): """""" mc = MongoClient() db = mc[DAILY_DB_NAME] for vtSymbol in self.vtSymbolList: flt = {'datetime':{'$gte':self.startDt, '$lte':self.endDt}} collection = db[vtSymbol] cursor = collection.find(flt).sort('datetime') for d in cursor: bar = VtBarData() bar.__dict__ = d barDict = self.dataDict.setdefault(bar.datetime, OrderedDict()) barDict[bar.vtSymbol] = bar self.writeLog(u'%s数据加载完成，总数据量：%s' %(vtSymbol, cursor.count())) self.writeLog(u'全部数据加载完成') #---------------------------------------------------------------------- def runBacktesting(self): """""" self.writeLog(u'开始回放K线数据') for dt, barDict in self.dataDict.items(): self.currentDt = dt previousResult = self.result self.result = DailyResult(dt) self.result.updatePos(self.portfolio.posDict) self.resultList.append(self.result) if previousResult: self.result.updatePreviousClose(previousResult.closeDict) for bar in barDict.values(): self.portfolio.onBar(bar) self.result.updateBar(bar) self.writeLog(u'K线数据回放结束') #---------------------------------------------------------------------- def calculateResult(self): """""" self.writeLog(u'开始统计回测结果') for result in self.resultList: result.calculatePnl() self.writeLog(u'回测结果统计结束') #---------------------------------------------------------------------- def sendOrder(self, vtSymbol, direction, offset, price, volume): """""" # 对价格四舍五入 priceTick = PRICETICK_DICT[vtSymbol] price = int(round(price/priceTick, 0)) * priceTick # 记录成交数据 trade = TradeData(vtSymbol, direction, offset, price, volume) l = self.tradeDict.setdefault(self.currentDt, []) l.append(trade) self.result.updateTrade(trade) #---------------------------------------------------------------------- def writeLog(self, content): """""" print '%s:\t%s' %(datetime.now().strftime('%H:%M:%S.%f'), content) ######################################################################## class TradeData(object): """""" #---------------------------------------------------------------------- def __init__(self, vtSymbol, direction, offset, price, volume): """Constructor""" self.vtSymbol = vtSymbol self.direction = direction self.offset = offset self.price = price self.volume = volume ######################################################################## class DailyResult(object): """每日的成交记录""" #---------------------------------------------------------------------- def __init__(self, date): """Constructor""" self.date = date self.closeDict = {} # 收盘价字典 self.previousCloseDict = {} # 昨收盘字典 self.tradeDict = defaultdict(list) # 成交字典 self.posDict = {} # 持仓字典（开盘时） self.tradingPnl = 0 self.holdingPnl = 0 self.totalPnl = 0 #---------------------------------------------------------------------- def updateTrade(self, trade): """更新交易""" l = self.tradeDict[trade.vtSymbol] l.append(trade) #---------------------------------------------------------------------- def updatePos(self, d): """更新昨持仓""" self.posDict.update(d) #---------------------------------------------------------------------- def updateBar(self, bar): """更新K线""" self.closeDict[bar.vtSymbol] = bar.close #---------------------------------------------------------------------- def updatePreviousClose(self, d): """更新昨收盘""" self.previousCloseDict.update(d) #---------------------------------------------------------------------- def calculateTradingPnl(self): """计算当日交易盈亏""" for vtSymbol, l in self.tradeDict.items(): close = self.closeDict[vtSymbol] size = SIZE_DICT[vtSymbol] slippage = SLIPPAGE_DICT[vtSymbol] variableCommission = VARIABLE_COMMISSION_DICT[vtSymbol] fixedCommission = FIXED_COMMISSION_DICT[vtSymbol] for trade in l: if trade.direction == DIRECTION_LONG: side = 1 else: side = -1 commissionCost = (trade.volume * fixedCommission + trade.volume * trade.price * variableCommission) slippageCost = trade.volume * slippage pnl = (close - trade.price) * trade.volume * side * size pnl -= (commissionCost + slippageCost) self.tradingPnl += pnl #---------------------------------------------------------------------- def calculateHoldingPnl(self): """计算当日持仓盈亏""" for vtSymbol, pos in self.posDict.items(): previousClose = self.previousCloseDict.get(vtSymbol, 0) close = self.closeDict[vtSymbol] size = SIZE_DICT[vtSymbol] pnl = (close - previousClose) * pos * size self.holdingPnl += pnl #---------------------------------------------------------------------- def calculatePnl(self): """计算总盈亏""" self.calculateHoldingPnl() self.calculateTradingPnl() self.totalPnl = self.holdingPnl + self.tradingPnl