224 lines
7.6 KiB
Python
224 lines
7.6 KiB
Python
# encoding: UTF-8
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import shelve
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from eventEngine import *
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from pymongo import Connection
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from pymongo.errors import *
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from strategyEngine import *
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########################################################################
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class LimitOrder(object):
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"""限价单对象"""
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#----------------------------------------------------------------------
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def __init__(self, symbol):
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"""Constructor"""
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self.symbol = symbol
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self.price = 0
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self.volume = 0
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self.direction = None
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self.offset = None
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########################################################################
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class BacktestingEngine(object):
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"""
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回测引擎，作用：
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1. 从数据库中读取数据并回放
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2. 作为StrategyEngine创建时的参数传入
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"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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self.eventEngine = EventEngine()
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# 策略引擎
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self.strategyEngine = None
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# TICK历史数据列表，由于要使用For循环来实现仿真回放
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# 使用list的速度比Numpy和Pandas都要更快
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self.listDataHistory = []
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# 限价单字典
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self.dictOrder = {}
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# 最新的TICK数据
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self.currentData = None
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# 回测的成交字典
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self.listTrade = []
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# 报单编号
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self.orderRef = 0
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# 成交编号
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self.tradeID = 0
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#----------------------------------------------------------------------
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def setStrategyEngine(self, engine):
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"""设置策略引擎"""
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self.strategyEngine = engine
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self.writeLog(u'策略引擎设置完成')
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#----------------------------------------------------------------------
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def connectMongo(self):
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"""连接MongoDB数据库"""
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try:
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self.__mongoConnection = Connection()
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self.__mongoConnected = True
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self.__mongoTickDB = self.__mongoConnection['TickDB']
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self.writeLog(u'回测引擎连接MongoDB成功')
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except ConnectionFailure:
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self.writeLog(u'回测引擎连接MongoDB失败')
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#----------------------------------------------------------------------
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def loadDataHistory(self, symbol, startDate, endDate):
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"""载入历史TICK数据"""
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if self.__mongoConnected:
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collection = self.__mongoTickDB[symbol]
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# 如果输入了读取TICK的最后日期
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if endDate:
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cx = collection.find({'date':{'$gte':startDate, '$lte':endDate}})
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elif startDate:
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cx = collection.find({'date':{'$gte':startDate}})
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else:
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cx = collection.find()
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# 将TICK数据读入内存
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self.listDataHistory = [data for data in cx]
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self.writeLog(u'历史TICK数据载入完成')
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else:
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self.writeLog(u'MongoDB未连接，请检查')
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#----------------------------------------------------------------------
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def processLimitOrder(self):
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"""处理限价单"""
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for ref, order in self.dictOrder.items():
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# 如果是买单，且限价大于等于当前TICK的卖一价，则假设成交
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if order.direction == DIRECTION_BUY and \
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order.price >= self.currentData['AskPrice1']:
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self.executeLimitOrder(ref, order, self.currentData['AskPrice1'])
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# 如果是卖单，且限价低于当前TICK的买一价，则假设全部成交
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if order.direction == DIRECTION_SELL and \
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order.price <= self.currentData['BidPrice1']:
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self.executeLimitOrder(ref, order, self.currentData['BidPrice1'])
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#----------------------------------------------------------------------
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def executeLimitOrder(self, ref, order, price):
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"""限价单成交处理"""
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# 成交回报
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self.tradeID = self.tradeID + 1
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tradeData = {}
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tradeData['InstrumentID'] = order.symbol
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tradeData['OrderRef'] = ref
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tradeData['TradeID'] = str(self.tradeID)
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tradeData['Direction'] = order.direction
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tradeData['OffsetFlag'] = order.offset
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tradeData['Price'] = price
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tradeData['Volume'] = order.volume
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tradeEvent = Event()
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tradeEvent.dict_['data'] = tradeData
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self.strategyEngine.updateTrade(tradeEvent)
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# 报单回报
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orderData = {}
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orderData['InstrumentID'] = order.symbol
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orderData['OrderRef'] = ref
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orderData['Direction'] = order.direction
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orderData['CombOffsetFlag'] = order.offset
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orderData['LimitPrice'] = price
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orderData['VolumeTotalOriginal'] = order.volume
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orderData['VolumeTraded'] = order.volume
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orderData['InsertTime'] = ''
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orderData['CancelTime'] = ''
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orderData['FrontID'] = ''
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orderData['SessionID'] = ''
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orderData['OrderStatus'] = ''
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orderEvent = Event()
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orderEvent.dict_['data'] = orderData
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self.strategyEngine.updateOrder(orderEvent)
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# 记录该成交到列表中
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self.listTrade.append(tradeData)
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# 删除该限价单
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del self.dictOrder[ref]
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#----------------------------------------------------------------------
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def startBacktesting(self):
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"""开始回测"""
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self.writeLog(u'开始回测')
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for data in self.listDataHistory:
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# 记录最新的TICK数据
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self.currentData = data
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# 处理限价单
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self.processLimitOrder()
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# 推送到策略引擎中
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event = Event()
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event.dict_['data'] = data
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self.strategyEngine.updateMarketData(event)
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self.saveTradeData()
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self.writeLog(u'回测结束')
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#----------------------------------------------------------------------
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def sendOrder(self, instrumentid, exchangeid, price, pricetype, volume, direction, offset):
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"""回测发单"""
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order = LimitOrder(instrumentid)
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order.price = price
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order.direction = direction
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order.volume = volume
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order.offset = offset
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self.orderRef = self.orderRef + 1
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self.dictOrder[str(self.orderRef)] = order
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return str(self.orderRef)
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#----------------------------------------------------------------------
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def cancelOrder(self, instrumentid, exchangeid, orderref, frontid, sessionid):
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"""回测撤单"""
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try:
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del self.dictOrder[orderref]
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except KeyError:
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pass
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#----------------------------------------------------------------------
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def writeLog(self, log):
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"""写日志"""
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print log
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#----------------------------------------------------------------------
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def selectInstrument(self, symbol):
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"""读取合约数据"""
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d = {}
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d['ExchangeID'] = 'BackTesting'
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return d
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#----------------------------------------------------------------------
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def saveTradeData(self):
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"""保存交易记录"""
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f = shelve.open('result.vn')
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f['listTrade'] = self.listTrade
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f.close()
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#----------------------------------------------------------------------
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def subscribe(self, symbol, exchange):
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"""仿真订阅合约"""
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pass
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