381 lines
15 KiB
Python
381 lines
15 KiB
Python
# encoding: UTF-8
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from datetime import datetime, timedelta
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import json
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from collections import OrderedDict
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import pymongo
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from vtConstant import *
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from vtGateway import VtOrderData, VtTradeData
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from ctaConstant import *
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from ctaObject import *
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from ctaStrategies import strategyClassDict
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from ctaStrategyTemplate import TestStrategy
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from ctaHistoryData import MINUTE_DB_NAME
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########################################################################
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class BacktestingEngine(object):
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"""
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CTA回测引擎
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函数接口和策略引擎保持一样，
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从而实现同一套代码从回测到实盘。
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"""
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TICK_MODE = 'tick'
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BAR_MODE = 'bar'
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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# 本地停止单编号计数
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self.stopOrderCount = 0
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# stopOrderID = STOPORDERPREFIX + str(stopOrderCount)
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# 本地停止单字典
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# key为stopOrderID，value为stopOrder对象
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self.stopOrderDict = {} # 停止单撤销后不会从本字典中删除
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self.workingStopOrderDict = {} # 停止单撤销后会从本字典中删除
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# 回测相关
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self.strategy = None # 回测策略
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self.mode = self.BAR_MODE # 回测模式，默认为K线
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self.dbClient = None # 数据库客户端
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self.dbCursor = None # 数据库指针
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self.historyData = [] # 历史数据的列表，回测用
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self.initData = [] # 初始化用的数据
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self.backtestingData = [] # 回测用的数据
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self.dataStartDate = None # 回测数据开始日期，datetime对象
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self.strategyStartDate = None # 策略启动日期（即前面的数据用于初始化），同上
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self.limitOrderDict = {} # 限价单字典
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self.workingLimitOrderDict = {} # 活动限价单字典，用于进行撮合用
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self.limitOrderCount = 0 # 限价单编号
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self.tradeCount = 0 # 成交编号
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self.tradeDict = {} # 成交字典
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# 当前最新数据，用于模拟成交用
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self.tick = None
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self.bar = None
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self.dt = None # 最新的时间
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#----------------------------------------------------------------------
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def setStartDate(self, startDate='20100416', initDays=30):
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"""设置回测的启动日期"""
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self.dataStartDate = datetime.strptime(startDate, '%Y%m%d')
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initTimeDelta = timedelta(initDays)
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self.strategyStartDate = self.dataStartDate + initTimeDelta
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#----------------------------------------------------------------------
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def setBacktestingMode(self, mode):
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"""设置回测模式"""
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self.mode = mode
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#----------------------------------------------------------------------
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def loadHistoryData(self, dbName, symbol):
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"""载入历史数据"""
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self.output(u'开始载入数据')
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# 首先根据回测模式，确认要使用的数据类
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if self.mode == self.BAR_MODE:
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dataClass = CtaBarData
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else:
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dataClass = CtaTickData
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# 从数据库进行查询
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self.dbClient = pymongo.MongoClient()
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collection = self.dbClient[dbName][symbol]
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flt = {'datetime':{'$gte':self.dataStartDate}} # 数据过滤条件
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self.dbCursor = collection.find(flt)
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# 将数据从查询指针中读取出，并生成列表
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for d in self.dbCursor:
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data = dataClass()
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data.__dict__ = d
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if data.datetime < self.strategyStartDate:
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self.initData.append(data)
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else:
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self.backtestingData.append(data)
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self.output(u'载入完成，数据量%s' %len(self.backtestingData))
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#----------------------------------------------------------------------
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def runBacktesting(self):
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"""运行回测"""
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self.strategy.start()
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if self.mode == self.BAR_MODE:
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for data in self.backtestingData:
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self.newBar(data)
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else:
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for data in self.backtestingData:
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self.newTick(data)
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#----------------------------------------------------------------------
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def newBar(self, bar):
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"""新的K线"""
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self.bar = bar
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self.crossLimitOrder() # 先撮合限价单
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self.crossStopOrder() # 再撮合停止单
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self.strategy.onBar(bar)
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#----------------------------------------------------------------------
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def newTick(self, tick):
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"""新的Tick"""
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self.tick = tick
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self.crossLimitOrder()
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self.crossStopOrder()
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self.strategy.onTick(tick)
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#----------------------------------------------------------------------
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def initStrategy(self, name, strategyClass, paramDict=None):
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"""初始化策略"""
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self.strategy = strategyClass(self, name, paramDict)
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#----------------------------------------------------------------------
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def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
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"""发单"""
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self.limitOrderCount += 1
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orderID = str(self.limitOrderCount)
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order = VtOrderData()
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order.vtSymbol = vtSymbol
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order.price = price
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order.totalVolume = volume
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order.status = STATUS_NOTTRADED # 刚提交尚未成交
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order.orderID = orderID
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order.vtOrderID = orderID
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order.orderTime = str(self.dt)
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# CTA委托类型映射
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if orderType == CTAORDER_BUY:
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order.direction = DIRECTION_LONG
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order.offset = OFFSET_OPEN
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elif orderType == CTAORDER_SELL:
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order.direction = DIRECTION_SHORT
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order.offset = OFFSET_CLOSE
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elif orderType == CTAORDER_SHORT:
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order.direction = DIRECTION_SHORT
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order.offset = OFFSET_OPEN
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elif orderType == CTAORDER_COVER:
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order.direction = DIRECTION_LONG
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order.offset = OFFSET_CLOSE
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# 保存到限价单字典中
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self.workingLimitOrderDict[orderID] = order
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self.limitOrderDict[orderID] = order
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return orderID
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#----------------------------------------------------------------------
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def cancelOrder(self, vtOrderID):
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"""撤单"""
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if vtOrderID in self.workingLimitOrderDict:
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order = self.workingLimitOrderDict[vtOrderID]
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order.status = STATUS_CANCELLED
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order.cancelTime = str(self.dt)
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del self.workingLimitOrderDict[vtOrderID]
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#----------------------------------------------------------------------
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def sendStopOrder(self, vtSymbol, orderType, price, volume, strategy):
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"""发停止单（本地实现）"""
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self.stopOrderCount += 1
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stopOrderID = STOPORDERPREFIX + str(self.stopOrderCount)
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so = StopOrder()
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so.vtSymbol = vtSymbol
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so.price = price
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so.volume = volume
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so.strategy = strategy
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so.stopOrderID = stopOrderID
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so.status = STOPORDER_WAITING
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if orderType == CTAORDER_BUY:
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so.direction = DIRECTION_LONG
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so.offset = OFFSET_OPEN
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elif orderType == CTAORDER_SELL:
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so.direction = DIRECTION_SHORT
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so.offset = OFFSET_CLOSE
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elif orderType == CTAORDER_SHORT:
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so.direction = DIRECTION_SHORT
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so.offset = OFFSET_OPEN
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elif orderType == CTAORDER_COVER:
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so.direction = DIRECTION_LONG
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so.offset = OFFSET_CLOSE
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# 保存stopOrder对象到字典中
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self.stopOrderDict[stopOrderID] = so
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self.workingStopOrderDict[stopOrderID] = so
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return stopOrderID
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#----------------------------------------------------------------------
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def cancelStopOrder(self, stopOrderID):
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"""撤销停止单"""
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# 检查停止单是否存在
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if stopOrderID in self.workingStopOrderDict:
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so = self.workingStopOrderDict[stopOrderID]
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so.status = STOPORDER_CANCELLED
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del self.workingStopOrderDict[stopOrderID]
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#----------------------------------------------------------------------
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def crossLimitOrder(self):
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"""基于最新数据撮合限价单"""
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# 先确定会撮合成交的价格
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if self.mode == self.BAR_MODE:
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buyCrossPrice = self.bar.low # 若买入方向限价单价格高于该价格，则会成交
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sellCrossPrice = self.bar.high # 若卖出方向限价单价格低于该价格，则会成交
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else:
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buyCrossPrice = self.tick.lastPrice
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sellCrossPrice = self.tick.lastPrice
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# 遍历限价单字典中的所有限价单
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for orderID, order in self.workingLimitOrderDict.items():
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# 判断是否会成交
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buyCross = order.direction==DIRECTION_LONG and order.price>=buyCrossPrice
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sellCross = order.direction==DIRECTION_SHORT and order.price<=sellCrossPrice
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# 如果发生了成交
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if buyCross or sellCross:
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# 推送成交数据
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self.tradeCount += 1 # 成交编号自增1
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tradeID = str(self.tradeCount)
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trade = VtTradeData()
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trade.vtSymbol = order.vtSymbol
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trade.tradeID = tradeID
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trade.vtTradeID = tradeID
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trade.orderID = order.orderID
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trade.vtOrderID = order.orderID
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trade.direction = order.direction
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trade.offset = order.offset
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trade.price = order.price
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trade.volume = order.totalVolume
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trade.tradeTime = str(self.dt)
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self.strategy.onTrade(trade)
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self.tradeDict[tradeID] = trade
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# 推送委托数据
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order.tradedVolume = order.totalVolume
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order.status = STATUS_ALLTRADED
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self.strategy.onOrder(order)
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# 从字典中删除该限价单
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del self.workingLimitOrderDict[orderID]
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#----------------------------------------------------------------------
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def crossStopOrder(self):
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"""基于最新数据撮合停止单"""
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# 先确定会撮合成交的价格，这里和限价单规则相反
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if self.mode == self.BAR_MODE:
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buyCrossPrice = self.bar.high # 若买入方向停止单价格低于该价格，则会成交
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sellCrossPrice = self.bar.low # 若卖出方向限价单价格高于该价格，则会成交
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else:
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buyCrossPrice = self.tick.lastPrice
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sellCrossPrice = self.tick.lastPrice
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# 遍历限价单字典中的所有限价单
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for stopOrderID, so in self.workingStopOrderDict.items():
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# 判断是否会成交
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buyCross = so.direction==DIRECTION_LONG and so.price<=buyCrossPrice
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sellCross = so.direction==DIRECTION_SHORT and so.price>=sellCrossPrice
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# 如果发生了成交
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if buyCross or sellCross:
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# 推送成交数据
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self.tradeCount += 1 # 成交编号自增1
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tradeID = str(self.tradeCount)
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trade = VtTradeData()
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trade.vtSymbol = so.vtSymbol
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trade.tradeID = tradeID
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trade.vtTradeID = tradeID
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self.limitOrderCount += 1
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orderID = str(self.limitOrderCount)
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trade.orderID = orderID
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trade.vtOrderID = orderID
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trade.direction = so.direction
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trade.offset = so.offset
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trade.price = so.price
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trade.volume = so.volume
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trade.tradeTime = str(self.dt)
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self.strategy.onTrade(trade)
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self.tradeDict[tradeID] = trade
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# 推送委托数据
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so.status = STOPORDER_TRIGGERED
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order = VtOrderData()
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order.vtSymbol = so.vtSymbol
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order.symbol = so.vtSymbol
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order.orderID = orderID
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order.vtOrderID = orderID
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order.direction = so.direction
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order.offset = so.offset
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order.price = so.price
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order.totalVolume = so.volume
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order.tradedVolume = so.volume
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order.status = STATUS_ALLTRADED
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order.orderTime = trade.tradeTime
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self.strategy.onOrder(order)
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# 从字典中删除该限价单
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del self.workingStopOrderDict[stopOrderID]
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#----------------------------------------------------------------------
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def insertData(self, dbName, collectionName, data):
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"""考虑到回测中不允许向数据库插入数据，防止实盘交易中的一些代码出错"""
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pass
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#----------------------------------------------------------------------
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def loadBar(self, dbName, collectionName, startDate):
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"""直接返回初始化数据列表中的Bar"""
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return self.initData
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#----------------------------------------------------------------------
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def loadTick(self, dbName, collectionName, startDate):
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"""直接返回初始化数据列表中的Tick"""
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return self.initData
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#----------------------------------------------------------------------
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def getToday(self):
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"""获取代表今日的datetime对象"""
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# 这个方法本身主要用于在每日初始化时确定日期，从而知道该读取之前从某日起的数据
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# 这里选择策略启动的日期
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return self.strategyStartDate
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#----------------------------------------------------------------------
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def writeCtaLog(self, content):
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"""记录日志"""
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print content
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#----------------------------------------------------------------------
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def output(self, content):
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"""输出内容"""
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print content
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#----------------------------------------------------------------------
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def test():
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""""""
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engine = BacktestingEngine()
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engine.setBacktestingMode(engine.BAR_MODE)
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engine.initStrategy(u'测试', TestStrategy)
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engine.setStartDate()
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engine.loadHistoryData(MINUTE_DB_NAME, 'IF0000')
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engine.runBacktesting()
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