def get_sharpe(self, start_time, end_time, simple=True):
si, ei = self.get_index(start_time, end_time)
if si >= len(self.__pnl):
return 0
records = self.__pnl[si:ei]
manager = StrategyPerformanceManagerOnline(records, {}, {})
performance = manager.get_performance()
if simple:
return performance.sharpe_ratio.total
else:
return performance.sharpe_ratio_compound.total
def __get_performance_manager(self):
# TODO 加入回测是否运行的判断
if False:
raise ValueError('please run the backtest first')
return StrategyPerformanceManagerOnline(
self.__strategy_engine.profit_records,
self.__strategy_engine.deals, self.__strategy_engine.positions)
class RuntimePerformance:
def __init__(self, user):
self._user = user
self._mongo_user = MongoUser(user)
self._performance = None
self._performance_manager = None
@property
def positions(self):
return {item.id: item for item in map(Position.from_dict, self._mongo_user.collection.positions.find())}
@property
def deals(self):
return {item.id: item for item in map(Deal.from_dict, self._mongo_user.collection.deals.find())}
@property
def profit_records(self):
return list(self._mongo_user.collection.PnLs.find())
@property
def performance(self):
if self._performance is None:
self._performance_manager = StrategyPerformanceManagerOnline(self.profit_records, self.deals,
self.positions)
self._performance = self._performance_manager.get_performance()
return self._performance
class RuntimePerformance:
def __init__(self, user):
self._user = user
self._mongo_user = MongoUser(user)
self._performance = None
self._performance_manager = None
self._positions = None
self._deals = None
self._profit_records = None
@property
def positions(self):
if self._positions is None:
self._positions = {item.id: item for item in
map(Position.from_dict,
self._mongo_user.collection.positions.find(projection={"_id": False}))}
return self._positions
@property
def deals(self):
if self._deals is None:
self._deals = {item.id: item for item in
map(Deal.from_dict, self._mongo_user.collection.deals.find(projection={"_id": False}))}
return self._deals
@property
def profit_records(self):
if self._profit_records is None:
self._profit_records = list(self._mongo_user.collection.PnLs.find(projection={"_id": False}))
return self._profit_records
@property
def performance(self):
if self._performance is None:
self._performance_manager = StrategyPerformanceManagerOnline(self.profit_records, self.deals,
self.positions)
self._performance = self._performance_manager.get_performance()
return self._performance
@property
def empty(self):
if self._mongo_user.collection.PnLs.count() == 0:
return True
if self._mongo_user.collection.positions.count() == 0:
return True
if self._mongo_user.collection.deals.count() == 0:
return True
return False
def performance(self):
if self._performance is None:
self._performance_manager = StrategyPerformanceManagerOnline(self.profit_records, self.deals,
self.positions)
self._performance = self._performance_manager.get_performance()
return self._performance
def performance(self):
if self._performance is None:
self._performance_manager = StrategyPerformanceManagerOnline(self.profit_records, self.deals,
self.positions)
self._performance = self._performance_manager.get_performance()
return self._performance
def get_performance(self, start_time, end_time):
si, ei = self.get_index(start_time, end_time)
if si >= len(self.__pnl):
return None
records = self.__pnl[si:ei]
return StrategyPerformanceManagerOnline(records, {}, {})
