class JnpyBacktesterManager(QtWidgets.QWidget):
""""""
setting_filename = "cta_backtester_setting.json"
signal_log = QtCore.pyqtSignal(Event)
signal_backtesting_finished = QtCore.pyqtSignal(Event)
signal_optimization_finished = QtCore.pyqtSignal(Event)
def __init__(self, main_engine: MainEngine, event_engine: EventEngine):
""""""
super().__init__()
self.main_engine = main_engine
self.event_engine = event_engine
self.backtester_engine = main_engine.get_engine(APP_NAME)
self.class_names = []
self.settings = {}
self.db_instance = DBOperation(get_settings("database."))
self.dbbardata_groupby_df = pd.DataFrame()
self.pytdx_contracts_dict = read_contracts_json_dict()
self.pyccxt_exchange = Exchange()
self.target_display = ""
self.init_ui()
self.register_event()
self.backtester_engine.init_engine()
self.init_strategy_settings()
def init_strategy_settings(self):
""""""
self.class_names = self.backtester_engine.get_strategy_class_names()
for class_name in self.class_names:
setting = self.backtester_engine.get_default_setting(class_name)
self.settings[class_name] = setting
self.class_combo.addItems(self.class_names)
def init_ui(self):
""""""
self.setWindowTitle("CTA回测")
# Setting Part
self.class_combo = QtWidgets.QComboBox()
# self.symbol_line = QtWidgets.QLineEdit("IF88.CFFEX")
self.symbol_line = ""
self.symbol_label = QtWidgets.QLabel()
self.data_counts_label = QtWidgets.QLabel()
#############################################
# fangyang add, 根据数据库内容进行选项显示
self.dbbardata_groupby_df = self.db_instance.get_groupby_data_from_sql_db()
self.exchange_combo = QtWidgets.QComboBox()
self.exchange_combo.addItems(self.dbbardata_groupby_df['exchange'].drop_duplicates().to_list())
self.exchange_combo.activated[str].connect(self.onExchangeActivated)
self.symbol_combo = QtWidgets.QComboBox()
self.symbol_combo.currentIndexChanged.connect(self.onSymbolActivated)
self.interval_combo = QtWidgets.QComboBox()
self.interval_combo.currentIndexChanged.connect(self.onIntervalActivated)
##########################################
end_dt = datetime.now()
# start_dt = end_dt - timedelta(days=3 * 365) # debug 临时更改
start_dt = end_dt - timedelta(days=100) # debug 临时更改
self.start_date_edit = QtWidgets.QDateEdit(
QtCore.QDate(
start_dt.year,
start_dt.month,
start_dt.day
)
)
self.end_date_edit = QtWidgets.QDateEdit(
QtCore.QDate.currentDate()
)
self.rate_line = QtWidgets.QLineEdit("0.000025")
self.slippage_line = QtWidgets.QLineEdit("1")
self.size_line = QtWidgets.QLineEdit("10")
self.pricetick_line = QtWidgets.QLineEdit("1")
self.capital_line = QtWidgets.QLineEdit("1000000")
self.inverse_combo = QtWidgets.QComboBox()
self.inverse_combo.addItems(["正向", "反向"])
# fangyang add
self.debug_combo = QtWidgets.QComboBox()
self.debug_combo.addItems(["Thread 运行回测", "Debug 运行回测"])
backtesting_button = QtWidgets.QPushButton("开始回测")
backtesting_button.clicked.connect(self.start_backtesting)
rl_train_button = QtWidgets.QPushButton("开始RL训练")
rl_train_button.clicked.connect(self.start_rl_train)
optimization_button = QtWidgets.QPushButton("参数优化")
optimization_button.clicked.connect(self.start_optimization)
self.result_button = QtWidgets.QPushButton("优化结果")
self.result_button.clicked.connect(self.show_optimization_result)
self.result_button.setEnabled(False)
downloading_button = QtWidgets.QPushButton("下载数据")
downloading_button.clicked.connect(self.start_downloading)
self.order_button = QtWidgets.QPushButton("委托记录")
self.order_button.clicked.connect(self.show_backtesting_orders)
self.order_button.setEnabled(False)
self.trade_button = QtWidgets.QPushButton("成交记录")
self.trade_button.clicked.connect(self.show_backtesting_trades)
self.trade_button.setEnabled(False)
self.daily_button = QtWidgets.QPushButton("每日盈亏")
self.daily_button.clicked.connect(self.show_daily_results)
self.daily_button.setEnabled(False)
self.candle_button = QtWidgets.QPushButton("K线图表")
self.candle_button.clicked.connect(self.show_candle_chart)
self.candle_button.setEnabled(False)
self.candle_button_web = QtWidgets.QPushButton("K线图表web")
self.candle_button_web.clicked.connect(self.show_candle_chart_web)
# self.candle_button_web.setEnabled(False)
edit_button = QtWidgets.QPushButton("代码编辑")
edit_button.clicked.connect(self.edit_strategy_code)
reload_button = QtWidgets.QPushButton("策略重载")
reload_button.clicked.connect(self.reload_strategy_class)
# for button in [
# backtesting_button,
# optimization_button,
# downloading_button,
# self.result_button,
# self.order_button,
# self.trade_button,
# self.daily_button,
# self.candle_button,
# edit_button,
# reload_button
# ]:
# button.setFixedHeight(button.sizeHint().height() * 2)
form = QtWidgets.QFormLayout()
form.addRow("交易策略", self.class_combo)
form.addRow("交易所代码", self.exchange_combo)
form.addRow("本地代码", self.symbol_combo)
form.addRow("合约名称", self.symbol_label)
form.addRow("K线周期", self.interval_combo)
form.addRow("开始日期", self.start_date_edit)
form.addRow("结束日期\n(+1天才能回测到最后这天)", self.end_date_edit)
form.addRow("DB内总数据量", self.data_counts_label)
form.addRow("手续费率", self.rate_line)
form.addRow("交易滑点", self.slippage_line)
form.addRow("合约乘数", self.size_line)
form.addRow("价格跳动", self.pricetick_line)
form.addRow("回测资金", self.capital_line)
form.addRow("合约模式\n(数字货币用反向)", self.inverse_combo)
form.addRow("回测模式", self.debug_combo)
result_grid = QtWidgets.QGridLayout()
result_grid.addWidget(self.trade_button, 0, 0)
result_grid.addWidget(self.order_button, 0, 1)
result_grid.addWidget(self.daily_button, 1, 0)
result_grid.addWidget(self.candle_button, 1, 1)
result_grid.addWidget(self.candle_button_web, 2, 1)
left_vbox = QtWidgets.QVBoxLayout()
left_vbox.addLayout(form)
left_vbox.addWidget(backtesting_button)
left_vbox.addWidget(rl_train_button)
left_vbox.addWidget(downloading_button)
left_vbox.addStretch()
left_vbox.addLayout(result_grid)
left_vbox.addStretch()
left_vbox.addWidget(optimization_button)
left_vbox.addWidget(self.result_button)
left_vbox.addStretch()
left_vbox.addWidget(edit_button)
left_vbox.addWidget(reload_button)
# Result part
self.statistics_monitor = StatisticsMonitor()
self.log_monitor = QtWidgets.QTextEdit()
self.log_monitor.setMaximumHeight(400)
self.chart = BacktesterChart()
self.chart.setMinimumWidth(1000)
self.trade_dialog = BacktestingResultDialog(
self.main_engine,
self.event_engine,
"回测成交记录",
BacktestingTradeMonitor
)
self.order_dialog = BacktestingResultDialog(
self.main_engine,
self.event_engine,
"回测委托记录",
BacktestingOrderMonitor
)
self.daily_dialog = BacktestingResultDialog(
self.main_engine,
self.event_engine,
"回测每日盈亏",
DailyResultMonitor
)
# Candle Chart
self.candle_dialog = CandleChartDialog()
# Layout
vbox = QtWidgets.QVBoxLayout()
vbox.addWidget(self.statistics_monitor)
vbox.addWidget(self.log_monitor)
hbox = QtWidgets.QHBoxLayout()
hbox.addLayout(left_vbox)
hbox.addLayout(vbox)
hbox.addWidget(self.chart)
self.setLayout(hbox)
# Code Editor
self.editor = CodeEditor(self.main_engine, self.event_engine)
# Load setting
setting = load_json(self.setting_filename)
if not setting:
return
self.class_combo.setCurrentIndex(
self.class_combo.findText(setting["class_name"])
)
self.interval_combo.setCurrentIndex(
self.interval_combo.findText(setting["interval"])
)
self.rate_line.setText(str(setting["rate"]))
self.slippage_line.setText(str(setting["slippage"]))
self.size_line.setText(str(setting["size"]))
self.pricetick_line.setText(str(setting["pricetick"]))
self.capital_line.setText(str(setting["capital"]))
if not setting["inverse"]:
self.inverse_combo.setCurrentIndex(0)
else:
self.inverse_combo.setCurrentIndex(1)
def onExchangeActivated(self, current_exchange_text):
'''
exchange变化触发, 重置symbol QCombox
'''
self.symbol_combo.clear()
self.symbol_combo.addItems(
self.dbbardata_groupby_df[
self.dbbardata_groupby_df['exchange'] == current_exchange_text
]['symbol'].drop_duplicates().to_list()
)
def onSymbolActivated(self):
'''
symbol变化触发, 重置interval QCombox
'''
self.interval_combo.clear()
current_symbol = self.symbol_combo.currentText()
current_exchange = self.exchange_combo.currentText()
self.interval_combo.addItems(
self.dbbardata_groupby_df[
(self.dbbardata_groupby_df['symbol'] == current_symbol)
& (self.dbbardata_groupby_df['exchange'] == current_exchange)
]['interval'].to_list()
)
def onIntervalActivated(self):
current_symbol = self.symbol_combo.currentText()
current_exchange = self.exchange_combo.currentText()
current_interval = self.interval_combo.currentText()
count_series = self.dbbardata_groupby_df[
(self.dbbardata_groupby_df['symbol'] == current_symbol)
& (self.dbbardata_groupby_df['exchange'] == current_exchange)
& (self.dbbardata_groupby_df['interval'] == current_interval)
]['count(1)']
if count_series.empty:
self.data_counts_label.setText("0")
else:
self.data_counts_label.setText(f'''{count_series.values[0]}''')
if current_exchange and current_symbol and current_interval:
symbol_de_L8_str = current_symbol[:-2]
if symbol_de_L8_str in self.pytdx_contracts_dict:
self.symbol_label.setText(f"{self.pytdx_contracts_dict[symbol_de_L8_str]['name']}")
self.size_line.setText(f"{self.pytdx_contracts_dict[symbol_de_L8_str]['size']}")
self.pricetick_line.setText(f"{self.pytdx_contracts_dict[symbol_de_L8_str]['pricetick']}")
elif current_exchange.lower() in self.pyccxt_exchange.exchange_list:
self.symbol_label.setText(f"{current_symbol}")
cur_exchange_market_info_dict = self.pyccxt_exchange.read_local_market_info_json_file(
current_exchange.lower()
)
if cur_exchange_market_info_dict \
and (current_symbol.replace("_", "/").upper() in cur_exchange_market_info_dict):
market_info = cur_exchange_market_info_dict[current_symbol.replace("_", "/").upper()]
self.pricetick_line.setText(f"{market_info['limits']['price']['min']}")
else:
self.pricetick_line.setText(f"999")
self.size_line.setText(f"{1}")
# TODO 增加重置日期后统计数据数目
# 重置日期
db_end_dt = self.db_instance.get_end_date_from_db(
symbol=current_symbol,
exchange=current_exchange,
interval=current_interval
)
db_end_dt = datetime.strptime(db_end_dt, '%Y-%m-%d %H:%M:%S')
db_start_dt = self.db_instance.get_start_date_from_db(
symbol=current_symbol,
exchange=current_exchange,
interval=current_interval
)
db_start_dt = datetime.strptime(db_start_dt, '%Y-%m-%d %H:%M:%S')
self.start_date_edit.setDate(
QtCore.QDate(
db_start_dt.year,
db_start_dt.month,
db_start_dt.day
)
)
self.end_date_edit.setDate(
QtCore.QDate(
db_end_dt.year,
db_end_dt.month,
db_end_dt.day
)
)
def register_event(self):
""""""
# if self.debug_combo.currentText() == "Debug 运行回测":
# self.signal_log.connect(self.write_log)
self.signal_log.connect(self.process_log_event)
self.signal_backtesting_finished.connect(
self.process_backtesting_finished_event)
self.signal_optimization_finished.connect(
self.process_optimization_finished_event)
self.event_engine.register(EVENT_BACKTESTER_LOG, self.signal_log.emit)
self.event_engine.register(
EVENT_BACKTESTER_BACKTESTING_FINISHED, self.signal_backtesting_finished.emit)
self.event_engine.register(
EVENT_BACKTESTER_OPTIMIZATION_FINISHED, self.signal_optimization_finished.emit)
def process_log_event(self, event: Event):
""""""
msg = event.data
self.write_log(msg)
def write_log(self, msg):
""""""
timestamp = datetime.now().strftime("%H:%M:%S")
msg = f"{timestamp}\t{msg}"
self.log_monitor.append(msg)
def process_backtesting_finished_event(self, event: Event):
""""""
statistics = self.backtester_engine.get_result_statistics()
self.statistics_monitor.set_data(statistics)
df = self.backtester_engine.get_result_df()
self.chart.set_data(df)
self.trade_button.setEnabled(True)
self.order_button.setEnabled(True)
self.daily_button.setEnabled(True)
self.candle_button.setEnabled(True)
def process_optimization_finished_event(self, event: Event):
""""""
self.write_log("请点击[优化结果]按钮查看")
self.result_button.setEnabled(True)
def start_rl_train(self):
print("start RL !!!")
class_name = self.class_combo.currentText()
vt_symbol = f"{self.symbol_combo.currentText()}.{self.exchange_combo.currentText()}"
interval = self.interval_combo.currentText()
start = self.start_date_edit.date().toPyDate()
end = self.end_date_edit.date().toPyDate()
rate = float(self.rate_line.text())
slippage = float(self.slippage_line.text())
size = float(self.size_line.text())
pricetick = float(self.pricetick_line.text())
capital = float(self.capital_line.text())
if self.inverse_combo.currentText() == "正向":
inverse = False
else:
inverse = True
backtesting_debug_mode = True
# Get strategy setting
old_setting = self.settings[class_name]
dialog = BacktestingSettingEditor(class_name, old_setting)
i = dialog.exec()
if i != dialog.Accepted:
return
new_setting = dialog.get_setting()
self.settings[class_name] = new_setting
result = self.backtester_engine.rl_training(
class_name,
vt_symbol,
interval,
start,
end,
rate,
slippage,
size,
pricetick,
capital,
inverse,
new_setting
)
def start_backtesting(self):
""""""
class_name = self.class_combo.currentText()
vt_symbol = f"{self.symbol_combo.currentText()}.{self.exchange_combo.currentText()}"
interval = self.interval_combo.currentText()
start = self.start_date_edit.date().toPyDate()
end = self.end_date_edit.date().toPyDate()
rate = float(self.rate_line.text())
slippage = float(self.slippage_line.text())
size = float(self.size_line.text())
pricetick = float(self.pricetick_line.text())
capital = float(self.capital_line.text())
if self.inverse_combo.currentText() == "正向":
inverse = False
else:
inverse = True
# fangyang add
if self.debug_combo.currentText() == "Thread 运行回测": # "Debug 运行回测"
backtesting_debug_mode = False
else:
backtesting_debug_mode = True
#######################
# Save backtesting parameters
backtesting_setting = {
"class_name": class_name,
"vt_symbol": vt_symbol,
"interval": interval,
"rate": rate,
"slippage": slippage,
"size": size,
"pricetick": pricetick,
"capital": capital,
"inverse": inverse,
}
save_json(self.setting_filename, backtesting_setting)
# Get strategy setting
old_setting = self.settings[class_name]
dialog = BacktestingSettingEditor(class_name, old_setting)
i = dialog.exec()
if i != dialog.Accepted:
return
new_setting = dialog.get_setting()
self.settings[class_name] = new_setting
result = self.backtester_engine.start_backtesting(
class_name,
vt_symbol,
interval,
start,
end,
rate,
slippage,
size,
pricetick,
capital,
inverse,
backtesting_debug_mode, # fangyang add
new_setting
)
if result:
self.statistics_monitor.clear_data()
self.chart.clear_data()
self.trade_button.setEnabled(False)
self.order_button.setEnabled(False)
self.daily_button.setEnabled(False)
self.candle_button.setEnabled(False)
self.trade_dialog.clear_data()
self.order_dialog.clear_data()
self.daily_dialog.clear_data()
self.candle_dialog.clear_data()
def start_optimization(self):
""""""
class_name = self.class_combo.currentText()
vt_symbol = f"{self.symbol_combo.currentText()}.{self.exchange_combo.currentText()}"
interval = self.interval_combo.currentText()
start = self.start_date_edit.date().toPyDate()
end = self.end_date_edit.date().toPyDate()
rate = float(self.rate_line.text())
slippage = float(self.slippage_line.text())
size = float(self.size_line.text())
pricetick = float(self.pricetick_line.text())
capital = float(self.capital_line.text())
if self.inverse_combo.currentText() == "正向":
inverse = False
else:
inverse = True
parameters = self.settings[class_name]
dialog = OptimizationSettingEditor(class_name, parameters)
i = dialog.exec()
if i != dialog.Accepted:
return
optimization_setting, use_ga = dialog.get_setting()
self.target_display = dialog.target_display
self.backtester_engine.start_optimization(
class_name,
vt_symbol,
interval,
start,
end,
rate,
slippage,
size,
pricetick,
capital,
inverse,
optimization_setting,
use_ga
)
self.result_button.setEnabled(False)
def start_downloading(self):
""""""
vt_symbol = self.symbol_line.text()
interval = self.interval_combo.currentText()
start_date = self.start_date_edit.date()
end_date = self.end_date_edit.date()
start = datetime(start_date.year(), start_date.month(), start_date.day())
end = datetime(end_date.year(), end_date.month(), end_date.day(), 23, 59, 59)
self.backtester_engine.start_downloading(
vt_symbol,
interval,
start,
end
)
def show_optimization_result(self):
""""""
result_values = self.backtester_engine.get_result_values()
dialog = OptimizationResultMonitor(
result_values,
self.target_display
)
dialog.exec_()
def show_backtesting_trades(self):
""""""
if not self.trade_dialog.is_updated():
trades = self.backtester_engine.get_all_trades()
self.trade_dialog.update_data(trades)
self.trade_dialog.exec_()
def show_backtesting_orders(self):
""""""
if not self.order_dialog.is_updated():
orders = self.backtester_engine.get_all_orders()
self.order_dialog.update_data(orders)
self.order_dialog.exec_()
def show_daily_results(self):
""""""
if not self.daily_dialog.is_updated():
results = self.backtester_engine.get_all_daily_results()
self.daily_dialog.update_data(results)
self.daily_dialog.exec_()
def show_candle_chart_web(self):
# 所有的 BarData
history = self.backtester_engine.get_history_data()
# 比history少了初始化用掉的那些bars, 多了pnl信息
results = self.backtester_engine.get_all_daily_results()
# 真实发生交易的结果, 都是成交的订单
# trades = self.backtester_engine.get_all_trades()
# 策略实际产生的订单, 包括未成交订单
orders = self.backtester_engine.get_all_orders()
statistics = self.backtester_engine.get_result_statistics()
result_df = self.backtester_engine.get_result_df()
# TODO 从策略中获取使用的ta-lib技术指标信息
strategy_tech_visual_list = self.backtester_engine.backtesting_engine.strategy.variables
strategy_tech_visual_list = ["am.sma(n=5, array=True)", "am.sma(10, True)"]
file_path = draw_chart(history, results, orders, strategy_tech_visual_list, result_df)
webbrowser.open(file_path)
def show_candle_chart(self):
""""""
if not self.candle_dialog.is_updated():
history = self.backtester_engine.get_history_data()
self.candle_dialog.update_history(history)
trades = self.backtester_engine.get_all_trades()
self.candle_dialog.update_trades(trades)
self.candle_dialog.exec_()
def edit_strategy_code(self):
""""""
class_name = self.class_combo.currentText()
file_path = self.backtester_engine.get_strategy_class_file(class_name)
self.editor.open_editor(file_path)
self.editor.show()
def reload_strategy_class(self):
""""""
self.backtester_engine.reload_strategy_class()
self.class_combo.clear()
self.init_strategy_settings()
def show(self):
""""""
self.showMaximized()
class BacktesterManager(QtWidgets.QWidget):
""""""
signal_log = QtCore.pyqtSignal(Event)
signal_backtesting_finished = QtCore.pyqtSignal(Event)
signal_optimization_finished = QtCore.pyqtSignal(Event)
def __init__(self, main_engine: MainEngine, event_engine: EventEngine):
""""""
super().__init__()
self.main_engine = main_engine
self.event_engine = event_engine
self.backtester_engine = main_engine.get_engine(APP_NAME)
self.class_names = []
self.settings = {}
self.target_display = ""
self.init_ui()
self.register_event()
self.backtester_engine.init_engine()
self.init_strategy_settings()
def init_strategy_settings(self):
""""""
self.class_names = self.backtester_engine.get_strategy_class_names()
for class_name in self.class_names:
setting = self.backtester_engine.get_default_setting(class_name)
self.settings[class_name] = setting
self.class_combo.addItems(self.class_names)
def init_ui(self):
""""""
self.setWindowTitle("CTA回测")
# Setting Part
self.class_combo = QtWidgets.QComboBox()
self.symbol_line = QtWidgets.QLineEdit("IF88.CFFEX")
self.interval_combo = QtWidgets.QComboBox()
for inteval in Interval:
self.interval_combo.addItem(inteval.value)
end_dt = datetime.now()
start_dt = end_dt - timedelta(days=3 * 365)
self.start_date_edit = QtWidgets.QDateEdit(
QtCore.QDate(start_dt.year, start_dt.month, start_dt.day))
self.end_date_edit = QtWidgets.QDateEdit(QtCore.QDate.currentDate())
self.rate_line = QtWidgets.QLineEdit("0.000025")
self.slippage_line = QtWidgets.QLineEdit("0.2")
self.size_line = QtWidgets.QLineEdit("300")
self.pricetick_line = QtWidgets.QLineEdit("0.2")
self.capital_line = QtWidgets.QLineEdit("1000000")
self.inverse_combo = QtWidgets.QComboBox()
self.inverse_combo.addItems(["正向", "反向"])
backtesting_button = QtWidgets.QPushButton("开始回测")
backtesting_button.clicked.connect(self.start_backtesting)
optimization_button = QtWidgets.QPushButton("参数优化")
optimization_button.clicked.connect(self.start_optimization)
self.result_button = QtWidgets.QPushButton("优化结果")
self.result_button.clicked.connect(self.show_optimization_result)
self.result_button.setEnabled(False)
downloading_button = QtWidgets.QPushButton("下载数据")
downloading_button.clicked.connect(self.start_downloading)
self.order_button = QtWidgets.QPushButton("委托记录")
self.order_button.clicked.connect(self.show_backtesting_orders)
self.order_button.setEnabled(False)
self.trade_button = QtWidgets.QPushButton("成交记录")
self.trade_button.clicked.connect(self.show_backtesting_trades)
self.trade_button.setEnabled(False)
self.daily_button = QtWidgets.QPushButton("每日盈亏")
self.daily_button.clicked.connect(self.show_daily_results)
self.daily_button.setEnabled(False)
self.candle_button = QtWidgets.QPushButton("K线图表")
self.candle_button.clicked.connect(self.show_candle_chart)
self.candle_button.setEnabled(False)
edit_button = QtWidgets.QPushButton("代码编辑")
edit_button.clicked.connect(self.edit_strategy_code)
reload_button = QtWidgets.QPushButton("策略重载")
reload_button.clicked.connect(self.reload_strategy_class)
for button in [
backtesting_button, optimization_button, downloading_button,
self.result_button, self.order_button, self.trade_button,
self.daily_button, self.candle_button, edit_button,
reload_button
]:
button.setFixedHeight(button.sizeHint().height() * 2)
form = QtWidgets.QFormLayout()
form.addRow("交易策略", self.class_combo)
form.addRow("本地代码", self.symbol_line)
form.addRow("K线周期", self.interval_combo)
form.addRow("开始日期", self.start_date_edit)
form.addRow("结束日期", self.end_date_edit)
form.addRow("手续费率", self.rate_line)
form.addRow("交易滑点", self.slippage_line)
form.addRow("合约乘数", self.size_line)
form.addRow("价格跳动", self.pricetick_line)
form.addRow("回测资金", self.capital_line)
form.addRow("合约模式", self.inverse_combo)
result_grid = QtWidgets.QGridLayout()
result_grid.addWidget(self.trade_button, 0, 0)
result_grid.addWidget(self.order_button, 0, 1)
result_grid.addWidget(self.daily_button, 1, 0)
result_grid.addWidget(self.candle_button, 1, 1)
left_vbox = QtWidgets.QVBoxLayout()
left_vbox.addLayout(form)
left_vbox.addWidget(backtesting_button)
left_vbox.addWidget(downloading_button)
left_vbox.addStretch()
left_vbox.addLayout(result_grid)
left_vbox.addStretch()
left_vbox.addWidget(optimization_button)
left_vbox.addWidget(self.result_button)
left_vbox.addStretch()
left_vbox.addWidget(edit_button)
left_vbox.addWidget(reload_button)
# Result part
self.statistics_monitor = StatisticsMonitor()
self.log_monitor = QtWidgets.QTextEdit()
self.log_monitor.setMaximumHeight(400)
self.chart = BacktesterChart()
self.chart.setMinimumWidth(1000)
self.trade_dialog = BacktestingResultDialog(self.main_engine,
self.event_engine,
"回测成交记录",
BacktestingTradeMonitor)
self.order_dialog = BacktestingResultDialog(self.main_engine,
self.event_engine,
"回测委托记录",
BacktestingOrderMonitor)
self.daily_dialog = BacktestingResultDialog(self.main_engine,
self.event_engine,
"回测每日盈亏",
DailyResultMonitor)
# Candle Chart
self.candle_dialog = CandleChartDialog()
# Layout
vbox = QtWidgets.QVBoxLayout()
vbox.addWidget(self.statistics_monitor)
vbox.addWidget(self.log_monitor)
hbox = QtWidgets.QHBoxLayout()
hbox.addLayout(left_vbox)
hbox.addLayout(vbox)
hbox.addWidget(self.chart)
self.setLayout(hbox)
# Code Editor
self.editor = CodeEditor(self.main_engine, self.event_engine)
def register_event(self):
""""""
self.signal_log.connect(self.process_log_event)
self.signal_backtesting_finished.connect(
self.process_backtesting_finished_event)
self.signal_optimization_finished.connect(
self.process_optimization_finished_event)
self.event_engine.register(EVENT_BACKTESTER_LOG, self.signal_log.emit)
self.event_engine.register(EVENT_BACKTESTER_BACKTESTING_FINISHED,
self.signal_backtesting_finished.emit)
self.event_engine.register(EVENT_BACKTESTER_OPTIMIZATION_FINISHED,
self.signal_optimization_finished.emit)
def process_log_event(self, event: Event):
""""""
msg = event.data
self.write_log(msg)
def write_log(self, msg):
""""""
timestamp = datetime.now().strftime("%H:%M:%S")
msg = f"{timestamp}\t{msg}"
self.log_monitor.append(msg)
def process_backtesting_finished_event(self, event: Event):
""""""
statistics = self.backtester_engine.get_result_statistics()
self.statistics_monitor.set_data(statistics)
df = self.backtester_engine.get_result_df()
self.chart.set_data(df)
self.trade_button.setEnabled(True)
self.order_button.setEnabled(True)
self.daily_button.setEnabled(True)
self.candle_button.setEnabled(True)
def process_optimization_finished_event(self, event: Event):
""""""
self.write_log("请点击[优化结果]按钮查看")
self.result_button.setEnabled(True)
def start_backtesting(self):
""""""
class_name = self.class_combo.currentText()
vt_symbol = self.symbol_line.text()
interval = self.interval_combo.currentText()
start = self.start_date_edit.date().toPyDate()
end = self.end_date_edit.date().toPyDate()
rate = float(self.rate_line.text())
slippage = float(self.slippage_line.text())
size = float(self.size_line.text())
pricetick = float(self.pricetick_line.text())
capital = float(self.capital_line.text())
if self.inverse_combo.currentText() == "正向":
inverse = False
else:
inverse = True
old_setting = self.settings[class_name]
dialog = BacktestingSettingEditor(class_name, old_setting)
i = dialog.exec()
if i != dialog.Accepted:
return
new_setting = dialog.get_setting()
self.settings[class_name] = new_setting
result = self.backtester_engine.start_backtesting(
class_name, vt_symbol, interval, start, end, rate, slippage, size,
pricetick, capital, inverse, new_setting)
if result:
self.statistics_monitor.clear_data()
self.chart.clear_data()
self.trade_button.setEnabled(False)
self.order_button.setEnabled(False)
self.daily_button.setEnabled(False)
self.candle_button.setEnabled(False)
self.trade_dialog.clear_data()
self.order_dialog.clear_data()
self.daily_dialog.clear_data()
self.candle_dialog.clear_data()
def start_optimization(self):
""""""
class_name = self.class_combo.currentText()
vt_symbol = self.symbol_line.text()
interval = self.interval_combo.currentText()
start = self.start_date_edit.date().toPyDate()
end = self.end_date_edit.date().toPyDate()
rate = float(self.rate_line.text())
slippage = float(self.slippage_line.text())
size = float(self.size_line.text())
pricetick = float(self.pricetick_line.text())
capital = float(self.capital_line.text())
if self.inverse_combo.currentText() == "正向":
inverse = False
else:
inverse = True
parameters = self.settings[class_name]
dialog = OptimizationSettingEditor(class_name, parameters)
i = dialog.exec()
if i != dialog.Accepted:
return
optimization_setting, use_ga = dialog.get_setting()
self.target_display = dialog.target_display
self.backtester_engine.start_optimization(class_name, vt_symbol,
interval, start, end, rate,
slippage, size, pricetick,
capital, inverse,
optimization_setting, use_ga)
self.result_button.setEnabled(False)
def start_downloading(self):
""""""
vt_symbol = self.symbol_line.text()
interval = self.interval_combo.currentText()
start_date = self.start_date_edit.date()
end_date = self.end_date_edit.date()
start = datetime(start_date.year(), start_date.month(),
start_date.day())
end = datetime(end_date.year(), end_date.month(), end_date.day(), 23,
59, 59)
self.backtester_engine.start_downloading(vt_symbol, interval, start,
end)
def show_optimization_result(self):
""""""
result_values = self.backtester_engine.get_result_values()
dialog = OptimizationResultMonitor(result_values, self.target_display)
dialog.exec_()
def show_backtesting_trades(self):
""""""
if not self.trade_dialog.is_updated():
trades = self.backtester_engine.get_all_trades()
self.trade_dialog.update_data(trades)
self.trade_dialog.exec_()
def show_backtesting_orders(self):
""""""
if not self.order_dialog.is_updated():
orders = self.backtester_engine.get_all_orders()
self.order_dialog.update_data(orders)
self.order_dialog.exec_()
def show_daily_results(self):
""""""
if not self.daily_dialog.is_updated():
results = self.backtester_engine.get_all_daily_results()
self.daily_dialog.update_data(results)
self.daily_dialog.exec_()
def show_candle_chart(self):
""""""
if not self.candle_dialog.is_updated():
history = self.backtester_engine.get_history_data()
self.candle_dialog.update_history(history)
trades = self.backtester_engine.get_all_trades()
self.candle_dialog.update_trades(trades)
self.candle_dialog.exec_()
def edit_strategy_code(self):
""""""
class_name = self.class_combo.currentText()
file_path = self.backtester_engine.get_strategy_class_file(class_name)
self.editor.open_editor(file_path)
self.editor.show()
def reload_strategy_class(self):
""""""
self.backtester_engine.reload_strategy_class()
self.class_combo.clear()
self.init_strategy_settings()
def show(self):
""""""
self.showMaximized()
class BacktesterManager(QtWidgets.QWidget):
""""""
setting_filename = "cta_backtester_setting.json"
signal_log = QtCore.pyqtSignal(Event)
signal_backtesting_finished = QtCore.pyqtSignal(Event)
signal_optimization_finished = QtCore.pyqtSignal(Event)
def __init__(self, main_engine: MainEngine, event_engine: EventEngine):
""""""
super().__init__()
self.main_engine = main_engine
self.event_engine = event_engine
self.backtester_engine = main_engine.get_engine(APP_NAME)
self.class_names = []
self.settings = {}
self.target_display = ""
self.init_ui()
self.register_event()
self.backtester_engine.init_engine()
self.init_strategy_settings()
self.load_backtesting_setting()
def init_strategy_settings(self):
""""""
self.class_names = self.backtester_engine.get_strategy_class_names()
for class_name in self.class_names:
setting = self.backtester_engine.get_default_setting(class_name)
self.settings[class_name] = setting
self.class_combo.addItems(self.class_names)
def init_ui(self):
""""""
self.setWindowTitle("CTA回测")
# Setting Part
self.class_combo = QtWidgets.QComboBox()
self.symbol_line = QtWidgets.QLineEdit("IF88.CFFEX")
self.interval_combo = QtWidgets.QComboBox()
for interval in Interval:
self.interval_combo.addItem(interval.value)
end_dt = datetime.now()
start_dt = end_dt - timedelta(days=3 * 365)
self.start_date_edit = QtWidgets.QDateEdit(
QtCore.QDate(start_dt.year, start_dt.month, start_dt.day))
self.end_date_edit = QtWidgets.QDateEdit(QtCore.QDate.currentDate())
self.rate_line = QtWidgets.QLineEdit("0.000025")
self.slippage_line = QtWidgets.QLineEdit("0.2")
self.size_line = QtWidgets.QLineEdit("300")
self.pricetick_line = QtWidgets.QLineEdit("0.2")
self.capital_line = QtWidgets.QLineEdit("1000000")
self.inverse_combo = QtWidgets.QComboBox()
self.inverse_combo.addItems(["正向", "反向"])
backtesting_button = QtWidgets.QPushButton("开始回测")
backtesting_button.clicked.connect(self.start_backtesting)
optimization_button = QtWidgets.QPushButton("参数优化")
optimization_button.clicked.connect(self.start_optimization)
self.result_button = QtWidgets.QPushButton("优化结果")
self.result_button.clicked.connect(self.show_optimization_result)
self.result_button.setEnabled(False)
downloading_button = QtWidgets.QPushButton("下载数据")
downloading_button.clicked.connect(self.start_downloading)
self.order_button = QtWidgets.QPushButton("委托记录")
self.order_button.clicked.connect(self.show_backtesting_orders)
self.order_button.setEnabled(False)
self.trade_button = QtWidgets.QPushButton("成交记录")
self.trade_button.clicked.connect(self.show_backtesting_trades)
self.trade_button.setEnabled(False)
self.daily_button = QtWidgets.QPushButton("每日盈亏")
self.daily_button.clicked.connect(self.show_daily_results)
self.daily_button.setEnabled(False)
self.candle_button = QtWidgets.QPushButton("K线图表")
self.candle_button.clicked.connect(self.show_candle_chart)
self.candle_button.setEnabled(False)
edit_button = QtWidgets.QPushButton("代码编辑")
edit_button.clicked.connect(self.edit_strategy_code)
reload_button = QtWidgets.QPushButton("策略重载")
reload_button.clicked.connect(self.reload_strategy_class)
for button in [
backtesting_button, optimization_button, downloading_button,
self.result_button, self.order_button, self.trade_button,
self.daily_button, self.candle_button, edit_button,
reload_button
]:
button.setFixedHeight(button.sizeHint().height() * 2)
form = QtWidgets.QFormLayout()
form.addRow("交易策略", self.class_combo)
form.addRow("本地代码", self.symbol_line)
form.addRow("K线周期", self.interval_combo)
form.addRow("开始日期", self.start_date_edit)
form.addRow("结束日期", self.end_date_edit)
form.addRow("手续费率", self.rate_line)
form.addRow("交易滑点", self.slippage_line)
form.addRow("合约乘数", self.size_line)
form.addRow("价格跳动", self.pricetick_line)
form.addRow("回测资金", self.capital_line)
form.addRow("合约模式", self.inverse_combo)
result_grid = QtWidgets.QGridLayout()
result_grid.addWidget(self.trade_button, 0, 0)
result_grid.addWidget(self.order_button, 0, 1)
result_grid.addWidget(self.daily_button, 1, 0)
result_grid.addWidget(self.candle_button, 1, 1)
left_vbox = QtWidgets.QVBoxLayout()
left_vbox.addLayout(form)
left_vbox.addWidget(backtesting_button)
left_vbox.addWidget(downloading_button)
left_vbox.addStretch()
left_vbox.addLayout(result_grid)
left_vbox.addStretch()
left_vbox.addWidget(optimization_button)
left_vbox.addWidget(self.result_button)
left_vbox.addStretch()
left_vbox.addWidget(edit_button)
left_vbox.addWidget(reload_button)
# Result part
self.statistics_monitor = StatisticsMonitor()
self.log_monitor = QtWidgets.QTextEdit()
self.log_monitor.setMaximumHeight(400)
self.chart = BacktesterChart()
self.chart.setMinimumWidth(600)
self.trade_dialog = BacktestingResultDialog(self.main_engine,
self.event_engine,
"回测成交记录",
BacktestingTradeMonitor)
self.order_dialog = BacktestingResultDialog(self.main_engine,
self.event_engine,
"回测委托记录",
BacktestingOrderMonitor)
self.daily_dialog = BacktestingResultDialog(self.main_engine,
self.event_engine,
"回测每日盈亏",
DailyResultMonitor)
# Candle Chart
self.candle_dialog = CandleChartDialog()
# Layout
vbox = QtWidgets.QVBoxLayout()
vbox.addWidget(self.statistics_monitor)
vbox.addWidget(self.log_monitor)
hbox = QtWidgets.QHBoxLayout()
hbox.addLayout(left_vbox)
hbox.addLayout(vbox)
hbox.addWidget(self.chart)
self.setLayout(hbox)
# Code Editor
self.editor = CodeEditor(self.main_engine, self.event_engine)
def load_backtesting_setting(self):
""""""
setting = load_json(self.setting_filename)
if not setting:
return
self.class_combo.setCurrentIndex(
self.class_combo.findText(setting["class_name"]))
self.symbol_line.setText(setting["vt_symbol"])
self.interval_combo.setCurrentIndex(
self.interval_combo.findText(setting["interval"]))
start_str = setting.get("start", "")
if start_str:
start_dt = QtCore.QDate.fromString(start_str, "yyyy-MM-dd")
self.start_date_edit.setDate(start_dt)
self.rate_line.setText(str(setting["rate"]))
self.slippage_line.setText(str(setting["slippage"]))
self.size_line.setText(str(setting["size"]))
self.pricetick_line.setText(str(setting["pricetick"]))
self.capital_line.setText(str(setting["capital"]))
if not setting["inverse"]:
self.inverse_combo.setCurrentIndex(0)
else:
self.inverse_combo.setCurrentIndex(1)
def register_event(self):
""""""
self.signal_log.connect(self.process_log_event)
self.signal_backtesting_finished.connect(
self.process_backtesting_finished_event)
self.signal_optimization_finished.connect(
self.process_optimization_finished_event)
self.event_engine.register(EVENT_BACKTESTER_LOG, self.signal_log.emit)
self.event_engine.register(EVENT_BACKTESTER_BACKTESTING_FINISHED,
self.signal_backtesting_finished.emit)
self.event_engine.register(EVENT_BACKTESTER_OPTIMIZATION_FINISHED,
self.signal_optimization_finished.emit)
def process_log_event(self, event: Event):
""""""
msg = event.data
self.write_log(msg)
def write_log(self, msg):
""""""
timestamp = datetime.now().strftime("%H:%M:%S")
msg = f"{timestamp}\t{msg}"
self.log_monitor.append(msg)
def process_backtesting_finished_event(self, event: Event):
""""""
statistics = self.backtester_engine.get_result_statistics()
self.statistics_monitor.set_data(statistics)
df = self.backtester_engine.get_result_df()
self.chart.set_data(df)
self.trade_button.setEnabled(True)
self.order_button.setEnabled(True)
self.daily_button.setEnabled(True)
# Tick data can not be displayed using candle chart
interval = self.interval_combo.currentText()
if interval != Interval.TICK.value:
self.candle_button.setEnabled(True)
def process_optimization_finished_event(self, event: Event):
""""""
self.write_log("请点击[优化结果]按钮查看")
self.result_button.setEnabled(True)
def start_backtesting(self):
""""""
class_name = self.class_combo.currentText()
vt_symbol = self.symbol_line.text()
interval = self.interval_combo.currentText()
start = self.start_date_edit.dateTime().toPyDateTime()
end = self.end_date_edit.dateTime().toPyDateTime()
rate = float(self.rate_line.text())
slippage = float(self.slippage_line.text())
size = float(self.size_line.text())
pricetick = float(self.pricetick_line.text())
capital = float(self.capital_line.text())
if self.inverse_combo.currentText() == "正向":
inverse = False
else:
inverse = True
# Check validity of vt_symbol
if "." not in vt_symbol:
self.write_log("本地代码缺失交易所后缀，请检查")
return
_, exchange_str = vt_symbol.split(".")
if exchange_str not in Exchange.__members__:
self.write_log("本地代码的交易所后缀不正确，请检查")
return
# Save backtesting parameters
backtesting_setting = {
"class_name": class_name,
"vt_symbol": vt_symbol,
"interval": interval,
"start": start.isoformat(),
"rate": rate,
"slippage": slippage,
"size": size,
"pricetick": pricetick,
"capital": capital,
"inverse": inverse,
}
save_json(self.setting_filename, backtesting_setting)
# Get strategy setting
old_setting = self.settings[class_name]
dialog = BacktestingSettingEditor(class_name, old_setting)
i = dialog.exec()
if i != dialog.Accepted:
return
new_setting = dialog.get_setting()
self.settings[class_name] = new_setting
result = self.backtester_engine.start_backtesting(
class_name, vt_symbol, interval, start, end, rate, slippage, size,
pricetick, capital, inverse, new_setting)
if result:
self.statistics_monitor.clear_data()
self.chart.clear_data()
self.trade_button.setEnabled(False)
self.order_button.setEnabled(False)
self.daily_button.setEnabled(False)
self.candle_button.setEnabled(False)
self.trade_dialog.clear_data()
self.order_dialog.clear_data()
self.daily_dialog.clear_data()
self.candle_dialog.clear_data()
def start_optimization(self):
""""""
class_name = self.class_combo.currentText()
vt_symbol = self.symbol_line.text()
interval = self.interval_combo.currentText()
start = self.start_date_edit.dateTime().toPyDateTime()
end = self.end_date_edit.dateTime().toPyDateTime()
rate = float(self.rate_line.text())
slippage = float(self.slippage_line.text())
size = float(self.size_line.text())
pricetick = float(self.pricetick_line.text())
capital = float(self.capital_line.text())
if self.inverse_combo.currentText() == "正向":
inverse = False
else:
inverse = True
parameters = self.settings[class_name]
dialog = OptimizationSettingEditor(class_name, parameters)
i = dialog.exec()
if i != dialog.Accepted:
return
optimization_setting, use_ga = dialog.get_setting()
self.target_display = dialog.target_display
self.backtester_engine.start_optimization(class_name, vt_symbol,
interval, start, end, rate,
slippage, size, pricetick,
capital, inverse,
optimization_setting, use_ga)
self.result_button.setEnabled(False)
def start_downloading(self):
""""""
vt_symbol = self.symbol_line.text()
interval = self.interval_combo.currentText()
start_date = self.start_date_edit.date()
end_date = self.end_date_edit.date()
start = datetime(start_date.year(),
start_date.month(),
start_date.day(),
tzinfo=get_localzone())
end = datetime(end_date.year(),
end_date.month(),
end_date.day(),
23,
59,
59,
tzinfo=get_localzone())
self.backtester_engine.start_downloading(vt_symbol, interval, start,
end)
def show_optimization_result(self):
""""""
result_values = self.backtester_engine.get_result_values()
dialog = OptimizationResultMonitor(result_values, self.target_display)
dialog.exec_()
def show_backtesting_trades(self):
""""""
if not self.trade_dialog.is_updated():
trades = self.backtester_engine.get_all_trades()
self.trade_dialog.update_data(trades)
self.trade_dialog.exec_()
def show_backtesting_orders(self):
""""""
if not self.order_dialog.is_updated():
orders = self.backtester_engine.get_all_orders()
self.order_dialog.update_data(orders)
self.order_dialog.exec_()
def show_daily_results(self):
""""""
if not self.daily_dialog.is_updated():
results = self.backtester_engine.get_all_daily_results()
self.daily_dialog.update_data(results)
self.daily_dialog.exec_()
def show_candle_chart(self):
""""""
if not self.candle_dialog.is_updated():
show_min = 1
i, okPressed = QInputDialog.getInt(self, "k线显示周期", "请输入(分钟数):", 1,
0, 1000, 1)
if okPressed:
show_min = i
else:
return
history = self.backtester_engine.get_history_data()
for ix, bar in enumerate(history):
self.candle_dialog.dt_ix_map_min[bar.datetime] = ix
self.candle_dialog.ix_bar_map_min[ix] = bar
#from vnpy.usertools.kx_chart import ConvertBar
newhistory = ConvertBar(history, show_min)
self.candle_dialog.update_history(newhistory)
trades = self.backtester_engine.get_all_trades()
self.candle_dialog.update_trades(trades, show_min)
self.candle_dialog.exec_()
def edit_strategy_code(self):
""""""
class_name = self.class_combo.currentText()
file_path = self.backtester_engine.get_strategy_class_file(class_name)
self.editor.open_editor(file_path)
self.editor.show()
def reload_strategy_class(self):
""""""
self.backtester_engine.reload_strategy_class()
current_strategy_name = self.class_combo.currentText()
self.class_combo.clear()
self.init_strategy_settings()
ix = self.class_combo.findText(current_strategy_name)
self.class_combo.setCurrentIndex(ix)
def show(self):
""""""
self.showMaximized()
