def __init__(self, strategy=None, best_ip={}):
"""
构造函数
:param strategy: 上层策略，主要用与使用write_log（）
"""
self.api = None
self.connection_status = False # 连接状态
self.best_ip = best_ip
self.symbol_exchange_dict = {} # tdx合约与vn交易所的字典
self.symbol_market_dict = copy.copy(
INIT_TDX_MARKET_MAP) # tdx合约与tdx市场的字典
self.strategy = strategy
self.future_contracts = get_future_contracts()
from vnpy_pro.app.cta_strategy.backtesting import BacktestingEnginePro
from vnpy_pro.app.cta_strategy.csv_backtesting import CsvBacktestingEngine
from vnpy.app.cta_strategy.base import BacktestingMode
from vnpy_pro.config import load_futures
from vnpy_pro.data.tdx.tdx_common import get_future_contracts
from worktable.strategies_storage.num4_renko.twine_strategy import TwineStrategy
from worktable.strategies_storage.num4_renko.renko import RenkoStrategy
from worktable.strategies_storage.num3_tools.tradedays import TradeDaysStrategy
# from worktable.strategies_storage.num4_renko.twine_strategy_v1 import TwineStrategy
test_future = "SR"
FUTURES = load_futures()
future_contracts = get_future_contracts()
# vt_symbol = test_future.upper() + "99." + future_contracts[test_future]["exchange"]
# print(vt_symbol)
# symbol_size = future_contracts[test_future]["symbol_size"]
# price_tick = future_contracts[test_future]["price_tick"]
vt_symbol = "btcusd.HUOBI"
symbol_size = 0.001
price_tick = 0.01
engine = BacktestingEnginePro()
engine.set_parameters(
vt_symbol=vt_symbol,
interval=Interval.MINUTE,
start=datetime(2020, 4, 1),
end=datetime(2020, 12, 1),
def calculate_and_chart_daily_results(self, capital=10_000):
"""update daily_results，并绘制资金曲线图"""
if self.instance_name is None:
return
if not os.path.exists(self.save_path):
self.write_log(
f"实例{self.instance_name} 不存在交易数据，无法update daily_results，并绘制资金曲线图"
)
return
daily_results_file = os.path.join(self.save_path, "daily_results.csv")
close_dict = load_json(os.path.join(self.save_path,
"daily_close.json"))
trades_file = os.path.join(self.save_path, "trades.csv")
if not os.path.exists(trades_file):
return
trades_df = pd.read_csv(trades_file)
trades_dict = trades_df.to_dict(orient="records")
daily_results = {}
for daily_date, daily_close in close_dict.items():
daily_results[daily_date] = DailyResultPro(daily_date, daily_close)
for trade in trades_dict:
d = trade["datetime"][:10]
# 防止对应的不存在收盘价，不存收盘以交易价为准
daily_result = daily_results.get(d,
DailyResultPro(d, trade["price"]))
daily_result.add_trade(trade)
daily_results_values = daily_results.values()
if len(daily_results_values) != 0:
future_contracts = get_future_contracts()
symbol_letter = ''.join(
re.split(r'[^A-Za-z]',
self.vt_symbol.split(".")[0]))
symbol_info = future_contracts.get(symbol_letter, {})
pre_close = 0
start_pos = 0
for daily_result in daily_results_values:
# 手续费、滑点设置为0
daily_result.calculate_pnl2(
pre_close, start_pos,
symbol_info.get("symbol_size", 1) *
symbol_info.get("margin_rate", 1), 0, 0, False)
pre_close = daily_result.close_price
start_pos = daily_result.end_pos
results = defaultdict(list)
for daily_result in daily_results_values:
for key, value in daily_result.__dict__.items():
results[key].append(value)
daily_df = DataFrame.from_dict(results).set_index("date")
statistics = self.calculate_statistics_and_save(
daily_df, self.save_path, capital)
daily_df.to_csv(daily_results_file, encoding="utf_8_sig")
draw_daily_results_chart(daily_df=daily_df,
save_path=self.save_path)
# self.write_log(f"实例{self.instance_name} update daily_results，并绘制资金曲线图成功")
return statistics