def get_current_trade_day(timing: datetime) -> None or date:
current_string = str(timing.date())
last_day = str((timing + timedelta(days=-1)).date())
if timing.time() <= DAY_END and current_string in trade_dates:
return current_string
if timing.time() > DAY_END and current_string in trade_dates:
index = trade_dates.index(current_string)
return trade_dates[index + 1]
if current_string not in trade_dates and last_day in trade_dates and timing.time() < NIGHT_END:
""" 如果是周六凌晨2：30以前， 当前不为交易日 且前一日为交易日 返回下一个交易日"""
index = trade_dates.index(last_day)
return trade_dates[index + 1]
return None
def __call__(self, *args, **kwargs):
""" 回测周期 """
entity = args[0]
# 日期不相等时, 更新前日结算价格
if self.account.date is None:
self.account.date = self.date
if self.date is None:
self.date = entity.datetime.date()
if not self.auth_time(entity.datetime):
return
if entity.type == "bar" and entity.close_price <= 0:
return
elif entity.type == "tick" and entity.last_price <= 0:
return
self.data_type = entity.type
# 回测的时候自动更新策略的日期
try:
seconds = (entity.datetime - self.datetime).seconds
if seconds >= 60 * 60 * 4 and ((entity.datetime.hour >= 20) or (
(14 <= self.datetime.hour <= 15) and entity.datetime.date() !=
self.datetime.date()) and entity.datetime.hour >= 8): # 换天
self.account.settle(entity.datetime.date())
# 针对于账户的实现 我们需要将昨仓转换为今仓
self.app.recorder.position_manager.covert_to_yesterday_holding(
)
for local_symbol, price in self.price_mapping.items():
self.pre_close_price[local_symbol] = price
# 结算完触发初始化函数
self.on_event(EVENT_INIT_FINISHED, True)
except KeyError:
pass
except AttributeError:
pass
self.data_entity = entity
self.change_month_record["".join(
filter(str.isalpha,
entity.local_symbol.split(".")[0]))] = entity
# 维护一个最新的价格
self.price_mapping[self.data_entity.local_symbol] = self.data_entity.close_price if entity.type == "bar" \
else self.data_entity.last_price
if self.pre_close_price.get(self.data_entity.local_symbol) is None:
self.pre_close_price[
self.data_entity.
local_symbol] = self.data_entity.last_price if entity.type == "tick" else self.data_entity.close_price
self.datetime = entity.datetime
self.match_deal()
if entity.type == "tick":
self.account.position_manager.update_tick(
self.data_entity,
self.pre_close_price[self.data_entity.local_symbol])
self.app.recorder.position_manager.update_tick(
self.data_entity,
self.pre_close_price[self.data_entity.local_symbol])
self.on_event(EVENT_TICK, TickData(**entity))
if entity.type == "bar":
self.account.position_manager.update_bar(
self.data_entity,
self.pre_close_price[self.data_entity.local_symbol])
self.app.recorder.position_manager.update_bar(
self.data_entity,
self.pre_close_price[self.data_entity.local_symbol])
self.on_event(EVENT_BAR, BarData(**entity))
if entity.datetime.hour >= 21:
"""if hour > 21, switch to next trade day"""
index = trade_dates.index(str(entity.datetime.date()))
self.date = datetime.strptime(trade_dates[index + 1],
"%Y-%m-%d").date()
else:
if str(entity.datetime.date()) not in trade_dates:
last_day = entity.datetime + timedelta(days=-1)
self.date = datetime.strptime(
trade_dates[trade_dates.index(str(last_day.date())) + 1],
"%Y-%m-%d").date()
else:
self.date = entity.datetime.date()
# 穿过接口日期检查
self.account.via_aisle()