def __init__(self, interface):
self.interface = interface
self.position_manager = LocalPositionManager(interface.exec_intercept)
# 每日资金情况
self.pre_balance = 0
self.daily_life = defaultdict(AliasDayResult)
self.date = None
self.commission = 0
self.commission_expense = 0
self.pre_commission_expense = 0
self.count_statistics = 0
self.pre_count = 0
self.initial_capital = 0
self.init = False
def __init__(self, interface):
self.interface = interface
self.position_manager = LocalPositionManager(interface.params)
self.pre_balance = 0
self.daily_life = defaultdict(AliasDayResult)
# 日期
self.date = None
# 手续费
self.commission = 0
self.commission_expense = 0
# 昨日手续费
self.pre_commission_expense = 0
self.count_statistics = 0
self.pre_count = 0
# 初始资金
self.initial_capital = 0
# 占用保证金
self.occupation_margin = 0
self.init = False
def update_params(self, params: dict):
""" 更新本地账户回测参数 """
for i, v in params.items():
if i == "initial_capital" and not self.init:
self.balance = v
self.pre_balance = v
self.initial_capital = v
self.init = True
continue
else:
pass
setattr(self, i, v)
if not self.init_position_manager_flag:
self.position_manager = LocalPositionManager(params)
self.init_position_manager_flag = True
else:
pass
class Account:
"""
账户类
支持成交之后修改资金 ， 对外提供API
"""
# 每日资金情况
balance = 100000
frozen = 0
size = 5
pricetick = 10
daily_limit = 20
commission: float = 0
def __init__(self, interface):
self.interface = interface
self.position_manager = LocalPositionManager(interface.params)
self.pre_balance = 0
self.daily_life = defaultdict(AliasDayResult)
# 日期
self.date = None
# 手续费
self.commission = 0
self.commission_expense = 0
# 昨日手续费
self.pre_commission_expense = 0
self.count_statistics = 0
self.pre_count = 0
# 初始资金
self.initial_capital = 0
# 占用保证金
self.occupation_margin = 0
self.init = False
@property
def available(self) -> float:
return self.balance - self.frozen - self.occupation_margin
def is_traded(self, order: OrderData) -> bool:
""" 当前账户是否足以支撑成交 """
# 根据传入的单子判断当前的账户可用资金是否足以成交此单
if order.price * order.volume * (1 + self.commission) > self.available:
""" 可用不足"""
return False
return True
def update_trade(self, trade: TradeData) -> None:
"""
当前选择调用这个接口的时候就已经确保了这个单子是可以成交的，
make sure it can be traded if you choose to call this method,
:param trade:交易单子/trade
:return:
"""
# 根据当前成交单子 更新当前的持仓 ----->
if trade.offset == Offset.OPEN:
if self.commission != 0:
commission_expense = trade.price * trade.volume * self.commission
else:
commission_expense = 0
elif trade.offset == Offset.CLOSETODAY:
if self.interface.params.get("today_commission") != 0:
commission_expense = trade.price * trade.volume * self.interface.params.get(
"today_commission")
else:
commission_expense = 0
elif trade.offset == Offset.CLOSEYESTERDAY:
if self.interface.params.get("yesterday_commission") != 0:
commission_expense = trade.price * trade.volume * self.interface.params.get(
"yesterday_commission")
else:
commission_expense = 0
else:
if self.interface.params.get("close_commission") != 0:
commission_expense = trade.price * trade.volume * self.interface.params.get(
"close_commission")
else:
commission_expense = 0
if trade.offset == Offset.CLOSETODAY or trade.offset == Offset.CLOSEYESTERDAY or trade.offset == Offset.CLOSE:
reversed_map = {
Direction.LONG: Direction.SHORT,
Direction.SHORT: Direction.LONG
}
position: PositionData = self.position_manager.get_position_by_ld(
trade.local_symbol, reversed_map[trade.direction])
if self.interface.params.get(
"size_map") is None or self.interface.params.get(
"size_map").get(trade.local_symbol) is None:
raise ConfigError(message="请检查你的回测配置中是否存在着size配置",
args=("回测配置错误", ))
if trade.direction == Direction.LONG:
""" 平空头 """
pnl = (position.price -
trade.price) * trade.volume * self.interface.params.get(
"size_map").get(trade.local_symbol)
else:
""" 平多头 """
pnl = (trade.price - position.price
) * trade.volume * self.interface.params.get(
"size_map").get(trade.local_symbol)
self.balance += pnl
self.balance -= commission_expense
self.commission_expense += commission_expense
self.count_statistics += 1
self.position_manager.update_trade(trade=trade)
if not self.date:
self.date = self.interface.date
if self.interface.date != self.date:
""" 新的一天 """
self.get_new_day()
self.date = self.interface.date
def update_margin(self, data: OrderData or TradeData, reverse=False):
"""
更新保证金
如果出现成交 开方向 ----> 增加保证金--> 默认
如果出现成交 平方向 ----> 减少保证金
"""
if reverse:
""" 开仓增加保证金"""
self.occupation_margin += data.volume * data.price
self.balance -= data.volume * data.price
else:
""" 平仓移除保证金归还本金 """
self.occupation_margin -= data.price * data.volume
self.balance += data.volume * data.price
def update_frozen(self, order, reverse=False):
"""
根据reverse判断方向
如果是False， 那么出现冻结，同时从余额里面扣除
"""
if reverse:
""" 成交 """
self.frozen -= order.volume * order.price
self.balance += order.volume * order.price
else:
""" 未成交 """
self.frozen += order.volume * order.price
self.balance -= order.price * order.volume
def get_new_day(self, interface_date=None):
""" 生成今天的交易数据， 同时更新前日数据 ，然后进行持仓结算 """
if not self.date:
date = interface_date
else:
date = self.date
p = AliasDayResult(
**{
"balance": self.balance,
"frozen": self.frozen,
"available": self.balance - self.frozen,
"date": date,
"commission": self.commission_expense -
self.pre_commission_expense,
"net_pnl": self.balance - self.pre_balance,
"count": self.count_statistics - self.pre_count
})
self.interface.today_volume = 0
self.pre_commission_expense = self.commission_expense
self.pre_balance = self.balance
self.pre_count = self.count_statistics
self.position_manager.covert_to_yesterday_holding()
self.daily_life[date] = p._to_dict()
# 结算撤掉所有单
self.interface.pending.clear()
# 归还所有的冻结
self.balance += self.frozen
self.frozen = 0
def via_aisle(self):
self.position_manager.update_size_map(self.interface.params)
if self.interface.date != self.date:
self.get_new_day(self.interface.date)
self.date = self.interface.date
else:
pass
def update_params(self, params: dict):
""" 更新本地账户回测参数 """
for i, v in params.items():
if i == "initial_capital" and not self.init:
self.balance = v
self.pre_balance = v
self.initial_capital = v
self.init = True
continue
else:
pass
setattr(self, i, v)
@property
def result(self):
# 根据daily_life里面的数据 获取最后的结果
result = defaultdict(list)
for daily in self.daily_life.values():
for key, value in daily.items():
result[key].append(value)
df = DataFrame.from_dict(result).set_index("date")
try:
import matplotlib.pyplot as plt
df['balance'].plot()
plt.show()
except ImportError as e:
pass
finally:
return self._cal_result(df)
def _cal_result(self, df: DataFrame) -> dict:
result = dict()
df["return"] = np.log(df["balance"] / df["balance"].shift(1)).fillna(0)
df["high_level"] = (df["balance"].rolling(min_periods=1,
window=len(df),
center=False).max())
df["draw_down"] = df["balance"] - df["high_level"]
df["dd_percent"] = df["draw_down"] / df["high_level"] * 100
result['initial_capital'] = self.initial_capital
result['start_date'] = df.index[0]
result['end_date'] = df.index[-1]
result['total_days'] = len(df)
result['profit_days'] = len(df[df["net_pnl"] > 0])
result['loss_days'] = len(df[df["net_pnl"] < 0])
result['end_balance'] = df["balance"].iloc[-1]
result['max_draw_down'] = df["draw_down"].min()
result['max_dd_percent'] = df["dd_percent"].min()
result['total_pnl'] = df["net_pnl"].sum()
result['daily_pnl'] = result['total_pnl'] / result['total_days']
result['total_commission'] = df["commission"].sum()
result['daily_commission'] = result['total_commission'] / result[
'total_days']
# result['total_slippage'] = df["slippage"].sum()
# result['daily_slippage'] = result['total_slippage'] / result['total_days']
# result['total_turnover'] = df["turnover"].sum()
# result['daily_turnover'] = result['total_turnover'] / result['total_days']
result['total_count'] = df["count"].sum()
result['daily_count'] = result['total_count'] / result['total_days']
result['total_return'] = (
result['end_balance'] / self.initial_capital - 1) * 100
result['annual_return'] = result['total_return'] / result[
'total_days'] * 240
result['daily_return'] = df["return"].mean() * 100
result['return_std'] = df["return"].std() * 100
return result