def parse_base(name='base.ini',root='Base'):
'''
获得基本配置
其中name为配置文件名
root为默认的配置段名
配置文件格式如下:
[Base]
;User用于设定连接行情的设定
users = User1,User2,User3
;Trade用于设定连接交易端的设定
traders = Trader1,Trader2
[User1]
port =
broker_id =
investor_id =
passwd =
[User2]
....
'''
#cfg = ConfigParser.ConfigParser()
cfg = CSParser()
cfg.read(CONFIG_PATH + name)
config = base.BaseObject(users={},traders={})
users = cfg.get(root,'users').split(',')
traders = cfg.get(root,'traders').split(',')
for user in users:
suser = user.strip()
if suser == '':
continue
cuser = base.BaseObject(name = suser)
cuser.port = cfg.get(suser,'port')
cuser.broker_id = cfg.get(suser,'broker_id')
cuser.investor_id = cfg.get(suser,'investor_id')
cuser.passwd = cfg.get(suser,'passwd')
config.users[user] = cuser
for trader in traders:
strader = trader.strip()
if strader == '':
continue
ctrader = base.BaseObject(name = strader)
ctrader.port = cfg.get(strader,'port')
ctrader.broker_id = cfg.get(strader,'broker_id')
ctrader.investor_id = cfg.get(strader,'investor_id')
ctrader.passwd = cfg.get(strader,'passwd')
config.traders[trader] = ctrader
return config
def testv(tickss):
#tickss = prepare_data_201107()
sresults = []
for capacity in (100, 200, 300, 400, 500, 600, 700, 800, 900, 1000, 1200,
1500, 2000):
for llen in range(5, 600, 2): #:
#print 'in capacity:%s,llen:%s' % (capacity,llen)
results = []
for ticks in tickss:
trades = make_trades(
lvama_opener(llen=llen, capacity=capacity),
long_trailing_stop(), ticks, 2, 4)
result = base.BaseObject(
instrument=ticks[0].instrument,
idate=ticks[0].time / 1000000,
isum=sum([trade.profit for trade in trades]),
#isum2 = sum([trade.profit for trade in trades[:50]]),
ilen=len(trades),
)
results.append(result)
rsum = sum([result.isum for result in results])
rlen = sum([result.ilen for result in results])
sresults.append((capacity, llen, rsum, rlen))
print 'calced capacity=%s,llen=%s,rlen=%s,rsum=%s' % (
capacity, llen, rlen, rsum)
if rlen < 10:
print u'break'
break
return sresults
def create_blank_trade():
return base.BaseObject(
xtype=base.EMPTY,
open_time=-1,
open_tick=-1,
open_price=0,
open_slippage1=0,
open_slippage2=0,
close_time=-1,
close_tick=-1,
close_price=0,
close_slippage1=0,
close_slippage2=0,
profit=0,
)
def test2(tickss, opener, closer):
'''
>>> results = sticks.test2(tickss,sticks.s123_opener(),sticks.short_trailing_stop())
>>> for result in results:print result.instrument,result.idate,result.isum,result.ilen
>>> sum([result.isum for result in results])
>>> len(results)
'''
results = []
for ticks in tickss:
print 'calc: %s:%04d' % (ticks[0].instrument, ticks[0].time / 1000000)
trades = make_trades(opener, closer, ticks, base_unit=2, fee=4)
result = base.BaseObject(
instrument=ticks[0].instrument,
idate=ticks[0].time / 1000000,
isum=sum([trade.profit for trade in trades]),
#isum2 = sum([trade.profit for trade in trades[:50]]),
ilen=len(trades),
trades=trades,
)
results.append(result)
#for result in results:print result.instrument,result.idate,result.isum,result.ilen
#sum([result.isum for result in results])
return results
def test2m():
logging.basicConfig(
filename="ticks_backtest.log",
level=logging.INFO,
format=
'%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s'
)
dates = [
20110914, 20110915, 20110916, 20110919, 20110920, 20110921, 20110922,
20110923, 20110926, 20110927, 20110928, 20110929, 20110930
]
dates2 = [
20110817, 20110818, 20110819, 20110822, 20110823, 20110824, 20110825,
20110826, 20110829, 20110830, 20110831, 20110901, 20110902, 20110909,
20110913, 20110914
]
results = []
#for idate in dates2:
for idate in dates:
trades = trade1day(lpeak_opener(),
long_trailing_stop(),
'IF1110',
idate,
fee=4)
#trades = trade1day(lpeak_opener(),long_trailing_stop(),'IF1109',idate,fee=4)
#trades = trade1day(speak_opener(),short_trailing_stop(),'IF1110',idate,fee=4)
#trades = trade1day(speak_opener(),short_trailing_stop(),'IF1109',idate,fee=4)
result = base.BaseObject(
idate=idate,
isum=sum([trade.profit for trade in trades]),
isum2=sum([trade.profit for trade in trades[:50]]),
ilen=len(trades),
trades=trades,
)
results.append(result)
#for result in results:print result.idate,result.isum,result.ilen
return results
def make_trades(opener, closer, ticks, base_unit, fee):
'''
opener: 开仓策略
closer: 平仓策略
ticks: tick行情序列
open_skip: 开仓成交滑时，0为当前时间成交，1为延后1 tick,2为延后2 tick. 即以成交时间的价格为成交价
close_skip: 平仓成交滑时.
#不设置close_ticks: 因为必须确保平仓，所以close_ticks采用30个tick. 这个是全局设置。
base_unit: tick的基础
返回 trades:
其中每个trade包括
xtype : LONG/SHORT/EMPTY
open_time: 开仓时间
open_tick: 开仓点的ticks序号
open_base_price: 发出开仓信号的当前价格
open_price: 开仓价格(-为开多，+为开空)
open_slippage1: 开仓滑点1，以下一tick成交
open_slippage2: 开仓滑点2，以下第二tick成交. 不计以第三tick或之后成交的
close_time: 平仓时间
close_tick: 平仓点的ticks序号
close_base_price: 发出平仓信号的当前价格
close_price: 平仓价格
close_slippage1:平仓滑点1, 以下一tick成交
close_slippage2:平仓滑点2，以下第二tick成交
profit: 利润 = open_price + close_price - 0.4(手续费)
'''
trades = []
cur_trade = create_blank_trade()
env = base.BaseObject(pdetail=[], psum=0) #记录关于累计成交的信息,以及划点过线的数据
cur_trade.env = env
i = 0
for tick in ticks[:-5]: #最后5秒不开仓
if cur_trade.open_tick > i: #开仓时间在后面
i += 1
continue
if cur_trade.xtype != base.EMPTY and closer.check(tick,
cur_trade) > 0: #平仓
cur_trade.close_time = tick.time
cur_trade.close_tick = i
if cur_trade.xtype == base.LONG:
cur_trade.close_price1 = ticks[i + 1].price
cur_trade.close_price2 = ticks[i + 2].price
base_price = tick.price
else:
cur_trade.close_price1 = -ticks[i + 1].price
cur_trade.close_price2 = -ticks[i + 2].price
base_price = -tick.price
cur_trade.close_base_price = base_price
cur_trade.close_price = cur_trade.close_price1 #以下一秒成交为准
cur_trade.close_slippage1 = cur_trade.close_price1 - base_price
cur_trade.close_slippage2 = cur_trade.close_price2 - base_price
cur_trade.profit = cur_trade.open_price + cur_trade.close_price - fee
trades.append(cur_trade)
env.psum += cur_trade.profit
env.pdetail.append(cur_trade.profit)
cur_trade = create_blank_trade()
cur_trade.env = env
opener.tick(tick)
#print 'tick.time=%s,cur_trade.xtype=%s,cur_trade.open_time=%s' % (tick.time,cur_trade.xtype,cur_trade.open_time)
if cur_trade.xtype == base.EMPTY and tick.min1 < 1514 and opener.check(
cur_trade) > 0: #未开仓时才测试是否要开仓
target_price = tick.price + opener.open_ticks * base_unit if opener.xtype == base.LONG else tick.price - opener.open_ticks * base_unit
j = -1
xprice = 0
for jt in ticks[i + 1:i + opener.open_length + 1]:
j += 1
if opener.xtype == base.LONG and jt.price <= target_price or opener.xtype == base.SHORT and jt.price >= target_price:
xprice = jt.price
break
if xprice == 0: #未找到
#print u'不能成交,time=%s,cur_price=%s,target_price=%s,sprice=%s' % (tick.time,tick.price,target_price,[(t.price,t.time) for t in ticks[i+1:i+opener.open_length+1]])
continue
cur_trade.xtype = opener.xtype
cur_trade.open_base_price = -tick.price if opener.xtype == base.LONG else tick.price
cur_trade.open_time = jt.time
cur_trade.open_tick = i + 1 + j
cur_trade.open_price = -jt.price if opener.xtype == base.LONG else jt.price
open_price1 = first_price(opener.xtype, target_price,
ticks[i + 2:i + opener.open_length + 2])
open_price2 = first_price(opener.xtype, target_price,
ticks[i + 3:i + opener.open_length + 3])
cur_trade.open_slippage1 = open_price1 - cur_trade.open_price if open_price1 != 0 else MAX_SLIPPAGE
cur_trade.open_slippage2 = open_price2 - cur_trade.open_price if open_price2 != 0 else MAX_SLIPPAGE
i += 1
return trades
def parse_strategy(name='strategy.ini',root='strategy'):
'''
获得策略配置
策略配置包括两方面内容:
1. 保存行情的设置, 其中[Trace_Instruments]为合约类设置
[Trace_Instruments]
traces = IF,ru,fu,zn,rb,pb,m,a,c,y,b,l,p,v,SR,CF,TA,WS,RO,ER,WT
;a/al/au重复,c/cu重复
;traces = IF,ru,fu,cu,al,zn,au,rb,pb,m,a,c,y,b,l,p,v,SR,CF,TA,WS,RO,ER,WT
;[Trace_Instruments_Raw]为绝对设置
[Trace_Instruments_Raw]
IFs = IF1104,IF1105,IF1106,IF1109
CFs = CF109,CF107
2. 交易策略定制 (todo:将来考虑自动判断主力合约)
[Alias_Def]
IF_main = IF1105
CF_main = CF109
;TODO:确定main之后,计算next,third,fourth,分别表示次合约、第三合约、第四合约. 找到主力合约后，按字母序确定
[Trade_Config]
;如果策略文件为strategy，则可以不写
;strategy_file = strategy
traces = IF_main,CF_main
[IF_main]
max_volume = 2
strategys = IF_A,IF_B,IF_C
[IF_A]
max_holding = 2
open_volume = 1
opener = day_long_break
closer = datr_long_stoper
[IF_B]
...
'''
#cfg = ConfigParser.ConfigParser()
print name
cfg = CSParser()
cfg.read(CONFIG_PATH + name)
config = base.BaseObject(traces=set([]),traces_raw=set([]))
##基于type的合约
ts = cfg.get('Trace_Instruments','traces')
for t in ts.split(','):
st = t.strip()
if st == '':
continue
config.traces.add(st)
##基于直接硬编码的合约
trs = cfg.items('Trace_Instruments_Raw')
tvs = reduce(operator.add,[tv.split(',') for to,tv in trs])
for tv in tvs:
stv = tv.strip()
if stv == '':
continue
config.traces_raw.add(stv)
##Instrument别名定义
alias = dict(cfg.items('Alias_Def'))
trace_instruments = cfg.get('Trade_Config','traces').split(',')
if cfg.has_option('Trade_Config','strategy_file'):#导入策略文件
sfile = cfg.get('Trade_Config','strategy_file')
smod = __import__(sfile)
mms = sfile.split('.')
for mm in mms[1:]: #找到最终的那个模块，__import__返回的是顶级模块
smod = smod.__dict__[mm]
else:
smod = strategy
#print smod.__dict__.keys()
config.smodule = smod
config.strategy = {}
for ti in trace_instruments:
sti = ti.strip()
if sti == '':
continue
cs = base.BaseObject(name=alias[sti])
cs.max_volume = int(cfg.get(sti,'max_volume'))
cs.max_vtimes = int(cfg.get(sti,'max_vtimes'))
cs.max_lost = int(cfg.get(sti,'max_lost'))
cs.strategys = []
for scs in cfg.get(sti,'strategys').split(','):
sscs = scs.strip()
if sscs == '':
continue
print sscs
#current_strategy = base.BaseObject(name=sscs)
#current_strategy.max_holding = int(cfg.get(sscs,'max_holding'))
#current_strategy.open_volume = int(cfg.get(sscs,'open_volume'))
#current_strategy.opener = smod.__dict__[cfg.get(sscs,'opener').strip()]() #需要实例化
#current_strategy.closer = smod.__dict__[cfg.get(sscs,'closer').strip()]
current_strategy = strategy.STRATEGY(name = sscs,
opener = smod.__dict__[cfg.get(sscs,'opener').strip()],
#closer = smod.__dict__[cfg.get(sscs,'closer').strip()],
closers = [smod.__dict__[sc.strip()] for sc in cfg.get(sscs,'closers').split(',') if sc.strip()!=''],
max_holding = int(cfg.get(sscs,'max_holding')),
open_volume = int(cfg.get(sscs,'open_volume')),
)
cs.strategys.append(current_strategy)
config.strategy[sti] = cs
return config
def parse_state(strategy_cfg,instruments,name='state.ini',root='State'):
'''现场恢复
;
[State]
last_update = 20110401
;holdings = IF1105,CF109
holdings = IF1105,CF109
[IF1105]
instrument = IF1105
opened_volume = 5
opened_orders = IF1105_O1,IF1105_O2
[IF1105_O1]
name = IF_A
volume = 3
strategy = IF_A
;opener = day_long_break
stoper = datr_long_stoper_12
base_price = 32000
current_stop_price = 31930
;target_price = 0
[IF1105_O2]
name = IF_B
volume = 1
strategy = IF_A
;opener = day_short_break
stoper = datr_short_stoper_12
base_price = 32500
current_stop_price = 32570
;target_price = 0
[CF109]
instrument = CF109
opened_volume = 0
opened_orders =
'''
cfg = CSParser()
cfg.read(CONFIG_PATH + name)
state = base.BaseObject(last_update = int(cfg.get(root,'last_update').strip()))
state.holdings = {}
holdings = cfg.get(root,'holdings')
for hd in holdings.split(','):
shd = hd.strip()
if shd == '':
continue
chd = base.BaseObject(name=shd)
chd.instrument = cfg.get(shd,'instrument').strip()
state.holdings[chd.instrument] = chd ##
chd.opened_volume = int(cfg.get(shd,'opened_volume'))
chd.orders = []
oos = cfg.get(shd,'opened_orders').split(',')
cur_inst = instruments[chd.instrument]
for oo in oos:
soo = oo.strip()
if soo == '':
continue
order = base.BaseObject(instrument=chd.instrument)
order.volume = int(cfg.get(soo,'volume'))
order.strategy_name = cfg.get(soo,'strategy_name')
#order.opener = strategy_cfg.smodule.__dict__[cfg.get(soo,'opener').strip()] #仅用于判断strategy
#order.stoper_class = strategy_cfg.smodule.__dict__[cfg.get(soo,'stoper').strip()]
#order.stoper = strategy_cfg.smodule.__dict__[cfg.get(soo,'stoper').strip()](cur_inst.data,0) #满足签名
#order.stoper.load_parameters(cfg.get(soo,'stoper_parameters').strip())
sps = eval(cfg.get(soo,'stopers'))
order.stopers = []
print sps
for stoper,sparameter in sps:
print stoper.strip()
xstoper = strategy_cfg.smodule.__dict__[stoper.strip()](cur_inst.data,0)
xstoper.load_parameters(sparameter)
order.stopers.append(xstoper)
#state.mys = cfg.get(soo,'stoper_parameters').strip() #调试用
#print cfg.get(soo,'stoper_parameters').strip()
order.base_price = int(cfg.get(soo,'base_price').strip())
order.mytime = int(cfg.get(soo,'mytime').strip())
order.action_type = int(cfg.get(soo,'action_type').strip())
#order.stoper.set_cur_stop(int(cfg.get(soo,'current_stop_price').strip()))
if cfg.has_option(soo,'target_price'):
order.target_price = int(cfg.get(soo,'target_price'))
else:
order.target_price = 0
chd.orders.append(order)
#print chd.instrument
return state
def conv_xslice(mslice):
xslice = base.BaseObject(open=mslice.xopen,
high=mslice.xhigh,
low=mslice.xlow,
close=mslice.xclose)
return xslice
