def test(self, test):
fname = os.path.join(os.getcwd(), 'data', '1MINUTE', 'TEST',
'FUTURE2.csv')
source2 = pd.read_csv(fname, parse_dates=True, index_col=0)
global smg, multi
target1, cashes1, t1, c1, dts = trade_closed_curbar(
source, capital / 2, lmg, smg, multi, 1)
# 期货
multi = Contract.volume_multiple('future2.TEST')
smg = Contract.short_margin_ratio('future2.TEST')
target2, cashes2, t2, c2, dts = trade_closed_curbar(
source2, capital / 2, lmg, smg, multi, -1)
target = [x + y for x, y in zip(target1, target2)]
cashes = [x + y for x, y in zip(cashes1, cashes2)]
open_equities = [x + y for x, y in zip(t1, t2)]
open_cashes = [x + y for x, y in zip(c1, c2)]
test.assertTrue(len(self.cashes) == len(cashes), 'cash接口测试失败！')
for i in range(0, len(self.cashes) - 1): # 最后一根强平了无法比较
test.assertAlmostEqual(self.cashes[i], open_cashes[i])
test.assertAlmostEqual(self.equities[i], open_equities[i])
for i, hd in enumerate(profile.all_holdings()):
test.assertTrue(hd['datetime'] == dts[i],
'all_holdings接口测试失败！')
test.assertAlmostEqual(hd['equity'], target[i])
test.assertAlmostEqual(hd['cash'], cashes[i])
def test_case5(self):
""" 测试跨合约交易的持仓, 资金 """
cashes0 = []
class DemoStrategy(Strategy):
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
curtime = ctx.datetime[0].time()
if curtime in [buy1, buy2, buy3]:
ctx.buy(ctx.close, 1) # 默认future.TEST
ctx.short(ctx['future2.TEST-1.Minute'].close, 2,
'future2.TEST')
else:
if curtime == sell1:
assert (ctx.pos('long', 'future.TEST') == 3
and '持仓测试失败！')
ctx.sell(ctx.close, 2)
assert (ctx.pos('short', 'future2.TEST') == 6
and '持仓测试失败！')
ctx.cover(ctx['future2.TEST-1.Minute'].close, 4,
'future2.TEST')
elif curtime == sell2:
assert (ctx.pos('long', 'future.TEST') == 1
and '跨合约持仓测试失败！')
ctx.sell(ctx.close, 1, 'future.TEST')
assert (ctx.pos('short', 'future2.TEST') == 2
and '持仓测试失败！')
ctx.cover(ctx['future2.TEST-1.Minute'].close, 2,
'future2.TEST')
cashes0.append(ctx.test_cash())
set_symbols(['future.TEST-1.Minute', 'future2.TEST-1.Minute'])
profile = add_strategy([DemoStrategy('D1')], {'capital': capital})
run()
fname = os.path.join(os.getcwd(), 'data', '1MINUTE', 'TEST',
'FUTURE2.csv')
source2 = pd.read_csv(fname, parse_dates=True, index_col=0)
lmg = Contract.long_margin_ratio('future.TEST')
multi = Contract.volume_multiple('future.TEST')
# 确保资金够用，所以不影响
target1, cashes1, dts = holdings_buy_maked_curbar(
source, capital / 2, lmg, multi)
# 期货
multi = Contract.volume_multiple('future2.TEST')
smg = Contract.short_margin_ratio('future2.TEST')
target2, cashes2, dts = holdings_short_maked_curbar(
source2, capital / 2, smg, multi)
target = [x + y for x, y in zip(target1, target2)]
cashes = [x + y for x, y in zip(cashes1, cashes2)]
self.assertTrue(len(cashes0) == len(cashes), 'cash接口测试失败！')
for i in range(0, len(cashes0) - 1): # 最后一根强平了无法比较
self.assertAlmostEqual(cashes0[i], cashes[i])
for i, hd in enumerate(profile.all_holdings()):
self.assertTrue(hd['datetime'] == dts[i], 'all_holdings接口测试失败！')
self.assertAlmostEqual(hd['equity'], target[i])
def test_case5(self):
""" 测试跨合约交易的持仓, 资金 """
cashes0 = []
class DemoStrategy(Strategy):
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
curtime = ctx.datetime[0].time()
if curtime in [buy1, buy2, buy3]:
ctx.buy(ctx.close, 1) # 默认future.TEST
ctx.short(ctx['future2.TEST-1.Minute'].close, 2, 'future2.TEST')
else:
if curtime == sell1:
all_postions = ctx.all_positions()
assert(len(all_postions) == 2)
assert(all_postions[0].quantity == 6)
assert(all_postions[0].closable == 6)
assert(all_postions[0].direction == Direction.SHORT)
assert(all_postions[1].quantity == 3)
assert(all_postions[1].closable == 3)
assert(all_postions[1].direction == Direction.LONG)
assert(ctx.pos('long', 'future.TEST') == 3 and '持仓测试失败！')
ctx.sell(ctx.close, 2)
assert(ctx.pos('short', 'future2.TEST') == 6 and '持仓测试失败！')
ctx.cover(ctx['future2.TEST-1.Minute'].close, 4, 'future2.TEST')
elif curtime == sell2:
assert(ctx.pos('long', 'future.TEST') == 1 and '跨合约持仓测试失败！')
ctx.sell(ctx.close, 1, 'future.TEST')
assert(ctx.pos('short', 'future2.TEST') == 2 and '持仓测试失败！')
ctx.cover(ctx['future2.TEST-1.Minute'].close, 2, 'future2.TEST')
cashes0.append(ctx.test_cash())
set_symbols(['future.TEST-1.Minute', 'future2.TEST-1.Minute'])
profile = add_strategy([DemoStrategy('D1')],{ 'capital': capital })
run()
fname = os.path.join(os.getcwd(), 'data', '1MINUTE', 'TEST', 'FUTURE2.csv')
source2 = pd.read_csv(fname, parse_dates=True, index_col=0)
lmg = Contract.long_margin_ratio('future.TEST')
multi = Contract.volume_multiple('future.TEST')
# 确保资金够用，所以不影响
target1, cashes1, dts = holdings_buy_maked_curbar(source, capital/2, lmg, multi)
# 期货
multi = Contract.volume_multiple('future2.TEST')
smg = Contract.short_margin_ratio('future2.TEST')
target2, cashes2, dts = holdings_short_maked_curbar(source2, capital/2, smg, multi)
target = [x + y for x, y in zip(target1, target2)]
cashes = [x + y for x, y in zip(cashes1, cashes2)]
self.assertTrue(len(cashes0) == len(cashes), 'cash接口测试失败！')
for i in range(0, len(cashes0)-1): # 最后一根强平了无法比较
self.assertAlmostEqual(cashes0[i],cashes[i])
for i, hd in enumerate(profile.all_holdings()):
self.assertTrue(hd['datetime'] == dts[i], 'all_holdings接口测试失败！')
self.assertAlmostEqual(hd['equity'], target[i])
def pcontract(contract, period):
""" 构建周期合约结构的便捷方式。
:param str contract: 合约如：'IF000.SHEF'
:param str Period: 周期如：'10.Minute'
:return: 周期合约
:rtype: PContract
"""
from quantdigger.datastruct import PContract, Contract, Period
return PContract(Contract(contract), Period(period))
def stock(code, period='1.Day'):
""" 构建周期合约结构的便捷方式。
:param str code: 股票代码。
:param str period: 回测周期。
:return: 周期合约。
:rtype: PContract
"""
from quantdigger.datastruct import PContract, Contract, Period
return PContract(Contract('%s.stock' % code), Period(period))
def test_case4(self):
""" 测试市价成交 """
cashes0 = []
class DemoStrategy(Strategy):
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
curtime = ctx.datetime[0].time()
if curtime in [bt1, bt2, bt3]:
ctx.buy(0, 1)
ctx.short(0, 2)
else:
if curtime == st1:
assert (ctx.pos('long') == 3 and '持仓测试失败！')
ctx.sell(0, 2)
assert (ctx.pos('short') == 6 and '持仓测试失败！')
ctx.cover(0, 4)
elif curtime == st2:
assert (ctx.pos('long') == 1 and '持仓测试失败！')
ctx.sell(0, 1)
assert (ctx.pos('short') == 2 and '持仓测试失败！')
ctx.cover(0, 2)
cashes0.append(ctx.test_cash())
set_symbols(['future.TEST-1.Minute'])
profile = add_strategy([DemoStrategy('C1')], {'capital': capital})
run()
lmg = Contract.long_margin_ratio('future.TEST')
multi = Contract.volume_multiple('future.TEST')
smg = Contract.short_margin_ratio('future.TEST')
target, cashes, dts = holdings_buy_short_maked_market(
source, capital, lmg, smg, multi)
self.assertTrue(len(cashes0) == len(cashes), 'cash接口测试失败！')
for i, hd in enumerate(profile.all_holdings()):
self.assertTrue(hd['datetime'] == dts[i], '模拟器测试失败！')
self.assertAlmostEqual(hd['equity'], target[i])
for i in range(0, len(cashes0) - 1): # 最后一根强平了无法比较
self.assertAlmostEqual(cashes0[i], cashes[i])
def test_case3(self):
""" 测试市价成交 """
cashes0 = []
class DemoStrategy(Strategy):
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
curtime = ctx.datetime[0].time()
if curtime in [buy1, buy2, buy3]:
ctx.buy(0, 1)
ctx.short(0, 2)
else:
if curtime == sell1:
assert(ctx.pos('long') == 3 and '持仓测试失败！')
ctx.sell(0, 2)
assert(ctx.pos('short') == 6 and '持仓测试失败！')
ctx.cover(0, 4)
elif curtime == sell2:
assert(ctx.pos('long') == 1 and '持仓测试失败！')
ctx.sell(0, 1)
assert(ctx.pos('short') == 2 and '持仓测试失败！')
ctx.cover(0, 2)
cashes0.append(ctx.test_cash())
set_symbols(['future.TEST-1.Minute'])
profile = add_strategy([DemoStrategy('C1')],{ 'capital': capital})
run()
lmg = Contract.long_margin_ratio('future.TEST')
multi = Contract.volume_multiple('future.TEST')
smg = Contract.short_margin_ratio('future.TEST')
target, cashes, dts = holdings_buy_short_maked_market(source, capital,
lmg, smg, multi)
self.assertTrue(len(cashes0) == len(cashes), 'cash接口测试失败！')
for i in range(0, len(cashes0)-1): # 最后一根强平了无法比较
self.assertAlmostEqual(cashes0[i],cashes[i])
for i, hd in enumerate(profile.all_holdings()):
self.assertTrue(hd['datetime'] == dts[i], '模拟器测试失败！')
self.assertAlmostEqual(hd['equity'], target[i])
def stock(code, period='1.Day'):
""" 构建周期合约结构的便捷方式。
Args:
code (str) : 股票代码
period(str): 回测周期
Returns:
PContract. 周期合约
"""
from quantdigger.datastruct import PContract, Contract, Period
return PContract(Contract('%s.stock' % code), Period(period))
def test(self, test):
fname = os.path.join(os.getcwd(), 'data', '1MINUTE', 'TEST', 'FUTURE2.csv')
source2 = pd.read_csv(fname, parse_dates=True, index_col=0)
global smg, multi
target1, cashes1, t1, c1, dts = trade_closed_curbar(source, capital / 2, lmg, smg, multi, 1)
# 期货
multi = Contract.volume_multiple('future2.TEST')
smg = Contract.short_margin_ratio('future2.TEST')
target2, cashes2, t2, c2, dts = trade_closed_curbar(source2, capital / 2, lmg, smg, multi, -1)
target = [x + y for x, y in zip(target1, target2)]
cashes = [x + y for x, y in zip(cashes1, cashes2)]
open_equities = [x + y for x, y in zip(t1, t2)]
open_cashes = [x + y for x, y in zip(c1, c2)]
test.assertTrue(len(self.cashes) == len(cashes), 'cash接口测试失败！')
for i in range(0, len(self.cashes) - 1): # 最后一根强平了无法比较
test.assertAlmostEqual(self.cashes[i], open_cashes[i])
test.assertAlmostEqual(self.equities[i], open_equities[i])
for i, hd in enumerate(profile.all_holdings()):
test.assertTrue(hd['datetime'] == dts[i], 'all_holdings接口测试失败！')
test.assertAlmostEqual(hd['equity'], target[i])
test.assertAlmostEqual(hd['cash'], cashes[i])
def buy(self, direction, price, quantity, price_type='LMT', contract=None):
""" 开仓。
:param str/int direction: 下单方向。多头 - 'long' / 1 ；空头 - 'short' / 2
:param float price: 价格。
:param int quantity: 数量。
:param str/int price_type: 下单价格类型。限价单 - 'lmt' / 1；市价单 - 'mkt' / 2
"""
contract = None
con = Contract(contract) if contract else self._main_contract
self._orders.append(
Order(self.datetime, con,
PriceType.arg_to_type(price_type), TradeSide.KAI,
Direction.arg_to_type(direction), float(price), quantity))
def test(self, test, profiles):
lmg = Contract.long_margin_ratio('600522.SH')
multi = Contract.volume_multiple('600522.SH')
test.assertTrue(lmg == 1)
test.assertTrue(multi == 1)
fname = os.path.join(os.getcwd(), 'data', '1DAY', 'SH', '600522.csv')
source = pd.read_csv(fname, parse_dates=True, index_col=0)
equities, cashes, open_equities, open_cashes, dts = \
buy_monday_sell_friday(source, capital * 0.3, lmg, multi)
count = 0
all_holdings0 = profiles[0].all_holdings()
for i, hd in enumerate(all_holdings0):
dt = hd['datetime']
if dt in cashes:
test.assertAlmostEqual(hd['cash'], cashes[dt])
test.assertAlmostEqual(hd['equity'], equities[dt])
test.assertAlmostEqual(self._cashes[dt], open_cashes[dt])
test.assertAlmostEqual(self._equities[dt], open_equities[dt])
count += 1
else:
# 两支股票的混合，总数据长度和source不一样。
test.assertAlmostEqual(all_holdings0[i - 1]['cash'], hd['cash'])
test.assertAlmostEqual(all_holdings0[i - 1]['equity'], hd['equity'])
test.assertTrue(count == len(dts))
def cover(self, price, quantity, symbol=None):
""" 平空仓。
Args:
price (float): 价格, 0表市价。
quantity (int): 数量。
symbol (str): 合约
"""
if not self._trading:
raise Exception('只有on_bar函数内能下单！')
contract = Contract(symbol) if symbol else copy.deepcopy(
self._cur_data_context.contract)
price_type = PriceType.MKT if price == 0 else PriceType.LMT
self._cur_strategy_context.sell(Direction.SHORT, price, quantity,
price_type, contract)
def buy(self, price, quantity, symbol=None):
""" 开多仓
Args:
price (float): 价格, 0表市价。
quantity (int): 数量。
symbol (str): 合约
"""
if not self._trading:
raise Exception('只有on_bar函数内能下单！')
contract = Contract(
symbol) if symbol else self._cur_data_context.contract
price_type = PriceType.MKT if price == 0 else PriceType.LMT
self._cur_strategy_context.buy(Direction.LONG, price, quantity,
price_type, contract)
def test(self, test, profile):
lmg = Contract.long_margin_ratio('600522.SH')
multi = Contract.volume_multiple('600522.SH')
test.assertTrue(lmg == 1)
test.assertTrue(multi == 1)
fname = os.path.join(os.getcwd(), 'data', '1DAY', 'SH', '600522.csv')
source = pd.read_csv(fname, parse_dates=True, index_col=0)
equities, cashes, open_equities, open_cashes, dts = \
buy_monday_sell_friday(source, capital * 0.3, lmg, multi)
count = 0
all_holdings0 = profile.all_holdings(0)
for i, hd in enumerate(all_holdings0):
dt = hd['datetime']
if dt in cashes:
test.assertAlmostEqual(hd['cash'], cashes[dt])
test.assertAlmostEqual(hd['equity'], equities[dt])
test.assertAlmostEqual(self._cashes[dt], open_cashes[dt])
test.assertAlmostEqual(self._equities[dt], open_equities[dt])
count += 1
else:
# 两支股票的混合，总数据长度和source不一样。
test.assertAlmostEqual(all_holdings0[i - 1]['cash'], hd['cash'])
test.assertAlmostEqual(all_holdings0[i - 1]['equity'], hd['equity'])
test.assertTrue(count == len(dts))
def cover(self, price, quantity, symbol=None):
""" 平空仓。
Args:
price (float): 价格, 0表市价。
quantity (int): 数量。
symbol (str): 合约
"""
if not self._trading:
raise Exception('只有on_bar函数内能下单！')
if symbol:
contract = Contract(symbol) if isinstance(symbol, str) else symbol
else:
contract = self._cur_data_context.contract
price_type = PriceType.MKT if price == 0 else PriceType.LMT
self._cur_strategy_context.cover(price, quantity, price_type, contract)
def sell(self, price, quantity, symbol=None):
""" 平多仓。
Args:
price (float): 价格, 0表市价。
quantity (int): 数量。
symbol (str): 合约
"""
if not self.on_bar:
raise Exception('只有on_bar函数内能下单！')
if symbol:
contract = Contract(symbol) if isinstance(symbol, str) else symbol
else:
contract = self.contract
price_type = PriceType.MKT if price == 0 else PriceType.LMT
self._orders.append(
Order(None, contract, price_type, TradeSide.CLOSE, Direction.LONG,
float(price), quantity))
def position(self, direction='long', symbol=None):
""" 当前仓位。
Args:
direction (str/int): 持仓方向。多头 - 'long' / 1 ；空头 - 'short' / 2
, 默认为多头。
symbol (str): 字符串合约，默认为None表示主合约。
Returns:
Position. 该合约的持仓
"""
if not self._trading:
raise Exception('只有on_bar函数内能查询当前持仓！')
direction = Direction.arg_to_type(direction)
contract = Contract(symbol) if symbol else \
self._cur_data_context.contract
# @TODO assert direction
return self._cur_strategy_context.position(contract, direction)
def position(self, direction='long', symbol=None):
""" 合约当前持仓仓位。
Args:
direction (str/int): 持仓方向。多头 - 'long' / 1 ；空头 - 'short' / 2
, 默认为多头。
symbol (str): 字符串合约，默认为None表示主合约。
Returns:
Position. 该合约的持仓
"""
if not self.on_bar:
raise Exception('只有on_bar函数内能查询当前持仓！')
direction = Direction.arg_to_type(direction)
contract = Contract(symbol) if symbol else \
self.contract
# @TODO assert direction
try:
poskey = PositionKey(contract, direction)
return self.blotter.positions[poskey]
except KeyError:
return None
entries_maked_nextbar,
market_trade_closed_curbar,
OFFSET,
capital,
bt1,
bt2,
bt3,
st1,
st2,
st3,
)
fname = os.path.join(os.getcwd(), 'data', '1MINUTE', 'TEST', 'FUTURE.csv')
source = pd.read_csv(fname, parse_dates=True, index_col=0)
lmg = Contract.long_margin_ratio('future.TEST')
multi = Contract.volume_multiple('future.TEST')
smg = Contract.short_margin_ratio('future.TEST')
class TestOneDataOneCombination(unittest.TestCase):
"""
分钟线日内限价交易, 且当根bar成交。
测试：
Strategy1, Strategy2:
profile.all_holdings(x)
ctx.buy, ctx.sell
ctx.cash(), ctx.equity()
Strategy3:
隔夜未成交订单自动清空。
entries_maked_nextbar,
market_trade_closed_curbar,
OFFSET,
capital,
bt1,
bt2,
bt3,
st1,
st2,
st3,
)
fname = os.path.join(os.getcwd(), 'data', '1MINUTE', 'TEST', 'FUTURE.csv')
source = pd.read_csv(fname, parse_dates=True, index_col=0)
lmg = Contract.long_margin_ratio('future.TEST')
multi = Contract.volume_multiple('future.TEST')
smg = Contract.short_margin_ratio('future.TEST')
class TestOneDataOneCombination(unittest.TestCase):
"""
分钟线日内限价交易, 且当根bar成交。
测试：
Strategy1, Strategy2:
profile.all_holdings(x)
ctx.buy, ctx.sell
ctx.cash(), ctx.equity()
Strategy3:
隔夜未成交订单自动清空。
def _mk_contract(code, exchage):
s = '%s.%s' % (code, exchage)
return Contract(s)
def test_case(self):
t_cashes0, t_cashes1 = [], []
class DemoStrategy1(Strategy):
""" 限价只买多头仓位的策略 """
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
curtime = ctx.datetime[0].time()
if curtime in [buy1, buy2, buy3]:
ctx.buy(ctx.close, 1)
else:
if ctx.pos() >= 2 and curtime == sell1:
ctx.sell(ctx.close, 2)
elif ctx.pos() >= 1 and curtime == sell2:
ctx.sell(ctx.close, 1)
## 前一根的交易信号在当前价格撮合后的可用资金
t_cashes0.append(ctx.test_cash())
class DemoStrategy2(Strategy):
""" 限价买多卖空的策略 """
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
curtime = ctx.datetime[0].time()
if curtime in [buy1, buy2, buy3]:
ctx.buy(ctx.close, 1)
ctx.short(ctx.close, 2)
else:
if curtime == sell1:
if ctx.pos() >= 3:
# quantity == 6, closable == 3
assert(ctx.pos() == 3 and '默认持仓查询测试失败！')
ctx.sell(ctx.close, 2)
if ctx.pos('short') >= 6:
assert(ctx.pos('short') == 6 and '默认持仓查询测试失败！')
ctx.cover(ctx.close, 4)
elif curtime == sell2:
if ctx.pos() >= 1:
ctx.sell(ctx.close, 1)
if ctx.pos('short') >= 2:
ctx.cover(ctx.close, 2)
t_cashes1.append(ctx.test_cash())
class DemoStrategy3(Strategy):
""" 测试平仓未成交时的持仓，撤单后的持仓，撤单。 """
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
return
set_symbols(['stock.TEST-1.Minute'])
profile = add_strategy([DemoStrategy1('A1'), DemoStrategy2('A2'), DemoStrategy3('A3')], {
'capital': capital,
'ratio': [0.3, 0.3, 0.4]
})
run()
# all_holdings, cash()
all_holdings = profile.all_holdings()
all_holdings0 = profile.all_holdings(0)
all_holdings1 = profile.all_holdings(1)
all_holdings2 = profile.all_holdings(2)
self.assertTrue(len(source) > 0 and len(source) == len(all_holdings), '模拟器测试失败！')
lmg = Contract.long_margin_ratio('stock.TEST')
multi = Contract.volume_multiple('stock.TEST')
smg = Contract.short_margin_ratio('stock.TEST')
s_equity0, s_cashes0, dts = holdings_buy_maked_curbar(source, capital*0.3, lmg, multi)
self.assertTrue(len(t_cashes0) == len(s_cashes0), 'cash接口测试失败！')
for i in range(0, len(t_cashes0)-1): # 最后一根强平了无法比较
self.assertAlmostEqual(t_cashes0[i],s_cashes0[i])
self.assertTrue(len(all_holdings) == len(s_equity0), 'all_holdings接口测试失败！')
for i, hd in enumerate(all_holdings0):
self.assertTrue(hd['datetime'] == dts[i], 'all_holdings接口测试失败！')
self.assertAlmostEqual(hd['equity'], s_equity0[i])
# 确保资金够用，所以不影响
e0, c0, dts = holdings_buy_maked_curbar(source, capital*0.3/2, lmg, multi)
e1, c1, dts = holdings_short_maked_curbar(source, capital*0.3/2, smg, multi)
s_equity1 = [x + y for x, y in zip(e0, e1)]
s_cashes1 = [x + y for x, y in zip(c0, c1)]
self.assertTrue(len(t_cashes1) == len(s_cashes1), 'cash接口测试失败！')
for i in range(0, len(t_cashes1)-1): # 最后一根强平了无法比较
self.assertAlmostEqual(t_cashes1[i],s_cashes1[i])
for i, hd in enumerate(profile.all_holdings(1)):
self.assertTrue(hd['datetime'] == dts[i], 'all_holdings接口测试失败！')
self.assertAlmostEqual(hd['equity'], s_equity1[i])
for i in range(0, len(profile.all_holdings())):
hd = all_holdings[i]
hd0 = all_holdings0[i]
hd1 = all_holdings1[i]
hd2 = all_holdings2[i]
self.assertTrue(hd['cash'] == hd0['cash']+hd1['cash']+hd2['cash'],
'all_holdings接口测试失败！')
self.assertTrue(hd['commission'] == hd0['commission']+
hd1['commission']+hd2['commission'], 'all_holdings接口测试失败！')
self.assertTrue(hd['equity'] == hd0['equity']+hd1['equity']+hd2['equity'],
'all_holdings接口测试失败！')
def test_case(self):
## @TODO 持仓过夜，不卖，累加仓位。
# @todo profile
#signals 盈利
# @TODO deals DemoStrategy2
t_cashes0, t_cashes1 = [], []
class DemoStrategy1(Strategy):
""" 限价只买多头仓位的策略 """
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
curtime = ctx.datetime[0].time()
if curtime in [buy1, buy2, buy3]:
ctx.buy(ctx.close, 1)
else:
if curtime == sell1:
assert(ctx.pos() == 3 and '持仓测试失败！')
ctx.sell(ctx.close, 2)
elif curtime == sell2:
assert(ctx.pos() == 1 and '持仓测试失败！')
ctx.sell(ctx.close, 1)
## 前一根的交易信号在当前价格撮合后的可用资金
t_cashes0.append(ctx.test_cash())
class DemoStrategy2(Strategy):
""" 限价买多卖空的策略 """
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
curtime = ctx.datetime[0].time()
if curtime in [buy1, buy2, buy3]:
ctx.buy(ctx.close, 1)
ctx.short(ctx.close, 2)
else:
if curtime == sell1:
assert(ctx.pos() == 3 and '默认持仓查询测试失败！')
ctx.sell(ctx.close, 2)
assert(ctx.pos('short') == 6 and '持仓测试失败！')
ctx.cover(ctx.close, 4)
elif curtime == sell2:
assert(ctx.pos('long') == 1 and '持仓测试失败！')
ctx.sell(ctx.close, 1)
assert(ctx.pos('short') == 2 and '持仓测试失败！')
ctx.cover(ctx.close, 2)
t_cashes1.append(ctx.test_cash())
class DemoStrategy3(Strategy):
""" 测试平仓未成交时的持仓，撤单后的持仓，撤单。 """
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
if ctx.curbar == 1:
ctx.short(138, 1)
ctx.short(138, 1)
ctx.buy(ctx.close, 1)
elif ctx.curbar == 3:
# 保证下一根撤单成功, 而非当前这根。
assert(len(ctx.open_orders) == 2)
ctx.cancel(ctx.open_orders[0])
assert(len(ctx.open_orders) == 2 and '撤单测试失败')
elif ctx.curbar == 4:
assert(len(ctx.open_orders) == 1 and '撤单测试失败！')
elif ctx.curbar == 5:
assert(ctx.pos() == 1)
ctx.sell(300, 1) # 下无法成交的平仓，测试持仓。
elif ctx.curbar == 7:
assert(ctx.pos() == 0 and '持仓测试失败!')
assert(len(ctx.open_orders) == 2 and '撤单测试失败！')
order = filter(lambda x: x.side == TradeSide.PING, ctx.open_orders)[0]
ctx.cancel(order)
elif ctx.curbar == 8:
assert(len(ctx.open_orders) == 1 and '撤单测试失败！')
assert(ctx.pos() == 1 and '持仓测试失败!')
if ctx.curbar > 1 and ctx.datetime[0].date() != ctx.datetime[1].date():
assert(len(ctx.open_orders) == 0 and '隔夜订单清空测试失败')
set_symbols(['future.TEST-1.Minute'])
profile = add_strategy([DemoStrategy1('A1'), DemoStrategy2('A2'), DemoStrategy3('A3')], {
'capital': capital,
'ratio': [0.3, 0.3, 0.4]
})
run()
# all_holdings, cash()
all_holdings = profile.all_holdings()
all_holdings0 = profile.all_holdings(0)
all_holdings1 = profile.all_holdings(1)
all_holdings2 = profile.all_holdings(2)
self.assertTrue(len(source) > 0 and len(source) == len(all_holdings), '模拟器测试失败！')
lmg = Contract.long_margin_ratio('future.TEST')
multi = Contract.volume_multiple('future.TEST')
smg = Contract.short_margin_ratio('future.TEST')
s_equity0, s_cashes0, dts = holdings_buy_maked_curbar(source, capital*0.3, lmg, multi)
self.assertTrue(len(t_cashes0) == len(s_cashes0), 'cash接口测试失败！')
for i in range(0, len(t_cashes0)-1): # 最后一根强平了无法比较
self.assertAlmostEqual(t_cashes0[i], s_cashes0[i])
self.assertTrue(len(all_holdings) == len(s_equity0), 'all_holdings接口测试失败！')
for i, hd in enumerate(all_holdings0):
self.assertAlmostEqual(hd['equity'], s_equity0[i])
self.assertTrue(hd['datetime'] == dts[i], 'all_holdings接口测试失败！')
# 确保资金够用，所以不影响
e0, c0, dts = holdings_buy_maked_curbar(source, capital*0.3/2, lmg, multi)
e1, c1, dts = holdings_short_maked_curbar(source, capital*0.3/2, smg, multi)
s_equity1 = [x + y for x, y in zip(e0, e1)]
s_cashes1 = [x + y for x, y in zip(c0, c1)]
self.assertTrue(len(t_cashes1) == len(s_cashes1), 'cash接口测试失败！')
for i in range(0, len(t_cashes1)-1): # 最后一根强平了无法比较
self.assertAlmostEqual(t_cashes1[i], s_cashes1[i])
for i, hd in enumerate(profile.all_holdings(1)):
self.assertAlmostEqual(s_equity0[i]-capital*0.3, -(s_equity1[i]-capital*0.3))
self.assertTrue(hd['datetime'] == dts[i], 'all_holdings接口测试失败！')
self.assertAlmostEqual(hd['equity'], s_equity1[i])
for i in range(0, len(profile.all_holdings())):
hd = all_holdings[i]
hd0 = all_holdings0[i]
hd1 = all_holdings1[i]
hd2 = all_holdings2[i]
self.assertTrue(hd['cash'] == hd0['cash']+hd1['cash']+hd2['cash'],
'all_holdings接口测试失败！')
self.assertTrue(hd['commission'] == hd0['commission']+
hd1['commission']+hd2['commission'], 'all_holdings接口测试失败！')
self.assertTrue(hd['equity'] == hd0['equity']+hd1['equity']+hd2['equity'], 'all_holdings接口测试失败！')
# holding
hd0 = profile.holding(0)
hd1 = profile.holding(1)
hd2 = profile.holding(2)
hd = profile.holding()
self.assertTrue(hd0['equity']+hd1['equity']+hd2['equity']==hd['equity'],
'holdings接口测试失败！')
self.assertTrue(hd0['cash']+hd1['cash']+hd2['cash']==hd['cash'], 'holdings接口测试失败！')
self.assertTrue(hd0['commission']+hd1['commission']+hd2['commission']==hd['commission'],
'holdings接口测试失败！')
self.assertTrue(hd0['history_profit']+hd1['history_profit']+hd2['history_profit']==hd['history_profit'],
'holdings接口测试失败！')
hd0last = profile.all_holdings(0)[-1]
self.assertTrue(hd0last['equity'] == hd0['equity'], 'holdings接口测试失败！')
self.assertTrue(hd0last['cash'] == hd0['cash'], 'holdings接口测试失败！')
self.assertTrue(hd0last['commission'] == hd0['commission'], 'holdings接口测试失败！')
self.assertTrue(len(profile.all_holdings()) == len(s_equity0) and
len(s_equity0) > 0, 'holdings接口测试失败！')
def test_case(self):
lmg = Contract.long_margin_ratio('stock.TEST')
multi = Contract.volume_multiple('stock.TEST')
smg = Contract.short_margin_ratio('stock.TEST')
profile = None
class DemoStrategy1(Strategy):
""" 限价只买多头仓位的策略 """
def on_init(self, ctx):
"""初始化数据"""
self.cashes = []
self.equities = []
def on_bar(self, ctx):
curtime = ctx.datetime[0].time()
if curtime in [bt1, bt2, bt3]:
ctx.buy(ctx.close, 1)
elif ctx.pos() >= 2 and curtime == st1:
ctx.sell(ctx.close, 2)
elif ctx.pos() >= 1 and curtime == st2:
ctx.sell(ctx.close, 1)
self.cashes.append(ctx.cash())
self.equities.append(ctx.equity())
def test(self, test):
equities, cashes, open_equities, open_casheses, dts =\
trade_closed_curbar(source, capital * 0.3, lmg, smg, multi, 1)
test.assertTrue(len(self.cashes) == len(cashes), 'cash接口测试失败！')
for i in range(0, len(self.cashes)):
test.assertAlmostEqual(self.cashes[i], open_casheses[i])
test.assertAlmostEqual(self.equities[i], open_equities[i])
for i, hd in enumerate(profile.all_holdings(0)):
test.assertTrue(hd['datetime'] == dts[i], 'all_holdings接口测试失败！')
test.assertAlmostEqual(hd['equity'], equities[i])
test.assertAlmostEqual(hd['cash'], cashes[i])
class DemoStrategy2(Strategy):
""" 限价买多卖空的策略 """
def on_init(self, ctx):
"""初始化数据"""
self.cashes = []
def on_bar(self, ctx):
curtime = ctx.datetime[0].time()
if curtime in [bt1, bt2, bt3]:
ctx.buy(ctx.close, 1)
ctx.short(ctx.close, 1)
elif curtime == st1:
if ctx.pos() >= 3:
assert(ctx.pos() == 3 and '默认持仓查询测试失败！')
ctx.sell(ctx.close, 2)
if ctx.pos('short') >= 3:
assert(ctx.pos('short') == 3 and '默认持仓查询测试失败！')
ctx.cover(ctx.close, 2)
elif curtime == st2:
if ctx.pos() >= 1:
ctx.sell(ctx.close, 1)
if ctx.pos('short') >= 1:
ctx.cover(ctx.close, 1)
self.cashes.append(ctx.test_cash())
def test(self, test):
e0, c0, oe0, oc0, dts = trade_closed_curbar(source, capital * 0.3 / 2, lmg, smg, multi, 1)
e1, c1, oe1, oc1, dts = trade_closed_curbar(source, capital * 0.3 / 2, lmg, smg, multi, -1)
equities = [x + y for x, y in zip(e0, e1)]
cashes = [x + y for x, y in zip(c0, c1)]
for i, hd in enumerate(profile.all_holdings(1)):
test.assertTrue(hd['datetime'] == dts[i], 'all_holdings接口测试失败！')
test.assertAlmostEqual(hd['equity'], equities[i])
test.assertTrue(len(self.cashes) == len(cashes), 'cash接口测试失败！')
for i in range(0, len(self.cashes) - 1): # 最后一根强平了无法比较
test.assertAlmostEqual(self.cashes[i], cashes[i])
class DemoStrategy3(Strategy):
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
return
set_symbols(['stock.TEST-1.Minute'])
a1 = DemoStrategy1('A1')
a2 = DemoStrategy2('A2')
a3 = DemoStrategy3('A3')
profile = add_strategy([a1, a2, a3], {
'capital': capital,
'ratio': [0.3, 0.3, 0.4]
})
run()
a1.test(self)
a2.test(self)
all_holdings = profile.all_holdings()
self.assertTrue(len(source) > 0 and len(source) == len(all_holdings), '模拟器测试失败！')
for i in range(0, len(profile.all_holdings())):
hd = all_holdings[i]
hd0 = profile.all_holdings(0)[i]
hd1 = profile.all_holdings(1)[i]
hd2 = profile.all_holdings(2)[i]
self.assertTrue(hd['cash'] == hd0['cash'] + hd1['cash'] + hd2['cash'],
'all_holdings接口测试失败！')
self.assertTrue(hd['commission'] == hd0['commission'] +
hd1['commission'] + hd2['commission'], 'all_holdings接口测试失败！')
self.assertTrue(hd['equity'] == hd0['equity'] + hd1['equity'] + hd2['equity'], 'all_holdings接口测试失败！')
def test_case2(self):
""" 测试限价的延迟成交, 与是否是期货还是股票无关。
"""
buy_entries, sell_entries = [], []
short_entries, cover_entries = [], []
cashes0, cashes1 = [], []
class DemoStrategyBuy(Strategy):
""" 只开多头仓位的策略 """
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
if ctx.datetime[0] in buy_entries:
ctx.buy(ctx.low-OFFSET, 1)
# 默认多头
elif ctx.pos() > 0 and ctx.datetime[0].time() == sell1:
ctx.sell(ctx.close, ctx.pos())
cashes0.append(ctx.test_cash())
return
cashes0.append(ctx.cash())
class DemoStrategyShort(Strategy):
""" 只开空头仓位的策略 """
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
if ctx.datetime[0] in short_entries:
ctx.short(ctx.high+OFFSET, 1)
elif ctx.pos('short') > 0 and ctx.datetime[0].time() == sell1:
ctx.cover(ctx.close, ctx.pos('short'))
cashes1.append(ctx.test_cash())
return
cashes1.append(ctx.cash())
class DemoStrategySell(Strategy):
""" 只开多头仓位的策略 """
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
if ctx.datetime[0].time() == buy1:
ctx.buy(ctx.close, 1)
elif ctx.pos('long') > 0 and ctx.datetime[0] in sell_entries:
ctx.sell(ctx.high+OFFSET, ctx.pos())
elif ctx.pos('long') > 0 and ctx.datetime[0].time() == sell3:
ctx.sell(ctx.close, ctx.pos())
class DemoStrategyCover(Strategy):
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
if ctx.datetime[0].time() == buy1:
ctx.short(ctx.close, 1)
elif ctx.pos('short') > 0 and ctx.datetime[0] in cover_entries:
ctx.cover(ctx.low-OFFSET, ctx.pos('short'))
elif ctx.pos('short') > 0 and ctx.datetime[0].time() == sell3:
ctx.cover(ctx.close, ctx.pos('short'))
set_symbols(['future.TEST-1.Minute'])
profile = add_strategy([DemoStrategyBuy('B1'), DemoStrategySell('B2'),
DemoStrategyShort('B3'), DemoStrategyCover('B4')],{
'capital': capital,
'ratio': [0.25, 0.25, 0.25, 0.25]
})
buy_entries, sell_entries, short_entries, cover_entries = entries_maked_nextbar(source)
run()
# buy
lmg = Contract.long_margin_ratio('future.TEST')
multi = Contract.volume_multiple('future.TEST')
smg = Contract.short_margin_ratio('future.TEST')
target, cashes, dts = holdings_buy_maked_nextbar(source, buy_entries, capital/4, lmg, multi)
self.assertTrue(len(profile.all_holdings(0)) == len(target) and
len(target) > 0, '模拟器测试失败！')
for i, hd in enumerate(profile.all_holdings(0)):
self.assertTrue(hd['datetime'] == dts[i], '模拟器测试失败！')
self.assertAlmostEqual(hd['equity'], target[i])
# cash() 终点
for i in range(0, len(cashes0)-1): # 最后一根强平了无法比较
self.assertAlmostEqual(cashes0[i],cashes[i])
# short
target, cashes, dts = holdings_short_maked_nextbar(source, short_entries, capital/4, smg, multi)
self.assertTrue(len(profile.all_holdings(2)) == len(target) and
len(target) > 0, '模拟器测试失败！')
for i, hd in enumerate(profile.all_holdings(2)):
self.assertTrue(hd['datetime'] == dts[i], '模拟器测试失败！')
self.assertAlmostEqual(hd['equity'], target[i])
for i in range(0, len(cashes1)-1):
self.assertAlmostEqual(cashes1[i],cashes[i])
# sell
target, dts = holdings_sell_maked_nextbar(source, sell_entries, capital/4, lmg, multi)
self.assertTrue(len(profile.all_holdings(1)) == len(target) and
len(target) > 0, '模拟器测试失败！')
for i, hd in enumerate(profile.all_holdings(1)):
self.assertTrue(hd['datetime'] == dts[i], '模拟器测试失败！')
self.assertAlmostEqual(hd['equity'], target[i])
# cover
target, dts = holdings_cover_maked_nextbar(source, cover_entries, capital/4, smg, multi)
self.assertTrue(len(profile.all_holdings(3)) == len(target) and
len(target) > 0, '模拟器测试失败！')
for i, hd in enumerate(profile.all_holdings(3)):
self.assertTrue(hd['datetime'] == dts[i], '模拟器测试失败！')
self.assertAlmostEqual(hd['equity'], target[i])
#from quantdigger.digger import plotting
#plotting.plot_strategy(profile.data(), deals=profile.deals(0))
## @TODO 模拟器make_market的运行次数
return
def test_case(self):
t_cashes0, t_cashes1 = [], []
class DemoStrategy1(Strategy):
""" 限价只买多头仓位的策略 """
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
curtime = ctx.datetime[0].time()
if curtime in [buy1, buy2, buy3]:
ctx.buy(ctx.close, 1)
else:
if ctx.pos() >= 2 and curtime == sell1:
ctx.sell(ctx.close, 2)
elif ctx.pos() >= 1 and curtime == sell2:
ctx.sell(ctx.close, 1)
## 前一根的交易信号在当前价格撮合后的可用资金
t_cashes0.append(ctx.test_cash())
class DemoStrategy2(Strategy):
""" 限价买多卖空的策略 """
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
curtime = ctx.datetime[0].time()
if curtime in [buy1, buy2, buy3]:
ctx.buy(ctx.close, 1)
ctx.short(ctx.close, 2)
else:
if curtime == sell1:
if ctx.pos() >= 3:
# quantity == 6, closable == 3
assert (ctx.pos() == 3 and '默认持仓查询测试失败！')
ctx.sell(ctx.close, 2)
if ctx.pos('short') >= 6:
assert (ctx.pos('short') == 6 and '默认持仓查询测试失败！')
ctx.cover(ctx.close, 4)
elif curtime == sell2:
if ctx.pos() >= 1:
ctx.sell(ctx.close, 1)
if ctx.pos('short') >= 2:
ctx.cover(ctx.close, 2)
t_cashes1.append(ctx.test_cash())
class DemoStrategy3(Strategy):
""" 测试平仓未成交时的持仓，撤单后的持仓，撤单。 """
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
return
set_symbols(['stock.TEST-1.Minute'])
profile = add_strategy(
[DemoStrategy1('A1'),
DemoStrategy2('A2'),
DemoStrategy3('A3')], {
'capital': capital,
'ratio': [0.3, 0.3, 0.4]
})
run()
# all_holdings, cash()
all_holdings = profile.all_holdings()
all_holdings0 = profile.all_holdings(0)
all_holdings1 = profile.all_holdings(1)
all_holdings2 = profile.all_holdings(2)
self.assertTrue(
len(source) > 0 and len(source) == len(all_holdings), '模拟器测试失败！')
lmg = Contract.long_margin_ratio('stock.TEST')
multi = Contract.volume_multiple('stock.TEST')
smg = Contract.short_margin_ratio('stock.TEST')
s_equity0, s_cashes0, dts = holdings_buy_maked_curbar(
source, capital * 0.3, lmg, multi)
self.assertTrue(len(t_cashes0) == len(s_cashes0), 'cash接口测试失败！')
for i in range(0, len(t_cashes0) - 1): # 最后一根强平了无法比较
self.assertAlmostEqual(t_cashes0[i], s_cashes0[i])
self.assertTrue(
len(all_holdings) == len(s_equity0), 'all_holdings接口测试失败！')
for i, hd in enumerate(all_holdings0):
self.assertTrue(hd['datetime'] == dts[i], 'all_holdings接口测试失败！')
self.assertAlmostEqual(hd['equity'], s_equity0[i])
# 确保资金够用，所以不影响
e0, c0, dts = holdings_buy_maked_curbar(source, capital * 0.3 / 2, lmg,
multi)
e1, c1, dts = holdings_short_maked_curbar(source, capital * 0.3 / 2,
smg, multi)
s_equity1 = [x + y for x, y in zip(e0, e1)]
s_cashes1 = [x + y for x, y in zip(c0, c1)]
for i, hd in enumerate(profile.all_holdings(1)):
self.assertTrue(hd['datetime'] == dts[i], 'all_holdings接口测试失败！')
self.assertAlmostEqual(hd['equity'], s_equity1[i])
self.assertTrue(len(t_cashes1) == len(s_cashes1), 'cash接口测试失败！')
for i in range(0, len(t_cashes1) - 1): # 最后一根强平了无法比较
self.assertAlmostEqual(t_cashes1[i], s_cashes1[i])
for i in range(0, len(profile.all_holdings())):
hd = all_holdings[i]
hd0 = all_holdings0[i]
hd1 = all_holdings1[i]
hd2 = all_holdings2[i]
self.assertTrue(
hd['cash'] == hd0['cash'] + hd1['cash'] + hd2['cash'],
'all_holdings接口测试失败！')
self.assertTrue(
hd['commission'] == hd0['commission'] + hd1['commission'] +
hd2['commission'], 'all_holdings接口测试失败！')
self.assertTrue(
hd['equity'] == hd0['equity'] + hd1['equity'] + hd2['equity'],
'all_holdings接口测试失败！')
def test_case(self):
t_cashes0, t_equity0 = {}, {}
t_cashes1, t_equity1 = {}, {}
class DemoStrategy1(Strategy):
""" 限价只买多头仓位的策略 """
def on_init(self, ctx):
"""初始化数据"""
ctx.tobuy = False
ctx.tosell = False
def on_symbol(self, ctx):
""""""
weekday = ctx.datetime[0].weekday()
if weekday == 0:
ctx.tobuy = True
elif weekday == 4:
ctx.tosell = True
def on_bar(self, ctx):
#weekday = ctx.datetime[0].weekday()
if ctx['600521'].tobuy:
ctx.buy(ctx['600521'].close, 1)
if ctx['600521'].tosell and ctx.pos(symbol='600521.SH') > 0:
ctx.sell(ctx['600521'].close, ctx.pos(symbol='600521.SH'))
ctx['600521'].tobuy = False
ctx['600521'].tosell = False
t_cashes0[ctx.datetime[0]] = ctx.test_cash()
t_equity0[ctx.datetime[0]] = ctx.test_equity()
class DemoStrategy2(Strategy):
""" 限价买多卖空的策略 """
def __init__(self, name):
super(DemoStrategy2, self).__init__(name)
self.tobuys = []
self.tosells = []
def on_symbol(self, ctx):
""""""
weekday = ctx.datetime[0].weekday()
if weekday == 0:
self.tobuys.append(ctx.symbol)
elif weekday == 4:
self.tosells.append(ctx.symbol)
def on_bar(self, ctx):
"""初始化数据"""
## @TODO all_positions
for symbol in self.tobuys:
ctx.buy(ctx[symbol].close, 1, symbol)
for symbol in self.tosells:
if ctx.pos(symbol=symbol) > 0:
ctx.sell(ctx[symbol].close, ctx.pos(symbol=symbol),
symbol)
t_equity1[ctx.datetime[0]] = ctx.test_equity()
t_cashes1[ctx.datetime[0]] = ctx.test_cash()
self.tobuys = []
self.tosells = []
class DemoStrategy3(Strategy):
""" 测试平仓未成交时的持仓，撤单后的持仓，撤单。 """
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
return
set_symbols(['600521', '600522'])
profile = add_strategy(
[DemoStrategy1('A1'),
DemoStrategy2('A2'),
DemoStrategy3('A3')], {
'capital': capital,
'ratio': [0.3, 0.3, 0.4]
})
run()
# all_holdings, cash()
all_holdings = profile.all_holdings()
all_holdings0 = profile.all_holdings(0)
all_holdings1 = profile.all_holdings(1)
all_holdings2 = profile.all_holdings(2)
lmg = Contract.long_margin_ratio('600521.SH')
multi = Contract.volume_multiple('600521.SH')
fname = os.path.join(os.getcwd(), 'data', '1DAY', 'SH', '600521.csv')
source = pd.read_csv(fname, parse_dates=True, index_col=0)
s_equity0, s_cashes0, dts = buy_monday_sell_friday(
source, capital * 0.3, lmg, multi)
count = 0
for i, hd in enumerate(all_holdings0):
# 刚好最后一根没持仓，无需考虑强平, 见weekday输出
dt = hd['datetime']
if dt in s_cashes0:
self.assertAlmostEqual(hd['cash'], s_cashes0[dt])
self.assertAlmostEqual(t_cashes0[dt], s_cashes0[dt])
self.assertAlmostEqual(hd['equity'], s_equity0[dt])
self.assertAlmostEqual(t_equity0[dt], s_equity0[dt])
count += 1
else:
self.assertAlmostEqual(all_holdings0[i - 1]['cash'],
hd['cash'])
self.assertAlmostEqual(all_holdings0[i - 1]['equity'],
hd['equity'])
self.assertTrue(count == len(dts))
# test Strategy2
fname = os.path.join(os.getcwd(), 'data', '1DAY', 'SH', '600522.csv')
source2 = pd.read_csv(fname, parse_dates=True, index_col=0)
s_equity0, s_cashes0, dts = buy_monday_sell_friday(
source, capital * 0.3 / 2, lmg, multi)
s_equity1, s_cashes1, dts = buy_monday_sell_friday(
source2, capital * 0.3 / 2, 1, 1)
last_equity0 = 0
last_equity1 = 0
last_cash0 = 0
last_cash1 = 0
for i, hd in enumerate(all_holdings1):
# 刚好最后一根没持仓，无需考虑强平, 见weekday输出
dt = hd['datetime']
equity = 0
cash = 0
if dt in s_equity0:
equity += s_equity0[dt]
cash += s_cashes0[dt]
last_equity0 = s_equity0[dt]
last_cash0 = s_cashes0[dt]
else:
equity += last_equity0
cash += last_cash0
if dt in s_equity1:
equity += s_equity1[dt]
cash += s_cashes1[dt]
last_equity1 = s_equity1[dt]
last_cash1 = s_cashes1[dt]
else:
equity += last_equity1
cash += last_cash1
self.assertAlmostEqual(hd['equity'], equity)
self.assertAlmostEqual(hd['cash'], cash)
self.assertAlmostEqual(t_cashes1[dt], cash)
self.assertAlmostEqual(t_equity1[dt], equity)
def test_case(self):
t_cashes0, t_equity0 = {}, { }
t_cashes1, t_equity1 = {}, { }
class DemoStrategy1(Strategy):
""" 限价只买多头仓位的策略 """
def on_init(self, ctx):
"""初始化数据"""
ctx.tobuy = False
ctx.tosell = False
def on_symbol(self, ctx):
""""""
weekday = ctx.datetime[0].weekday()
if weekday == 0:
ctx.tobuy = True
elif weekday == 4:
ctx.tosell = True
def on_bar(self, ctx):
#weekday = ctx.datetime[0].weekday()
if ctx['600521'].tobuy:
ctx.buy(ctx['600521'].close, 1)
if ctx['600521'].tosell and ctx.pos(symbol='600521.SH')>0:
ctx.sell(ctx['600521'].close, ctx.pos(symbol='600521.SH'))
ctx['600521'].tobuy = False
ctx['600521'].tosell = False
t_cashes0[ctx.datetime[0]] = ctx.test_cash()
t_equity0[ctx.datetime[0]] = ctx.test_equity()
class DemoStrategy2(Strategy):
""" 限价买多卖空的策略 """
def __init__(self, name):
super(DemoStrategy2, self).__init__(name)
self.tobuys = []
self.tosells = []
def on_symbol(self, ctx):
""""""
weekday = ctx.datetime[0].weekday()
if weekday == 0:
self.tobuys.append(ctx.symbol)
elif weekday == 4:
self.tosells.append(ctx.symbol)
def on_bar(self, ctx):
"""初始化数据"""
## @TODO all_positions
for symbol in self.tobuys:
ctx.buy(ctx[symbol].close, 1, symbol)
for symbol in self.tosells:
if ctx.pos(symbol=symbol)>0:
ctx.sell(ctx[symbol].close, ctx.pos(symbol=symbol), symbol)
t_equity1[ctx.datetime[0]] = ctx.test_equity()
t_cashes1[ctx.datetime[0]] = ctx.test_cash()
self.tobuys = []
self.tosells = []
class DemoStrategy3(Strategy):
""" 测试平仓未成交时的持仓，撤单后的持仓，撤单。 """
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
return
set_symbols(['600521', '600522'])
profile = add_strategy([DemoStrategy1('A1'), DemoStrategy2('A2'), DemoStrategy3('A3')], {
'capital': capital,
'ratio': [0.3, 0.3, 0.4]
})
run()
# all_holdings, cash()
all_holdings = profile.all_holdings()
all_holdings0 = profile.all_holdings(0)
all_holdings1 = profile.all_holdings(1)
all_holdings2 = profile.all_holdings(2)
lmg = Contract.long_margin_ratio('600521.SH')
multi = Contract.volume_multiple('600521.SH')
fname = os.path.join(os.getcwd(), 'data', '1DAY', 'SH', '600521.csv')
source = pd.read_csv(fname, parse_dates=True, index_col=0)
s_equity0, s_cashes0, dts = buy_monday_sell_friday(source, capital*0.3, lmg, multi)
count = 0
for i, hd in enumerate(all_holdings0):
# 刚好最后一根没持仓，无需考虑强平, 见weekday输出
dt = hd['datetime']
if dt in s_cashes0:
self.assertAlmostEqual(hd['cash'], s_cashes0[dt])
self.assertAlmostEqual(t_cashes0[dt], s_cashes0[dt])
self.assertAlmostEqual(hd['equity'], s_equity0[dt])
self.assertAlmostEqual(t_equity0[dt], s_equity0[dt])
count += 1
else:
self.assertAlmostEqual(all_holdings0[i-1]['cash'], hd['cash'])
self.assertAlmostEqual(all_holdings0[i-1]['equity'], hd['equity'])
self.assertTrue(count == len(dts))
# test Strategy2
fname = os.path.join(os.getcwd(), 'data', '1DAY', 'SH', '600522.csv')
source2 = pd.read_csv(fname, parse_dates=True, index_col=0)
s_equity0, s_cashes0, dts = buy_monday_sell_friday(source, capital*0.3/2, lmg, multi)
s_equity1, s_cashes1, dts = buy_monday_sell_friday(source2, capital*0.3/2, 1, 1)
last_equity0 = 0
last_equity1 = 0
last_cash0 = 0
last_cash1 = 0
for i, hd in enumerate(all_holdings1):
# 刚好最后一根没持仓，无需考虑强平, 见weekday输出
dt = hd['datetime']
equity = 0
cash = 0
if dt in s_equity0:
equity += s_equity0[dt]
cash += s_cashes0[dt]
last_equity0 = s_equity0[dt]
last_cash0 = s_cashes0[dt]
else:
equity += last_equity0
cash += last_cash0
if dt in s_equity1:
equity += s_equity1[dt]
cash += s_cashes1[dt]
last_equity1 = s_equity1[dt]
last_cash1 = s_cashes1[dt]
else:
equity += last_equity1
cash += last_cash1
self.assertAlmostEqual(hd['equity'], equity)
self.assertAlmostEqual(hd['cash'], cash)
self.assertAlmostEqual(t_cashes1[dt], cash)
self.assertAlmostEqual(t_equity1[dt], equity)
def deserialize_all_contracts(contracts):
return [Contract.from_string(strcon) for strcon in contracts]
def test_case2(self):
""" 测试限价的延迟成交, 与是否是期货还是股票无关。
测试延迟成交的资金占用
"""
buy_entries, sell_entries = [], []
short_entries, cover_entries = [], []
cashes0, cashes1, cashes2 = [], [], []
class DemoStrategyBuy(Strategy):
""" 只开多头仓位的策略 """
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
if ctx.datetime[0] in buy_entries:
ctx.buy(ctx.low - OFFSET, 1) # 确保在下一根Bar成交
# 默认多头
elif ctx.pos() > 0 and ctx.datetime[0].time() == st1:
ctx.sell(ctx.close, ctx.pos())
cashes0.append(ctx.test_cash())
class DemoStrategyShort(Strategy):
""" 只开空头仓位的策略 """
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
if ctx.datetime[0] in short_entries:
ctx.short(ctx.high + OFFSET, 1)
elif ctx.pos('short') > 0 and ctx.datetime[0].time() == st1:
ctx.cover(ctx.close, ctx.pos('short'))
cashes1.append(ctx.test_cash())
class DemoStrategySell(Strategy):
""" 只开多头仓位的策略 """
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
if ctx.datetime[0].time() == bt1:
ctx.buy(ctx.close, 1)
elif ctx.pos('long') > 0 and ctx.datetime[0] in sell_entries:
ctx.sell(ctx.high + OFFSET, ctx.pos())
elif ctx.pos('long') > 0 and ctx.datetime[0].time() == st3:
ctx.sell(ctx.close, ctx.pos())
cashes2.append(ctx.test_cash())
class DemoStrategyCover(Strategy):
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
if ctx.datetime[0].time() == bt1:
ctx.short(ctx.close, 1)
elif ctx.pos('short') > 0 and ctx.datetime[0] in cover_entries:
ctx.cover(ctx.low - OFFSET, ctx.pos('short'))
elif ctx.pos('short') > 0 and ctx.datetime[0].time() == st3:
ctx.cover(ctx.close, ctx.pos('short'))
set_symbols(['future.TEST-1.Minute'])
profile = add_strategy([
DemoStrategyBuy('B1'),
DemoStrategySell('B2'),
DemoStrategyShort('B3'),
DemoStrategyCover('B4')
], {
'capital': capital,
'ratio': [0.25, 0.25, 0.25, 0.25]
})
buy_entries, sell_entries, short_entries, cover_entries = entries_maked_nextbar(
source)
run()
# buy
lmg = Contract.long_margin_ratio('future.TEST')
multi = Contract.volume_multiple('future.TEST')
smg = Contract.short_margin_ratio('future.TEST')
target, cashes, dts = holdings_buy_maked_nextbar(
source, buy_entries, capital / 4, lmg, multi)
self.assertTrue(
len(profile.all_holdings(0)) == len(target) and len(target) > 0,
'模拟器测试失败！')
for i, hd in enumerate(profile.all_holdings(0)):
self.assertTrue(hd['datetime'] == dts[i], '模拟器测试失败！')
self.assertAlmostEqual(hd['equity'], target[i])
for i in range(0, len(cashes0) - 1): # 最后一根强平了无法比较
self.assertAlmostEqual(cashes0[i], cashes[i])
# short
target, cashes, dts = holdings_short_maked_nextbar(
source, short_entries, capital / 4, smg, multi)
self.assertTrue(
len(profile.all_holdings(2)) == len(target) and len(target) > 0,
'模拟器测试失败！')
for i, hd in enumerate(profile.all_holdings(2)):
self.assertTrue(hd['datetime'] == dts[i], '模拟器测试失败！')
self.assertAlmostEqual(hd['equity'], target[i])
for i in range(0, len(cashes1) - 1):
self.assertAlmostEqual(cashes1[i], cashes[i])
## sell
target, cashes, dts = holdings_sell_maked_nextbar(
source, sell_entries, capital / 4, lmg, multi)
self.assertTrue(
len(profile.all_holdings(1)) == len(target) and len(target) > 0,
'模拟器测试失败！')
for i, hd in enumerate(profile.all_holdings(1)):
self.assertTrue(hd['datetime'] == dts[i], '模拟器测试失败！')
self.assertAlmostEqual(hd['equity'], target[i])
self.assertAlmostEqual(hd['cash'], cashes[i])
for i in range(0, len(cashes2) - 1):
self.assertAlmostEqual(cashes2[i], cashes[i])
# cover
target, cashes, dts = holdings_cover_maked_nextbar(
source, cover_entries, capital / 4, smg, multi)
self.assertTrue(
len(profile.all_holdings(3)) == len(target) and len(target) > 0,
'模拟器测试失败！')
for i, hd in enumerate(profile.all_holdings(3)):
self.assertTrue(hd['datetime'] == dts[i], '模拟器测试失败！')
self.assertAlmostEqual(hd['equity'], target[i])
self.assertAlmostEqual(hd['cash'], cashes[i])
#from quantdigger.digger import plotting
#plotting.plot_strategy(profile.data(), deals=profile.deals(0))
## @TODO 模拟器make_market的运行次数
return
def deserialize_all_contracts(contracts):
return [Contract.from_string(strcon) for strcon in contracts]
def test_case(self):
lmg = Contract.long_margin_ratio('stock.TEST')
multi = Contract.volume_multiple('stock.TEST')
smg = Contract.short_margin_ratio('stock.TEST')
profiles = None
class DemoStrategy1(Strategy):
""" 限价只买多头仓位的策略 """
def on_init(self, ctx):
"""初始化数据"""
self.cashes = []
self.equities = []
def on_bar(self, ctx):
curtime = ctx.datetime[0].time()
if curtime in [bt1, bt2, bt3]:
ctx.buy(ctx.close, 1)
elif ctx.pos() >= 2 and curtime == st1:
ctx.sell(ctx.close, 2)
elif ctx.pos() >= 1 and curtime == st2:
ctx.sell(ctx.close, 1)
self.cashes.append(ctx.cash())
self.equities.append(ctx.equity())
def test(self, test):
equities, cashes, open_equities, open_casheses, dts =\
trade_closed_curbar(source, capital * 0.3, lmg, smg, multi, 1)
test.assertTrue(len(self.cashes) == len(cashes), 'cash接口测试失败！')
for i in range(0, len(self.cashes)):
test.assertAlmostEqual(self.cashes[i], open_casheses[i])
test.assertAlmostEqual(self.equities[i], open_equities[i])
for i, hd in enumerate(profiles[0].all_holdings()):
test.assertTrue(hd['datetime'] == dts[i], 'all_holdings接口测试失败！')
test.assertAlmostEqual(hd['equity'], equities[i])
test.assertAlmostEqual(hd['cash'], cashes[i])
class DemoStrategy2(Strategy):
""" 限价买多卖空的策略 """
def on_init(self, ctx):
"""初始化数据"""
self.cashes = []
def on_bar(self, ctx):
curtime = ctx.datetime[0].time()
if curtime in [bt1, bt2, bt3]:
ctx.buy(ctx.close, 1)
ctx.short(ctx.close, 1)
elif curtime == st1:
if ctx.pos() >= 3:
assert(ctx.pos() == 3 and '默认持仓查询测试失败！')
ctx.sell(ctx.close, 2)
if ctx.pos('short') >= 3:
assert(ctx.pos('short') == 3 and '默认持仓查询测试失败！')
ctx.cover(ctx.close, 2)
elif curtime == st2:
if ctx.pos() >= 1:
ctx.sell(ctx.close, 1)
if ctx.pos('short') >= 1:
ctx.cover(ctx.close, 1)
self.cashes.append(ctx.test_cash())
def test(self, test):
e0, c0, oe0, oc0, dts = trade_closed_curbar(source, capital * 0.3 / 2, lmg, smg, multi, 1)
e1, c1, oe1, oc1, dts = trade_closed_curbar(source, capital * 0.3 / 2, lmg, smg, multi, -1)
equities = [x + y for x, y in zip(e0, e1)]
cashes = [x + y for x, y in zip(c0, c1)]
for i, hd in enumerate(profiles[1].all_holdings()):
test.assertTrue(hd['datetime'] == dts[i], 'all_holdings接口测试失败！')
test.assertAlmostEqual(hd['equity'], equities[i])
test.assertTrue(len(self.cashes) == len(cashes), 'cash接口测试失败！')
for i in range(0, len(self.cashes) - 1): # 最后一根强平了无法比较
test.assertAlmostEqual(self.cashes[i], cashes[i])
class DemoStrategy3(Strategy):
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
return
a1 = DemoStrategy1('A1')
a2 = DemoStrategy2('A2')
a3 = DemoStrategy3('A3')
profiles = add_strategies(['stock.TEST-1.Minute'], [
{
'strategy': a1,
'capital': capital * 0.3,
},
{
'strategy': a2,
'capital': capital * 0.3,
},
{
'strategy': a3,
'capital': capital * 0.4,
},
])
a1.test(self)
a2.test(self)
all_holdings = Profile.all_holdings_sum(profiles)
self.assertTrue(len(source) > 0 and len(source) == len(all_holdings), '模拟器测试失败！')
for i in range(0, len(all_holdings)):
hd = all_holdings[i]
hd0 = profiles[0].all_holdings()[i]
hd1 = profiles[1].all_holdings()[i]
hd2 = profiles[2].all_holdings()[i]
self.assertTrue(hd['cash'] == hd0['cash'] + hd1['cash'] + hd2['cash'],
'all_holdings接口测试失败！')
self.assertTrue(hd['commission'] == hd0['commission'] +
hd1['commission'] + hd2['commission'], 'all_holdings接口测试失败！')
self.assertTrue(hd['equity'] == hd0['equity'] + hd1['equity'] + hd2['equity'], 'all_holdings接口测试失败！')
def test_case(self):
## @TODO 持仓过夜，不卖，累加仓位。
# @todo profile
#signals 盈利
# @TODO deals DemoStrategy2
t_cashes0, t_cashes1 = [], []
class DemoStrategy1(Strategy):
""" 限价只买多头仓位的策略 """
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
curtime = ctx.datetime[0].time()
if curtime in [buy1, buy2, buy3]:
ctx.buy(ctx.close, 1)
else:
if curtime == sell1:
assert(ctx.pos() == 3 and '持仓测试失败！')
ctx.sell(ctx.close, 2)
elif curtime == sell2:
assert(ctx.pos() == 1 and '持仓测试失败！')
ctx.sell(ctx.close, 1)
## 前一根的交易信号在当前价格撮合后的可用资金
t_cashes0.append(ctx.test_cash())
class DemoStrategy2(Strategy):
""" 限价买多卖空的策略 """
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
curtime = ctx.datetime[0].time()
if curtime in [buy1, buy2, buy3]:
ctx.buy(ctx.close, 1)
ctx.short(ctx.close, 2)
else:
if curtime == sell1:
assert(ctx.pos() == 3 and '默认持仓查询测试失败！')
ctx.sell(ctx.close, 2)
assert(ctx.pos('short') == 6 and '持仓测试失败！')
ctx.cover(ctx.close, 4)
elif curtime == sell2:
assert(ctx.pos('long') == 1 and '持仓测试失败！')
ctx.sell(ctx.close, 1)
assert(ctx.pos('short') == 2 and '持仓测试失败！')
ctx.cover(ctx.close, 2)
t_cashes1.append(ctx.test_cash())
class DemoStrategy3(Strategy):
""" 测试平仓未成交时的持仓，撤单后的持仓，撤单。 """
def on_init(self, ctx):
"""初始化数据"""
pass
def on_bar(self, ctx):
if ctx.curbar == 1:
ctx.short(138, 1)
ctx.short(138, 1)
ctx.buy(ctx.close, 1)
elif ctx.curbar == 3:
# 保证下一根撤单成功, 而非当前这根。
assert(len(ctx.open_orders) == 2)
ctx.cancel(ctx.open_orders[0])
assert(len(ctx.open_orders) == 2 and '撤单测试失败')
elif ctx.curbar == 4:
assert(len(ctx.open_orders) == 1 and '撤单测试失败！')
elif ctx.curbar == 5:
assert(ctx.pos() == 1)
ctx.sell(300, 1) # 下无法成交的平仓，测试持仓。
elif ctx.curbar == 7:
assert(ctx.pos() == 0 and '持仓测试失败!')
assert(len(ctx.open_orders) == 2 and '撤单测试失败！')
order = filter(lambda x: x.side == TradeSide.PING, ctx.open_orders)[0]
ctx.cancel(order)
elif ctx.curbar == 8:
assert(len(ctx.open_orders) == 1 and '撤单测试失败！')
assert(ctx.pos() == 1 and '持仓测试失败!')
if ctx.curbar > 1 and ctx.datetime[0].date() != ctx.datetime[1].date():
assert(len(ctx.open_orders) == 0 and '隔夜订单清空测试失败')
set_symbols(['future.TEST-1.Minute'], window_size)
profile = add_strategy([DemoStrategy1('A1'), DemoStrategy2('A2'), DemoStrategy3('A3')], {
'capital': capital,
'ratio': [0.3, 0.3, 0.4]
})
run()
# all_holdings, cash()
all_holdings = profile.all_holdings()
all_holdings0 = profile.all_holdings(0)
all_holdings1 = profile.all_holdings(1)
all_holdings2 = profile.all_holdings(2)
self.assertTrue(len(source) > 0 and len(source) == len(all_holdings), '模拟器测试失败！')
lmg = Contract.long_margin_ratio('future.TEST')
multi = Contract.volume_multiple('future.TEST')
smg = Contract.short_margin_ratio('future.TEST')
s_equity0, s_cashes0, dts = holdings_buy_maked_curbar(source, capital*0.3, lmg, multi)
self.assertTrue(len(t_cashes0) == len(s_cashes0), 'cash接口测试失败！')
for i in range(0, len(t_cashes0)-1): # 最后一根强平了无法比较
self.assertTrue(np.isclose(t_cashes0[i],s_cashes0[i]), 'cash接口测试失败！')
self.assertTrue(len(all_holdings) == len(s_equity0), 'all_holdings接口测试失败！')
for i, hd in enumerate(all_holdings0):
self.assertTrue(hd['datetime'] == dts[i], 'all_holdings接口测试失败！')
self.assertTrue(np.isclose(hd['equity'], s_equity0[i]), 'all_holdings接口测试失败！')
# 确保资金够用，所以不影响
e0, c0, dts = holdings_buy_maked_curbar(source, capital*0.3/2, lmg, multi)
e1, c1, dts = holdings_short_maked_curbar(source, capital*0.3/2, smg, multi)
s_equity1 = [x + y for x, y in zip(e0, e1)]
s_cashes1 = [x + y for x, y in zip(c0, c1)]
self.assertTrue(len(t_cashes1) == len(s_cashes1), 'cash接口测试失败！')
for i in range(0, len(t_cashes1)-1): # 最后一根强平了无法比较
self.assertTrue(np.isclose(t_cashes1[i],s_cashes1[i]), 'cash接口测试失败！')
for i, hd in enumerate(profile.all_holdings(1)):
self.assertTrue(np.isclose(s_equity0[i]-capital*0.3,
0-(s_equity1[i]-capital*0.3)), '测试代码错误！')
self.assertTrue(hd['datetime'] == dts[i], 'all_holdings接口测试失败！')
self.assertTrue(np.isclose(hd['equity'], s_equity1[i]), 'all_holdings接口测试失败！')
for i in range(0, len(profile.all_holdings())):
hd = all_holdings[i]
hd0 = all_holdings0[i]
hd1 = all_holdings1[i]
hd2 = all_holdings2[i]
self.assertTrue(hd['cash'] == hd0['cash']+hd1['cash']+hd2['cash'],
'all_holdings接口测试失败！')
self.assertTrue(hd['commission'] == hd0['commission']+
hd1['commission']+hd2['commission'], 'all_holdings接口测试失败！')
self.assertTrue(hd['equity'] == hd0['equity']+hd1['equity']+hd2['equity'], 'all_holdings接口测试失败！')
# holding
hd0 = profile.holding(0)
hd1 = profile.holding(1)
hd2 = profile.holding(2)
hd = profile.holding()
self.assertTrue(hd0['equity']+hd1['equity']+hd2['equity']==hd['equity'],
'holdings接口测试失败！')
self.assertTrue(hd0['cash']+hd1['cash']+hd2['cash']==hd['cash'], 'holdings接口测试失败！')
self.assertTrue(hd0['commission']+hd1['commission']+hd2['commission']==hd['commission'],
'holdings接口测试失败！')
self.assertTrue(hd0['history_profit']+hd1['history_profit']+hd2['history_profit']==hd['history_profit'],
'holdings接口测试失败！')
hd0last = profile.all_holdings(0)[-1]
self.assertTrue(hd0last['equity'] == hd0['equity'], 'holdings接口测试失败！')
self.assertTrue(hd0last['cash'] == hd0['cash'], 'holdings接口测试失败！')
self.assertTrue(hd0last['commission'] == hd0['commission'], 'holdings接口测试失败！')
self.assertTrue(len(profile.all_holdings()) == len(s_equity0) and
len(s_equity0) > 0, 'holdings接口测试失败！')
