def crossStopOrder(self):
"""基于最新数据撮合停止单"""
# 先确定会撮合成交的价格，这里和限价单规则相反
if self.mode == self.BAR_MODE:
buyCrossPrice = self.bar.high # 若买入方向停止单价格低于该价格，则会成交
sellCrossPrice = self.bar.low # 若卖出方向限价单价格高于该价格，则会成交
bestCrossPrice = self.bar.open # 最优成交价，买入停止单不能低于，卖出停止单不能高于
else:
buyCrossPrice = self.tick.lastPrice
sellCrossPrice = self.tick.lastPrice
bestCrossPrice = self.tick.lastPrice
# 遍历停止单字典中的所有停止单
for stopOrderID, so in self.workingStopOrderDict.items():
# 判断是否会成交
buyCross = so.direction == DIRECTION_LONG and so.price <= buyCrossPrice
sellCross = so.direction == DIRECTION_SHORT and so.price >= sellCrossPrice
# 如果发生了成交
if buyCross or sellCross:
# 推送成交数据
self.tradeCount += 1 # 成交编号自增1
tradeID = str(self.tradeCount)
trade = VtTradeData()
trade.vtSymbol = so.vtSymbol
trade.tradeID = tradeID
trade.vtTradeID = tradeID
if buyCross:
self.strategy.pos += so.volume
trade.price = max(bestCrossPrice, so.price)
else:
self.strategy.pos -= so.volume
trade.price = min(bestCrossPrice, so.price)
self.limitOrderCount += 1
orderID = str(self.limitOrderCount)
trade.orderID = orderID
trade.vtOrderID = orderID
trade.direction = so.direction
trade.offset = so.offset
trade.volume = so.volume
trade.tradeTime = str(self.dt)
trade.dt = self.dt
self.strategy.onTrade(trade)
self.tradeDict[tradeID] = trade
# 推送委托数据
so.status = STOPORDER_TRIGGERED
order = VtOrderData()
order.vtSymbol = so.vtSymbol
order.symbol = so.vtSymbol
order.orderID = orderID
order.vtOrderID = orderID
order.direction = so.direction
order.offset = so.offset
order.price = so.price
order.totalVolume = so.volume
order.tradedVolume = so.volume
order.status = STATUS_ALLTRADED
order.orderTime = trade.tradeTime
self.strategy.onOrder(order)
self.limitOrderDict[orderID] = order
# 从字典中删除该限价单
if stopOrderID in self.workingStopOrderDict:
del self.workingStopOrderDict[stopOrderID]
def crossStopOrder(self):
"""基于最新数据撮合停止单"""
# 先确定会撮合成交的价格，这里和限价单规则相反
if self.mode == self.BAR_MODE:
buyCrossPrice = self.bar.high # 若买入方向停止单价格低于该价格，则会成交
sellCrossPrice = self.bar.low # 若卖出方向限价单价格高于该价格，则会成交
else:
buyCrossPrice = self.tick.lastPrice
sellCrossPrice = self.tick.lastPrice
# 遍历停止单字典中的所有停止单
for stopOrderID, so in self.workingStopOrderDict.items():
# 判断是否会成交
buyCross = so.direction==DIRECTION_LONG and so.price<=buyCrossPrice
sellCross = so.direction==DIRECTION_SHORT and so.price>=sellCrossPrice
# 如果发生了成交
if buyCross or sellCross:
# 推送成交数据
self.tradeCount += 1 # 成交编号自增1
tradeID = str(self.tradeCount)
trade = VtTradeData()
trade.vtSymbol = so.vtSymbol
trade.tradeID = tradeID
trade.vtTradeID = tradeID
self.limitOrderCount += 1
orderID = str(self.limitOrderCount)
trade.orderID = orderID
trade.vtOrderID = orderID
trade.direction = so.direction
trade.offset = so.offset
trade.price = so.price
trade.volume = so.volume
trade.tradeTime = str(self.dt)
trade.dt = self.dt
self.strategy.onTrade(trade)
self.tradeDict[tradeID] = trade
# 推送委托数据
so.status = STOPORDER_TRIGGERED
order = VtOrderData()
order.vtSymbol = so.vtSymbol
order.symbol = so.vtSymbol
order.orderID = orderID
order.vtOrderID = orderID
order.direction = so.direction
order.offset = so.offset
order.price = so.price
order.totalVolume = so.volume
order.tradedVolume = so.volume
order.status = STATUS_ALLTRADED
order.orderTime = trade.tradeTime
self.strategy.onOrder(order)
self.limitOrderDict[orderID] = order
# 从字典中删除该限价单
del self.workingStopOrderDict[stopOrderID]
def crossLimitOrder(self):
"""基于最新数据撮合限价单"""
# 先确定会撮合成交的价格
if self.mode == self.BAR_MODE:
buyCrossPrice = self.bar.low # 若买入方向限价单价格高于该价格，则会成交
sellCrossPrice = self.bar.high # 若卖出方向限价单价格低于该价格，则会成交
buyBestCrossPrice = self.bar.open # 在当前时间点前发出的买入委托可能的最优成交价
sellBestCrossPrice = self.bar.open # 在当前时间点前发出的卖出委托可能的最优成交价
else:
buyCrossPrice = self.tick.askPrice1
sellCrossPrice = self.tick.bidPrice1
buyBestCrossPrice = self.tick.askPrice1
sellBestCrossPrice = self.tick.bidPrice1
# 遍历限价单字典中的所有限价单
for orderID, order in self.workingLimitOrderDict.items():
# 判断是否会成交
buyCross = (order.direction == DIRECTION_LONG
and order.price >= buyCrossPrice and buyCrossPrice > 0
) # 国内的tick行情在涨停时askPrice1为0，此时买无法成交
sellCross = (order.direction == DIRECTION_SHORT
and order.price <= sellCrossPrice
and sellCrossPrice > 0
) # 国内的tick行情在跌停时bidPrice1为0，此时卖无法成交
# 如果发生了成交
if buyCross or sellCross:
# 推送成交数据
self.tradeCount += 1 # 成交编号自增1
tradeID = str(self.tradeCount)
trade = VtTradeData()
trade.vtSymbol = order.vtSymbol
trade.tradeID = tradeID
trade.vtTradeID = tradeID
trade.orderID = order.orderID
trade.vtOrderID = order.orderID
trade.direction = order.direction
trade.offset = order.offset
# 以买入为例：
# 1. 假设当根K线的OHLC分别为：100, 125, 90, 110
# 2. 假设在上一根K线结束(也是当前K线开始)的时刻，策略发出的委托为限价105
# 3. 则在实际中的成交价会是100而不是105，因为委托发出时市场的最优价格是100
if buyCross:
trade.price = min(order.price, buyBestCrossPrice)
self.strategy.pos += order.totalVolume
else:
trade.price = max(order.price, sellBestCrossPrice)
self.strategy.pos -= order.totalVolume
trade.volume = order.totalVolume
trade.tradeTime = str(self.dt)
trade.dt = self.dt
self.strategy.onTrade(trade)
self.tradeDict[tradeID] = trade
# 推送委托数据
order.tradedVolume = order.totalVolume
order.status = STATUS_ALLTRADED
self.strategy.onOrder(order)
# 从字典中删除该限价单
del self.workingLimitOrderDict[orderID]
def crossLimitOrder(self):
"""基于最新数据撮合限价单"""
# 先确定会撮合成交的价格
if self.mode == self.BAR_MODE:
buyCrossPrice = self.bar.low # 若买入方向限价单价格高于该价格，则会成交
sellCrossPrice = self.bar.high # 若卖出方向限价单价格低于该价格，则会成交
bestCrossPrice = self.bar.open # 在当前时间点前发出的委托可能的最优成交价
else:
buyCrossPrice = self.tick.lastPrice
sellCrossPrice = self.tick.lastPrice
bestCrossPrice = self.tick.lastPrice
# 遍历限价单字典中的所有限价单
for orderID, order in self.workingLimitOrderDict.items():
# 判断是否会成交
buyCross = order.direction==DIRECTION_LONG and order.price>=buyCrossPrice
sellCross = order.direction==DIRECTION_SHORT and order.price<=sellCrossPrice
# 如果发生了成交
if buyCross or sellCross:
# 推送成交数据
self.tradeCount += 1 # 成交编号自增1
tradeID = str(self.tradeCount)
trade = VtTradeData()
trade.vtSymbol = order.vtSymbol
trade.tradeID = tradeID
trade.vtTradeID = tradeID
trade.orderID = order.orderID
trade.vtOrderID = order.orderID
trade.direction = order.direction
trade.offset = order.offset
# 以买入为例：
# 1. 假设当根K线的OHLC分别为：100, 125, 90, 110
# 2. 假设在上一根K线结束(也是当前K线开始)的时刻，策略发出的委托为限价105
# 3. 则在实际中的成交价会是100而不是105，因为委托发出时市场的最优价格是100
if buyCross:
trade.price = min(order.price, bestCrossPrice)
else:
trade.price = max(order.price, bestCrossPrice)
trade.volume = order.totalVolume
trade.tradeTime = str(self.dt)
trade.dt = self.dt
self.strategy.onTrade(trade)
self.tradeDict[tradeID] = trade
# 推送委托数据
order.tradedVolume = order.totalVolume
order.status = STATUS_ALLTRADED
self.strategy.onOrder(order)
# 从字典中删除该限价单
del self.workingLimitOrderDict[orderID]
def crossLimitOrder(self):
"""基于最新数据撮合限价单"""
# 先确定会撮合成交的价格
if self.mode == self.BAR_MODE:
buyCrossPrice = self.bar.low # 若买入方向限价单价格高于该价格，则会成交
sellCrossPrice = self.bar.high # 若卖出方向限价单价格低于该价格，则会成交
else:
buyCrossPrice = self.tick.lastPrice
sellCrossPrice = self.tick.lastPrice
# 遍历限价单字典中的所有限价单
for orderID, order in self.workingLimitOrderDict.items():
# 判断是否会成交
buyCross = order.direction == DIRECTION_LONG and order.price >= buyCrossPrice
sellCross = order.direction == DIRECTION_SHORT and order.price <= sellCrossPrice
# 如果发生了成交
if buyCross or sellCross:
# 推送成交数据
self.tradeCount += 1 # 成交编号自增1
tradeID = str(self.tradeCount)
trade = VtTradeData()
trade.vtSymbol = order.vtSymbol
trade.tradeID = tradeID
trade.vtTradeID = tradeID
trade.orderID = order.orderID
trade.vtOrderID = order.orderID
trade.direction = order.direction
trade.offset = order.offset
trade.price = order.price
trade.volume = order.totalVolume
trade.tradeTime = str(self.dt)
trade.dt = self.dt
self.strategy.onTrade(trade)
self.tradeDict[tradeID] = trade
# 推送委托数据
order.tradedVolume = order.totalVolume
order.status = STATUS_ALLTRADED
self.strategy.onOrder(order)
# 从字典中删除该限价单
del self.workingLimitOrderDict[orderID]
def calculateBacktestingResult(self):
"""
计算回测结果
"""
#将交易结果化为dataframe
tradeResult = []
def todict(t):
return t.__dict__
for symbol in self.tradeDict.keys():
tradeResult.extend(self.tradeDict[symbol].values())
tradeResult = map(todict, tradeResult)
d = pd.DataFrame(tradeResult)
d = d.sort_values('dt')
index = pd.Index(np.arange(d.count()[0]))
d.index = index
self.output(u'计算回测结果')
# 首先基于回测后的成交记录，计算每笔交易的盈亏
self.resultList = [] # 交易结果列表
longTrade = {} # 未平仓的多头交易
shortTrade = {} # 未平仓的空头交易
symbolNow = '' # 当前的交易标的
for symbol in self.symbols:
longTrade[symbol] = []
shortTrade[symbol] = []
for i in range(d.count()[0]):
dict_ = d.ix[i].to_dict()
trade = VtTradeData()
trade.__dict__ = dict_
# 这些变量会被较多地引用，故先赋值
# if not symbolNow :
# symbolNow = trade.vtSymbol
if symbolNow != trade.vtSymbol:
symbolNow = trade.vtSymbol
commission = self.contractInfo[trade.vtSymbol]['commission']
slippage = self.contractInfo[trade.vtSymbol]['slippage']
size = self.contractInfo[trade.vtSymbol]['size']
margin = self.contractInfo[trade.vtSymbol]['margin']
elif symbolNow == trade.vtSymbol:
pass
# 多头交易
if trade.direction == DIRECTION_LONG:
# 如果尚无空头交易
if not shortTrade[symbolNow]:
longTrade[symbolNow].append(trade)
# 当前多头交易为平空
else:
while True:
entryTrade = shortTrade[symbolNow][0]
exitTrade = trade
# 清算开平仓交易
closedVolume = min(exitTrade.volume, entryTrade.volume)
result = TradingResult(symbolNow, entryTrade.price,
entryTrade.dt, exitTrade.price,
exitTrade.dt, -closedVolume,
commission, slippage, size,
margin)
#print BLUEPREFIX + str(result.pnl)
#print result.volume
self.resultList.append(result)
# 计算未清算部分
entryTrade.volume -= closedVolume
exitTrade.volume -= closedVolume
# 如果开仓交易已经全部清算，则从列表中移除
if not entryTrade.volume:
shortTrade[symbolNow].pop(0)
# 如果平仓交易已经全部清算，则退出循环
if not exitTrade.volume:
break
# 如果平仓交易未全部清算，
if exitTrade.volume:
# 且开仓交易已经全部清算完，则平仓交易剩余的部分
# 等于新的反向开仓交易，添加到队列中
if not shortTrade[symbolNow]:
longTrade[symbolNow].append(exitTrade)
break
# 如果开仓交易还有剩余，则进入下一轮循环
else:
pass
# 空头交易
else:
# 如果尚无多头交易
if not longTrade[symbolNow]:
shortTrade[symbolNow].append(trade)
# 当前空头交易为平多
else:
while True:
entryTrade = longTrade[symbolNow][0]
exitTrade = trade
# 清算开平仓交易
closedVolume = min(exitTrade.volume, entryTrade.volume)
result = TradingResult(symbolNow, entryTrade.price,
entryTrade.dt, exitTrade.price,
exitTrade.dt, closedVolume,
commission, slippage, size,
margin)
#print BLUEPREFIX + str(result.pnl)
#print result.volume
self.resultList.append(result)
# 计算未清算部分
entryTrade.volume -= closedVolume
exitTrade.volume -= closedVolume
# 如果开仓交易已经全部清算，则从列表中移除
if not entryTrade.volume:
longTrade[symbolNow].pop(0)
# 如果平仓交易已经全部清算，则退出循环
if not exitTrade.volume:
break
# 如果平仓交易未全部清算，
if exitTrade.volume:
# 且开仓交易已经全部清算完，则平仓交易剩余的部分
# 等于新的反向开仓交易，添加到队列中
if not longTrade[symbolNow]:
shortTrade[symbolNow].append(exitTrade)
break
# 如果开仓交易还有剩余，则进入下一轮循环
else:
pass
# 检查是否有交易
if not self.resultList:
self.output(u'无交易结果')
return {}
#将各标的交易的持仓区间用Series来表示持仓浮盈
floatProfit = defaultdict(list) #key为symbol，value是包含sr的list
df = self.dataframe.set_index(
'datetime').sort_index().drop_duplicates()
pnlList = []
for result in self.resultList:
symbolDf = df[df.symbol == result.symbol]
symbolDf = symbolDf[result.entryDt:result.exitDt] #+ delta]
symbolDf = symbolDf.drop_duplicates().sort_index()
sr = (
symbolDf['close'] - symbolDf.ix[0]['close']
) * result.size * self.contractInfo[result.symbol][
'margin'] * result.volume #- result.commission #- result.slippage
floatProfit[result.symbol].append(sr) #每笔交易区间的资金变化
pnlList.append(result.pnl) #每笔交易的利润
#===========================================================================
#print str(result.entryDt) + " =====> " + str(result.exitDt) + " ==========>>> " + str(result.pnl)
index = np.unique(df.index)
capitalSr = pd.Series(0, index=index)
for lsSymbol in floatProfit.values():
for floatSr in lsSymbol:
#print GREENPREFIX + str(floatSr) + "\n\n"
floatSr = pd.Series(floatSr, index=index)
floatSr = floatSr.fillna(method='ffill').fillna(0)
capitalSr += floatSr
capitalSr = capitalSr.drop_duplicates()
capitalSr = capitalSr + self.initCapital #可以看到回测期间的资金变化
pnlStat = pd.Series(pnlList) # 盈利序列
drawdownSr = capitalSr.cummax() - capitalSr # 回测序列
#===========================================================================
# 计算盈亏相关数据
winningRate = pnlStat[pnlStat > 0].count() / pnlStat.count() #胜率
averageWinning = pnlStat[pnlStat > 0].mean() # 平均每笔盈利
averageLosing = pnlStat[pnlStat < 0].mean() # 平均每笔亏损
profitLossRatio = -averageWinning / averageLosing # 盈亏比
#稳健指标计算
#回归年度回报率
lenSr = len(capitalSr)
m, b = np.polyfit(np.arange(lenSr), capitalSr.tolist(),
1) # 对资金曲线进行简单回归
expectedMonthlyReturn = lenSr * m / b # 回测收益率
testInterval = ((capitalSr.index[-1] - capitalSr.index[0]).days / 30.0
) # 测试区间对应的时间长度（月）
monthlyReturnRatio = expectedMonthlyReturn / testInterval #月化收益率
RAR = (1 + monthlyReturnRatio)**12 - 1 # 回归年度回报率
#稳健风险回报比率
temp = 0
maxDrawdownLs = []
for i in range(1, len(drawdownSr)):
if drawdownSr[i] == 0:
tempDrawdown = drawdownSr[temp:i].max()
if tempDrawdown != 0:
maxDrawdownLs.append(tempDrawdown)
temp = i
if len(maxDrawdownLs) >= 5:
aveDrawdown = np.mean(maxDrawdownLs[-5:]) # 五次最大回测的平均值
else:
aveDrawdown = np.mean(maxDrawdownLs) # 五次最大回测的平均值
RCube = RAR / aveDrawdown #稳健风险回报比率
# 返回回测结果
d = {}
d['capital'] = capitalSr[-1] / self.initCapital
d['maxCapital'] = capitalSr.max()
d['maxdrawdown'] = (pnlStat.cummax() - pnlStat).max()
d['maxdrawdownDay'] = drawdownSr.argmax().isoformat()
d['totalResult'] = pnlStat.count()
d['pnlList'] = pnlList
d['capitalSr'] = capitalSr
d['winningRate'] = winningRate
d['averageWinning'] = averageWinning
d['averageLosing'] = averageLosing
d['profitLossRatio'] = profitLossRatio
d['floatProfit'] = floatProfit
d['RAR'] = RAR
d['RCube'] = RCube
return d
def crossLimitOrder(self):
"""基于最新数据撮合限价单"""
# 先确定会撮合成交的价格
if self.mode == self.BAR_MODE:
buyCrossPrice = self.bar.low # 若买入方向限价单价格高于该价格，则会成交
sellCrossPrice = self.bar.high # 若卖出方向限价单价格低于该价格，则会成交
buyBestCrossPrice = self.bar.open # 在当前时间点前发出的买入委托可能的最优成交价
sellBestCrossPrice = self.bar.open # 在当前时间点前发出的卖出委托可能的最优成交价
else:
buyCrossPrice = self.tick.askPrice1
sellCrossPrice = self.tick.bidPrice1
buyBestCrossPrice = self.tick.askPrice1
sellBestCrossPrice = self.tick.bidPrice1
# 遍历限价单字典中的所有限价单
for orderID, order in self.workingLimitOrderDict[
self.bar.symbol].items():
# 判断是否会成交
buyCross = order.direction == DIRECTION_LONG and order.price >= buyCrossPrice
sellCross = order.direction == DIRECTION_SHORT and order.price <= sellCrossPrice
# 如果发生了成交
if buyCross or sellCross:
# 推送成交数据
self.tradeCount += 1 # 成交编号自增1
tradeID = str(self.tradeCount)
trade = VtTradeData()
trade.vtSymbol = order.vtSymbol
trade.tradeID = tradeID
trade.vtTradeID = tradeID
trade.orderID = order.orderID
trade.vtOrderID = order.orderID
trade.direction = order.direction
trade.offset = order.offset
# 以买入为例：
# 1. 假设当根K线的OHLC分别为：100, 125, 90, 110
# 2. 假设在上一根K线结束(也是当前K线开始)的时刻，策略发出的委托为限价105
# 3. 则在实际中的成交价会是100而不是105，因为委托发出时市场的最优价格是100
if buyCross:
trade.price = min(order.price, buyBestCrossPrice)
stra = self.strategyDict[self.bar.symbol]
stra.pos += order.totalVolume
#print "a"
else:
trade.price = max(order.price, sellBestCrossPrice)
stra = self.strategyDict[self.bar.symbol]
stra.pos -= order.totalVolume
trade.volume = order.totalVolume
trade.tradeTime = str(self.dt)
trade.dt = self.dt
trade.symbol = self.bar.symbol
stra = self.strategyDict[self.bar.symbol]
stra.onTrade(trade)
#print trade.direction
self.tradeDict[trade.vtSymbol][tradeID] = trade
'''#在此处更新回测账户'''
#print REDPREFIX +str(trade.symbol) + "\t"+ "%.1f"%trade.price + "\t" +\
# trade.direction + "\t" + trade.offset + "\t" + str(trade.volume)
self.updateAccount(trade)
# 推送委托数据
order.tradedVolume = order.totalVolume
order.status = STATUS_ALLTRADED
stra = self.strategyDict[self.bar.symbol]
stra.onOrder(order)
# 从字典中删除该限价单
del self.workingLimitOrderDict[self.bar.symbol][orderID]
def crossLimitOrder(self):
"""基于最新数据撮合限价单"""
"""Check LimitOrder base on newest market data"""
# 先确定会撮合成交的价格
if self.mode == self.BAR_MODE:
buyCrossPrice = self.bar.low # 若买入方向限价单价格高于该价格，则会成交
sellCrossPrice = self.bar.high # 若卖出方向限价单价格低于该价格，则会成交
buyBestCrossPrice = self.bar.open # 在当前时间点前发出的买入委托可能的最优成交价
sellBestCrossPrice = self.bar.open # 在当前时间点前发出的卖出委托可能的最优成交价
else:
buyCrossPrice = self.tick.askPrice1
sellCrossPrice = self.tick.bidPrice1
buyBestCrossPrice = self.tick.askPrice1
sellBestCrossPrice = self.tick.bidPrice1
# 遍历限价单字典中的所有限价单
for orderID, order in self.workingLimitOrderDict.items():
# 判断是否会成交
buyCross = order.direction == DIRECTION_LONG and order.price >= buyCrossPrice
sellCross = order.direction == DIRECTION_SHORT and order.price <= sellCrossPrice
# 如果发生了成交
# If transaction happens
if buyCross or sellCross:
# 推送成交数据
# Update trade data
self.tradeCount += 1 # TradeID increase by 1
tradeID = str(self.tradeCount)
trade = VtTradeData()
trade.vtSymbol = order.vtSymbol
trade.tradeID = tradeID
trade.vtTradeID = tradeID
trade.orderID = order.orderID
trade.vtOrderID = order.orderID
trade.direction = order.direction
trade.offset = order.offset
# Buy as example:
# 1. Suppose the OHLC of current Bar are 100, 125, 90, 110 (Open = 100)
# 2. Suppose at the end of last Bar(not the start of current Bar), the price of limit order is 105,
# (Last Close = 105)
# 3. In real trading, the trade price will be 100 instead of 105, because the best market price is 100
if buyCross:
trade.price = min(order.price, buyBestCrossPrice)
self.strategy.pos += order.totalVolume
else:
trade.price = max(order.price, sellBestCrossPrice)
self.strategy.pos -= order.totalVolume
trade.volume = order.totalVolume
trade.tradeTime = str(self.dt)
trade.dt = self.dt
self.strategy.onTrade(trade)
self.tradeDict[tradeID] = trade
# 推送委托数据
# Upadte order data
order.tradedVolume = order.totalVolume
order.status = STATUS_ALLTRADED
self.strategy.onOrder(order)
# 从字典中删除该限价单
# Remove this order from "working limit order dictionary"
del self.workingLimitOrderDict[orderID]
