def initHdsClient(self):
"""初始化历史数据服务器客户端"""
reqAddress = 'tcp://localhost:5555'
subAddress = 'tcp://localhost:7777'
self.hdsClient = RpcClient(reqAddress, subAddress)
self.hdsClient.start()
def __init__(self, event_engine):
"""Constructor"""
super().__init__(event_engine, "RPC")
self.symbol_gateway_map = {}
self.client = RpcClient()
self.client.callback = self.client_callback
def initHdsClient(self):
"""初始化历史数据服务器客户端"""
reqAddress = 'tcp://localhost:5555'
subAddress = 'tcp://localhost:7777'
self.hdsClient = RpcClient(reqAddress, subAddress)
self.hdsClient.start()
class BacktestingEngine(object):
"""
CTA回测引擎
函数接口和策略引擎保持一样，
从而实现同一套代码从回测到实盘。
"""
TICK_MODE = 'tick'
BAR_MODE = 'bar'
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
# 本地停止单
self.stopOrderCount = 0 # 编号计数：stopOrderID = STOPORDERPREFIX + str(stopOrderCount)
# 本地停止单字典, key为stopOrderID，value为stopOrder对象
self.stopOrderDict = {} # 停止单撤销后不会从本字典中删除
self.workingStopOrderDict = {} # 停止单撤销后会从本字典中删除
self.engineType = ENGINETYPE_BACKTESTING # 引擎类型为回测
self.strategy = None # 回测策略
self.mode = self.BAR_MODE # 回测模式，默认为K线
self.startDate = ''
self.initDays = 0
self.endDate = ''
self.capital = 1000000 # 回测时的起始本金（默认100万）
self.slippage = 0 # 回测时假设的滑点
self.rate = 0 # 回测时假设的佣金比例（适用于百分比佣金）
self.size = 1 # 合约大小，默认为1
self.priceTick = 0 # 价格最小变动
self.dbClient = None # 数据库客户端
self.dbCursor = None # 数据库指针
self.hdsClient = None # 历史数据服务器客户端
self.initData = [] # 初始化用的数据
self.dbName = '' # 回测数据库名
self.symbol = '' # 回测集合名
self.dataStartDate = None # 回测数据开始日期，datetime对象
self.dataEndDate = None # 回测数据结束日期，datetime对象
self.strategyStartDate = None # 策略启动日期（即前面的数据用于初始化），datetime对象
self.limitOrderCount = 0 # 限价单编号
self.limitOrderDict = OrderedDict() # 限价单字典
self.workingLimitOrderDict = OrderedDict() # 活动限价单字典，用于进行撮合用
self.tradeCount = 0 # 成交编号
self.tradeDict = OrderedDict() # 成交字典
self.logList = [] # 日志记录
# 当前最新数据，用于模拟成交用
self.tick = None
self.bar = None
self.dt = None # 最新的时间
# 日线回测结果计算用
self.dailyResultDict = OrderedDict()
#------------------------------------------------
# 通用功能
#------------------------------------------------
#----------------------------------------------------------------------
def roundToPriceTick(self, price):
"""取整价格到合约最小价格变动"""
if not self.priceTick:
return price
newPrice = round(price / self.priceTick, 0) * self.priceTick
return newPrice
#----------------------------------------------------------------------
def output(self, content):
"""输出内容"""
print(str(datetime.now()) + "\t" + content)
#------------------------------------------------
# 参数设置相关
#------------------------------------------------
#----------------------------------------------------------------------
def setStartDate(self, startDate='20100416', initDays=10):
"""设置回测的启动日期"""
self.startDate = startDate
self.initDays = initDays
self.dataStartDate = datetime.strptime(startDate, '%Y%m%d')
initTimeDelta = timedelta(initDays)
self.strategyStartDate = self.dataStartDate + initTimeDelta
#----------------------------------------------------------------------
def setEndDate(self, endDate=''):
"""设置回测的结束日期"""
self.endDate = endDate
if endDate:
self.dataEndDate = datetime.strptime(endDate, '%Y%m%d')
# 若不修改时间则会导致不包含dataEndDate当天数据
self.dataEndDate = self.dataEndDate.replace(hour=23, minute=59)
#----------------------------------------------------------------------
def setBacktestingMode(self, mode):
"""设置回测模式"""
self.mode = mode
#----------------------------------------------------------------------
def setDatabase(self, dbName, symbol):
"""设置历史数据所用的数据库"""
self.dbName = dbName
self.symbol = symbol
#----------------------------------------------------------------------
def setCapital(self, capital):
"""设置资本金"""
self.capital = capital
#----------------------------------------------------------------------
def setSlippage(self, slippage):
"""设置滑点点数"""
self.slippage = slippage
#----------------------------------------------------------------------
def setSize(self, size):
"""设置合约大小"""
self.size = size
#----------------------------------------------------------------------
def setRate(self, rate):
"""设置佣金比例"""
self.rate = rate
#----------------------------------------------------------------------
def setPriceTick(self, priceTick):
"""设置价格最小变动"""
self.priceTick = priceTick
#------------------------------------------------
# 数据回放相关
#------------------------------------------------
#----------------------------------------------------------------------
def initHdsClient(self):
"""初始化历史数据服务器客户端"""
reqAddress = 'tcp://localhost:5555'
subAddress = 'tcp://localhost:7777'
self.hdsClient = RpcClient(reqAddress, subAddress)
self.hdsClient.start()
#----------------------------------------------------------------------
def loadHistoryData(self):
"""载入历史数据"""
self.dbClient = pymongo.MongoClient(globalSetting['mongoHost'],
globalSetting['mongoPort'])
collection = self.dbClient[self.dbName][self.symbol]
self.output(u'开始载入数据')
# 首先根据回测模式，确认要使用的数据类
if self.mode == self.BAR_MODE:
dataClass = VtBarData
func = self.newBar
else:
dataClass = VtTickData
func = self.newTick
# 载入初始化需要用的数据
if self.hdsClient:
initCursor = self.hdsClient.loadHistoryData(
self.dbName, self.symbol, self.dataStartDate,
self.strategyStartDate)
else:
flt = {
'datetime': {
'$gte': self.dataStartDate,
'$lt': self.strategyStartDate
}
}
initCursor = collection.find(flt).sort('datetime')
# 将数据从查询指针中读取出，并生成列表
self.initData = [] # 清空initData列表
for d in initCursor:
data = dataClass()
data.__dict__ = d
self.initData.append(data)
# 载入回测数据
if self.hdsClient:
self.dbCursor = self.hdsClient.loadHistoryData(
self.dbName, self.symbol, self.strategyStartDate,
self.dataEndDate)
else:
if not self.dataEndDate:
flt = {'datetime': {'$gte': self.strategyStartDate}} # 数据过滤条件
else:
flt = {
'datetime': {
'$gte': self.strategyStartDate,
'$lte': self.dataEndDate
}
}
self.dbCursor = collection.find(flt).sort('datetime')
if isinstance(self.dbCursor, list):
count = len(initCursor) + len(self.dbCursor)
else:
count = initCursor.count() + self.dbCursor.count()
self.output(u'载入完成，数据量：%s' % count)
#----------------------------------------------------------------------
def runBacktesting(self):
"""运行回测"""
# 载入历史数据
self.loadHistoryData()
# 首先根据回测模式，确认要使用的数据类
if self.mode == self.BAR_MODE:
dataClass = VtBarData
func = self.newBar
else:
dataClass = VtTickData
func = self.newTick
self.output(u'开始回测')
self.strategy.onInit()
self.strategy.inited = True
self.output(u'策略初始化完成')
self.strategy.trading = True
self.strategy.onStart()
self.output(u'策略启动完成')
self.output(u'开始回放数据')
for d in self.dbCursor:
data = dataClass()
data.__dict__ = d
func(data)
self.output(u'数据回放结束')
#----------------------------------------------------------------------
def newBar(self, bar):
"""新的K线"""
self.bar = bar
self.dt = bar.datetime
self.crossLimitOrder() # 先撮合限价单
self.crossStopOrder() # 再撮合停止单
self.strategy.onBar(bar) # 推送K线到策略中
self.updateDailyClose(bar.datetime, bar.close)
#----------------------------------------------------------------------
def newTick(self, tick):
"""新的Tick"""
self.tick = tick
self.dt = tick.datetime
self.crossLimitOrder()
self.crossStopOrder()
self.strategy.onTick(tick)
self.updateDailyClose(tick.datetime, tick.lastPrice)
#----------------------------------------------------------------------
def initStrategy(self, strategyClass, setting=None):
"""
初始化策略
setting是策略的参数设置，如果使用类中写好的默认设置则可以不传该参数
"""
self.strategy = strategyClass(self, setting)
self.strategy.name = self.strategy.className
#----------------------------------------------------------------------
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():
# 推送委托进入队列（未成交）的状态更新
if not order.status:
order.status = STATUS_NOTTRADED
self.strategy.onOrder(order)
# 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 = self.dt.strftime('%H:%M:%S')
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
if orderID in self.workingLimitOrderDict:
del self.workingLimitOrderDict[orderID]
#----------------------------------------------------------------------
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:
# 更新停止单状态，并从字典中删除该停止单
so.status = STOPORDER_TRIGGERED
if stopOrderID in self.workingStopOrderDict:
del self.workingStopOrderDict[stopOrderID]
# 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 = self.dt.strftime('%H:%M:%S')
trade.dt = self.dt
self.tradeDict[tradeID] = trade
# 推送委托数据
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.limitOrderDict[orderID] = order
# 按照顺序推送数据
self.strategy.onStopOrder(so)
self.strategy.onOrder(order)
self.strategy.onTrade(trade)
#------------------------------------------------
# 策略接口相关
#------------------------------------------------
#----------------------------------------------------------------------
def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
"""发单"""
self.limitOrderCount += 1
orderID = str(self.limitOrderCount)
order = VtOrderData()
order.vtSymbol = vtSymbol
order.price = self.roundToPriceTick(price)
order.totalVolume = volume
order.orderID = orderID
order.vtOrderID = orderID
order.orderTime = self.dt.strftime('%H:%M:%S')
# CTA委托类型映射
if orderType == CTAORDER_BUY:
order.direction = DIRECTION_LONG
order.offset = OFFSET_OPEN
elif orderType == CTAORDER_SELL:
order.direction = DIRECTION_SHORT
order.offset = OFFSET_CLOSE
elif orderType == CTAORDER_SHORT:
order.direction = DIRECTION_SHORT
order.offset = OFFSET_OPEN
elif orderType == CTAORDER_COVER:
order.direction = DIRECTION_LONG
order.offset = OFFSET_CLOSE
# 保存到限价单字典中
self.workingLimitOrderDict[orderID] = order
self.limitOrderDict[orderID] = order
return [orderID]
#----------------------------------------------------------------------
def cancelOrder(self, vtOrderID):
"""撤单"""
if vtOrderID in self.workingLimitOrderDict:
order = self.workingLimitOrderDict[vtOrderID]
order.status = STATUS_CANCELLED
order.cancelTime = self.dt.strftime('%H:%M:%S')
self.strategy.onOrder(order)
del self.workingLimitOrderDict[vtOrderID]
#----------------------------------------------------------------------
def sendStopOrder(self, vtSymbol, orderType, price, volume, strategy):
"""发停止单（本地实现）"""
self.stopOrderCount += 1
stopOrderID = STOPORDERPREFIX + str(self.stopOrderCount)
so = StopOrder()
so.vtSymbol = vtSymbol
so.price = self.roundToPriceTick(price)
so.volume = volume
so.strategy = strategy
so.status = STOPORDER_WAITING
so.stopOrderID = stopOrderID
if orderType == CTAORDER_BUY:
so.direction = DIRECTION_LONG
so.offset = OFFSET_OPEN
elif orderType == CTAORDER_SELL:
so.direction = DIRECTION_SHORT
so.offset = OFFSET_CLOSE
elif orderType == CTAORDER_SHORT:
so.direction = DIRECTION_SHORT
so.offset = OFFSET_OPEN
elif orderType == CTAORDER_COVER:
so.direction = DIRECTION_LONG
so.offset = OFFSET_CLOSE
# 保存stopOrder对象到字典中
self.stopOrderDict[stopOrderID] = so
self.workingStopOrderDict[stopOrderID] = so
# 推送停止单初始更新
self.strategy.onStopOrder(so)
return [stopOrderID]
#----------------------------------------------------------------------
def cancelStopOrder(self, stopOrderID):
"""撤销停止单"""
# 检查停止单是否存在
if stopOrderID in self.workingStopOrderDict:
so = self.workingStopOrderDict[stopOrderID]
so.status = STOPORDER_CANCELLED
del self.workingStopOrderDict[stopOrderID]
self.strategy.onStopOrder(so)
#----------------------------------------------------------------------
def putStrategyEvent(self, name):
"""发送策略更新事件，回测中忽略"""
pass
#----------------------------------------------------------------------
def insertData(self, dbName, collectionName, data):
"""考虑到回测中不允许向数据库插入数据，防止实盘交易中的一些代码出错"""
pass
#----------------------------------------------------------------------
def loadBar(self, dbName, collectionName, startDate):
"""直接返回初始化数据列表中的Bar"""
return self.initData
#----------------------------------------------------------------------
def loadTick(self, dbName, collectionName, startDate):
"""直接返回初始化数据列表中的Tick"""
return self.initData
#----------------------------------------------------------------------
def writeCtaLog(self, content):
"""记录日志"""
log = str(self.dt) + ' ' + content
self.logList.append(log)
#----------------------------------------------------------------------
def cancelAll(self, name):
"""全部撤单"""
# 撤销限价单
for orderID in self.workingLimitOrderDict.keys():
self.cancelOrder(orderID)
# 撤销停止单
for stopOrderID in self.workingStopOrderDict.keys():
self.cancelStopOrder(stopOrderID)
#----------------------------------------------------------------------
def saveSyncData(self, strategy):
"""保存同步数据（无效）"""
pass
#----------------------------------------------------------------------
def getPriceTick(self, strategy):
"""获取最小价格变动"""
return self.priceTick
#------------------------------------------------
# 结果计算相关
#------------------------------------------------
#----------------------------------------------------------------------
def calculateBacktestingResult(self):
"""
计算回测结果
"""
self.output(u'计算回测结果')
# 检查成交记录
if not self.tradeDict:
self.output(u'成交记录为空，无法计算回测结果')
return {}
# 首先基于回测后的成交记录，计算每笔交易的盈亏
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
tradeTimeList = [] # 每笔成交时间戳
posList = [0] # 每笔成交后的持仓情况
for trade in self.tradeDict.values():
# 复制成交对象，因为下面的开平仓交易配对涉及到对成交数量的修改
# 若不进行复制直接操作，则计算完后所有成交的数量会变成0
trade = copy.copy(trade)
# 多头交易
if trade.direction == DIRECTION_LONG:
# 如果尚无空头交易
if not shortTrade:
longTrade.append(trade)
# 当前多头交易为平空
else:
while True:
entryTrade = shortTrade[0]
exitTrade = trade
# 清算开平仓交易
closedVolume = min(exitTrade.volume, entryTrade.volume)
result = TradingResult(entryTrade.price, entryTrade.dt,
exitTrade.price, exitTrade.dt,
-closedVolume, self.rate,
self.slippage, self.size)
resultList.append(result)
posList.extend([-1, 0])
tradeTimeList.extend([result.entryDt, result.exitDt])
# 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.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:
longTrade.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:
shortTrade.append(trade)
# 当前空头交易为平多
else:
while True:
entryTrade = longTrade[0]
exitTrade = trade
# 清算开平仓交易
closedVolume = min(exitTrade.volume, entryTrade.volume)
result = TradingResult(entryTrade.price, entryTrade.dt,
exitTrade.price, exitTrade.dt,
closedVolume, self.rate,
self.slippage, self.size)
resultList.append(result)
posList.extend([1, 0])
tradeTimeList.extend([result.entryDt, result.exitDt])
# 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.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:
shortTrade.append(exitTrade)
break
# 如果开仓交易还有剩余，则进入下一轮循环
else:
pass
# 到最后交易日尚未平仓的交易，则以最后价格平仓
if self.mode == self.BAR_MODE:
endPrice = self.bar.close
else:
endPrice = self.tick.lastPrice
for trade in longTrade:
result = TradingResult(trade.price, trade.dt, endPrice, self.dt,
trade.volume, self.rate, self.slippage,
self.size)
resultList.append(result)
for trade in shortTrade:
result = TradingResult(trade.price, trade.dt, endPrice, self.dt,
-trade.volume, self.rate, self.slippage,
self.size)
resultList.append(result)
# 检查是否有交易
if not resultList:
self.output(u'无交易结果')
return {}
# 然后基于每笔交易的结果，我们可以计算具体的盈亏曲线和最大回撤等
capital = 0 # 资金
maxCapital = 0 # 资金最高净值
drawdown = 0 # 回撤
totalResult = 0 # 总成交数量
totalTurnover = 0 # 总成交金额（合约面值）
totalCommission = 0 # 总手续费
totalSlippage = 0 # 总滑点
timeList = [] # 时间序列
pnlList = [] # 每笔盈亏序列
capitalList = [] # 盈亏汇总的时间序列
drawdownList = [] # 回撤的时间序列
winningResult = 0 # 盈利次数
losingResult = 0 # 亏损次数
totalWinning = 0 # 总盈利金额
totalLosing = 0 # 总亏损金额
for result in resultList:
capital += result.pnl
maxCapital = max(capital, maxCapital)
drawdown = capital - maxCapital
pnlList.append(result.pnl)
timeList.append(result.exitDt) # 交易的时间戳使用平仓时间
capitalList.append(capital)
drawdownList.append(drawdown)
totalResult += 1
totalTurnover += result.turnover
totalCommission += result.commission
totalSlippage += result.slippage
if result.pnl >= 0:
winningResult += 1
totalWinning += result.pnl
else:
losingResult += 1
totalLosing += result.pnl
# 计算盈亏相关数据
winningRate = winningResult / totalResult * 100 # 胜率
averageWinning = 0 # 这里把数据都初始化为0
averageLosing = 0
profitLossRatio = 0
if winningResult:
averageWinning = totalWinning / winningResult # 平均每笔盈利
if losingResult:
averageLosing = totalLosing / losingResult # 平均每笔亏损
if averageLosing:
profitLossRatio = -averageWinning / averageLosing # 盈亏比
# 返回回测结果
d = {}
d['capital'] = capital
d['maxCapital'] = maxCapital
d['drawdown'] = drawdown
d['totalResult'] = totalResult
d['totalTurnover'] = totalTurnover
d['totalCommission'] = totalCommission
d['totalSlippage'] = totalSlippage
d['timeList'] = timeList
d['pnlList'] = pnlList
d['capitalList'] = capitalList
d['drawdownList'] = drawdownList
d['winningRate'] = winningRate
d['averageWinning'] = averageWinning
d['averageLosing'] = averageLosing
d['profitLossRatio'] = profitLossRatio
d['posList'] = posList
d['tradeTimeList'] = tradeTimeList
d['resultList'] = resultList
return d
#----------------------------------------------------------------------
def showBacktestingResult(self):
"""显示回测结果"""
d = self.calculateBacktestingResult()
# 输出
self.output('-' * 30)
self.output(u'第一笔交易：\t%s' % d['timeList'][0])
self.output(u'最后一笔交易：\t%s' % d['timeList'][-1])
self.output(u'总交易次数：\t%s' % formatNumber(d['totalResult']))
self.output(u'总盈亏：\t%s' % formatNumber(d['capital']))
self.output(u'最大回撤: \t%s' % formatNumber(min(d['drawdownList'])))
self.output(u'平均每笔盈利：\t%s' %
formatNumber(d['capital'] / d['totalResult']))
self.output(u'平均每笔滑点：\t%s' %
formatNumber(d['totalSlippage'] / d['totalResult']))
self.output(u'平均每笔佣金：\t%s' %
formatNumber(d['totalCommission'] / d['totalResult']))
self.output(u'胜率\t\t%s%%' % formatNumber(d['winningRate']))
self.output(u'盈利交易平均值\t%s' % formatNumber(d['averageWinning']))
self.output(u'亏损交易平均值\t%s' % formatNumber(d['averageLosing']))
self.output(u'盈亏比：\t%s' % formatNumber(d['profitLossRatio']))
# 绘图
fig = plt.figure(figsize=(10, 16))
pCapital = plt.subplot(4, 1, 1)
pCapital.set_ylabel("capital")
pCapital.plot(d['capitalList'], color='r', lw=0.8)
pDD = plt.subplot(4, 1, 2)
pDD.set_ylabel("DD")
pDD.bar(range(len(d['drawdownList'])), d['drawdownList'], color='g')
pPnl = plt.subplot(4, 1, 3)
pPnl.set_ylabel("pnl")
pPnl.hist(d['pnlList'], bins=50, color='c')
pPos = plt.subplot(4, 1, 4)
pPos.set_ylabel("Position")
if d['posList'][-1] == 0:
del d['posList'][-1]
tradeTimeIndex = [
item.strftime("%m/%d %H:%M:%S") for item in d['tradeTimeList']
]
xindex = np.arange(0, len(tradeTimeIndex),
np.int(len(tradeTimeIndex) / 10))
tradeTimeIndex = map(lambda i: tradeTimeIndex[i], xindex)
pPos.plot(d['posList'], color='k', drawstyle='steps-pre')
pPos.set_ylim(-1.2, 1.2)
plt.sca(pPos)
plt.tight_layout()
plt.xticks(xindex, tradeTimeIndex, rotation=30) # 旋转15
plt.show()
#----------------------------------------------------------------------
def clearBacktestingResult(self):
"""清空之前回测的结果"""
# 清空限价单相关
self.limitOrderCount = 0
self.limitOrderDict.clear()
self.workingLimitOrderDict.clear()
# 清空停止单相关
self.stopOrderCount = 0
self.stopOrderDict.clear()
self.workingStopOrderDict.clear()
# 清空成交相关
self.tradeCount = 0
self.tradeDict.clear()
#----------------------------------------------------------------------
def runOptimization(self, strategyClass, optimizationSetting):
"""优化参数"""
# 获取优化设置
settingList = optimizationSetting.generateSetting()
targetName = optimizationSetting.optimizeTarget
# 检查参数设置问题
if not settingList or not targetName:
self.output(u'优化设置有问题，请检查')
# 遍历优化
resultList = []
for setting in settingList:
self.clearBacktestingResult()
self.output('-' * 30)
self.output('setting: %s' % str(setting))
self.initStrategy(strategyClass, setting)
self.runBacktesting()
df = self.calculateDailyResult()
df, d = self.calculateDailyStatistics(df)
try:
targetValue = d[targetName]
except KeyError:
targetValue = 0
resultList.append(([str(setting)], targetValue, d))
# 显示结果
resultList.sort(reverse=True, key=lambda result: result[1])
self.output('-' * 30)
self.output(u'优化结果：')
for result in resultList:
self.output(u'参数：%s，目标：%s' % (result[0], result[1]))
return resultList
#----------------------------------------------------------------------
def runParallelOptimization(self, strategyClass, optimizationSetting):
"""并行优化参数"""
# 获取优化设置
settingList = optimizationSetting.generateSetting()
targetName = optimizationSetting.optimizeTarget
# 检查参数设置问题
if not settingList or not targetName:
self.output(u'优化设置有问题，请检查')
# 多进程优化，启动一个对应CPU核心数量的进程池
pool = multiprocessing.Pool(multiprocessing.cpu_count())
l = []
for setting in settingList:
l.append(
pool.apply_async(
optimize, (strategyClass, setting, targetName, self.mode,
self.startDate, self.initDays, self.endDate,
self.slippage, self.rate, self.size,
self.priceTick, self.dbName, self.symbol)))
pool.close()
pool.join()
# 显示结果
resultList = [res.get() for res in l]
resultList.sort(reverse=True, key=lambda result: result[1])
self.output('-' * 30)
self.output(u'优化结果：')
for result in resultList:
self.output(u'参数：%s，目标：%s' % (result[0], result[1]))
return resultList
#----------------------------------------------------------------------
def updateDailyClose(self, dt, price):
"""更新每日收盘价"""
date = dt.date()
if date not in self.dailyResultDict:
self.dailyResultDict[date] = DailyResult(date, price)
else:
self.dailyResultDict[date].closePrice = price
#----------------------------------------------------------------------
def calculateDailyResult(self):
"""计算按日统计的交易结果"""
self.output(u'计算按日统计结果')
# 检查成交记录
if not self.tradeDict:
self.output(u'成交记录为空，无法计算回测结果')
return {}
# 将成交添加到每日交易结果中
for trade in self.tradeDict.values():
date = trade.dt.date()
dailyResult = self.dailyResultDict[date]
dailyResult.addTrade(trade)
# 遍历计算每日结果
previousClose = 0
openPosition = 0
for dailyResult in self.dailyResultDict.values():
dailyResult.previousClose = previousClose
previousClose = dailyResult.closePrice
dailyResult.calculatePnl(openPosition, self.size, self.rate,
self.slippage)
openPosition = dailyResult.closePosition
# 生成DataFrame
resultDict = {k: [] for k in dailyResult.__dict__.keys()}
for dailyResult in self.dailyResultDict.values():
for k, v in dailyResult.__dict__.items():
resultDict[k].append(v)
resultDf = pd.DataFrame.from_dict(resultDict)
# 计算衍生数据
resultDf = resultDf.set_index('date')
return resultDf
#----------------------------------------------------------------------
def calculateDailyStatistics(self, df):
"""计算按日统计的结果"""
df['balance'] = df['netPnl'].cumsum() + self.capital
df['return'] = (np.log(df['balance']) -
np.log(df['balance'].shift(1))).fillna(0)
df['highlevel'] = df['balance'].rolling(min_periods=1,
window=len(df),
center=False).max()
df['drawdown'] = df['balance'] - df['highlevel']
df['ddPercent'] = df['drawdown'] / df['highlevel'] * 100
# 计算统计结果
startDate = df.index[0]
endDate = df.index[-1]
totalDays = len(df)
profitDays = len(df[df['netPnl'] > 0])
lossDays = len(df[df['netPnl'] < 0])
endBalance = df['balance'].iloc[-1]
maxDrawdown = df['drawdown'].min()
maxDdPercent = df['ddPercent'].min()
totalNetPnl = df['netPnl'].sum()
dailyNetPnl = totalNetPnl / totalDays
totalCommission = df['commission'].sum()
dailyCommission = totalCommission / totalDays
totalSlippage = df['slippage'].sum()
dailySlippage = totalSlippage / totalDays
totalTurnover = df['turnover'].sum()
dailyTurnover = totalTurnover / totalDays
totalTradeCount = df['tradeCount'].sum()
dailyTradeCount = totalTradeCount / totalDays
totalReturn = (endBalance / self.capital - 1) * 100
annualizedReturn = totalReturn / totalDays * 240
dailyReturn = df['return'].mean() * 100
returnStd = df['return'].std() * 100
if returnStd:
sharpeRatio = dailyReturn / returnStd * np.sqrt(240)
else:
sharpeRatio = 0
# 返回结果
result = {
'startDate': startDate,
'endDate': endDate,
'totalDays': totalDays,
'profitDays': profitDays,
'lossDays': lossDays,
'endBalance': endBalance,
'maxDrawdown': maxDrawdown,
'maxDdPercent': maxDdPercent,
'totalNetPnl': totalNetPnl,
'dailyNetPnl': dailyNetPnl,
'totalCommission': totalCommission,
'dailyCommission': dailyCommission,
'totalSlippage': totalSlippage,
'dailySlippage': dailySlippage,
'totalTurnover': totalTurnover,
'dailyTurnover': dailyTurnover,
'totalTradeCount': totalTradeCount,
'dailyTradeCount': dailyTradeCount,
'totalReturn': totalReturn,
'annualizedReturn': annualizedReturn,
'dailyReturn': dailyReturn,
'returnStd': returnStd,
'sharpeRatio': sharpeRatio
}
return df, result
#----------------------------------------------------------------------
def showDailyResult(self, df=None, result=None):
"""显示按日统计的交易结果"""
if df is None:
df = self.calculateDailyResult()
df, result = self.calculateDailyStatistics(df)
# 输出统计结果
self.output('-' * 30)
self.output(u'首个交易日：\t%s' % result['startDate'])
self.output(u'最后交易日：\t%s' % result['endDate'])
self.output(u'总交易日：\t%s' % result['totalDays'])
self.output(u'盈利交易日\t%s' % result['profitDays'])
self.output(u'亏损交易日：\t%s' % result['lossDays'])
self.output(u'起始资金：\t%s' % self.capital)
self.output(u'结束资金：\t%s' % formatNumber(result['endBalance']))
self.output(u'总收益率：\t%s%%' % formatNumber(result['totalReturn']))
self.output(u'年化收益：\t%s%%' % formatNumber(result['annualizedReturn']))
self.output(u'总盈亏：\t%s' % formatNumber(result['totalNetPnl']))
self.output(u'最大回撤: \t%s' % formatNumber(result['maxDrawdown']))
self.output(u'百分比最大回撤: %s%%' % formatNumber(result['maxDdPercent']))
self.output(u'总手续费：\t%s' % formatNumber(result['totalCommission']))
self.output(u'总滑点：\t%s' % formatNumber(result['totalSlippage']))
self.output(u'总成交金额：\t%s' % formatNumber(result['totalTurnover']))
self.output(u'总成交笔数：\t%s' % formatNumber(result['totalTradeCount']))
self.output(u'日均盈亏：\t%s' % formatNumber(result['dailyNetPnl']))
self.output(u'日均手续费：\t%s' % formatNumber(result['dailyCommission']))
self.output(u'日均滑点：\t%s' % formatNumber(result['dailySlippage']))
self.output(u'日均成交金额：\t%s' % formatNumber(result['dailyTurnover']))
self.output(u'日均成交笔数：\t%s' % formatNumber(result['dailyTradeCount']))
self.output(u'日均收益率：\t%s%%' % formatNumber(result['dailyReturn']))
self.output(u'收益标准差：\t%s%%' % formatNumber(result['returnStd']))
self.output(u'Sharpe Ratio：\t%s' % formatNumber(result['sharpeRatio']))
# 绘图
fig = plt.figure(figsize=(10, 16))
pBalance = plt.subplot(4, 1, 1)
pBalance.set_title('Balance')
df['balance'].plot(legend=True)
pDrawdown = plt.subplot(4, 1, 2)
pDrawdown.set_title('Drawdown')
pDrawdown.fill_between(range(len(df)), df['drawdown'].values)
pPnl = plt.subplot(4, 1, 3)
pPnl.set_title('Daily Pnl')
df['netPnl'].plot(kind='bar', legend=False, grid=False, xticks=[])
pKDE = plt.subplot(4, 1, 4)
pKDE.set_title('Daily Pnl Distribution')
df['netPnl'].hist(bins=50)
plt.show()
class RpcGateway(BaseGateway):
"""
VN Trader Gateway for RPC service.
"""
default_setting = {
"主动请求地址": "tcp://127.0.0.1:2014",
"推送订阅地址": "tcp://127.0.0.1:4102"
}
exchanges = list(Exchange)
def __init__(self, event_engine):
"""Constructor"""
super().__init__(event_engine, "RPC")
self.symbol_gateway_map = {}
self.client = RpcClient()
self.client.callback = self.client_callback
def connect(self, setting: dict):
""""""
req_address = setting["主动请求地址"]
pub_address = setting["推送订阅地址"]
self.client.subscribe_topic("")
self.client.start(req_address, pub_address)
self.write_log("服务器连接成功，开始初始化查询")
self.query_all()
def subscribe(self, req: SubscribeRequest):
""""""
gateway_name = self.symbol_gateway_map.get(req.vt_symbol, "")
self.client.subscribe(req, gateway_name)
def send_order(self, req: OrderRequest):
""""""
gateway_name = self.symbol_gateway_map.get(req.vt_symbol, "")
return self.client.send_order(req, gateway_name)
def cancel_order(self, req: CancelRequest):
""""""
gateway_name = self.symbol_gateway_map.get(req.vt_symbol, "")
self.client.cancel_order(req, gateway_name)
def query_account(self):
""""""
pass
def query_position(self):
""""""
pass
def query_all(self):
""""""
contracts = self.client.get_all_contracts()
for contract in contracts:
self.symbol_gateway_map[contract.vt_symbol] = contract.gateway_name
contract.gateway_name = self.gateway_name
self.on_contract(contract)
self.write_log("合约信息查询成功")
accounts = self.client.get_all_accounts()
for account in accounts:
account.gateway_name = self.gateway_name
self.on_account(account)
self.write_log("资金信息查询成功")
positions = self.client.get_all_positions()
for position in positions:
position.gateway_name = self.gateway_name
self.on_position(position)
self.write_log("持仓信息查询成功")
orders = self.client.get_all_orders()
for order in orders:
order.gateway_name = self.gateway_name
self.on_order(order)
self.write_log("委托信息查询成功")
trades = self.client.get_all_trades()
for trade in trades:
trade.gateway_name = self.gateway_name
self.on_trade(trade)
self.write_log("成交信息查询成功")
def close(self):
""""""
self.client.stop()
def client_callback(self, topic: str, event: Event):
""""""
if event is None:
print("none event", topic, event)
return
data = event.data
if hasattr(data, "gateway_name"):
data.gateway_name = self.gateway_name
self.event_engine.put(event)
class BacktestingEngine(object):
"""
CTA回测引擎
函数接口和策略引擎保持一样，
从而实现同一套代码从回测到实盘。
"""
TICK_MODE = 'tick'
BAR_MODE = 'bar'
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
# 本地停止单
self.stopOrderCount = 0 # 编号计数：stopOrderID = STOPORDERPREFIX + str(stopOrderCount)
# 本地停止单字典, key为stopOrderID，value为stopOrder对象
self.stopOrderDict = {} # 停止单撤销后不会从本字典中删除
self.workingStopOrderDict = {} # 停止单撤销后会从本字典中删除
self.engineType = ENGINETYPE_BACKTESTING # 引擎类型为回测
self.strategy = None # 回测策略
self.mode = self.BAR_MODE # 回测模式，默认为K线
self.startDate = ''
self.initDays = 0
self.endDate = ''
self.capital = 1000000 # 回测时的起始本金（默认100万）
self.slippage = 0 # 回测时假设的滑点
self.rate = 0 # 回测时假设的佣金比例（适用于百分比佣金）
self.size = 1 # 合约大小，默认为1
self.priceTick = 0 # 价格最小变动
self.dbClient = None # 数据库客户端
self.dbCursor = None # 数据库指针
self.hdsClient = None # 历史数据服务器客户端
self.initData = [] # 初始化用的数据
self.dbName = '' # 回测数据库名
self.symbol = '' # 回测集合名
self.dataStartDate = None # 回测数据开始日期，datetime对象
self.dataEndDate = None # 回测数据结束日期，datetime对象
self.strategyStartDate = None # 策略启动日期（即前面的数据用于初始化），datetime对象
self.limitOrderCount = 0 # 限价单编号
self.limitOrderDict = OrderedDict() # 限价单字典
self.workingLimitOrderDict = OrderedDict() # 活动限价单字典，用于进行撮合用
self.tradeCount = 0 # 成交编号
self.tradeDict = OrderedDict() # 成交字典
self.logList = [] # 日志记录
# 当前最新数据，用于模拟成交用
self.tick = None
self.bar = None
self.dt = None # 最新的时间
# 日线回测结果计算用
self.dailyResultDict = OrderedDict()
#------------------------------------------------
# 通用功能
#------------------------------------------------
#----------------------------------------------------------------------
def roundToPriceTick(self, price):
"""取整价格到合约最小价格变动"""
if not self.priceTick:
return price
newPrice = round(price/self.priceTick, 0) * self.priceTick
return newPrice
#----------------------------------------------------------------------
def output(self, content):
"""输出内容"""
print(str(datetime.now()) + "\t" + content)
#------------------------------------------------
# 参数设置相关
#------------------------------------------------
#----------------------------------------------------------------------
def setStartDate(self, startDate='20100416', initDays=10):
"""设置回测的启动日期"""
self.startDate = startDate
self.initDays = initDays
self.dataStartDate = datetime.strptime(startDate, '%Y%m%d')
initTimeDelta = timedelta(initDays)
self.strategyStartDate = self.dataStartDate + initTimeDelta
#----------------------------------------------------------------------
def setEndDate(self, endDate=''):
"""设置回测的结束日期"""
self.endDate = endDate
if endDate:
self.dataEndDate = datetime.strptime(endDate, '%Y%m%d')
# 若不修改时间则会导致不包含dataEndDate当天数据
self.dataEndDate = self.dataEndDate.replace(hour=23, minute=59)
#----------------------------------------------------------------------
def setBacktestingMode(self, mode):
"""设置回测模式"""
self.mode = mode
#----------------------------------------------------------------------
def setDatabase(self, dbName, symbol):
"""设置历史数据所用的数据库"""
self.dbName = dbName
self.symbol = symbol
#----------------------------------------------------------------------
def setCapital(self, capital):
"""设置资本金"""
self.capital = capital
#----------------------------------------------------------------------
def setSlippage(self, slippage):
"""设置滑点点数"""
self.slippage = slippage
#----------------------------------------------------------------------
def setSize(self, size):
"""设置合约大小"""
self.size = size
#----------------------------------------------------------------------
def setRate(self, rate):
"""设置佣金比例"""
self.rate = rate
#----------------------------------------------------------------------
def setPriceTick(self, priceTick):
"""设置价格最小变动"""
self.priceTick = priceTick
#------------------------------------------------
# 数据回放相关
#------------------------------------------------
#----------------------------------------------------------------------
def initHdsClient(self):
"""初始化历史数据服务器客户端"""
reqAddress = 'tcp://localhost:5555'
subAddress = 'tcp://localhost:7777'
self.hdsClient = RpcClient(reqAddress, subAddress)
self.hdsClient.start()
#----------------------------------------------------------------------
def loadHistoryData(self):
"""载入历史数据"""
self.dbClient = pymongo.MongoClient(globalSetting['mongoHost'], globalSetting['mongoPort'])
collection = self.dbClient[self.dbName][self.symbol]
self.output(u'开始载入数据')
# 首先根据回测模式，确认要使用的数据类
if self.mode == self.BAR_MODE:
dataClass = VtBarData
func = self.newBar
else:
dataClass = VtTickData
func = self.newTick
# 载入初始化需要用的数据
if self.hdsClient:
initCursor = self.hdsClient.loadHistoryData(self.dbName,
self.symbol,
self.dataStartDate,
self.strategyStartDate)
else:
flt = {'datetime':{'$gte':self.dataStartDate,
'$lt':self.strategyStartDate}}
initCursor = collection.find(flt).sort('datetime')
# 将数据从查询指针中读取出，并生成列表
self.initData = [] # 清空initData列表
for d in initCursor:
data = dataClass()
data.__dict__ = d
self.initData.append(data)
# 载入回测数据
if self.hdsClient:
self.dbCursor = self.hdsClient.loadHistoryData(self.dbName,
self.symbol,
self.strategyStartDate,
self.dataEndDate)
else:
if not self.dataEndDate:
flt = {'datetime':{'$gte':self.strategyStartDate}} # 数据过滤条件
else:
flt = {'datetime':{'$gte':self.strategyStartDate,
'$lte':self.dataEndDate}}
self.dbCursor = collection.find(flt).sort('datetime')
if isinstance(self.dbCursor, list):
count = len(initCursor) + len(self.dbCursor)
else:
count = initCursor.count() + self.dbCursor.count()
self.output(u'载入完成，数据量：%s' %count)
#----------------------------------------------------------------------
def runBacktesting(self):
"""运行回测"""
# 载入历史数据
self.loadHistoryData()
# 首先根据回测模式，确认要使用的数据类
if self.mode == self.BAR_MODE:
dataClass = VtBarData
func = self.newBar
else:
dataClass = VtTickData
func = self.newTick
self.output(u'开始回测')
self.strategy.onInit()
self.strategy.inited = True
self.output(u'策略初始化完成')
self.strategy.trading = True
self.strategy.onStart()
self.output(u'策略启动完成')
self.output(u'开始回放数据')
for d in self.dbCursor:
data = dataClass()
data.__dict__ = d
func(data)
self.output(u'数据回放结束')
#----------------------------------------------------------------------
def newBar(self, bar):
"""新的K线"""
self.bar = bar
self.dt = bar.datetime
self.crossLimitOrder() # 先撮合限价单
self.crossStopOrder() # 再撮合停止单
self.strategy.onBar(bar) # 推送K线到策略中
self.updateDailyClose(bar.datetime, bar.close)
#----------------------------------------------------------------------
def newTick(self, tick):
"""新的Tick"""
self.tick = tick
self.dt = tick.datetime
self.crossLimitOrder()
self.crossStopOrder()
self.strategy.onTick(tick)
self.updateDailyClose(tick.datetime, tick.lastPrice)
#----------------------------------------------------------------------
def initStrategy(self, strategyClass, setting=None):
"""
初始化策略
setting是策略的参数设置，如果使用类中写好的默认设置则可以不传该参数
"""
self.strategy = strategyClass(self, setting)
self.strategy.name = self.strategy.className
#----------------------------------------------------------------------
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 list(self.workingLimitOrderDict.items()):
# 推送委托进入队列（未成交）的状态更新
if not order.status:
order.status = STATUS_NOTTRADED
self.strategy.onOrder(order)
# 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 = self.dt.strftime('%H:%M:%S')
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
if orderID in self.workingLimitOrderDict:
del self.workingLimitOrderDict[orderID]
#----------------------------------------------------------------------
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 list(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:
# 更新停止单状态，并从字典中删除该停止单
so.status = STOPORDER_TRIGGERED
if stopOrderID in self.workingStopOrderDict:
del self.workingStopOrderDict[stopOrderID]
# 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 = self.dt.strftime('%H:%M:%S')
trade.dt = self.dt
self.tradeDict[tradeID] = trade
# 推送委托数据
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.limitOrderDict[orderID] = order
# 按照顺序推送数据
self.strategy.onStopOrder(so)
self.strategy.onOrder(order)
self.strategy.onTrade(trade)
#------------------------------------------------
# 策略接口相关
#------------------------------------------------
#----------------------------------------------------------------------
def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
"""发单"""
self.limitOrderCount += 1
orderID = str(self.limitOrderCount)
order = VtOrderData()
order.vtSymbol = vtSymbol
order.price = self.roundToPriceTick(price)
order.totalVolume = volume
order.orderID = orderID
order.vtOrderID = orderID
order.orderTime = self.dt.strftime('%H:%M:%S')
# CTA委托类型映射
if orderType == CTAORDER_BUY:
order.direction = DIRECTION_LONG
order.offset = OFFSET_OPEN
elif orderType == CTAORDER_SELL:
order.direction = DIRECTION_SHORT
order.offset = OFFSET_CLOSE
elif orderType == CTAORDER_SHORT:
order.direction = DIRECTION_SHORT
order.offset = OFFSET_OPEN
elif orderType == CTAORDER_COVER:
order.direction = DIRECTION_LONG
order.offset = OFFSET_CLOSE
# 保存到限价单字典中
self.workingLimitOrderDict[orderID] = order
self.limitOrderDict[orderID] = order
return [orderID]
#----------------------------------------------------------------------
def cancelOrder(self, vtOrderID):
"""撤单"""
if vtOrderID in self.workingLimitOrderDict:
order = self.workingLimitOrderDict[vtOrderID]
order.status = STATUS_CANCELLED
order.cancelTime = self.dt.strftime('%H:%M:%S')
self.strategy.onOrder(order)
del self.workingLimitOrderDict[vtOrderID]
#----------------------------------------------------------------------
def sendStopOrder(self, vtSymbol, orderType, price, volume, strategy):
"""发停止单（本地实现）"""
self.stopOrderCount += 1
stopOrderID = STOPORDERPREFIX + str(self.stopOrderCount)
so = StopOrder()
so.vtSymbol = vtSymbol
so.price = self.roundToPriceTick(price)
so.volume = volume
so.strategy = strategy
so.status = STOPORDER_WAITING
so.stopOrderID = stopOrderID
if orderType == CTAORDER_BUY:
so.direction = DIRECTION_LONG
so.offset = OFFSET_OPEN
elif orderType == CTAORDER_SELL:
so.direction = DIRECTION_SHORT
so.offset = OFFSET_CLOSE
elif orderType == CTAORDER_SHORT:
so.direction = DIRECTION_SHORT
so.offset = OFFSET_OPEN
elif orderType == CTAORDER_COVER:
so.direction = DIRECTION_LONG
so.offset = OFFSET_CLOSE
# 保存stopOrder对象到字典中
self.stopOrderDict[stopOrderID] = so
self.workingStopOrderDict[stopOrderID] = so
# 推送停止单初始更新
self.strategy.onStopOrder(so)
return [stopOrderID]
#----------------------------------------------------------------------
def cancelStopOrder(self, stopOrderID):
"""撤销停止单"""
# 检查停止单是否存在
if stopOrderID in self.workingStopOrderDict:
so = self.workingStopOrderDict[stopOrderID]
so.status = STOPORDER_CANCELLED
del self.workingStopOrderDict[stopOrderID]
self.strategy.onStopOrder(so)
#----------------------------------------------------------------------
def putStrategyEvent(self, name):
"""发送策略更新事件，回测中忽略"""
pass
#----------------------------------------------------------------------
def insertData(self, dbName, collectionName, data):
"""考虑到回测中不允许向数据库插入数据，防止实盘交易中的一些代码出错"""
pass
#----------------------------------------------------------------------
def loadBar(self, dbName, collectionName, startDate):
"""直接返回初始化数据列表中的Bar"""
return self.initData
#----------------------------------------------------------------------
def loadTick(self, dbName, collectionName, startDate):
"""直接返回初始化数据列表中的Tick"""
return self.initData
#----------------------------------------------------------------------
def writeCtaLog(self, content):
"""记录日志"""
log = str(self.dt) + ' ' + content
self.logList.append(log)
#----------------------------------------------------------------------
def cancelAll(self, name):
"""全部撤单"""
# 撤销限价单
for orderID in list(self.workingLimitOrderDict.keys()):
self.cancelOrder(orderID)
# 撤销停止单
for stopOrderID in list(self.workingStopOrderDict.keys()):
self.cancelStopOrder(stopOrderID)
#----------------------------------------------------------------------
def saveSyncData(self, strategy):
"""保存同步数据（无效）"""
pass
#----------------------------------------------------------------------
def getPriceTick(self, strategy):
"""获取最小价格变动"""
return self.priceTick
#------------------------------------------------
# 结果计算相关
#------------------------------------------------
#----------------------------------------------------------------------
def calculateBacktestingResult(self):
"""
计算回测结果
"""
self.output(u'计算回测结果')
# 检查成交记录
if not self.tradeDict:
self.output(u'成交记录为空，无法计算回测结果')
return {}
# 首先基于回测后的成交记录，计算每笔交易的盈亏
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
tradeTimeList = [] # 每笔成交时间戳
posList = [0] # 每笔成交后的持仓情况
for trade in self.tradeDict.values():
# 复制成交对象，因为下面的开平仓交易配对涉及到对成交数量的修改
# 若不进行复制直接操作，则计算完后所有成交的数量会变成0
trade = copy.copy(trade)
# 多头交易
if trade.direction == DIRECTION_LONG:
# 如果尚无空头交易
if not shortTrade:
longTrade.append(trade)
# 当前多头交易为平空
else:
while True:
entryTrade = shortTrade[0]
exitTrade = trade
# 清算开平仓交易
closedVolume = min(exitTrade.volume, entryTrade.volume)
result = TradingResult(entryTrade.price, entryTrade.dt,
exitTrade.price, exitTrade.dt,
-closedVolume, self.rate, self.slippage, self.size)
resultList.append(result)
posList.extend([-1,0])
tradeTimeList.extend([result.entryDt, result.exitDt])
# 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.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:
longTrade.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:
shortTrade.append(trade)
# 当前空头交易为平多
else:
while True:
entryTrade = longTrade[0]
exitTrade = trade
# 清算开平仓交易
closedVolume = min(exitTrade.volume, entryTrade.volume)
result = TradingResult(entryTrade.price, entryTrade.dt,
exitTrade.price, exitTrade.dt,
closedVolume, self.rate, self.slippage, self.size)
resultList.append(result)
posList.extend([1,0])
tradeTimeList.extend([result.entryDt, result.exitDt])
# 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.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:
shortTrade.append(exitTrade)
break
# 如果开仓交易还有剩余，则进入下一轮循环
else:
pass
# 到最后交易日尚未平仓的交易，则以最后价格平仓
if self.mode == self.BAR_MODE:
endPrice = self.bar.close
else:
endPrice = self.tick.lastPrice
for trade in longTrade:
result = TradingResult(trade.price, trade.dt, endPrice, self.dt,
trade.volume, self.rate, self.slippage, self.size)
resultList.append(result)
for trade in shortTrade:
result = TradingResult(trade.price, trade.dt, endPrice, self.dt,
-trade.volume, self.rate, self.slippage, self.size)
resultList.append(result)
# 检查是否有交易
if not resultList:
self.output(u'无交易结果')
return {}
# 然后基于每笔交易的结果，我们可以计算具体的盈亏曲线和最大回撤等
capital = 0 # 资金
maxCapital = 0 # 资金最高净值
drawdown = 0 # 回撤
totalResult = 0 # 总成交数量
totalTurnover = 0 # 总成交金额（合约面值）
totalCommission = 0 # 总手续费
totalSlippage = 0 # 总滑点
timeList = [] # 时间序列
pnlList = [] # 每笔盈亏序列
capitalList = [] # 盈亏汇总的时间序列
drawdownList = [] # 回撤的时间序列
winningResult = 0 # 盈利次数
losingResult = 0 # 亏损次数
totalWinning = 0 # 总盈利金额
totalLosing = 0 # 总亏损金额
for result in resultList:
capital += result.pnl
maxCapital = max(capital, maxCapital)
drawdown = capital - maxCapital
pnlList.append(result.pnl)
timeList.append(result.exitDt) # 交易的时间戳使用平仓时间
capitalList.append(capital)
drawdownList.append(drawdown)
totalResult += 1
totalTurnover += result.turnover
totalCommission += result.commission
totalSlippage += result.slippage
if result.pnl >= 0:
winningResult += 1
totalWinning += result.pnl
else:
losingResult += 1
totalLosing += result.pnl
# 计算盈亏相关数据
winningRate = winningResult/totalResult*100 # 胜率
averageWinning = 0 # 这里把数据都初始化为0
averageLosing = 0
profitLossRatio = 0
if winningResult:
averageWinning = totalWinning/winningResult # 平均每笔盈利
if losingResult:
averageLosing = totalLosing/losingResult # 平均每笔亏损
if averageLosing:
profitLossRatio = -averageWinning/averageLosing # 盈亏比
# 返回回测结果
d = {}
d['capital'] = capital
d['maxCapital'] = maxCapital
d['drawdown'] = drawdown
d['totalResult'] = totalResult
d['totalTurnover'] = totalTurnover
d['totalCommission'] = totalCommission
d['totalSlippage'] = totalSlippage
d['timeList'] = timeList
d['pnlList'] = pnlList
d['capitalList'] = capitalList
d['drawdownList'] = drawdownList
d['winningRate'] = winningRate
d['averageWinning'] = averageWinning
d['averageLosing'] = averageLosing
d['profitLossRatio'] = profitLossRatio
d['posList'] = posList
d['tradeTimeList'] = tradeTimeList
d['resultList'] = resultList
return d
#----------------------------------------------------------------------
def showBacktestingResult(self):
"""显示回测结果"""
d = self.calculateBacktestingResult()
# 输出
self.output('-' * 30)
self.output(u'第一笔交易：\t%s' % d['timeList'][0])
self.output(u'最后一笔交易：\t%s' % d['timeList'][-1])
self.output(u'总交易次数：\t%s' % formatNumber(d['totalResult']))
self.output(u'总盈亏：\t%s' % formatNumber(d['capital']))
self.output(u'最大回撤: \t%s' % formatNumber(min(d['drawdownList'])))
self.output(u'平均每笔盈利：\t%s' %formatNumber(d['capital']/d['totalResult']))
self.output(u'平均每笔滑点：\t%s' %formatNumber(d['totalSlippage']/d['totalResult']))
self.output(u'平均每笔佣金：\t%s' %formatNumber(d['totalCommission']/d['totalResult']))
self.output(u'胜率\t\t%s%%' %formatNumber(d['winningRate']))
self.output(u'盈利交易平均值\t%s' %formatNumber(d['averageWinning']))
self.output(u'亏损交易平均值\t%s' %formatNumber(d['averageLosing']))
self.output(u'盈亏比：\t%s' %formatNumber(d['profitLossRatio']))
# 绘图
fig = plt.figure(figsize=(10, 16))
pCapital = plt.subplot(4, 1, 1)
pCapital.set_ylabel("capital")
pCapital.plot(d['capitalList'], color='r', lw=0.8)
pDD = plt.subplot(4, 1, 2)
pDD.set_ylabel("DD")
pDD.bar(range(len(d['drawdownList'])), d['drawdownList'], color='g')
pPnl = plt.subplot(4, 1, 3)
pPnl.set_ylabel("pnl")
pPnl.hist(d['pnlList'], bins=50, color='c')
pPos = plt.subplot(4, 1, 4)
pPos.set_ylabel("Position")
if d['posList'][-1] == 0:
del d['posList'][-1]
tradeTimeIndex = [item.strftime("%m/%d %H:%M:%S") for item in d['tradeTimeList']]
xindex = np.arange(0, len(tradeTimeIndex), np.int(len(tradeTimeIndex)/10))
tradeTimeIndex = list(map(lambda i: tradeTimeIndex[i], xindex))
pPos.plot(d['posList'], color='k', drawstyle='steps-pre')
pPos.set_ylim(-1.2, 1.2)
plt.sca(pPos)
plt.tight_layout()
plt.xticks(xindex, tradeTimeIndex, rotation=30) # 旋转15
plt.show()
#----------------------------------------------------------------------
def clearBacktestingResult(self):
"""清空之前回测的结果"""
# 清空限价单相关
self.limitOrderCount = 0
self.limitOrderDict.clear()
self.workingLimitOrderDict.clear()
# 清空停止单相关
self.stopOrderCount = 0
self.stopOrderDict.clear()
self.workingStopOrderDict.clear()
# 清空成交相关
self.tradeCount = 0
self.tradeDict.clear()
# 清空逐日统计相关
self.dailyResultDict.clear()
#----------------------------------------------------------------------
def runOptimization(self, strategyClass, optimizationSetting):
"""优化参数"""
# 获取优化设置
settingList = optimizationSetting.generateSetting()
targetName = optimizationSetting.optimizeTarget
# 检查参数设置问题
if not settingList or not targetName:
self.output(u'优化设置有问题，请检查')
# 遍历优化
resultList = []
for setting in settingList:
self.clearBacktestingResult()
self.output('-' * 30)
self.output('setting: %s' %str(setting))
self.initStrategy(strategyClass, setting)
self.runBacktesting()
self.calculateDailyResult()
d, result = self.calculateDailyStatistics()
try:
targetValue = result[targetName]
except KeyError:
targetValue = 0
resultList.append(([str(setting)], targetValue, result))
# 显示结果
resultList.sort(reverse=True, key=lambda result:result[1])
return self.outputOptimizeResult(resultList)
#----------------------------------------------------------------------
def runParallelOptimization(self, strategyClass, optimizationSetting):
"""并行优化参数"""
# 获取优化设置
settingList = optimizationSetting.generateSetting()
targetName = optimizationSetting.optimizeTarget
# 检查参数设置问题
if not settingList or not targetName:
self.output(u'优化设置有问题，请检查')
# 多进程优化，启动一个对应CPU核心数量的进程池
pool = multiprocessing.Pool(multiprocessing.cpu_count())
l = []
for setting in settingList:
l.append(pool.apply_async(optimize, (strategyClass, setting,
targetName, self.mode,
self.startDate, self.initDays, self.endDate,
self.slippage, self.rate, self.size, self.priceTick,
self.dbName, self.symbol)))
pool.close()
pool.join()
# 显示结果
resultList = [res.get() for res in l]
resultList.sort(reverse=True, key=lambda result:result[1])
return resultList
#----------------------------------------------------------------------
def outputOptimizeResult(self, resultList):
self.output('-' * 30)
self.output(u'优化结果：')
for result in resultList:
self.output(u'参数：%s，目标：%s' % (result[0], result[1]))
return resultList
#----------------------------------------------------------------------
def updateDailyClose(self, dt, price):
"""更新每日收盘价"""
date = dt.date()
if date not in self.dailyResultDict:
self.dailyResultDict[date] = DailyResult(date, price)
else:
self.dailyResultDict[date].closePrice = price
#----------------------------------------------------------------------
def calculateDailyResult(self):
"""计算按日统计的交易结果"""
self.output(u'计算按日统计结果')
# 检查成交记录
if not self.tradeDict:
self.output(u'成交记录为空，无法计算回测结果')
return {}
# 将成交添加到每日交易结果中
for trade in self.tradeDict.values():
date = trade.dt.date()
dailyResult = self.dailyResultDict[date]
dailyResult.addTrade(trade)
# 遍历计算每日结果
previousClose = 0
openPosition = 0
for dailyResult in self.dailyResultDict.values():
dailyResult.previousClose = previousClose
previousClose = dailyResult.closePrice
dailyResult.calculatePnl(openPosition, self.size, self.rate, self.slippage )
openPosition = dailyResult.closePosition
#----------------------------------------------------------------------
def calculateDailyStatistics(self, annualDays=240):
"""计算按日统计的结果"""
dateList = self.dailyResultDict.keys()
resultList = self.dailyResultDict.values()
startDate = dateList[0]
endDate = dateList[-1]
totalDays = len(dateList)
profitDays = 0
lossDays = 0
endBalance = self.capital
highlevel = self.capital
totalNetPnl = 0
totalTurnover = 0
totalCommission = 0
totalSlippage = 0
totalTradeCount = 0
netPnlList = []
balanceList = []
highlevelList = []
drawdownList = []
ddPercentList = []
returnList = []
for result in resultList:
if result.netPnl > 0:
profitDays += 1
elif result.netPnl < 0:
lossDays += 1
netPnlList.append(result.netPnl)
prevBalance = endBalance
endBalance += result.netPnl
balanceList.append(endBalance)
returnList.append(endBalance/prevBalance - 1)
highlevel = max(highlevel, endBalance)
highlevelList.append(highlevel)
drawdown = endBalance - highlevel
drawdownList.append(drawdown)
ddPercentList.append(drawdown/highlevel*100)
totalTurnover += result.turnover
totalCommission += result.commission
totalSlippage += result.slippage
totalTradeCount += result.tradeCount
totalNetPnl += result.netPnl
maxDrawdown = min(drawdownList)
maxDdPercent = min(ddPercentList)
totalReturn = (endBalance / self.capital - 1) * 100
dailyReturn = np.mean(returnList) * 100
annualizedReturn = dailyReturn * annualDays
returnStd = np.std(returnList) * 100
if returnStd:
sharpeRatio = dailyReturn / returnStd * np.sqrt(annualDays)
else:
sharpeRatio = 0
# 返回结果
result = {
'startDate': startDate,
'endDate': endDate,
'totalDays': totalDays,
'profitDays': profitDays,
'lossDays': lossDays,
'endBalance': endBalance,
'maxDrawdown': maxDrawdown,
'maxDdPercent': maxDdPercent,
'totalNetPnl': totalNetPnl,
'dailyNetPnl': totalNetPnl/totalDays,
'totalCommission': totalCommission,
'dailyCommission': totalCommission/totalDays,
'totalSlippage': totalSlippage,
'dailySlippage': totalSlippage/totalDays,
'totalTurnover': totalTurnover,
'dailyTurnover': totalTurnover/totalDays,
'totalTradeCount': totalTradeCount,
'dailyTradeCount': totalTradeCount/totalDays,
'totalReturn': totalReturn,
'annualizedReturn': annualizedReturn,
'dailyReturn': dailyReturn,
'returnStd': returnStd,
'sharpeRatio': sharpeRatio
}
d = {}
d['balance'] = balanceList
d['return'] = returnList
d['highLevel'] = highlevelList
d['drawdown'] = drawdownList
d['ddPercent'] = ddPercentList
d['date'] = dateList
d['netPnl'] = netPnlList
return d, result
#----------------------------------------------------------------------
def showDailyResult(self, d=None, result=None):
"""显示按日统计的交易结果"""
if d is None:
self.calculateDailyResult()
d, result = self.calculateDailyStatistics()
# 输出统计结果
self.output('-' * 30)
self.output(u'首个交易日：\t%s' % result['startDate'])
self.output(u'最后交易日：\t%s' % result['endDate'])
self.output(u'总交易日：\t%s' % result['totalDays'])
self.output(u'盈利交易日\t%s' % result['profitDays'])
self.output(u'亏损交易日：\t%s' % result['lossDays'])
self.output(u'起始资金：\t%s' % self.capital)
self.output(u'结束资金：\t%s' % formatNumber(result['endBalance']))
self.output(u'总收益率：\t%s%%' % formatNumber(result['totalReturn']))
self.output(u'年化收益：\t%s%%' % formatNumber(result['annualizedReturn']))
self.output(u'总盈亏：\t%s' % formatNumber(result['totalNetPnl']))
self.output(u'最大回撤: \t%s' % formatNumber(result['maxDrawdown']))
self.output(u'百分比最大回撤: %s%%' % formatNumber(result['maxDdPercent']))
self.output(u'总手续费：\t%s' % formatNumber(result['totalCommission']))
self.output(u'总滑点：\t%s' % formatNumber(result['totalSlippage']))
self.output(u'总成交金额：\t%s' % formatNumber(result['totalTurnover']))
self.output(u'总成交笔数：\t%s' % formatNumber(result['totalTradeCount']))
self.output(u'日均盈亏：\t%s' % formatNumber(result['dailyNetPnl']))
self.output(u'日均手续费：\t%s' % formatNumber(result['dailyCommission']))
self.output(u'日均滑点：\t%s' % formatNumber(result['dailySlippage']))
self.output(u'日均成交金额：\t%s' % formatNumber(result['dailyTurnover']))
self.output(u'日均成交笔数：\t%s' % formatNumber(result['dailyTradeCount']))
self.output(u'日均收益率：\t%s%%' % formatNumber(result['dailyReturn']))
self.output(u'收益标准差：\t%s%%' % formatNumber(result['returnStd']))
self.output(u'Sharpe Ratio：\t%s' % formatNumber(result['sharpeRatio']))
# 绘图
fig = plt.figure(figsize=(10, 16))
pBalance = plt.subplot(4, 1, 1)
pBalance.set_title('Balance')
plt.plot(d['date'], d['balance'])
pDrawdown = plt.subplot(4, 1, 2)
pDrawdown.set_title('Drawdown')
pDrawdown.fill_between(range(len(d['drawdown'])), d['drawdown'])
pPnl = plt.subplot(4, 1, 3)
pPnl.set_title('Daily Pnl')
plt.bar(range(len(d['drawdown'])), d['netPnl'])
pKDE = plt.subplot(4, 1, 4)
pKDE.set_title('Daily Pnl Distribution')
plt.hist(d['netPnl'], bins=50)
plt.show()
class TqdataGateway(BaseGateway):
"""
Tqdata Gateway.
"""
default_setting = {
"主动请求地址": "tcp://127.0.0.1:12914",
"推送订阅地址": "tcp://127.0.0.1:41921"
}
exchanges = list(Exchange)
def __init__(self, event_engine):
"""Constructor"""
super().__init__(event_engine, "Tqdata")
self.symbol_gateway_map = {}
self.client = RpcClient()
self.client.callback = self.client_callback
def connect(self, setting: dict):
""""""
req_address = setting["主动请求地址"]
pub_address = setting["推送订阅地址"]
self.client.subscribe_topic("")
self.client.start(req_address, pub_address)
self.write_log("服务器连接成功，开始初始化查询")
self.query_all()
def subscribe(self, req: SubscribeRequest):
""""""
pass
def get_bar(self,
vt_symbol: str,
bar_type: str,
interval: Interval,
size: int = 200):
""""""
self.client.get_bar(vt_symbol, bar_type, interval, size)
print(vt_symbol, bar_type, interval, size)
print('histroy request sended.')
def start_tq_pub(self):
""""""
self.client.start_tq_pub()
def send_order(self, req: OrderRequest):
""""""
pass
def cancel_order(self, req: CancelRequest):
""""""
pass
def query_account(self):
""""""
pass
def query_position(self):
""""""
pass
def query_all(self):
""""""
pass
def close(self):
""""""
self.client.stop()
self.client.join()
def client_callback(self, topic: str, event: Event):
""""""
if event is None:
print("none event", topic, event)
return
data = event.data
# print(event.type)
# print(data)
if hasattr(data, "gateway_name"):
data.gateway_name = self.gateway_name
self.event_engine.put(event)
class RpcGateway(BaseGateway):
"""
VN Trader Gateway for RPC service.
"""
default_setting = {
" initiative to request address ": "tcp://127.0.0.1:2014",
" push subscription address ": "tcp://127.0.0.1:4102"
}
exchanges = list(Exchange)
def __init__(self, event_engine):
"""Constructor"""
super().__init__(event_engine, "RPC")
self.symbol_gateway_map = {}
self.client = RpcClient()
self.client.callback = self.client_callback
def connect(self, setting: dict):
""""""
req_address = setting[" initiative to request address "]
pub_address = setting[" push subscription address "]
self.client.subscribe_topic("")
self.client.start(req_address, pub_address)
self.write_log(" servers were successfully connected ， start initialization query ")
self.query_all()
def subscribe(self, req: SubscribeRequest):
""""""
gateway_name = self.symbol_gateway_map.get(req.vt_symbol, "")
self.client.subscribe(req, gateway_name)
def send_order(self, req: OrderRequest):
""""""
gateway_name = self.symbol_gateway_map.get(req.vt_symbol, "")
return self.client.send_order(req, gateway_name)
def cancel_order(self, req: CancelRequest):
""""""
gateway_name = self.symbol_gateway_map.get(req.vt_symbol, "")
self.client.cancel_order(req, gateway_name)
def query_account(self):
""""""
pass
def query_position(self):
""""""
pass
def query_all(self):
""""""
contracts = self.client.get_all_contracts()
for contract in contracts:
self.symbol_gateway_map[contract.vt_symbol] = contract.gateway_name
contract.gateway_name = self.gateway_name
self.on_contract(contract)
self.write_log(" contract information inquiry succeed ")
accounts = self.client.get_all_accounts()
for account in accounts:
account.gateway_name = self.gateway_name
self.on_account(account)
self.write_log(" financial information query success ")
positions = self.client.get_all_positions()
for position in positions:
position.gateway_name = self.gateway_name
self.on_position(position)
self.write_log(" position information query success ")
orders = self.client.get_all_orders()
for order in orders:
order.gateway_name = self.gateway_name
self.on_order(order)
self.write_log(" information inquiry commissioned successfully ")
trades = self.client.get_all_trades()
for trade in trades:
trade.gateway_name = self.gateway_name
self.on_trade(trade)
self.write_log(" transaction information query success ")
def close(self):
""""""
self.client.stop()
self.client.join()
def client_callback(self, topic: str, event: Event):
""""""
if event is None:
print("none event", topic, event)
return
data = event.data
if hasattr(data, "gateway_name"):
data.gateway_name = self.gateway_name
self.event_engine.put(event)