def load_strategy(self):
for s in self._config_client['strategy']:
strategyClass = strategy_list.get(s, None)
if not strategyClass:
print(u'can not find strategy：%s' % s)
else:
strategy = strategyClass(self._outgoing_request_event_engine, self._data_board)
strategy.id = self._strategy_id
strategy.name = s # assign class name to the strategy
# init strategy
strategy.on_init(self._config_client['strategy'][s])
for sym in strategy.symbols:
if sym in self._tick_strategy_dict:
self._tick_strategy_dict[sym].append(self._strategy_id)
else:
self._tick_strategy_dict[sym] = [self._strategy_id]
strategy.active = False
self._strategy_dict[self._strategy_id] = strategy
self._strategy_id = self._strategy_id+1
def __init__(self, config):
"""
1. read in configs
2. Set up backtest event engine
"""
self._current_time = Timestamp('1900-01-01')
## 0. read in configs
self._initial_cash = config['cash']
self._symbols = config['tickers']
self._benchmark = config['benchmark']
#self.start_date = datetime.datetime.strptime(config['start_date'], "%Y-%m-%d")
#self.end_date = datetime.datetime.strptime(config['end_date'], "%Y-%m-%d")
start_date = config['start_date']
send_date = config['end_date']
strategy_name = config['strategy']
datasource = str(config['datasource'])
self._hist_dir = config['hist_dir']
self._output_dir = config['output_dir']
## 1. data_feed
symbols_all = self._symbols[:] # copy
if self._benchmark is not None:
symbols_all.append(self._benchmark)
self._symbols = [str(s) for s in self._symbols]
symbols_all = [str(s) for s in symbols_all]
if (datasource.upper() == 'LOCAL'):
self._data_feed = BacktestDataFeedLocal(hist_dir=self._hist_dir,
start_date=start_date,
end_date=send_date)
elif (datasource.upper() == 'TUSHARE'):
self._data_feed = BacktestDataFeedTushare(start_date=start_date,
end_date=send_date)
else:
self._data_feed = BacktestDataFeedQuandl(start_date=start_date,
end_date=send_date)
self._data_feed.subscribe_market_data(symbols_all)
## 2. event engine
self._events_engine = BacktestEventEngine(self._data_feed)
## 3. brokerage
self._data_board = DataBoard()
self._backtest_brokerage = BacktestBrokerage(self._events_engine,
self._data_board)
## 4. portfolio_manager
self._portfolio_manager = PortfolioManager(self._initial_cash)
## 5. performance_manager
self._performance_manager = PerformanceManager(symbols_all)
## 6. risk_manager
self._risk_manager = PassThroughRiskManager()
## 7. load all strategies
strategyClass = strategy_list.get(strategy_name, None)
if not strategyClass:
print(u'can not find strategy：%s' % strategy_name)
return
self._strategy = strategyClass(self._symbols, self._events_engine)
self._strategy.on_init()
self._strategy.on_start()
## 8. trade recorder
#self._trade_recorder = ExampleTradeRecorder(output_dir)
## 9. wire up event handlers
self._events_engine.register_handler(EventType.TICK,
self._tick_event_handler)
self._events_engine.register_handler(EventType.BAR,
self._bar_event_handler)
self._events_engine.register_handler(EventType.ORDER,
self._order_event_handler)
self._events_engine.register_handler(EventType.FILL,
self._fill_event_handler)
def __init__(self, config):
"""
1. read in configs
2. Set up backtest event engine
"""
self._current_time = None
## 0. read in configs
self._initial_cash = config['cash']
self._symbols = config['symbols']
self._benchmark = config['benchmark']
#self.start_date = datetime.datetime.strptime(config['start_date'], "%Y-%m-%d")
#self.end_date = datetime.datetime.strptime(config['end_date'], "%Y-%m-%d")
start_date = config['start_date']
send_date = config['end_date']
params = config['params']
strategy_name = config['strategy']
datasource = str(config['datasource'])
batch_tag = config['batch_tag']
root_multiplier = config['root_multiplier']
self._hist_dir = config['hist_dir']
self._fvp_file = config['fvp_file']
self._output_dir = config['output_dir']
## 1. data_feed
symbols_all = self._symbols[:] # copy
if self._benchmark is not None:
symbols_all.append(self._benchmark)
self._symbols = [str(s) for s in self._symbols]
symbols_all = set([str(s) for s in symbols_all]) # remove duplicates
if (datasource.upper() == 'LOCAL'):
print('Using local single symbol data feed')
self._data_feed = BacktestDataFeedLocalSingleSymbol(
hist_dir=self._hist_dir,
start_date=start_date, end_date=send_date
)
elif (datasource.upper() == 'MULTI_LOCAL'):
print('Using local multiple symbol data feed')
self._data_feed = BacktestDataFeedLocalMultipleSymbols(
hist_dir=self._hist_dir,
start_date=start_date, end_date=send_date
)
else:
print('Using Quandl data feed')
self._data_feed = BacktestDataFeedQuandl(
start_date=start_date, end_date=send_date
)
self._data_feed.subscribe_market_data(self._symbols) # not symbols_all
## 2. event engine
self._events_engine = BacktestEventEngine(self._data_feed)
## 3. brokerage
self._data_board = DataBoard(hist_dir=self._hist_dir, syms=symbols_all)
self._backtest_brokerage = BacktestBrokerage(
self._events_engine, self._data_board
)
## 4. portfolio_manager
self._df_fvp = None
if self._fvp_file is not None:
self._df_fvp = pd.read_csv(self._hist_dir+self._fvp_file, index_col=0)
self._portfolio_manager = PortfolioManager(self._initial_cash, self._df_fvp)
## 5. performance_manager
self._performance_manager = PerformanceManager(self._symbols, self._benchmark, batch_tag, root_multiplier, self._df_fvp)
## 6. risk_manager
self._risk_manager = PassThroughRiskManager()
## 7. load all strategies
strategyClass = strategy_list.get(strategy_name, None)
if not strategyClass:
print(u'can not find strategy：%s' % strategy_name)
return
else:
print(u'backtesting strategy：%s' % strategy_name)
self._strategy = strategyClass(self._events_engine, self._data_board)
self._strategy.set_symbols(self._symbols)
self._strategy.set_capital(self._initial_cash)
self._strategy.on_init(params)
self._strategy.on_start()
## 8. trade recorder
#self._trade_recorder = ExampleTradeRecorder(output_dir)
## 9. wire up event handlers
self._events_engine.register_handler(EventType.TICK, self._tick_event_handler)
self._events_engine.register_handler(EventType.BAR, self._bar_event_handler)
self._events_engine.register_handler(EventType.ORDER, self._order_event_handler)
self._events_engine.register_handler(EventType.FILL, self._fill_event_handler)
def __init__(self, config):
"""
1. read in configs
2. Set up backtest event engine
"""
self._current_time = None
## 0. read in configs
self._initial_cash = config['cash']
self._symbols = config['symbols']
self._benchmark = config['benchmark']
#self.start_date = datetime.datetime.strptime(config['start_date'], "%Y-%m-%d")
#self.end_date = datetime.datetime.strptime(config['end_date'], "%Y-%m-%d")
start_date = config['start_date']
send_date = config['end_date']
params = config['params']
strategy_name = config['strategy']
datasource = str(config['datasource'])
batch_tag = config['batch_tag']
root_multiplier = config['root_multiplier']
self._hist_dir = config['hist_dir']
self._fvp_file = config['fvp_file']
self._output_dir = config['output_dir']
## 1. data_feed
symbols_all = self._symbols[:] # copy
if self._benchmark is not None:
symbols_all.append(self._benchmark)
self._symbols = [str(s) for s in self._symbols]
symbols_all = set([str(s) for s in symbols_all]) # remove duplicates
if (datasource.upper() == 'LOCAL'):
print('Using local single symbol data feed')
self._data_feed = BacktestDataFeedLocalSingleSymbol(
hist_dir=self._hist_dir,
start_date=start_date,
end_date=send_date)
elif (datasource.upper() == 'MULTI_LOCAL'):
print('Using local multiple symbol data feed')
self._data_feed = BacktestDataFeedLocalMultipleSymbols(
hist_dir=self._hist_dir,
start_date=start_date,
end_date=send_date)
else:
print('Using Quandl data feed')
self._data_feed = BacktestDataFeedQuandl(start_date=start_date,
end_date=send_date)
self._data_feed.subscribe_market_data(self._symbols) # not symbols_all
## 2. event engine
self._events_engine = BacktestEventEngine(self._data_feed)
## 3. brokerage
self._data_board = DataBoard(hist_dir=self._hist_dir, syms=symbols_all)
self._backtest_brokerage = BacktestBrokerage(self._events_engine,
self._data_board)
## 4. portfolio_manager
self._df_fvp = None
if self._fvp_file is not None:
self._df_fvp = pd.read_csv(self._hist_dir + self._fvp_file,
index_col=0)
self._portfolio_manager = PortfolioManager(self._initial_cash,
self._df_fvp)
## 5. performance_manager
self._performance_manager = PerformanceManager(self._symbols,
self._benchmark,
batch_tag,
root_multiplier,
self._df_fvp)
## 6. risk_manager
self._risk_manager = PassThroughRiskManager()
## 7. load all strategies
strategyClass = strategy_list.get(strategy_name, None)
if not strategyClass:
print(u'can not find strategy：%s' % strategy_name)
return
else:
print(u'backtesting strategy：%s' % strategy_name)
self._strategy = strategyClass(self._events_engine, self._data_board)
self._strategy.set_symbols(self._symbols)
self._strategy.set_capital(self._initial_cash)
self._strategy.on_init(params)
self._strategy.on_start()
## 8. trade recorder
#self._trade_recorder = ExampleTradeRecorder(output_dir)
## 9. wire up event handlers
self._events_engine.register_handler(EventType.TICK,
self._tick_event_handler)
self._events_engine.register_handler(EventType.BAR,
self._bar_event_handler)
self._events_engine.register_handler(EventType.ORDER,
self._order_event_handler)
self._events_engine.register_handler(EventType.FILL,
self._fill_event_handler)