def __init__(self,
initialBalances,
barFeed,
commission=NoCommission(),
instrumentTraits=DefaultInstrumentTraits()):
super(Broker, self).__init__()
assert isinstance(initialBalances,
dict), "initialBalances must be a dictionary"
assert all([isinstance(symbol, six.string_types) for symbol in initialBalances.keys()]), \
"Some keys are not strings"
assert isinstance(barFeed, barfeed.BaseBarFeed
), "barFeed is not a subclass of barfeed.BaseBarFeed"
self._balances = copy.copy(initialBalances)
self._barFeed = barFeed
self._commission = commission
self._instrumentTraits = instrumentTraits
self._activeOrders = {}
self._instrumentPrice = {}
self._useAdjustedValues = False
self._fillStrategy = fillstrategy.DefaultStrategy(
self._instrumentTraits)
self._logger = logger.getLogger(__name__)
# It is VERY important that the broker subscribes to barfeed events before the strategy.
barFeed.getNewValuesEvent().subscribe(self.onBars)
self._nextOrderId = 1
self._started = False
def __init__(self, barFeed, cash=10000):
if self.realTrade:
super().__init__(barFeed, self.realBroker)
else:
temp = Broker(cash, barFeed)
temp.setAllowNegativeCash(True)
fillstg = fillstrategy.DefaultStrategy(
None) # 设置一个不检查有成交量的fill strategy
temp.setFillStrategy(fillstg)
super().__init__(barFeed, temp)
def __init__(self, cash, barFeed, commission=None):
super(Broker, self).__init__(cash, barFeed)
if commission is None:
self.__commission = NoCommission()
else:
self.__commission = commission
self.__instrumentPrice = {} # Used by setShares
self.__fillStrategy = fillstrategy.DefaultStrategy()
self.__logger = logger.getLogger(Broker.LOGGER_NAME)
# It is VERY important that the broker subscribes to barfeed events before the strategy.
barFeed.getNewValuesEvent().subscribe(self.onBars)
def __init__(self, cash, barFeed, commission=None):
super(Broker, self).__init__()
assert(cash != None)
self.__cash = cash
if commission is None:
self.__commission = NoCommission()
else:
self.__commission = commission
self.__shares = {}
self.__activeOrders = {}
self.__useAdjustedValues = False
self.__fillStrategy = fillstrategy.DefaultStrategy()
self.__logger = logger.getLogger(Broker.LOGGER_NAME)
# It is VERY important that the broker subscribes to barfeed events before the strategy.
barFeed.getNewValuesEvent().subscribe(self.onBars)
self.__barFeed = barFeed
self.__allowNegativeCash = False
self.__nextOrderId = 1
def __init__(self, cash, tickFeed, commission=None):
super(Broker, self).__init__()
assert (cash >= 0)
self.__cash = cash
if commission is None:
self.__commission = NoCommission()
else:
self.__commission = commission
self.__shares = {}
self.__instrumentPrice = {} # Used by setShares
self.__activeOrders = {}
self.__fillStrategy = fillstrategy.DefaultStrategy()
self.__logger = logger.getLogger(Broker.LOGGER_NAME)
# It is VERY important that the broker subscribes to tickfeed events before the strategy.
tickFeed.getNewValuesEvent().subscribe(self.onTicks)
self.__tickFeed = tickFeed
self.__allowNegativeCash = False
self.__nextOrderId = 1
self.__started = False
def setUp(self):
BaseTestCase.setUp(self)
self.barsBuilder = broker_backtesting_test.BarsBuilder(
BaseTestCase.TestInstrument, bar.Frequency.MINUTE)
self.strategy = fillstrategy.DefaultStrategy()
def initEa(self, timeFrom=None, timeTo=None):
self.results = {}
feed = self.getFeedNew(timeFrom=timeFrom, timeTo=timeTo)
self.mid_DEFAULT_MAX_LEN = 10 * DEFAULT_MAX_LEN
mid_DEFAULT_MAX_LEN = self.mid_DEFAULT_MAX_LEN
#mid set init cash
cash_or_brk = 1000000
volumeLimit = 0.5 #mid used to calculate available volume for an order: availableVolume = volumeLeft * volumeLimit
#mid set fillstrategy
fillStrategy = fillstrategy.DefaultStrategy(volumeLimit=volumeLimit)
broker = backtesting.Broker(cash_or_brk, feed)
broker.setFillStrategy(fillStrategy)
#mid init base
strategy.BacktestingStrategy.__init__(self, feed, broker)
#mid 计算ma将使用当天的收盘价格计算
#mid 1)
self.closePrices = {}
self.longPosition = {}
self.shortPosition = {}
self.buySignal = {}
self.sellSignal = {}
self.timeFrom = timeFrom
self.timeTo = timeTo
#mid follow vars will be used only this class
self.__portfolio_value = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN) #mid 记录资产组合(cash + 各个持仓证券的价值和)的合计价值变化
self.__available_cash = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN) #mid 记录资产组合的现金变化
self.__long_exitBar_pnl = {} #mid 多头平仓bar产生的pnl
self.__long_position_volume = {} #mid 当前多头数量
self.__long_position_cost = {} #mid 当前持有多头开仓成本
self.__long_position_currentBar_pnl = {} #mid 当前持有多头当前bar产生的pnl
self.__long_position_pnl = {} #mid 当前多头累计产生的pnl
self.__short_exitBar_pnl = {}
self.__short_position_volume = {} #mid 当前持有头寸数量
self.__short_position_cost = {} #mid 当前持有头寸开仓成本
self.__short_position_currentBar_pnl = {} #mid 当前持有头寸价值
self.__short_position_pnl = {}
self.__position_cumulativePNL = {
} #mid 当前 symbol 持有头寸cumulative pnl 价值(包括该symbol多头和空头的所有开仓平仓产生的pnl)
self.__buy = {}
self.__sell = {}
for instrument in self.instruments:
dataSeries = feed[instrument]
dataSeries.setMaxLen(mid_DEFAULT_MAX_LEN)
closeSeries = dataSeries.getCloseDataSeries()
#mid 2)
prices = closeSeries
prices.setMaxLen(mid_DEFAULT_MAX_LEN)
#mid follow vars will be used in subclass
self.closePrices[instrument] = prices
self.longPosition[instrument] = None
self.shortPosition[instrument] = None
self.buySignal[instrument] = False
self.sellSignal[instrument] = False
#mid follow vars will be used only this class
self.__long_exitBar_pnl[instrument] = None
self.__short_exitBar_pnl[instrument] = None
self.__long_position_volume[instrument] = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN) #mid 当前持有头寸数量
self.__short_position_volume[instrument] = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN) #mid 当前持有头寸数量
self.__long_position_cost[instrument] = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN) #mid 当前持有头寸开仓成本
self.__short_position_cost[instrument] = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN) #mid 当前持有头寸开仓成本
self.__long_position_currentBar_pnl[
instrument] = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN) #mid 当前持有头寸价值
self.__short_position_currentBar_pnl[
instrument] = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN) #mid 当前持有头寸价值
self.__short_position_pnl[instrument] = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN)
self.__long_position_pnl[instrument] = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN)
self.__position_cumulativePNL[instrument] = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN)
self.__buy[instrument] = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN)
self.__sell[instrument] = SequenceDataSeries(
maxLen=mid_DEFAULT_MAX_LEN)
def setUp(self):
super(DefaultStrategyTestCase, self).setUp()
self.barsBuilder = broker_backtesting_test.BarsBuilder(INSTRUMENT, bar.Frequency.MINUTE)
self.strategy = fillstrategy.DefaultStrategy(backtesting.DefaultInstrumentTraits())
