def __init__(self, worker, event, engine=None, callback=False):
self.worker = worker
self.event = event
self.res = None
self.callback = callback
self.task_id = QA_util_random_with_topic('Task')
self.engine = engine
def __init__(self, strategy_name=None, user=None, market_type=MARKET_TYPE.STOCK_CN, frequence=FREQUENCE.DAY,
broker=BROKER_TYPE.BACKETEST, portfolio=None, account_cookie=None,
sell_available=None, init_assets=None, cash=None, history=None,
margin_level=False, allow_t0=False, allow_sellopen=False):
super().__init__()
self._history_headers = ['datetime', 'code', 'price',
'amount', 'order_id', 'trade_id', 'commission','tax']
# 信息类:
self.strategy_name = strategy_name
self.user = user
self.market_type = market_type
self.portfolio = portfolio
self.account_cookie = QA_util_random_with_topic(
'Acc') if account_cookie is None else account_cookie
self.broker = broker
self.frequence = frequence
self.market_data = None
self._currenttime = None
# 资产类
self.init_assets = 1000000 if init_assets is None else init_assets
self.cash = [self.init_assets] if cash is None else cash
self.cash_available = self.cash[-1] # 可用资金
self.sell_available = sell_available
self.history = [] if history is None else history
self.time_index = []
# 规则类
# 两个规则
# 1.是否允许t+0 及买入及结算
# 2.是否允许卖空开仓
# 3.是否允许保证金交易/ 如果不是false 就需要制定保证金比例(dict形式)
self.allow_t0 = allow_t0
self.allow_sellopen = allow_sellopen
self.margin_level = margin_level
def __init__(self, strategy_name=None, user_cookie=None, market_type=MARKET_TYPE.STOCK_CN, frequence=FREQUENCE.DAY,
broker=BROKER_TYPE.BACKETEST, portfolio_cookie=None, account_cookie=None,
sell_available={}, init_assets=None, cash=None, history=None, commission_coeff=0.00025, tax_coeff=0.0015,
margin_level=False, allow_t0=False, allow_sellopen=False):
"""
:param strategy_name: 策略名称
:param user_cookie: 用户cookie
:param market_type: 市场类别 默认QA.MARKET_TYPE.STOCK_CN A股股票
:param frequence: 账户级别 默认日线QA.FREQUENCE.DAY
:param broker: BROEKR类 默认回测 QA.BROKER_TYPE.BACKTEST
:param portfolio_cookie: 组合cookie
:param account_cookie: 账户cookie
:param sell_available: 可卖股票数
:param init_assets: 初始资产 默认 1000000 元 （100万）
:param cash: 可用现金 默认 是 初始资产 list 类型
:param history: 交易历史
:param commission_coeff: 交易佣金 :默认 万2.5 float 类型
:param tax_coeff: 印花税 :默认 千1.5 float 类型
:param margin_level: 保证金比例 默认False
:param allow_t0: 是否允许t+0交易 默认False
:param allow_sellopen: 是否允许卖空开仓 默认False
"""
super().__init__()
self._history_headers = ['datetime', 'code', 'price',
'amount', 'order_id', 'trade_id',
'account_cookie', 'commission', 'tax']
########################################################################
# 信息类:
self.strategy_name = strategy_name
self.user_cookie = user_cookie
self.market_type = market_type
self.portfolio_cookie = portfolio_cookie
self.account_cookie = QA_util_random_with_topic(
'Acc') if account_cookie is None else account_cookie
self.broker = broker
self.frequence = frequence
self.market_data = None
self._currenttime = None
self.commission_coeff = commission_coeff
self.tax_coeff = tax_coeff
self.running_time = datetime.datetime.now()
########################################################################
# 资产类
self.orders = QA_OrderQueue() # 历史委托单
self.init_assets = 1000000 if init_assets is None else init_assets
self.cash = [self.init_assets] if cash is None else cash
self.cash_available = self.cash[-1] # 可用资金
self.sell_available = sell_available
self.history = [] if history is None else history
self.time_index = []
########################################################################
# 规则类
# 两个规则
# 1.是否允许t+0 及买入及结算
# 2.是否允许卖空开仓
# 3.是否允许保证金交易/ 如果不是false 就需要制定保证金比例(dict形式)
self.allow_t0 = allow_t0
self.allow_sellopen = allow_sellopen
self.margin_level = margin_level
def __init__(self):
'''
随机初始化 user_cookie 的值
Acc+4数字id+4位大小写随机
'''
self.setting = QA_Setting()
self.portfolio_list = {}
self.user_cookie = QA_util_random_with_topic('USER')
def __init__(
self,
user_cookie=None,
username='******',
phone='defalut',
level='l1',
utype='guests',
password='******',
coins=10000,
money=0,
):
"""[summary]
Keyword Arguments:
user_cookie {[type]} -- [description] (default: {None}) 随机初始化 user_cookie 的值 Acc+4数字id+4位大小写随机
username {str} -- [description] (default: {'defalut'})
phone {str} -- [description] (default: {'defalut'})
level {str} -- [description] (default: {'l1'})
utype {str} -- [description] (default: {'guests'})
password {str} -- [description] (default: {'default'})
coins {int} -- [description] (default: {10000})
关于积分系统:
积分系统用于订阅策略, 取消订阅策略是不会增加积分的
"""
self.setting = QA_Setting()
self.portfolio_list = {}
# ==============================
self.phone = phone
self.level = level
self.utype = utype
self.password = password
self.username = username
self.user_cookie = QA_util_random_with_topic(
'USER') if user_cookie is None else user_cookie
self.coins = coins # 积分
self.money = money # 钱
# ==============================
self._subscribed_strategy = {}
self._subscribed_code = []
self._signals = [] # 预期收到的信号
self._cash = []
self._history = []
# ===============================
self.coins_history = []
self.coins_history_headers = [
'cost_coins', 'strategy_id', 'start', 'last', 'strategy_uuid',
'event'
]
self.sync()
def post(self):
backtest_name = self.get_argument(
'strategy_name', QA_util_random_with_topic('strategy'))
backtest_content = self.get_argument('strategy_content')
try:
with open('{}{}{}.py'.format(cache_path, os.sep, backtest_name),
'w') as f:
f.write(backtest_content)
self.write('ok')
except Exception as e:
self.write(e)
def post(self):
backtest_name = self.get_argument(
'strategy_name', QA_util_random_with_topic('strategy'))
backtest_content = self.get_argument('strategy_content')
filex = '{}{}{}.py'.format(cache_path, os.sep, backtest_name)
try:
with open(filex, 'w', encoding='utf-8') as f:
f.write(backtest_content)
self.write({'status': 'success', 'filepath': filex})
except Exception as e:
self.write({'status': 'wrong', 'filepath': ''})
def get(self):
"""[summary]
Arguments:
QABaseHandler {[type]} -- [description]
"""
backtest_content=self.get_argument('strategy_content')
try:
with open('{}{}{}.py'.format(cache_path,os.sep,QA_util_random_with_topic('strategy')),'w') as f:
f.write(backtest_content)
self.write('ok')
except Exception as e:
self.write(e)
def __init__(
self,
user_cookie=None,
username='******',
phone='defalut',
level='l1',
utype='guests',
password='******',
coins=10000,
wechat_id=None,
money=0,
*args,
**kwargs
):
"""[summary]
Keyword Arguments:
user_cookie {[type]} -- [description] (default: {None}) 随机初始化 user_cookie 的值 Acc+4数字id+4位大小写随机
username {str} -- [description] (default: {'defalut'})
phone {str} -- [description] (default: {'defalut'})
level {str} -- [description] (default: {'l1'})
utype {str} -- [description] (default: {'guests'})
password {str} -- [description] (default: {'default'})
coins {int} -- [description] (default: {10000})
关于积分系统:
积分系统用于订阅策略, 取消订阅策略是不会增加积分的
"""
#self.setting = QA_Setting()
self.client = DATABASE.user
## user_cookie/ username / wechat_id
self.client.create_index(
[
("user_cookie",
ASCENDING),
("username",
ASCENDING),
("wechat_id",
ASCENDING)
],
unique=True
)
self.portfolio_list = []
# ==============================
self.phone = phone
self.level = level
self.utype = utype
self.password = password
self.username = username
self.wechat_id = wechat_id
if wechat_id is not None:
if self.username == 'default':
"""基于web的初始化
"""
self.username = wechat_id
self.password = '******'
else:
"""
另一种 无 WECHATID 的模式, 适合本地python的调试
@yutiansut
"""
if self.username == 'default':
"""基于web的初始化
"""
self.username = '******'
self.password = '******'
self.user_cookie = QA_util_random_with_topic(
'USER'
) if user_cookie is None else user_cookie
self.coins = coins # 积分
self.money = money # 钱
# ==============================
self._subscribed_strategy = {}
"""
self._subscribed_code: {
'stock_cn': {
'000001': ['1min','5min'],
'600010': ['tick']
},
'future_cn': {
'rb1910.SHFE':['tick','60min'],
'IF1909.IFFEX':['tick','1min']
},
'index_cn': {
'000300': ['1min']
}
}
"""
self._subscribed_code = {
MARKET_TYPE.STOCK_CN: [],
MARKET_TYPE.FUTURE_CN: [],
MARKET_TYPE.INDEX_CN: [],
MARKET_TYPE.OPTION_CN: []
}
self._signals = [] # 预期收到的信号
self._cash = []
self._history = []
# ===============================
self.coins_history = []
self.coins_history_headers = [
'cost_coins',
'strategy_id',
'start',
'last',
'strategy_uuid',
'event'
]
self.sync()
def __init__(self,
strategy_name=None,
user_cookie=None,
portfolio_cookie=None,
account_cookie=None,
market_type=MARKET_TYPE.STOCK_CN,
frequence=FREQUENCE.DAY,
broker=BROKER_TYPE.BACKETEST,
init_hold={},
init_cash=1000000,
commission_coeff=0.00025,
tax_coeff=0.001,
margin_level=False,
allow_t0=False,
allow_sellopen=False,
running_environment=RUNNING_ENVIRONMENT.BACKETEST):
"""
:param [str] strategy_name: 策略名称
:param [str] user_cookie: 用户cookie
:param [str] portfolio_cookie: 组合cookie
:param [str] account_cookie: 账户cookie
:param [dict] init_hold 初始化时的股票资产
:param [float] init_cash: 初始化资金
:param [float] commission_coeff: 交易佣金 :默认 万2.5 float 类型
:param [float] tax_coeff: 印花税 :默认 千1.5 float 类型
:param [Bool] margin_level: 保证金比例 默认False
:param [Bool] allow_t0: 是否允许t+0交易 默认False
:param [Bool] allow_sellopen: 是否允许卖空开仓 默认False
:param [QA.PARAM] market_type: 市场类别 默认QA.MARKET_TYPE.STOCK_CN A股股票
:param [QA.PARAM] frequence: 账户级别 默认日线QA.FREQUENCE.DAY
:param [QA.PARAM] broker: BROEKR类 默认回测 QA.BROKER_TYPE.BACKTEST
:param [QA.PARAM] running_environment 当前运行环境 默认Backtest
# 2018/06/11 init_assets 从float变为dict,并且不作为输入,作为只读属性
# :param [float] init_assets: 初始资产 默认 1000000 元 （100万）
init_assets:{
cash: xxx,
stock: {'000001':2000},
init_date: '2018-02-05',
init_datetime: '2018-02-05 15:00:00'
}
# 2018/06/11 取消在初始化的时候的cash和history输入
# :param [list] cash: 可用现金 默认 是 初始资产 list 类型
# :param [list] history: 交易历史
# 2018/11/9 修改保证金交易
# 我们把冻结的保证金 看做是未来的已实现交易:
# 如==> 当前的一手空单 认为是未来的卖出成交(已知价格 不知时间)
# 因此我们如此对于保证金交易进行评估:
# 账户买入:
多单开仓: cash 下降x 保证金增加x 增加一手未来的卖出合约(持仓) ==> 平仓: cash上升 保证金恢复
cash + frozen(平仓释放) + 未平仓位
cash, available_cash
frozen{
RB1901: {
towards 2: {avg_money : xxx, amount: xxx, queue: collection.deque()},
towards -2: {avg_money, amount, queue: collection.deque()}
},
IF1901: {
towards 2: {avg_money, amount,queue: collection.deque()},
towards -2: {avg_money, amount,queue: collection.deque()}
}
}
}
hold: {
RB1901: {
1, amount, # 多单待平仓
-1, amount # 空单待平仓
}
}
"""
super().__init__()
# warnings.warn('QUANTAXIS 1.0.46 has changed the init_assets ==> init_cash, please pay attention to this change if you using init_cash to initial an account class,\
# ', DeprecationWarning, stacklevel=2)
self._history_headers = [
'datetime', 'code', 'price', 'amount', 'cash', 'order_id',
'realorder_id', 'trade_id', 'account_cookie', 'commission', 'tax',
'message'
]
########################################################################
# 信息类:
self.strategy_name = strategy_name
self.user_cookie = user_cookie
self.portfolio_cookie = portfolio_cookie
self.account_cookie = QA_util_random_with_topic(
'Acc') if account_cookie is None else account_cookie
self.market_type = market_type
self.broker = broker
self.frequence = frequence
self.running_environment = running_environment
########################################################################
self._market_data = None
self._currenttime = None
self.commission_coeff = commission_coeff
self.tax_coeff = tax_coeff
self.datetime = None
self.running_time = datetime.datetime.now()
self.quantaxis_version = __version__
########################################################################
# 资产类
self.orders = QA_OrderQueue() # 历史委托单
self.init_cash = init_cash
self.init_hold = pd.Series(init_hold, name='amount') if isinstance(
init_hold, dict) else init_hold
self.init_hold.index.name = 'code'
self.cash = [self.init_cash]
self.cash_available = self.cash[-1] # 可用资金
self.sell_available = copy.deepcopy(self.init_hold)
self.buy_available = copy.deepcopy(self.init_hold)
self.history = []
self.time_index = []
########################################################################
# 规则类
# 1.是否允许t+0 及买入及结算
# 2.是否允许卖空开仓
# 3.是否允许保证金交易/ 如果不是false 就需要制定保证金比例(dict形式)
# 期货: allow_t0 True allow_sellopen True
#
self.allow_t0 = allow_t0
self.allow_sellopen = allow_sellopen
self.margin_level = margin_level # 保证金比例
"""期货的多开/空开 ==> 资金冻结进保证金 frozen
对应平仓的时候, 释放保证金
1. frozen 是一个dict : {[code]:queue}
key是标的 value是对应的交易queue
"""
self.frozen = {} # 冻结资金(保证金)
def __init__(self,
strategy_name=None,
user_cookie=None,
portfolio_cookie=None,
account_cookie=None,
market_type=MARKET_TYPE.STOCK_CN,
frequence=FREQUENCE.DAY,
broker=BROKER_TYPE.BACKETEST,
init_hold={},
init_cash=1000000,
commission_coeff=0.00025,
tax_coeff=0.0015,
margin_level=False,
allow_t0=False,
allow_sellopen=False,
running_environment=RUNNING_ENVIRONMENT.BACKETEST):
"""
:param [str] strategy_name: 策略名称
:param [str] user_cookie: 用户cookie
:param [str] portfolio_cookie: 组合cookie
:param [str] account_cookie: 账户cookie
:param [dict] init_hold 初始化时的股票资产
:param [float] init_cash: 初始化资金
:param [float] commission_coeff: 交易佣金 :默认 万2.5 float 类型
:param [float] tax_coeff: 印花税 :默认 千1.5 float 类型
:param [Bool] margin_level: 保证金比例 默认False
:param [Bool] allow_t0: 是否允许t+0交易 默认False
:param [Bool] allow_sellopen: 是否允许卖空开仓 默认False
:param [QA.PARAM] market_type: 市场类别 默认QA.MARKET_TYPE.STOCK_CN A股股票
:param [QA.PARAM] frequence: 账户级别 默认日线QA.FREQUENCE.DAY
:param [QA.PARAM] broker: BROEKR类 默认回测 QA.BROKER_TYPE.BACKTEST
:param [QA.PARAM] running_environment 当前运行环境 默认Backtest
# 2018/06/11 init_assets 从float变为dict,并且不作为输入,作为只读属性
# :param [float] init_assets: 初始资产 默认 1000000 元 （100万）
init_assets:{
cash: xxx,
stock: {'000001':2000},
init_date: '2018-02-05',
init_datetime: '2018-02-05 15:00:00'
}
# 2018/06/11 取消在初始化的时候的cash和history输入
# :param [list] cash: 可用现金 默认 是 初始资产 list 类型
# :param [list] history: 交易历史
"""
super().__init__()
warnings.warn(
'QUANTAXIS 1.0.46 has changed the init_assets ==> init_cash, please pay attention to this change if you using init_cash to initial an account class,\
',
DeprecationWarning,
stacklevel=2)
self._history_headers = [
'datetime', 'code', 'price', 'amount', 'cash', 'order_id',
'trade_id', 'account_cookie', 'commission', 'tax'
]
########################################################################
# 信息类:
self.strategy_name = strategy_name
self.user_cookie = user_cookie
self.portfolio_cookie = portfolio_cookie
self.account_cookie = QA_util_random_with_topic(
'Acc') if account_cookie is None else account_cookie
self.market_type = market_type
self.broker = broker
self.frequence = frequence
self.running_environment = running_environment
########################################################################
self.market_data = None
self._currenttime = None
self.commission_coeff = commission_coeff
self.tax_coeff = tax_coeff
self.datetime = None
self.running_time = datetime.datetime.now()
self.quantaxis_version = __version__
########################################################################
# 资产类
self.orders = QA_OrderQueue() # 历史委托单
self.init_cash = init_cash
self.init_hold = pd.Series(init_hold, name='amount') if isinstance(
init_hold, dict) else init_hold
self.init_hold.index.name = 'code'
self.cash = [self.init_cash]
self.cash_available = self.cash[-1] # 可用资金
self.sell_available = copy.deepcopy(self.init_hold)
self.buy_available = copy.deepcopy(self.init_hold)
self.history = []
self.time_index = []
########################################################################
# 规则类
# 两个规则
# 1.是否允许t+0 及买入及结算
# 2.是否允许卖空开仓
# 3.是否允许保证金交易/ 如果不是false 就需要制定保证金比例(dict形式)
self.allow_t0 = allow_t0
self.allow_sellopen = allow_sellopen
self.margin_level = margin_level
def __init__(self):
self.setting = QA_Setting()
self.portfolio_list = {}
self.user_cookie = QA_util_random_with_topic('USER')
def QA_VectorBacktest_adv(backtest_id = None,
code_list = None,
in_sample_year_list = None,
out_sample_year_list = None,
in_sample_timeperiod = None,
out_sample_timeperiod = None,
all_yeal_list = None,
all_timeperiod = None,
data_engine = None,
data_freq = None,
func = None,
comission = 0.00025,
params=None,
params_optimize_dict=None,
if_optimize_parameters=False,
root_save_path=None,
if_reload_save_files=True,
if_legend=True,
code_num_each_process = 5
):
backtest_id = QA_util_random_with_topic(topic='backtest', lens=8) if backtest_id == None else backtest_id
print('######################################################################################')
print('此次回测的回测id:{}'.format(backtest_id))
print('此次回测的回测根目录:{}'.format(root_save_path))
if_in_sample = False
if_out_sample = False
if_all_sample = False
backtest_list = []
if (in_sample_year_list!=None)|(in_sample_timeperiod != None):
if_in_sample = True
backtest_list.append('样本内')
if (out_sample_year_list!=None)|(out_sample_timeperiod != None):
if_out_sample = True
backtest_list.append('样本外')
if (all_yeal_list!=None)|(all_timeperiod != None):
if_all_sample = True
backtest_list.append('全样本')
print('此次回测的回测列表：{}'.format(backtest_list))
if if_in_sample:
in_sample_path = os.path.join(root_save_path,backtest_id,'in_sample')
print('此次回测的样本内回测目录:{}'.format(in_sample_path))
if if_out_sample:
out_sample_path = os.path.join(root_save_path, backtest_id, 'out_sample')
print('此次回测的样本外回测目录:{}'.format(out_sample_path))
if if_all_sample:
all_sample_path = os.path.join(root_save_path, backtest_id, 'all_sample')
print('此次回测的全样本回测目录:{}'.format(all_sample_path))
'''样本内回测'''
if if_in_sample:
if in_sample_timeperiod==None:
print('开始样本内测试，样本内测试年份：{}'.format(in_sample_year_list))
data_start = min(in_sample_year_list)+'-01-01 00:00:00'
data_end = max(in_sample_year_list)+'-12-31 23:59:00'
run_year_list = in_sample_year_list
elif in_sample_year_list==None:
print('开始样本内测试，样本内测试开始时间：{}，样本内测试结束时间：{}'.format(in_sample_timeperiod[0],in_sample_timeperiod[1]))
data_start = in_sample_timeperiod[0]
data_end = in_sample_timeperiod[1]
run_year_list = None
result,simple_result,params_res,res_group_average,simple_res_group_average,params_res_group_average = QA_VectorBacktest(data = data_engine(code_list,data_start,data_end,data_freq).data,
func = func,
comission = comission,
params = params,
params_optimize_dict = params_optimize_dict,
run_year_list = run_year_list,
if_optimize_parameters = True,
if_reorder_params = True,
save_path = in_sample_path,
if_reload_save_files = if_reload_save_files,
if_legend= if_legend,
code_list= code_list,
code_num_each_process = code_num_each_process
)
