def _initialize(self, strategy=None, start=None, end=None, timezone=None, commission=None):
self.start = start
self.end = end
self.commission = commission
self.timezone=timezone
self.portfolio = Portfolio(strategy, start, end, commission,
self.frequency, self.refresh_rate, self.trigger_time)
self.context = self.portfolio.context
# 最小精度
self.context.min_order = {}
for univ in self.universe:
exchange = univ.split('.')[1]
self.context.min_order[exchange] = {}
# print(self.context.min_order)
for univ in self.universe:
exchange = univ.split('.')[1]
symbol = univ.split('.')[0].lower()
min_order_qty, min_order_amount = get_min_order(exchange, symbol)
self.context.min_order[exchange][symbol] = {'min_order_qty':min_order_qty,
'min_order_amount':min_order_amount}
# 记录universe所有的asset
self.universe_assets = list()
for univ in self.universe:
base_asset = univ.split('.')[0].split('/')[0].lower()
quote_asset = univ.split('.')[0].split('/')[1].lower()
if base_asset not in self.universe_assets:
self.universe_assets.append(base_asset)
if quote_asset not in self.universe_assets:
self.universe_assets.append(quote_asset)
self.all_assets = list(set(AccountManager().asset_varieties + self.universe_assets))
# print(self.all_assets)
# # 初始每个账户添加除初始化之外的universe的asset
# for name,account in self.portfolio.accounts.items():
# for asset in universe_assets:
# if asset not in account.current_position.keys():
# account.current_position[asset] = SpotPosition('spot', asset, 0, 0, 0, 0)
self.total_dates = get_total_dates(self.frequency, 1, self.trigger_time, self.start, self.end)
self.strategy_dates = get_total_dates(self.frequency, self.refresh_rate, self.trigger_time, self.start, self.end)
if self.frequency in ['d','1d','day','1day']:
self.day_date=get_day_dates(self.start, self.end,self.refresh_rate)
else:
self.day_date=get_day_dates(self.start, self.end)
# 先输出report的dates信息，画图用
output({"display_type": "strategy",
"dates":self.day_date})
try:
self.initialize(self.context)
except Exception:
output({"display_type": "error",
"error_msg": traceback.format_exc()})
return 1
class Strategy(object):
def __new__(cls, *args, **kwargs):
if not hasattr(cls, '_instance'):
_instance = super(Strategy, cls).__new__(cls)
cls._instance = _instance
return cls._instance
def __init__(self, initialize=None, handle_data=None, universe=None,
benchmark=None, freq=None, refresh_rate=None):
"""
:param initialize: initialize
:param handle_data: handle_data
:param universe: ('BTC/USDT.okex', 'ETH/BTC.okex', 'XBT/USD.bitmex')
:param benchmark: 'csi5' # 策略参考标准
:param freq: 'd', # 'd'日线回测，'m'15分钟线回测
:param refresh_rate: 1 or (1,['08:00:00']) or (1,['08:00:00','18:00:00']),
# 调仓时间间隔，若freq = 'd'的单位为交易日，若freq = 'm'时间间隔为分钟
:param trigger_time: '08:00' # 日级别调仓时间,时区为UTC
"""
self.initialize = initialize
self.handle_data = handle_data
self.universe = universe
self.benchmark = benchmark
self.frequency = freq
# self.refresh_rate = refresh_rate
self.refresh_rate = refresh_rate[0] if isinstance(refresh_rate, (tuple)) else refresh_rate
self.trigger_time = refresh_rate[1] if isinstance(refresh_rate, (tuple)) else None
self.start = None
self.end = None
self.commission = None
# self.asset_varieties = None
self.portfolio = None
self.context = None
self.cache_data = None
self.universe_assets = None
self.all_assets = None
self.total_dates = None
self.strategy_dates = None
def _initialize(self, strategy=None, start=None, end=None, timezone=None, commission=None):
self.start = start
self.end = end
self.commission = commission
self.timezone=timezone
self.portfolio = Portfolio(strategy, start, end, commission,
self.frequency, self.refresh_rate, self.trigger_time)
self.context = self.portfolio.context
# 最小精度
self.context.min_order = {}
for univ in self.universe:
exchange = univ.split('.')[1]
self.context.min_order[exchange] = {}
# print(self.context.min_order)
for univ in self.universe:
exchange = univ.split('.')[1]
symbol = univ.split('.')[0].lower()
min_order_qty, min_order_amount = get_min_order(exchange, symbol)
self.context.min_order[exchange][symbol] = {'min_order_qty':min_order_qty,
'min_order_amount':min_order_amount}
# 记录universe所有的asset
self.universe_assets = list()
for univ in self.universe:
base_asset = univ.split('.')[0].split('/')[0].lower()
quote_asset = univ.split('.')[0].split('/')[1].lower()
if base_asset not in self.universe_assets:
self.universe_assets.append(base_asset)
if quote_asset not in self.universe_assets:
self.universe_assets.append(quote_asset)
self.all_assets = list(set(AccountManager().asset_varieties + self.universe_assets))
# print(self.all_assets)
# # 初始每个账户添加除初始化之外的universe的asset
# for name,account in self.portfolio.accounts.items():
# for asset in universe_assets:
# if asset not in account.current_position.keys():
# account.current_position[asset] = SpotPosition('spot', asset, 0, 0, 0, 0)
self.total_dates = get_total_dates(self.frequency, 1, self.trigger_time, self.start, self.end)
self.strategy_dates = get_total_dates(self.frequency, self.refresh_rate, self.trigger_time, self.start, self.end)
if self.frequency in ['d','1d','day','1day']:
self.day_date=get_day_dates(self.start, self.end,self.refresh_rate)
else:
self.day_date=get_day_dates(self.start, self.end)
# 先输出report的dates信息，画图用
output({"display_type": "strategy",
"dates":self.day_date})
try:
self.initialize(self.context)
except Exception:
output({"display_type": "error",
"error_msg": traceback.format_exc()})
return 1
async def _handle_data(self):
# print("******************************************************************")
clock = self.context.clock
current_date = clock.current_date
logger.current_date = current_date
current_timestamp = clock.current_timestamp
# print(current_date)
prebars=clock.pre_bar
pre_start = str(str2datetime(self.start) - datetime.timedelta(days=prebars))
try:
if not self.cache_data:
self.cache_data = self.context.prepare_data(self.universe, self.all_assets, self.benchmark,
self.frequency, pre_start, self.end, self.timezone)
except Exception:
output({"display_type": "error",
"error_msg": traceback.format_exc()})
return 1
# 记录初始持仓
start = self.start + ' ' + self.trigger_time[0] if self.trigger_time else self.start # 只支持一个trigger_time
if current_timestamp == str2timestamp(start):
for name, account in self.portfolio.accounts.items():
for asset, position in account.current_position.items():
position.context = self.context
init_portfolio_position = dict()
for asset in self.context.asset_varieties:
init_pp_detail = PortfolioPosition(self.context, asset, self.portfolio.accounts).detail()
init_portfolio_position[asset] = init_pp_detail
self.context.init_portfolio_position = init_portfolio_position
self.context.init_position_total = sum([asset['total_amount'] for asset in init_portfolio_position.values()])
self.context.init_total_account_position = {}
for name in self.context.accounts_name:
name_position = "{}_position".format(name)
total_amount = 0
for asset,value in self.context.init_portfolio_position.items():
if name in value['consist_of'].keys():
total_amount += value['consist_of'][name]['amount']
self.context.init_total_account_position[name_position] = total_amount
# logger.info('【记录初始持仓时间】：{} s'.format(str(time.time() - start2)[:5]))
try:
if str(current_date) in self.strategy_dates:
self.handle_data(self.context)
except Exception:
output({"display_type": "error",
"error_msg": traceback.format_exc()})
return 1
self.portfolio.record_history()
# logger.info('【_handle_data耗时】：{} s'.format(str(time.time() - start2)[:5]))
# print("******************************************************************", end='\n\n')
def simple_report(self):
report = SimpleReport(self.portfolio)
simple_report = report.run()
output(simple_report)
def complete_report(self):
report = CompleteReport(self.portfolio)
complete_report = report.run()
output(complete_report)
def simplereport_excel(self):
report = SimpleReport(self.portfolio)
simple_report = report.run()
output(simple_report)
# 回测报告以excel表格形式输出
workbook=xlwt.Workbook(encoding='utf-8')
sheet1=workbook.add_sheet('sheet1',cell_overwrite_ok=True)
c=0
for key,value in simple_report.items():
sheet1.write(0,c,key)
if isinstance(value,list):
s1=len(value)
for s2 in range(0,s1):
temp=value[s2]
sheet1.write(s2+1,c,temp)
else:
sheet1.write(1,c,value)
c+=1
root1=os.getcwd() #获得当前目录路径，用来存放回测报告
adress1=root1+'/'+'simple_report.xls' #保存报告的地址
print(adress1)
workbook.save(adress1)
#净值图形输出
plt.plot(simple_report["cumulative_returns"])
plt.title("Cumulative_returns",fontsize='large')
plt.show()