开源分布式量化交易系统——回测系统（二）
策略核心类
为了保证回测与仿真的策略代码一致性，咱们定义一个接口类，将后续编写策略即将用到的属性和方法在该类中一一列出，回测基类和仿真的类只需继承该类便可，下面咱们先解析下IStrategy接口。git
using System;
using System.Collections.Generic;
namespace EPI.CSharp.Model
{
/// <summary>
/// 策略接口
/// </summary>
public interface IStrategy
{
/// <summary>
/// 加载数据次数
/// </summary>
int LoadDataCount { get; set; }
/// <summary>
/// 策略配置
/// </summary>
Settings Setting { get; set; }
/// <summary>
/// 加载Bar数据
/// </summary>
/// <param name="contract">合约</param>
/// <param name="cycle">周期</param>
/// <param name="start">开始时间（包含）</param>
/// <param name="end">结束时间（不包含）</param>
/// <param name="isBarBaseOnTick">Bar是基于Tick生成</param>
bool LoadBarDatas(string contract, string cycle, string start, string end,
bool isBarBaseOnTick);
/// <summary>
/// 加载Bar数据
/// </summary>
/// <param name="contract">合约</param>
/// <param name="cycle">周期</param>
/// <param name="takeNumber">条数</param>
/// <param name="isBarBaseOnTick">Bar是基于Tick生成</param>
/// <returns></returns>
bool LoadBarDatas(string contract, string cycle, int takeNumber, bool
isBarBaseOnTick);
/// <summary>
/// 数据加载完成
/// </summary>
/// <param name="contract">合约</param>
/// <param name="cycle">周期</param>
/// <param name="barDatas">数据</param>
/// <param name="isLast">是否最后一批数据</param>
void FinishedLoadData(string contract, string cycle, List<BarData>
barDatas, bool isLast);
/// <summary>
/// 初始化
/// </summary>
/// <param name="sender">策略参数</param>
/// <returns></returns>
bool InitStrategy(object sender);
/// <summary>
/// 初始化配置
/// </summary>
/// <param name="setting">配置</param>
/// <returns></returns>
bool InitSetting(string setting);
/// <summary>
/// 初始化入库字段
/// </summary>
void InitDBFields();
/// <summary>
/// 保存入库字段
/// </summary>
void SaveDBFields();
/// <summary>
/// 初始化策略
/// </summary>
bool StartStrategy();
/// <summary>
/// 写日志
/// </summary>
/// <param name="msg">消息</param>
/// <param name="isError">是否错误</param>
void Log(string msg, bool isError = false);
/// <summary>
/// 写日志
/// </summary>
/// <param name="title">标题</param>
/// <param name="ex">错误</param>
void Log(string title, Exception ex);
/// <summary>
/// 获取前根Bar
/// </summary>
/// <param name="contract">合约</param>
/// <param name="cycle">周期</param>
/// <param name="num">前面第几根(0:前一根,1:前前根)</param>
/// <returns></returns>
BarData GetPreData(string contract, string cycle, int num = 0);
/// <summary>
/// 买入
/// </summary>
/// <param name="contract">合约</param>
/// <param name="number">数量</param>
/// <returns></returns>
string Buy(string contract, int number);
/// <summary>
/// 买入
/// </summary>
/// <param name="contract">合约</param>
/// <param name="price">价格</param>
/// <param name="number">数量</param>
/// <returns></returns>
string Buy(string contract, double price, int number);
/// <summary>
/// 卖出
/// </summary>
/// <param name="contract">合约</param>
/// <param name="number">数量</param>
/// <returns></returns>
string Sell(string contract, int number);
/// <summary>
/// 卖出
/// </summary>
/// <param name="contract">合约</param>
/// <param name="price">价格</param>
/// <param name="number">数量</param>
/// <returns></returns>
string Sell(string contract, double price, int number);
/// <summary>
/// 撤销订单
/// </summary>
/// <param name="clientOrderId">订单号</param>
bool Cancel(string clientOrderId);
/// <summary>
/// 用于接收Tick数据（若是在里面写大量逻辑，可能致使丢包）
/// </summary>
/// <param name="tickData"></param>
void RtnTickData(TickData tickData);
/// <summary>
/// 用于接收Bar数据（若是在里面写大量逻辑，可能致使丢包）
/// </summary>
/// <param name="barData">Bar数据</param>
/// <param name="isNewBar">是否新Bar</param>
void RtnBarData(BarData barData, bool isNewBar);
/// <summary>
/// 返回交易回报
/// </summary>
/// <param name="order"></param>
void RtnOrder(Orders order);
/// <summary>
/// 返回成交明细
/// </summary>
/// <param name="trade"></param>
void RtnTrade(Trades trade);
/// <summary>
/// 返回消息
/// </summary>
/// <param name="msg"></param>
void RtnMessage(Messages msg);
/// <summary>
/// 中止策略
/// </summary>
void StopStrategy();
/// <summary>
/// 获取持仓信息
/// </summary>
/// <returns></returns>
Positions GetPosition(string contract);
/// <summary>
/// 获取策略报告
/// </summary>
/// <returns></returns>
Reports GetReport();
/// <summary>
/// 获取合约信息
/// </summary>
/// <param name="contract"></param>
/// <returns></returns>
Contracts GetContract(string contract);
/// 转换参数
/// </summary>
/// <param name="sender"></param>
/// <returns></returns>
string[] ConvertParams(object sender);
}
}
策略编写流程
其中须要特殊说明的是：因为加载历史数据采用的是异步方式，咱们经过统计返回加载数据完成次数与预设的加载次数相同来判断本次全部数据加载是否完成，即LoadBarDatas的调用次数必须与用户设置LoadDataCount的值相等表明完成，这样才会触发回调FinishedLoadData方法，具体参见Github源码。github
回测基类
回测类首选要模拟测试数据，而且异步推送数据，而且实时进行结算，最后生成策略报告。web
using EPI.CSharp.Commons;
using EPI.CSharp.Model;
using EPI.CSharp.Model.Enums;
using EPI.CSharp.Services;
using System;
using System.Collections.Generic;
using System.IO;
using System.Linq;
using System.Reflection;
using System.Text;
using System.Threading;
using System.Threading.Tasks;
namespace EPI.CSharp.Api
{
public class BaseFastTest:IStrategy
{
#region 私有变量
string preTradeDay;
string minCycle;
bool isChangedDay;
Reports report;
List<BarData> totalCsvDataList; //Csv文件数据
List<DailyMoneys> dailyMoneyList; //每日资金队列
List<BarData> testBarDataList; //测试Bar数据集
List<string> pendingOrderList; //挂单队列
List<Trades> strategyRspTradeList; //策略成交队列
List<Orders> strategyRspOrderList; //策略委托队列
Dictionary<string, DateTime> startTimeDict; //测试开始时间字典
Dictionary<string, List<BarData>> preBarsDict; //获取前几根Bar字典
Dictionary<string, BarData> curBarDict; //实时bar数据字典
Dictionary<string, Contracts> contractDict; //合约信息字典
Dictionary<string, Positions> positionDict; //持仓字典
#endregion
public BaseFastTest(int userId, string strategyId)
{
report = new Reports()
{
Id = Guid.NewGuid().ToString("N"),
StrategyId = strategyId,
UserId = userId
};
totalCsvDataList = new List<BarData>();
pendingOrderList = new List<string>();
testBarDataList = new List<BarData>();
dailyMoneyList = new List<DailyMoneys>();
preBarsDict = new Dictionary<string, List<BarData>>();
curBarDict = new Dictionary<string, BarData>();
contractDict = new Dictionary<string, Contracts>();
positionDict = new Dictionary<string, Positions>();
startTimeDict = new Dictionary<string, DateTime>();
strategyRspTradeList = new List<Trades>();
strategyRspOrderList = new List<Orders>();
}
#region 委托方法
public delegate void OnRtnLogDelegate(string msg, bool isError = false);
public event OnRtnLogDelegate OnRtnLogEvent;
public delegate void OnRtnErrorDelegate(string title, Exception ex);
public event OnRtnErrorDelegate OnRtnErrorEvent;
public delegate void TestFinishedDelegate(
Reports report,
Dictionary<string, Positions> positionDict,
List<DailyMoneys> dailyMoneys,
List<Trades> trades);
public event TestFinishedDelegate OnTestFinishedEvent;
#endregion
#region 公共属性
/// <summary>
/// 策略配置
/// </summary>
public Settings Setting { get; set; }
/// <summary>
/// 加载数据次数
/// </summary>
public int LoadDataCount { get; set; }
public bool IsSavedToCsv { get; set; }
#endregion
#region 私有方法
/// <summary>
/// 设置最小周期
/// </summary>
/// <param name="cycleArray"></param>
void SetMinCycle(string[] cycleArray)
{
if (cycleArray != null && cycleArray.Length > 0)
{
int minNumber = int.MaxValue;
minCycle = "1M";
foreach (var cycle in cycleArray)
{
int number = int.Parse(cycle.Substring(0, cycle.Length - 1));
switch (cycle[cycle.Length - 1])
{
case 'H': number = number * 60; break;
case 'D': number = number * 60 * 24; break;
case 'W': number = number * 60 * 24 * 7; break;
case 'Y': number = number * 60 * 24 * 365; break;
}
if (number < minNumber)
{
minNumber = number;
minCycle = cycle;
}
}
}
}
/// <summary>
/// 开始Bar回测
/// </summary>
void BeginBarTest()
{
List<BarData> totalTestBarList = new List<BarData>();
totalTestBarList.AddRange(testBarDataList);
totalTestBarList = totalTestBarList.OrderBy(b => b.RealDateTime).ThenByDescending(b => StringHelper.ConvertCycleToMinute(b.Cycle)).ToList();
for (int i = 0; i < totalTestBarList.Count; i++)
{
var data = totalTestBarList[i];
if (string.IsNullOrEmpty(preTradeDay))
preTradeDay = data.TradingDay;
if (preTradeDay != data.TradingDay)
{
DoChangedDay(preTradeDay);
preTradeDay = data.TradingDay;
}
string key = string.Format("{0}_{1}", data.Cycle, data.Contract);
if (curBarDict.ContainsKey(key))
curBarDict[key] = data;
else
curBarDict.Add(key, data);
if (!preBarsDict.ContainsKey(key))
preBarsDict.Add(key, new List<BarData>());
if (data.Cycle == minCycle)
{
foreach (var order in pendingOrderList)
{
var values = order.Split(',');
SendOrder(values[0], values[1], string.IsNullOrEmpty(values[2]) ? JPR.NaN : double.Parse(values[2]),
values[3] == "1" ? EnumSide.Buy : EnumSide.Sell, int.Parse(values[4]));
}
pendingOrderList.Clear();
}
try
{
RtnBarData(data, true);
}
catch (Exception ex)
{
Log("RtnBarData Error", ex);
break;
}
if (preBarsDict[key].Count > 10)
{
preBarsDict[key].RemoveAt(0);
}
preBarsDict[key].Add(data);
isChangedDay = false;
}
CalculateLeftProfit();
//保存用户入库变量
Log("Bar测试完成");
}
/// <summary>
/// 换日处理
/// </summary>
/// <param name="preTradeDay"></param>
private void DoChangedDay(string preTradeDay)
{
lock (report)
{
var netVolume = 0;
for (int i = 0; i < positionDict.Count; i++)
{
var std = positionDict.ElementAt(i);
if (std.Value.NetVolume != 0)
{
netVolume = std.Value.NetVolume;
}
}
if (netVolume != 0)
{
report.CurHoldDayCount++;
report.MaxHoldDayCount = Math.Max(report.MaxHoldDayCount, report.CurHoldDayCount);
}
else
{
report.CurHoldDayCount = 0;
}
report.TradedDays++;
CalculateDailyProfit(preTradeDay);
isChangedDay = true;
}
}
/// <summary>
/// 计算日盈亏
/// </summary>
/// <param name="preTradeDay"></param>
void CalculateDailyProfit(string preTradeDay)
{
double totalProfit = 0, totalCommission = 0, totalSlippedFee = 0, totalMargin = 0;
int totalNetVolume = 0;
double closePrice = 0;
foreach (var contract in Setting.Contracts)
{
double leftLongMarketValue = 0;
double leftShortMarketValue = 0;
var leftVolume = positionDict[contract].NetVolume;
if (leftVolume != 0)
{
DateTime lastTime = DateTime.Now;
if (contractDict.ContainsKey(contract))
{
double singleOffset = 0;
BarData preData = null;//GetPreData(Setting.Contract, minCycle);
preData = GetPreData(contract, minCycle);
string key = minCycle + "_" + contract;
if (preData != null)
{
closePrice = preData.Close;
lastTime = preData.RealDateTime;
singleOffset = preData.Offset;
}
else
{
closePrice = curBarDict[key].Open;
lastTime = curBarDict[key].RealDateTime;
singleOffset = curBarDict[key].Offset;
}
if (leftVolume > 0)
{
positionDict[contract].LongPrice = closePrice;
positionDict[contract].ShortPrice = 0;
positionDict[contract].LongVolume = leftVolume;
positionDict[contract].ShortVolume = 0;
leftShortMarketValue = (closePrice) * Math.Abs(leftVolume) * contractDict[contract].VolumeMultiple;
positionDict[contract].ShortMarketValue += leftShortMarketValue;
}
else if (leftVolume < 0)
{
positionDict[contract].LongPrice = 0;
positionDict[contract].ShortPrice = closePrice;
positionDict[contract].LongVolume = 0;
positionDict[contract].ShortVolume = Math.Abs(leftVolume);
leftLongMarketValue = (closePrice) * Math.Abs(leftVolume) * contractDict[contract].VolumeMultiple;
positionDict[contract].LongMarketValue += leftLongMarketValue;
}
}
}
else
{
positionDict[contract].LongPrice = 0;
positionDict[contract].ShortPrice = 0;
positionDict[contract].LongVolume = 0;
positionDict[contract].ShortVolume = 0;
positionDict[contract].LongMarketValue = 0;
positionDict[contract].ShortMarketValue = 0;
}
double dailyProfit = positionDict[contract].ShortMarketValue - positionDict[contract].LongMarketValue;
totalProfit += dailyProfit;
totalCommission += positionDict[contract].Fee;
totalSlippedFee += positionDict[contract].SlippageFee;
totalMargin += positionDict[contract].UsedMargin;
positionDict[contract].LongMarketValue = leftShortMarketValue;
positionDict[contract].ShortMarketValue = leftLongMarketValue;
if (leftVolume > 0)
{
positionDict[contract].LongVolume = leftVolume;
positionDict[contract].ShortVolume = 0;
}
else
{
positionDict[contract].ShortVolume = Math.Abs(leftVolume);
positionDict[contract].LongVolume = 0;
}
totalNetVolume += leftVolume;
}
lock (report)
{
report.TotalProfit += totalProfit;
report.MaxRight = Math.Max(report.MaxRight, report.InitRight + totalProfit);
if (totalProfit > 0)
{
report.MaxWin = Math.Max(totalProfit, report.MaxWin);
}
else
{
report.MaxLoss = Math.Min(totalProfit, report.MaxLoss);
if (report.MaxBack < report.MaxRight - (report.InitRight+report.TotalProfit))
{
report.MaxBack = report.MaxRight - (report.InitRight + report.TotalProfit);
report.MaxBackTime = DateTime.ParseExact(preTradeDay, "yyyyMMdd", null);
}
}
//计算日报表
var dailyMoney = new DailyMoneys()
{
StrategyId = report.StrategyId,
UserId = report.UserId,
Right = report.InitRight + report.TotalProfit,
Fee = totalCommission,
Profit = totalProfit,
NetVolume = totalNetVolume,
UsedMargin = totalMargin,
CreateTime = DateTime.ParseExact(preTradeDay, "yyyyMMdd", null)
};
DailyMoneys preDaiyMoney = dailyMoneyList.Count > 0 ? dailyMoneyList[dailyMoneyList.Count - 1] : null;
if (preDaiyMoney == null)
{
dailyMoney.Right = report.InitRight + totalProfit;
dailyMoney.BaseYield = totalProfit / report.InitRight;
dailyMoney.CompoundYield = totalProfit / report.InitRight;
dailyMoney.NetValue = (totalProfit + report.InitRight) / report.InitRight;
}
else
{
dailyMoney.Right = preDaiyMoney.Right + totalProfit;
dailyMoney.BaseYield = totalProfit / report.InitRight;
dailyMoney.CompoundYield = totalProfit / preDaiyMoney.Right;
dailyMoney.NetValue = dailyMoney.Right / report.InitRight;
}
dailyMoneyList.Add(dailyMoney);
}
}
/// <summary>
/// 计算逐笔盈亏
/// </summary>
/// <param name="contract"></param>
/// <returns></returns>
double CalculateOnePairProfit(string contract)
{
if (!string.IsNullOrEmpty(positionDict[contract].LongUnitMarketValues) && !string.IsNullOrEmpty(positionDict[contract].ShortUnitMarketValues))
{
var longIndex = positionDict[contract].LongUnitMarketValues.IndexOf(',', 1);
if (longIndex == -1)
{
longIndex = positionDict[contract].LongUnitMarketValues.Length;
}
var longMarketValues = positionDict[contract].LongUnitMarketValues.Substring(1, longIndex - 1).Split(':');
positionDict[contract].LongUnitMarketValues = positionDict[contract].LongUnitMarketValues.Substring(longIndex, positionDict[contract].LongUnitMarketValues.Length - longIndex);
var shortIndex = positionDict[contract].ShortUnitMarketValues.IndexOf(',', 1);
if (shortIndex == -1)
{
shortIndex = positionDict[contract].ShortUnitMarketValues.Length;
}
var shortMarketValues = positionDict[contract].ShortUnitMarketValues.Substring(1, shortIndex - 1).Split(':');
positionDict[contract].ShortUnitMarketValues = positionDict[contract].ShortUnitMarketValues.Substring(shortIndex, positionDict[contract].ShortUnitMarketValues.Length - shortIndex);
//多头的子空头+空头的子空头 - （多头的子多头 + 空头的子多头）
return float.Parse(longMarketValues[1]) + float.Parse(shortMarketValues[1]) - (float.Parse(longMarketValues[0]) + float.Parse(shortMarketValues[0]));
}
else
{
return JPR.NaN;
}
}
/// <summary>
/// 计算剩余盈亏
/// </summary>
void CalculateLeftProfit()
{
string tradeDay = testBarDataList[testBarDataList.Count - 1].TradingDay;
foreach (var contract in Setting.Contracts)
{
var leftVolume = positionDict[contract].NetVolume;
if (leftVolume != 0)
{
DateTime lastTime = DateTime.Now;
double leftLongMarketValue = 0;
double leftShortMarketValue = 0;
//计算剩余盈亏
if (contractDict.ContainsKey(contract))
{
double closePrice = 0;
double singleOffset = 0;
string key = minCycle + "_" + contract;
closePrice = curBarDict[key].Close;
lastTime = curBarDict[key].RealDateTime;
singleOffset = curBarDict[key].Offset;
if (leftVolume > 0)
{
leftShortMarketValue += (closePrice) * Math.Abs(leftVolume) * contractDict[contract].VolumeMultiple;
}
else
{
leftLongMarketValue += (closePrice) * Math.Abs(leftVolume) * contractDict[contract].VolumeMultiple;
}
}
positionDict[contract].LeftProfit = (positionDict[contract].ShortMarketValue + leftShortMarketValue) - (positionDict[contract].LongMarketValue + leftLongMarketValue);
if (leftVolume != 0)
{
//计算逐笔剩余盈亏
var unitLongMarketValue = leftLongMarketValue / Math.Abs(leftVolume);
var unitShortMarketValue = leftShortMarketValue / Math.Abs(leftVolume);
double leftOnePairProfit = 0;
var oldLongUnitMarketValues = positionDict[contract].LongUnitMarketValues;
var oldShortUnitMarketValues = positionDict[contract].ShortUnitMarketValues;
for (int i = 0; i < Math.Abs(leftVolume); i++)
{
if (leftVolume < 0)
{
positionDict[contract].LongUnitMarketValues += string.Format(",{0}:{1}", unitLongMarketValue, unitShortMarketValue);
}
else
{
positionDict[contract].ShortUnitMarketValues += string.Format(",{0}:{1}", unitLongMarketValue, unitShortMarketValue);
}
var profit = CalculateOnePairProfit(contract);
if (!JPR.IsNaN(profit))
{
leftOnePairProfit += profit;
}
}
positionDict[contract].LeftProfit = leftOnePairProfit;
positionDict[contract].LongUnitMarketValues = oldLongUnitMarketValues;
positionDict[contract].ShortUnitMarketValues = oldShortUnitMarketValues;
}
}
}
if (strategyRspTradeList.Count > 0)
{
CalculateDailyProfit(tradeDay);
}
if (OnTestFinishedEvent != null)
{
OnTestFinishedEvent(report, positionDict, dailyMoneyList, strategyRspTradeList);
}
if (IsSavedToCsv)
{
if (!Directory.Exists("output"))
Directory.CreateDirectory("output");
var tradeFileName = string.Format("output//{0}_trade.csv", DateTime.Now.ToString("yyyyMMdd"));
if (File.Exists(tradeFileName))
File.Delete(tradeFileName);
ExportToCsv(tradeFileName, strategyRspTradeList);
var reportFileName = string.Format("output//{0}_report.csv", DateTime.Now.ToString("yyyyMMdd"));
if (File.Exists(reportFileName))
File.Delete(reportFileName);
ExportToCsv(reportFileName, report);
Log("导出报表完成");
}
}
/// <summary>
/// 导出到Csv
/// </summary>
/// <param name="fullName"></param>
/// <param name="report"></param>
public void ExportToCsv(string fullName, Reports report)
{
try
{
if (!Directory.Exists("output"))
Directory.CreateDirectory("output");
StringBuilder sb = new StringBuilder();
//生成CSV头
sb.AppendLine("报表概况");
sb.AppendLine(string.Format("策略标识,{0}", report.StrategyId));
sb.AppendLine(string.Format("用户编号,{0}", report.UserId));
sb.AppendLine(string.Format("初始资金,{0}", report.InitRight));
sb.AppendLine(string.Format("当前资金,{0}", report.InitRight + report.TotalProfit));
sb.AppendLine(string.Format("最大资金,{0}", report.MaxRight));
sb.AppendLine(string.Format("最大盈利,{0}", report.MaxWin));
sb.AppendLine(string.Format("最大亏损,{0}", report.MaxLoss));
sb.AppendLine(string.Format("最大回撤,{0}", report.MaxBack));
sb.AppendLine(string.Format("最大回撤时间,{0}", report.MaxBackTime));
sb.AppendLine(string.Format("最大市值,{0}", report.MaxMarketValue));
sb.AppendLine(string.Format("最大占用保证金,{0}", report.MaxUsedMargin));
sb.AppendLine(string.Format("总手续费,{0}", report.TotalFee));
sb.AppendLine(string.Format("交易天数,{0}", report.TradedDays));
sb.AppendLine(string.Format("最大持仓天数,{0}", report.MaxHoldDayCount));
string header = "资金,盈亏,净值,本金收益率,复利收益率,手续费,占用保证金,净头寸,时间";
StringBuilder sb2 = new StringBuilder();
sb2.AppendLine(string.Format("{0},逐日结算明细表", report.StrategyName));
sb2.AppendLine(header);
for (int i = 0; i < dailyMoneyList.Count; i++)
{
var rptDtl = dailyMoneyList[i];
string row = string.Format("{0},{1},{2},{3},{4},{5},{6},{7},{8}",
rptDtl.Right, rptDtl.Profit, rptDtl.NetValue, rptDtl.BaseYield, rptDtl.CompoundYield, rptDtl.Fee,
rptDtl.UsedMargin, rptDtl.NetVolume, rptDtl.CreateTime.ToString("yyyy-MM-dd HH:mm:ss"));
sb2.AppendLine(row);
}
using (FileStream fs = new FileStream(fullName, FileMode.Append, FileAccess.Write))
{
StreamWriter sw = new StreamWriter(fs, Encoding.UTF8);
sw.Flush();
sw.Write(sb.ToString());
sw.Flush();
sw.Close();
}
fullName = fullName.Replace("report", "daily");
using (FileStream fs = new FileStream(fullName, FileMode.Append, FileAccess.Write))
{
StreamWriter sw = new StreamWriter(fs, Encoding.UTF8);
sw.Flush();
sw.Write(sb2.ToString());
sw.Flush();
sw.Close();
}
//Log("导出Csv文件成功");
}
catch (Exception ex)
{
Log("ExportToCsv", ex);
}
}
/// <summary>
/// 导出到Csv
/// </summary>
/// <param name="fullName"></param>
/// <param name="tradeList"></param>
public void ExportToCsv(string fullName, List<Trades> tradeList)
{
try
{
StringBuilder sb = new StringBuilder();
//生成CSV头
string header = "合约,买卖,成交价格,成交数量,手续费,成交时间,策略标识,用户编号,交易日";
sb.AppendLine(header);
for (int i = 0; i < tradeList.Count; i++)
{
var trade = tradeList[i];
string row = string.Format("{0},{1},{2},{3},{4},{5},{6},{7},{8}",
trade.Contract, trade.Side, trade.TradedPrice, trade.TradedVolume, trade.Fee,
trade.TradedTime, trade.StrategyId, trade.UserId, trade.TradeDay);
sb.AppendLine(row);
}
using (FileStream fs = new FileStream(fullName, FileMode.Append, FileAccess.Write))
{
StreamWriter sw = new StreamWriter(fs, Encoding.UTF8);
sw.Flush();
sw.Write(sb.ToString());
sw.Flush();
sw.Close();
}
//Log("导出Csv文件成功");
}
catch (Exception ex)
{
Log("ExportToCsv", ex);
}
}
/// <summary>
/// 检查开仓数量
/// </summary>
/// <param name="contract">合约</param>
/// <param name="openVol">本次开仓量（区分正负）</param>
/// <returns></returns>
int CheckOpenVol(string contract, int openVol)
{
int curVol = 0;
lock (positionDict)
{
curVol = positionDict[contract].NetVolume + openVol;
}
if ((curVol > 0 && Math.Abs(curVol) > Setting.MaxLongVolumeAllowed)
|| (curVol < 0 && Math.Abs(curVol) > Setting.MaxShortVolumeAllowed))
{
return 0;
}
else
{
return Math.Abs(openVol);
}
}
/// <summary>
/// 发送订单
/// </summary>
/// <param name="clientOrderId"></param>
/// <param name="contract">合约</param>
/// <param name="price">价格</param>
/// <param name="side">买卖</param>
/// <param name="volume">数量</param>
/// <returns></returns>
string SendOrder(string clientOrderId, string contract, double price, EnumSide side, int volume)
{
lock (report)
{
try
{
var cInfo = GetContract(contract);
int openNum = CheckOpenVol(contract, side == EnumSide.Buy ? volume : volume * -1);
if (openNum <= 0)
{
Log(string.Format("超出最大手数限制,容许最大多头:{0},容许最大空头:{1},当前多头:{2},当前空头:{3},本次{4}{5}手",
Setting.MaxLongVolumeAllowed, Setting.MaxShortVolumeAllowed, positionDict[contract].LongVolume, positionDict[contract].ShortVolume,
side == EnumSide.Buy ? "买入" : "卖出", volume));
return "-1";
}
string key = string.Format("{0}_{1}", minCycle, contract);
BarData tradedBar = null;
double tradePrice = price;
DateTime createTime = DateTime.Now;
string tradeDay = "";
string updateTime = "";
List<double> singleTradeList = new List<double>();
if (curBarDict.ContainsKey(key))
{
tradedBar = curBarDict[key];
if (tradePrice == JPR.NaN)
tradePrice = tradedBar.Open;
}
if (tradedBar != null)
{
createTime = tradedBar.RealDateTime;
tradeDay = tradedBar.TradingDay == null ? tradedBar.RealDay : tradedBar.TradingDay;
updateTime = tradedBar.RealDateTime.ToString("yyyy-MM-dd HH:mm:ss");
}
List<string> tradeContractList = new List<string>();
List<int> tradeVolList = new List<int>();
List<EnumSide> tradeSideList = new List<EnumSide>();
tradeSideList.Add(EnumSide.Buy);
tradeVolList.Add(1);
tradeContractList.Add(contract);
List<Trades> curTradeList = new List<Trades>();
for (int i = 0; i < tradeContractList.Count; i++)
{
var subTradeContract = tradeContractList[i];
string subKey = string.Format("{0}_{1}", minCycle, subTradeContract);
double singleTradePrice = tradePrice;
double singleOffset = 0;
if (curBarDict.ContainsKey(subKey))
{
if (singleTradePrice == JPR.NaN)
{
singleTradePrice = curBarDict[subKey].Open;
}
singleOffset = curBarDict[subKey].Offset;
}
if (singleTradePrice - singleOffset <= 0)
{
Log("当前处于涨跌停价格");
return "-1";
}
var subInfo = contractDict[subTradeContract];
double commission = subInfo.Fee > 1 ? subInfo.Fee
: subInfo.Fee * (singleTradePrice - singleOffset) * subInfo.VolumeMultiple;
Trades rspTrade = new Trades()
{
Contract = subTradeContract,
TradedVolume = openNum * tradeVolList[i],
TradedPrice = singleTradePrice,
ESide = ((side == EnumSide.Buy && tradeSideList[i] == EnumSide.Buy)
|| (side == EnumSide.Sell && tradeSideList[i] == EnumSide.Sell))
? EnumSide.Buy : EnumSide.Sell,
Fee = commission * openNum * tradeVolList[i],
StrategyId = Setting.StrategyName,
TradedTime = createTime,
SlippageFee = subInfo.PriceTick * subInfo.VolumeMultiple * openNum * tradeVolList[i],
TradeDay = tradeDay,
Offset = singleOffset
};
curTradeList.Add(rspTrade);
}
Orders rspOrder = new Orders()
{
OrderId = clientOrderId,
StrategyId = report.StrategyId,
UserId = report.UserId,
Contract = contract,
ESide = side,
EOrderStatus = EnumOrderStatus.AllTraded,
InsertPrice = tradePrice,
InsertVolume = volume,
InsertTime = tradedBar.RealDateTime,
TradedPrice = tradePrice,
TradedVolume = volume,
TradedTime = tradedBar.RealDateTime,
TradeDay = tradeDay
};
strategyRspOrderList.Add(rspOrder);
RtnOrder(rspOrder);
double curCommission = 0;
double curSlippageFee = 0;
double curLongMarketValue = 0;
double curShortMarketValue = 0;
double curUsedMargin = 0;
foreach (var trade in curTradeList)
{
curCommission += trade.Fee;
curSlippageFee += trade.SlippageFee;
double marketValue1 = trade.TradedPrice * trade.TradedVolume
* contractDict[trade.Contract].VolumeMultiple;
double marketValue2 = (trade.TradedPrice - trade.Offset) * trade.TradedVolume
* contractDict[trade.Contract].VolumeMultiple;
if (trade.ESide == EnumSide.Buy)
curLongMarketValue += marketValue1;
else
curShortMarketValue += marketValue1;
curUsedMargin +=marketValue2 * 0.1;
strategyRspTradeList.Add(trade);
RtnTrade(trade);
}
// 单笔成交市值
var unitLongMarketValue = curLongMarketValue / rspOrder.TradedVolume;
var unitShortMarketValue = curShortMarketValue / rspOrder.TradedVolume;
var unitCommission = curCommission / rspOrder.TradedVolume;
var unitSlippageFee = curSlippageFee / rspOrder.TradedVolume;
var unitUsedMargin = curUsedMargin / rspOrder.TradedVolume;
positionDict[contract].Fee += curCommission;
positionDict[contract].SlippageFee += curSlippageFee;
for (int i = 0; i < rspOrder.TradedVolume; i++)
{
if (rspOrder.ESide == EnumSide.Buy)
{
positionDict[contract].LongVolume += 1;
positionDict[contract].LongUnitMarketValues += string.Format(",{0}:{1}", unitLongMarketValue, unitShortMarketValue);
}
else
{
positionDict[contract].ShortVolume += 1;
positionDict[contract].ShortUnitMarketValues += string.Format(",{0}:{1}", unitLongMarketValue, unitShortMarketValue);
}
positionDict[contract].LongMarketValue += unitLongMarketValue;
positionDict[contract].ShortMarketValue += unitShortMarketValue;
if (positionDict[contract].NetVolume != 0)
{
if ((positionDict[contract].NetVolume > 0 && rspOrder.ESide == EnumSide.Buy) ||
(positionDict[contract].NetVolume < 0 && rspOrder.ESide == EnumSide.Sell))
{
positionDict[contract].UsedMargin += unitUsedMargin;
}
else
{
positionDict[contract].UsedMargin -= unitUsedMargin;
}
}
else
{
positionDict[contract].UsedMargin = 0;
}
report.TotalFee += unitCommission;
report.TotalSlippageFee += unitSlippageFee;
report.MaxUsedMargin = Math.Max(positionDict.Sum(d => d.Value.UsedMargin), report.MaxUsedMargin);
report.MaxMarketValue = Math.Max(positionDict.Sum(d => Math.Abs(d.Value.LongMarketValue - d.Value.ShortMarketValue)), report.MaxMarketValue);
//计算逐笔报告
CalculateOnePairProfit(contract);
}
Log(string.Format("以{0}{1}{2}手{3}[{4}]", tradePrice, side == EnumSide.Buy ? "买入" : "卖出", openNum, contract, createTime));
return rspOrder.OrderId;
}
catch (Exception ex)
{
Log("SendOrder", ex);
}
return "-1";
}
}
#endregion
#region 公共方法
/// <summary>
/// 写日志
/// </summary>
/// <param name="msg">消息</param>
/// <param name="isError">是否错误</param>
public void Log(string msg, bool isError = false)
{
if (OnRtnLogEvent != null)
OnRtnLogEvent(msg, isError);
}
/// <summary>
/// 写日志
/// </summary>
/// <param name="title">标题</param>
/// <param name="ex">错误</param>
public void Log(string title, Exception ex)
{
if (OnRtnErrorEvent != null)
OnRtnErrorEvent(title, ex);
}
/// <summary>
/// 获取策略报告
/// </summary>
/// <returns></returns>
public Reports GetReport()
{
lock (report)
{
return report.Clone();
}
}
/// <summary>
/// 获取持仓副本（当有新的买卖时请从新获取持仓信息）
/// </summary>
/// <returns></returns>
public Positions GetPosition(string contract)
{
lock (positionDict)
{
return positionDict[contract].Clone();
}
}
/// <summary>
/// 获取合约信息
/// </summary>
/// <param name="contract"></param>
/// <returns></returns>
public Contracts GetContract(string contract)
{
if (contractDict.ContainsKey(contract))
return contractDict[contract];
else
return null;
}
/// <summary>
/// 转换参数
/// </summary>
/// <param name="sender"></param>
/// <returns></returns>
public string[] ConvertParams(object sender)
{
return sender.ToString().Split(',');
}
/// <summary>
/// 初始化数据集
/// </summary>
public void InitDBFields()
{
}
/// <summary>
/// 保存数据库字段
/// </summary>
public void SaveDBFields()
{
}
public bool CreateMockBarDatas(string barContracts, string start, string end, List<BarData> cacheBarData)
{
return true;
}
/// <summary>
/// 建立模拟数据
/// </summary>
/// <param name="barContracts">合约</param>
/// <param name="start">开始时间</param>
/// <param name="end">结束时间</param>
/// <param name="fileName">文件路径</param>
/// <param name="cacheBarData">缓存数据</param>
/// <returns></returns>
public bool CreateMockBarDatas(string barContracts, string start, string end, string fileName, List<BarData> cacheBarData)
{
var result = false;
if (cacheBarData == null)
{
string fullName = AppDomain.CurrentDomain.BaseDirectory + "/data/" + fileName;
if (File.Exists(fullName))
{
StreamReader sr = new StreamReader(fullName);
var line = "";
int i = 0;
while ((line = sr.ReadLine()) != null)
{
if (i > 0)
{
line = line.Replace("\"", "");
var values = line.Split(',');
try
{
DateTime createTime = DateTime.Parse(values[9]);
BarData data = new BarData()
{
Contract = values[0],
Cycle = values[1],
Open = double.Parse(values[2]),
High = double.Parse(values[3]),
Low = double.Parse(values[4]),
Close = double.Parse(values[5]),
Volume = int.Parse(values[6]),
OpenInterest = double.Parse(values[7]),
Amount = double.Parse(values[8]),
UpdateTime = createTime.ToString("HH:mm:00"),
RealDay = createTime.ToString("yyyyMMdd"),
TradingDay = values[10],
Offset = double.Parse(values[11])
};
if (data.Cycle == "1D")
{
data.UpdateTime = "23:59:59";
}
totalCsvDataList.Add(data);
if (createTime >= DateTime.Parse(start) && createTime < DateTime.Parse(end))
{
testBarDataList.Add(data);
}
}
catch (Exception ex)
{
Log("CreateMockBarDatas", ex);
break;
}
}
i++;
}
startTimeDict.Add(testBarDataList[0].Contract, testBarDataList[0].RealDateTime);
sr.Close();
result = true;
}
else
{
Log("读取文件失败");
result = false;
}
}
else
{
testBarDataList.AddRange(cacheBarData.OrderBy(d => d.RealDateTime));
result = true;
}
return result;
}
/// <summary>
/// 获取全部测试数据
/// </summary>
/// <returns></returns>
public List<BarData> GetTestBarDatas()
{
return testBarDataList;
}
/// <summary>
/// 获取前根Bar
/// </summary>
/// <param name="contract">合约</param>
/// <param name="cycle">周期</param>
/// <param name="num">前面第几根(0:前一根,1:前前根)</param>
/// <returns></returns>
public BarData GetPreData(string contract, string cycle, int num = 0)
{
string key = string.Format("{0}_{1}", cycle, contract);
if (preBarsDict.ContainsKey(key) && preBarsDict[key].Count > num)
{
int index = preBarsDict[key].Count - (1 + num);
return preBarsDict[key][index];
}
return null;
}
/// <summary>
/// 加载Bar数据
/// </summary>
/// <param name="contract"></param>
/// <param name="cycle"></param>
/// <param name="start"></param>
/// <param name="end"></param>
/// <param name="isBarBaseOnTick"></param>
/// <returns></returns>
public bool LoadBarDatas(string contract, string cycle, string start, string end, bool isBarBaseOnTick)
{
return true;
}
/// <summary>
/// 加载Bar数据
/// </summary>
/// <param name="contract">合约</param>
/// <param name="cycle">周期</param>
/// <param name="takeNumber">获取最近N条</param>
/// <param name="isBarBaseOnTick">是否基于Tick动态生成Bar</param>
/// <returns></returns>
public bool LoadBarDatas(string contract, string cycle, int takeNumber, bool isBarBaseOnTick)
{
try
{
var realCycle = StringHelper.ComposeCycle(cycle);
takeNumber = StringHelper.GetTakeNumber(cycle, realCycle, takeNumber);
//BarOracleService barService = new BarOracleService();
//barService.OnRtnErrorEvent += Log;
//barService.OnRtnLogEvent += Log;
LoadDataCount--;
List<BarData> resultDatas = null;
//var key2 = string.Format("{0}_{1}", cycle, contract);
DateTime startTime = DateTime.Now;
if (startTimeDict.ContainsKey(contract))
{
startTime = startTimeDict[contract];
}
else
{
startTime = startTimeDict[Setting.Contracts[0]];
}
if (totalCsvDataList.Count>0)
{
resultDatas = totalCsvDataList.FindAll(d => d.Contract.Equals(contract) && d.Cycle.Equals(cycle)
&& d.RealDateTime < startTime).Take(takeNumber).ToList();
}
else
{
//数据库加载数据
}
if (resultDatas == null)
{
Log("预加载数据错误", true);
FinishedLoadData(contract, cycle, null, true);
return false;
}
var preDatas = resultDatas.OrderByDescending(d => d.RealDateTime).Take(10);
string key = string.Format("{0}_{1}", cycle, contract);
if (!preBarsDict.ContainsKey(key))
{
preBarsDict.Add(key, new List<BarData>());
}
preBarsDict[key].AddRange(preDatas.OrderBy(d => d.RealDateTime));
FinishedLoadData(contract, cycle, resultDatas, LoadDataCount == 0);
return true;
}
catch (Exception ex)
{
Log("加载数据错误", ex);
return false;
}
}
public virtual void FinishedLoadData(string contract, string cycle, List<Model.BarData> barDatas, bool isLast)
{
}
/// <summary>
/// 初始化配置
/// </summary>
/// <param name="setting"></param>
/// <returns></returns>
public bool InitSetting(string setting)
{
try
{
var values = setting.Split(',');
Setting = new Settings()
{
StrategyName = report.StrategyName,
Contracts = values[0].Split('|'),
Cycles = values[1].Split('|'),
InitMoney = double.Parse(values[2]),
MaxLongVolumeAllowed = int.Parse(values[2]), //最大容许多头
MaxShortVolumeAllowed = int.Parse(values[3]) //最大容许空头
};
report.InitRight = report.MaxRight = Setting.InitMoney;
SetMinCycle(Setting.Cycles);
ContractService contractService = new ContractService();
contractService.OnRtnErrorEvent += Log;
contractService.OnRtnLogEvent += Log;
var contractList = contractService.GetContracts(Setting.Contracts);
foreach(var cInfo in contractList)
{
contractDict.Add(cInfo.Contract, cInfo);
}
return true;
}
catch (Exception ex)
{
Log("初始化配置失败", ex);
return false;
}
}
/// <summary>
/// 初始化策略
/// </summary>
/// <param name="sender"></param>
/// <returns></returns>
public virtual bool InitStrategy(object sender)
{
return true;
}
/// <summary>
/// 启动策略
/// </summary>
/// <returns></returns>
public bool StartStrategy()
{
try
{
foreach (var sc in Setting.Contracts)
{
positionDict.Add(sc, new Positions()
{
StrategyId = report.StrategyId,
UserId = report.UserId,
Contract = sc
});
preBarsDict.Add(sc, new List<BarData>());
}
Thread threadBarTest = new Thread(BeginBarTest);
threadBarTest.Start();
return true;
}
catch(Exception ex)
{
Log("StartStrategy", ex);
return false;
}
}
/// <summary>
/// 买入
/// </summary>
/// <param name="contract">合约</param>
/// <param name="number">数量</param>
/// <returns></returns>
public string Buy(string contract, int number)
{
var clientOrderId = Guid.NewGuid().GetHashCode().ToString();
pendingOrderList.Add(string.Format("{0},{1},{2},{3},{4}", clientOrderId, contract, "", 1, number));
return clientOrderId;
}
/// <summary>
/// 卖出
/// </summary>
/// <param name="contract">合约</param>
/// <param name="number">数量</param>
/// <returns></returns>
public string Sell(string contract, int number)
{
var clientOrderId = Guid.NewGuid().GetHashCode().ToString();
pendingOrderList.Add(string.Format("{0},{1},{2},{3},{4}", clientOrderId, contract, "", 2, number));
return clientOrderId;
}
/// <summary>
/// 撤销订单
/// </summary>
/// <param name="clientOrderId"></param>
/// <returns></returns>
public bool Cancel(string clientOrderId)
{
return true;
}
public virtual void RtnTickData(TickData tickData)
{
}
public virtual void RtnBarData(BarData barData, bool isNewBar)
{
}
public virtual void RtnOrder(Orders order)
{
}
public virtual void RtnTrade(Trades trade)
{
}
public virtual void RtnMessage(Messages msg)
{
}
/// <summary>
/// 中止策略
/// </summary>
public void StopStrategy()
{
contractDict.Clear();
pendingOrderList.Clear();
positionDict.Clear();
testBarDataList.Clear();
dailyMoneyList.Clear();
totalCsvDataList.Clear();
strategyRspTradeList.Clear();
strategyRspOrderList.Clear();
preBarsDict.Clear();
curBarDict.Clear();
}
#endregion
}
}