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Cash Update (#559)

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* fix negative cash

* update order test

* fix bug

* update file_order_test
This commit is contained in:
wangwenxi-handsome
2021-08-12 23:44:22 +08:00
committed by GitHub
parent 05b9fb5a47
commit 735153a50d
4 changed files with 87 additions and 209 deletions
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32
tests/backtest/test_file_strategy.py
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@@ -16,6 +16,8 @@ class FileStrTest(TestAutoData):
EXAMPLE_FILE = DIRNAME / "order_example.csv"
DEAL_NUM_FOR_1000 = 123.47105436976445
def _gen_orders(self) -> pd.DataFrame:
headers = [
"datetime",
@@ -24,11 +26,18 @@ class FileStrTest(TestAutoData):
"direction",
]
orders = [
["20200102", self.TEST_INST, "1000", "sell"],
# test cash limit for buying
["20200103", self.TEST_INST, "1000", "buy"],
# test min_cost for buying
["20200103", self.TEST_INST, "1", "buy"],
# test held stock limit for selling
["20200106", self.TEST_INST, "1000", "sell"],
["20200106", self.TEST_INST, "1000", "buy"],
["20200106", self.TEST_INST, "949.7773413058803", "sell"],
# test cash limit for buying
["20200107", self.TEST_INST, "1000", "buy"],
# test min_cost for selling
["20200108", self.TEST_INST, "1", "sell"],
# test selling all stocks
["20200110", self.TEST_INST, str(self.DEAL_NUM_FOR_1000), "sell"],
]
return pd.DataFrame(orders, columns=headers).set_index(["datetime", "instrument"])
@@ -54,7 +63,7 @@ class FileStrTest(TestAutoData):
backtest_config = {
"start_time": start_time,
"end_time": end_time,
"account": 100000000,
"account": 30000,
"benchmark": None, # benchmark is not required here for trading
"exchange_kwargs": {
"freq": freq,
@@ -62,9 +71,9 @@ class FileStrTest(TestAutoData):
"deal_price": "close",
"open_cost": 0.0005,
"close_cost": 0.0015,
"min_cost": 5,
"min_cost": 500,
"codes": codes,
"trade_unit": 100,
"trade_unit": 2,
},
# "pos_type": "InfPosition" # Position with infinitive position
}
@@ -80,7 +89,16 @@ class FileStrTest(TestAutoData):
},
},
}
backtest(executor=executor_config, strategy=strategy_config, **backtest_config)
report_dict, indicator_dict = backtest(executor=executor_config, strategy=strategy_config, **backtest_config)
# ffr valid
ffr_dict = indicator_dict["1day"]["ffr"].to_dict()
ffr_dict = {str(date).split()[0]: ffr_dict[date] for date in ffr_dict}
assert ffr_dict["2020-01-03"] == 0
assert ffr_dict["2020-01-06"] == self.DEAL_NUM_FOR_1000 / 1000
assert ffr_dict["2020-01-07"] == self.DEAL_NUM_FOR_1000 / 1000
assert ffr_dict["2020-01-08"] == 0
assert ffr_dict["2020-01-10"] == 1
self.EXAMPLE_FILE.unlink()