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132 lines
3.8 KiB
Python
132 lines
3.8 KiB
Python
# Copyright (c) Microsoft Corporation.
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# Licensed under the MIT License.
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from .account import Account
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from .exchange import Exchange
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from .executor import BaseExecutor
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from .backtest import backtest as backtest_func
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from .backtest import collect_data as data_generator
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from .order import Order
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from .utils import CommonInfrastructure
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from ..strategy.base import BaseStrategy
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from ..utils import init_instance_by_config
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from ..log import get_module_logger
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from ..config import C
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logger = get_module_logger("backtest caller")
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def get_exchange(
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exchange=None,
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freq="day",
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start_time=None,
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end_time=None,
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codes="all",
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subscribe_fields=[],
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open_cost=0.0015,
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close_cost=0.0025,
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min_cost=5.0,
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trade_unit=None,
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limit_threshold=None,
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deal_price=None,
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):
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"""get_exchange
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Parameters
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----------
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# exchange related arguments
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exchange: Exchange().
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subscribe_fields: list
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subscribe fields.
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open_cost : float
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open transaction cost.
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close_cost : float
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close transaction cost.
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min_cost : float
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min transaction cost.
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trade_unit : int
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100 for China A.
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deal_price: str
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dealing price type: 'close', 'open', 'vwap'.
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limit_threshold : float
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limit move 0.1 (10%) for example, long and short with same limit.
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Returns
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-------
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:class: Exchange
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an initialized Exchange object
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"""
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if trade_unit is None:
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trade_unit = C.trade_unit
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if limit_threshold is None:
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limit_threshold = C.limit_threshold
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if deal_price is None:
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deal_price = C.deal_price
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if exchange is None:
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logger.info("Create new exchange")
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# handle exception for deal_price
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if deal_price[0] != "$":
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deal_price = "$" + deal_price
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exchange = Exchange(
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freq=freq,
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start_time=start_time,
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end_time=end_time,
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codes=codes,
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deal_price=deal_price,
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subscribe_fields=subscribe_fields,
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limit_threshold=limit_threshold,
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open_cost=open_cost,
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close_cost=close_cost,
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trade_unit=trade_unit,
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min_cost=min_cost,
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)
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return exchange
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else:
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return init_instance_by_config(exchange, accept_types=Exchange)
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def get_strategy_executor(
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start_time, end_time, strategy, executor, benchmark="SH000300", account=1e9, exchange_kwargs={}
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):
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trade_account = Account(
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init_cash=account,
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benchmark_config={
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"benchmark": benchmark,
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"start_time": start_time,
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"end_time": end_time,
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},
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)
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trade_exchange = get_exchange(**exchange_kwargs)
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common_infra = CommonInfrastructure(trade_account=trade_account, trade_exchange=trade_exchange)
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trade_strategy = init_instance_by_config(strategy, accept_types=BaseStrategy, common_infra=common_infra)
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trade_executor = init_instance_by_config(executor, accept_types=BaseExecutor, common_infra=common_infra)
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return trade_strategy, trade_executor
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def backtest(start_time, end_time, strategy, executor, benchmark="SH000300", account=1e9, exchange_kwargs={}):
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trade_strategy, trade_executor = get_strategy_executor(
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start_time, end_time, strategy, executor, benchmark, account, exchange_kwargs
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)
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report_dict = backtest_func(start_time, end_time, trade_strategy, trade_executor)
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return report_dict
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def collect_data(start_time, end_time, strategy, executor, benchmark="SH000300", account=1e9, exchange_kwargs={}):
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trade_strategy, trade_executor = get_strategy_executor(
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start_time, end_time, strategy, executor, benchmark, account, exchange_kwargs
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)
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report_dict = yield from data_generator(start_time, end_time, trade_strategy, trade_executor)
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return report_dict
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