量化交易之One Piece篇 - onepiece_rsh回测引擎

from op_futures.op_objects.plugin_data import PluginData
from op_futures.op_futures_data.op_generate_bar import BarGenerate
from op_futures.op_strategy_plugins.double_ma_strategy import DoubleMaStrategy

from tqz_extern.tqz_constant import BackTesterType

class BackTesterEngine:

    def __init__(self, plugins: [PluginData]):
        self.plugins: [PluginData] = plugins

    def run(self):
        """
        start back tester engine.
        """
        # check all plugin is run able.
        self.__check_plugins()

        # do all plugins back testing.
        for plugin_data in self.plugins:
            plugin_data.strategy.on_init()

            if plugin_data.back_tester_type is BackTesterType.BAR_TYPE:
                [plugin_data.strategy.on_bar(bar=bar_data) for bar_data in plugin_data.datas]
            elif plugin_data.back_tester_type is BackTesterType.TICK_TYPE:
                [plugin_data.strategy.on_tick(tick=tick_data) for tick_data in plugin_data.datas]
            else:
                assert True, f'Bad back_tester_type: {plugin_data.back_tester_type}.'

            plugin_data.strategy.on_stop()

            # TODO: to be continue. 落所有的order订单数据, 结合当天最后的价格, 核对权益是否计算是否正确...;

            # calculate profit and loss.
            plugin_data.back_testing()


    def __check_plugins(self) -> bool:
        assert len(self.plugins) > 0, f'strategy plugins is empty..'

        plugin_names = []
        for plugin_data in self.plugins:
            assert len(plugin_data.datas) > 0, f'plugin {plugin_data.name} history data is empty.'
            plugin_names.append(plugin_data.name)

        assert len(plugin_names) == len(list(set(plugin_names))), f'plugins: {str(plugin_names)} has same name.'


if __name__ == '__main__':
    """
    BackTesterEngine(
        plugins=[
            PluginData(
                name='rb2401_dma',
                strategy=DoubleMaStrategy(fast_window=10, slow_window=60),
                datas=BarGenerate('../op_machine_learning/rb2401.csv').make_bar_dataframe(interval_secs=60).bars_list_value(),
                back_tester_type=BackTesterType.BAR_TYPE
            )
        ]
    ).run()
    """

    BackTesterEngine(
        plugins=[
            PluginData(
                name='rb2401_dma',
                strategy=DoubleMaStrategy(fast_window=500, slow_window=3000),
                datas=BarGenerate('../op_machine_learning/rb2401.csv').ticks_list_value(),
                back_tester_type=BackTesterType.TICK_TYPE
            )
        ]
    ).run()