量化交易之One Piece篇 - onepiece_rsh回测plugin新增滑点和盈亏计算

_Erwin_

于 2024-03-24 18:14:14 发布

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分类专栏： One Piece 文章标签： onepiece

本文链接：https://blog.csdn.net/Michael_234198652/article/details/136992053

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from op_futures.op_strategy_plugins.template_strategy import TemplateStrategy
from op_futures.op_objects.onepiece_data import OnePieceData
from op_futures.op_objects.tick_data import TickData
from op_futures.op_objects.bar_data import BarData
from tqz_extern.tqz_constant import BackTesterType, OrderSide

class PluginData:

    def __init__(self, name: str = None, datas: [OnePieceData] = None, strategy: TemplateStrategy = None, back_tester_type: BackTesterType = None):
        assert name is not None, f'name is None.'
        assert datas is not None, f'datas is None.'
        assert strategy is not None, f'strategy is None.'
        assert back_tester_type is not None, f'back_tester_type is None.'

        self.name = name
        self.datas = datas
        self.strategy = strategy
        self.back_tester_type = back_tester_type

        self.__profit_and_loss_list = []  # <- item is real money.
        self.__profit_and_loss_value = 0  # <- item is real money.

        self.__slippage_loss_money = 0  # <- real money, must be < 0;


    def back_testing(self, slippage_counts: int = 1):
        """
        start back test.
        :return:
        """

        if self.back_tester_type is BackTesterType.BAR_TYPE:
            last_data: BarData = self.datas[-1]
            for order in self.strategy.orders_detail:
                price_diff = 0
                if order.order_side in [OrderSide.BUY, OrderSide.COVER]:
                    price_diff = order.lots * (last_data.close_price - order.price)
                elif order.order_side in [OrderSide.SELL, OrderSide.SHORT]:
                    price_diff = order.lots * (last_data.close_price - order.price) * -1

                self.__profit_and_loss_list.append(
                    int(price_diff / last_data.price_tick) * last_data.volume_multiple
                )

        elif self.back_tester_type is BackTesterType.TICK_TYPE:
            last_data: TickData = self.datas[-1]
            for order in self.strategy.orders_detail:
                price_diff = 0
                if order.order_side in [OrderSide.BUY, OrderSide.COVER]:
                    price_diff = order.lots * (last_data.last_price - order.price)
                elif order.order_side in [OrderSide.SELL, OrderSide.SHORT]:
                    price_diff = order.lots * (last_data.last_price - order.price) * -1

                self.__profit_and_loss_list.append(
                    int(price_diff / last_data.price_tick) * last_data.volume_multiple
                )

        self.__profit_and_loss_value = sum(self.__profit_and_loss_list)  # <- net profit and loss.
        self.__slippage_loss_money = len(self.strategy.orders_detail) * self.datas[-1].volume_multiple * (-1 * slippage_counts)  # <- slippage loss money.

    def profit_and_loss_value(self):
        """
        must call back outside after plugin.run() outside.
        :return:
        """
        return self.__profit_and_loss_value

    def slippage_loss_money(self):
        """
        must call back outside after plugin.run() outside.
        :return:
        """
        return self.__slippage_loss_money