接触到了不少Python相关的开源项目,也接触到了不少回测框架,感觉这些框架都比较难懂,加上自己用pandas做回测,效率有点低,要建立一套自己的回测框架。
读了不少Python回测框架作者创建框架的思路与理念,觉得使用事件驱动型框架比较好,另外,我要创建的这个框架将会模仿文华财经或者TB进行创建。正好最近读master Python for finnace 这本书,第九章有讲怎么创建一个回测框架。
在本文中,将这篇章节的大体思路翻译成汉语和代码,分享给大家。
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翻译的部分内容
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事件驱动回测系统的概念:
在真实的交易环境中,一般要包含以下模块:数据,订单匹配模块,订单管理,账户,更新仓位;
""" Store a single unit of data """
class TickData:
def __init__(self, symbol, timestamp,
last_price=0, total_volume=0):
self.symbol = symbol
self.timestamp = timestamp
self.open_price = 0
self.last_price = last_price
self.total_volume = total_volume
class MarketData:
def __init__(self):
self.__recent_ticks__ = dict()
def add_last_price(self, time, symbol, price, volume):
tick_data = TickData(symbol, time, price, volume)
self.__recent_ticks__[symbol] = tick_data
def add_open_price(self, time, symbol, price):
tick_data = self.get_existing_tick_data(symbol, time)
tick_data.open_price = price
def get_existing_tick_data(self, symbol, time):
if not symbol in self.__recent_ticks__:
tick_data = TickData(symbol, time)
self.__recent_ticks__[symbol] = tick_data
return self.__recent_ticks__[symbol]
def get_last_price(self, symbol):
return self.__recent_ticks__[symbol].last_price
def get_open_price(self, symbol):
return self.__recent_ticks__[symbol].open_price
def get_timestamp(self, symbol):
return self.__recent_ticks__[symbol].timestamp
import pandas.io.data as web
""" Download prices from an external data source """
class MarketDataSource:
def __init__(self):
self.event_tick = None
self.ticker, self.source = None, None
self.start, self.end = None, None
self.md = MarketData()
def start_market_simulation(self):
data = web.DataReader(self.ticker, self.source,
self.start, self.end)
for time, row in data.iterrows():
self.md.add_last_price(time, self.ticker,
row["Close"], row["Volume"])
self.md.add_open_price(time, self.ticker, row["Open"])
if not self.event_tick is None:
self.event_tick(self.md)
class Order:
def __init__(self, timestamp, symbol, qty, is_buy,is_market_order, price=0):
self.timestamp = timestamp
self.symbol = symbol
self.qty = qty
self.price = price
self.is_buy = is_buy
self.is_market_order = is_market_order
self.is_filled = False
self.filled_price = 0
self.filled_time = None
self.filled_qty = 0
class Position:
def __init__(self):
self.symbol = None
self.buys, self.sells, self.net = 0, 0, 0
self.realized_pnl = 0
self.unrealized_pnl = 0
self.position_value = 0
def event_fill(self, timestamp, is_buy, qty, price):
if is_buy:
self.buys += qty
else:
self.sells += qty
self.net = self.buys - self.sells
changed_value = qty * price * (-1 if is_buy else 1)
self.position_value += changed_value
if self.net == 0:
self.realized_pnl = self.position_value
def update_unrealized_pnl(self, price): if self.net == 0: self.unrealized_pnl = 0 else: self.unrealized_pnl = price * self.net + \ self.position_value return self.unrealized_pnl
""" Base strategy for implementation """ class Strategy: def __init__(self): self.event_sendorder = None def event_tick(self, market_data): pass def event_order(self, order): pass def event_position(self, positions): pass def send_market_order(self, symbol, qty, is_buy, timestamp): if not self.event_sendorder is None: order = Order(timestamp, symbol, qty, is_buy, True) self.event_sendorder(order)