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基于VNPY进行功能增强

Project description

quant vnpy

一、 简介

1. 功能简介

本工具包是基于vnpy的回测库的一些增强函数

  1. quant_vnpy 目录包含各种增强函数及类库
  2. strategies 为策略库

2. 版本历史

2021-01-22 v0.6.0

feat: add track performance feature.

2021-01-19 v0.5.12

fix: TargetPosAndPriceTemplate current_pos -> target_pos by one step fix: strategy_class_name wrong

2021-01-15 v0.5.5

fix: add exception handle and logger on TradeDataCollector fix: TargetPosAndPriceTemplate current_pos -> target_pos by one step

2021-01-14 v0.5.1

feat: record backtest stats
feat: add default rate for backtest
fix: DCE夜盘交易日期为下一交易日,将会被重写为当前系统日期 fix: 修复跨日报表统计错误
fix: cross_limit_method param missing for file_name_func function
fix: 主力合约、次主力合约数据复权整理 bug

2021-01-08 v0.5.0

refactor: merge portfolio run_backtest and cta run_backtest

2021-01-07 v0.4.13

feat: set_strategy_status(StrategyStatusEnum.Stopped)
feat: monitor add setting

2021-01-05 v0.4.11

refactor: longer interval of plotly.io._orca.cleanup
feat: backtest: output param file if it's available

2021-01-04 v0.4.10

fix: MACDSignal

2021-01-04 v0.4.9

fix: check not strategy_status_monitor.is_alive()

2020-12-27 v0.4.8

feat: backtest: reset_index on result_df
fix: portfolio template, last_order_dt -> dict
feat: add new TargetPosAndPriceTemplate, MACrossSignal

2020-12-27 v0.4.7

feat: backtest: default rate
feat: backtest: available filter for return_drawdown_ratio < 2 and np.round for some stats items

2020-12-25 v0.4.6

feat: backtest: auto search symbol size
fix: report gl calc wrong in some cases

2020-12-23 v0.4.4

fix: report holding pos status calc wrong
fix: stop_opening_pos on templates

2020-12-22 v0.4.2

fix: order_data_collector error on portfolio_strategy.template

2020-12-21 v0.4.1

fix: open_price -> last_price

2020-12-18 v0.4.0

feat: support user_name, broker_id
feat: add last_order_dt on template

2020-12-18 v0.3.9

fix: orm close connection
feat: position daily stat.

2020-12-16 v0.3.7

feat: add CrossLimitMethod.fix_price for backtest
feat: add quant_vnpy.backtest.cta_strategy.template.CtaTemplate
feat: backtest cross price method

2020-12-14 v0.3.2

add position monitor

2020-12-11 v0.2.16

feat: on_tick active on_bar by bg on template.py
feat: add OrderDataCollector, TradeDataCollector class
feat: add stop_if_pos_2_0 on cta template
fix: bug fix of on_tick and report error

2020-12-04 v0.2.8

feat: more readable log

2020-11-30 v0.2.7

feat: orm add symbols

2020-11-27 v0.2.3

fix: bug fix on log format

2020-11-25 v0.2.2

fix: bug fix on on_stop of portfolio template

2020-11-25 v0.2.1

feat: add strategy status monitor

2020-11-24 v0.1.10

feat: add bar_count

2020-11-20 v0.1.8

bug fix on portfolio's template

2020-11-17 v0.1.7

feat: 对 cta 及 portfolio 增加 template 模板类
feat: signal 增加 0 判断 当 0 时,默认为 default 值
feat: add current_bar for cta, portfolio's template classes
fix: template bugs

2020-11-15 v0.1.2

feat: 最新依赖版本 IBATS_Common>=0.20.8,最新支持道 vnpy 2.1.7 版本
feat: 调整 INSTRUMENT_TRADE_TIME_PAIR_DIC 道 constants.py

2020-11-10 v0.1.0

feat: 基于vnpy 2.1.6进行的功能增强。此前版本不支持。

二、 环境设置及组件安装(首次运行前需要)

1. 系统环境包含 Anaconda 或 Miniconda(python 3.7 版本)

2. 安装 vnpy 2.1.6或以上版本 \

3. 运行安装相关组件

pip isntall -r requirement.txt
conda install -c plotly plotly-orca
conda install -c plotly python-kaleido

如果执行遇到问题可分别执行如下:

  1. 通用组件

    pip install -r requirement.txt
    
  2. orca 组件 orca 组件为回测功能中保存回测视图结果的组件,windows系统性需要单独安装,才可保证功能正常使用
    安装步骤如下:

    1. 安装组件包

      conda install -c plotly plotly-orca
      
    2. 下载并安装 orca 应用

    组件下载地址:orca组件

    安装后设置话就环境变了 Path 加入相应路径,默认情况下window10操作系统 orca 组件将被安装在如下路径:

    C:\Users\mmmaaaggg\AppData\Local\Programs\orca

    1. 批量关闭 orca 进程方法
    ps -ef | grep orca | grep -v grep | awk '{print $2}' | xargs kill -9
    
  3. MD文件转word文档工具
    pandoc官网下载对应的软件并安装后即可运行 Scripts\md_2_docx.bat 脚本

三、 常用命令

1. 切换远程仓库地址方法

>git remote
origin
>git remote get-url --all origin
git@192.168.10.117:quant/quant_vnpy.git
>git remote set-url origin http://209386rt46.51vip.biz:23987/quant/quant_vnpy.git
>git pull
remote: Enumerating objects: 8, done.
remote: Counting objects:  25% (2/8)
remote: Counting objects: 100% (8/8), done.
remote: Total 72 (delta 8), reused 8 (delta 8), pack-reused 64
Unpacking objects:   
6% (5/72)Unpacking objects:  
34% (25/72)Unpacking objects:  
Unpacking objects: 100% (72/72), 17.93 KiB | 23.00 KiB/s, done.
From http://209386rt46.51vip.biz:23987/quant/From http://209386rt46.51vip.biz:23987/quant/quant_vnpy
   cb6c014..1afe166  master     -> origin/master
Updating cb6c014..1afe166
Fast-forward
 README.md                                          |   7 +
 ...
 8 files changed, 404 insertions(+), 106 deletions(-)

2. 数据库 dump 数据

备份主力合约

"c:\Program Files\MySQL\MySQL Server 8.0\bin\mysqldump.exe" -u mg -p --databases vnpy dbbardata --where="symbol in ('rb9999', 'hc9999', 'i9999') and `interval`='1m'" > dbbardata_dump.sql

备份主力,次主力合约

"c:\Program Files\MySQL\MySQL Server 8.0\bin\mysqldump.exe" -u mg -p vnpy dbbardata --where="(symbol like'%9999' or symbol like'%8888') and `interval`='1m'" > dbbardata_dump.sql

3. 压缩命令

zip -r0q /media/mg/Data/output_20201220.zip output

4. 独立启动交易界面

d:\ide\vnstudio\python.exe -m vnstation runtrader "{'gateway': {'CTP': true}, 'app': {'CtaStrategy': true, 'PortfolioStrategy': true, 'PortfolioManager': true}, 'path': 'D:\\TradeTools\\vnpy\\jianxin_11859077'}"

四、 各个版本常见错误

2.0.3版本

  1. 错误提示框太长,无法看到错误信息

    python.exe -m vnstation
    
  2. 错误提示:

    ValueError: numpy.ufunc size changed, may indicate binary incompatibility. Expected 216 from C header, got 192 from PyObject 解决方法:

    Scripts\pip.exe install numpy==1.16.1 --user
    
  3. 穿透式测试通不过,采集不到CPU、硬盘、BIOS信息 修改环境变量 增加目录

    C:\Windows\SysWOW64\wbem

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