vnpy-extra 0.7.20210311.0

基于VNPY进行功能拓展

vnpy_extra

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

2. 版本历史

2021-03-11 v0.7.20210311.0

feat: 支持加载主连连续合约作为合约历史行情数据（默认为False) feat: move TBCtaSignal to vnpy_extra_tb

2021-03-05 v0.7.20210309.0

feat: self.load_bar(self.init_load_days) on on_init() for cta/portfolio template.
feat: add remove_old_symbol_until_nth_latest on generate_md_with_adj_factor 删除旧的“带 symbol 标记”的主连行情数据，截止到第N个最新的主力合约.
feat: EXCHANGE_INSTRUMENTS_DIC, INSTRUMENT_EXCHANGE_DIC for constants.
feat: add generate md with adj_factor module.

2021-03-05 v0.6.20210305.0

feat: add StrategyBacktestStatsArchive.restore refactor: LatestTickPriceModel.replace -> LatestTickPriceModel.insert

2021-03-04 v0.6.20210304.4

feat: add pool_size for multi thread.
feat: add TBCtaSignal.
feat: add export_tables_2_csv.
fix: engine_kwargs["vt_symbols"] or engine_kwargs["vt_symbol"] mistake on update_backtest_status.
fix: available_df.shape[0]>0 on backtest.
fix: set_index(multi_valued_param_name_list) on backtest.
fix: statistics available check on StrategyBacktestStats.update_stats.

2021-03-03 v0.6.20210303.1

feat: send_email_qq support msg list.
feat: order_by(StrategyBacktestStats.short_name) on StrategyBacktestStats.get_by_status.
feat: variables = ["target_pos", "target_price", "bar_count"] on template.
feat: add block_size=1024 * 1024 * 10 param on build_emails.
feat: add ignore_error param on csv_2_tables and import_data_2_tables.
fix: is_same_as_order for template.
fix: pd.isna(short_name) check.
fix: IntegrityError handler on import_data_2_tables.

2021-03-02 v0.6.20210302.0

feat: replace insert -> on duplicate key update.
feat: add trade count summary on monthly report.
feat: update update_backtest_status logic.
fix: reduce reject order.
fix: StrategyBacktestStats.update_backtest_status.

2021-03-01 v0.6.20210301.1

feat: add last_tick and fill default price if price <= 0.
feat: drop_duplicates and create f'{key}_{date_2_str(date.today())}.xlsx' file.

2021-02-28 v0.6.20210228.0

fix: order timeout on submit status. and clean tmp data when on_start called.
fix: output f'{key}_{date_2_str(date.today())}.csv' file event if len(df_list) == 1.
fix: ignore save_stats exceptions.

2021-02-26 v0.6.20210226.0

feat: remove duplicate msg.
feat: add check datetime trade available.
refactor: fit INSTRUMENT_RATE_DIC.

2021-02-25 v0.6.20210225.1

feat: email_attachment_2_tables, add csv_2_tables.
refactor: logger = logging.getLogger(f'strategies.*.{strategy_name}').
refactor: write_log(f"最新持仓目标 {target_pos} {self.target_price}", 'debug').

2021-02-24 v0.6.20210224.0

fix: annual return, calmar, sharp.

2021-02-23 v0.6.20210223.1

feat: export_tables_and_send_email.
feat: add password param for email login password.

2021-02-22 v0.6.20210222.6

feat: export_tables_and_send_email(password).
fix: Writing to Excel with MultiIndex columns and no index ('index'=False) is not yet implemented.
fix: price <= 0.0 check.
fix: output_file_dic = {}.
fix: strategy.strategy_name is None in some cases.
fix: log and ignore lock error when cleaning TradeDataModel.
refactor: create a unique on strategy_class_name.

2021-02-19 v0.6.20210219.3

feat: feat: add StopOpeningPos.
feat: return output_file_dic on refresh_position_and_report.
feat: use CalVer.
feat: now all signal classes are sub classes of vnpy_extra.utils.enhancement.CtaSignal.
feat: add filter_n_available=1 param for each sub class.

2021-02-18 v0.6.22

feat: add check_datetime_available.

2021-02-12 v0.6.21

fix: some dirty data has to be clean.
fix: charts_data null=True, symbols cannot be unique.
refactor: bigger=1.0

2021-02-11 v0.6.20

feat: add backtest_status_path on output path.
fix: enable_join_collector.
refactor: add description on progress bar.

2021-02-07 v0.6.19

feat: add charts_data for showing echarts of strategy.
feat: progress bar shows file_name_header.
feat: support import strategy setting from ["cta_strategy_setting.json", "portfolio_strategy_setting.json"].
feat: auto add main_contract testcase for import_strategy_setting module.
fix: case-insensitive for portfolio portfolio_strategy.engine.BacktestingEngine.

2021-02-03 v0.6.7

feat: add algo trading on TargetPosAndPriceTemplate.
feat: remove tzinfo from last_tick_time on cta's CtaTemplate and portfolio's StrategyTemplate.
feat: add get_id_name function.
feat: add import_strategy_setting module.
fix: export/import tables and send email by io.
fix: ctaTemplate algo trading logic.

2021-01-26 v0.6.2

feat: add short_name, shown_name by default null and unique into db.
feat: export/import tables and send email by io.
fix: TargetPosAndPriceTemplate order missing.

2021-01-22 v0.6.0

feat: add track performance feature.
refactor: quant_vnpy -> vnpy_extra.

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

   3. 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
   到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（可以多开）

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

cd c:\ide\vnstudio
python.exe -m vnstation runtrader "{'gateway': {'CTP': True}, 'app': {'CtaStrategy': True, 'PortfolioStrategy': True, 'PortfolioManager': True}, 'path': r'C:\TradeTools\vnpy_work_root\simnow'}"

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