vnpy-extra 0.7.20210508.0

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（按周汇总）

2021-05-14 v0.7.20210508.0

feat: add z_score_days param on MACDSignal.
feat: add param vt_symbol on CtaSignal.
feat: support period_enum on StrategyTemplate of portfolio strategy.
feat: add strategy_cls name on progress bar.
feat: add param same_direction on is_cross func: 是否要求金叉时一定要方向相同.即:金叉时 price1 方向向上,死叉是 price1 方向向下.
feat: add param same_direction param on MACrossSignal.
feat: update id_name if it's changed when track backtest.
fix: avg_entry_price wrong.
fix: TradeDateModel no available date check on is_end_week.
fix: self.set_signal_pos(-flag if self.reverse_bs else flag) on MACrossPriceSignal and add reverse_bs on MACrossSignal.
fix: same_direction is not available param on MACrossPriceSignal.

2021-04-30 v0.7.20210430.0

feat: add short_name on sub classes of CtaSignal.
feat: add daily_bars_needed_at_least, get_short_name, get_signal_name_header on CtaSignal.
feat: add unique key of ('stg_info', 'symbols_info', 'short_name',) and ('stg_info', 'symbols_info', 'shown_name',) on StrategyBacktestStats.
feat: auto fill short_name on update_backtest_status.
feat: add update_strategy_stats_by_dir for updating all files in dir.
feat: add score on calculate_statistics.
feat: 追踪回测时，文件名 id_name_[short_name].
feat: merge daily price and profit charts together.
feat: get_available_status_group_by_strategy all filter by symbols list or strategy_class_name list.
feat: lower dependency of FutureAdjFactor table when load_bar_data.
feat: add csv_split_chunk to handle large csv files.
fix: self.current_bars[vt_symbol] is None on send_order of portfolio template.py.
fix: symbols.upper() on get_symbols_id_dict and update_backtest_status.
fix: only warning if pos status < today and tick data missing.
refactor: lru_cache(maxsize=10) lower memory use on load_data. refactor: root_folder_name = f'{strategy_cls.name}{date_2_str(date.today())}' on bulk_backtest.
refactor: root_folder_name=f'{strategy_cls.name}{vt_symbol}' on bulk_backtest_separated_by_symbol.

2021-04-23 v0.7.20210423.0

feat: 默认 root_folder_name 使用程序创建时的系统日期，为了防止跨日出现多个不同日期的文件夹，该日期初始化后不再改变。
feat: add avg/max/lw/avg_square/most of drawdown on cta/portfolio backtest engine.
feat: enable strategy_only filter and root_folder_name on backtest_all_strategies.
feat: DEFAULT_STATIC_ITEM -> DEFAULT_STATIC_ITEM_DIC. and include items: "return_most_drawdown_ratio", "return_loss_ratio".
feat: change default columns orders of bulk backtest output csv/excel files.
feat: add default params 'stop_opening_pos' 'base_position' on settings of settings files.
feat: support output orders/trades with output_orders/output_trades params on backtest.
feat: add capital param on bulk_backtest_separated_by_symbol.
feat: capital=1000000 by default of run_backtest.
feat: add StrategyBacktestStats.expire_stats for disabling old stats by symbols on both StrategyBacktestStats and AccountStrategyMapping.
feat: add trailing stop and stop loss.
feat: day end at 15:00 of BarGenerator.
fix: df is None check when is_available check.
fix: return_loss_ratio wrong.
fix: vt_symbols wrong of settings files.
fix: self.daily_df = None on clear_data. \ refactor: lru_cache() for TradeDateModel.get_trade_date_dic.

2021-04-16 v0.7.20210416.1

feat: add INSTRUMENT_TYPE_SUBSCRIPTION_DIC.
feat: add validation rule "最大回撤到最后一个交易日需要出现新高".
feat: add shown "annual_return", "sortino_ratio", "return_risk_ratio" by default.
feat: class_name + param_str by default of id_name of strategy.
fix: generate right vt_symbol for subscription.
fix: enhance change_curr_contract of FutureAdjFactor.
fix: main contract switch wrong on apply_2_symbol.
fix: bar.vt_symbol wrong on mock_load_bar_data. \ fix: is_main check on mock_load_bar_data.
fix: secondary contract reversion rights.
fix: return_loss_ratio error on calculate_statistics.
fix: INSTRUMENT_TYPE_SUBSCRIPTION_DIC wrong.
refactor: make 'id_name', 'backtest_status', 'short_name', 'shown_name' at the end columns of csv/xlsx files.

2021-04-09 v0.7.20210409.0

feat: add some instrument type on EXCHANGE_INSTRUMENTS_DIC.
feat: add vt_symbol_price_tick on CtaTemplate.
feat: get shown_name and short_name from get_name_by_pattern.
feat: add is_cross on func module feat: add ma on ArrayManager.
feat: add MACrossPriceSignal.
fix: wrong error_count on import results.
fix: on creating instance of StrategyTemplate, CtaTemplate of apply_2_symbol function.
fix: add exception handler on add_2_account_strategy_mapping.

2021-04-02 v0.7.20210402.0

feat: add output_report_between on report function.
feat: stats ['区间盈亏', '交易次数', '盈利次数', '亏损次数'] on reports.
feat: add rr wh fb cy trade datetime range.
feat: add get_instrument_type_and_exchange.
feat: warning '【非交易时段】' only on realtime mode.
feat: add base_price_type param for default kind of price when calculating indexes.
feat: add add_mapping_all, add_2_account_strategy_mapping, apply_2_symbol on StrategyBacktestStats.
fix: key available check on backtest.
fix: broker_id: str = IntegerField(help_text="经纪商代码") of AccountStrategyMapping.
fix: user_name, broker_id = int(user_name), int(broker_id) on AccountStrategyMapping.add_mapping.
fix: logging track test error.
fix: ignore updating ['id_name', 'backtest_status', 'short_name', 'shown_name'] if insert conflict on backtest.
fix: stats wrong on report.
fix: unique index on ('user_name', 'broker_id', 'short_name',) and ('user_name', 'broker_id', 'shown_name',) of AccountStrategyMapping.

2021-03-25 v0.7.20210325.0

feat: update_strategy_stats_by_df with AccountStrategyMapping.
feat: new logic of import/export settings with AccountStrategyMapping.
feat: support custom is_available func for strategy template.
feat: support start and end date range for bulk_backtest_separated_by_symbol.
feat: add strict logic of window bar on CtaSignal and BarGenerator.
feat: add GeneralPeriodEnum.
feat: init_load_days = 0 by default.
feat: add enable_entry_exit_price feature.
feat: backtest end at 3 month ago for in-sample test by default.

2021-03-17 v0.7.20210317.0

feat: update hour bar logic of BarGenerator to vnpy same logic.
feat: add {strategy_cls.name}_ on file name header of backtest.
feat: add user_id on file names on daily reports.
feat: speed up load history bar.
fix: reset error_count on each loop.
refactor: add log on bulk backtest.

2021-03-11 v0.7.20210311.1

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.
feat: reset_index on on f'{key}_{date_2_str(date.today())}.xlsx' files.

2021-03-09 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.
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.
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.
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.
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.
feat: remove duplicate msg.
feat: add check datetime trade available.
refactor: fit INSTRUMENT_RATE_DIC.
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').
fix: annual return, calmar, sharp.
feat: export_tables_and_send_email.
feat: add password param for email login password. 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.
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
feat: add backtest_status_path on output path.
fix: enable_join_collector.
refactor: add description on progress bar.
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.
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.
feat: set_strategy_status(StrategyStatusEnum.Stopped).
feat: monitor add setting.
refactor: longer interval of plotly.io._orca.cleanup.
feat: backtest: output param file if it's available.
fix: MACDSignal.
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.
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. 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.
fix: open_price -> last_price.

2020-12-18 v0.4.0

feat: support user_name, broker_id.
feat: add last_order_dt on template. fix: orm close connection.
feat: position daily stat.
feat: add CrossLimitMethod.fix_price for backtest.
feat: add quant_vnpy.backtest.cta_strategy.template.CtaTemplate.
feat: backtest cross price method.
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.
fix: bug fix on log format.
fix: bug fix on on_stop of portfolio template.
feat: add strategy status monitor.
feat: add bar_count.

2020-11-20 v0.1.8

bug fix on portfolio's template.
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.
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

4. pycharm MemoryError 解决方案 打开pycharm安装目录 d:\IDE\JetBrains\PyCharm Community Edition 2020.2.1\bin\ ，找到 pycharm.exe.vmoptions 文件，

   -Xms128m
   -Xmx768m
   -XX:ReservedCodeCacheSize=240m
   -XX:+UseConcMarkSweepGC
   -XX:SoftRefLRUPolicyMSPerMB=50
   -ea
   -XX:CICompilerCount=2
   -Dsun.io.useCanonPrefixCache=false
   -Djava.net.preferIPv4Stack=true
   -Djdk.http.auth.tunneling.disabledSchemes=""
   -XX:+HeapDumpOnOutOfMemoryError
   -XX:-OmitStackTraceInFastThrow
   -Djdk.attach.allowAttachSelf
   

   修改 -Xms为 256m -Xmx为 2048m

   -Xms256m
   -Xmx2048m
   -XX:ReservedCodeCacheSize=240m
   -XX:+UseConcMarkSweepGC
   -XX:SoftRefLRUPolicyMSPerMB=50
   -ea
   -XX:CICompilerCount=2
   -Dsun.io.useCanonPrefixCache=false
   -Djava.net.preferIPv4Stack=true
   -Djdk.http.auth.tunneling.disabledSchemes=""
   -XX:+HeapDumpOnOutOfMemoryError
   -XX:-OmitStackTraceInFastThrow
   -Djdk.attach.allowAttachSelf
   

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
https://github.com/IBATS/vnpy_extra.git
>git remote set-url origin [e-mail]:ibats/vnpy_extra.git
>git push
Enumerating objects: 82, done.
Counting objects: 100% (82/82), done.
Delta compression using up to 8 threads
Compressing objects: 100% (65/65), done.
Writing objects: 100% (65/65), 14.57 KiB | 710.00 KiB/s, done.
Total 65 (delta 50), reused 0 (delta 0), pack-reused 0
remote: Powered by GITEE.COM [GNK-5.0]
To gitee.com:ibats/vnpy_extra.git
   4f85956..fe47acc  master -> master

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