vnpy-extra 0.7.20210806.0

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）

• 2021-08-06 v0.7.20210806.0

  feat: add param output_available_only on backtest_by_json.
  feat: add plot_with_weights.
  feat: add AccountStrategyMapping.strategy_settings.alias("strategy_settings_of_account") column.
  feat: add CtaSignal.pos.
  feat: add CtaSignal.strategy_parameters.
  feat: add do_update_base_positions on test_po.
  feat: log 最短周期策略 and None check.
  feat: add check_signal_name_list param at get_signal_params on MultiSignalsTemplate.
  feat: add exit_price, keep_win_loss_counter, daily_trade_stats_list.
  feat: add short_name_with_file_name_if_exist on fix: output_available_only=False on backtest_by_json.
  fix: root_folder_name missing for root_folder_path.
  fix: ignore duplicate records.
  fix: return None if self.charts_data is None on get_balance_df.
  fix: rr_df plot wrong on plot_with_weights.
  fix: lw_dd_pct, lw_drawdown error if drawdown_s.count() <= 1.
  fix: [make_param_2_str() for key, _ in kwargs.items() if key not in ('module_name', )] on get_name_by_param.
  refactor: move STOP_OPENING_POS_PARAM = "stop_opening_pos" ENABLE_COLLECT_DATA_PARAM = "enable_collect_data" to constants.py.
  refactor: enhance get_interval_str and get_name_by_param.
  refactor: params_str = '_'.join([str(v) for v in signal_name_id_name_dic.values()]).
  refactor: ignore_fields='auto'.

• 2021-07-30 v0.7.20210730.2

  feat: add monthly_holding_rr_distributions.
  feat: add strategy_obj param on CtaSignal.
  feat: add loss win hist bars on monthly_holding_rr_distributions_dic.
  feat: backtest_by_json supports bulk_backtest_with_backtest_params_iter.
  feat: latest_reject_response_order reset to None when on_stop.
  feat: generate_strategy_setting_file(ignore_stop_opening_pos_stg=True).
  feat: add PortfolioOptimizeGoalEnum.
  feat: add param ignore_stop_opening_pos_stg.
  fix: exchange wrong and name_idx_dic = {v: k for k, v in structure_df['字段名'].items()}.
  fix: msg missing and "【非交易时段】" check if self._is_realtime_mode.
  fix: handle StrategyInfo.get_strategy_class_by_name(strategy_class_name) error.
  fix: AttributeError: 'weakref' object has no attribute 'vt_symbol_price_tick'.
  fix: update AccountStrategyMapping but StrategyBacktestStats.
  refactor: instrument_type = get_instrument_type(symbol, pattern=PATTERN_INSTRUMENT_TYPE_OPTION, error_log=False).
  refactor: engine_kwargs['end'] = end or date.today() of backtest_by_json.
  refactor: CtaSignal strategy_obj 参数为必输项。

• 2021-07-23 v0.7.20210722.3

  feat: add replace_vt_symbol_2_main_contract_of_settings.
  feat: add file_name_include_symbol.
  feat: add user_name_broker_id_pair_list on backtest_all_strategies.
  feat: add get_vt_symbol_multiplier.
  feat: add AccountStrategyMapping.get_stats_by_account, StrategyBacktestStats.get_stats_key, StrategyBacktestStats.get_stats_key_str, StrategyBacktestStats.get_balance_df.
  feat: add SymbolsInfo.get_symbol_latest_price_dic StrategyBacktestStats.set_base_position.
  feat: add stg_list param on generate_strategy_setting_file.
  feat: add PortfolioOptimize.
  fix: change shown_name to file_name_header by default.
  fix: setting file format error.
  fix: ignore KeyError on pop all traded order.
  fix: ignore IntegrityError on backup to archive.
  fix: engine_kwargs[vt_symbol_key] = engine_kwargs[vt_symbol_key].split("_") if it's portfolio.
  fix: .execute() missing on AccountStrategyMapping.insert.
  fix: set shown_name, short_name if they are not None.
  fix: z_score_days: typing.Optional[int].
  fix: None check -> unavailable check on cta signal params.
  fix: add MacpMacmaPrAndFutures2Options demo.
  fix: add try catch on run_backtesting.
  refactor: user_name: str = CharField(max_length=50, help_text="用户名") broker_id: str = CharField(max_length=20, help_text="经纪商代码") on AccountStrategyMapping.
  refactor: numpy>=1.20.3. 重新配置环境:

  pip uninstall enum34 -y
  pip install "numpy-1.21.0+mkl-cp37-cp37m-win_amd64.whl"
  pip install vnpy_extra-0.7.20210722.1-py3-none-any.whl
  pip install cvxpy==1.1.13
  pip install cvxopt==1.2.6
  opencv_python==4.5.3
  

• 2021-07-16 v0.7.20210716.0

  feat: add start, end on backtest_all_strategies of track_performance.py。
  feat: add column visible on strategy_info.

  ALTER TABLE `vnpy`.`strategy_info` 
  ADD COLUMN `visible` TINYINT NULL DEFAULT 1 AFTER `backtest_folder_path`;
  

  feat: add function backup_tables_2_zips to backup.
  feat: add generate_setting_json_file on backtest funcs.
  feat: add gross profits.
  feat: close -> open if position conflict on report.
  fix: z_score_days error on macd signal.
  fix: add indent=4 on json file.
  refactor: 5 years for track backtest.
  refactor: add index on bac.

  ALTER TABLE `vnpy`.`strategy_backtest_stats` 
  DROP INDEX `query_symbol_status` , 
  ADD INDEX `query_symbol_status` (`backtest_status` ASC, `symbols_info_id` ASC, `stg_info_id` ASC) VISIBLE,
  DROP INDEX `query_symbol_available` ,
  ADD INDEX `query_symbol_available` (`available` ASC, `symbols_info_id` ASC, `stg_info_id` ASC) VISIBLE;
  

• 2021-07-09 v0.7.20210709.1

  feat: record_file_name = os.path.join(output_folder, f"{zip_file_name}.txt").
  feat: add load_days_span on template.py.
  feat: add AccountStrategyMapping.insert on import_by_settings.
  feat: add TradeDateModel.transfer_from_wind().
  feat: raise error if setting not in parameters on template.py.
  feat: add send_order_2_target_pos_close_rejected on TargetPosAndPriceNoStopOrderTemplate.
  feat: ignore target if target_price<0 on TargetPosAndPriceTemplate. feat: add TargetPosAndPriceFutures2OptionTemplate for futures position -> options positions.、 fix: 发现部分情况下 engine_kwargs 中 symbol 与 stats.symbols_info.symbols 不一致，以后者为准.
  fix: remove AccountStrategyMapping.import_by_settings(settings) from import_from_json_file.
  fix: ignore 'class_name' in setting.
  fix: mismatch symbols' target_price should > 0.
  fix: "target_pos" not in self.variables check on TargetPosAndPriceTemplate of cta.
  fix: "targets" not in self.variables check on TargetPosAndPriceTemplate of portfolio.
  refactor: upload records of uploading tick data of options.
  refactor: add nbconvert==5.6.1.
  refactor: add logger_name on all cta/portfolio templates.

• 2021-07-02 v0.7.20210702.1

  feat: Scripts for handling 国泰君安 Option Tick data.
  feat: add generate_df, generate_factors, generate_y_s, generate_x_df, load_and_plot_bars.
  feat: add logic of generate_x_d.
  fix: # noinspection PyUnresolvedReferences import ffn # NOQA
  fix: remove cancel_all in on_trade.
  fix: sum_df['汇总'] -> sum_df[('区间盈亏', '汇总')].
  fix: 隔夜建仓平仓导致一些情况下平仓异常引发warning："当前持仓 * 手，当前持仓全部订单不足以处理当前平仓，这种情况发生，说明当前持仓数据与交易数据的累加数字不一致，请检查数据是否缺失"。
  fix: 1 if trade_data.direction == Direction.SHORT.value else -1.
  feat: add output_path_vt_symbol to shorten file_name.
  fix: "CY": ["9:00:00", "23:00:00"] on constant.
  fix: vt_symbol not in bars check on TargetPosAndPriceTemplate.
  fix: order.vt_symbol not in self.targets check.
  fix: add strategy_cls=strategy_cls into bulk_backtest_kwargs.
  fix: self.set_target_pos(target_pos * self.base_position) on MultiSignalsTemplate.
  refactor: lower some log levels.

• 2021-06-25 v0.7.20210625.1

  feat: add output_path_has_strategy_class_name, output_separate_by_backtest_status.
  feat: add MultiSignalsTemplate.
  feat: supporting night md available check.
  feat: add return to output_report_between, output_monthly_report.
  feat: 在output_report_between中增加sum_df行，列的和.
  feat: add get_vt_symbol_target_pos_str for logging.
  feat: ignore empty columns when generating markdown files.
  feat: self.targets[vt_symbol] KeyError check and ignore duplicate recent logs.
  fix: db = connect("mysql+pool://{user}:{password}@{host}:{port}/{database}".format(**settings)) if linux.
  fix: AttributeError on write_log.
  fix: drop(columns=['策略类名']) on report.
  fix: RuntimeWarning: divide by zero encountered in double_scalars.

• 2021-06-18 v0.7.20210618.1

  feat: add get_daily_bar_count on StrategyTemplate.
  fix: trade_data.volume == 0 filter.
  fix: active_order_waiting_since_dt_dict is None.
  fix: vt_symbol key error on.
  fix: do not build am if array_size is None.
  fix: stg_info， symbols_info is ForeignKeyField.\

  stg_info 与 StrategyInfo 外键关系在实际数据库中已经解除，但在逻辑关系中保留。
    get_available_status_group_by_strategy 函数强烈依赖于该外键关系
    ALTER TABLE `vnpy`.`strategy_backtest_stats`
      DROP FOREIGN KEY `strategy_backtest_stats_ibfk_2`,
      DROP FOREIGN KEY `strategy_backtest_stats_ibfk_1`;
  

  fix: BarGenerator.is_end_day.
  fix: db = MySQLDatabase(**settings) in linux.
  fix: with lock on db connections.
  refactor: ALTER TABLE vnpy.dbbardata ADD PARTITION PARTITIONS 400;
  refactor: spread_type check.

• 2021-06-11 v0.7.20210611.0

  feat: add symbol_is_main_dic for judge the main contract.
  feat: add generate_md_by_xls_files.
  feat: add signal strategy demo.
  fix: engine_kwargs['interval'] = Interval(interval) if interval is not None else Interval.MINUTE.
  fix: cover/sell then buy/short on TargetPosAndPriceTemplate.
  fix: keep trying bulk insert and backup data if exception.
  fix: INSTRUMENT_TYPE_SUBSCRIPTION_DIC 能源所：小写+4个数字.
  fix: get_instrument_type_and_exchange.
  fix: return_loss_ratio is nan if abs_loss_pnl == 0, return_risk_ratio is nan if return_loss_ratio is nan or 0.
  fix: charts_data error when len(vt_symbols)>2.
  fix: add output_separate_by_backtest_status for the bug of output folder with backtest_status always.
  fix: backtest_status missing.
  fix: stg_info -> stg_info_id, symbols_info -> symbols_info_id after remove Foreign Key relations.
  refactor: json.dump -obj_2_json.
  refactor: change columns order and fix short_name, shown_name order.
  refactor: return_loss_ratio with decimals 2.

  ALTER TABLE `vnpy`.`strategy_backtest_stats` 
  DROP FOREIGN KEY `strategy_backtest_stats_ibfk_2`,
  DROP FOREIGN KEY `strategy_backtest_stats_ibfk_1`;
  ALTER TABLE `vnpy`.`strategy_backtest_stats` PARTITION BY KEY(stg_info_id) PARTITIONS 50;
  

  ALTER TABLE `vnpy`.`strategy_backtest_stats_archive` 
  DROP FOREIGN KEY `strategy_backtest_stats_archive_ibfk_2`,
  DROP FOREIGN KEY `strategy_backtest_stats_archive_ibfk_1`;
  ALTER TABLE `vnpy`.`strategy_backtest_stats_archive` PARTITION BY KEY(stg_info_id) PARTITIONS 50;
  

  ALTER TABLE `vnpy`.`dbbardata`  ADD PARTITION PARTITIONS 400;
  

• 2021-06-04 v0.7.20210604.1

  feat: 增加按策略类统计方法.
  feat: StrategyBacktestStats.set_strategy_unavailable.
  feat: add StrategyBacktestStats.get_by_keys.
  feat: try getting old strategy_stats if strategy_stats_original is None, and reuse backtest_status, short_name, shown_name if they are not None.
  feat: add StrategyInfo.get_strategy_class_by_name.
  feat: add backtest_by_warning_log.
  fix: save to json file if save stats failed.
  fix: output_report_between on reports.
  fix: z_score = get_daily_min_bar_count() * z_score_days.
  fix: daily_bars_needed_at_least on MACDSignal and add short_name on MACD,KDJ,RSI,BOLL.
  fix: curr_closing_trade_data is None.
  fix: statistics = dict_2_jsonable(statistics).
  refactor: beauty log of StrategyBacktestStats.expire_stats.
  refactor: add warning '没有找到对应的记录' on update_backtest_status.
  refactor: avoid loop import.

• 2021-05-28 v0.7.20210528.0

  feat: show fire_stop_order in variables if self.stop_loss_rate 0 or self.trailing_stop_rate 0.
  feat: add TargetPosAndPriceTemplate on portfolio.
  feat: beauty log and add TargetPosAndPriceNoStopOrderTemplate.
  feat: enhance ArrayManager with datetime_array.
  feat: add spread_type, curr_spread, curr_win_spread, win_spreads, win_am_spread on TargetPosAndPriceSpreadTemplate.
  feat: change indicator_dic structure on two engine.
  feat: add indicator by trade in portfolio_strategy engine.
  fix: show "最新持仓目标 ***" only if target_pos != self.pos and not self.fire_stop_order.
  fix: send_and_on_order_dt_dic pop ALLTRADED order.
  fix: cancel all stop orders if fire_stop_order and pos -0 done.
  fix: cancel_all_stop_orders() -cancel_all().
  fix: base_price_type -self.base_price_type.
  fix: change way of np.int64 -int.
  fix: cancel_all_stop_orders() -cancel_all().
  fix: StrategyBacktestStats.update(update_dic).
  fix: fire_stop_order_dt is None check.
  fix: set 0 when calculate by trade if trades data is None.
  fix: (order.volume - order.traded) <= vol <= order.volume on is_same_as_order func and beauty log.
  fix: None check on calc_spread_bar.
  fix: _update_spread.
  refactor: beauty order log.

• 2021-05-21 v0.7.20210521.0

  feat: add TargetPosAndPriceSpreadTemplate.
  feat: add author_list on backtest_all_strategies.
  feat: add TargetPosAndPrice2SymbolTemplate.
  feat: add get_daily_min_bar_count on enhancement.
  feat: add calc_init_load_days on StrategyTemplate.
  feat: period_enum become optional. \ feat: 添加calculate_by_trade，通过每笔交易计算指标.
  feat: add get_id_name on MACrossPriceSignal.
  fix: handle DoesNotExist on apply_2_symbol.
  fix: update short_name, shown_name update to None on update_backtest_status.
  fix: int64 cannot be json on indicator_dic.
  fix: update backtest_status on update_stats.
  fix: Duplicate entry error. remove fn.ABS(StrategyBacktestStats.backtest_status) >= StrategyBacktestStatusEnum.QuasiOnline.value condition.

• 2021-05-14 v0.7.20210514.0

  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.
  feat: add check_account_mapping on StrategyBacktestStats.update_backtest_status.
  feat: add ams of ArrayManager Dict on StrategyTemplate.
  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.
  fix: score +/- wrong.
  fix: file extension check ('.csv', '.xls', '.xlsx').
  fix: old_id_name = None and add exception log.
  fix: only warning if pos status < today and tick data missing.
  fix: duplicate key error in some cases of update_stats.
  fix: cancel stop_vt_orderids when target position direction changed.
  fix: key will not be added in send_and_on_order_dt_dic if stop == True in send_order.
  fix: checking bar is None.
  fix: handle InterfaceError on StrategyStatus.query_status.
  fix: '主连合约' '次主连合约' shown wrong.
  fix: do not calc avg_entry_price if self.pos == 0.
  fix: load continue data.
  refactor: add hint self.window_bar: Optional[BarData] = None.
  feat: add new parameter indicator_dic to return of BacktestingEngine.calculate_statistics(), which contain all indicator data.
  feat: add new model field indicator_dic to StrategyBacktestStats in orm.py
  feat: 数据库变更脚本

  ALTER TABLE `vnpy`.`strategy_backtest_stats`
  ADD COLUMN `indicator_dic` JSON NULL DEFAULT NULL AFTER `charts_data`;
  ALTER TABLE `vnpy`.`strategy_backtest_stats_archive`
  ADD COLUMN `indicator_dic` JSON NULL DEFAULT NULL AFTER `charts_data`;
  ALTER TABLE `vnpy`.`strategy_backtest_stats_test`
  ADD COLUMN `indicator_dic` JSON NULL DEFAULT NULL AFTER `charts_data`;
  

• 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 subclasses of vnpy_extra.utils.enhancement.CtaSignal.
  feat: add filter_n_available=1 param for each subclass.
  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
   

4. 不错的 Jupyter 组建

• nbextension

  pip install jupyter_contrib_nbextensions -i https://pypi.mirrors.ustc.edu.cn/simple
  jupyter contrib nbextension install
  pip install --user jupyter_nbextensions_configurator -i https://pypi.mirrors.ustc.edu.cn/simple
  jupyter nbextensions_configurator enable --user
  

• jupyter-kite

  pip install jupyter-kite
  jupyter labextension install @kiteco/jupyterlab-kite
  

• jupyter-matplotlib

  pip install ipympl
  jupyter labextension install @jupyter-widgets/jupyterlab-manager jupyter-matplotlib
  

• jupyterlab-system-monitor

  pip install nbresuse
  jupyter labextension install jupyterlab-topbar-extension jupyterlab-system-monitor
  

• jupyterlab-variableInspector

  jupyter labextension install @lckr/jupyterlab_variableinspector
  

• debugger

  conda install xeus-python=0.8.0 -c conda-forge
  jupyter labextension install @jupyterlab/debugger
  

• 其他

  pip install jupyterlab_widgets
  jupyter labextension install @jupyter-widgets/jupyterlab-manager @jupyterlab/toc jupyterlab-execute-time plotlywidget@4.9.0
  

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. 数据库命令

1) 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

2) 数据库分区

ALTER TABLE `vnpy`.`dbbardata` 
 PARTITION BY KEY (symbol) PARTITIONS 100;

ALTER TABLE `vnpy`.`strategy_backtest_stats` 
 PARTITION BY KEY(stg_info_id) PARTITIONS 50;

3) 错误解决方案

peewee.OperationalError: (-1, 'MySQL Connection not available.', None)

pip install peewee==3.13.3

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