vnpy-extra 0.8.20211220.0

基于VNPY进行功能拓展

vnpy_extra

[TOC]

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）

• 2021-12-24 v0.8.20211220.0

  refactor: ignore_existed_backtest=True for bulk_backtest_separated_by_symbol.

• 2021-12-17 v0.8.20211215.0

  feat: add backtest_from_tb_xml.

  feat: ignore_existed_backtest if file param_file_name existed.

  feat: add sub_folder_name on StrategyPositionMonitor.output_report_between.

  fix: json.dump(settings, fp, indent=4).

  fix: add FileNotFoundError handler for cta/portfolio engine.

  fix: INSERT IGNORE INTO for AccountStrategyMapping.clone_mapping.

  fix: except (OptimizationError, cvxpy.error.SolverError) as exp.

  refactor: show plot_by_account before generate_strategy_setting_file.

  refactor: upgrade IBATS-Utils>=1.20211214.0

  refactor: param_file_name will be output no depend on available stats.

  refactor: add log on StrategyBacktestStats.set_base_position.

  refactor: output_setting_json=True.

• 2021-12-10 v0.8.20211210.0

  feat: set_target_pos only if win_bar_count changed.

  feat: add patch_missing_settings_by_dir.

  feat: f"[{''.join([make_param_2_str() for _ in param])}]" if isinstance(param, list) of make_param_2_str.

  fix: _id_name error if len(param_value_dic) >= 2.

  fix: KeyError on group_name = key_group_dic[key].

  refactor: value = json.loads(value) if isinstance(value, str) for signal param on MultiSignalsTemplate.

• 2021-12-03 v0.8.20211203.2

  feat: add bulk_backtest_multi_process_by_symbols for both cta and portfolio.

  feat: add ret_mid=False param for am.boll.

  feat: add grace_bar_count param for BOLLSignal.

  feat: add pre_call_before_backtest on refresh_vt_symbol_2_curr_contract_by_account, backtest_all_strategies.

  refactor: add am.logger.

  refactor: 为防止出现类公共属性数据混淆，在 init 里面重新进行初始化相关变量

• 2021-11-26 v0.8.20211126.0

  feat: 允许子类在 super.init 之前 覆盖父类的对应属性 on PublicSignal.

  feat: add rr, volatility, stochf, stoch, keltner for am.

  feat: add pre_call_before_backtest for dynamic loading modules.

  fix: sum result on psy if array==True.

  fix: er(self, period, has_plus_or_minus=False, array: bool = False).

  fix: MultiSignalsTemplate.get_id_name.

• 2021-11-20 v0.8.20211119.0

  feat: add NATRSignal.

  feat: filter by pct_change_s.quantile([0.02, 0.98]) for net_pnl_gross_s.

  feat: add Signal2PositionMethodEnum.viscosity for MultiSignalsTemplate.

  feat: replace atr, remove atr_no_hl, natr_no_hl for ArrayManager.

  feat: output _all stats only.

  fix: BASE_POSITION, STOP_OPENING_POS_PARAM missing on account mapping table.

  refactor: self.logger = logging.getLogger(f"{strategy_obj.strategy_name}.{self.class.name}").

  refactor: performance tuning for multiprocess of backtest and tracking backtest.

  fix: no data check on report.

• 2021-11-12 v0.8.20211112.3

  feat: add ** kwargs for bulk_backtest_with_backtest_params_iter, backtest_all_strategies, run_backtest_all_strategies_after_refresh.

  feat: add min_high_after_entry_by_signal, max_low_after_entry_by_signal, highest_after_entry_by_signal, lowest_after_entry_by_signal, min_high_after_entry_by_signal_last, max_low_after_entry_by_signal_last, highest_after_entry_by_signal_last, lowest_after_entry_by_signal_last, bars_since_entry_by_signal, bars_since_exit_by_signal, entry_price_by_signal, exit_price_by_signal on CtaSignal.

  feat: vt_symbol_weight_multiplier_dic, strategy_weight_multiplier_dic on fit_and_merge_key_stats_dic.

  feat: add ArrayManager.natr_no_hl ArrayManager.atr_no_hl.

  feat: trade_end_time on BarGenerator, PublicSignal.

  feat: add window_bar_last for bg.

  fix: error message too much when trade direction conflicting.

  fix: MultiSignalsTemplate.get_name_by_pattern.

  fix: backtest_status convert to int.

  fix: except (MissMatchParametersError, ValueError) for stats_obj.apply_2_symbol.

  fix: log of cta -> portfolio wrong on generate_strategy_setting_file.

  fix: volatility = np.sum(np.abs(close_rolling[:, 1:] - close_rolling[:, :-1]), axis=1) on calc_er.

  fix: np.zeros_like(**, dtype=float).

  fix: fix_db_bar_datetime on Template.

  fix: add duplicate data checking on bg.

  fix: duplicate data load when fix_db_bar_datetime.

  fix: current_bar_daily if self.bg.window_bar is None.

  fix: stats_main is None check.

  refactor: pnl_std2 = net_pnl_gross_s[net_pnl_gross_s != 0].std() * 3.

  refactor: np.seterr(divide='ignore') and pass calculate if no trade.

  refactor: remove duplicate msg.

  refactor: add warning log when ignore stg on backtest_all_strategies.

  refactor: pool_size = cpu_count() if pool_size <= -1 on generate_adj_md.

  refactor: add OpenDailyTest demo.

• 2021-10-29 v0.8.20211028.1

  feat: change to new version engine. feat: add bias, kd index on am. feat: add is_same_trade_date. feat: add vt_symbol_multipliers, vt_symbol_rates, vt_symbol_price_ticks for StrategyTemplate. feat: add is_cross_threshold. feat: add set_other_stg_pos on AccountStrategyMapping.bulk_update_position. fix: StrategyBacktestStats.charts_data. fix: self.window > 1 的情况下不允许单根bar形成 window_bar. fix: instrument_id_secondary is None check on FutureAdjFactor.is_main. fix: _target_price = (tick.bid_price_1 if activate else tick.ask_price_1) is zero check. fix: ArrayManager.kd. fix: key_weight_dic is None check.

• 2021-10-22 v0.7.20211022.0

  feat: add max_strategy_weight on PortfolioOptimization. feat: add StopOpeningPos.stop_opening_long_and_log, StopOpeningPos.stop_opening_short_and_log etc. feat: 禁止跌停做多、禁止涨停做空. feat: write_log(self, msg: str, logger_method='info', *, enable=True, callback=None). fix: backtest_all_strategies pool_size = multiprocessing.cpu_count() if pool_size < 0. fix: vt_symbol_market_value_dic[vt_symbol] += on PortfolioOptimization.get_vt_symbol_market_value_dic.

• 2021-10-15 v0.7.20211015.1

  feat: add clear_mapping_first on clone_mapping. feat: add import_save_failed_by_dir. feat: add win_bar_log on PublicSignal. feat: add 边际贡献(%), drawback plot. feat: add matplotlib_use='Qt5Agg' on plot_with_weights. feat: add min max data comments on plot_with_weights. fix: self.interval: str, bg(..., interval=Interval(self.interval)). fix: output trades if .volume != 0. fix: InstrumentClassificationEnum.All = set([get_instrument_type() for _ in VT_SYMBOL_LIST_ALL]). fix: rr_df shape 0 check on fit_and_merge_key_stats_dic. fix: highest_after_entry, lowest_after_entry 0 check on CtaTemplate. fix: df is not None on is_available. fix: super().on_window(bar) on CtaSignal. fix: self.bgs_daily None check. fix: stg_obj is not None and hasattr(stg_obj, 'get_name_by_pattern'). fix: ret_key_weight_dic = {k: v for k, v in key_weight_dic.items() if not np.isnan(v)} on PortfolioOptimizationGroupFitting._fit_by_group_keys. fix: check_backtest_status on plot_by_account. fix: win_ratio = profit_days / total_days. fix: vt_symbol_market_value_dic[vt_symbol] += mv on plot_with_base_position. fix: available_weight_dic on plot_with_weights. refactor: windows->period.

• 2021-09-30 v0.7.20210928.1

  feat: add check_backtest_status on AccountStrategyMapping.get_stats_by_account, PortfolioOptimization.build_by_account, portfolio_optimization_by_account. feat: add max_low_after_entry_last, min_high_after_entry_last on CtaSignal. feat: ignore_backtest_status_0=True. feat: add ignore_set, only_set, name param on FittingInstrumentGroup.create_by_instrument_classification_enum. feat: add calc_vidya and am.vidya() func. feat: add PortfolioSignal. feat: divide trade into three daily df by direction. feat: add a new calculate_statistics function. feat: add calc_vidya, calc_er, calc_c_factor, calc_ama. feat: add er, c_factor, ama for ArrayManager. feat: add daily_array_size, bar_count_since_entry_dic, bar_count_since_exit_dic, win_bar_count_since_entry_dic, win_bar_count_since_exit_dic, bgs_daily, ams_daily on StrategyTemplate. feat: add daily_spread_array_size, daily_am_spread, on_daily_spread_bar, get_latest_available_bar on TargetPosAndPriceSpreadTemplate. fix: "signal_type" in self._signal_name_kwargs_dic[signal_name]. refactor: add schema_table_names_dic param on backup_db_2_zip_multiprocess. refactor: abstract PublicSignal class.

• 2021-09-24 v0.7.20210924.1

  feat: add sub_class_name_tail property for f"{''.join([_.get_short_name().capitalize() for _ in signal_cls_list])}{tail_name}". feat: add entry_prices and entry_price for SpreadTemplate. feat: add register_vt_symbol_9999_8888. feat: reorg params_kwargs by make_param_2_str, get_name_by_param. feat: fix_db_bar_datetime = True on MultiSignalsTemplate by default. feat: strategy_class_name available check on get_backtest_status_info_by_images_in_output_stg_dir. fix: attach_file_paths = {k: v for k, v in attach_file_paths.items() if v is not None}. fix: from vnpy_extra.utils.symbol import get_instrument_type. fix: last_bar.high, low, open -> close. fix: self.price_scale = getattr(strategy_obj, "vt_symbol_price_tick", 1). fix: high_price = max(high_price_temp, close_price, open_price, low_price_temp). fix: attr_name = f'{signal_name}_period_enum' on create_cls_by_signals. fix: SymbolsInfo.get_or_create_curr_symbols(vt_symbol, create_if_not_exist=True). fix: market_position 赋值钱判断类型. fix: id_name.endswith(symbol_str) check for get_backtest_status_info_by_images_in_output_stg_dir. refactor: f"{param_name} = '{value}' 该参数用法已经废弃，建议使用 '{signal_param_header}period_enum' 的参数名称".

• 2021-09-17 v0.7.20210918.1

  feat: get_instance_by_strategy_class_name cal with lock. feat: @lru_cache() get_instance_by_strategy_class_name. feat: add fire_exit_signal, reset_exit_signal on CtaExitSignal. feat: add _close_from_position for reset exit signal status. feat: add get_backtest_status_info_by_images_in_output_stg_dir. feat: add GeneralPeriodEnum.parse_2_values. feat: add ArrayManager.psy. feat: add MultiSignalsTemplate.reset_close_signal_status. feat: add db_bar_datetime_2_real_datetime(db_bar.to_bar()) 修正数据库bar时间为 end_time 导致整体时间错后1分钟的问题，该功能可以通过策略的 fix_db_bar_datetime 参数处罚。考虑到历史兼容性，该参数默认为 False。 feat: add exit cta signals. feat: add output_csv on po. feat: add daily info. feat: add max_low_after_entry, min_high_after_entry. feat: add on_spread_bar, on_win_spread_bar, am_spread on TargetPosAndPriceSpreadTemplate template.py. feat: add calculation of close_price, open_price, high_price, low_price, volume, open_interest. feat: group settings on backtest_by_json. feat: add er_ratio on am. fix: IBATS-Utils>=1.20210912.0. fix: getattr(stats, 'freeze_of_account', 0). fix: stats_obj.apply_2_symbol(ignore_no_s_pattern_record=ignore_no_s_pattern_record). fix: None if TypeError in export_table_2_df_io. fix: on_conflict_ignore on add_2_account. fix: image path and beauty log on update_strategy_stats_by_images_in_output_stg_dir and update_backtest_status_bulk. fix: get_interval_str interval = Interval.MINUTE if interval is None else interval. fix: GBK -> utf-8 for backtest_portfolio.py. fix: change targetPnlSignal. fix: update target_price of MultiSignalsTemplate. fix: self.set_target_pos(target_pos * self.base_position, target_price) on MultiSignalsTemplate. refactor: pos -> market_position. refactor: abstract am.py, bg.py, cta_signal.py.

• 2021-09-10 v0.7.20210910.1

  feat: add get_base_position_of_account get_stop_opening_pos_of_account get_freeze_of_account of StrategyBacktestStats. feat: ignore not _.get_freeze_of_account() on po. feat: auto calc vt_symbol_market_value_dic if plot_by_account. feat: use fit_and_merge_key_stats_dic on po. feat: add curr_symbol_only on po. feat: copy_freeze on refresh_vt_symbol_2_curr_contract_by_account. feat: add default_backtest_status on backtest funcs. fix: AccountStrategyMapping.freeze == 0 on set_base_position. fix: active_order_close is None error in log. fix: ignore AttributeError error on backtest_all_strategies. fix: cancel_all_stop_orders and cancel_all_close_orders if pos==0 in on_trade callback. fix: short_name = getattr(self, 'short_name_of_account', self.short_name). fix: change lowest_after_entry and highest_after_entry to property. refactor: self.write_log(f"目标仓位方向改变，取消停止单 {self.stop_vt_orderids}", 'debug'). refactor: sleep_seconds = 30 by default of AccountStrategyStatusMonitor.

• 2021-09-03 v0.7.20210903.0

  feat: add param stg_info_duplicate_name_options 默认 DuplicateNameOptions.raise_error。策略重名应对措施。该参数仅在 save_stats == True 的情况下启用. feat: reorg log of po. feat: add plot_by_account. feat: add freeze on AccountStrategyMapping. feat: remove StrategyBacktestStatsKey and add new logic of StrategyBacktestStats.get_stats_key_str. feat: add subplots on plot_with_weights. feat: add StrategyBacktestStats.get_profit_s. feat: .ffill().dropna() for profit_df and balance_df. feat: current_month param on output_monthly_report. feat: add user_name=None, broker_id=None, description=None param on output_report_between. fix: count=0 error. fix: symbol_price_dic None check. fix: to_markdown(index=False). fix: weights too big on equal_mdd. fix: self.send_order_dic.pop(order.vt_orderid) if order.status in (Status.REJECTED, Status.CANCELLED). fix: self.last_tick_time by time_diff_seconds_local_2_server. fix: self.vt_symbol.upper() on indicator_by_trade_dic. refactor: target_pos = self.target_pos.

  ALTER TABLE `vnpy`.`account_strategy_mapping` ADD COLUMN `freeze` tinyint NOT NULL DEFAULT 0 AFTER `position`;
  

• 2021-08-27 v0.7.20210827.1

  feat: add get_price_tick, get_vt_symbol_rate. feat: add 'pl', 'gross_pl', 'rr', 'gross_rr' on TradeWinLossStatsTuple. feat: add key_base_position_dic on log_contributes, plot_with_base_position. feat: add lp_portfolio_param param on PortfolioOptimization.set_goal, cache get_base_positions. feat: add latest_cancel_response_order on CtaTemplate. feat: new logic of import_cta_strategy_data_json. feat: add portfolio_optimization_by_account. feat: query_latest_position_status(recent_n_days=32). feat: add ignore_old_symbol on generate_strategy_setting_file. feat: add AccountStrategyMapping.clone_mapping. feat: add track_backtest=False, track_backtest_pool=3 on refresh_vt_symbol_2_curr_contract_by_account. feat: add PortfolioOptimizationGroupFitting. feat: back_up database by multiprocess. fix: fix BASE_POSITION 1 on backtest_all_strategies. fix: AccountStrategyMapping.position == 0 on AccountStrategyMapping.delete_if_no_position. fix: target_pos != self.pos and not self.fire_stop_order and not self.stop_opening_pos on TargetPosAndPriceNoStopOrderTemplate.

• 2021-08-20 v0.7.20210819.1

  feat: add include_holding_pos_stg param on generate_strategy_setting_file. feat: support black_litterman on PortfolioOptimization. feat: add INSTRUMENT_TYPE_MAIN_CONTRACT_DIC. feat: add position on AccountStrategyMapping. feat: add AccountStrategyMapping.bulk_update_position. feat: add AccountStrategyMapping.delete_if_no_position. feat: only optimize curr symbols. feat: add CtaExitSignal. feat: add exit_signal_name_list on MultiSignalsTemplate. feat: add incrementally param on generate_adj_md. feat: add get_by_vt_symbol_short_name. feat: add LatestTickPriceModel.insert_price_by_dic. feat: add import_cta_strategy_data_json. feat: 已经支持每日复权，此前只能按照周级别复权因此需要做跨周处理，此后不再需要. fix: shown_name wrong on refresh_vt_symbol_2_curr_contract_by_account. fix: ignore FileNotFoundError error and log. fix: shown_name is None check on apply_2_symbol. fix: error handler on FileNotFoundError of run_backtest, limit file_name_header. fix: variables.append("trailing_stop_hl_price") if self.trailing_stop_rate != 0. fix: change symbols to curr symbols. fix: StrategyBacktestStats.charts_data.is_null(False) check. fix: error on np.concatenate if no trade. refactor: account_stg.strategy_settings is None check.

  ALTER TABLE `vnpy`.`account_strategy_mapping` ADD COLUMN `position` INT NOT NULL DEFAULT 0 AFTER `shown_name`;
  

• 2021-08-13 v0.7.20210813.1

  feat: add acc_drawback_rate, drawback_rate on CtaTemplate. feat: add SymbolsInfo.get_by_symbol_str. feat: add get_merged_profit_by_json. feat: add AccountStrategyMapping.add_2_account, StrategyBacktestStats.update_backtest_status, StrategyBacktestStats.generate_f_short_name. feat: add add_stg_2_account_by_json. feat: add PortfolioOptimizeGoalEnum.equal_mdd. feat: support optimized with group_weight_dic. feat: plot_with_weights(stats_list, weight_dic: dict, capital=None). feat: add fit_by_group, max_vt_symbol_weight, start_date constrains on PortfolioOptimization.set_goal. feat: add refresh_vt_symbol_2_main_contract. fix: id_name ignore (STOP_OPENING_POS_PARAM, BASE_POSITION, ENABLE_COLLECT_DATA_PARAM). fix: TradeDataModel.query_latest_n_trade_date_list -> TradeDateModel.query_latest_n_trade_date_list. fix: contract_result None check. fix: ALL_VT_SYMBOL_LIST -> VT_SYMBOL_LIST_ALL. refactor: self.enable_collect_data = setting.get(ENABLE_COLLECT_DATA_PARAM, False). refactor: portfolio management -> pm for short. refactor: update_backtest_status -> update_backtest_status_bulk.

• 2021-08-06 v0.7.20210806.1

  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 param on backtest funcs. feat: add skip_current_week for FutureAdjFactor.is_main. feat: add until_date for TradeDateModel.get_latest_trade_date. feat: add allow_trade_direction param on TargetPosAndPriceTemplate and TargetPosAndPriceNoStopOrderTemplate. 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 of 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'. refactor: move symbol related funcs to utils.symbol.

• 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_curr_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_bulk. 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_bulk. 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_bulk. 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_bulk. 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_bulk. 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_bulk. 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_bulk logic. fix: reduce reject order. fix: StrategyBacktestStats.update_backtest_status_bulk. 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 jupyterlab jupyter_contrib_nbextensions yapf autopep8 nbresuse -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

2.1.8版本

1. Windows Server 2012 R2 错误提示：

This Windows version (6.3.9600) does not support the required bluetooth API. Consider updating to a more recent Windows (10.0.10685 or above).

解决方法：

• 第一步：找到vnpy的QT的bin路径，例如我的是：C:\vnstudio\Lib\site-packages\PyQt5\Qt\bin
• 第二步：找到Qt5Bluetooth.dll，并重命名为其它名，例如：Qt5Bluetooth.dll1