比格设计官网,西安百度seo排名软件,网站结构和布局区别,演示网站怎么做Backtrader 文档学习- Broker - Cheat-On-Open
1.概述
V1.9.44.116增加了Cheat On Open的支持。对于全押的人来说#xff0c;这似乎是一个必需的功能#xff0c;用bar的收盘价后进行计算#xff0c;希望与开盘价相匹配。 当开盘价差距#xff08;上涨或下跌#xff0c;取…Backtrader 文档学习- Broker - Cheat-On-Open
1.概述
V1.9.44.116增加了Cheat On Open的支持。对于全押的人来说这似乎是一个必需的功能用bar的收盘价后进行计算希望与开盘价相匹配。 当开盘价差距上涨或下跌取决于买入或卖出是否有效以及现金不足进行全仓操作时这种情况下就会失败。迫使broker 退回操作。 尽管人们可以尝试用积极正向的指数方法来预测未来需要预先加载数据而数据并不总是可用的。
使用模式 cerebro bt.Cerebro(cheat_on_openTrue) 在系统中激活一个额外的循环该循环调用策略中的方法next_open、nextstart_open和prenext_open。 需要增加一组新的定价方法明确区分常规定价方法和cheat定价方法常规定价方法是在被检查价格不再可用且未来不可知的情况下运作的。 这也避免了对常规next方法进行2次调用。 当在xxx_open方法内部时以下内容是正确的指标尚未重新计算并保留了在等效的xxx常规方法中上次循环中得到的值。broker尚未评估新循环的挂单可以引入新订单如果可能将对其进行评估。 请注意Cerebro还有一个broker_coo默认值True参数告诉cerebro如果激活了作弊模式则在可能的情况下也应尝试在broker中激活它。 模拟broker有一个名为coo的参数和一个名为set_coo的方法。
2.尝试开盘作弊
1核心代码 # 买入卖出点操作def operate(self, fromopen):# 如有挂起的订单返回无操作if self.order is not None:return# 如有仓位if self.position:# 信号点小于0 平仓if self.signal 0:self.order self.close()# 信号点大于0elif self.signal 0:print({} Send Buy, fromopen {}, close {}.format(self.data.datetime.date(),fromopen, self.data.close[0]))# 买入self.order self.buy()# 正常交易 cheat-on-open Falsedef next(self):print({} next, open {} close {}.format(self.data.datetime.date(),self.data.open[0], self.data.close[0]))if self.cheating:returnself.operate(fromopenFalse)# 作弊交易 cheat-on-open Truedef next_open(self):if not self.cheating:returnself.operate(fromopenTrue)
2cheat_on_openFalse
常规执行
python ./cheat-on-open.py --cerebro cheat_on_openFalse
2005-02-14 next, open 3079.93 close 3075.76
2005-02-15 next, open 3075.2 close 3086.95
2005-02-16 next, open 3087.3 close 3068.55
2005-02-17 next, open 3068.79 close 3067.34
2005-02-18 next, open 3067.26 close 3072.04
2005-02-21 next, open 3072.31 close 3063.64
2005-02-22 next, open 3062.99 close 3045.24
2005-02-23 next, open 3042.65 close 3028.08
2005-02-24 next, open 3030.17 close 3024.8
2005-02-25 next, open 3029.07 close 3062.72
2005-02-28 next, open 3063.85 close 3058.35
2005-03-01 next, open 3056.45 close 3078.44
2005-03-02 next, open 3078.89 close 3082.71
2005-03-03 next, open 3080.71 close 3078.11
2005-03-04 next, open 3079.93 close 3106.86
2005-03-07 next, open 3106.98 close 3114.54
2005-03-08 next, open 3113.82 close 3097.34
2005-03-09 next, open 3098.91 close 3081.99
2005-03-10 next, open 3079.01 close 3053.62
2005-03-11 next, open 3058.37 close 3060.36
2005-03-14 next, open 3060.06 close 3060.72
2005-03-15 next, open 3062.77 close 3083.73
2005-03-16 next, open 3083.33 close 3032.13
2005-03-17 next, open 3032.84 close 3039.8
2005-03-18 next, open 3040.38 close 3053.54
2005-03-21 next, open 3052.39 close 3038.14
2005-03-22 next, open 3040.55 close 3050.44
2005-03-23 next, open 3040.66 close 3036.85
2005-03-24 next, open 3039.55 close 3060.67
2005-03-29 next, open 3060.02 close 3068.49
2005-03-30 next, open 3067.3 close 3056.21
2005-03-31 next, open 3059.1 close 3055.73
2005-04-01 next, open 3055.18 close 3061.11
2005-04-04 next, open 3060.0 close 3042.17
2005-04-05 next, open 3046.56 close 3064.07
2005-04-06 next, open 3066.05 close 3076.23
2005-04-07 next, open 3073.4 close 3090.72
2005-04-08 next, open 3092.07 close 3088.92
2005-04-08 Send Buy, fromopen False, close 3088.92
2005-04-11 Buy Executed at price 3088.47
2005-04-11 next, open 3088.47 close 3080.6订单
在2005-04-08收盘后以3088.92收盘价发布订单在2005-04-11以3088.47的开盘价执行订单 看一下当时数据 2005-04-07,3073.40,3092.99,3070.02,3090.72,0,0 2005-04-08,3092.07,3100.72,3083.87,3088.92,0,0 2005-04-11,3088.47,3088.47,3073.75,3080.60,0,0 图示
3cheat_on_openTrue
作弊执行
python ./cheat-on-open.py --cerebro cheat_on_openTrue
2005-02-14 next, open 3079.93 close 3075.76
2005-02-15 next, open 3075.2 close 3086.95
2005-02-16 next, open 3087.3 close 3068.55
2005-02-17 next, open 3068.79 close 3067.34
2005-02-18 next, open 3067.26 close 3072.04
2005-02-21 next, open 3072.31 close 3063.64
2005-02-22 next, open 3062.99 close 3045.24
2005-02-23 next, open 3042.65 close 3028.08
2005-02-24 next, open 3030.17 close 3024.8
2005-02-25 next, open 3029.07 close 3062.72
2005-02-28 next, open 3063.85 close 3058.35
2005-03-01 next, open 3056.45 close 3078.44
2005-03-02 next, open 3078.89 close 3082.71
2005-03-03 next, open 3080.71 close 3078.11
2005-03-04 next, open 3079.93 close 3106.86
2005-03-07 next, open 3106.98 close 3114.54
2005-03-08 next, open 3113.82 close 3097.34
2005-03-09 next, open 3098.91 close 3081.99
2005-03-10 next, open 3079.01 close 3053.62
2005-03-11 next, open 3058.37 close 3060.36
2005-03-14 next, open 3060.06 close 3060.72
2005-03-15 next, open 3062.77 close 3083.73
2005-03-16 next, open 3083.33 close 3032.13
2005-03-17 next, open 3032.84 close 3039.8
2005-03-18 next, open 3040.38 close 3053.54
2005-03-21 next, open 3052.39 close 3038.14
2005-03-22 next, open 3040.55 close 3050.44
2005-03-23 next, open 3040.66 close 3036.85
2005-03-24 next, open 3039.55 close 3060.67
2005-03-29 next, open 3060.02 close 3068.49
2005-03-30 next, open 3067.3 close 3056.21
2005-03-31 next, open 3059.1 close 3055.73
2005-04-01 next, open 3055.18 close 3061.11
2005-04-04 next, open 3060.0 close 3042.17
2005-04-05 next, open 3046.56 close 3064.07
2005-04-06 next, open 3066.05 close 3076.23
2005-04-07 next, open 3073.4 close 3090.72
2005-04-08 next, open 3092.07 close 3088.92
2005-04-11 Send Buy, fromopen True, close 3080.6
2005-04-11 Buy Executed at price 3088.47
2005-04-11 next, open 3088.47 close 3080.6对比当时数据 2005-04-07,3073.40,3092.99,3070.02,3090.72,0,0 2005-04-08,3092.07,3100.72,3083.87,3088.92,0,0 2005-04-11,3088.47,3088.47,3073.75,3080.60,0,0 在2005-04-11开盘前发布在2005-04-11以3088.47的开盘价执行
注意区别
4月8日未触发订单4月11日触发订单当天成交订单。对于交易结果是一样的。
图示 结论 开盘欺骗允许在开盘前发布订单允许对全仓场景的所有投注进行精确计算。
4. 源码
#!/usr/bin/env python
# -*- coding: utf-8; py-indent-offset:4 -*-
###############################################################################
#
# Copyright (C) 2015-2023 Daniel Rodriguez
#
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program. If not, see http://www.gnu.org/licenses/.
#
###############################################################################
from __future__ import (absolute_import, division, print_function,unicode_literals)import argparse
import datetimeimport backtrader as btclass St(bt.Strategy):params dict(periods[10, 30],matypebt.ind.SMA,)def __init__(self):self.cheating self.cerebro.p.cheat_on_openmas [self.p.matype(periodx) for x in self.p.periods]self.signal bt.ind.CrossOver(*mas)self.order Nonedef notify_order(self, order):if order.status ! order.Completed:returnself.order Noneprint({} {} Executed at price {}.format(bt.num2date(order.executed.dt).date(),Buy * order.isbuy() or Sell, order.executed.price))def operate(self, fromopen):if self.order is not None:returnif self.position:if self.signal 0:self.order self.close()elif self.signal 0:print({} Send Buy, fromopen {}, close {}.format(self.data.datetime.date(),fromopen, self.data.close[0]))self.order self.buy()def next(self):print({} next, open {} close {}.format(self.data.datetime.date(),self.data.open[0], self.data.close[0]))if self.cheating:returnself.operate(fromopenFalse)def next_open(self):if not self.cheating:returnself.operate(fromopenTrue)def runstrat(argsNone):args parse_args(args)cerebro bt.Cerebro()# Data feed kwargskwargs dict()# Parse from/to-datedtfmt, tmfmt %Y-%m-%d, T%H:%M:%Sfor a, d in ((getattr(args, x), x) for x in [fromdate, todate]):if a:strpfmt dtfmt tmfmt * (T in a)kwargs[d] datetime.datetime.strptime(a, strpfmt)# Data feeddata0 bt.feeds.BacktraderCSVData(datanameargs.data0, **kwargs)cerebro.adddata(data0)# Brokercerebro.broker bt.brokers.BackBroker(**eval(dict( args.broker )))# Sizercerebro.addsizer(bt.sizers.FixedSize, **eval(dict( args.sizer )))# Strategycerebro.addstrategy(St, **eval(dict( args.strat )))# Executecerebro.run(**eval(dict( args.cerebro )))if args.plot: # Plot if requested tocerebro.plot(**eval(dict( args.plot )))def parse_args(pargsNone):parser argparse.ArgumentParser(formatter_classargparse.ArgumentDefaultsHelpFormatter,description(Cheat-On-Open Sample))parser.add_argument(--data0, default./datas/2005-2006-day-001.txt,requiredFalse, helpData to read in)# Defaults for datesparser.add_argument(--fromdate, requiredFalse, default,helpDate[time] in YYYY-MM-DD[THH:MM:SS] format)parser.add_argument(--todate, requiredFalse, default,helpDate[time] in YYYY-MM-DD[THH:MM:SS] format)parser.add_argument(--cerebro, requiredFalse, default,metavarkwargs, helpkwargs in keyvalue format)parser.add_argument(--broker, requiredFalse, default,metavarkwargs, helpkwargs in keyvalue format)parser.add_argument(--sizer, requiredFalse, default,metavarkwargs, helpkwargs in keyvalue format)parser.add_argument(--strat, requiredFalse, default,metavarkwargs, helpkwargs in keyvalue format)parser.add_argument(--plot, requiredFalse, default,nargs?, const{},metavarkwargs, helpkwargs in keyvalue format)return parser.parse_args(pargs)if __name__ __main__:runstrat()
5.Help
python ./cheat-on-open.py --help
usage: cheat-on-open.py [-h] [--data0 DATA0] [--fromdate FROMDATE][--todate TODATE] [--cerebro kwargs] [--broker kwargs][--sizer kwargs] [--strat kwargs] [--plot [kwargs]]Cheat-On-Open Sampleoptional arguments:-h, --help show this help message and exit--data0 DATA0 Data to read in (default:./datas/2005-2006-day-001.txt)--fromdate FROMDATE Date[time] in YYYY-MM-DD[THH:MM:SS] format (default: )--todate TODATE Date[time] in YYYY-MM-DD[THH:MM:SS] format (default: )--cerebro kwargs kwargs in keyvalue format (default: )--broker kwargs kwargs in keyvalue format (default: )--sizer kwargs kwargs in keyvalue format (default: )--strat kwargs kwargs in keyvalue format (default: )--plot [kwargs] kwargs in keyvalue format (default: )
