revise config path

nika90426 · Sep 13, 2019 · f813ff7 · f813ff7
1 parent 22d2e44
commit f813ff7
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Showing 16 changed files with 107 additions and 1,302 deletions.
diff --git a/config/backtest/backtest.config b/config/backtest/backtest.config
@@ -4,7 +4,6 @@ time_controller :
   close_time = [ "14:00:59-14:59:00", "23:00:00-23:59:59" ];
   force_close_time = [ "16:59:59-17:30:00" ];
 };
-legend = "nf:rg3:am50:mhc:*";
 backtest_out_file = "backtest_record";
 strategy = ( 
   {
@@ -19,7 +18,6 @@ strategy = (
     max_holding_sec = 3600000;
     stop_loss_margin = 3.0;
     max_loss_times = 2;
-    pairs = ( "au1906", "au1908" );
   }, 
 
   {
@@ -34,7 +32,6 @@ strategy = (
     max_holding_sec = 360000000;
     stop_loss_margin = 10.0;
     max_loss_times = 2;
-    pairs = ( "IH1905", "IH1906" );
     no_close_today = true;
   }, 
   {
@@ -49,7 +46,6 @@ strategy = (
     max_holding_sec = 360000000;
     stop_loss_margin = 10.0;
     max_loss_times = 2;
-    pairs = ( "IF1905", "IF1906" );
     no_close_today = true;
   },
   {
@@ -64,7 +60,6 @@ strategy = (
     max_holding_sec = 360000000;
     stop_loss_margin = 10.0;
     max_loss_times = 2;
-    pairs = ( "IC1905", "IC1906" );
     no_close_today = true;
   },
 
@@ -83,7 +78,6 @@ strategy = (
   max_holding_sec = 3600000;
   stop_loss_margin = 3.0;
   max_loss_times = 2;
-  pairs = ( "cu1906", "cu1907" );
   },
 
   {
@@ -98,19 +92,14 @@ strategy = (
     max_holding_sec = 3600000;
     stop_loss_margin = 3.0;
     max_loss_times = 2;
-    pairs = ( "ni1906", "ni1907" );
   }
   );
-data_file = [ 
-  // "/running/2019-05-10/data_binary.dat",
-  "/running/2019-05-20/data_binary.dat"
- ];
 
-start_date = "2018-11-28";
+start_date = "2019-09-11";
 period = 300;
 matcher_mode = "python";
 message_line = 100000;
 
-order_file = "order.dat";
-exchange_file = "exchange.dat";
-strat_file = "mid.dat";
+order_file = "order_backtest.dat";
+exchange_file = "exchange_backtest.dat";
+strat_file = "mid_backtest.dat";
diff --git a/config/backtest/contract.config → config/contract/contract.config b/config/backtest/contract.config → config/contract/contract.config
diff --git a/config/prod/prod.config b/config/prod/prod.config
@@ -0,0 +1,98 @@
+time_controller : 
+{
+  sleep_time = [ "10:14:20-10:30:00", "11:29:20-13:00:00", "03:58:20-08:55:00" ];
+  close_time = [ "14:00:59-14:59:00", "23:00:00-23:59:59" ];
+  force_close_time = [ "16:59:59-17:30:00" ];
+};
+strategy = ( 
+  {
+    unique_name = "au";
+    max_position = 5;
+    range_width = 2.0;
+    min_train_samples = 600;
+    min_range = 2.0;
+    min_profit = 1.0;
+    add_margin = 1.0;
+    spread_threshold = 3.0;
+    max_holding_sec = 3600000;
+    stop_loss_margin = 3.0;
+    max_loss_times = 2;
+  }, 
+
+  {
+    unique_name = "IH";
+    max_position = 1;
+    range_width = 2.0;
+    min_train_samples = 600;
+    min_range = 4.0;
+    min_profit = 1.0;
+    add_margin = 3.0;
+    spread_threshold = 3.0;
+    max_holding_sec = 360000000;
+    stop_loss_margin = 10.0;
+    max_loss_times = 2;
+    no_close_today = true;
+  }, 
+  {
+    unique_name = "IF";
+    max_position = 1;
+    range_width = 2.0;
+    min_train_samples = 600;
+    min_range = 4.0;
+    min_profit = 1.0;
+    add_margin = 3.0;
+    spread_threshold = 3.0;
+    max_holding_sec = 360000000;
+    stop_loss_margin = 10.0;
+    max_loss_times = 2;
+    no_close_today = true;
+  },
+  {
+    unique_name = "IC";
+    max_position = 1;
+    range_width = 2.0;
+    min_train_samples = 600;
+    min_range = 4.0;
+    min_profit = 1.0;
+    add_margin = 3.0;
+    spread_threshold = 3.0;
+    max_holding_sec = 360000000;
+    stop_loss_margin = 10.0;
+    max_loss_times = 2;
+    no_close_today = true;
+  },
+
+  {
+  unique_name = "cu";
+  max_position = 2;
+  tick_size = 10.0;
+  range_width = 2.0;
+  contract_size = 5;
+  min_train_samples= 600;
+  cancel_threshhold = 1000000000;
+  min_range = 4.0;
+  min_profit = 1.0;
+  add_margin = 1.0;
+  spread_threshold = 3.0;
+  max_holding_sec = 3600000;
+  stop_loss_margin = 3.0;
+  max_loss_times = 2;
+  },
+
+  {
+    unique_name = "ni";
+    max_position = 3;
+    range_width = 2.0;
+    min_train_samples = 600;
+    min_range = 4.0;
+    min_profit = 1.0;
+    add_margin = 3.0;
+    spread_threshold = 3.0;
+    max_holding_sec = 3600000;
+    stop_loss_margin = 3.0;
+    max_loss_times = 2;
+  }
+  );
+order_file = "order.dat";
+exchange_file = "exchange.dat";
+strat_file = "mid.dat";
diff --git a/external/common/include/caler.so b/external/common/include/caler.so
diff --git a/external/common/lib/libcommontools.so b/external/common/lib/libcommontools.so
diff --git a/external/common/libcommontools.so b/external/common/libcommontools.so
diff --git a/src/backtest/main.cpp b/src/backtest/main.cpp
@@ -129,7 +129,7 @@ int main() {
   libconfig::Config param_cfg;
   libconfig::Config contract_cfg;
   std::string param_config_path = default_path + "/hft/config/backtest/backtest.config";
-  std::string contract_config_path = default_path + "/hft/config/backtest/contract.config";
+  std::string contract_config_path = default_path + "/hft/config/contract/contract.config";
   param_cfg.readFile(param_config_path.c_str());
   contract_cfg.readFile(contract_config_path.c_str());
   try {