upload

Makefile

@@ -48,6 +48,9 @@ simdata:
 backtest:
 	$(WAF) configure backtest $(PARAMS)
 
+backtest2:
+	$(WAF) configure backtest2 $(PARAMS)
+
 backtestpr:
 	$(WAF) configure backtestpr $(PARAMS)
 

config/backtest/backtest.config

@@ -1,7 +1,6 @@
 fixed_path="/home/nick/future";
-backtest_outputdir = "backtest_ni10";
+backtest_outputdir = "backtest_high";
 strategy = (
-  /*
   {
     unique_name = "IC";
     ticker = "IC";
@@ -18,8 +17,7 @@ strategy = (
     stop_loss_margin = 10.0;
     max_loss_times = 2;
     no_close_today = true;
-  }*/
-/*,
+  },
   {
     unique_name = "IH";
     split_num = 6;
@@ -53,7 +51,7 @@ strategy = (
     stop_loss_margin = 10.0;
     max_loss_times = 2;
     no_close_today = true;
-  },*/
+  },
 
   {
     unique_name = "cu";
@@ -90,7 +88,7 @@ strategy = (
     max_holding_sec = 3600000;
     stop_loss_margin = 300.0;
     max_loss_times = 2;
-  }/*,
+  },
 
   {
     unique_name = "sn";
@@ -124,14 +122,14 @@ strategy = (
     max_holding_sec = 3600000;
     stop_loss_margin = 3.0;
     max_loss_times = 2;
-  }*/
+  }
   );
 
 // start_date = "today";
 // start_date = "yesterday";
-test_mode = "test";
-start_date = "2019-03-01";
-period = 10;
+test_mode = "nexttest";
+start_date = "2019-01-01";
+period = 1000;
 
 order_file = "order_backtest.dat";
 exchange_file = "exchange_backtest.dat";

rule.py

@@ -52,6 +52,8 @@ class pairtrading_class(BuildContext):
   cmd = "pairtrading"
 class backtest_class(BuildContext):
   cmd = "backtest"
+class backtest2_class(BuildContext):
+  cmd = "backtest2"
 class backtestpr_class(BuildContext):
   cmd = "backtestpr"
 class order_matcher_class(BuildContext):
@@ -104,6 +106,9 @@ def build(bld):
   if bld.cmd == "backtest":
     run_backtest(bld)
     return
+  if bld.cmd == "backtest2":
+    run_backtest2(bld)
+    return
   if bld.cmd == "backtestpr":
     run_backtestpr(bld)
     return
@@ -262,6 +267,19 @@ def run_backtest(bld):
     use = 'zmq nick pthread config++ python2.7 z'
   )
 
+def run_backtest2(bld):
+  bld.read_shlib('nick', paths=['external/common/lib'])
+  bld.program(
+    target = 'bin/backtest2',
+    source = ['src/backtest2/main.cpp',
+              'src/backtest2/strategy.cpp'
+             ],
+    includes = [
+                'external/zeromq/include'
+                ],
+    use = 'zmq nick pthread config++ python2.7 z'
+  )
+
 def run_backtestpr(bld):
   bld.read_shlib('nick', paths=['external/common/lib'])
   bld.program(
@@ -315,6 +333,7 @@ def run_all(bld):
   run_simplearb2(bld)
   run_pairtrading(bld)
   run_backtest(bld)
+  run_backtest2(bld)
   run_backtestpr(bld)
   run_order_matcher(bld)
   run_demostrat(bld)

src/backtest2/backtest.pro

@@ -0,0 +1,32 @@
+TEMPLATE = app
+CONFIG += console c++11
+CONFIG -= app_bundle
+CONFIG -= qt
+QMAKE_CXXFLAGS += -std=c++11
+
+
+HEADERS += \
+        strategy.h \
+        order_handler.h \
+
+SOURCES += \
+        main.cpp \
+        strategy.cpp \
+        order_handler.cpp \
+
+INCLUDEPATH += $$PWD/../../external/common/include
+INCLUDEPATH += $$PWD/../../external/ctp/include
+INCLUDEPATH += $$PWD/../../external/zmq/include
+INCLUDEPATH += $$PWD/../../external/libconfig/include
+INCLUDEPATH += /root/anaconda2/include/python2.7
+INCLUDEPATH += $$PWD/..
+
+
+LIBS += -L$$PWD/lib64 -lpthread
+LIBS += -L$$PWD/../../external/common/lib -lpython2.7
+LIBS += -L$$PWD/../../external/zmq/lib -lzmq
+
+LIBS += -L$$PWD/../../external/common/lib -lcommontools
+LIBS += -L$$PWD/../../external/libconfig/lib -lconfig++
+LIBS += -L$$PWD/../../external/ctp/lib -lthosttraderapi
+

src/backtest2/main.cpp

@@ -0,0 +1,132 @@
+#include <libconfig.h++>
+#include <unordered_map>
+#include <map>
+#include <utility>
+#include <string>
+#include <vector>
+
+#include "core/backtester.h"
+#include "util/ThreadPool.h"
+#include "util/time_controller.h"
+#include "util/zmq_sender.hpp"
+#include "util/zmq_recver.hpp"
+#include "util/dater.h"
+#include "util/history_worker.h"
+#include "util/contract_worker.h"
+#include "util/common_tools.h"
+#include "struct/market_snapshot.h"
+#include "./strategy.h"
+
+// std::unique_ptr<Sender<MarketSnapshot> > ui_sender(new ZmqSender<MarketSnapshot>("*:33333", "bind", "tcp", "mid.dat"));
+// std::unique_ptr<Sender<Order> > order_sender(new ZmqSender<Order>("order_sender", "connect", "ipc", "order.dat"));
+// std::unique_ptr<Sender<Order> > order_sender(new ZmqSender<Order>("order_sender", 100000, "order.dat"));
+
+struct BTConfig {
+  std::string fixed_path;
+  std::string backtest_outputdir;
+  std::string start_date;
+  int period;
+  std::string test_mode;
+  // std::vector<const libconfig::Setting> strats;
+  ContractWorker* strat_cw;
+  ContractWorker* cw;
+  TimeController* tc;
+  inline std::tuple<ZmqSender<MarketSnapshot> *, ZmqSender<Order> *, std::ofstream*> GenSender(const std::string& date) {
+    std::string ui_address = "backtest_ui_" + date;
+    std::string order_address = "order_sender_" + date;
+    std::string ui_file = backtest_outputdir + "/mid_" + date + ".dat";
+    std::string order_file = backtest_outputdir + "/order_" + date + ".dat";
+    return std::make_tuple(new ZmqSender<MarketSnapshot>(ui_address, "bind", "ipc", ui_file), new ZmqSender<Order>(order_address, "connect",  "ipc", order_file), new std::ofstream(backtest_outputdir + "/exchange_" + date + ".dat", ios::out | ios::binary));
+  }
+  inline HistoryWorker* GenHw(const std::string & date) {
+    return new HistoryWorker(Dater::FindOneValid(date, -20, fixed_path));
+  }
+} bt_config;
+
+void LoadConfig() {
+  std::string default_path = GetDefaultPath();
+  libconfig::Config param_cfg;
+  std::string config_path = default_path + "/hft/config/backtest/backtest.config";
+  std::string contract_config_path = default_path + "/hft/config/contract/bk_contract.config";
+  param_cfg.readFile(config_path.c_str());
+  try {
+    std::string fixed_path = param_cfg.lookup("fixed_path");
+    std::string start_date = param_cfg.lookup("start_date");
+    std::string backtest_outputdir = param_cfg.lookup("backtest_outputdir");
+    std::string test_mode = param_cfg.lookup("test_mode");
+    EnsureDir(backtest_outputdir);
+    Dater dt;
+    if (start_date == "today") {
+      start_date = dt.GetDate();
+    }
+    if (start_date == "yesterday") {
+      start_date = dt.GetDate("", -1);
+    }
+    int period = param_cfg.lookup("period");
+    bt_config.backtest_outputdir = backtest_outputdir;
+    bt_config.fixed_path = fixed_path;
+    bt_config.start_date = start_date;
+    bt_config.period = period;
+    bt_config.test_mode = test_mode;
+  } catch(const libconfig::SettingNotFoundException &nfex) {
+    printf("Setting '%s' is missing", nfex.getPath());
+    exit(1);
+  } catch(const libconfig::SettingTypeException &tex) {
+    printf("Setting '%s' has the wrong type", tex.getPath());
+    exit(1);
+  } catch (const std::exception& ex) {
+    printf("EXCEPTION: %s\n", ex.what());
+    exit(1);
+  }
+
+  std::string time_config_path = default_path + "/hft/config/prod/time.config";
+  bt_config.tc = new TimeController(time_config_path);
+  bt_config.cw = new ContractWorker(contract_config_path);
+  bt_config.strat_cw = new ContractWorker(config_path, "strategy");
+}
+
+std::map<std::string, std::string> GetBacktestFile() {
+  auto dt = Dater();
+  return dt.GetValidMap(bt_config.start_date, bt_config.period, bt_config.fixed_path);
+}
+
+std::unordered_map<std::string, std::vector<BaseStrategy*> > GetStratMap(std::string date) {
+  std::unordered_map<std::string, std::vector<BaseStrategy*> > ticker_strat_map;
+  ZmqSender<MarketSnapshot> * data_sender;
+  ZmqSender<Order> * order_sender;
+  std::ofstream* f;
+  StrategyMode::Enum mode;
+  if (bt_config.test_mode == "test") {
+    mode = StrategyMode::PlainTest;
+  } else if (bt_config.test_mode == "nexttest") {
+    mode = StrategyMode::NextTest;
+  } else {
+    throw std::invalid_argument(bt_config.test_mode.c_str());
+  }
+  std::tie(data_sender, order_sender, f) = bt_config.GenSender(date);
+  for (auto ticker : bt_config.strat_cw->GetTicker()) {
+    const libconfig::Setting & p = bt_config.strat_cw->Lookup(ticker);
+    auto s = new Strategy(p, &ticker_strat_map, data_sender, order_sender, bt_config.tc, bt_config.cw, bt_config.GenHw(date), date, mode, f);
+    s->Print();
+  }
+  return ticker_strat_map;
+}
+
+void RunBacktest(const std::string& date, const std::string& f) {
+  TimeController tc;
+  tc.StartTimer();
+  auto tsm = GetStratMap(date);
+  Backtester bt(tsm);
+  bt.LoadData(f);
+  tc.EndTimer("Run@" + date);
+}
+
+int main() {
+  LoadConfig();
+  auto file_v = GetBacktestFile();
+  PrintMap(file_v);
+  ThreadPool pool(6);
+  for (auto i: file_v) {
+    pool.enqueue(RunBacktest, i.first, i.second);
+  }
+}

src/backtest2/strategy.cpp

@@ -0,0 +1 @@
+../simplearb2/strategy.cpp

src/backtest2/strategy.h

@@ -0,0 +1,101 @@
+#ifndef SRC_BACKTEST2_STRATEGY_H_
+#define SRC_BACKTEST2_STRATEGY_H_
+
+#include <libconfig.h++>
+#include <unordered_map>
+
+#include <cmath>
+#include <vector>
+#include <string>
+#include <iostream>
+#include <deque>
+#include <memory>
+
+#include "struct/market_snapshot.h"
+#include "struct/strategy_status.h"
+#include "struct/strategy_mode.h"
+#include "struct/order.h"
+#include "struct/command.h"
+#include "struct/exchange_info.h"
+#include "struct/order_status.h"
+#include "util/time_controller.h"
+#include "util/zmq_sender.hpp"
+#include "util/dater.h"
+#include "util/history_worker.h"
+#include "util/contract_worker.h"
+#include "util/common_tools.h"
+#include "core/base_strategy.h"
+
+class Strategy : public BaseStrategy {
+ public:
+  explicit Strategy(const libconfig::Setting & param_setting, std::unordered_map<std::string, std::vector<BaseStrategy*> >*ticker_strat_map, ZmqSender<MarketSnapshot>* uisender, ZmqSender<Order>* ordersender, TimeController* tc, ContractWorker* cw, HistoryWorker* hw, const std::string & date, StrategyMode::Enum mode = StrategyMode::Real, std::ofstream* exchange_file = nullptr);
+  ~Strategy();
+
+  void Start() override;
+  void Stop() override;
+
+ private:
+  bool FillStratConfig(const libconfig::Setting& param_setting);
+  void RunningSetup(std::unordered_map<std::string, std::vector<BaseStrategy*> >*ticker_strat_map, ZmqSender<MarketSnapshot>* uisender, ZmqSender<Order>* ordersender);
+  void DoOperationAfterUpdateData(const MarketSnapshot& shot) override;
+  void DoOperationAfterFilled(Order* o, const ExchangeInfo& info) override;
+  void DoOperationAfterCancelled(Order* o) override;
+  void ModerateOrders(const std::string & contract) override;
+
+  bool Ready() override;
+  void Resume() override;
+  void Run() override;
+  void Flatting() override;
+
+  double OrderPrice(const std::string & contract, OrderSide::Enum side, bool control_price) override;
+
+  bool OpenLogic();
+  void CloseLogic();
+
+  void Open(OrderSide::Enum side);
+  bool Close(OrderSide::Enum side);
+
+  void ForceFlat() override;
+
+  bool Spread_Good();
+
+  bool IsAlign();
+
+  // bool NewHigh(OrderSide::Enum side);
+  void UpdateParams(const std::string& tag = "");
+
+  // strategy core param
+  std::string date_;
+  std::string main_ticker_;
+  std::string hedge_ticker_;
+  int max_close_try_;
+
+  // realtime update param
+  double current_spread_;
+  int close_round_;
+  int sample_head_;
+  int sample_tail_;
+  double target_hedge_price_;
+  std::vector<double> mids_;
+
+  // read from config
+  int max_pos_;
+  double min_price_move_;
+  int cancel_limit_;
+  double min_profit_;
+  int train_samples_;
+  double min_range_;
+  double range_width_;
+  double spread_threshold_;
+  bool no_close_today_;
+  int max_round_;
+
+  // strategy parameter
+  double up_diff_;
+  double down_diff_;
+  double mean_;
+
+  std::ofstream* exchange_file_;
+};
+
+#endif  // SRC_BACKTEST2_STRATEGY_H_