量化交易之One Piece篇 - onepiece_rsh回测plugin新增滑点和盈亏计算

_Erwin_

于 2024-03-24 18:14:14 发布

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分类专栏： One Piece 文章标签： onepiece

本文链接：https://blog.youkuaiyun.com/Michael_234198652/article/details/136992053

版权

文章描述了一个名为`PluginData`的类，用于在交易策略中进行回测，计算盈亏和滑点损失。它接受OnePieceData,TickData或BarData数据，以及策略实例和回测类型。类方法`back_testing`模拟订单执行并计算盈亏，`profit_and_loss_value`和`slippage_loss_money`用于获取最终的收益值和滑点损失。

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from op_futures.op_strategy_plugins.template_strategy import TemplateStrategy
from op_futures.op_objects.onepiece_data import OnePieceData
from op_futures.op_objects.tick_data import TickData
from op_futures.op_objects.bar_data import BarData
from tqz_extern.tqz_constant import BackTesterType, OrderSide

class PluginData:

    def __init__(self, name: str = None, datas: [OnePieceData] = None, strategy: TemplateStrategy = None, back_tester_type: BackTesterType = None):
        assert name is not None, f'name is None.'
        assert datas is not None, f'datas is None.'
        assert strategy is not None, f'strategy is None.'
        assert back_tester_type is not None, f'back_tester_type is None.'

        self.name = name
        self.datas = datas
        self.strategy = strategy
        self.back_tester_type = back_tester_type

        self.__profit_and_loss_list = []  # <- ite