tqsdk实盘

src/backtest_engine.py

@@ -1,8 +1,11 @@
 # src/backtest_engine.py
 from datetime import datetime
 from typing import Type, Dict, Any, List, Optional
+import numpy as np
 import pandas as pd
 
+from src.indicators.base_indicators import Indicator
+
 # 导入所有需要协调的模块
 from .core_data import Bar, Order, Trade, PortfolioSnapshot
 from .data_manager import DataManager
@@ -24,7 +27,8 @@ class BacktestEngine:
                  commission_rate: float = 0.0002,
                  roll_over_mode: bool = False,
                  start_time: Optional[datetime] = None,  # 新增开始时间
-                 end_time: Optional[datetime] = None  # 新增结束时间
+                 end_time: Optional[datetime] = None,  # 新增结束时间
+                 indicators: List[Indicator] = [],
                  ): # 新增换月模式参数
         """
         初始化回测引擎。
@@ -54,10 +58,18 @@ class BacktestEngine:
         # 实例化策略。初始 symbol 会在 run_backtest 中根据第一根 Bar 动态设置。
         self.strategy = strategy_class(self.context, symbol="INITIAL_PLACEHOLDER_SYMBOL", **strategy_params)
 
+        self.indicators = indicators
+
         self.portfolio_snapshots: List[PortfolioSnapshot] = []
         self.trade_history: List[Trade] = []
         self.all_bars: List[Bar] = []
 
+        self.close_list: List[float] = []
+        self.open_list: List[float] = []
+        self.high_list: List[float] = []
+        self.low_list: List[float] = []
+        self.volume_list: List[float] = []
+
         self._history_bars: List[Bar] = [] # 引擎层面保留的历史 Bar，通常供策略在 on_bar 中使用
         self._max_history_bars: int = strategy_params.get('history_bars_limit', 200)
 
@@ -84,6 +96,8 @@ class BacktestEngine:
         # 调用策略的初始化方法
         self.strategy.on_init()
 
+        self.strategy.trading = True
+
         last_processed_bar: Optional[Bar] = None # 用于在换月时引用旧合约的最后一根 K 线
 
         # 主回测循环
@@ -94,6 +108,11 @@ class BacktestEngine:
                 break  # 没有更多数据，回测结束
 
             self.all_bars.append(current_bar)
+            self.close_list.append(current_bar.close)
+            self.open_list.append(current_bar.open)
+            self.high_list.append(current_bar.high)
+            self.low_list.append(current_bar.low)
+            self.volume_list.append(current_bar.volume)                
 
             if self.start_time and current_bar.datetime < self.start_time:
                 continue
@@ -153,12 +172,28 @@ class BacktestEngine:
             # self.simulator.process_pending_orders(current_bar)
             self.strategy.on_open_bar(current_bar)
 
+            current_indicator_dict = {}
+            close_array = np.array(self.close_list)
+            open_array = np.array(self.open_list)
+            high_array = np.array(self.high_list)
+            low_array = np.array(self.low_list)
+            volume_array = np.array(self.volume_list)
+            
+            for indicator in self.indicators:
+                current_indicator_dict[indicator.get_name()] = indicator.get_latest_value(
+                    close_array,
+                    open_array,
+                    high_array,
+                    low_array,
+                    volume_array
+                )
+
             # 7. 调用策略的 on_bar 方法
             # self.strategy.on_bar(current_bar)
-            self.simulator.process_pending_orders(current_bar)
+            self.simulator.process_pending_orders(current_bar, current_indicator_dict)
 
             self.strategy.on_close_bar(current_bar)
-            self.simulator.process_pending_orders(current_bar)
+            self.simulator.process_pending_orders(current_bar, current_indicator_dict)
 
 
             # 8. 记录投资组合快照
@@ -230,3 +265,16 @@ class BacktestEngine:
     def get_bar_history(self):
         return self.all_bars
     
+
+    def get_price_history(self, key: str):
+        if key == 'close':
+            return self.close_list
+        elif key == 'open':
+            return self.open_list
+        elif key == 'high':
+            return self.high_list
+        elif key == 'low':
+            return self.low_list
+        elif key == 'volume':
+            return self.volume_list
+