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同步本地回测与tqsdk回测

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liaozhaorun
2025-06-29 12:03:43 +08:00
parent 4521939b95
commit 70c3b8186a
20 changed files with 29892 additions and 23140 deletions
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32
src/backtest_engine.py
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@@ -89,9 +89,12 @@ class BacktestEngine:
# 主回测循环
while True:
current_bar = self.data_manager.get_next_bar()
if current_bar is None:
break # 没有更多数据，回测结束
self.all_bars.append(current_bar)
if self.start_time and current_bar.datetime < self.start_time:
continue
@@ -104,11 +107,11 @@ class BacktestEngine:
# 1. 重置 is_rollover_bar 标记
self.is_rollover_bar = False
# 4. 更新 Context 和 Simulator 的当前 Bar 和时间
self.context.set_current_bar(current_bar)
self.simulator.update_time(current_time=current_bar.datetime)
# 2. 如果启用换月模式，并且检测到合约 symbol 变化
if current_bar.symbol != self._last_processed_bar_symbol:
print(self.roll_over_mode,
self._last_processed_bar_symbol,
current_bar.symbol, self._last_processed_bar_symbol)
if self.roll_over_mode and \
self._last_processed_bar_symbol is not None and \
current_bar.symbol != self._last_processed_bar_symbol:
@@ -141,20 +144,22 @@ class BacktestEngine:
# 3. 更新策略关注的当前合约 symbol
self.strategy.symbol = current_bar.symbol
# 4. 更新 Context 和 Simulator 的当前 Bar 和时间
self.context.set_current_bar(current_bar)
self.simulator.update_time(current_time=current_bar.datetime)
# 5. 更新引擎内部的历史 Bar 缓存
self._history_bars.append(current_bar)
if len(self._history_bars) > self._max_history_bars:
self._history_bars.pop(0)
# 6. 处理待撮合订单 (在调用策略 on_bar 之前，确保订单在当前 K 线开盘价撮合)
self.simulator.process_pending_orders(current_bar)
# self.simulator.process_pending_orders(current_bar)
self.strategy.on_open_bar(current_bar)
# 7. 调用策略的 on_bar 方法
self.strategy.on_bar(current_bar)
# self.strategy.on_bar(current_bar)
self.simulator.process_pending_orders(current_bar)
self.strategy.on_close_bar(current_bar)
self.simulator.process_pending_orders(current_bar)
# 8. 记录投资组合快照
current_portfolio_value = self.simulator.get_portfolio_value(current_bar)
@@ -170,7 +175,6 @@ class BacktestEngine:
price_at_snapshot=price_at_snapshot
)
self.portfolio_snapshots.append(snapshot)
self.all_bars.append(current_bar)
# 9. 更新 `_last_processed_bar_symbol` 和 `last_processed_bar` 为当前 Bar，为下一轮循环做准备
self._last_processed_bar_symbol = current_bar.symbol
@@ -221,4 +225,8 @@ class BacktestEngine:
}
def get_simulator(self) -> ExecutionSimulator:
return self.simulator
return self.simulator
def get_bar_history(self):
return self.all_bars