主力合约回测

src/strategies/simple_limit_buy_strategy.py

@@ -57,7 +57,7 @@ class SimpleLimitBuyStrategy(Strategy):
         """
         每接收到一根Bar时，执行策略逻辑。
         """
-        current_portfolio_value = self.context.get_current_portfolio_value(bar)
+        current_portfolio_value = self.context.get_account_cash()
         # print(f"[{bar.datetime}] Strategy processing Bar. Current close price: {bar.close:.2f}. Current Portfolio Value: {current_portfolio_value:.2f}")
 
         # 1. 撤销上一根K线未成交的订单
@@ -108,16 +108,19 @@ class SimpleLimitBuyStrategy(Strategy):
             )
 
             # 通过上下文发送订单
-            trade = self.send_order(order)
-            if trade:
-                print(
-                    f"[{bar.datetime}] 策略: 发送并立即成交限价买单 {trade.volume} 股 @ {trade.price:.2f}(open:{bar.open}, close:{bar.close}) (订单ID: {order.id})")
-                # 如果立即成交，_last_order_id 仍然保持 None
-            else:
-                # 如果未立即成交，将订单ID记录下来，以便下一根Bar撤销
-                self._last_order_id = order.id
-                print(
-                    f"[{bar.datetime}] 策略: 发送限价买单 {trade_volume} 股 @ {limit_price:.2f} (未成交，订单ID: {order.id} 已挂单)")
+            # trade = self.send_order(order)
+            # if trade:
+            #     print(
+            #         f"[{bar.datetime}] 策略: 发送并立即成交限价买单 {trade.volume} 股 (open:{bar.open}, close:{bar.close}) (订单ID: {order.id})")
+            #     # 如果立即成交，_last_order_id 仍然保持 None
+            # else:
+            #     # 如果未立即成交，将订单ID记录下来，以便下一根Bar撤销
+            #     self._last_order_id = order.id
+            #     print(
+            #         f"[{bar.datetime}] 策略: 发送限价买单 {trade_volume} 股 @ {limit_price:.2f} (未成交，订单ID: {order.id} 已挂单)")
+            order = self.send_order(order)
+            if order:
+                print(f"[{bar.datetime}]发送订单 {order.id}, direction {order.direction}")
         else:
             # print(f"[{bar.datetime}] 策略: 当前已有持仓或有未成交订单，不重复下单。")
             pass