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新增实盘策略：ITrendStrategy(SA)

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liaozhaorun
2026-01-25 23:26:03 +08:00
parent 4a37652269
commit fa4749b02e
66 changed files with 44943 additions and 5961 deletions
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255
futures_trading_strategies/MA/KalmanStrategy/KalmanStrategy_tqsdk.ipynb
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@@ -5,8 +5,8 @@
"id": "522f09ca7b3fe929",
"metadata": {
"ExecuteTime": {
"end_time": "2025-10-19T06:30:07.814040Z",
"start_time": "2025-10-19T06:30:06.968311Z"
"end_time": "2025-12-17T13:57:21.148878Z",
"start_time": "2025-12-17T13:57:21.108622Z"
}
},
"source": [
@@ -23,15 +23,15 @@
"\n"
],
"outputs": [],
"execution_count": 1
"execution_count": 2
},
{
"cell_type": "code",
"id": "c00ccfeec592844c",
"metadata": {
"ExecuteTime": {
"end_time": "2025-10-19T06:30:08.226844Z",
"start_time": "2025-10-19T06:30:07.822511Z"
"end_time": "2025-12-17T13:57:21.519369Z",
"start_time": "2025-12-17T13:57:21.150889Z"
}
},
"source": [
@@ -51,15 +51,15 @@
"data_file_path = '/mnt/d/PyProject/NewQuant/data/data/KQ_m@SHFE_rb/KQ_m@SHFE_rb_min15.csv'\n"
],
"outputs": [],
"execution_count": 2
"execution_count": 3
},
{
"cell_type": "code",
"id": "7599fa7cd2cb3d45",
"metadata": {
"ExecuteTime": {
"end_time": "2025-10-19T06:30:08.276053Z",
"start_time": "2025-10-19T06:30:08.233422Z"
"end_time": "2025-12-17T13:57:21.542513Z",
"start_time": "2025-12-17T13:57:21.519369Z"
}
},
"source": [
@@ -76,8 +76,8 @@
"# start_time = datetime(2021, 1, 1)\n",
"# end_time = datetime(2025, 1, 1)\n",
"\n",
"start_time = datetime(2025, 6, 1)\n",
"end_time = datetime(2025, 10, 1)\n",
"start_time = datetime(2025, 10, 1)\n",
"end_time = datetime(2025, 12, 1)\n",
"\n",
"\n",
"indicators = INDICATOR_LIST\n",
@@ -87,15 +87,15 @@
"# data_manager.reset() # 首次运行不需要重置"
],
"outputs": [],
"execution_count": 3
"execution_count": 4
},
{
"cell_type": "code",
"id": "f903fd2761d446cd",
"metadata": {
"ExecuteTime": {
"end_time": "2025-10-19T06:30:51.160327Z",
"start_time": "2025-10-19T06:30:08.282837Z"
"end_time": "2025-12-17T13:57:22.373414Z",
"start_time": "2025-12-17T13:57:21.550522Z"
}
},
"source": [
@@ -153,8 +153,6 @@
"name": "stderr",
"output_type": "stream",
"text": [
"/home/liaozhaorun/miniconda3/envs/quant/lib/python3.12/site-packages/requests/__init__.py:86: RequestsDependencyWarning: Unable to find acceptable character detection dependency (chardet or charset_normalizer).\n",
" warnings.warn(\n",
"在使用天勤量化之前，默认您已经知晓并同意以下免责条款，如果不同意请立即停止使用：https://www.shinnytech.com/blog/disclaimer/\n"
]
},
@@ -162,236 +160,29 @@
"name": "stdout",
"output_type": "stream",
"text": [
"初始化数据管理器...\n",
"数据加载成功: /mnt/d/PyProject/NewQuant/data/data/KQ_m@SHFE_rb/KQ_m@SHFE_rb_min15.csv\n",
"数据范围从 2020-12-31 14:45:00 到 2025-08-14 09:30:00\n",
"总计 25470 条记录。\n",
"\n",
"初始化回测引擎...\n",
" INFO - TqSdk free 版剩余 0 天到期，如需续费或升级请访问 https://account.shinnytech.com/ 或联系相关工作人员。\n",
"\n",
"初始化 Tqsdk 回测引擎...\n",
"内存仓储已初始化，管理ID: 'src.strategies.HawkesStrategy.KalmanStrategy2.DualModeKalmanStrategy_c7bd93715d42fbef1ec746ee2635a5d3'\n",
"TqsdkContext: 初始化完成。\n",
"TqsdkContext: 已设置引擎引用。\n",
"TqsdkEngine: 初始化完成。\n",
"\n",
"开始运行回测...\n",
"TqsdkEngine: 开始运行回测，从 2025-06-01 00:00:00 到 2025-10-01 00:00:00\n",
"DualModeKalmanStrategy 策略初始化回调被调用。\n",
"Context: 订单已加入队列: Order(symbol='SHFE.rb2510', direction='BUY', volume=1, id='SHFE.rb2510_BUY_MARKET_0', price_type='LIMIT', limit_price=2995, stop_price=None, submitted_time=Timestamp('2025-06-26 22:30:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
"Engine: 处理订单请求: Order(symbol='SHFE.rb2510', direction='BUY', volume=1, id='SHFE.rb2510_BUY_MARKET_0', price_type='LIMIT', limit_price=2995, stop_price=None, submitted_time=Timestamp('2025-06-26 22:30:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_insert_6d002815bde371e9679eeff6ab3a2913: 时间: 2025-06-26 22:30:00.000000, 合约: SHFE.rb2510, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 2995.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_6d002815bde371e9679eeff6ab3a2913: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='SHFE.rb2510', direction='CLOSE_LONG', volume=1, id='SHFE.rb2510_CLOSE_LONG_MARKET_1', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-06-30 21:15:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
"Engine: 处理订单请求: Order(symbol='SHFE.rb2510', direction='CLOSE_LONG', volume=1, id='SHFE.rb2510_CLOSE_LONG_MARKET_1', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-06-30 21:15:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_target_beee6bfdba88ae99ca624cd9f3ce2f3b: 时间: 2025-06-30 21:15:00.000000, 合约: SHFE.rb2510, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 2987.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_target_beee6bfdba88ae99ca624cd9f3ce2f3b: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='SHFE.rb2510', direction='BUY', volume=1, id='SHFE.rb2510_BUY_MARKET_2', price_type='LIMIT', limit_price=3014, stop_price=None, submitted_time=Timestamp('2025-07-01 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
"Engine: 处理订单请求: Order(symbol='SHFE.rb2510', direction='BUY', volume=1, id='SHFE.rb2510_BUY_MARKET_2', price_type='LIMIT', limit_price=3014, stop_price=None, submitted_time=Timestamp('2025-07-01 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_insert_6dd75ae79e4ba3b47455ae5c7e77b734: 时间: 2025-07-01 21:15:00.000000, 合约: SHFE.rb2510, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 3014.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_6dd75ae79e4ba3b47455ae5c7e77b734: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='SHFE.rb2510', direction='CLOSE_LONG', volume=1, id='SHFE.rb2510_CLOSE_LONG_MARKET_3', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-07-15 13:30:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
"Engine: 处理订单请求: Order(symbol='SHFE.rb2510', direction='CLOSE_LONG', volume=1, id='SHFE.rb2510_CLOSE_LONG_MARKET_3', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-07-15 13:30:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_target_65fa28a9de53ea759cef7a640c9f33bb: 时间: 2025-07-15 13:30:00.000000, 合约: SHFE.rb2510, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 3108.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_target_65fa28a9de53ea759cef7a640c9f33bb: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='SHFE.rb2510', direction='BUY', volume=1, id='SHFE.rb2510_BUY_MARKET_4', price_type='LIMIT', limit_price=3180, stop_price=None, submitted_time=Timestamp('2025-07-18 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
"Engine: 处理订单请求: Order(symbol='SHFE.rb2510', direction='BUY', volume=1, id='SHFE.rb2510_BUY_MARKET_4', price_type='LIMIT', limit_price=3180, stop_price=None, submitted_time=Timestamp('2025-07-18 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_insert_89a26adf3a52ec844c1e57271d827611: 时间: 2025-07-18 21:15:00.000000, 合约: SHFE.rb2510, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 3180.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_89a26adf3a52ec844c1e57271d827611: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='SHFE.rb2510', direction='CLOSE_LONG', volume=1, id='SHFE.rb2510_CLOSE_LONG_MARKET_5', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-07-28 09:00:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
"Engine: 处理订单请求: Order(symbol='SHFE.rb2510', direction='CLOSE_LONG', volume=1, id='SHFE.rb2510_CLOSE_LONG_MARKET_5', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-07-28 09:00:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_target_d6bf6ea9c1cbed5a7728d70d7c08c101: 时间: 2025-07-28 09:00:00.000000, 合约: SHFE.rb2510, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 3249.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_target_d6bf6ea9c1cbed5a7728d70d7c08c101: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='SHFE.rb2510', direction='BUY', volume=1, id='SHFE.rb2510_BUY_MARKET_6', price_type='LIMIT', limit_price=3320, stop_price=None, submitted_time=Timestamp('2025-07-29 11:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
"Engine: 处理订单请求: Order(symbol='SHFE.rb2510', direction='BUY', volume=1, id='SHFE.rb2510_BUY_MARKET_6', price_type='LIMIT', limit_price=3320, stop_price=None, submitted_time=Timestamp('2025-07-29 11:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_insert_b61fde38f971505d50c793a95595d09b: 时间: 2025-07-29 11:15:00.000000, 合约: SHFE.rb2510, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 3320.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_b61fde38f971505d50c793a95595d09b: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='SHFE.rb2510', direction='CLOSE_LONG', volume=1, id='SHFE.rb2510_CLOSE_LONG_MARKET_7', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-07-30 14:15:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
"Engine: 处理订单请求: Order(symbol='SHFE.rb2510', direction='CLOSE_LONG', volume=1, id='SHFE.rb2510_CLOSE_LONG_MARKET_7', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-07-30 14:15:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_target_cd809e06343bde100900018193c8007c: 时间: 2025-07-30 14:15:00.000000, 合约: SHFE.rb2510, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 3294.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_target_cd809e06343bde100900018193c8007c: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='SHFE.rb2510', direction='SELL', volume=1, id='SHFE.rb2510_SELL_MARKET_8', price_type='LIMIT', limit_price=3278, stop_price=None, submitted_time=Timestamp('2025-07-30 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
"Engine: 处理订单请求: Order(symbol='SHFE.rb2510', direction='SELL', volume=1, id='SHFE.rb2510_SELL_MARKET_8', price_type='LIMIT', limit_price=3278, stop_price=None, submitted_time=Timestamp('2025-07-30 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_insert_c4cd5e82c45ddd980c03c798dd7dfd57: 时间: 2025-07-30 21:15:00.000000, 合约: SHFE.rb2510, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 3278.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_c4cd5e82c45ddd980c03c798dd7dfd57: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='SHFE.rb2510', direction='CLOSE_SHORT', volume=1, id='SHFE.rb2510_CLOSE_SHORT_MARKET_9', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-08-05 21:00:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
"Engine: 处理订单请求: Order(symbol='SHFE.rb2510', direction='CLOSE_SHORT', volume=1, id='SHFE.rb2510_CLOSE_SHORT_MARKET_9', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-08-05 21:00:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_target_7cc7c97528cd3275b65f4b0d59e11b2d: 时间: 2025-08-05 21:00:00.000000, 合约: SHFE.rb2510, 开平: CLOSE, 方向: BUY, 手数: 1, 价格: 3234.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_target_7cc7c97528cd3275b65f4b0d59e11b2d: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='SHFE.rb2510', direction='SELL', volume=1, id='SHFE.rb2510_SELL_MARKET_10', price_type='LIMIT', limit_price=3209, stop_price=None, submitted_time=Timestamp('2025-08-13 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
"Engine: 处理订单请求: Order(symbol='SHFE.rb2510', direction='SELL', volume=1, id='SHFE.rb2510_SELL_MARKET_10', price_type='LIMIT', limit_price=3209, stop_price=None, submitted_time=Timestamp('2025-08-13 21:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_insert_c1967ceb33977250525c7b5d50362f0f: 时间: 2025-08-13 21:15:00.000000, 合约: SHFE.rb2510, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 3209.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_c1967ceb33977250525c7b5d50362f0f: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='SHFE.rb2510', direction='CLOSE_SHORT', volume=1, id='SHFE.rb2510_CLOSE_SHORT_MARKET_11', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-08-22 21:30:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
"Engine: 处理订单请求: Order(symbol='SHFE.rb2510', direction='CLOSE_SHORT', volume=1, id='SHFE.rb2510_CLOSE_SHORT_MARKET_11', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-08-22 21:30:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_target_ef23037e39ab68f8630f354b07558822: 时间: 2025-08-22 21:30:00.000000, 合约: SHFE.rb2510, 开平: CLOSE, 方向: BUY, 手数: 1, 价格: 3144.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_target_ef23037e39ab68f8630f354b07558822: 全部成交\n",
"TqsdkEngine: 检测到换月信号！从 SHFE.rb2601 切换到 SHFE.rb2601\n",
"回测结束：没有需要平仓的持仓。\n",
"Context: 订单已加入队列: Order(symbol='SHFE.rb2601', direction='BUY', volume=1, id='SHFE.rb2601_BUY_MARKET_12', price_type='LIMIT', limit_price=3141, stop_price=None, submitted_time=Timestamp('2025-09-05 14:00:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
"Engine: 处理订单请求: Order(symbol='SHFE.rb2601', direction='BUY', volume=1, id='SHFE.rb2601_BUY_MARKET_12', price_type='LIMIT', limit_price=3141, stop_price=None, submitted_time=Timestamp('2025-09-05 14:00:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_insert_61c801ceffcb4703782d6de986bf3cd0: 时间: 2025-09-05 14:00:00.000000, 合约: SHFE.rb2601, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 3141.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_61c801ceffcb4703782d6de986bf3cd0: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='SHFE.rb2601', direction='CLOSE_LONG', volume=1, id='SHFE.rb2601_CLOSE_LONG_MARKET_13', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-05 22:30:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
"Engine: 处理订单请求: Order(symbol='SHFE.rb2601', direction='CLOSE_LONG', volume=1, id='SHFE.rb2601_CLOSE_LONG_MARKET_13', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-05 22:30:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_target_989107326c47cd316aaea3e417db5127: 时间: 2025-09-05 22:30:00.000000, 合约: SHFE.rb2601, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 3121.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_target_989107326c47cd316aaea3e417db5127: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='SHFE.rb2601', direction='SELL', volume=1, id='SHFE.rb2601_SELL_MARKET_14', price_type='LIMIT', limit_price=3094, stop_price=None, submitted_time=Timestamp('2025-09-09 21:30:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
"Engine: 处理订单请求: Order(symbol='SHFE.rb2601', direction='SELL', volume=1, id='SHFE.rb2601_SELL_MARKET_14', price_type='LIMIT', limit_price=3094, stop_price=None, submitted_time=Timestamp('2025-09-09 21:30:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_insert_7393718e06ba6c2d616e278a16bddf3b: 时间: 2025-09-09 21:30:00.000000, 合约: SHFE.rb2601, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 3094.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_7393718e06ba6c2d616e278a16bddf3b: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='SHFE.rb2601', direction='CLOSE_SHORT', volume=1, id='SHFE.rb2601_CLOSE_SHORT_MARKET_15', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-10 09:45:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
"Engine: 处理订单请求: Order(symbol='SHFE.rb2601', direction='CLOSE_SHORT', volume=1, id='SHFE.rb2601_CLOSE_SHORT_MARKET_15', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-10 09:45:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_target_10f32ba307f98d1fae1a4d20dd088491: 时间: 2025-09-10 09:45:00.000000, 合约: SHFE.rb2601, 开平: CLOSETODAY, 方向: BUY, 手数: 1, 价格: 3110.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_target_10f32ba307f98d1fae1a4d20dd088491: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='SHFE.rb2601', direction='BUY', volume=1, id='SHFE.rb2601_BUY_MARKET_16', price_type='LIMIT', limit_price=3115, stop_price=None, submitted_time=Timestamp('2025-09-12 11:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
"Engine: 处理订单请求: Order(symbol='SHFE.rb2601', direction='BUY', volume=1, id='SHFE.rb2601_BUY_MARKET_16', price_type='LIMIT', limit_price=3115, stop_price=None, submitted_time=Timestamp('2025-09-12 11:15:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_insert_a9c25f5eca9c0209be2fb2c388cb2af3: 时间: 2025-09-12 11:15:00.000000, 合约: SHFE.rb2601, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 3115.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_a9c25f5eca9c0209be2fb2c388cb2af3: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='SHFE.rb2601', direction='CLOSE_LONG', volume=1, id='SHFE.rb2601_CLOSE_LONG_MARKET_17', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-18 10:45:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
"Engine: 处理订单请求: Order(symbol='SHFE.rb2601', direction='CLOSE_LONG', volume=1, id='SHFE.rb2601_CLOSE_LONG_MARKET_17', price_type='MARKET', limit_price=None, stop_price=None, submitted_time=Timestamp('2025-09-18 10:45:00+0800', tz='Asia/Shanghai'), offset='CLOSE')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_target_09fedfe7f7f15b9362444fcd8ee381ca: 时间: 2025-09-18 10:45:00.000000, 合约: SHFE.rb2601, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 3134.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_target_09fedfe7f7f15b9362444fcd8ee381ca: 全部成交\n",
"Context: 订单已加入队列: Order(symbol='SHFE.rb2601', direction='SELL', volume=1, id='SHFE.rb2601_SELL_MARKET_18', price_type='LIMIT', limit_price=3113, stop_price=None, submitted_time=Timestamp('2025-09-26 21:00:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
"Engine: 处理订单请求: Order(symbol='SHFE.rb2601', direction='SELL', volume=1, id='SHFE.rb2601_SELL_MARKET_18', price_type='LIMIT', limit_price=3113, stop_price=None, submitted_time=Timestamp('2025-09-26 21:00:00+0800', tz='Asia/Shanghai'), offset='OPEN')\n",
" INFO - 模拟交易下单 TQSIM, PYSDK_insert_2f97ffcd51216e6c3767b412a2aac199: 时间: 2025-09-26 21:00:00.000000, 合约: SHFE.rb2601, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 3113.0\n",
" INFO - 模拟交易委托单 TQSIM, PYSDK_insert_2f97ffcd51216e6c3767b412a2aac199: 全部成交\n",
" INFO - 回测结束\n",
" INFO - 模拟交易成交记录, 账户: TQSIM\n",
" INFO - 时间: 2025-06-26 22:30:00.000000, 合约: SHFE.rb2510, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 2995.000,手续费: 2.98\n",
" INFO - 时间: 2025-06-30 21:15:00.000000, 合约: SHFE.rb2510, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 2987.000,手续费: 2.98\n",
" INFO - 时间: 2025-07-01 21:15:00.000000, 合约: SHFE.rb2510, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 3014.000,手续费: 2.98\n",
" INFO - 时间: 2025-07-15 13:30:00.000000, 合约: SHFE.rb2510, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 3108.000,手续费: 2.98\n",
" INFO - 时间: 2025-07-18 21:15:00.000000, 合约: SHFE.rb2510, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 3180.000,手续费: 2.98\n",
" INFO - 时间: 2025-07-28 09:00:00.000000, 合约: SHFE.rb2510, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 3249.000,手续费: 2.98\n",
" INFO - 时间: 2025-07-29 11:15:00.000000, 合约: SHFE.rb2510, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 3320.000,手续费: 2.98\n",
" INFO - 时间: 2025-07-30 14:15:00.000000, 合约: SHFE.rb2510, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 3294.000,手续费: 2.98\n",
" INFO - 时间: 2025-07-30 21:15:00.000000, 合约: SHFE.rb2510, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 3278.000,手续费: 2.98\n",
" INFO - 时间: 2025-08-05 21:00:00.000000, 合约: SHFE.rb2510, 开平: CLOSE, 方向: BUY, 手数: 1, 价格: 3234.000,手续费: 2.98\n",
" INFO - 时间: 2025-08-13 21:15:00.000000, 合约: SHFE.rb2510, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 3209.000,手续费: 2.98\n",
" INFO - 时间: 2025-08-22 21:30:00.000000, 合约: SHFE.rb2510, 开平: CLOSE, 方向: BUY, 手数: 1, 价格: 3144.000,手续费: 2.98\n",
" INFO - 时间: 2025-09-05 14:00:00.000000, 合约: SHFE.rb2601, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 3141.000,手续费: 3.05\n",
" INFO - 时间: 2025-09-05 22:30:00.000000, 合约: SHFE.rb2601, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 3121.000,手续费: 3.05\n",
" INFO - 时间: 2025-09-09 21:30:00.000000, 合约: SHFE.rb2601, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 3094.000,手续费: 3.05\n",
" INFO - 时间: 2025-09-10 09:45:00.000000, 合约: SHFE.rb2601, 开平: CLOSETODAY, 方向: BUY, 手数: 1, 价格: 3110.000,手续费: 3.05\n",
" INFO - 时间: 2025-09-12 11:15:00.000000, 合约: SHFE.rb2601, 开平: OPEN, 方向: BUY, 手数: 1, 价格: 3115.000,手续费: 3.05\n",
" INFO - 时间: 2025-09-18 10:45:00.000000, 合约: SHFE.rb2601, 开平: CLOSE, 方向: SELL, 手数: 1, 价格: 3134.000,手续费: 3.05\n",
" INFO - 时间: 2025-09-26 21:00:00.000000, 合约: SHFE.rb2601, 开平: OPEN, 方向: SELL, 手数: 1, 价格: 3113.000,手续费: 3.05\n",
" INFO - 模拟交易账户资金, 账户: TQSIM\n",
" INFO - 日期: 2025-06-02, 账户权益: 10000000.00, 可用资金: 10000000.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-06-03, 账户权益: 10000000.00, 可用资金: 10000000.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-06-04, 账户权益: 10000000.00, 可用资金: 10000000.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-06-05, 账户权益: 10000000.00, 可用资金: 10000000.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-06-06, 账户权益: 10000000.00, 可用资金: 10000000.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-06-09, 账户权益: 10000000.00, 可用资金: 10000000.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-06-10, 账户权益: 10000000.00, 可用资金: 10000000.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-06-11, 账户权益: 10000000.00, 可用资金: 10000000.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-06-12, 账户权益: 10000000.00, 可用资金: 10000000.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-06-13, 账户权益: 10000000.00, 可用资金: 10000000.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-06-16, 账户权益: 10000000.00, 可用资金: 10000000.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-06-17, 账户权益: 10000000.00, 可用资金: 10000000.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-06-18, 账户权益: 10000000.00, 可用资金: 10000000.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-06-19, 账户权益: 10000000.00, 可用资金: 10000000.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-06-20, 账户权益: 10000000.00, 可用资金: 10000000.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-06-23, 账户权益: 10000000.00, 可用资金: 10000000.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-06-24, 账户权益: 10000000.00, 可用资金: 10000000.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-06-25, 账户权益: 10000000.00, 可用资金: 10000000.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-06-26, 账户权益: 10000000.00, 可用资金: 10000000.00, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-06-27, 账户权益: 9999997.03, 可用资金: 9997617.03, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 2.98, 风险度: 0.02%\n",
" INFO - 日期: 2025-06-30, 账户权益: 10000017.03, 可用资金: 9997637.03, 浮动盈亏: 20.00, 持仓盈亏: 20.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 0.00, 风险度: 0.02%\n",
" INFO - 日期: 2025-07-01, 账户权益: 9999914.05, 可用资金: 9999914.05, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: -100.00, 市值: 0.00, 保证金: 0.00, 手续费: 2.98, 风险度: 0.00%\n",
" INFO - 日期: 2025-07-02, 账户权益: 10000421.08, 可用资金: 9998041.08, 浮动盈亏: 510.00, 持仓盈亏: 510.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 2.98, 风险度: 0.02%\n",
" INFO - 日期: 2025-07-03, 账户权益: 10000531.08, 可用资金: 9998151.08, 浮动盈亏: 620.00, 持仓盈亏: 110.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 0.00, 风险度: 0.02%\n",
" INFO - 日期: 2025-07-04, 账户权益: 10000491.08, 可用资金: 9998111.08, 浮动盈亏: 580.00, 持仓盈亏: -40.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 0.00, 风险度: 0.02%\n",
" INFO - 日期: 2025-07-07, 账户权益: 10000381.08, 可用资金: 9998001.08, 浮动盈亏: 470.00, 持仓盈亏: -110.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 0.00, 风险度: 0.02%\n",
" INFO - 日期: 2025-07-08, 账户权益: 10000401.08, 可用资金: 9998021.08, 浮动盈亏: 490.00, 持仓盈亏: 20.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 0.00, 风险度: 0.02%\n",
" INFO - 日期: 2025-07-09, 账户权益: 10000401.08, 可用资金: 9998021.08, 浮动盈亏: 490.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 0.00, 风险度: 0.02%\n",
" INFO - 日期: 2025-07-10, 账户权益: 10001001.08, 可用资金: 9998621.08, 浮动盈亏: 1090.00, 持仓盈亏: 600.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 0.00, 风险度: 0.02%\n",
" INFO - 日期: 2025-07-11, 账户权益: 10001101.08, 可用资金: 9998721.08, 浮动盈亏: 1190.00, 持仓盈亏: 100.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 0.00, 风险度: 0.02%\n",
" INFO - 日期: 2025-07-14, 账户权益: 10001151.08, 可用资金: 9998771.08, 浮动盈亏: 1240.00, 持仓盈亏: 50.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 0.00, 风险度: 0.02%\n",
" INFO - 日期: 2025-07-15, 账户权益: 10000848.10, 可用资金: 10000848.10, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: -300.00, 市值: 0.00, 保证金: 0.00, 手续费: 2.98, 风险度: 0.00%\n",
" INFO - 日期: 2025-07-16, 账户权益: 10000848.10, 可用资金: 10000848.10, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-07-17, 账户权益: 10000848.10, 可用资金: 10000848.10, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-07-18, 账户权益: 10000848.10, 可用资金: 10000848.10, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-07-21, 账户权益: 10001285.13, 可用资金: 9998905.13, 浮动盈亏: 440.00, 持仓盈亏: 440.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 2.98, 风险度: 0.02%\n",
" INFO - 日期: 2025-07-22, 账户权益: 10002115.13, 可用资金: 9999735.13, 浮动盈亏: 1270.00, 持仓盈亏: 830.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 0.00, 风险度: 0.02%\n",
" INFO - 日期: 2025-07-23, 账户权益: 10001785.13, 可用资金: 9999405.13, 浮动盈亏: 940.00, 持仓盈亏: -330.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 0.00, 风险度: 0.02%\n",
" INFO - 日期: 2025-07-24, 账户权益: 10001985.13, 可用资金: 9999605.13, 浮动盈亏: 1140.00, 持仓盈亏: 200.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 0.00, 风险度: 0.02%\n",
" INFO - 日期: 2025-07-25, 账户权益: 10002605.13, 可用资金: 10000225.13, 浮动盈亏: 1760.00, 持仓盈亏: 620.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 0.00, 风险度: 0.02%\n",
" INFO - 日期: 2025-07-28, 账户权益: 10001532.15, 可用资金: 10001532.15, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: -1070.00, 市值: 0.00, 保证金: 0.00, 手续费: 2.98, 风险度: 0.00%\n",
" INFO - 日期: 2025-07-29, 账户权益: 10001799.18, 可用资金: 9999419.18, 浮动盈亏: 270.00, 持仓盈亏: 270.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 2.98, 风险度: 0.02%\n",
" INFO - 日期: 2025-07-30, 账户权益: 10001266.20, 可用资金: 10001266.20, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: -530.00, 市值: 0.00, 保证金: 0.00, 手续费: 2.98, 风险度: 0.00%\n",
" INFO - 日期: 2025-07-31, 账户权益: 10001993.23, 可用资金: 9999613.23, 浮动盈亏: 730.00, 持仓盈亏: 730.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 2.98, 风险度: 0.02%\n",
" INFO - 日期: 2025-08-01, 账户权益: 10002013.23, 可用资金: 9999633.23, 浮动盈亏: 750.00, 持仓盈亏: 20.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 0.00, 风险度: 0.02%\n",
" INFO - 日期: 2025-08-04, 账户权益: 10002003.23, 可用资金: 9999623.23, 浮动盈亏: 740.00, 持仓盈亏: -10.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 0.00, 风险度: 0.02%\n",
" INFO - 日期: 2025-08-05, 账户权益: 10001713.23, 可用资金: 9999333.23, 浮动盈亏: 450.00, 持仓盈亏: -290.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 0.00, 风险度: 0.02%\n",
" INFO - 日期: 2025-08-06, 账户权益: 10001700.25, 可用资金: 10001700.25, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: -10.00, 市值: 0.00, 保证金: 0.00, 手续费: 2.98, 风险度: 0.00%\n",
" INFO - 日期: 2025-08-07, 账户权益: 10001700.25, 可用资金: 10001700.25, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-08-08, 账户权益: 10001700.25, 可用资金: 10001700.25, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-08-11, 账户权益: 10001700.25, 可用资金: 10001700.25, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-08-12, 账户权益: 10001700.25, 可用资金: 10001700.25, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-08-13, 账户权益: 10001700.25, 可用资金: 10001700.25, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-08-14, 账户权益: 10001897.28, 可用资金: 9999517.28, 浮动盈亏: 200.00, 持仓盈亏: 200.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 2.98, 风险度: 0.02%\n",
" INFO - 日期: 2025-08-15, 账户权益: 10001907.28, 可用资金: 9999527.28, 浮动盈亏: 210.00, 持仓盈亏: 10.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 0.00, 风险度: 0.02%\n",
" INFO - 日期: 2025-08-18, 账户权益: 10002237.28, 可用资金: 9999857.28, 浮动盈亏: 540.00, 持仓盈亏: 330.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 0.00, 风险度: 0.02%\n",
" INFO - 日期: 2025-08-19, 账户权益: 10002527.28, 可用资金: 10000147.28, 浮动盈亏: 830.00, 持仓盈亏: 290.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 0.00, 风险度: 0.02%\n",
" INFO - 日期: 2025-08-20, 账户权益: 10002467.28, 可用资金: 10000087.28, 浮动盈亏: 770.00, 持仓盈亏: -60.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 0.00, 风险度: 0.02%\n",
" INFO - 日期: 2025-08-21, 账户权益: 10002577.28, 可用资金: 10000197.28, 浮动盈亏: 880.00, 持仓盈亏: 110.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 0.00, 风险度: 0.02%\n",
" INFO - 日期: 2025-08-22, 账户权益: 10002597.28, 可用资金: 10000217.28, 浮动盈亏: 900.00, 持仓盈亏: 20.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2380.00, 手续费: 0.00, 风险度: 0.02%\n",
" INFO - 日期: 2025-08-25, 账户权益: 10002344.30, 可用资金: 10002344.30, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: -250.00, 市值: 0.00, 保证金: 0.00, 手续费: 2.98, 风险度: 0.00%\n",
" INFO - 日期: 2025-08-26, 账户权益: 10002344.30, 可用资金: 10002344.30, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-08-27, 账户权益: 10002344.30, 可用资金: 10002344.30, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-08-28, 账户权益: 10002344.30, 可用资金: 10002344.30, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-08-29, 账户权益: 10002344.30, 可用资金: 10002344.30, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-01, 账户权益: 10002344.30, 可用资金: 10002344.30, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-02, 账户权益: 10002344.30, 可用资金: 10002344.30, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-03, 账户权益: 10002344.30, 可用资金: 10002344.30, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-04, 账户权益: 10002344.30, 可用资金: 10002344.30, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-05, 账户权益: 10002361.25, 可用资金: 9999924.45, 浮动盈亏: 20.00, 持仓盈亏: 20.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2436.80, 手续费: 3.05, 风险度: 0.02%\n",
" INFO - 日期: 2025-09-08, 账户权益: 10002138.21, 可用资金: 10002138.21, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: -220.00, 市值: 0.00, 保证金: 0.00, 手续费: 3.05, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-09, 账户权益: 10002138.21, 可用资金: 10002138.21, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-10, 账户权益: 10001972.12, 可用资金: 10001972.12, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: -160.00, 市值: 0.00, 保证金: 0.00, 手续费: 6.09, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-11, 账户权益: 10001972.12, 可用资金: 10001972.12, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-12, 账户权益: 10002089.07, 可用资金: 9999652.27, 浮动盈亏: 120.00, 持仓盈亏: 120.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2436.80, 手续费: 3.05, 风险度: 0.02%\n",
" INFO - 日期: 2025-09-15, 账户权益: 10002179.07, 可用资金: 9999742.27, 浮动盈亏: 210.00, 持仓盈亏: 90.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2436.80, 手续费: 0.00, 风险度: 0.02%\n",
" INFO - 日期: 2025-09-16, 账户权益: 10002479.07, 可用资金: 10000042.27, 浮动盈亏: 510.00, 持仓盈亏: 300.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2436.80, 手续费: 0.00, 风险度: 0.02%\n",
" INFO - 日期: 2025-09-17, 账户权益: 10002499.07, 可用资金: 10000062.27, 浮动盈亏: 530.00, 持仓盈亏: 20.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2436.80, 手续费: 0.00, 风险度: 0.02%\n",
" INFO - 日期: 2025-09-18, 账户权益: 10002156.02, 可用资金: 10002156.02, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: -340.00, 市值: 0.00, 保证金: 0.00, 手续费: 3.05, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-19, 账户权益: 10002156.02, 可用资金: 10002156.02, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-22, 账户权益: 10002156.02, 可用资金: 10002156.02, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-23, 账户权益: 10002156.02, 可用资金: 10002156.02, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-24, 账户权益: 10002156.02, 可用资金: 10002156.02, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-25, 账户权益: 10002156.02, 可用资金: 10002156.02, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-26, 账户权益: 10002156.02, 可用资金: 10002156.02, 浮动盈亏: 0.00, 持仓盈亏: 0.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 0.00, 手续费: 0.00, 风险度: 0.00%\n",
" INFO - 日期: 2025-09-29, 账户权益: 10002312.98, 可用资金: 9999876.18, 浮动盈亏: 160.00, 持仓盈亏: 160.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2436.80, 手续费: 3.05, 风险度: 0.02%\n",
" INFO - 日期: 2025-09-30, 账户权益: 10002562.98, 可用资金: 10000126.18, 浮动盈亏: 410.00, 持仓盈亏: 250.00, 平仓盈亏: 0.00, 市值: 0.00, 保证金: 2436.80, 手续费: 0.00, 风险度: 0.02%\n",
" INFO - 胜率: 55.56%, 盈亏额比例: 3.33, 收益率: 0.03%, 年化收益率: 0.07%, 最大回撤: 0.01%, 年化夏普率: -63.7079,年化索提诺比率: -15.3458\n",
"回测结束：开始平仓所有剩余持仓...\n",
"TqsdkEngine: 回测运行完毕。\n",
"TqsdkEngine: API 已关闭。\n",
"\n",
"回测运行完毕。\n"
"初始化数据管理器...\n"
]
},
{
"ename": "KeyError",
"evalue": "'initial_capital'",
"ename": "FileNotFoundError",
"evalue": "数据文件未找到: /mnt/d/PyProject/NewQuant/data/data/KQ_m@SHFE_rb/KQ_m@SHFE_rb_min15.csv",
"output_type": "error",
"traceback": [
"\u001B[31m---------------------------------------------------------------------------\u001B[39m",
"\u001B[31mKeyError\u001B[39m Traceback (most recent call last)",
"\u001B[36mCell\u001B[39m\u001B[36m \u001B[39m\u001B[32mIn[4]\u001B[39m\u001B[32m, line 47\u001B[39m\n\u001B[32m 45\u001B[39m portfolio_snapshots = results[\u001B[33m\"\u001B[39m\u001B[33mportfolio_snapshots\u001B[39m\u001B[33m\"\u001B[39m]\n\u001B[32m 46\u001B[39m trade_history = results[\u001B[33m\"\u001B[39m\u001B[33mtrade_history\u001B[39m\u001B[33m\"\u001B[39m]\n\u001B[32m---> \u001B[39m\u001B[32m47\u001B[39m initial_capital_result = \u001B[43mresults\u001B[49m\u001B[43m[\u001B[49m\u001B[33;43m\"\u001B[39;49m\u001B[33;43minitial_capital\u001B[39;49m\u001B[33;43m\"\u001B[39;49m\u001B[43m]\u001B[49m\n\u001B[32m 48\u001B[39m bars = results[\u001B[33m\"\u001B[39m\u001B[33mall_bars\u001B[39m\u001B[33m\"\u001B[39m]\n",
"\u001B[31mKeyError\u001B[39m: 'initial_capital'"
"\u001B[31mFileNotFoundError\u001B[39m Traceback (most recent call last)",
"\u001B[36mCell\u001B[39m\u001B[36m \u001B[39m\u001B[32mIn[5]\u001B[39m\u001B[32m, line 7\u001B[39m\n\u001B[32m 5\u001B[39m \u001B[38;5;66;03m# --- 1. 初始化数据管理器 ---\u001B[39;00m\n\u001B[32m 6\u001B[39m \u001B[38;5;28mprint\u001B[39m(\u001B[33m\"\u001B[39m\u001B[33m初始化数据管理器...\u001B[39m\u001B[33m\"\u001B[39m)\n\u001B[32m----> \u001B[39m\u001B[32m7\u001B[39m data_manager = \u001B[43mDataManager\u001B[49m\u001B[43m(\u001B[49m\u001B[43mfile_path\u001B[49m\u001B[43m=\u001B[49m\u001B[43mdata_file_path\u001B[49m\u001B[43m,\u001B[49m\u001B[43m \u001B[49m\u001B[43msymbol\u001B[49m\u001B[43m=\u001B[49m\u001B[43mglobal_config\u001B[49m\u001B[43m[\u001B[49m\u001B[33;43m'\u001B[39;49m\u001B[33;43msymbol\u001B[39;49m\u001B[33;43m'\u001B[39;49m\u001B[43m]\u001B[49m\u001B[43m,\u001B[49m\u001B[43m \u001B[49m\u001B[43mstart_time\u001B[49m\u001B[43m=\u001B[49m\u001B[43mstart_time\u001B[49m\u001B[43m,\u001B[49m\n\u001B[32m 8\u001B[39m \u001B[43m \u001B[49m\u001B[43mend_time\u001B[49m\u001B[43m=\u001B[49m\u001B[43mend_time\u001B[49m\u001B[43m)\u001B[49m\n\u001B[32m 10\u001B[39m strategy_parameters = {\n\u001B[32m 11\u001B[39m \u001B[33m'\u001B[39m\u001B[33mmain_symbol\u001B[39m\u001B[33m'\u001B[39m: \u001B[33m'\u001B[39m\u001B[33mrb\u001B[39m\u001B[33m'\u001B[39m, \u001B[38;5;66;03m# <-- 替换为你的交易品种代码，例如 'GC=F' (黄金期货), 'ZC=F' (玉米期货)\u001B[39;00m\n\u001B[32m 12\u001B[39m \u001B[33m'\u001B[39m\u001B[33mtrade_volume\u001B[39m\u001B[33m'\u001B[39m: \u001B[32m1\u001B[39m,\n\u001B[32m (...)\u001B[39m\u001B[32m 15\u001B[39m \u001B[33m'\u001B[39m\u001B[33menable_log\u001B[39m\u001B[33m'\u001B[39m: \u001B[38;5;28;01mFalse\u001B[39;00m\n\u001B[32m 16\u001B[39m }\n\u001B[32m 20\u001B[39m \u001B[38;5;66;03m# --- 2. 初始化回测引擎并运行 ---\u001B[39;00m\n",
"\u001B[36mFile \u001B[39m\u001B[32mD:\\PyProject\\NewQuant\\src\\data_manager.py:22\u001B[39m, in \u001B[36mDataManager.__init__\u001B[39m\u001B[34m(self, file_path, symbol, tz, start_time, end_time)\u001B[39m\n\u001B[32m 20\u001B[39m \u001B[38;5;28mself\u001B[39m.file_path = file_path\n\u001B[32m 21\u001B[39m \u001B[38;5;28mself\u001B[39m.tz = tz\n\u001B[32m---> \u001B[39m\u001B[32m22\u001B[39m \u001B[38;5;28mself\u001B[39m.raw_df = \u001B[43mload_raw_data\u001B[49m\u001B[43m(\u001B[49m\u001B[38;5;28;43mself\u001B[39;49m\u001B[43m.\u001B[49m\u001B[43mfile_path\u001B[49m\u001B[43m)\u001B[49m \u001B[38;5;66;03m# 调用函数式加载数据\u001B[39;00m\n\u001B[32m 24\u001B[39m \u001B[38;5;28mself\u001B[39m.start_time = start_time\n\u001B[32m 25\u001B[39m \u001B[38;5;28mself\u001B[39m.end_time = end_time\n",
"\u001B[36mFile \u001B[39m\u001B[32mD:\\PyProject\\NewQuant\\src\\data_processing.py:28\u001B[39m, in \u001B[36mload_raw_data\u001B[39m\u001B[34m(file_path)\u001B[39m\n\u001B[32m 11\u001B[39m \u001B[38;5;250m\u001B[39m\u001B[33;03m\"\"\"\u001B[39;00m\n\u001B[32m 12\u001B[39m \u001B[33;03m从 CSV 文件加载原始数据，并进行初步的数据类型处理。\u001B[39;00m\n\u001B[32m 13\u001B[39m \u001B[33;03m假设 datetime 列已经是北京时间，无需额外时区转换或本地化。\u001B[39;00m\n\u001B[32m (...)\u001B[39m\u001B[32m 25\u001B[39m \u001B[33;03m KeyError: 如果CSV中缺少必要的列。\u001B[39;00m\n\u001B[32m 26\u001B[39m \u001B[33;03m\"\"\"\u001B[39;00m\n\u001B[32m 27\u001B[39m \u001B[38;5;28;01mif\u001B[39;00m \u001B[38;5;129;01mnot\u001B[39;00m os.path.exists(file_path):\n\u001B[32m---> \u001B[39m\u001B[32m28\u001B[39m \u001B[38;5;28;01mraise\u001B[39;00m \u001B[38;5;167;01mFileNotFoundError\u001B[39;00m(\u001B[33mf\u001B[39m\u001B[33m\"\u001B[39m\u001B[33m数据文件未找到: \u001B[39m\u001B[38;5;132;01m{\u001B[39;00mfile_path\u001B[38;5;132;01m}\u001B[39;00m\u001B[33m\"\u001B[39m)\n\u001B[32m 30\u001B[39m \u001B[38;5;66;03m# 定义期望的列名，用于检查和选择\u001B[39;00m\n\u001B[32m 31\u001B[39m expected_cols = [\u001B[33m'\u001B[39m\u001B[33mdatetime\u001B[39m\u001B[33m'\u001B[39m, \u001B[33m'\u001B[39m\u001B[33mopen\u001B[39m\u001B[33m'\u001B[39m, \u001B[33m'\u001B[39m\u001B[33mhigh\u001B[39m\u001B[33m'\u001B[39m, \u001B[33m'\u001B[39m\u001B[33mlow\u001B[39m\u001B[33m'\u001B[39m, \u001B[33m'\u001B[39m\u001B[33mclose\u001B[39m\u001B[33m'\u001B[39m, \u001B[33m'\u001B[39m\u001B[33mvolume\u001B[39m\u001B[33m'\u001B[39m, \u001B[33m'\u001B[39m\u001B[33mopen_oi\u001B[39m\u001B[33m'\u001B[39m, \u001B[33m'\u001B[39m\u001B[33mclose_oi\u001B[39m\u001B[33m'\u001B[39m, \u001B[33m'\u001B[39m\u001B[33munderlying_symbol\u001B[39m\u001B[33m'\u001B[39m]\n",
"\u001B[31mFileNotFoundError\u001B[39m: 数据文件未找到: /mnt/d/PyProject/NewQuant/data/data/KQ_m@SHFE_rb/KQ_m@SHFE_rb_min15.csv"
]
}
],
"execution_count": 4
"execution_count": 5
},
{
"metadata": {
"ExecuteTime": {
"end_time": "2025-10-19T06:30:51.251633200Z",
"end_time": "2025-12-17T13:57:22.378533300Z",
"start_time": "2025-10-17T14:27:25.613908Z"
}
},