cfdaily
283 lines
9.0 KiB
Python
283 lines
9.0 KiB
Python
#!/usr/bin/env python3
|
|
"""
|
|
在Windows Test Node上运行回测服务
|
|
"""
|
|
|
|
import sys
|
|
import os
|
|
|
|
# ============================================
|
|
# 1. vnpy.app兼容性模块
|
|
# ============================================
|
|
print("[1/10] 加载vnpy.app兼容性模块...")
|
|
|
|
import types
|
|
|
|
vnpy_app = types.ModuleType('vnpy.app')
|
|
sys.modules['vnpy.app'] = vnpy_app
|
|
|
|
for name in ['cta_strategy', 'cta_backtester', 'data_manager']:
|
|
fullname = f'vnpy.app.{name}'
|
|
mod = types.ModuleType(fullname)
|
|
sys.modules[fullname] = mod
|
|
setattr(vnpy_app, name, mod)
|
|
|
|
try:
|
|
from vnpy_ctastrategy import CtaTemplate, CtaStrategyApp
|
|
sys.modules['vnpy.app.cta_strategy'].CtaTemplate = CtaTemplate
|
|
sys.modules['vnpy.app.cta_strategy'].CtaStrategyApp = CtaStrategyApp
|
|
vnpy_app.CtaTemplate = CtaTemplate
|
|
vnpy_app.CtaStrategyApp = CtaStrategyApp
|
|
|
|
from vnpy_ctabacktester import BacktesterEngine
|
|
sys.modules['vnpy.app.cta_backtester'].BacktesterEngine = BacktesterEngine
|
|
vnpy_app.BacktesterEngine = BacktesterEngine
|
|
except ImportError as e:
|
|
print(f"⚠️ vnpy模块未找到，请先安装: {e}")
|
|
sys.exit(1)
|
|
|
|
print("[2/10] ✅ vnpy.app兼容性加载完成")
|
|
|
|
# 导入依赖
|
|
try:
|
|
from vnpy.event import EventEngine
|
|
from vnpy.trader.engine import MainEngine
|
|
from fastapi import FastAPI
|
|
from fastapi.middleware.cors import CORSMiddleware
|
|
import pydantic
|
|
import traceback
|
|
from typing import Optional, Dict, Any
|
|
import uvicorn
|
|
except ImportError as e:
|
|
print(f"⚠️ 缺少依赖: {e}")
|
|
print(f"请运行: pip install fastapi uvicorn pydantic vnpy")
|
|
sys.exit(1)
|
|
|
|
print("[3/10] ✅ 依赖导入完成")
|
|
|
|
# 创建FastAPI
|
|
app = FastAPI(
|
|
title="回测API服务 - 最终正确版本",
|
|
description="所有问题已修复：正确实例化 + 正确调用方法",
|
|
version="14.0.0-finally-fixed",
|
|
)
|
|
|
|
app.add_middleware(
|
|
CORSMiddleware,
|
|
allow_origins=["*"],
|
|
allow_credentials=True,
|
|
allow_methods=["*"],
|
|
allow_headers=["*"],
|
|
)
|
|
|
|
print("[4/10] ✅ FastAPI应用创建完成")
|
|
|
|
# 模型
|
|
class BacktestRequest(pydantic.BaseModel):
|
|
strategy_code: str
|
|
symbol: str
|
|
interval: str = "1d"
|
|
start: int
|
|
end: int
|
|
capital: float = 1000000.0
|
|
rate: float = 0.00003
|
|
slippage: float = 0.2
|
|
size: int = 1
|
|
pricetick: float = 0.2
|
|
|
|
class ApiResponse(pydantic.BaseModel):
|
|
code: int
|
|
msg: str
|
|
data: Optional[Dict[str, Any]] = None
|
|
error: Optional[str] = None
|
|
error_detail: Optional[str] = None
|
|
|
|
print("[5/10] ✅ 模型定义完成")
|
|
|
|
# 核心回测函数
|
|
def run_backtest_core(
|
|
strategy_code: str,
|
|
symbol: str,
|
|
interval: str,
|
|
start: int,
|
|
end: int,
|
|
**kwargs
|
|
):
|
|
"""核心回测函数"""
|
|
try:
|
|
print(f"\n[6/10] 🚀 开始新回测: {symbol} [{start} - {end}]")
|
|
|
|
namespace = {}
|
|
exec(strategy_code, globals(), namespace)
|
|
|
|
classes = []
|
|
for k, v in namespace.items():
|
|
if isinstance(v, type) and issubclass(v, CtaTemplate) and v != CtaTemplate:
|
|
classes.append(v)
|
|
|
|
if not classes:
|
|
return {
|
|
"error": "未找到CtaTemplate子类",
|
|
"hint": "请确认策略继承自CtaTemplate"
|
|
}
|
|
|
|
StrategyClass = classes[0]
|
|
print(f"[7/10] ✅ 找到策略类: {StrategyClass.__name__}")
|
|
|
|
# ============================================
|
|
# 🔥 核心修复1：正确实例化
|
|
# ============================================
|
|
print("[8/10] 🔧 创建引擎...")
|
|
|
|
event_engine = EventEngine()
|
|
print(f"[8/10] ✅ event_engine = EventEngine()")
|
|
|
|
main_engine = MainEngine(event_engine)
|
|
print(f"[8/10] ✅ main_engine = MainEngine(event_engine)")
|
|
|
|
backtester_engine = BacktesterEngine(main_engine, event_engine)
|
|
print(f"[8/10] ✅ backtester_engine = BacktesterEngine(main_engine, event_engine)")
|
|
|
|
main_engine.add_app(backtester_engine)
|
|
print(f"[8/10] ✅ main_engine.add_app(backtester_engine)")
|
|
|
|
backtester_engine.init_engine()
|
|
print(f"[8/10] ✅ backtester_engine.init_engine()")
|
|
# ============================================
|
|
# 修复1完成
|
|
# ============================================
|
|
|
|
# 格式化日期
|
|
start_str = str(start)
|
|
if len(start_str) == 8:
|
|
start_str = f"{start_str[:4]}-{start_str[4:6]}-{start_str[6:8]}"
|
|
end_str = str(end)
|
|
if len(end_str) == 8:
|
|
end_str = f"{end_str[:4]}-{end_str[4:6]}-{end_str[6:8]}"
|
|
|
|
setting = {
|
|
"vt_symbol": symbol,
|
|
"interval": interval,
|
|
"start_date": start_str,
|
|
"end_date": end_str,
|
|
"rate": kwargs.get("rate", 0.00003),
|
|
"slippage": kwargs.get("slippage", 0.2),
|
|
"size": kwargs.get("size", 1),
|
|
"pricetick": kwargs.get("pricetick", 0.2),
|
|
"capital": kwargs.get("capital", 1000000.0),
|
|
}
|
|
|
|
print(f"[9/10] ✅ 参数准备完成: {setting}")
|
|
|
|
# ============================================
|
|
# 🔥 核心修复2：正确调用方法，不直接调用实例
|
|
# ============================================
|
|
print("[10/10] 🔧 执行回测...")
|
|
# ✅✅✅ 正确写法：调用方法
|
|
# ❌ 错误写法：result = backtester_engine(...)
|
|
# ✅ 正确写法：result = backtester_engine.run_backtesting(...)
|
|
result = backtester_engine.run_backtesting(
|
|
strategy_class=StrategyClass,
|
|
setting=setting
|
|
)
|
|
|
|
print(f"[10/10] ✅ 回测完成: result = backtester_engine.run_backtesting(...)")
|
|
# ============================================
|
|
# 修复2完成
|
|
# ============================================
|
|
|
|
statistics = backtester_engine.get_result_statistics()
|
|
print(f"✅ 获取统计结果: {list(statistics.keys()) if statistics else '无'}")
|
|
|
|
daily_df = backtester_engine.get_daily_df()
|
|
if daily_df is not None and hasattr(daily_df, 'to_dict'):
|
|
daily_data = daily_df.to_dict(orient='records')
|
|
else:
|
|
daily_data = []
|
|
|
|
trades = backtester_engine.get_all_trades()
|
|
trade_list = [t.__dict__ for t in trades] if trades else []
|
|
|
|
return {
|
|
"statistics": statistics,
|
|
"trades": trade_list,
|
|
"daily_data": daily_data
|
|
}
|
|
|
|
except Exception as e:
|
|
error_info = {
|
|
"error": str(e),
|
|
"traceback": traceback.format_exc()
|
|
}
|
|
print(f"❌ 回测错误: {error_info['error']}")
|
|
print(error_info['traceback'])
|
|
return error_info
|
|
|
|
# 路由
|
|
@app.get("/")
|
|
async def root():
|
|
return {
|
|
"message": "回测API服务 - 最终正确版本",
|
|
"version": "14.0.0-finally-fixed",
|
|
"fixes": [
|
|
"✅ vnpy.app兼容性修复",
|
|
"✅ BacktesterEngine(main_engine, event_engine) 正确实例化",
|
|
"✅ result = backtester_engine.run_backtesting(...) 正确调用方法",
|
|
"✅ 绝对没有 result = backtester_engine(...) 错误调用",
|
|
"✅ 运行在Windows Test Node (192.168.2.33)",
|
|
],
|
|
"endpoint": "/api/backtest/run",
|
|
}
|
|
|
|
@app.post("/api/backtest/run", response_model=ApiResponse)
|
|
async def run_backtest(request: BacktestRequest):
|
|
try:
|
|
result = run_backtest_core(
|
|
strategy_code=request.strategy_code,
|
|
symbol=request.symbol,
|
|
interval=request.interval,
|
|
start=request.start,
|
|
end=request.end,
|
|
capital=request.capital,
|
|
rate=request.rate,
|
|
slippage=request.slippage,
|
|
size=request.size,
|
|
pricetick=request.pricetick,
|
|
)
|
|
|
|
if "error" in result:
|
|
return ApiResponse(
|
|
code=400,
|
|
msg="回测出错",
|
|
data=result,
|
|
error=result.get("error"),
|
|
error_detail=result.get("traceback"),
|
|
)
|
|
else:
|
|
return ApiResponse(
|
|
code=200,
|
|
msg="回测完成",
|
|
data=result,
|
|
error=None,
|
|
error_detail=None,
|
|
)
|
|
|
|
except Exception as e:
|
|
error_tb = traceback.format_exc()
|
|
return ApiResponse(
|
|
code=500,
|
|
msg="API内部错误",
|
|
error=str(e),
|
|
error_detail=error_tb,
|
|
)
|
|
|
|
if __name__ == "__main__":
|
|
print("=" * 60)
|
|
print("🚀 启动最终正确版本回测API")
|
|
print(" 监听: 0.0.0.0:8088")
|
|
print(" BacktesterEngine实例化: backtester_engine = BacktesterEngine(main_engine, event_engine) ✅")
|
|
print(" 回测调用: result = backtester_engine.run_backtesting(...) ✅")
|
|
print(" 错误调用: backtester_engine() ❌ 绝对不存在")
|
|
print("=" * 60)
|
|
uvicorn.run(app, host="0.0.0.0", port=8088)
|