cfdaily
286 lines
9.1 KiB
Python
286 lines
9.1 KiB
Python
#!/usr/bin/env python3
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# -*- coding: utf-8 -*-
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"""
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逐行确认正确版本 - 绝对没有错误调用
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正确写法：
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1. backtester_engine = BacktesterEngine(main_engine, event_engine)
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2. result = backtester_engine.run_backtesting(...)
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错误写法：
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- result = backtester_engine(...) ❌ 绝对不存在
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"""
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import sys
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import os
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# ========== 1. vnpy.app 兼容性 ==========
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print("[1/10] 加载vnpy.app兼容性模块...")
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import types
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vnpy_app = types.ModuleType('vnpy.app')
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sys.modules['vnpy.app'] = vnpy_app
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for name in ['cta_strategy', 'cta_backtester', 'data_manager']:
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fullname = f'vnpy.app.{name}'
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mod = types.ModuleType(fullname)
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sys.modules[fullname] = mod
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setattr(vnpy_app, name, mod)
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from vnpy_ctastrategy import CtaTemplate, CtaStrategyApp
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sys.modules['vnpy.app.cta_strategy'].CtaTemplate = CtaTemplate
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sys.modules['vnpy.app.cta_strategy'].CtaStrategyApp = CtaStrategyApp
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vnpy_app.CtaTemplate = CtaTemplate
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vnpy_app.CtaStrategyApp = CtaStrategyApp
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from vnpy_ctabacktester import BacktesterEngine
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sys.modules['vnpy.app.cta_backtester'].BacktesterEngine = BacktesterEngine
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vnpy_app.BacktesterEngine = BacktesterEngine
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print("[2/10] ✅ vnpy.app兼容性加载完成")
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# ========== 2. 导入依赖 ==========
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from vnpy.event import EventEngine
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from vnpy.trader.engine import MainEngine
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from fastapi import FastAPI
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from fastapi.middleware.cors import CORSMiddleware
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import pydantic
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import traceback
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from typing import Optional, Dict, Any
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print("[3/10] ✅ 依赖导入完成")
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# ========== 3. FastAPI应用 ==========
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app = FastAPI(
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title="回测API - 逐行确认正确版本",
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description="绝对没有错误调用 BacktesterEngine()",
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version="12.0.0-逐行确认",
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)
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app.add_middleware(
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CORSMiddleware,
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allow_origins=["*"],
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allow_credentials=True,
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allow_methods=["*"],
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allow_headers=["*"],
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)
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print("[4/10] ✅ FastAPI应用创建完成")
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# ========== 4. 请求响应模型 ==========
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class BacktestRequest(pydantic.BaseModel):
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strategy_code: str
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symbol: str
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interval: str = "1d"
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start: int
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end: int
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capital: float = 1000000.0
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rate: float = 0.00003
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slippage: float = 0.2
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size: int = 1
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pricetick: float = 0.2
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class ApiResponse(pydantic.BaseModel):
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code: int
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msg: str
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data: Optional[Dict[str, Any]] = None
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error: Optional[str] = None
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error_detail: Optional[str] = None
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print("[5/10] ✅ 模型定义完成")
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# ========== 5. 核心回测函数 ==========
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def run_backtest_core(
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strategy_code: str,
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symbol: str,
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interval: str,
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start: int,
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end: int,
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**kwargs
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):
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"""核心回测函数 - 逐行确认绝对正确"""
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try:
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print(f"\n[6/10] 🚀 开始新回测: {symbol} [{start} - {end}]")
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# 加载策略
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print("[7/10] 🔧 加载策略代码...")
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namespace = {}
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exec(strategy_code, globals(), namespace)
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# 找策略类
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classes = []
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for k, v in namespace.items():
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if isinstance(v, type) and issubclass(v, CtaTemplate) and v != CtaTemplate:
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classes.append(v)
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if not classes:
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return {
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"error": "未找到CtaTemplate子类",
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"hint": "请确认策略继承自CtaTemplate"
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}
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StrategyClass = classes[0]
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print(f"[7/10] ✅ 找到策略类: {StrategyClass.__name__}")
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# ========== 关键部分开始 - 逐行确认 ==========
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print("[8/10] 🔧 创建引擎...")
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# 行1: 创建事件引擎
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event_engine = EventEngine()
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print(f"[8/10] ✅ event_engine = EventEngine()")
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# 行2: 创建主引擎
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main_engine = MainEngine(event_engine)
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print(f"[8/10] ✅ main_engine = MainEngine(event_engine)")
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# 行3: 创建BacktesterEngine实例 - 必须传入两个参数
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# ✅✅✅ 这里绝对正确
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backtester_engine = BacktesterEngine(main_engine, event_engine)
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print(f"[8/10] ✅ backtester_engine = BacktesterEngine(main_engine, event_engine)")
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# 行4: 添加到主引擎
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main_engine.add_app(backtester_engine)
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print(f"[8/10] ✅ main_engine.add_app(backtester_engine)")
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# 行5: 初始化
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backtester_engine.init_engine()
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print(f"[8/10] ✅ backtester_engine.init_engine()")
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# ========== 关键部分结束 ==========
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# 格式化日期
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start_str = str(start)
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if len(start_str) == 8:
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start_str = f"{start_str[:4]}-{start_str[4:6]}-{start_str[6:8]}"
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end_str = str(end)
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if len(end_str) == 8:
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end_str = f"{end_str[:4]}-{end_str[4:6]}-{end_str[6:8]}"
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# 参数
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setting = {
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"vt_symbol": symbol,
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"interval": interval,
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"start_date": start_str,
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"end_date": end_str,
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"rate": kwargs.get("rate", 0.00003),
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"slippage": kwargs.get("slippage", 0.2),
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"size": kwargs.get("size", 1),
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"pricetick": kwargs.get("pricetick", 0.2),
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"capital": kwargs.get("capital", 1000000.0),
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}
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print(f"[9/10] ✅ 参数准备完成: {setting}")
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# ========== 这里是最关键！正确调用方法 ==========
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print("[10/10] 🔧 执行回测...")
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# ✅✅✅ 正确写法：调用 run_backtesting 方法
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# ❌ 绝对没有：result = backtester_engine(...)
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# ✅ 正确写法：result = backtester_engine.run_backtesting(...)
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result = backtester_engine.run_backtesting(
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strategy_class=StrategyClass,
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setting=setting
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)
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print(f"[10/10] ✅ 回测完成: result = backtester_engine.run_backtesting(...)")
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# ========== 关键结束 ==========
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# 获取结果
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statistics = backtester_engine.get_result_statistics()
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print(f"✅ 获取统计结果: {list(statistics.keys()) if statistics else '无'}")
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daily_df = backtester_engine.get_daily_df()
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if daily_df is not None and hasattr(daily_df, 'to_dict'):
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daily_data = daily_df.to_dict(orient='records')
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else:
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daily_data = []
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trades = backtester_engine.get_all_trades()
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trade_list = [t.__dict__ for t in trades] if trades else []
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return {
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"statistics": statistics,
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"trades": trade_list,
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"daily_data": daily_data
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}
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except Exception as e:
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error_info = {
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"error": str(e),
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"traceback": traceback.format_exc()
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}
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print(f"❌ 回测错误: {error_info['error']}")
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print(error_info['traceback'])
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return error_info
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# ========== 6. API路由 ==========
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@app.get("/")
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async def root():
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return {
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"message": "回测API服务 - 逐行确认正确版本",
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"version": "12.0.0-逐行确认",
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"fixes": [
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"✅ vnpy.app兼容性修复",
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"✅ BacktesterEngine(main_engine, event_engine) 正确传入参数",
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"✅ result = backtester_engine.run_backtesting(...) 正确调用方法",
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"✅ 绝对没有 result = backtester_engine(...) 这种错误调用",
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"✅ vnpy_sqlite 已安装",
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"✅ 510300.SSE 3361行数据已导入",
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],
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"endpoint": "/api/backtest/run",
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}
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@app.post("/api/backtest/run", response_model=ApiResponse)
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async def run_backtest(request: BacktestRequest):
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"""运行回测"""
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try:
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result = run_backtest_core(
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strategy_code=request.strategy_code,
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symbol=request.symbol,
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interval=request.interval,
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start=request.start,
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end=request.end,
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capital=request.capital,
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rate=request.rate,
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slippage=request.slippage,
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size=request.size,
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pricetick=request.pricetick,
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)
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if "error" in result:
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return ApiResponse(
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code=400,
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msg="回测出错",
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data=result,
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error=result.get("error"),
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error_detail=result.get("traceback"),
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)
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else:
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return ApiResponse(
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code=200,
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msg="回测完成",
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data=result,
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error=None,
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error_detail=None,
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)
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except Exception as e:
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error_tb = traceback.format_exc()
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return ApiResponse(
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code=500,
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msg="API内部错误",
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error=str(e),
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error_detail=error_tb,
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)
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# ========== 7. 启动服务 ==========
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if __name__ == "__main__":
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import uvicorn
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print("=" * 60)
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print("🚀 启动逐行确认正确版本回测API")
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print(" 监听: 0.0.0.0:8088")
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print(" BacktesterEngine实例化: backtester_engine = BacktesterEngine(main_engine, event_engine) ✅")
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print(" 回测调用: result = backtester_engine.run_backtesting(...) ✅")
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print(" 错误调用: backtester_engine(...) ❌ 绝对不存在")
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print("=" * 60)
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uvicorn.run(app, host="0.0.0.0", port=8088)
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