FMZ запустил Python Local Backtest Engine

FMZ запустил Python Local Backtest Engine.

FMZ backtest engine python пакет поддерживает Python2 и Python3; поддерживает системы Windows, Linux, Mac OS.

Установка

Введите следующую команду в командную строку:

pip install https://github.com/fmzquant/backtest_python/archive/master.zip

• Примечание: При установке движка в системе Mac OS, если есть ограничения безопасности, вам нужно добавить sudo перед pip, и пароль системы будет запрошен до выполнения всей команды установки.

Простой пример

'''backtest
start: 2018-02-19 00:00:00
end: 2018-03-22 12:00:00
period: 15m
exchanges: [{"eid":"OKEX","currency":"LTC_BTC","balance":3,"stocks":0}]
'''
from fmz import *
task = VCtx(__doc__) # initialize backtest engine from __doc__
print exchange.GetAccount()
print exchange.GetTicker()
print task.Join() # print backtest result

Структура конфигурации может генерироваться автоматически путем сохранения конфигурации бэкстеста на странице Стратегия редактирования.

Документация

API документация: (то есть документация, вызывающая функции, такие как GetAccount в демо)

• https://www.fmz.com/api

Простые замечания по коду Python:

'''backtest
start: 2018-02-19 00:00:00
end: 2018-03-22 12:00:00
period: 15m
exchanges: [{"eid":"OKEX","currency":"LTC_BTC","balance":3,"stocks":0}]
'''
from fmz import *           # Call the FMZ Quant library 
task = VCtx(__doc__)        # Initialize the backtest engine from __doc__ by calling VCtx
print exchange.GetAccount() # Test GetAccount function, and print the account information of the backtested platform 
print exchange.GetTicker()  # Test GetTicker function, and print the market quote information of backtest system 
print task.Join()           # Call the initialized task object, and print the backtest result    

• Документ

  With two underscores, "__doc__" is used to access the first unassigned string in modules like class declaration or function declaration; the string can be enclosed by """ ""","" "" or ' ', which is to pass the backtest configuration information of '''backtest ... ''' in the code into the VCtx class constructor to construct objects.
  

• Изменить код обратного теста, чтобы увидеть, как конкретно вызвать Log и GetTicker.

  # coding=UTF-8
  
  '''backtest
  start: 2018-02-19 00:00:00
  end: 2018-03-22 12:00:00
  period: 15m
  exchanges: [{"eid":"OKEX","currency":"LTC_BTC","balance":3,"stocks":0}]
  '''
  
  from fmz import *                                               # Call the FMZ Quant library
  task = VCtx(__doc__) # initialize backtest engine from __doc__  # Call VCtx function according to the initialization of __doc__
  print exchange.GetAccount()                                     # Test GetAccount and print the account information of the tested platform by the backtest system
  Log("\n call Log")
  Log("Call exchange.GetTicker() : ", exchange.GetTicker())
  print task.Join()                                                # Call the initialized task object, and print the backtest result 
  

  • Напечатать обмен.GetAccount ((():

  {'Balance': 3.0, 'Stocks': 0.0, 'FrozenBalance': 0.0, 'FrozenStocks': 0.0}
  

  • Регистрация звонков. Регистрация звонков.GetTicker.

  Напечатанные данные находятся в структуре задачи напечатать.Присоединяйтесь():

  {
      "Chart": {
   	   "Cfg": "",
   	   "Datas": []
      },
      "Elapsed": 42000000,
      "Finished": true,
      "Indicators": {},
      "LoadBytes": 441845,
      "LoadElapsed": 24000000,
      "LogsCount": 2,
      "Profit": 0.0,
      "ProfitLogs": [],
      "Progress": 100.0,
      "RuntimeLogs": [                                                  # Here call the printed data  
   	   [1, 1518969600200, 5, "", 0, 0.0, 0.0, "\n call Log", "", ""],
   	   [2, 1518969600400, 5, "", 0, 0.0, 0.0, "Call exchange.GetTicker() :  {'Sell': 0.02113476, 'Volume': 519.6953, 'Buy': 0.02113474, 'Last': 0.02113475, 'High': 0.02113476, 'Time': 1518969600000L, 'Low': 0.02113474}", "", ""]
      ],
      "Snapshort": [{
   	   "Balance": 3.0,
   	   "BaseCurrency": "LTC",
   	   "Commission": 0.0,
   	   "FrozenBalance": 0.0,
   	   "FrozenStocks": 0.0,
   	   "Id": "OKEX",
   	   "QuoteCurrency": "BTC",
   	   "Stocks": 0.0,
   	   "Symbols": {
   		   "LTC_BTC_OKEX": {
   			   "Last": 0.01893785
   		   }
   	   },
   	   "TradeStatus": {}
      }],
      "Status": "",
      "Task": {
   	   "Args": null,
   	   "Exchanges": [{
   		   "Balance": 3,
   		   "BaseCurrency": "LTC",
   		   "BasePeriod": 300000,
   		   "BasePrecision": 4,
   		   "DepthDeep": 5,
   		   "FaultTolerant": 0,
   		   "FeeDenominator": 5,
   		   "FeeMaker": 75,
   		   "FeeMin": 0,
   		   "FeeTaker": 80,
   		   "Id": "OKEX",
   		   "Label": "OKEX",
   		   "PriceTick": 1e-08,
   		   "QuoteCurrency": "BTC",
   		   "QuotePrecision": 8,
   		   "SlipPoint": 0,
   		   "Stocks": 0
   	   }],
   	   "Options": {
   		   "DataServer": "q.botvs.net",
   		   "MaxChartLogs": 800,
   		   "MaxProfitLogs": 800,
   		   "MaxRuntimeLogs": 800,
   		   "NetDelay": 200,
   		   "Period": 900000,
   		   "RetFlags": 189,
   		   "SnapshortPeriod": 300000,
   		   "TimeBegin": 1518969600,
   		   "TimeEnd": 1521691200,
   		   "UpdatePeriod": 5000
   	   }
      },
      "TaskStatus": 1,
      "Time": 1521691200000
  }
  

• Как использовать стратегию для обратного теста в локальном движке обратного теста?

# !/usr/local/bin/python
# -*- coding: UTF-8 -*-
'''backtest
start: 2018-02-19 00:00:00
end: 2018-03-22 12:00:00
period: 15m
exchanges: [{"eid":"Bitfinex","currency":"BTC_USD","balance":10000,"stocks":3}]
'''
import sys
sys.path.append("/usr/local/lib/python2.7/site-packages")    # Add a path during the backtest, and you can delete it if not needed 

from fmz import *
import math
import talib

task = VCtx(__doc__) # initialize backtest engine from __doc__

# ------------------------------ Strategy Section Starts --------------------------
print exchange.GetAccount()     # Call some interfaces, and print their return values 
print exchange.GetTicker()

def adjustFloat(v):             # Custom functions in the strategy 
    v = math.floor(v * 1000)
    return v / 1000

def onTick(e):
    Log("onTick")
    # ....

#
# ...
# 
# Here the codes including the implementation of custom functions are omitted 

def main():
    InitAccount = GetAccount()
    
    while True:
        onTick(exchange)
        Sleep(1000)
# ------------------------------ Strategy Section Ends --------------------------

try:
    main()                     # Raise EOFError() when the backtest ends, to stop the backtest loop. Therefore, the error needs to be processed by calling task.Join() when the error is detected, and print the backtest result 
except:
    print task.Join()          # print the backtest result