运行了数天的模拟交易今天全部停止发出信号是怎么回事


(netsophier) #1

前些天还正常运行、发出信号,昨天晚上17:40左右三个策略均完成了运行,但是都没有发出第二天即今天的调仓信号。

运行日志如下:

[2019-02-25 17:34:07.359631] INFO: bigquant: stock_ranker_predict.v5 运行完成[14.857904s].
[2019-02-25 17:34:07.500900] INFO: forward_register: start to register
[2019-02-25 17:34:07.557945] INFO: forward_register: update coz content changed
[2019-02-25 17:34:07.559951] INFO: forward_register: done of register
[2019-02-25 17:34:07.946817] INFO: forward_test: init username:netsophier, algo_id:11307, first_date:2019-02-12, frequency:daily, price_type:post_right, instruments:['000001.SZA', '000002.SZA', '000004.SZA', '000005.SZA', '000006.SZA', '000007.SZA', '000008.SZA', '000009.SZA', '000010.SZA', '000011.SZA', '000012.SZA', '000014.SZA', '000016.SZA', '000017.SZA', '000018.SZA', '000019.SZA', '000020.SZA', '000021.SZA', '000022.SZA', '000023.SZA', '000025.SZA', '000026.SZA', '000027.SZA', '000028.SZA', '000029.SZA', '000030.SZA', '000031.SZA', '000032.SZA', '000034.SZA', '000035.SZA', '000036.SZA', '000037.SZA']
[2019-02-25 17:34:07.949520] INFO: forward_test: biglearning forward test:V5.1.6
[2019-02-25 17:34:07.977265] INFO: forward_test: run_date: 2019-02-25, notebook_id:netsophier_65916ea6-2ec6-11e9-bedf-0a580a8100da, algo_name:1015-1819-1.97
[2019-02-25 17:34:07.999230] INFO: forward_test: last record: <EquityAlgoDaily(run_date=2019-02-22, is_sync=0, cash=520669.742728201, \npositions=\'[{"cost_basis_after_adjust": 38.241, "last_sale_date": "2019-02-22 15:00:00+00:00", "cost_basis": 38.6064, "price_after_adjust": 38.51, "first_hold_date": "2019-02-22", "name": "\\u9ea6\\u8fea\\u79d1\\u6280", "date": "2019-02-22", "amount": 8400.061636899207, "cum_return": 2280.91, "sid": "603990.SHA", "value": 326577.29, "adjust_factor": 1.0095549821853638, "last_sale_price": 38.88, "hold_days": 1, "amount_after_adjust": 8480}, {"cost_basis_after_adjust": 8.83, "last_sale_date": "2019-02-22 15:00:00+00:00", "cost_basis": 35.4234, "price_after_adjust": 8.91, "first_hold_date": "2019-02-22", "name": "\\u822a\\u6c11\\u80a1\\u4efd", "date": "2019-02-22", "amount": 5717.016454506091, "cum_return": 1834.7, "sid": "600987.SHA", "value": 204350.8, "adjust_factor": 4.011706829071045, "last_sale_price": 35.74, "hold_days": 1, "amount_after_adjust": 22934}]\', \ntransactions=\'[{"dt": "2019-02-22 15:00:00", "direction": "\\u5356", "price_after_adjust": 28.06, "cost": 194.47, "date": "2019-02-22", "amount": -5311.56663039336, "commission": 194.47, "name": "\\u4e2d\\u6e90\\u5bb6\\u5c45", "sid": "603709.SHA", "value": -149589.47, "adjust_factor": 1.003674030303955, "amount_after_adjust": -5331, "price": 28.16}, {"dt": "2019-02-22 15:00:00", "direction": "\\u5356", "price_after_adjust": 29.7, "cost": 165.15, "date": "2019-02-22", "amount": -3229.710269733997, "commission": 165.15, "name": "\\u6b27\\u666e\\u7167\\u660e", "sid": "603515.SHA", "value": -127038.45, "adjust_factor": 1.324388027191162, "amount_after_adjust": -4277, "price": 39.33}, {"dt": "2019-02-22 15:00:00", "direction": "\\u5356", "price_after_adjust": 22.54, "cost": 317.85, "date": "2019-02-22", "amount": -10680.483419181257, "commission": 317.85, "name": "\\u5cb1\\u7f8e\\u80a1\\u4efd", "sid": "603730.SHA", "value": -244503.52, "adjust_factor": 1.0156539678573608, "amount_after_adjust": -10847, "price": 22.89}, {"dt": "2019-02-22 09:30:00", "direction": "\\u4e70", "price_after_adjust": 38.24, "cost": 97.29, "date": "2019-02-22", "amount": 8400.061636899207, "commission": 97.29, "name": "\\u9ea6\\u8fea\\u79d1\\u6280", "sid": "603990.SHA", "value": 324296.38, "adjust_factor": 1.0095549821853638, "amount_after_adjust": 8480, "price": 38.61}, {"dt": "2019-02-22 09:30:00", "direction": "\\u4e70", "price_after_adjust": 8.83, "cost": 60.75, "date": "2019-02-22", "amount": 5717.016454506091, "commission": 60.75, "name": "\\u822a\\u6c11\\u80a1\\u4efd", "sid": "600987.SHA", "value": 202516.1, "adjust_factor": 4.011706829071045, "amount_after_adjust": 22934, "price": 35.42}]\',                \norders=\'[{"amount": -8400.061636899207, "direction": "\\u5356", "name": "\\u9ea6\\u8fea\\u79d1\\u6280", "sid": "603990.SHA", "adjust_factor": 1.0095549821853638, "price": 38.51, "dt": "2019-02-25 15:00:00", "amount_after_adjust": 8480, "date": "2019-02-22"}, {"amount": -5717.016454506091, "direction": "\\u5356", "name": "\\u822a\\u6c11\\u80a1\\u4efd", "sid": "600987.SHA", "adjust_factor": 4.011706829071045, "price": 8.91, "dt": "2019-02-25 15:00:00", "amount_after_adjust": 22934, "date": "2019-02-22"}, {"amount": 13009.641747821497, "direction": "\\u4e70", "name": "\\u5c71\\u4e1c\\u91d1\\u6cf0", "sid": "600385.SHA", "adjust_factor": 2.4200470447540283, "price": 10.14, "dt": "2019-02-25 09:30:00", "amount_after_adjust": 31483, "date": "2019-02-22"}, {"amount": 5798.64691328201, "direction": "\\u4e70", "name": "\\u9ea6\\u683c\\u7c73\\u7279", "sid": "002851.SZA", "adjust_factor": 1.5056840181350708, "price": 23.07, "dt": "2019-02-25 09:30:00", "amount_after_adjust": 8730, "date": "2019-02-22"}]\', \nextension=\'{"is_stock": "True", "order_price_field_sell": "close", "need_settle": "False", "order_price_field_buy": "open"}\', benchmark=\'{"000300.SHA": 0.022485971450805664, "000300.SHA.CUM": 0.056986093521118164}\', portfolio=\'{"cum_return": 0.05159783649899811, "drawdown": 0.010743752488900585, "pv": 530928.0937707971, "max_pv": 1051597.836498998, "annual_return": 3.0451596358107658, "today_return": 0.004415557118320374, "first_date": "2019-02-12"}\', risk_indicator=\'{"alpha": 0.7451158934546203, "ir": -0.04031359071937556, "beta": 0.4235540967709703, "sharpe": 6.536573972997227, "volatility": 0.2146959684531662}\', trading_days=\'9\'
[2019-02-25 17:34:08.005530] INFO: forward_test: today record: None
[2019-02-25 17:34:08.012233] INFO: forward_test: first record: <EquityAlgoDaily(run_date=2019-02-12, is_sync=0, cash=1000000.0, \npositions=\'[]\', \ntransactions=\'[]\',                \norders=\'[{"name": "\\u677e\\u53d1\\u80a1\\u4efd", "dt": "2019-02-13 09:30:00", "price": 18.45, "direction": "\\u4e70", "amount_after_adjust": 11077, "amount": 7812.623902549314, "date": "2019-02-12", "adjust_factor": 1.4179149866104126, "sid": "603268.SHA"}, {"name": "\\u6e38\\u4e45\\u6e38\\u620f", "dt": "2019-02-13 09:30:00", "price": 3.27, "direction": "\\u4e70", "amount_after_adjust": 39434, "amount": 7.248699375374441, "date": "2019-02-12", "adjust_factor": 5440.22216796875, "sid": "600652.SHA"}]\', \nextension=\'{"order_price_field_buy": "open", "need_settle": "False", "is_stock": "True", "order_price_field_sell": "close"}\', benchmark=\'{"000300.SHA": 0.0, "000300.SHA.CUM": 0.0}\', portfolio=\'{"pv": 0.0, "drawdown": 0.0, "cum_return": 0.0, "today_return": 0.0, "annual_return": 0.0, "max_pv": 1000000.0, "first_date": "2019-02-12"}\', risk_indicator=\'{"sharpe": 0.0, "alpha": 0.0, "beta": 0.0, "ir": 0.0, "volatility": 0.0}\', trading_days=\'1\'
[2019-02-25 17:34:08.013972] INFO: forward_test: last_record is_sync cash:520669.742728201, last_portfolio:{'max_pv': 1051597.836498998, 'today_return': 0.004415557118320374, 'annual_return': 3.0451596358107658, 'cum_return': 0.05159783649899811, 'pv': 530928.0937707971, 'drawdown': 0.010743752488900585, 'first_date': '2019-02-12'}
[2019-02-25 17:34:08.081150] INFO: algo: init() show_debug_info:True, standard_mode:True, instant_fill:False, third_match_model:False, papertrading:True
[2019-02-25 17:34:08.083288] INFO: algo: init() daily start:2019-02-25 00:00:00+00:00 ~ end:2019-02-25 00:00:00+00:00
[2019-02-25 17:34:08.085188] INFO: factory: create simulation parameters [start:2019-02-25 00:00:00+00:00, end:2019-02-25 00:00:00+00:00]
[2019-02-25 17:34:08.087091] INFO: Trading: SimulationParameters start_session:2019-02-25 00:00:00+00:00, end_session:2019-02-25 00:00:00+00:00, emission_rate:daily, arena:backtest
[2019-02-25 17:34:08.089077] INFO: Trading: SimulationParameters _first_open:2019-02-25 09:30:00+00:00, _last_close:2019-02-25 15:00:00+00:00
[2019-02-25 17:34:08.093387] INFO: forward_test: instruments type <class 'list'>, <class 'list'>, <class 'list'>
<class 'pandas.core.panel.Panel'>
Dimensions: 3590 (items) x 243 (major_axis) x 9 (minor_axis)
Items axis: 000001.SZA to 603999.SHA
Major_axis axis: 2018-02-26 00:00:00 to 2019-02-25 00:00:00
Minor_axis axis: open to delist_date
[2019-02-25 17:34:16.687404] INFO: algo: TradingAlgorithm V1.4.7
[2019-02-25 17:34:16.706769] INFO: algo: data.major_axis0: 2018-02-26 00:00:00+00:00
[2019-02-25 17:34:16.708556] INFO: algo: data.major_axis-1: 2019-02-25 00:00:00+00:00
[2019-02-25 17:34:26.307976] INFO: forward_test: c_initialize() init position:position[asset:Equity(115 [603990.SHA]),amount:8400.061636899207,today_amount:0,frozen_amount:0,cost_basis:38.6064,last_sale_price:38.88,pv:326594.3964426412]
[2019-02-25 17:34:26.310647] INFO: forward_test: c_initialize() init position:position[asset:Equity(3455 [600987.SHA]),amount:5717.016454506091,today_amount:0,frozen_amount:0,cost_basis:35.4234,last_sale_price:35.74,pv:204326.1680840477]
[2019-02-25 17:34:26.312890] INFO: forward_test: c_initialize() positions len:2, value:530920.5645266889
[2019-02-25 17:34:26.314775] INFO: forward_test: c_initialize() orders len:4
[2019-02-25 17:34:26.316803] INFO: forward_test: c_initialize() order: {'amount_after_adjust': 8480, 'amount': -8400.061636899207, 'direction': '卖', 'price': 38.51, 'sid': '603990.SHA', 'date': '2019-02-22', 'adjust_factor': 1.0095549821853638, 'name': '麦迪科技', 'dt': '2019-02-25 15:00:00'}
[2019-02-25 17:34:26.319005] INFO: Blotter: place order [sid:115, oid:8d679b, symbol:603990.SHA, amount:-8400.061636899207, position_effect:None, is_stored_order:True], dt:2019-02-25 00:00:00+00:00
[2019-02-25 17:34:26.320882] INFO: forward_test: c_initialize() order: {'amount_after_adjust': 22934, 'amount': -5717.016454506091, 'direction': '卖', 'price': 8.91, 'sid': '600987.SHA', 'date': '2019-02-22', 'adjust_factor': 4.011706829071045, 'name': '航民股份', 'dt': '2019-02-25 15:00:00'}
[2019-02-25 17:34:26.323021] INFO: Blotter: place order [sid:3455, oid:44c531, symbol:600987.SHA, amount:-5717.016454506091, position_effect:None, is_stored_order:True], dt:2019-02-25 00:00:00+00:00
[2019-02-25 17:34:26.325022] INFO: forward_test: c_initialize() order: {'amount_after_adjust': 31483, 'amount': 13009.641747821497, 'direction': '买', 'price': 10.14, 'sid': '600385.SHA', 'date': '2019-02-22', 'adjust_factor': 2.4200470447540283, 'name': '山东金泰', 'dt': '2019-02-25 09:30:00'}
[2019-02-25 17:34:26.327343] INFO: Blotter: place order [sid:1598, oid:444afe, symbol:600385.SHA, amount:13009.641747821497, position_effect:None, is_stored_order:True], dt:2019-02-25 00:00:00+00:00
[2019-02-25 17:34:26.329329] INFO: forward_test: c_initialize() order: {'amount_after_adjust': 8730, 'amount': 5798.64691328201, 'direction': '买', 'price': 23.07, 'sid': '002851.SZA', 'date': '2019-02-22', 'adjust_factor': 1.5056840181350708, 'name': '麦格米特', 'dt': '2019-02-25 09:30:00'}
[2019-02-25 17:34:26.331477] INFO: Blotter: place order [sid:2992, oid:7840fe, symbol:002851.SZA, amount:5798.64691328201, position_effect:None, is_stored_order:True], dt:2019-02-25 00:00:00+00:00
[2019-02-25 17:34:26.333390] INFO: algo: init() setting[data_frequency:daily, product_type:stock,price_type:backward_adjusted,amount_integer:False,leverage_type:fill_amap,max_leverage:1.0,need_settle:False]
[2019-02-25 17:34:26.337302] INFO: algo: trading transform...
[2019-02-25 17:34:26.350394] INFO: Blotter: match order2 [dt:2019-02-25 15:00:00+00:00,oid:8d679b,symbol:603990.SHA,amount:-8400.061636899207,filled:-8400.061636899207,price:40.44258690174427,turnover:-339720.2227303044,pos_effect:None]
[2019-02-25 17:34:26.352867] INFO: Blotter: cancel order oid:8d679b, symbol:603990.SHA, reason:after trade -8400.061636899207
[2019-02-25 17:34:26.355829] INFO: Blotter: match order2 [dt:2019-02-25 15:00:00+00:00,oid:44c531,symbol:600987.SHA,amount:-5717.016454506091,filled:-5717.016454506091,price:36.90770243029388,turnover:-211001.94209200455,pos_effect:None]
[2019-02-25 17:34:26.358007] INFO: Blotter: cancel order oid:44c531, symbol:600987.SHA, reason:after trade -5717.016454506091
[2019-02-25 17:34:26.360958] INFO: Blotter: match order [dt:2019-02-25 09:30:00+00:00,oid:444afe,symbol:600385.SHA,amount:13009.641747821497,filled:13009.641747821497,price:24.563529187451387,turnover:319562.7147908994,pos_effect:None]
[2019-02-25 17:34:26.362973] INFO: Blotter: cancel order oid:444afe, symbol:600385.SHA, reason:after trades 13009.641747821497
[2019-02-25 17:34:26.365490] INFO: Blotter: match order [dt:2019-02-25 09:30:00+00:00,oid:7840fe,symbol:002851.SZA,amount:5798.64691328201,filled:5798.64691328201,price:35.26313625385874,turnover:204478.47619108093,pos_effect:None]
[2019-02-25 17:34:26.367390] INFO: Blotter: cancel order oid:7840fe, symbol:002851.SZA, reason:after trades 5798.64691328201
[2019-02-25 17:34:26.380437] INFO: algo: daily_perf orders:[{'stop_reached': True, 'sid': Equity(115 [603990.SHA]), 'limit': None, 'commission': 441.6362895493957, 'id': '8d679ba6049148d98bb221c1d2d3913d', 'filled': -8400.061636899207, 'last_filled': 0, 'amount': -8400.061636899207, 'created': Timestamp('2019-02-26 15:00:00+0000', tz='UTC'), 'status': 1, 'limit_reached': True, 'stop': None, 'position_effect': None, 'reason': None, 'dt': Timestamp('2019-02-25 15:00:00+0000', tz='UTC')}, {'stop_reached': True, 'sid': Equity(3455 [600987.SHA]), 'limit': None, 'commission': 274.3025247196059, 'id': '44c531146ee64014bd3de3b7d818c921', 'filled': -5717.016454506091, 'last_filled': 0, 'amount': -5717.016454506091, 'created': Timestamp('2019-02-26 15:00:00+0000', tz='UTC'), 'status': 1, 'limit_reached': True, 'stop': None, 'position_effect': None, 'reason': None, 'dt': Timestamp('2019-02-25 15:00:00+0000', tz='UTC')}, {'stop_reached': True, 'sid': Equity(1598 [600385.SHA]), 'limit': None, 'commission': 95.86881443726982, 'id': '444afe6354314aedb7963c37728b21c2', 'filled': 13009.641747821497, 'last_filled': 13009.641747821497, 'amount': 13009.641747821497, 'created': Timestamp('2019-02-26 09:30:00+0000', tz='UTC'), 'status': 1, 'limit_reached': True, 'stop': None, 'position_effect': None, 'reason': None, 'dt': Timestamp('2019-02-25 15:00:00+0000', tz='UTC')}, {'stop_reached': True, 'sid': Equity(2992 [002851.SZA]), 'limit': None, 'commission': 61.34354285732427, 'id': '7840fee33c5b49d99d353c17e2adcf4f', 'filled': 5798.64691328201, 'last_filled': 5798.64691328201, 'amount': 5798.64691328201, 'created': Timestamp('2019-02-26 09:30:00+0000', tz='UTC'), 'status': 1, 'limit_reached': True, 'stop': None, 'position_effect': None, 'reason': None, 'dt': Timestamp('2019-02-25 15:00:00+0000', tz='UTC')}]
[2019-02-25 17:34:26.382842] INFO: algo: daily_perf positions:[{'sid': Equity(1598 [600385.SHA]), 'last_sale_price': 25.265291213989258, 'amount': 13009.641747821497, 'cost_basis': 24.563529187451387}, {'sid': Equity(2992 [002851.SZA]), 'last_sale_price': 36.25687026977539, 'amount': 5798.64691328201, 'cost_basis': 35.26313625385874}]
[2019-02-25 17:34:26.385107] INFO: algo: daily_perf pnl:564740.9988922465
[2019-02-25 17:34:26.387281] INFO: Performance: Simulated 1 trading days out of 1.
[2019-02-25 17:34:26.389301] INFO: Performance: first open: 2019-02-25 09:30:00+00:00
[2019-02-25 17:34:26.391299] INFO: Performance: last close: 2019-02-25 15:00:00+00:00
[2019-02-25 17:34:26.447944] INFO: forward_test: get last row of algo result_1:                            algorithm_period_return  alpha  \\\n2019-02-25 15:00:00+00:00                 1.084643      0   \n\n                           benchmark_period_return  beta  capital_used  \\\n2019-02-25 15:00:00+00:00                 0.059477     0  25807.822669   \n\n                             ending_cash   ending_value     long_value  \\\n2019-02-25 15:00:00+00:00  546477.565397  538933.176223  538933.176223   \n\n                           longs_count  max_drawdown  \n2019-02-25 15:00:00+00:00            2           0.0  
[2019-02-25 17:34:26.459153] INFO: forward_test: get last row of algo result_2:                                        period_close period_label  \\\n2019-02-25 15:00:00+00:00 2019-02-25 15:00:00+00:00      2019-02   \n\n                                        period_open            pnl  \\\n2019-02-25 15:00:00+00:00 2019-02-25 09:30:00+00:00  564740.998892   \n\n                           portfolio_value   returns  short_value  \\\n2019-02-25 15:00:00+00:00     1.085411e+06  1.084643            0   \n\n                           shorts_count  sortino  starting_cash  \\\n2019-02-25 15:00:00+00:00             0        0  520669.742728   \n\n                           starting_value  trading_days  \n2019-02-25 15:00:00+00:00             0.0             1  
[2019-02-25 17:34:26.551717] INFO: forward_test: get_orders new_orders 4:\n{'stop_reached': True, 'sid': Equity(115 [603990.SHA]), 'limit': None, 'commission': 441.6362895493957, 'id': '8d679ba6049148d98bb221c1d2d3913d', 'filled': -8400.061636899207, 'last_filled': 0, 'amount': -8400.061636899207, 'created': Timestamp('2019-02-26 15:00:00+0000', tz='UTC'), 'status': 1, 'limit_reached': True, 'stop': None, 'position_effect': None, 'reason': None, 'dt': Timestamp('2019-02-25 15:00:00+0000', tz='UTC')},\n{'stop_reached': True, 'sid': Equity(3455 [600987.SHA]), 'limit': None, 'commission': 274.3025247196059, 'id': '44c531146ee64014bd3de3b7d818c921', 'filled': -5717.016454506091, 'last_filled': 0, 'amount': -5717.016454506091, 'created': Timestamp('2019-02-26 15:00:00+0000', tz='UTC'), 'status': 1, 'limit_reached': True, 'stop': None, 'position_effect': None, 'reason': None, 'dt': Timestamp('2019-02-25 15:00:00+0000', tz='UTC')},\n{'stop_reached': True, 'sid': Equity(1598 [600385.SHA]), 'limit': None, 'commission': 95.86881443726982, 'id': '444afe6354314aedb7963c37728b21c2', 'filled': 13009.641747821497, 'last_filled': 13009.641747821497, 'amount': 13009.641747821497, 'created': Timestamp('2019-02-26 09:30:00+0000', tz='UTC'), 'status': 1, 'limit_reached': True, 'stop': None, 'position_effect': None, 'reason': None, 'dt': Timestamp('2019-02-25 15:00:00+0000', tz='UTC')},\n{'stop_reached': True, 'sid': Equity(2992 [002851.SZA]), 'limit': None, 'commission': 61.34354285732427, 'id': '7840fee33c5b49d99d353c17e2adcf4f', 'filled': 5798.64691328201, 'last_filled': 5798.64691328201, 'amount': 5798.64691328201, 'created': Timestamp('2019-02-26 09:30:00+0000', tz='UTC'), 'status': 1, 'limit_reached': True, 'stop': None, 'position_effect': None, 'reason': None, 'dt': Timestamp('2019-02-25 15:00:00+0000', tz='UTC')}, \njson_orders:\n
[2019-02-25 17:34:26.555176] INFO: forward_test: get_last_sale_date_dict: {'002851.SZA': '2019-02-25 15:00:00+00:00', '603990.SHA': '2019-02-22 15:00:00+00:00', '600385.SHA': '2019-02-25 15:00:00+00:00', '600987.SHA': '2019-02-22 15:00:00+00:00'}
[2019-02-25 17:34:26.700526] INFO: forward_test: get_positions_stocks position_value:538933.1762234817 new_positions:\n{'sid': Equity(1598 [600385.SHA]), 'last_sale_price': 25.265291213989258, 'amount': 13009.641747821497, 'cost_basis': 24.563529187451387},\n{'sid': Equity(2992 [002851.SZA]), 'last_sale_price': 36.25687026977539, 'amount': 5798.64691328201, 'cost_basis': 35.26313625385874} \njson_positions:\n{'amount_after_adjust': 31483, 'cost_basis_after_adjust': 10.15, 'price_after_adjust': 10.44, 'cost_basis': 24.5635, 'sid': '600385.SHA', 'last_sale_price': 25.27, 'value': 328692.39, 'date': '2019-02-25', 'last_sale_date': '2019-02-25 15:00:00+00:00', 'amount': 13009.641747821497, 'hold_days': 1, 'first_hold_date': '2019-02-25', 'cum_return': 9129.67, 'adjust_factor': 2.4200470447540283, 'name': '山东金泰'},\n{'amount_after_adjust': 8730, 'cost_basis_after_adjust': 23.42, 'price_after_adjust': 24.08, 'cost_basis': 35.2631, 'sid': '002851.SZA', 'last_sale_price': 36.26, 'value': 210240.79, 'date': '2019-02-25', 'last_sale_date': '2019-02-25 15:00:00+00:00', 'amount': 5798.64691328201, 'hold_days': 1, 'first_hold_date': '2019-02-25', 'cum_return': 5762.31, 'adjust_factor': 1.5056840181350708, 'name': '麦格米特'}
[2019-02-25 17:34:26.703300] INFO: forward_test: get_portfolio last_pv:1051590.30725489, current_pv:1085410.7416204475, json_portfolio:{'max_pv': 1085410.7416204475, 'today_return': 0.03216122679358239, 'annual_return': 6.759842026038103, 'cum_return': 0.08541074162044748, 'pv': 538933.1762234817, 'drawdown': 0.010743752488900585, 'first_date': '2019-02-12'}
[2019-02-25 17:34:26.705795] INFO: forward_test: get_transactions transaction 4:\n{'commission': 441.6362895493957, 'sid': Equity(115 [603990.SHA]), 'dt': Timestamp('2019-02-25 15:00:00+0000', tz='UTC'), 'order_id': '8d679ba6049148d98bb221c1d2d3913d', 'amount': -8400.061636899207, 'price': 40.44258690174427, 'transaction_money': -339720.2227303044, 'realizedPnl': 0.0, 'position_effect': None},\n{'commission': 274.3025247196059, 'sid': Equity(3455 [600987.SHA]), 'dt': Timestamp('2019-02-25 15:00:00+0000', tz='UTC'), 'order_id': '44c531146ee64014bd3de3b7d818c921', 'amount': -5717.016454506091, 'price': 36.90770243029388, 'transaction_money': -211001.94209200455, 'realizedPnl': 0.0, 'position_effect': None},\n{'commission': 95.86881443726982, 'sid': Equity(1598 [600385.SHA]), 'dt': Timestamp('2019-02-25 09:30:00+0000', tz='UTC'), 'order_id': '444afe6354314aedb7963c37728b21c2', 'amount': 13009.641747821497, 'price': 24.563529187451387, 'transaction_money': 319562.7147908994, 'realizedPnl': 0.0, 'position_effect': None},\n{'commission': 61.34354285732427, 'sid': Equity(2992 [002851.SZA]), 'dt': Timestamp('2019-02-25 09:30:00+0000', tz='UTC'), 'order_id': '7840fee33c5b49d99d353c17e2adcf4f', 'amount': 5798.64691328201, 'price': 35.26313625385874, 'transaction_money': 204478.47619108093, 'realizedPnl': 0.0, 'position_effect': None}
[2019-02-25 17:34:26.707897] INFO: forward_test: get_transactions total_buy:524041.19000000006, total_sell:-550722.1599999999, json_transaction:\n{'amount_after_adjust': -8480, 'value': -339720.22, 'commission': 441.64, 'price_after_adjust': 40.06, 'sid': '603990.SHA', 'date': '2019-02-25', 'amount': -8400.061636899207, 'direction': '卖', 'price': 40.44, 'cost': 441.64, 'adjust_factor': 1.0095549821853638, 'name': '麦迪科技', 'dt': '2019-02-25 15:00:00'},\n{'amount_after_adjust': -22934, 'value': -211001.94, 'commission': 274.3, 'price_after_adjust': 9.2, 'sid': '600987.SHA', 'date': '2019-02-25', 'amount': -5717.016454506091, 'direction': '卖', 'price': 36.91, 'cost': 274.3, 'adjust_factor': 4.011706829071045, 'name': '航民股份', 'dt': '2019-02-25 15:00:00'},\n{'amount_after_adjust': 31483, 'value': 319562.71, 'commission': 95.87, 'price_after_adjust': 10.15, 'sid': '600385.SHA', 'date': '2019-02-25', 'amount': 13009.641747821497, 'direction': '买', 'price': 24.56, 'cost': 95.87, 'adjust_factor': 2.4200470447540283, 'name': '山东金泰', 'dt': '2019-02-25 09:30:00'},\n{'amount_after_adjust': 8730, 'value': 204478.48, 'commission': 61.34, 'price_after_adjust': 23.42, 'sid': '002851.SZA', 'date': '2019-02-25', 'amount': 5798.64691328201, 'direction': '买', 'price': 35.26, 'cost': 61.34, 'adjust_factor': 1.5056840181350708, 'name': '麦格米特', 'dt': '2019-02-25 09:30:00'}
[2019-02-25 17:34:26.739211] INFO: forward_test: get_risk_indicators json_risk_indicator:{'volatility': 0.2421284682379661, 'beta': 0.46545913528353194, 'ir': -0.2000993299810164, 'sharpe': 8.550664082405326, 'alpha': 0.7230509168953139}
cum_return_plot: {}, before_shared_cum_return_plot: {}, after_shared_cum_return_plot: {}, benchmark_cum_return_plot: {}, hold_percent_plot: {} 10 0 0 10 10
[2019-02-25 17:34:26.947380] INFO: forward_test: new orders 0 for date 2019-02-25
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[2019-02-25 17:34:26.982231] INFO: forward_test: forward test result, new_cash 546477.565396966, extension {"need_settle": "False", "is_stock": "True", "order_price_field_buy": "open", "order_price_field_sell": "close"}

(iQuant) #2

您好,从日志上看您这个策略并没有运行报错,没有推送信号的原因应该是当天策略并没有选出符合要求的股票。