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# 本代码由可视化策略环境自动生成 2021年3月24日16:45
# 本代码单元只能在可视化模式下编辑。您也可以拷贝代码，粘贴到新建的代码单元或者策略，然后修改。


# 回测引擎：初始化函数，只执行一次
def m3_initialize_bigquant_run(context):
    context.set_commission(PerOrder(buy_cost=0.0003, sell_cost=0.0013, min_cost=5))

# 回测引擎：每日数据处理函数，每天执行一次
def m3_handle_data_bigquant_run(context, data):
    # 按日期过滤得到今日的预测数据
    buy_instruments = context.instruments[:5]
    cash = context.portfolio.cash
    value = context.portfolio.positions_value
    positions = {e.symbol: v.amount * v.cost_basis for e,v in context.portfolio.positions.items()}
    for i, instrument in enumerate(buy_instruments):
        if cash < value and positions.get(instrument,0) > 0:
            context.order_target(instrument,0)
            cash += positions[instrument]
        elif cash > value and positions.get(instrument,0) == 0:
            buy_cash = (cash - value)/5
            context.order_value(instrument,buy_cash)
# 回测引擎：准备数据，只执行一次
def m3_prepare_bigquant_run(context):
    pass

# 回测引擎：每个单位时间开始前调用一次，即每日开盘前调用一次。
def m3_before_trading_start_bigquant_run(context, data):
    pass


m1 = M.input_csv.v5(
    file='/home/bigquant/work/userlib/data.csv',
    coding='utf8',
    dtypes={},
    date_type='%Y-%m-%d',
    date_cols=['date']
)

m2 = M.instruments.v2(
    start_date=T.live_run_param('trading_date', '2020-01-01'),
    end_date=T.live_run_param('trading_date', '2020-03-01'),
    market='CN_STOCK_A',
    instrument_list='',
    max_count=0
)

m3 = M.trade.v4(
    instruments=m2.data,
    history_ds=m1.data,
    start_date='',
    end_date='',
    initialize=m3_initialize_bigquant_run,
    handle_data=m3_handle_data_bigquant_run,
    prepare=m3_prepare_bigquant_run,
    before_trading_start=m3_before_trading_start_bigquant_run,
    volume_limit=0.025,
    order_price_field_buy='open',
    order_price_field_sell='close',
    capital_base=1000000,
    auto_cancel_non_tradable_orders=True,
    data_frequency='daily',
    price_type='真实价格',
    product_type='股票',
    plot_charts=True,
    backtest_only=False,
    benchmark='000300.HIX'
)

[2021-03-24 16:38:58.509654] INFO: moduleinvoker: input_csv.v5 开始运行..

[2021-03-24 16:38:58.516215] INFO: moduleinvoker: 命中缓存

[2021-03-24 16:38:58.517610] INFO: moduleinvoker: input_csv.v5 运行完成[0.007971s].

[2021-03-24 16:38:58.519689] INFO: moduleinvoker: instruments.v2 开始运行..

[2021-03-24 16:38:58.524203] INFO: moduleinvoker: 命中缓存

[2021-03-24 16:38:58.525219] INFO: moduleinvoker: instruments.v2 运行完成[0.005528s].

[2021-03-24 16:38:58.576283] INFO: moduleinvoker: backtest.v8 开始运行..

[2021-03-24 16:38:58.581191] INFO: backtest: biglearning backtest:V8.5.0

[2021-03-24 16:38:58.582126] INFO: backtest: product_type:stock by specified

[2021-03-24 16:38:58.731551] INFO: algo: TradingAlgorithm V1.8.1

[2021-03-24 16:38:58.804925] INFO: algo: trading transform...

[2021-03-24 16:38:58.978992] INFO: Performance: Simulated 36 trading days out of 36.

[2021-03-24 16:38:58.980452] INFO: Performance: first open: 2020-01-02 09:30:00+00:00

[2021-03-24 16:38:58.981444] INFO: Performance: last close: 2020-02-28 15:00:00+00:00

[2021-03-24 16:38:59.764753] INFO: moduleinvoker: backtest.v8 运行完成[1.188461s].

[2021-03-24 16:38:59.766129] INFO: moduleinvoker: trade.v4 运行完成[1.238877s].

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