网站空间管理平台,网站建设类岗位杭州,如何加强网站信息管理建设,网站关键词排名不稳定Backtrader 文档学习- Broker - Slippage
1.概述
回测无法保证真实的市场条件。无论市场模拟有多好#xff0c;在真实市场条件下都可能发生滑点。这意味着#xff1a;
请求的价格可能无法与真实市场的价格匹配 集成的回测broker支持滑点。以下参数可以传递给broker #…Backtrader 文档学习- Broker - Slippage
1.概述
回测无法保证真实的市场条件。无论市场模拟有多好在真实市场条件下都可能发生滑点。这意味着
请求的价格可能无法与真实市场的价格匹配 集成的回测broker支持滑点。以下参数可以传递给broker 具体参数见前一章。
2.How it works
滑点是如何工作的
为了决定何时应用滑点考虑订单执行类型
Close 不适用滑点 此订单与close价格匹配此价格是当天的最后一个价格。滑点不可能发生因为订单只能在会话的最后一个tick发生是一个唯一的价格没有容差。Market 应用滑点 请检查slip_open是否打开设置为True。因为Market订单将与下一个K线的开盘价格匹配。Limit 应用滑点遵循以下逻辑 如果匹配价格将是开盘价格则根据参数slip_open应用滑点。如果应用则价格永远不会比请求的limit价格更低差。如果匹配价格不是limit价格则应用滑点并将其限制在high/low上。在这种情况下slip_mlimit参数决定是否会在超过上限时发生匹配 。如果匹配价格是limit价格则不用滑点 。 Stop 一旦订单被触发则适用与Market订单相同的逻辑StopLimit 一旦订单被触发则适用与Limit订单相同的逻辑
滑点试图在模拟和可用数据的限制内提供最真实的可能回测交易方法 。
3.Configuring slippage
每次运行时cerebro引擎都会为每个运行实例化一个broker并使用默认参数。有两种方法可以更改设置操作
使用方法配置滑点
配置百分比的滑点 BackBroker.set_slippage_perc(perc, slip_openTrue, slip_limitTrue, slip_matchTrue, slip_outFalse) 配置固定点的滑点 BackBroker.set_slippage_fixed(fixed, slip_openTrue, slip_limitTrue, slip_matchTrue, slip_outFalse) 替换经纪人如下所示
import backtrader as btcerebro bt.Cerebro()
#0.5%的百分比滑点设置
cerebro.broker bt.brokers.BackBroker(slip_perc0.005) # 0.5%4. 示例
包含一个使用订单执行类型市场和使用信号的多头/空头方法的示例。 应该允许理解逻辑 无滑点运行和供以后参考的初始图
1无滑点
python ./slippage.py
01 2005-03-22 SELL Size: -1 / Price: 3040.55
02 2005-04-11 BUY Size: 1 / Price: 3088.47
03 2005-04-11 BUY Size: 1 / Price: 3088.47
04 2005-04-19 SELL Size: -1 / Price: 2948.38
05 2005-04-19 SELL Size: -1 / Price: 2948.38
06 2005-05-19 BUY Size: 1 / Price: 3034.88
07 2005-05-19 BUY Size: 1 / Price: 3034.88
08 2005-08-26 SELL Size: -1 / Price: 3258.45
09 2005-08-26 SELL Size: -1 / Price: 3258.45
10 2005-09-13 BUY Size: 1 / Price: 3353.61
11 2005-09-13 BUY Size: 1 / Price: 3353.61
12 2005-10-19 SELL Size: -1 / Price: 3330.00
13 2005-10-19 SELL Size: -1 / Price: 3330.00
14 2005-11-14 BUY Size: 1 / Price: 3405.94
15 2005-11-14 BUY Size: 1 / Price: 3405.94
16 2006-01-26 SELL Size: -1 / Price: 3578.92
17 2006-01-26 SELL Size: -1 / Price: 3578.92
18 2006-02-03 BUY Size: 1 / Price: 3677.05
19 2006-02-03 BUY Size: 1 / Price: 3677.05
20 2006-04-20 SELL Size: -1 / Price: 3820.93
21 2006-04-20 SELL Size: -1 / Price: 3820.93
22 2006-05-02 BUY Size: 1 / Price: 3839.24
23 2006-05-02 BUY Size: 1 / Price: 3839.24
24 2006-05-16 SELL Size: -1 / Price: 3711.46
25 2006-05-16 SELL Size: -1 / Price: 3711.46
26 2006-07-04 BUY Size: 1 / Price: 3664.59
27 2006-07-04 BUY Size: 1 / Price: 3664.59
28 2006-07-27 SELL Size: -1 / Price: 3649.29
29 2006-07-27 SELL Size: -1 / Price: 3649.29
30 2006-07-28 BUY Size: 1 / Price: 3671.71
31 2006-07-28 BUY Size: 1 / Price: 3671.71
32 2006-12-04 SELL Size: -1 / Price: 3935.81
33 2006-12-04 SELL Size: -1 / Price: 3935.81
34 2006-12-19 BUY Size: 1 / Price: 4121.01
35 2006-12-19 BUY Size: 1 / Price: 4121.01看第一个成交的原始数据 2005-03-22,3040.55,3053.18,3021.66,3050.44,0,0 用的是开盘价成交 。
2百分比滑点
python ./slippage.py --slip_perc 0.015
01 2005-03-22 SELL Size: -1 / Price: 3040.55
02 2005-04-11 BUY Size: 1 / Price: 3088.47
03 2005-04-11 BUY Size: 1 / Price: 3088.47
04 2005-04-19 SELL Size: -1 / Price: 2948.38
05 2005-04-19 SELL Size: -1 / Price: 2948.38
06 2005-05-19 BUY Size: 1 / Price: 3034.88
07 2005-05-19 BUY Size: 1 / Price: 3034.88
08 2005-08-26 SELL Size: -1 / Price: 3258.45
09 2005-08-26 SELL Size: -1 / Price: 3258.45
10 2005-09-13 BUY Size: 1 / Price: 3353.61
11 2005-09-13 BUY Size: 1 / Price: 3353.61
12 2005-10-19 SELL Size: -1 / Price: 3330.00
13 2005-10-19 SELL Size: -1 / Price: 3330.00
14 2005-11-14 BUY Size: 1 / Price: 3405.94
15 2005-11-14 BUY Size: 1 / Price: 3405.94
16 2006-01-26 SELL Size: -1 / Price: 3578.92
17 2006-01-26 SELL Size: -1 / Price: 3578.92
18 2006-02-03 BUY Size: 1 / Price: 3677.05
19 2006-02-03 BUY Size: 1 / Price: 3677.05
20 2006-04-20 SELL Size: -1 / Price: 3820.93
21 2006-04-20 SELL Size: -1 / Price: 3820.93
22 2006-05-02 BUY Size: 1 / Price: 3839.24
23 2006-05-02 BUY Size: 1 / Price: 3839.24
24 2006-05-16 SELL Size: -1 / Price: 3711.46
25 2006-05-16 SELL Size: -1 / Price: 3711.46
26 2006-07-04 BUY Size: 1 / Price: 3664.59
27 2006-07-04 BUY Size: 1 / Price: 3664.59
28 2006-07-27 SELL Size: -1 / Price: 3649.29
29 2006-07-27 SELL Size: -1 / Price: 3649.29
30 2006-07-28 BUY Size: 1 / Price: 3671.71
31 2006-07-28 BUY Size: 1 / Price: 3671.71
32 2006-12-04 SELL Size: -1 / Price: 3935.81
33 2006-12-04 SELL Size: -1 / Price: 3935.81
34 2006-12-19 BUY Size: 1 / Price: 4121.01
35 2006-12-19 BUY Size: 1 / Price: 4121.01对比没有变化。符合预期的行为。
执行类型Marketslip_open 未设置为TrueMarket订单与下一个bar的开盘价格匹配不允许open价格用滑点移动。
3百分比滑点slip_open
python ./slippage.py --slip_perc 0.015 --slip_open
01 2005-03-22 SELL Size: -1 / Price: 3021.66
02 2005-04-11 BUY Size: 1 / Price: 3088.47
03 2005-04-11 BUY Size: 1 / Price: 3088.47
04 2005-04-19 SELL Size: -1 / Price: 2948.38
05 2005-04-19 SELL Size: -1 / Price: 2948.38
06 2005-05-19 BUY Size: 1 / Price: 3055.14
07 2005-05-19 BUY Size: 1 / Price: 3055.14
08 2005-08-26 SELL Size: -1 / Price: 3224.10
09 2005-08-26 SELL Size: -1 / Price: 3224.10
10 2005-09-13 BUY Size: 1 / Price: 3358.04
11 2005-09-13 BUY Size: 1 / Price: 3358.04
12 2005-10-19 SELL Size: -1 / Price: 3280.05
13 2005-10-19 SELL Size: -1 / Price: 3280.05
14 2005-11-14 BUY Size: 1 / Price: 3426.51
15 2005-11-14 BUY Size: 1 / Price: 3426.51
16 2006-01-26 SELL Size: -1 / Price: 3577.98
17 2006-01-26 SELL Size: -1 / Price: 3577.98
18 2006-02-03 BUY Size: 1 / Price: 3696.00
19 2006-02-03 BUY Size: 1 / Price: 3696.00
20 2006-04-20 SELL Size: -1 / Price: 3820.93
21 2006-04-20 SELL Size: -1 / Price: 3820.93
22 2006-05-02 BUY Size: 1 / Price: 3864.19
23 2006-05-02 BUY Size: 1 / Price: 3864.19
24 2006-05-16 SELL Size: -1 / Price: 3692.35
25 2006-05-16 SELL Size: -1 / Price: 3692.35
26 2006-07-04 BUY Size: 1 / Price: 3670.75
27 2006-07-04 BUY Size: 1 / Price: 3670.75
28 2006-07-27 SELL Size: -1 / Price: 3649.29
29 2006-07-27 SELL Size: -1 / Price: 3649.29
30 2006-07-28 BUY Size: 1 / Price: 3711.41
31 2006-07-28 BUY Size: 1 / Price: 3711.41
32 2006-12-04 SELL Size: -1 / Price: 3927.40
33 2006-12-04 SELL Size: -1 / Price: 3927.40
34 2006-12-19 BUY Size: 1 / Price: 4121.01
35 2006-12-19 BUY Size: 1 / Price: 4121.01滑点设置起作用了非开盘价成交。
SELL滑点成交 3040.55 *1 - 0.0015 2994.94 成交范围在2994.94之内。看第一个成交的原始数据 2005-03-22,3040.55,3053.18,3021.66,3050.44,0,0 SELL成交价格使用的Low 最低价3021.66 。
BUY滑点成交 可以立即看到价格发生了变化。并且像交易35号一样分配的价格最差或相等。也用的是当天开盘价/最高价成交。 2006-12-19,4121.01,4121.01,4085.18,4100.48,0,0 BUY成交价格使用了当天的开盘价也是最高价成交。
再看一个BUY 的例子交易30号原始数据 2006-07-28,3671.71,3711.41,3659.67,3710.60,0,0 BUY是当天的最高价成交。
通过示例理解滑点 滑点的意义就是不可能买在预期的低价卖单不可能卖在预期的高点
买单可能高于预期价格买单可能低于预期价格
4百分比滑点slip_out
当然BT允许在希望的情况下匹配“高”-“低”范围之外的价格使用“slip_out”。激活它的运行
python ./slippage.py --slip_perc 0.015 --slip_open --slip_out
01 2005-03-22 SELL Size: -1 / Price: 2994.94
02 2005-04-11 BUY Size: 1 / Price: 3134.80
03 2005-04-11 BUY Size: 1 / Price: 3134.80
04 2005-04-19 SELL Size: -1 / Price: 2904.15
05 2005-04-19 SELL Size: -1 / Price: 2904.15
06 2005-05-19 BUY Size: 1 / Price: 3080.40
07 2005-05-19 BUY Size: 1 / Price: 3080.40
08 2005-08-26 SELL Size: -1 / Price: 3209.57
09 2005-08-26 SELL Size: -1 / Price: 3209.57
10 2005-09-13 BUY Size: 1 / Price: 3403.91
11 2005-09-13 BUY Size: 1 / Price: 3403.91
12 2005-10-19 SELL Size: -1 / Price: 3280.05
13 2005-10-19 SELL Size: -1 / Price: 3280.05
14 2005-11-14 BUY Size: 1 / Price: 3457.03
15 2005-11-14 BUY Size: 1 / Price: 3457.03
16 2006-01-26 SELL Size: -1 / Price: 3525.24
17 2006-01-26 SELL Size: -1 / Price: 3525.24
18 2006-02-03 BUY Size: 1 / Price: 3732.21
19 2006-02-03 BUY Size: 1 / Price: 3732.21
20 2006-04-20 SELL Size: -1 / Price: 3763.62
21 2006-04-20 SELL Size: -1 / Price: 3763.62
22 2006-05-02 BUY Size: 1 / Price: 3896.83
23 2006-05-02 BUY Size: 1 / Price: 3896.83
24 2006-05-16 SELL Size: -1 / Price: 3655.79
25 2006-05-16 SELL Size: -1 / Price: 3655.79
26 2006-07-04 BUY Size: 1 / Price: 3719.56
27 2006-07-04 BUY Size: 1 / Price: 3719.56
28 2006-07-27 SELL Size: -1 / Price: 3594.55
29 2006-07-27 SELL Size: -1 / Price: 3594.55
30 2006-07-28 BUY Size: 1 / Price: 3726.79
31 2006-07-28 BUY Size: 1 / Price: 3726.79
32 2006-12-04 SELL Size: -1 / Price: 3876.77
33 2006-12-04 SELL Size: -1 / Price: 3876.77
34 2006-12-19 BUY Size: 1 / Price: 4182.83
35 2006-12-19 BUY Size: 1 / Price: 4182.83第一个SELL单 3040.55 *1 - 0.0015 2994.94 2994.94 没有在当天的价格中出现以不在最高和最低价格中成交的滑点价格。 2005-03-22,3040.55,3053.18,3021.66,3050.44,0,0 最后一个BUY单 价格显然超出了范围。只需查看操作35它已在“4182.83”处匹配。快速检查本文档中的图表可以看到该资产从未接近过该价格。 2006-12-19,4121.01,4121.01,4085.18,4100.48,0,0 5百分比滑点no-slip_match
“slip_match”默认为“True”这意味着BT提供了匹配无论是带有限制的价格还是不带限制的价格 。
python ./slippage.py --slip_perc 0.015 --slip_open --no-slip_match
01 2005-04-15 SELL Size: -1 / Price: 3028.10
02 2005-06-01 BUY Size: 1 / Price: 3124.03
03 2005-06-01 BUY Size: 1 / Price: 3124.03
04 2005-10-06 SELL Size: -1 / Price: 3365.57
05 2005-10-06 SELL Size: -1 / Price: 3365.57
06 2005-12-01 BUY Size: 1 / Price: 3499.95
07 2005-12-01 BUY Size: 1 / Price: 3499.95
08 2006-02-28 SELL Size: -1 / Price: 3782.71
09 2006-02-28 SELL Size: -1 / Price: 3782.71
10 2006-05-23 BUY Size: 1 / Price: 3594.68
11 2006-05-23 BUY Size: 1 / Price: 3594.68
12 2006-11-27 SELL Size: -1 / Price: 3984.37
13 2006-11-27 SELL Size: -1 / Price: 3984.372005-04-15,3074.21,3074.21,3013.79,3013.89,0,0 3074.21 * 1 - 0.015 3028.10 这个价格符合在最高价3074.21 和 最低价 3013.79 中间的价格并且符合滑点。如果是市场上实际交易这个价格一定是存在的。
结果让人震惊操作成交的数量从35下降到13。 理由 禁用“slip_match”会禁止匹配操作如果滑点将匹配价格推到bar的“高”以上或“低”以下。似乎在请求的滑点“1.5%”左右有22个操作未能执行。
以上示例应该展示了不同的滑点选项如何一起工作。
5. 代码
#!/usr/bin/env python
# -*- coding: utf-8; py-indent-offset:4 -*-
###############################################################################
#
# Copyright (C) 2015-2023 Daniel Rodriguez
#
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program. If not, see http://www.gnu.org/licenses/.
#
###############################################################################
from __future__ import (absolute_import, division, print_function,unicode_literals)import argparse
import collections
import datetime
import itertoolsimport backtrader as btclass SMACrossOver(bt.Indicator):lines (signal,)params ((p1, 10), (p2, 30),)def __init__(self):sma1 bt.indicators.SMA(periodself.p.p1)sma2 bt.indicators.SMA(periodself.p.p2)self.lines.signal bt.indicators.CrossOver(sma1, sma2)class SlipSt(bt.SignalStrategy):opcounter itertools.count(1)def notify_order(self, order):if order.status bt.Order.Completed:t t {:02d}.format(next(self.opcounter))t {}.format(order.data.datetime.date())t BUY * order.isbuy() or SELLt Size: {:d} / Price: {:.2f}print(t.format(order.executed.size, order.executed.price))def runstrat(argsNone):args parse_args(args)cerebro bt.Cerebro()cerebro.broker.set_cash(args.cash)dkwargs dict()if args.fromdate is not None:fromdate datetime.datetime.strptime(args.fromdate, %Y-%m-%d)dkwargs[fromdate] fromdateif args.todate is not None:todate datetime.datetime.strptime(args.todate, %Y-%m-%d)dkwargs[todate] todate# if dataset is None, args.data has been givendata bt.feeds.BacktraderCSVData(datanameargs.data, **dkwargs)cerebro.adddata(data)cerebro.signal_strategy(SlipSt)if not args.longonly:stype bt.signal.SIGNAL_LONGSHORTelse:stype bt.signal.SIGNAL_LONGcerebro.add_signal(stype, SMACrossOver, p1args.period1, p2args.period2)if args.slip_perc is not None:cerebro.broker.set_slippage_perc(args.slip_perc,slip_openargs.slip_open,slip_matchnot args.no_slip_match,slip_outargs.slip_out)elif args.slip_fixed is not None:cerebro.broker.set_slippage_fixed(args.slip_fixed,slip_openargs.slip_open,slip_matchnot args.no_slip_match,slip_outargs.slip_out)cerebro.run()if args.plot:pkwargs dict(stylebar)if args.plot is not True: # evals to True but is not Truenpkwargs eval(dict( args.plot )) # args were passedpkwargs.update(npkwargs)cerebro.plot(**pkwargs)def parse_args(pargsNone):parser argparse.ArgumentParser(formatter_classargparse.ArgumentDefaultsHelpFormatter,descriptionSample for Slippage)parser.add_argument(--data, requiredFalse,default./datas/2005-2006-day-001.txt,helpSpecific data to be read in)parser.add_argument(--fromdate, requiredFalse, defaultNone,helpStarting date in YYYY-MM-DD format)parser.add_argument(--todate, requiredFalse, defaultNone,helpEnding date in YYYY-MM-DD format)parser.add_argument(--cash, requiredFalse, actionstore,typefloat, default50000,help(Cash to start with))parser.add_argument(--period1, requiredFalse, actionstore,typeint, default10,help(Fast moving average period))parser.add_argument(--period2, requiredFalse, actionstore,typeint, default30,help(Slow moving average period))parser.add_argument(--longonly, requiredFalse, actionstore_true,help(Long only strategy))pgroup parser.add_mutually_exclusive_group(requiredFalse)pgroup.add_argument(--slip_perc, requiredFalse, defaultNone,typefloat,helpSet the value for commission percentage)pgroup.add_argument(--slip_fixed, requiredFalse, defaultNone,typefloat,helpSet the value for commission percentage)parser.add_argument(--no-slip_match, requiredFalse, actionstore_true,help(Match by capping slippage at bar ends))parser.add_argument(--slip_out, requiredFalse, actionstore_true,help(Disable capping and return non-real prices))parser.add_argument(--slip_open, requiredFalse, actionstore_true,help(Slip even if match price is next open))# Plot optionsparser.add_argument(--plot, -p, nargs?, requiredFalse,metavarkwargs, constTrue,help(Plot the read data applying any kwargs passed\n\nFor example:\n\n --plot stylecandle (to plot candles)\n))if pargs is not None:return parser.parse_args(pargs)return parser.parse_args()if __name__ __main__:runstrat()
