发明者本地回测平台python版[博]

原创博客地址：发明者本地回测平台python版[博]

网页版策略开发问题
1,没有自动提示
2,tab自动4个空格，问题是编译器无法识别4个空格，只能再把自动填充4空格改成tab
另一方面，官方提供安装指引过于简陋,连基本的python版本都没有说明。
官方python编译器版本为3.6.9

 

1 2	import platform # 版本信息 Log(platform.python_version())

本文基于ubuntu18

建立conda环境

 

1 2	conda create -n fmz python=3.7 conda activate fmz

安装pip

 

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sudo apt-get install python3-pip python -m pip install --upgrade pip pip install https://github.com/fmzquant/backtest_python/archive/master.zip

运行demo程序

 

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vim test01.py 以下内容粘贴进去 # !/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}] ''' from fmz import * import math import talib task = VCtx(__doc__) # initialize backtest engine from __doc__ # ------------------------------ 策略部分开始 -------------------------- print (exchange.GetAccount()) # 调用一些接口，打印其返回值。 print (exchange.GetTicker()) def adjustFloat(v): # 策略中自定义的函数 v = math.floor(v * 1000) return v / 1000 def onTick(): Log("onTick") # 具体的策略代码 def main(): InitAccount = GetAccount() while True: onTick() Sleep(1000) # ------------------------------ 策略部分结束 -------------------------- try: main() # 回测结束时会 raise EOFError() 抛出异常，来停止回测的循环。所以要对这个异常处理，在检测到抛出的异常后调用 task.Join() 打印回测结果。 except: print (task.Join())

执行回测

 

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python test01.py 回测结果 { 'Balance': 10000.0, 'FrozenBalance': 0.0, 'Stocks': 3.0, 'FrozenStocks': 0.0 } { 'Time': 1518969600000, 'High': 10632.001, 'Low': 10631.999, 'Sell': 10632.001, 'Buy': 10631.999, 'Last': 10632.0, 'Volume': 0.0, 'OpenInterest': 0.0 } b 字符串，转为json后 { "Chart": { "Cfg": "", "Datas": [] }, "Elapsed": 534000000, "Finished": true, "Indicators": {}, "LoadBytes": 522026, "LoadElapsed": 490000000, "LogsCount": 0, "Profit": 0.0, "ProfitLogs": [], "Progress": 100.0, "RuntimeLogs": [], "Snapshorts": [ [1518883200000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": null, "TradeStatus": {} }]], [1518969600000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": null, "TradeStatus": {} }]], [1519056000000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 11168.0 } }, "TradeStatus": {} }]], [1519142400000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 11508.0 } }, "TradeStatus": {} }]], [1519228800000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 10558.0 } }, "TradeStatus": {} }]], [1519315200000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 9995.12 } }, "TradeStatus": {} }]], [1519401600000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 10300.0 } }, "TradeStatus": {} }]], [1519488000000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 9730.1 } }, "TradeStatus": {} }]], [1519574400000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 9399.0 } }, "TradeStatus": {} }]], [1519660800000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 10259.0 } }, "TradeStatus": {} }]], [1519747200000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 10578.0 } }, "TradeStatus": {} }]], [1519833600000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 10506.0 } }, "TradeStatus": {} }]], [1519920000000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 10715.9 } }, "TradeStatus": {} }]], [1520006400000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 10840.0 } }, "TradeStatus": {} }]], [1520092800000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 11470.0 } }, "TradeStatus": {} }]], [1520179200000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 11141.0 } }, "TradeStatus": {} }]], [1520265600000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 11508.0 } }, "TradeStatus": {} }]], [1520352000000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 10972.7 } }, "TradeStatus": {} }]], [1520438400000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 10661.0 } }, "TradeStatus": {} }]], [1520524800000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 9944.1 } }, "TradeStatus": {} }]], [1520611200000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 9944.1 } }, "TradeStatus": {} }]], [1520697600000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 9363.9 } }, "TradeStatus": {} }]], [1520784000000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 9200.0 } }, "TradeStatus": {} }]], [1520870400000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 9594.1 } }, "TradeStatus": {} }]], [1520956800000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 9089.5 } }, "TradeStatus": {} }]], [1521043200000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 8719.6 } }, "TradeStatus": {} }]], [1521129600000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 8092.9 } }, "TradeStatus": {} }]], [1521216000000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 8551.3 } }, "TradeStatus": {} }]], [1521302400000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 7888.1 } }, "TradeStatus": {} }]], [1521388800000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 7378.5 } }, "TradeStatus": {} }]], [1521475200000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 8559.0 } }, "TradeStatus": {} }]], [1521561600000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 8517.0 } }, "TradeStatus": {} }]], [1521648000000, [{ "Balance": 10000.0, "BaseCurrency": "BTC", "Commission": 0.0, "FrozenBalance": 0.0, "FrozenStocks": 0.0, "Id": "Bitfinex", "QuoteCurrency": "USD", "Stocks": 3.0, "Symbols": { "BTC_USD_Bitfinex": { "Last": 9024.6 } }, "TradeStatus": {} }]] ], "Status": "", "Task": { "Args": null, "Exchanges": [{ "Balance": 10000, "BaseCurrency": "BTC", "BasePeriod": 300000, "BasePrecision": 4, "DepthAmount": 20, "DepthDeep": 5, "FaultTolerant": 0, "FeeDenominator": 5, "FeeMaker": 200, "FeeMin": 0, "FeeTaker": 200, "Id": "Bitfinex", "Label": "Bitfinex", "PriceTick": 0.001, "QuoteCurrency": "USD", "QuotePrecision": 4, "SlipPoint": 0, "Stocks": 3 }], "Options": { "DataServer": "q.fmz.com", "MaxChartLogs": 800, "MaxProfitLogs": 800, "MaxRuntimeLogs": 800, "NetDelay": 200, "Period": 900000, "RetFlags": 445, "SnapshortPeriod": 86400000, "TimeBegin": 1518969600, "TimeEnd": 1521691200, "UpdatePeriod": 5000 } }, "TaskStatus": 1, "Time": 1521691200000 }

这个回测结果，谁晓得啥意思，我是没看懂，没有各字段说明文档,有些能猜到，还有些就不晓得了。
而且作为回测，最基本的净值图也没有，这让人情何以堪啊。完全无法晓得策略表现。

放弃

综上所述，放弃使用fmz本地回测功能。但是fmz的线上编码难以调试，最佳方案是用其他工具进行idea-策略开发，然后迁移到fmz上回测+实盘。

参考:https://www.fmz.com/bbs-topic/4183
https://github.com/fmzquant/backtest_python/blob/master/README.md