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View Code? Open in Web Editor NEWiTrader is a backtesting system that give uses a maximum flexibility to test their advanced trading strategy
iTrader is a backtesting system that give uses a maximum flexibility to test their advanced trading strategy
need to add a filter in data handler to use start_date
把 PnL 曲线图和股票价格图一起输出到一个图片保存起来
This should not happen in practice for tick level data streaming. However, in backtesting, it may happen when using large resolution like 1 min, 1 hour or 1 day k bar.
在 execution handler 中,scan_open_orders
这个函数用来扫描所有挂单和止损止盈单,�但之前的实现会在找到第一个需要处理的订单时就返回,导致其他订单没有机会处理。
应该把
for order in self.all_orders:
if xxxx:
fill_event = xxx
return fill_event
改成:
fill_events = []
for order in self.all_orders:
if xxxx:
fill_event = xxx
fill_events.append(fill_event)
中文:把结果保存到result文件夹,并规范命名
把运行结果输出到一个csv文件
CN: 增加 FXCM 的实时 tick 数据的 handler,用来做之后的实时的模拟盘交易和实盘交易。
Now the logic in execution handler takes too much presumption that when strategy opening new limit/stop order, it will close all the previous ones. While in practice, this should be the responsibility of strategy itself (e.g. calling related API in broker to cancel if needed), not execution handler.
elif event.type == 'ORDER' and \
(event.order_type == 'LMT' or event.order_type == 'STP'):
self._close_sametype_pending_orders_for(event)
self.all_orders.append(event)
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