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719 lines
23 KiB
719 lines
23 KiB
<template>
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<card>
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<div class="row">
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<div class="col-md-6">
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<div class="row">
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<div class="col-md-3">
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<base-button @click="excelImport">导入数据源</base-button>
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</div>
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<div class="col-md-4">
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<base-input>
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<el-date-picker
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class="select-danger"
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v-model="startTime"
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type="datetime"
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placeholder="选择开始日期与时间"
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>
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</el-date-picker>
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</base-input>
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</div>
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<div class="col-md-4">
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<base-input>
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<el-date-picker
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v-model="endTime"
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type="datetime"
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placeholder="选择结束日期与时间"
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@change="timepIkcer"
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>
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</el-date-picker>
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</base-input>
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</div>
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</div>
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</div>
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<div class="col-md-6">
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<el-select
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class="select-danger"
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style="width:200px"
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placeholder="策略选择"
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v-model="policyMode"
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>
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<el-option
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v-for="item in RobotPolicyType"
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class="select-danger"
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:label="item.title"
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:key="item.value"
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:value="item.value"
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>
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</el-option>
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</el-select>
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<base-button @click="executeTest" class="ml-2">执行回测</base-button>
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<base-button class="ml-2">重置回测</base-button>
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</div>
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</div>
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<!-- <a-row type="flex">
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<a-col :span="16">
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<a-row type="flex"
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><a-col><a-button @click="excelImport">导入数据源</a-button></a-col
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><a-col :offset="1"
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><a-date-picker v-model="startTime"></a-date-picker></a-col
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><a-col :offset="1"
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><a-date-picker v-model="endTime"></a-date-picker></a-col
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><a-col :offset="1"
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><a-select
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v-model="policyMode"
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placeholder="选择策略"
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style="width:160px"
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>
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<a-select-option
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v-for="i in RobotPolicyType"
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:key="i.value"
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:value="i.value"
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>
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{{ i.title }}</a-select-option
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>
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</a-select></a-col
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>
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</a-row></a-col
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>
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<a-col :span="4">
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<a-row type="flex">
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<a-col><a-button @click="executeTest">执行回测</a-button></a-col>
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<a-col :offset="1"> <a-button>重置回测</a-button></a-col>
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</a-row>
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</a-col>
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</a-row> -->
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<div>
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<el-tabs value="1">
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<el-tab-pane name="1" label="K线图表">
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<div class="row">
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<div class="col-md-3">
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<p class="form-label">文件列表</p>
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<el-select
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class="select-danger"
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style="width:200px"
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placeholder="不限"
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v-model="lineSelect"
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@change="onKlineExcelChange"
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>
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<el-option
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v-for="item in kLinesFromExcels"
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class="select-danger"
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:label="item.name"
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:key="item.name"
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:value="item.name"
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>
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</el-option>
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</el-select>
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</div>
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<div class="col-md-2">
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<p class="form-label">购买信号数显示过滤：</p>
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<el-select
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class="select-danger"
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style="width:100px"
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placeholder="不限"
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v-model="keyFilter.buy"
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@change="changeFilter($event, 1)"
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>
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<el-option
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v-for="item in buyPointCountList"
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class="select-danger"
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:value="item.value"
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:label="item.title"
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:key="item.value"
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>
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</el-option>
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</el-select>
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</div>
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<div class="col-md-2">
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<p class="form-label">卖出信号数显示过滤：</p>
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<el-select
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class="select-danger"
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style="width:100px"
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placeholder="不限"
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v-model="keyFilter.sale"
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@change="changeFilter($event, 0)"
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>
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<el-option
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v-for="item in salePointCountList"
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class="select-danger"
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:value="item.value"
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:label="item.title"
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:key="item.value"
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>
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</el-option>
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</el-select>
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</div>
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</div>
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<!-- k线Excel选择 -->
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<KLine :data="kLineData" :keyFilter="keyFilter" />
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<!-- <HQKline /> -->
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</el-tab-pane>
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<el-tab-pane name="2" label="编译策略">
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<movement-policy-form
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v-if="policyMode == 0"
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v-model="policyFormData"
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/>
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<!-- <top-end-policy v-else v-model="policyFormData" /> -->
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</el-tab-pane>
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</el-tabs>
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</div>
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<div>
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<el-tabs value="1">
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<!-- 交易清单 -->
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<el-tab-pane name="1" label="交易清单">
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<order-table v-model="tradeData"></order-table>
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</el-tab-pane>
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<!-- 信号记录 -->
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<el-tab-pane name="2" label="信号记录">
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根据时间范围筛选信号记录：
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<!-- <a-range-picker
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style="margin: 10px 0"
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v-model="dateRange"
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:show-time="{ format: 'HH:mm' }"
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format="YYYY-MM-DD HH:mm"
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:placeholder="['开始时间', '结束时间']"
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@change="onOk"
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/> -->
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<el-date-picker
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v-model="dateRange"
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type="datetimerange"
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range-separator="~"
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start-placeholder="开始日期"
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end-placeholder="结束日期"
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@change="onOk"
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>
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</el-date-picker>
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<custom-base-table
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size="small"
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:columns="logColumns"
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:dataSource="logData.filter(logShowCondition)"
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>
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<template slot="LogType" slot-scope="text">
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{{ LogTypes.filter(item => item.value == text)[0].title }}
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</template>
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</custom-base-table>
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</el-tab-pane>
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<!-- 绩效总结 -->
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<el-tab-pane name="3" label="绩效总结">
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<account-info v-model="accountInfo" />
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</el-tab-pane>
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</el-tabs>
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</div>
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</card>
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</template>
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<script>
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/* eslint-disable */
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import { tradeColumns, logColumns } from "../prePages/js/columns";
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import Excel from "../../utils/ExcelUtils";
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import KLine from "../../oldComponents/EchartTable/kLine";
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// import HQKline from "../../oldComponents/EchartTable/hqKline";
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import { secToMin } from "../../utils/TimeUtils";
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import AccountInfo from "./AccountInfo";
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import {
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RobotPolicyType,
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ResetMomentumWaveTest,
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LogTypes
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} from "../prePages/js/selectoptions";
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import MovementPolicyForm from "../../components/MovementPolicyForm";
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import moment from "moment";
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import OrderTable from "./OrderTable";
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import CustomBaseTable from "../../components/CustomBaseTable.vue";
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// import TopEndPolicy from "../components/TopEndPolicy.vue";
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export default {
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components: {
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KLine,
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AccountInfo,
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MovementPolicyForm,
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OrderTable,
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CustomBaseTable
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// HQKline
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// TopEndPolicy
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},
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data() {
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return {
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moment,
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secToMin,
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LogTypes,
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spinning: false,
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lineSelect: "",
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kLinesFromExcels: [],
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tradeColumns,
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logColumns,
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logData: [],
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RobotPolicyType,
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policyMode: 0,
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tradeData: [],
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startTime: null,
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endTime: null,
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kLineData: {},
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keyFilter: {},
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policyFormData: {},
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kLineDataList: [],
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dateRange: [],
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accountInfo: {},
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topTempDataList: [],
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buyPointCountList: [],
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salePointCountList: [],
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logShowCondition: i => true
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};
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},
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mounted() {
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this.policyFormData = ResetMomentumWaveTest;
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},
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methods: {
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onOk(value) {
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this.logShowCondition = item =>
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moment(item.CreateTime).isBetween(moment(value[0]), moment(value[1]));
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},
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changeFilter(value, type) {
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console.log(value, type);
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this.keyFilter = Object.assign({}, this.keyFilter);
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},
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splitData(rawData) {
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var categoryData = [];
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var keyPoint = [];
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var values = [];
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this.buyPointCountList = [];
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this.salePointCountList = [];
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for (var i = 0; i < rawData.length; i++) {
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categoryData.push(rawData[i].splice(0, 1)[0]);
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let buyKey = rawData[i].splice(4, 1)[0];
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if (buyKey && JSON.stringify(buyKey) != "{}") {
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keyPoint.push(buyKey);
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if (!this.buyPointCountList.some(item => item.value == buyKey.value))
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this.buyPointCountList.push(buyKey);
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}
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let saleKey = rawData[i].splice(4, 1)[0];
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if (saleKey && JSON.stringify(saleKey) != "{}") {
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keyPoint.push(saleKey);
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if (
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!this.salePointCountList.some(item => item.value == saleKey.value)
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)
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this.salePointCountList.push(saleKey);
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}
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values.push(rawData[i]);
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}
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console.log({
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categoryData,
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values,
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keyPoint
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});
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return {
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categoryData,
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values,
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keyPoint
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};
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},
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//选择不同的excel表展示
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onKlineExcelChange(model) {
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console.log(model);
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if (
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this.kLinesFromExcels &&
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this.kLinesFromExcels.length > 0 &&
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this.kLinesFromExcels.some(item => item.name == model)
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) {
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let result = [];
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if (this.policyMode == 0) {
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let data = this.kLinesFromExcels.filter(item => item.name == model)[0]
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.data;
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let temp = this.mutateData(data); //分别操作出接口需要的data和图标data
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result = this.splitData(temp.kLineData); //图表data处理
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this.kLineDataList = temp.postData;
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this.kLineData = result;
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} else {
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let index = 0;
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for (let i = 0; i < this.kLinesFromExcels.length; i++) {
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if (this.kLinesFromExcels[i].name == model) {
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index = i;
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break;
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}
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}
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let temp = this.topMutateData(this.topTempDataList[index]);
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result = this.splitData(temp.kLineData); //图表data处理
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this.kLineData = result;
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}
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}
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},
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excelImport() {
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let that = this;
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let result = [];
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this.spinning = true;
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Excel.importExcel(data => {
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that.spinning = false;
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if (data && data[0]) {
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if (this.policyMode == 1) {
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this.kLinesFromExcels = data;
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this.lineSelect = data[0].name;
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let _data = [];
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data.forEach(element => {
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_data.push(element.data);
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});
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this.topEndMutateData(_data);
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console.log("final", _data);
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this.topTempDataList = _data;
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let temp = that.topMutateData(_data[0]);
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result = this.splitData(temp.kLineData); //图表data处理
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this.kLineData = result;
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} else {
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this.kLinesFromExcels = data;
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this.lineSelect = data[0].name;
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let temp = that.mutateData(data[0].data); //分别操作出接口需要的data和图标data
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result = this.splitData(temp.kLineData); //图表data处理
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console.log("what i got", result);
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this.kLineDataList = temp.postData;
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this.kLineData = result;
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}
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}
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});
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},
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//顶底策略数据处理
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topEndMutateData(data) {
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if (data && data[0]) {
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let originalArray = data[0];
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var offset = [];
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for (let oi = 1; oi < originalArray.length; oi++) {
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let target = originalArray[oi];
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var redTotal = target[5] == 1 ? 1 : 0; //以首表Red[5]为初始值
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var greenTotal = target[6] == 1 ? 1 : 0;
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// console.log(
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// "为时间戳:" + target[0] + "找匹配",
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// " redTotal:" + redTotal
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// );
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for (let di = 1; di < data.length; di++) {
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let r = this.getOffset(
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offset,
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target,
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data,
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oi,
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di,
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redTotal,
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greenTotal
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);
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if (r && r.redTotal) redTotal = r.redTotal;
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if (r && r.greenTotal) greenTotal = r.greenTotal;
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}
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target[7] = target[5] == 1 ? redTotal : 0;
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target[8] = target[6] == 1 ? greenTotal : 0;
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for (let tempIndex = 1; tempIndex < data.length; tempIndex++) {
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if (data[tempIndex][oi + offset[tempIndex]]) {
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let condition = data[tempIndex][oi + offset[tempIndex]][5] == 1;
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data[tempIndex][oi + offset[tempIndex]][7] = condition
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? redTotal
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: 0;
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let condition2 = data[tempIndex][oi + offset[tempIndex]][6] == 1;
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data[tempIndex][oi + offset[tempIndex]][8] = condition2
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? greenTotal
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: 0;
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}
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}
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}
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}
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},
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//得出offset计算
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getOffset(offset, target, source, tIndex, sIndex, redTotal, greenTotal) {
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// console.log(offset);
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if (offset[sIndex] == null || offset[sIndex] == undefined)
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offset[sIndex] = 0;
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// console.log(target[0], source[sIndex][tIndex + offset[sIndex]][0]);
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//先判读同个索引是否对其有对应时间戳
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if (!source[sIndex][tIndex + offset[sIndex]]) return;
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if (target[0] == source[sIndex][tIndex + offset[sIndex]][0]) {
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//相同索引有时间戳的
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redTotal =
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redTotal + (source[sIndex][tIndex + offset[sIndex]][5] == 1 ? 1 : 0);
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greenTotal =
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greenTotal +
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(source[sIndex][tIndex + offset[sIndex]][6] == 1 ? 1 : 0);
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// console.log(
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// target[0],
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// redTotal,
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// source[sIndex][tIndex + offset[sIndex]][0],
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// "找到相等的"
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// );
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return { redTotal, greenTotal };
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} else if (target[0] > source[sIndex][tIndex + offset[sIndex]][0]) {
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// console.log("目标大", offset[sIndex]);
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//目标时间戳大于比对的时间戳
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offset[sIndex] = offset[sIndex] + 1;
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this.getOffset(
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offset,
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target,
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source,
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tIndex,
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sIndex,
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redTotal,
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greenTotal
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);
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} else if (target[0] < source[sIndex][tIndex + offset[sIndex]][0]) {
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offset[sIndex] = offset[sIndex] - 1;
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// console.log("目标小", offset);
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//目标时间戳小于比对的时间戳
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return;
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}
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},
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|
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//动量回测数据处理
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mutateData(data) {
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let result = [];
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|
let postResult = [];
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|
if (data.length > 1) {
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for (let i = 0; i < data.length; i++) {
|
|
if (i == 0) continue;
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let subArray = [];
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|
let postObj = { N: null };
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|
for (let j = 0; j < data[i].length; j++) {
|
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if (j == 0) {
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if (
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this.startTime &&
|
|
this.endTime &&
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!moment(data[i][j] * 1000).isBetween(
|
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moment(this.startTime),
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moment(this.endTime)
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)
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) {
|
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break;
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} else if (
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this.startTime &&
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!moment(data[i][j] * 1000).isAfter(moment(this.startTime))
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) {
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break;
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}
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subArray[0] = moment(data[i][j] * 1000).format(
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"YYYY-MM-DD HH:mm:ss"
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);
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postObj.T = data[i][j];
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} else if (j == 1) {
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//open
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subArray[1] = data[i][j];
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postObj.O = data[i][j];
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} else if (j == 2) {
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//highest
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subArray[4] = data[i][j];
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postObj.H = data[i][j];
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} else if (j == 3) {
|
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//lowest
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|
subArray[3] = data[i][j];
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postObj.L = data[i][j];
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} else if (j == 4) {
|
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//close
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subArray[2] = data[i][j];
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postObj.C = data[i][j];
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} else if (j == 7) {
|
|
postObj.TP = data[i][j];
|
|
} else if (j == 13) {
|
|
if (data[i][j] != 0) postObj.N = 3;
|
|
} else if (j == 11) {
|
|
if (data[i][j] != 0) postObj.N = 2;
|
|
} else if (j == 15) {
|
|
subArray[5] = {};
|
|
if (data[i][j] != 0) {
|
|
postObj.N = 1;
|
|
subArray[5] = {
|
|
name: "卖出Point",
|
|
coord: [
|
|
`${moment(data[i][0] * 1000).format(
|
|
"YYYY-MM-DD HH:mm:ss"
|
|
)}`,
|
|
data[i][2]
|
|
],
|
|
value: "1",
|
|
itemStyle: {
|
|
color: "rgb(23,160,93)"
|
|
}
|
|
};
|
|
}
|
|
} else if (j == 14) {
|
|
subArray[6] = {};
|
|
if (data[i][j] != 0) {
|
|
postObj.N = 0;
|
|
subArray[6] = {
|
|
name: "买入Point",
|
|
symbol: "diamond",
|
|
symbolSize: [15, 25],
|
|
symbolOffset: [0, 25],
|
|
coord: [
|
|
`${moment(data[i][0] * 1000).format(
|
|
"YYYY-MM-DD HH:mm:ss"
|
|
)}`,
|
|
data[i][3]
|
|
],
|
|
value: "0",
|
|
itemStyle: {
|
|
color: "rgb(221,82,70)"
|
|
}
|
|
};
|
|
}
|
|
}
|
|
}
|
|
if (subArray.length > 0) result.push(subArray);
|
|
if (postObj.T != null) postResult.push(postObj);
|
|
}
|
|
}
|
|
return { kLineData: result, postData: postResult };
|
|
},
|
|
|
|
//订底回测数据处理
|
|
topMutateData(data) {
|
|
let result = [];
|
|
let postResult = [];
|
|
if (data.length > 1) {
|
|
for (let i = 0; i < data.length; i++) {
|
|
if (i == 0) continue;
|
|
let subArray = [];
|
|
let postObj = { N: null };
|
|
for (let j = 0; j < data[i].length; j++) {
|
|
if (j == 0) {
|
|
if (
|
|
this.startTime &&
|
|
this.endTime &&
|
|
!moment(data[i][j] * 1000).isBetween(
|
|
this.startTime.startOf("day"),
|
|
this.endTime.endOf("day")
|
|
)
|
|
) {
|
|
break;
|
|
} else if (
|
|
this.startTime &&
|
|
!moment(data[i][j] * 1000).isAfter(
|
|
this.startTime.startOf("day")
|
|
)
|
|
) {
|
|
break;
|
|
}
|
|
|
|
subArray[0] = moment(data[i][j] * 1000).format(
|
|
"YYYY-MM-DD HH:mm:ss"
|
|
);
|
|
postObj.T = data[i][j];
|
|
} else if (j == 1) {
|
|
//open
|
|
subArray[1] = data[i][j];
|
|
postObj.OpenPrice = data[i][j];
|
|
} else if (j == 2) {
|
|
//highest
|
|
subArray[4] = data[i][j];
|
|
postObj.H = data[i][j];
|
|
} else if (j == 3) {
|
|
//lowest
|
|
subArray[3] = data[i][j];
|
|
postObj.L = data[i][j];
|
|
} else if (j == 4) {
|
|
//close
|
|
subArray[2] = data[i][j];
|
|
postObj.C = data[i][j];
|
|
} else if (j == 5) {
|
|
postObj.TP = data[i][j];
|
|
} else if (j == 6) {
|
|
if (data[i][j] != 0) postObj.N = 3;
|
|
} else if (j == 7) {
|
|
subArray[5] = {};
|
|
if (data[i][j] && data[i][j] != 0) {
|
|
postObj.N = 1;
|
|
subArray[5] = {
|
|
name: "买入Point",
|
|
coord: [
|
|
`${moment(data[i][0] * 1000).format(
|
|
"YYYY-MM-DD HH:mm:ss"
|
|
)}`,
|
|
data[i][3]
|
|
],
|
|
value: data[i][j],
|
|
itemStyle: {
|
|
color: "rgb(23,160,93)"
|
|
}
|
|
};
|
|
}
|
|
} else if (j == 8) {
|
|
subArray[6] = {};
|
|
if (data[i][j] && data[i][j] != 0) {
|
|
postObj.N = 0;
|
|
subArray[6] = {
|
|
name: "卖出Point",
|
|
symbol: "diamond",
|
|
symbolSize: [15, 25],
|
|
symbolOffset: [0, 25],
|
|
coord: [
|
|
`${moment(data[i][0] * 1000).format(
|
|
"YYYY-MM-DD HH:mm:ss"
|
|
)}`,
|
|
data[i][2]
|
|
],
|
|
value: data[i][j],
|
|
itemStyle: {
|
|
color: "rgb(221,82,70)"
|
|
}
|
|
};
|
|
}
|
|
}
|
|
}
|
|
if (subArray.length > 0) result.push(subArray);
|
|
if (postObj.T != null) postResult.push(postObj);
|
|
}
|
|
}
|
|
return { kLineData: result, postData: postResult };
|
|
},
|
|
|
|
executeTest() {
|
|
if (this.policyFormData && this.kLineDataList.length > 0) {
|
|
this.spinning = true;
|
|
this.$http
|
|
.post("/Api/Simulation/MomentumWaveTest", {
|
|
MomentumWavePolicy: this.policyFormData,
|
|
kLineDataList: this.kLineDataList
|
|
})
|
|
.then(res => {
|
|
this.logShowCondition = i => true;
|
|
this.spinning = false;
|
|
if (res.Code == 200) {
|
|
console.log("回测成功");
|
|
this.logData = res.Data.ExecutionLogList;
|
|
if (this.logData.length > 0) {
|
|
this.dateRange[0] = this.logData[
|
|
this.logData.length - 1
|
|
].CreateTime;
|
|
this.dateRange[1] = this.logData[0].CreateTime;
|
|
}
|
|
res.Data.OrderList.sort(
|
|
(a, b) => b.PurchaseKLineId - a.PurchaseKLineId
|
|
);
|
|
this.tradeData = res.Data.OrderList;
|
|
//accountInfo
|
|
this.accountInfo.MaxOrderTotalPurchasePricePerRound =
|
|
res.Data.MaxOrderTotalPurchasePricePerRound;
|
|
this.accountInfo.MaxTotalPurchasePricePerDay =
|
|
res.Data.MaxTotalPurchasePricePerDay;
|
|
this.accountInfo.MaxOrderHoldTime = res.Data.MaxOrderHoldTime;
|
|
this.accountInfo.MinOrderHoldTime = res.Data.MinOrderHoldTime;
|
|
this.accountInfo.MaxOrderLossRatio = res.Data.MaxOrderLossRatio;
|
|
this.accountInfo.MaxAccountLossRatio =
|
|
res.Data.MaxAccountLossRatio;
|
|
this.accountInfo.MaxOrderProfit = res.Data.MaxOrderProfit;
|
|
this.accountInfo.MaxOrderProfitRatio =
|
|
res.Data.MaxOrderProfitRatio;
|
|
this.accountInfo.MinOrderProfit = res.Data.MinOrderProfit;
|
|
this.accountInfo.MinOrderProfitRatio =
|
|
res.Data.MinOrderProfitRatio;
|
|
}
|
|
});
|
|
}
|
|
},
|
|
timepIkcer() {
|
|
console.log(this.startTime, this.endTime);
|
|
}
|
|
}
|
|
};
|
|
</script>
|
|
|
|
<style></style>
|
|
|