发布 backtrader 使用示例使我对缺失的东西有了深刻的了解。对于初学者：
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多核优化
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佣金：股票与期货
后者向我展示了：
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经纪人在计算损益方面做了正确的事情，并为调用策略提供了正确的订单通知
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该策略无法访问
operations（又名trades），这是订单开仓和平仓的结果（后者显示损益数字） -
绘制的
Operation损益数字是由收集Observer的，并且无法访问实际commission scheme值，因此为futures-like操作和stocks-like操作呈现相同的损益
显然，需要进行少量的内部返工才能实现：
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Operation策略通知 -
Operations显示正确的损益数据
broker已经拥有所有需要的信息，并且已经将大部分信息塞进了order正在通知创建它的人的信息中strategy。唯一要做出的决定是，是否将broker额外的信息位放入订单中，或者它可以计算自身operations。
由于策略已经获得orders 并且将保留在 operations 清单中似乎是很自然的 broker ，因此当订单部分/全部平仓时，只需添加实际的损益，将计算的责任留给 strategy.
反过来，这简化了实际作用，Operations Observer 即观察新关闭 Operation 并记录它。它应该一直扮演的角色。
下面的代码已经过重新设计，不再计算损益数字，而只是关注那些通知的人notify_operation。
图表现在反映了现实的损益数字（cash 和 value 是现实的）
期货的旧 logging ：
2006-03-09, BUY CREATE, 3757.59 2006-03-10, BUY EXECUTED, Price: 3754.13, Cost: 2000.00, Comm 2.00 2006-04-11, SELL CREATE, 3788.81 2006-04-12, SELL EXECUTED, Price: 3786.93, Cost: 2000.00, Comm 2.00 2006-04-12, OPERATION PROFIT, GROSS 328.00, NET 324.00 2006-04-20, BUY CREATE, 3860.00 2006-04-21, BUY EXECUTED, Price: 3863.57, Cost: 2000.00, Comm 2.00 2006-04-28, SELL CREATE, 3839.90 2006-05-02, SELL EXECUTED, Price: 3839.24, Cost: 2000.00, Comm 2.00 2006-05-02, OPERATION PROFIT, GROSS -243.30, NET -247.30
期货新 logging ：
2006-03-09, BUY CREATE, 3757.59 2006-03-10, BUY EXECUTED, Price: 3754.13, Cost: 2000.00, Comm 2.00 2006-04-11, SELL CREATE, 3788.81 2006-04-12, SELL EXECUTED, Price: 3786.93, Cost: 2000.00, Comm 2.00 2006-04-12, OPERATION PROFIT, GROSS 328.00, NET 324.00 2006-04-20, BUY CREATE, 3860.00 2006-04-21, BUY EXECUTED, Price: 3863.57, Cost: 2000.00, Comm 2.00 2006-04-28, SELL CREATE, 3839.90 2006-05-02, SELL EXECUTED, Price: 3839.24, Cost: 2000.00, Comm 2.00 2006-05-02, OPERATION PROFIT, GROSS -243.30, NET -247.30 2006-05-02, BUY CREATE, 3862.24
股票的旧 logging ：
2006-03-09, BUY CREATE, 3757.59 2006-03-10, BUY EXECUTED, Price: 3754.13, Cost: 3754.13, Comm 18.77 2006-04-11, SELL CREATE, 3788.81 2006-04-12, SELL EXECUTED, Price: 3786.93, Cost: 3786.93, Comm 18.93 2006-04-12, OPERATION PROFIT, GROSS 32.80, NET -4.91 2006-04-20, BUY CREATE, 3860.00 2006-04-21, BUY EXECUTED, Price: 3863.57, Cost: 3863.57, Comm 19.32 2006-04-28, SELL CREATE, 3839.90 2006-05-02, SELL EXECUTED, Price: 3839.24, Cost: 3839.24, Comm 19.20 2006-05-02, OPERATION PROFIT, GROSS -24.33, NET -62.84
股票的新 logging ：
2006-03-09, BUY CREATE, 3757.59 2006-03-10, BUY EXECUTED, Price: 3754.13, Cost: 3754.13, Comm 18.77 2006-04-11, SELL CREATE, 3788.81 2006-04-12, SELL EXECUTED, Price: 3786.93, Cost: 3786.93, Comm 18.93 2006-04-12, OPERATION PROFIT, GROSS 32.80, NET -4.91 2006-04-20, BUY CREATE, 3860.00 2006-04-21, BUY EXECUTED, Price: 3863.57, Cost: 3863.57, Comm 19.32 2006-04-28, SELL CREATE, 3839.90 2006-05-02, SELL EXECUTED, Price: 3839.24, Cost: 3839.24, Comm 19.20 2006-05-02, OPERATION PROFIT, GROSS -24.33, NET -62.84 2006-05-02, BUY CREATE, 3862.24
和图表（只有新的）。操作和操作之间的区别futures-like现在可以清楚地看到，而不仅仅是在 和value的cash演变stock-like中。
期货佣金
股票佣金
代码
from __future__ import (absolute_import, division, print_function,
unicode_literals)
import backtrader as bt
import backtrader.feeds as btfeeds
import backtrader.indicators as btind
futures_like = True
if futures_like:
commission, margin, mult = 2.0, 2000.0, 10.0
else:
commission, margin, mult = 0.005, None, 1
class SMACrossOver(bt.Strategy):
def log(self, txt, dt=None):
''' Logging function fot this strategy'''
dt = dt or self.datas[0].datetime.date(0)
print('%s, %s' % (dt.isoformat(), txt))
def notify(self, order):
if order.status in [order.Submitted, order.Accepted]:
# Buy/Sell order submitted/accepted to/by broker - Nothing to do
return
# Check if an order has been completed
# Attention: broker could reject order if not enougth cash
if order.status in [order.Completed, order.Canceled, order.Margin]:
if order.isbuy():
self.log(
'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
(order.executed.price,
order.executed.value,
order.executed.comm))
else: # Sell
self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
(order.executed.price,
order.executed.value,
order.executed.comm))
def notify_trade(self, trade):
if trade.isclosed:
self.log('TRADE PROFIT, GROSS %.2f, NET %.2f' %
(trade.pnl, trade.pnlcomm))
def __init__(self):
sma = btind.SMA(self.data)
# > 0 crossing up / < 0 crossing down
self.buysell_sig = btind.CrossOver(self.data, sma)
def next(self):
if self.buysell_sig > 0:
self.log('BUY CREATE, %.2f' % self.data.close[0])
self.buy() # keep order ref to avoid 2nd orders
elif self.position and self.buysell_sig < 0:
self.log('SELL CREATE, %.2f' % self.data.close[0])
self.sell()
if __name__ == '__main__':
# Create a cerebro entity
cerebro = bt.Cerebro()
# Add a strategy
cerebro.addstrategy(SMACrossOver)
# Create a Data Feed
datapath = ('../../datas/2006-day-001.txt')
data = bt.feeds.BacktraderCSVData(dataname=datapath)
# Add the Data Feed to Cerebro
cerebro.adddata(data)
# set commission scheme -- CHANGE HERE TO PLAY
cerebro.broker.setcommission(
commission=commission, margin=margin, mult=mult)
# Run over everything
cerebro.run()
# Plot the result
cerebro.plot()