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

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

本文基于ubuntu18

建立conda环境

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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

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 talibtask = 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 / 1000def 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

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

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