增加交易策略、交易指标、量化库代码等文件夹

5.课程代码/2.Option_spread_strategy/使用文档/23/23_demo.ipynb

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+{
+ "cells": [
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 加载功能模块\n",
+    "from datetime import datetime\n",
+    "\n",
+    "from vnpy.trader.constant import Interval\n",
+    "\n",
+    "from elite_optionstrategy import BacktestingEngine\n",
+    "\n",
+    "from buy_option_strategy import BuyOptionStrategy"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 创建回测引擎\n",
+    "engine = BacktestingEngine()\n",
+    "\n",
+    "engine.set_parameters(\n",
+    "    interval=Interval.MINUTE,\n",
+    "    start=datetime(2022, 1, 1),\n",
+    "    end=datetime(2022, 1, 28),\n",
+    "    rate=0,\n",
+    "    slippage=0.6 + (16 / 100),\n",
+    ")\n",
+    "\n",
+    "engine.add_strategy(BuyOptionStrategy, {})"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {
+    "tags": []
+   },
+   "outputs": [],
+   "source": [
+    "# 历史数据回放\n",
+    "engine.run_backtesting()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 获取引擎内最新交易日的策略对象\n",
+    "strategy = engine.strategy"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 获取策略内部对象\n",
+    "portfolio = strategy.get_portfolio(\"IO\")"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 查看ChainData\n",
+    "chain = portfolio.get_chain_by_level(0)\n",
+    "chain"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "chain.calculate_synthetic()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "# 查看OptionData\n",
+    "option = chain.get_option_by_level(cp=1, level=0)\n",
+    "option"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": []
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3 (ipykernel)",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.10.9"
+  },
+  "vscode": {
+   "interpreter": {
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+ "nbformat": 4,
+ "nbformat_minor": 4
+}