{
 "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": []
  }
 ],
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