{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 5,
   "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": 6,
   "metadata": {},
   "outputs": [],
   "source": [
    "# 创建回测引擎\n",
    "engine = BacktestingEngine()\n",
    "\n",
    "engine.set_parameters(\n",
    "    interval=Interval.MINUTE,\n",
    "    start=datetime(2023, 1, 1),\n",
    "    end=datetime(2023, 6, 30),\n",
    "    rate=0,\n",
    "    slippage=0.6 + (16 / 100),\n",
    ")\n",
    "\n",
    "engine.add_strategy(BuyOptionStrategy, {})"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "metadata": {
    "tags": []
   },
   "outputs": [
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "  1%|          | 2/180 [00:00<00:16, 10.53it/s]"
     ]
    },
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "2024-03-09 09:42:27.361177\t触发异常，回测终止\n",
      "2024-03-09 09:42:27.362176\tTraceback (most recent call last):\n",
      "  File \"C:\\veighna_elite_simulation\\lib\\site-packages\\elite_optionstrategy\\backtesting.py\", line 114, in run_backtesting\n",
      "  File \"C:\\veighna_elite_simulation\\lib\\site-packages\\elite_optionstrategy\\backtesting.py\", line 397, in _run_intraday\n",
      "  File \"C:\\veighna_elite_simulation\\lib\\site-packages\\elite_optionstrategy\\backtesting.py\", line 442, in _new_bars\n",
      "  File \"D:\\Gitee_Code\\trading_strategy\\VNPY_Code\\Option_spread_strategy\\使用文档\\19\\buy_option_strategy.py\", line 66, in on_bars\n",
      "    portfolio: PortfolioData = self.get_portfolio(self.option_portfolio)\n",
      "  File \"C:\\veighna_elite_simulation\\lib\\site-packages\\elite_optionstrategy\\template.py\", line 247, in get_portfolio\n",
      "KeyError: 'IO'\n",
      "\n"
     ]
    },
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "\n"
     ]
    }
   ],
   "source": [
    "# 历史数据回放\n",
    "engine.run_backtesting()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "2024-03-09 09:28:32.115670\t开始计算逐日盯市盈亏\n",
      "2024-03-09 09:28:32.115670\t逐日盯市盈亏计算完成\n"
     ]
    }
   ],
   "source": [
    "# 计算每日盈亏\n",
    "engine.calculate_result()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "# 统计绩效结果\n",
    "result = engine.calculate_statistics()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "# 显示资金图表\n",
    "engine.show_chart()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "# 打印逐笔成交\n",
    "for trade in engine.all_trades.values():\n",
    "    print(trade.datetime, trade.vt_symbol, trade.direction.value, trade.offset.value, trade.volume, \"@\", trade.price)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "for result in engine.daily_results.values():\n",
    "    print(result.today_close_data[\"IO2201-C-4900.CFFEX\"])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
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