revert tradetocsv
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zhangkun9038@dingtalk.com
parent
c8bd742cea
commit
52467775e9
@ -11,37 +11,27 @@ result_dir = Path('../result')
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if not result_dir.exists():
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raise FileNotFoundError(f"Directory {result_dir} does not exist")
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# 寻找JSON文件（优先找backtest-result文件，如果没有则使用已有的backtest_trades.json）
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# 寻找文件名包含 'backtest-result-' 的 JSON 文件
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json_files = [f for f in result_dir.glob('*.json') if 'backtest-result-' in f.name]
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trades = []
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if not json_files:
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# 如果没有backtest-result文件，尝试使用backtest_trades.json作为输入
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existing_json = result_dir / 'backtest_trades.json'
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if existing_json.exists():
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print("警告: 找不到backtest-result文件，使用backtest_trades.json作为输入")
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# 读取现有的backtest_trades.json
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with open(existing_json) as f:
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trades = json.load(f)
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else:
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raise FileNotFoundError("No JSON files with 'backtest-result-' in name found in ../result, and no existing backtest_trades.json")
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else:
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# 找到文件大小最大的 JSON 文件
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largest_file = max(json_files, key=lambda x: x.stat().st_size)
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# 读取最大的 JSON 文件
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with open(largest_file) as f:
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data = json.load(f)
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# 从环境变量中获取策略名称
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strategy_name = os.environ.get('STRATEGY_NAME', 'FreqaiPrimer') # 默认使用FreqaiPrimer
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# 获取交易记录
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if 'strategy' not in data or strategy_name not in data['strategy'] or 'trades' not in data['strategy'][strategy_name]:
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raise ValueError(f"Could not find trades data for strategy {strategy_name}")
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trades = data['strategy'][strategy_name]['trades']
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raise FileNotFoundError("No JSON files with 'backtest-result-' in name found in ../result")
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# 找到文件大小最大的 JSON 文件
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largest_file = max(json_files, key=lambda x: x.stat().st_size)
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# 读取最大的 JSON 文件
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with open(largest_file) as f:
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data = json.load(f)
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# 从环境变量中获取策略名称
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strategy_name = os.environ.get('STRATEGY_NAME', 'FreqaiPrimer') # 默认使用FreqaiPrimer
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# 获取交易记录
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if 'strategy' not in data or strategy_name not in data['strategy'] or 'trades' not in data['strategy'][strategy_name]:
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raise ValueError(f"Could not find trades data for strategy {strategy_name}")
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trades = data['strategy'][strategy_name]['trades']
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# 定义输出文件路径
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output_csv = result_dir / 'backtest_trades.csv'
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@ -52,7 +42,7 @@ fieldnames = [
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'pair', 'open_date', 'close_date', 'open_rate', 'close_rate', 'amount',
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'profit_ratio', 'profit_abs', 'exit_reason', 'fee_open', 'fee_close',
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'trade_duration', 'min_rate', 'max_rate',
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'entry_orders_count', 'exit_orders_count', 'adjustments_count', 'avg_entry_price',
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'entry_orders_count', 'adjustments_count', 'avg_entry_price',
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'initial_entry_cost', 'total_adjustment_cost'
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]
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@ -62,7 +52,7 @@ json_data = []
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with open(output_csv, 'w', newline='', encoding='utf-8') as csvfile:
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writer = csv.DictWriter(csvfile, fieldnames=fieldnames)
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writer.writeheader()
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# 处理每笔交易
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for trade in trades:
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# 准备交易数据行
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@ -82,14 +72,14 @@ with open(output_csv, 'w', newline='', encoding='utf-8') as csvfile:
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'min_rate': trade.get('min_rate', ''),
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'max_rate': trade.get('max_rate', '')
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}
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# 分析订单信息，计算加仓相关字段
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# 添加调试信息查看trade对象的键
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# print(f"Trade keys: {list(trade.keys())}")
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# 尝试从不同可能的位置获取订单信息
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orders = trade.get('orders', [])
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# 如果没有orders字段，尝试从其他可能的字段获取
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if not orders:
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# 尝试从order_type或其他相关字段推断
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@ -103,15 +93,15 @@ with open(output_csv, 'w', newline='', encoding='utf-8') as csvfile:
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'price': trade.get('open_rate', 0),
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'ft_is_entry': True
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}
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# 模拟加仓订单
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adjustment_orders = []
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remaining_amount = trade.get('amount', 0) * 0.95 # 剩余95%的数量
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remaining_cost = trade.get('open_rate', 0) * remaining_amount
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# 如果有加仓次数信息（从之前的计算），创建相应数量的加仓订单
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adjustments_count = row.get('adjustments_count', 2) # 默认2次加仓
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for i in range(adjustments_count):
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adj_order = {
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'cost': remaining_cost / (adjustments_count),
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@ -121,55 +111,42 @@ with open(output_csv, 'w', newline='', encoding='utf-8') as csvfile:
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'ft_is_entry': True
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}
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adjustment_orders.append(adj_order)
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# 模拟出场订单
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exit_order = {
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'cost': trade.get('close_rate', 0) * trade.get('amount', 0),
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'amount': trade.get('amount', 0),
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'timestamp': trade.get('close_date', ''),
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'price': trade.get('close_rate', 0),
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'ft_is_entry': False,
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'exit_reason': trade.get('exit_reason', 'unknown')
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}
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# 组合初始订单、加仓订单和出场订单
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orders = [initial_order] + adjustment_orders + [exit_order]
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# 分离入场订单和出场订单
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# 组合初始订单和加仓订单
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orders = [initial_order] + adjustment_orders
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entry_orders = [order for order in orders if order.get('ft_is_entry')]
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exit_orders = [order for order in orders if not order.get('ft_is_entry')]
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row['entry_orders_count'] = len(entry_orders)
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row['adjustments_count'] = max(0, len(entry_orders) - 1) # 加仓次数 = 入场订单数 - 1
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row['exit_orders_count'] = len(exit_orders)
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# 创建JSON对象，添加CSV中的所有字段
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json_trade = row.copy()
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# 计算平均入场价格、初始入场金额和加仓总金额
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if len(entry_orders) > 0:
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# 初始入场金额
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initial_entry_cost = entry_orders[0].get('cost', 0)
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row['initial_entry_cost'] = initial_entry_cost
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# 计算总入场成本和总入场数量
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total_entry_cost = sum(order.get('cost', 0) for order in entry_orders)
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total_entry_amount = sum(order.get('amount', 0) for order in entry_orders)
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# 平均入场价格
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if total_entry_amount > 0:
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avg_entry_price = total_entry_cost / total_entry_amount
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else:
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avg_entry_price = 0
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row['avg_entry_price'] = avg_entry_price
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# 加仓总金额
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if len(entry_orders) > 1:
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total_adjustment_cost = sum(order.get('cost', 0) for order in entry_orders[1:])
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else:
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total_adjustment_cost = 0
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row['total_adjustment_cost'] = total_adjustment_cost
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# 在JSON中添加每次入场/加仓的详细信息
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entries = []
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for i, order in enumerate(entry_orders):
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@ -178,7 +155,7 @@ with open(output_csv, 'w', newline='', encoding='utf-8') as csvfile:
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# 对于加仓订单，我们无法确定准确时间，但可以提供一个估算的价格
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timestamp = order.get('timestamp', '')
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price = order.get('price', 0)
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# 如果没有timestamp，使用交易的基本信息进行填充
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if not timestamp or timestamp == '' or timestamp is None:
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if i == 0:
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@ -189,19 +166,19 @@ with open(output_csv, 'w', newline='', encoding='utf-8') as csvfile:
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# 获取交易的开始和结束时间
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open_date_str = trade.get('open_date', '')
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close_date_str = trade.get('close_date', '')
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if open_date_str and close_date_str:
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try:
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# 尝试解析时间字符串并生成中间时间点
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from datetime import datetime, timedelta
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# 解析open_date和close_date
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open_date = datetime.fromisoformat(open_date_str.replace('Z', '+00:00'))
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close_date = datetime.fromisoformat(close_date_str.replace('Z', '+00:00'))
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# 计算交易总持续时间
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total_duration = close_date - open_date
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# 根据加仓订单的索引，计算相对时间位置
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total_entries = len(entry_orders)
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if total_entries > 1:
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@ -209,7 +186,7 @@ with open(output_csv, 'w', newline='', encoding='utf-8') as csvfile:
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# 分配时间戳在交易时间范围内均匀分布
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time_ratio = (i + 1) / (total_entries + 1) # 使用+1避免最后一个加仓订单时间戳接近结束时间
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entry_time = open_date + total_duration * time_ratio
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# 格式化为与open_date相同的字符串格式
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timestamp = entry_time.isoformat().replace('+00:00', 'Z') if entry_time.utcoffset() is None else entry_time.isoformat()
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else:
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@ -219,21 +196,21 @@ with open(output_csv, 'w', newline='', encoding='utf-8') as csvfile:
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timestamp = ''
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else:
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timestamp = ''
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if price == 0 or price is None:
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# 获取交易的价格范围
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min_rate = trade.get('min_rate', trade.get('open_rate', 0))
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max_rate = trade.get('max_rate', trade.get('open_rate', 0))
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if i == 0:
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# 对于初始订单，使用最大价格
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price = max_rate
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else:
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# 对于加仓订单，基于交易的价格范围生成不同的价格
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# 计算价格范围跨度
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price_range = max_rate - min_rate
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# 确保价格范围有意义
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if price_range <= 0:
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# 如果没有有效的价格范围，使用open_rate
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@ -245,14 +222,14 @@ with open(output_csv, 'w', newline='', encoding='utf-8') as csvfile:
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if total_adjustments > 0:
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# 计算加仓订单的相对索引（从1开始）
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adjustment_rel_index = i - 1 # 减去初始订单的索引
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# 为不同的加仓订单生成不同的价格
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# 从max_rate到min_rate均匀递减分布
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# 让索引从1开始计算，确保第一个加仓订单价格低于初始订单
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price = max_rate - (price_range * (adjustment_rel_index + 1) / total_adjustments)
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else:
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price = trade.get('open_rate', 0)
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entry_info = {
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'order_index': i,
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'timestamp': timestamp,
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@ -262,47 +239,18 @@ with open(output_csv, 'w', newline='', encoding='utf-8') as csvfile:
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'order_type': 'initial' if i == 0 else 'adjustment'
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}
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entries.append(entry_info)
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json_trade['entries'] = entries
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# 在JSON中添加每次出场的详细信息
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exitorders = []
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for i, order in enumerate(exit_orders):
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# 确保timestamp和price字段有值
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timestamp = order.get('timestamp', '')
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price = order.get('price', 0)
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exit_reason = order.get('exit_reason', trade.get('exit_reason', 'unknown'))
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# 如果没有timestamp，使用交易的close_date
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if not timestamp or timestamp == '' or timestamp is None:
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timestamp = trade.get('close_date', '')
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if price == 0 or price is None:
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price = trade.get('close_rate', 0)
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exit_info = {
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'order_index': i,
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'timestamp': timestamp,
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'price': price,
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'amount': order.get('amount', 0),
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'cost': order.get('cost', 0),
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'order_type': 'exit',
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'exit_reason': exit_reason
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}
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exitorders.append(exit_info)
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json_trade['exitorders'] = exitorders
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else:
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# 没有入场订单的情况
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row['initial_entry_cost'] = 0
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row['avg_entry_price'] = 0
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row['total_adjustment_cost'] = 0
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json_trade['entries'] = []
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json_trade['exitorders'] = []
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# 写入CSV行
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writer.writerow(row)
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# 添加到JSON数据
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json_data.append(json_trade)
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@ -313,4 +261,3 @@ with open(output_json, 'w', encoding='utf-8') as jsonfile:
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print(f"Successfully converted {largest_file} to {output_csv}")
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print(f"Successfully converted {largest_file} to {output_json}")
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print(f"Added position adjustment information to both CSV and JSON outputs.")
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