diff --git a/tools/tradestocsv.py b/tools/tradestocsv.py index 17547cb7..3b6baad6 100644 --- a/tools/tradestocsv.py +++ b/tools/tradestocsv.py @@ -11,37 +11,27 @@ result_dir = Path('../result') if not result_dir.exists(): raise FileNotFoundError(f"Directory {result_dir} does not exist") -# 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） +# 寻找文件名包含 'backtest-result-' 的 JSON 文件 json_files = [f for f in result_dir.glob('*.json') if 'backtest-result-' in f.name] -trades = [] - if not json_files: - # 如果没有backtest-result文件，尝试使用backtest_trades.json作为输入 - existing_json = result_dir / 'backtest_trades.json' - if existing_json.exists(): - print("警告: 找不到backtest-result文件，使用backtest_trades.json作为输入") - # 读取现有的backtest_trades.json - with open(existing_json) as f: - trades = json.load(f) - else: - raise FileNotFoundError("No JSON files with 'backtest-result-' in name found in ../result, and no existing backtest_trades.json") -else: - # 找到文件大小最大的 JSON 文件 - largest_file = max(json_files, key=lambda x: x.stat().st_size) - - # 读取最大的 JSON 文件 - with open(largest_file) as f: - data = json.load(f) - - # 从环境变量中获取策略名称 - strategy_name = os.environ.get('STRATEGY_NAME', 'FreqaiPrimer') # 默认使用FreqaiPrimer - - # 获取交易记录 - if 'strategy' not in data or strategy_name not in data['strategy'] or 'trades' not in data['strategy'][strategy_name]: - raise ValueError(f"Could not find trades data for strategy {strategy_name}") - - trades = data['strategy'][strategy_name]['trades'] + raise FileNotFoundError("No JSON files with 'backtest-result-' in name found in ../result") + +# 找到文件大小最大的 JSON 文件 +largest_file = max(json_files, key=lambda x: x.stat().st_size) + +# 读取最大的 JSON 文件 +with open(largest_file) as f: + data = json.load(f) + +# 从环境变量中获取策略名称 +strategy_name = os.environ.get('STRATEGY_NAME', 'FreqaiPrimer') # 默认使用FreqaiPrimer + +# 获取交易记录 +if 'strategy' not in data or strategy_name not in data['strategy'] or 'trades' not in data['strategy'][strategy_name]: + raise ValueError(f"Could not find trades data for strategy {strategy_name}") + +trades = data['strategy'][strategy_name]['trades'] # 定义输出文件路径 output_csv = result_dir / 'backtest_trades.csv' @@ -52,7 +42,7 @@ fieldnames = [ 'pair', 'open_date', 'close_date', 'open_rate', 'close_rate', 'amount', 'profit_ratio', 'profit_abs', 'exit_reason', 'fee_open', 'fee_close', 'trade_duration', 'min_rate', 'max_rate', - 'entry_orders_count', 'exit_orders_count', 'adjustments_count', 'avg_entry_price', + 'entry_orders_count', 'adjustments_count', 'avg_entry_price', 'initial_entry_cost', 'total_adjustment_cost' ] @@ -62,7 +52,7 @@ json_data = [] with open(output_csv, 'w', newline='', encoding='utf-8') as csvfile: writer = csv.DictWriter(csvfile, fieldnames=fieldnames) writer.writeheader() - + # 处理每笔交易 for trade in trades: # 准备交易数据行 @@ -82,14 +72,14 @@ with open(output_csv, 'w', newline='', encoding='utf-8') as csvfile: 'min_rate': trade.get('min_rate', ''), 'max_rate': trade.get('max_rate', '') } - + # 分析订单信息，计算加仓相关字段 # 添加调试信息查看trade对象的键 # print(f"Trade keys: {list(trade.keys())}") - + # 尝试从不同可能的位置获取订单信息 orders = trade.get('orders', []) - + # 如果没有orders字段，尝试从其他可能的字段获取 if not orders: # 尝试从order_type或其他相关字段推断 @@ -103,15 +93,15 @@ with open(output_csv, 'w', newline='', encoding='utf-8') as csvfile: 'price': trade.get('open_rate', 0), 'ft_is_entry': True } - + # 模拟加仓订单 adjustment_orders = [] remaining_amount = trade.get('amount', 0) * 0.95 # 剩余95%的数量 remaining_cost = trade.get('open_rate', 0) * remaining_amount - + # 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 adjustments_count = row.get('adjustments_count', 2) # 默认2次加仓 - + for i in range(adjustments_count): adj_order = { 'cost': remaining_cost / (adjustments_count), @@ -121,55 +111,42 @@ with open(output_csv, 'w', newline='', encoding='utf-8') as csvfile: 'ft_is_entry': True } adjustment_orders.append(adj_order) - - # 模拟出场订单 - exit_order = { - 'cost': trade.get('close_rate', 0) * trade.get('amount', 0), - 'amount': trade.get('amount', 0), - 'timestamp': trade.get('close_date', ''), - 'price': trade.get('close_rate', 0), - 'ft_is_entry': False, - 'exit_reason': trade.get('exit_reason', 'unknown') - } - - # 组合初始订单、加仓订单和出场订单 - orders = [initial_order] + adjustment_orders + [exit_order] - - # 分离入场订单和出场订单 + + # 组合初始订单和加仓订单 + orders = [initial_order] + adjustment_orders + entry_orders = [order for order in orders if order.get('ft_is_entry')] - exit_orders = [order for order in orders if not order.get('ft_is_entry')] - + row['entry_orders_count'] = len(entry_orders) row['adjustments_count'] = max(0, len(entry_orders) - 1) # 加仓次数 = 入场订单数 - 1 - row['exit_orders_count'] = len(exit_orders) - + # 创建JSON对象，添加CSV中的所有字段 json_trade = row.copy() - + # 计算平均入场价格、初始入场金额和加仓总金额 if len(entry_orders) > 0: # 初始入场金额 initial_entry_cost = entry_orders[0].get('cost', 0) row['initial_entry_cost'] = initial_entry_cost - + # 计算总入场成本和总入场数量 total_entry_cost = sum(order.get('cost', 0) for order in entry_orders) total_entry_amount = sum(order.get('amount', 0) for order in entry_orders) - + # 平均入场价格 if total_entry_amount > 0: avg_entry_price = total_entry_cost / total_entry_amount else: avg_entry_price = 0 row['avg_entry_price'] = avg_entry_price - + # 加仓总金额 if len(entry_orders) > 1: total_adjustment_cost = sum(order.get('cost', 0) for order in entry_orders[1:]) else: total_adjustment_cost = 0 row['total_adjustment_cost'] = total_adjustment_cost - + # 在JSON中添加每次入场/加仓的详细信息 entries = [] for i, order in enumerate(entry_orders): @@ -178,7 +155,7 @@ with open(output_csv, 'w', newline='', encoding='utf-8') as csvfile: # 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 timestamp = order.get('timestamp', '') price = order.get('price', 0) - + # 如果没有timestamp，使用交易的基本信息进行填充 if not timestamp or timestamp == '' or timestamp is None: if i == 0: @@ -189,19 +166,19 @@ with open(output_csv, 'w', newline='', encoding='utf-8') as csvfile: # 获取交易的开始和结束时间 open_date_str = trade.get('open_date', '') close_date_str = trade.get('close_date', '') - + if open_date_str and close_date_str: try: # 尝试解析时间字符串并生成中间时间点 from datetime import datetime, timedelta - + # 解析open_date和close_date open_date = datetime.fromisoformat(open_date_str.replace('Z', '+00:00')) close_date = datetime.fromisoformat(close_date_str.replace('Z', '+00:00')) - + # 计算交易总持续时间 total_duration = close_date - open_date - + # 根据加仓订单的索引，计算相对时间位置 total_entries = len(entry_orders) if total_entries > 1: @@ -209,7 +186,7 @@ with open(output_csv, 'w', newline='', encoding='utf-8') as csvfile: # 分配时间戳在交易时间范围内均匀分布 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 entry_time = open_date + total_duration * time_ratio - + # 格式化为与open_date相同的字符串格式 timestamp = entry_time.isoformat().replace('+00:00', 'Z') if entry_time.utcoffset() is None else entry_time.isoformat() else: @@ -219,21 +196,21 @@ with open(output_csv, 'w', newline='', encoding='utf-8') as csvfile: timestamp = '' else: timestamp = '' - + if price == 0 or price is None: # 获取交易的价格范围 min_rate = trade.get('min_rate', trade.get('open_rate', 0)) max_rate = trade.get('max_rate', trade.get('open_rate', 0)) - + if i == 0: # 对于初始订单，使用最大价格 price = max_rate else: # 对于加仓订单，基于交易的价格范围生成不同的价格 - + # 计算价格范围跨度 price_range = max_rate - min_rate - + # 确保价格范围有意义 if price_range <= 0: # 如果没有有效的价格范围，使用open_rate @@ -245,14 +222,14 @@ with open(output_csv, 'w', newline='', encoding='utf-8') as csvfile: if total_adjustments > 0: # 计算加仓订单的相对索引（从1开始） adjustment_rel_index = i - 1 # 减去初始订单的索引 - + # 为不同的加仓订单生成不同的价格 # 从max_rate到min_rate均匀递减分布 # 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 price = max_rate - (price_range * (adjustment_rel_index + 1) / total_adjustments) else: price = trade.get('open_rate', 0) - + entry_info = { 'order_index': i, 'timestamp': timestamp, @@ -262,47 +239,18 @@ with open(output_csv, 'w', newline='', encoding='utf-8') as csvfile: 'order_type': 'initial' if i == 0 else 'adjustment' } entries.append(entry_info) - + json_trade['entries'] = entries - - # 在JSON中添加每次出场的详细信息 - exitorders = [] - for i, order in enumerate(exit_orders): - # 确保timestamp和price字段有值 - timestamp = order.get('timestamp', '') - price = order.get('price', 0) - exit_reason = order.get('exit_reason', trade.get('exit_reason', 'unknown')) - - # 如果没有timestamp，使用交易的close_date - if not timestamp or timestamp == '' or timestamp is None: - timestamp = trade.get('close_date', '') - - if price == 0 or price is None: - price = trade.get('close_rate', 0) - - exit_info = { - 'order_index': i, - 'timestamp': timestamp, - 'price': price, - 'amount': order.get('amount', 0), - 'cost': order.get('cost', 0), - 'order_type': 'exit', - 'exit_reason': exit_reason - } - exitorders.append(exit_info) - - json_trade['exitorders'] = exitorders else: # 没有入场订单的情况 row['initial_entry_cost'] = 0 row['avg_entry_price'] = 0 row['total_adjustment_cost'] = 0 json_trade['entries'] = [] - json_trade['exitorders'] = [] - + # 写入CSV行 writer.writerow(row) - + # 添加到JSON数据 json_data.append(json_trade) @@ -313,4 +261,3 @@ with open(output_json, 'w', encoding='utf-8') as jsonfile: print(f"Successfully converted {largest_file} to {output_csv}") print(f"Successfully converted {largest_file} to {output_json}") print(f"Added position adjustment information to both CSV and JSON outputs.") -