202 lines
7.9 KiB
Python
202 lines
7.9 KiB
Python
import json
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import csv
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import os
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from pathlib import Path
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from datetime import datetime
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# 定义结果目录
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result_dir = Path('../result')
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# 确保结果目录存在
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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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if not json_files:
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raise FileNotFoundError("No JSON files with 'backtest-result-' in name found in ../result")
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# 首先尝试找到包含加仓交易的文件
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files_with_adjustments = []
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for json_file in json_files:
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try:
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with open(json_file) as f:
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data = json.load(f)
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# 检查是否包含加仓交易
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has_adjustments = False
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if 'strategy' in data:
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for strategy_name, strategy_data in data['strategy'].items():
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if 'trades' in strategy_data:
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for trade in strategy_data['trades']:
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orders = trade.get('orders', [])
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entry_orders = [o for o in orders if o.get('ft_is_entry')]
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if len(entry_orders) > 1:
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has_adjustments = True
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break
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if has_adjustments:
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break
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if has_adjustments:
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files_with_adjustments.append(json_file)
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except:
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continue
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# 如果有包含加仓交易的文件，选择其中最大的；否则选择所有文件中最大的
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if files_with_adjustments:
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largest_file = max(files_with_adjustments, key=lambda x: x.stat().st_size)
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print(f"Found {len(files_with_adjustments)} files with position adjustments, using the largest: {largest_file.name}")
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else:
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largest_file = max(json_files, key=lambda x: x.stat().st_size)
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print(f"No files with position adjustments found, using the largest file: {largest_file.name}")
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# 读取选定的 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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output_json = result_dir / 'backtest_trades.json'
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# 定义CSV的字段名
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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', 'adjustments_count', 'avg_entry_price',
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'initial_entry_cost', 'total_adjustment_cost'
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]
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# 准备写入CSV和JSON
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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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row = {
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'pair': trade.get('pair', ''),
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'open_date': trade.get('open_date', ''),
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'close_date': trade.get('close_date', ''),
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'open_rate': trade.get('open_rate', ''),
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'close_rate': trade.get('close_rate', ''),
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'amount': trade.get('amount', ''),
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'profit_ratio': trade.get('profit_ratio', ''),
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'profit_abs': trade.get('profit_abs', ''),
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'exit_reason': trade.get('exit_reason', ''),
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'fee_open': trade.get('fee_open', ''),
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'fee_close': trade.get('fee_close', ''),
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'trade_duration': trade.get('trade_duration', ''),
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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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# 从原始数据中获取订单信息
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orders = trade.get('orders', [])
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# 如果有时间戳但缺少open_date/close_date，尝试从时间戳转换
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if not row['open_date'] and trade.get('open_timestamp'):
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row['open_date'] = datetime.fromtimestamp(trade.get('open_timestamp')/1000).isoformat()
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if not row['close_date'] and trade.get('close_timestamp'):
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row['close_date'] = datetime.fromtimestamp(trade.get('close_timestamp')/1000).isoformat()
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# 如果没有orders字段，跳过此交易
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if not orders:
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continue
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entry_orders = [order for order in orders if 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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# 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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# 获取原始订单的时间戳
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order_timestamp = order.get('order_filled_timestamp', '')
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# 转换时间戳为可读格式
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timestamp = ''
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if order_timestamp:
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try:
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timestamp = datetime.fromtimestamp(order_timestamp/1000).isoformat()
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except:
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timestamp = str(order_timestamp)
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# 获取订单价格
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price = order.get('safe_price', 0)
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entry_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': 'initial' if i == 0 else 'adjustment',
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'raw_timestamp': order_timestamp # 保留原始时间戳
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}
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entries.append(entry_info)
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json_trade['entries'] = entries
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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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# 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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# 写入JSON文件
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with open(output_json, 'w', encoding='utf-8') as jsonfile:
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json.dump(json_data, jsonfile, ensure_ascii=False, indent=2)
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print(f"Successfully converted {largest_file.name} to {output_csv}")
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print(f"Successfully converted {largest_file.name} to {output_json}")
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print(f"Added position adjustment information with correct timestamps to both CSV and JSON outputs.")
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