Merge branch 'dev-v1.1.21' into fix-gateway-unreachable

example/run_ga.py

@@ -0,0 +1,36 @@
+from vnpy.trader.app.ctaStrategy.ctaBacktesting import OptimizationSetting
+from vnpy.trader.app.ctaStrategy import BacktestingEngine
+from StrategyBollBand import BollBandsStrategy as Strategy
+import json
+from datetime import datetime
+
+if __name__ == "__main__":
+    engine = BacktestingEngine()
+    # 设置回测用的数据起始日期
+    engine.setStartDate('20190401 23:00:00')   
+    engine.setEndDate('20190430 23:00:00')
+    # 设置产品相关参数
+    contracts = [
+        {"symbol":"eos.usd.q:okef",
+        "size" : 10,
+        "priceTick" : 0.001,
+        "rate" : 5/10000,
+        "slippage" : 0.005
+        }]
+
+    engine.setContracts(contracts)     # 设置回测合约相关数据
+
+    # 设置使用的历史数据库
+    engine.setDB_URI("mongodb://192.168.0.104:27017")
+    engine.setDatabase("VnTrader_1Min_Db")
+    engine.setCapital(100)  # 设置起始资金，默认值是1,000,000
+
+    with open("CTA_setting.json") as parameterDict:
+        params = json.load(parameterDict)
+    engine.initStrategy(Strategy, params[0])
+
+    setting = OptimizationSetting()
+    setting.setOptimizeTarget("sharpe_ratio")
+    setting.addParameter('bBandPeriod', 12, 20, 2)    # 增加第一个优化参数atrLength，起始12，结束20，步进2
+
+    engine.run_ga_optimization(setting)

requirements.txt

@@ -3,6 +3,7 @@ websocket-client==0.48.0
 qdarkstyle
 SortedContainers
 pandas>=0.23
+deap
 flask-restful
 flask-socketio
 aiohttp