使用Python进行事件驱动型量化回测(续)

# event.pyclass MarketEvent(Event):    """    Handles the event of receiving a new market update with     corresponding bars.    """    def __init__(self):        """        Initialises the MarketEvent.        """        self.type = 'MARKET'

# event.pyclass SignalEvent(Event):    """    Handles the event of sending a Signal from a Strategy object.    This is received by a Portfolio object and acted upon.    """    def __init__(self, symbol, datetime, signal_type):        """        Initialises the SignalEvent.        Parameters:        symbol - The ticker symbol, e.g. 'GOOG'.        datetime - The timestamp at which the signal was generated.        signal_type - 'LONG' or 'SHORT'.        """        self.type = 'SIGNAL'        self.symbol = symbol        self.datetime = datetime        self.signal_type = signal_type

# event.pyclass OrderEvent(Event):    """    Handles the event of sending an Order to an execution system.    The order contains a symbol (e.g. GOOG), a type (market or limit),    quantity and a direction.    """    def __init__(self, symbol, order_type, quantity, direction):        """        Initialises the order type, setting whether it is        a Market order ('MKT') or Limit order ('LMT'), has        a quantity (integral) and its direction ('BUY' or        'SELL').        Parameters:        symbol - The instrument to trade.        order_type - 'MKT' or 'LMT' for Market or Limit.        quantity - Non-negative integer for quantity.        direction - 'BUY' or 'SELL' for long or short.        """        self.type = 'ORDER'        self.symbol = symbol        self.order_type = order_type        self.quantity = quantity        self.direction = direction    def print_order(self):        """        Outputs the values within the Order.        """        print "Order: Symbol=%s, Type=%s, Quantity=%s, Direction=%s" % \            (self.symbol, self.order_type, self.quantity, self.direction)

# event.pyclass FillEvent(Event):    """    Encapsulates the notion of a Filled Order, as returned    from a brokerage. Stores the quantity of an instrument    actually filled and at what price. In addition, stores    the commission of the trade from the brokerage.    """    def __init__(self, timeindex, symbol, exchange, quantity,                  direction, fill_cost, commission=None):        """        Initialises the FillEvent object. Sets the symbol, exchange,        quantity, direction, cost of fill and an optional         commission.        If commission is not provided, the Fill object will        calculate it based on the trade size and Interactive        Brokers fees.        Parameters:        timeindex - The bar-resolution when the order was filled.        symbol - The instrument which was filled.        exchange - The exchange where the order was filled.        quantity - The filled quantity.        direction - The direction of fill ('BUY' or 'SELL')        fill_cost - The holdings value in dollars.        commission - An optional commission sent from IB.        """        self.type = 'FILL'        self.timeindex = timeindex        self.symbol = symbol        self.exchange = exchange        self.quantity = quantity        self.direction = direction        self.fill_cost = fill_cost        # Calculate commission        if commission is None:            self.commission = self.calculate_ib_commission()        else:            self.commission = commission    def calculate_ib_commission(self):        """        Calculates the fees of trading based on an Interactive        Brokers fee structure for API, in USD.        This does not include exchange or ECN fees.        Based on "US API Directed Orders":        https://www.interactivebrokers.com/en/index.php?f=commission&p=stocks2        """        full_cost = 1.3        if self.quantity <= 500:            full_cost = max(1.3, 0.013 * self.quantity)        else: # Greater than 500            full_cost = max(1.3, 0.008 * self.quantity)        full_cost = min(full_cost, 0.5 / 100.0 * self.quantity * self.fill_cost)        return full_cost