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<i class="fa fa-calendar"></i><time datetime="2019-01-14T20:54:00+08:00"> Mon 14 January 2019</time>
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<p>全名应该是商品期货主力合约切换导致的Bug记录</p>
<p><strong>品种</strong>：商品期货 rb</p>
<p><strong>回测数据</strong>：tb提取的分钟线</p>
<p><strong>实时数据</strong>：ctp获取</p>
<p><strong>Bug描述</strong>：策略当中需要一段时间的历史数据进行指标计算，主力切换导致这段历史数据里面含有两份合约的数据，分别是rb1901和rb1905，这两个合约于20181128 21:00切换，价差竟然达到了300点左右，以当时rb1901 3700的价格，也达到了8%，导致指标计算的误差非常大，开了错单。</p>
<p>很早前就知道这个问题的存在，但是一直没有动力去调整，一直用策略的鲁棒性安慰着自己。但是这次的切换价差到达了8%，还开了错单，没有这么考验鲁棒性的，还是打算修复一下。</p>
<p>我是先改的线上策略，线上策略的主力切换数据从新浪财经网站上获取。</p>
<p><strong>线上修改方案</strong>：以该bug为例子，主力切换后我在rb1905上进行交易，把rb1901的OHLC数据全部减去300点的价差，这个300是20181128 15:00(rb1901) 和 20181128 21:00(rb1905)的价差。也叫左侧价差调整。</p>
<p>但是交易了几单全部都在亏损，发现有点问题，忽然想到有问题，虽然还没有达到下架策略的条件，但是也有点奇怪。后来发现是回测的问题，我的回测优化是在主力切换价差未做调整的情况下做的，现在实盘又是调整后的数据。。。。。。</p>
<p>为什么要用tb的数据呢？其实我是有tick数据的，以前尝试过清洗一次，发现早期的数据问题太多了就一直没弄，个人量化者就是啥都得干。就直接提取tb的分钟线，质量还行又方便，为了节省时间嘛， 所以这次还是在tb的数据上做文章。</p>
<p><strong>回测修改方案</strong>：</p>
<p>找出tb主连合约分钟线的切换点
在指标计算的价格buffer中进行左侧价差调整
给策略发信号让策略在切换的前半个小时就平仓而且暂停交易，切换后再重新开启交易</p>
<p><strong>* 找出tb主连合约分钟线的切换点</strong></p>
<p>一个相对好点的办法去识别就是<strong>持仓量的变化</strong>，因为大部分的主力切换规则都与持仓量相关，比如：次主力的持仓量在某一天大于主力的持仓量后，第二天进行切换。但是每个公司的规则都不一样，我对比过新浪财经上的切换时间和tb的就不一样，所以我觉得最后还是得把自己的数据搞全，这样回测和实盘都用自己的主力切换规则，这样才是最好的。</p>
<p>我发一张tb分钟线的图就一目了然了</p>
<p><img alt="rb888 分钟线" src="http://sinacloud.net/mhblog/2019/01/tb_contunues_data.jpg"></p>
<p>这次tb数据的切换比新浪财经的晚一天。红线上面和红线下面就是切换前后的数据，变化最明显的就是最后一列数据：<strong>持仓量</strong>。</p>
<p>所以我设置了一个阀值，把持仓量变化大于了这个阀值的点就当做主力切换点，当然这个是近似值，出来的结果我都人工review了的。</p>
<p>看看我找出来的rb的主力切换时间列表：</p>
<div class="highlight"><pre><span></span><code><span class="n">switch_time_list</span> <span class="o">=</span> <span class="p">[</span>
<span class="s2">"20090720_0900"</span><span class="p">,</span> <span class="s2">"20090810_0900"</span><span class="p">,</span> <span class="s2">"20090901_0900"</span><span class="p">,</span> <span class="s2">"20091012_0900"</span><span class="p">,</span> <span class="s2">"20091110_0900"</span><span class="p">,</span> <span class="s2">"20091201_0900"</span><span class="p">,</span>
<span class="s2">"20100309_0900"</span><span class="p">,</span> <span class="s2">"20101014_0900"</span><span class="p">,</span>
<span class="s2">"20110210_0900"</span><span class="p">,</span> <span class="s2">"20110808_0900"</span><span class="p">,</span> <span class="s2">"20111103_0900"</span><span class="p">,</span>
<span class="s2">"20120302_0900"</span><span class="p">,</span> <span class="s2">"20120712_0900"</span><span class="p">,</span> <span class="s2">"20121023_0900"</span><span class="p">,</span>
<span class="s2">"20130219_0900"</span><span class="p">,</span> <span class="s2">"20130704_0900"</span><span class="p">,</span> <span class="s2">"20131031_0900"</span><span class="p">,</span>
<span class="s2">"20140305_0900"</span><span class="p">,</span> <span class="s2">"20140708_0900"</span><span class="p">,</span> <span class="s2">"20141021_0900"</span><span class="p">,</span>
<span class="c1"># 夜盘开始</span>
<span class="s2">"20150311_2100"</span><span class="p">,</span> <span class="s2">"20150720_2100"</span><span class="p">,</span> <span class="s2">"20151104_2100"</span><span class="p">,</span>
<span class="s2">"20160311_2100"</span><span class="p">,</span> <span class="s2">"20160817_2100"</span><span class="p">,</span> <span class="s2">"20161125_2100"</span><span class="p">,</span>
<span class="s2">"20170322_2100"</span><span class="p">,</span> <span class="s2">"20170807_2100"</span><span class="p">,</span> <span class="s2">"20171108_2100"</span><span class="p">,</span>
<span class="s2">"20180328_2100"</span><span class="p">,</span> <span class="s2">"20180816_2100"</span><span class="p">,</span> <span class="s2">"20181129_2100"</span><span class="p">,</span>
<span class="p">]</span>
</code></pre></div>
<p>2和3应该不复杂，我是用的vnpy，我是在ArrayManager和BarManager中做了调整，很快就能实现。</p>
<p>这个bug修改了之后，重新做一次回测优化，发现参数变得还不少，看来这个bug对回测准确性的影响确实不小。</p>
<p>我把主力切换数据和寻找切换时间的代码放在了github上，暂时只有rb的数据，如有需要的朋友可以直接使用，也希望有兴趣的朋友可以新增其他品种的数据。</p>
<p><a href="https://github.com/mhxueshan/dominant_contract_switch">mhxueshan/dominant_contract_switch</a></p>
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