customized future info

rqalpha/VERSION.txt

@@ -1 +1 @@
-3.2.0.39995e
+3.2.0.dev.016e2e

rqalpha/api/api_base.py

@@ -45,7 +45,7 @@
 from rqalpha.model.instrument import Instrument, SectorCode as sector_code, IndustryCode as industry_code
 # noinspection PyUnresolvedReferences
 from rqalpha.const import (EXECUTION_PHASE, EXC_TYPE, ORDER_STATUS, SIDE, POSITION_EFFECT, ORDER_TYPE, MATCHING_TYPE,
-                           RUN_TYPE, POSITION_DIRECTION)
+                           RUN_TYPE, POSITION_DIRECTION, COMMISSION_TYPE)
 # noinspection PyUnresolvedReferences
 from rqalpha.model.order import Order, MarketOrder, LimitOrder, OrderStyle
 # noinspection PyUnresolvedReferences
@@ -65,6 +65,7 @@
     'ORDER_TYPE',
     'RUN_TYPE',
     'MATCHING_TYPE',
+    'COMMISSION_TYPE',
     'EVENT',
 ]
 

rqalpha/config.yml

@@ -39,6 +39,8 @@ base:
   init_positions: {}
   # 根据价格最小变动单位调整发单价格
   round_price: false
+  # 用户自定义的期货合约数据，用于设置期货手续菲费率
+  future_info: {}
 
 
 extra:

rqalpha/main.py

@@ -36,6 +36,7 @@
 from rqalpha.core.strategy_universe import StrategyUniverse
 from rqalpha.core.global_var import GlobalVars
 from rqalpha.core.strategy_context import StrategyContext
+from rqalpha.data import future_info_cn
 from rqalpha.data.base_data_source import BaseDataSource
 from rqalpha.data.data_proxy import DataProxy
 from rqalpha.environment import Environment
@@ -53,6 +54,7 @@
 from rqalpha.utils.scheduler import Scheduler
 from rqalpha.utils.config import set_locale
 from rqalpha.utils.logger import system_log, basic_system_log, user_system_log, user_detail_log
+from rqalpha.utils.dict_func import deep_update
 
 
 jsonpickle_numpy.register_handlers()
@@ -163,6 +165,13 @@ def run(config, source_code=None, user_funcs=None):
         mod_handler.set_env(env)
         mod_handler.start_up()
 
+        try:
+            future_info = config.base.future_info
+        except AttributeError:
+            pass
+        else:
+            deep_update(future_info, future_info_cn.CN_FUTURE_INFO)
+
         if not env.data_source:
             env.set_data_source(BaseDataSource(config.base.data_bundle_path))
         env.set_data_proxy(DataProxy(env.data_source))

rqalpha/utils/config.py

@@ -23,7 +23,7 @@
 import simplejson as json
 import six
 
-from rqalpha.const import RUN_TYPE, PERSIST_MODE, MARKET
+from rqalpha.const import RUN_TYPE, PERSIST_MODE, MARKET, COMMISSION_TYPE
 from rqalpha.utils import RqAttrDict, logger
 from rqalpha.utils.i18n import gettext as _, localization
 from rqalpha.utils.dict_func import deep_update
@@ -187,6 +187,7 @@ def _to_date(v):
     config.base.init_positions = parse_init_positions(config.base.init_positions)
     config.base.persist_mode = parse_persist_mode(config.base.persist_mode)
     config.base.market = parse_market(config.base.market)
+    config.base.future_info = parse_future_info(config.base.future_info)
 
     if config.extra.context_vars:
         if isinstance(config.extra.context_vars, six.string_types):
@@ -198,6 +199,31 @@ def _to_date(v):
     return config
 
 
+def parse_future_info(future_info):
+    new_info = {}
+
+    for underlying_symbol, info in six.iteritems(future_info):
+        try:
+            underlying_symbol = underlying_symbol.upper()
+        except AttributeError:
+            raise RuntimeError(_("Invalid future info: underlying_symbol {] is illegal.".format(underlying_symbol)))
+
+        for field, value in six.iteritems(info):
+            if field in (
+                "open_commission_ratio", "close_commission_ratio", "close_commission_today_ratio"
+            ):
+                new_info.setdefault(underlying_symbol, {})[field] = float(value)
+            elif field == "commission_type":
+                if not isinstance(value, COMMISSION_TYPE):
+                    raise RuntimeError(_(
+                        "Invalid future info: commission_type must be an instance of COMMISSION_TYPE Enum"
+                    ))
+                new_info.setdefault(underlying_symbol, {})[field] = value
+            else:
+                raise RuntimeError(_("Invalid future info: field {} is not valid".format(field)))
+    return new_info
+
+
 def parse_accounts(accounts):
     a = {}
     if isinstance(accounts, tuple):

tests/api/__init__.py

@@ -18,9 +18,9 @@
 from .test_api_base import test_strategies as test_api_base_strategies
 from .test_api_stock import test_strategies as test_api_stock_strategies
 from .test_api_future import test_strategies as test_api_future_strategies
+from .test_config import test_strategies as test_config_strategies
 
-test_strategies = test_api_base_strategies + test_api_stock_strategies + test_api_future_strategies
-
+test_strategies = test_api_base_strategies + test_api_stock_strategies + test_api_future_strategies + test_config_strategies
 
 __all__ = [
     "test_strategies"

tests/api/test_config.py

@@ -0,0 +1,83 @@
+#!/usr/bin/env python
+# -*- coding: utf-8 -*-
+#
+# Copyright 2017 Ricequant, Inc
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from rqalpha.api import *
+
+from ..utils import make_test_strategy_decorator
+
+test_strategies = []
+
+as_test_strategy = make_test_strategy_decorator({
+        "base": {
+            "start_date": "2018-04-01",
+            "end_date": "2018-05-01",
+            "frequency": "1d",
+            "accounts": {
+                "future": 10000000000
+            }
+        },
+        "extra": {
+            "log_level": "error",
+        },
+        "mod": {
+            "sys_progress": {
+                "enabled": True,
+                "show": True,
+            },
+        },
+    }, test_strategies)
+
+
+def assert_almost_equal(first, second):
+    assert round(abs(first - second), 10) == 0
+
+
+@as_test_strategy({
+    "base": {
+        "future_info": {
+            "SC": {
+                "close_commission_ratio": 0.0001,
+                "open_commission_ratio": 0.0002,
+                "commission_type": COMMISSION_TYPE.BY_MONEY,
+            }
+        }
+    }
+})
+def test_future_info():
+    def init(context):
+        context.f1 = "SC1809"
+        subscribe_event(EVENT.TRADE, on_trade)
+
+    def handle_bar(*_):
+        buy_open("SC1809", 2)
+        sell_close("SC1809", 2, close_today=False)
+
+    def on_trade(event):
+        trade = event.trade
+        contract_multiplier = instruments("SC1809").contract_multiplier
+        if trade.position_effect == POSITION_EFFECT.OPEN:
+            assert_almost_equal(
+                trade.transaction_cost, 0.0002 * trade.last_quantity * trade.last_price * contract_multiplier
+            )
+        elif trade.position_effect == POSITION_EFFECT.CLOSE:
+            assert_almost_equal(
+                trade.transaction_cost, 0.0001 * trade.last_quantity * trade.last_price * contract_multiplier
+            )
+        else:
+            assert trade.transaction_cost == 0
+
+    return init, handle_bar