new underlying SP

ricequant · Nov 27, 2018 · 62ac21a · 62ac21a
1 parent 635d888
commit 62ac21a
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Showing 3 changed files with 34 additions and 2 deletions.
diff --git a/rqalpha/const.py b/rqalpha/const.py
@@ -208,4 +208,4 @@ class CURRENCY(CustomEnum):
 UNDERLYING_SYMBOL_PATTERN = "([a-zA-Z]+)\d+"
 
 NIGHT_TRADING_NS = ["CU", "AL", "ZN", "PB", "SN", "NI", "RB", "HC", "BU", "RU", "AU", "AG", "Y", "M", "A", "B", "P",
-                    "J", "JM", "I", "CF", "SR", "OI", "MA", "ZC", "FG", "RM", "CY", "TA", "SC"]
+                    "J", "JM", "I", "CF", "SR", "OI", "MA", "ZC", "FG", "RM", "CY", "TA", "SC", "SP"]
diff --git a/rqalpha/data/future_info_cn.py b/rqalpha/data/future_info_cn.py
@@ -1937,6 +1937,38 @@
             "open_commission_ratio": 3,
             "tick_size": 0.005,
         },
+    },
+    "SP": {
+        "hedge": {
+            "short_margin_ratio": 0.04,
+            "close_commission_today_ratio": 0.0,
+            "commission_type": COMMISSION_TYPE.BY_MONEY,
+            "close_commission_ratio": 5e-05,
+            "margin_type": MARGIN_TYPE.BY_MONEY,
+            "long_margin_ratio": 0.005,
+            "open_commission_ratio": 5e-05,
+            "tick_size": 2.0,
+        },
+        "speculation": {
+            "short_margin_ratio": 0.04,
+            "close_commission_today_ratio": 0.0,
+            "commission_type": COMMISSION_TYPE.BY_MONEY,
+            "close_commission_ratio": 5e-05,
+            "margin_type": MARGIN_TYPE.BY_MONEY,
+            "long_margin_ratio": 0.005,
+            "open_commission_ratio": 5e-05,
+            "tick_size": 2.0,
+        },
+        "arbitrage": {
+            "short_margin_ratio": 0.04,
+            "close_commission_today_ratio": 0.0,
+            "commission_type": COMMISSION_TYPE.BY_MONEY,
+            "close_commission_ratio": 5e-05,
+            "margin_type": MARGIN_TYPE.BY_MONEY,
+            "long_margin_ratio": 0.005,
+            "open_commission_ratio": 5e-05,
+            "tick_size": 2.0,
+        },
     }
 }
 
diff --git a/rqalpha/utils/default_future_info.py b/rqalpha/utils/default_future_info.py
@@ -34,7 +34,7 @@
 TRADING_PERIOD_DICT.update({
     underlying_symbol: time_period1
     for underlying_symbol in
-    ["WR", "FU", "CS", "C", "L", "V", "PP", "BB", "FB", "JD", "WH", "PM", "RI", "SF", "SM", "RS", "JR", "LR", "AP"]
+    ["WR", "FU", "CS", "C", "L", "V", "PP", "BB", "FB", "JD", "WH", "PM", "RI", "SF", "SM", "RS", "JR", "LR", "AP", "SP"]
 })
 
 # | 商品期货 Y, M, A, B, P, J, JM, I, CF, SR, OI, TA, MA, ZC, FG, RM, CY | 21:01~23:30, 09:01~10:15, 10:31~11:30, 13:31~15:00 |