支持使用结算价结算期货

ricequant · Feb 21, 2023 · 9a1d319 · 9a1d319
1 parent 3c5a50a
commit 9a1d319
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Showing 3 changed files with 27 additions and 1 deletion.
diff --git a/rqalpha/mod/rqalpha_mod_sys_accounts/__init__.py b/rqalpha/mod/rqalpha_mod_sys_accounts/__init__.py
@@ -32,7 +32,9 @@
     # 融资利率/年
     "financing_rate": 0.00,
     # 是否开启融资可买入股票的限制
-    "financing_stocks_restriction_enabled": False
+    "financing_stocks_restriction_enabled": False,
+    # 逐日盯市结算价: settlement/close
+    "futures_settlement_price_type": "close",
 }
 
 
@@ -79,3 +81,11 @@ def load_mod():
         help="[sys_accounts] enable stock shorting"
     )
 )
+
+cli.commands['run'].params.append(
+    click.Option(
+        ('--futures-settlement-price-type', cli_prefix + 'futures_settlement_price_type'),
+        default="close",
+        help="[sys_accounts] future settlement price"
+    )
+)
diff --git a/rqalpha/mod/rqalpha_mod_sys_accounts/mod.py b/rqalpha/mod/rqalpha_mod_sys_accounts/mod.py
@@ -50,6 +50,10 @@ def start_up(self, env, mod_config):
         elif mod_config.financing_rate < 0:
             raise ValueError("sys_accounts financing_rate must >= 0")
 
+        futures_settlement_price_types = ["settlement", "close"]
+        if mod_config.futures_settlement_price_type not in futures_settlement_price_types:
+            raise ValueError("sys_accounts futures_settlement_price_type in {}".format(futures_settlement_price_types))
+
         if DEFAULT_ACCOUNT_TYPE.FUTURE in env.config.base.accounts:
             # 注入期货API
             # noinspection PyUnresolvedReferences

diff --git a/rqalpha/mod/rqalpha_mod_sys_accounts/position_model.py b/rqalpha/mod/rqalpha_mod_sys_accounts/position_model.py
@@ -295,9 +295,21 @@ def settlement(self, trading_date):
                 order_book_id=self._order_book_id
             ))
             self._quantity = self._old_quantity = 0
+
+        if self._env.config.mod.sys_accounts.futures_settlement_price_type == "settlement":
+            # 逐日盯市按照结算价结算
+            self._last_price = self._env.data_proxy.get_settle_price(self._order_book_id, self._env.calendar_dt)
+            self._prev_close = self._env.data_proxy.get_prev_settlement(self._order_book_id, self._env.calendar_dt)
+
         self._avg_price = self.last_price
         return delta_cash
 
+    def before_trading(self, trading_date):
+        # type: (date) -> float
+        delta = super().before_trading(trading_date)
+        self._last_price = None
+        return delta
+
 
 class StockPositionProxy(PositionProxy):
     __repr_properties__ = (