Merge pull request #55 from ricequant/feature/commission_margin_acces…

…s_way

now rqalpha can get future commission and margin from data source if …

rqalpha/data/data_proxy.py

@@ -29,6 +29,7 @@
 from ..model.bar import BarObject
 from ..model.snapshot import SnapshotObject
 from ..utils.datetime_func import convert_int_to_datetime
+from ..const import HEDGE_TYPE
 
 
 class DataProxy(InstrumentMixin, TradingDatesMixin):
@@ -146,3 +147,6 @@ def current_snapshot(self, order_book_id, frequency, dt):
 
     def available_data_range(self, frequency):
         return self._data_source.available_data_range(frequency)
+
+    def get_future_info(self, order_book_id, hedge_type=HEDGE_TYPE.SPECULATION):
+        return self._data_source.get_future_info(order_book_id, hedge_type)

rqalpha/execution_context.py

@@ -19,6 +19,8 @@
 
 from .utils.i18n import gettext as _
 from .utils.exception import CustomException, patch_user_exc
+from .utils import get_upper_underlying_symbol
+from .utils.default_future_info import DEFAULT_FUTURE_INFO
 
 
 class ContextStack(object):
@@ -150,3 +152,22 @@ def get_current_close_price(cls, order_book_id):
             ExecutionContext.config.base.frequency,
             ExecutionContext.calendar_dt
         ).last
+
+    @classmethod
+    def get_future_commission_info(cls, order_book_id, hedge_type):
+        try:
+            return ExecutionContext.data_proxy.get_future_info(order_book_id, hedge_type)
+        except NotImplementedError:
+            underlying_symbol = get_upper_underlying_symbol(order_book_id)
+            return DEFAULT_FUTURE_INFO[underlying_symbol][hedge_type.value]
+
+    @classmethod
+    def get_future_margin(cls, order_book_id):
+        try:
+            return ExecutionContext.data_proxy.get_future_info(order_book_id)['long_margin_ratio']
+        except NotImplementedError:
+            return ExecutionContext.data_proxy.instruments(order_book_id).margin_rate
+
+    @classmethod
+    def get_future_info(cls, order_book_id, hedge_type):
+        return ExecutionContext.data_proxy.get_future_info(order_book_id, hedge_type)

rqalpha/interface.py

@@ -236,6 +236,16 @@ def available_data_range(self, frequency):
         """
         raise NotImplementedError
 
+    def get_future_info(self, order_book_id, hedge_type):
+        """
+        获取期货合约手续费、保证金等数据
+
+        :param str order_book_id: 合约名
+        :param HEDGE_TYPE hedge_type: 枚举类型，账户对冲类型
+        :return: dict
+        """
+        raise NotImplementedError
+
 
 class AbstractBroker(with_metaclass(abc.ABCMeta)):
     """

rqalpha/model/commission.py

@@ -88,8 +88,7 @@ def __init__(self, multiplier, hedge_type=HEDGE_TYPE.SPECULATION):
     def get_commission(self, trade):
         order = trade.order
         order_book_id = order.order_book_id
-        underlying_symbol = get_upper_underlying_symbol(order_book_id)
-        info = DEFAULT_FUTURE_INFO[underlying_symbol][self.hedge_type.value]
+        info = ExecutionContext.get_future_commission_info(order_book_id, self.hedge_type)
         commission = 0
         if info['commission_type'] == COMMISSION_TYPE.BY_MONEY:
             contract_multiplier = ExecutionContext.get_instrument(order.order_book_id).contract_multiplier

rqalpha/model/margin.py

@@ -22,5 +22,5 @@ def __init__(self, multiplier):
         self.multiplier = multiplier
 
     def cal_margin(self, order_book_id, side, value):
-        instrument = ExecutionContext.get_instrument(order_book_id)
-        return self.multiplier * value * instrument.margin_rate
+        margin_rate = ExecutionContext.get_future_margin(order_book_id)
+        return self.multiplier * value * margin_rate