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希望能够考虑回测场景 #7

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zfsamzfsam opened this issue Aug 29, 2020 · 0 comments

zfsamzfsam commented Aug 29, 2020 •

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回测场景
eg:
股票:订阅指定板块的个股,个股会随着时间变化,尽管是缓慢变化的
期货:订阅指数合约同时订阅主力合约,主力合约随着时间变化
支持在期货指数数据上进行策略运算,在主力合约上下单
期权:往往只需要指定标的资产/到期月份,就可以订阅一系列期权合约,也是随着时间变化的

标的的动态订阅/退订,用于回测&实盘
尤其是期权回测,标的必须能动态变更,而不是在开始的时候就固定不变

批量订阅----回测/实盘时,根据<标的Filter规则>和<实际可订阅标的列表>来

退订分为:
	a.自动退订(标的到期or退市)
	b.主动退订(满足某些条件,该标的不具有再开仓的价值了,可退订,eg:持有的头寸平仓,不再交易该标的了;期货标的接近交割月,可退订;...)

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