用户定义的佣金

原文： https://www.backtrader.com/blog/posts/2015-11-20-commission-schemes-subclassing/commission-schemes-subclassing/

委员会计划的执行不久前进行了修改。最重要的：涉及的返工部分：

保留类和行为的原始 CommissionInfo
打开大门，轻松创建用户定义的佣金
使新佣金方案的默认格式为 xx%，而不是 0.xx（只是口味问题），保持行为可配置

在延长佣金方面概述了基本情况。

笔记

参数参考见下文CommInfoBase的文档串

确定佣金方案

它包括 1 到 2 个步骤

子类化CommInfoBase

只需更改默认参数就足够了。backtrader已经在模块backtrader.commissions中提供了一些定义。期货的常规行业标准是每笔合约和每轮交易的固定金额。定义如下：

py class CommInfo_Futures_Fixed(CommInfoBase): params = ( ('stocklike', False), ('commtype', CommInfoBase.COMM_FIXED), )

对于股票和 perc-wise 佣金：

py class CommInfo_Stocks_Perc(CommInfoBase): params = ( ('stocklike', True), ('commtype', CommInfoBase.COMM_PERC), )

如上所述，此处解释百分比（作为参数commission传递）的默认值为：xx%。如果希望旧的/其他行为0.xx，则可以轻松完成：

py class CommInfo_Stocks_PercAbs(CommInfoBase): params = ( ('stocklike', True), ('commtype', CommInfoBase.COMM_PERC), ('percabs', True), )
覆盖_getcommission方法（如果需要）

定义为：

```py def _getcommission(self, size, price, pseudoexec): '''Calculates the commission of an operation at a given price

pseudoexec: if True the operation has not yet been executed ''' ```

更多细节请参见下面的实际示例

如何将此应用于平台

一旦CommInfoBase子类就位，技巧就是使用broker.addcommissioninfo而不是通常的broker.setcommission。后者将在内部使用遗留的CommissionInfoObject。

做起来容易说起来难：

...

comminfo = CommInfo_Stocks_PercAbs(commission=0.005)  # 0.5%
cerebro.broker.addcommissioninfo(comminfo)

addcommissioninfo方法定义如下：

def addcommissioninfo(self, comminfo, name=None):
    self.comminfo[name] = comminfo

设置name意味着comminfo对象将只应用于具有该名称的资产。None的默认值表示它适用于系统中的所有资产。

实例

Ticket询问一种适用于期货的佣金方案，该方案是按百分比计算的，并在整个合同“虚拟”价值上使用佣金百分比。ie：包括佣金计算中的未来乘数。

这应该很容易：

import backtrader as bt

class CommInfo_Fut_Perc_Mult(bt.CommInfoBase):
    params = (
      ('stocklike', False),  # Futures
      ('commtype', bt.CommInfoBase.COMM_PERC),  # Apply % Commission
    # ('percabs', False),  # pass perc as xx% which is the default
    )

    def _getcommission(self, size, price, pseudoexec):
        return size * price * self.p.commission * self.p.mult

将其放入系统：

comminfo = CommInfo_Fut_Perc_Mult(
    commission=0.1,  # 0.1%
    mult=10,
    margin=2000  # Margin is needed for futures-like instruments
)

cerebro.broker.addcommission(comminfo)

如果默认格式为0.xx，只需将参数percabs设置为True：

class CommInfo_Fut_Perc_Mult(bt.CommInfoBase):
    params = (
      ('stocklike', False),  # Futures
      ('commtype', bt.CommInfoBase.COMM_PERC),  # Apply % Commission
      ('percabs', True),  # pass perc as 0.xx
    )

comminfo = CommInfo_Fut_Perc_Mult(
    commission=0.001,  # 0.1%
    mult=10,
    margin=2000  # Margin is needed for futures-like instruments
)

cerebro.broker.addcommissioninfo(comminfo)

这一切都应该奏效。

解释`pseudoexec`

让我们回顾一下_getcommission的定义：

def _getcommission(self, size, price, pseudoexec):
    '''Calculates the commission of an operation at a given price

    pseudoexec: if True the operation has not yet been executed
    '''

pseudoexecarg 的目的可能看起来很模糊，但它是有目的的。

平台可以调用此方法来预计算可用现金和其他一些任务
这意味着该方法可以（实际上也将）使用相同的参数多次调用

pseudoexec指示调用是否对应于订单的实际执行。虽然乍一看，这似乎不“相关”，但如果考虑到以下情况：

一旦议付的合约数量超过 5000 个单位，经纪人将提供期货往返佣金的 50%折扣

在这种情况下，如果pseudoexec不存在，则对该方法的多个非执行调用将快速触发折扣到位的假设。

将场景付诸实施：

import backtrader as bt

class CommInfo_Fut_Discount(bt.CommInfoBase):
    params = (
      ('stocklike', False),  # Futures
      ('commtype', bt.CommInfoBase.COMM_FIXED),  # Apply Commission

      # Custom params for the discount
      ('discount_volume', 5000),  # minimum contracts to achieve discount
      ('discount_perc', 50.0),  # 50.0% discount
    )

    negotiated_volume = 0  # attribute to keep track of the actual volume

    def _getcommission(self, size, price, pseudoexec):
        if self.negotiated_volume > self.p.discount_volume:
           actual_discount = self.p.discount_perc / 100.0
        else:
           actual_discount = 0.0

        commission = self.p.commission * (1.0 - actual_discount)
        commvalue = size * price * commission

        if not pseudoexec:
           # keep track of actual real executed size for future discounts
           self.negotiated_volume += size

        return commvalue

pseudoexec的目的和存在现在有望明确。

CommInfoBase 文档字符串和参数

这是：

class CommInfoBase(with_metaclass(MetaParams)):
    '''Base Class for the Commission Schemes.

    Params:

      - commission (def: 0.0): base commission value in percentage or monetary
        units

      - mult (def 1.0): multiplier applied to the asset for value/profit

      - margin (def: None): amount of monetary units needed to open/hold an
        operation. It only applies if the final ``_stocklike`` attribute in the
        class is set to False

      - commtype (def: None): Supported values are CommInfoBase.COMM_PERC
        (commission to be understood as %) and CommInfoBase.COMM_FIXED
        (commission to be understood as monetary units)

        The default value of ``None`` is a supported value to retain
        compatibility with the legacy ``CommissionInfo`` object. If
        ``commtype`` is set to None, then the following applies:

          - margin is None: Internal _commtype is set to COMM_PERC and
            _stocklike is set to True (Operating %-wise with Stocks)

          - margin is not None: _commtype set to COMM_FIXED and _stocklike set
            to False (Operating with fixed rount-trip commission with Futures)

        If this param is set to something else than None, then it will be
        passed to the internal ``_commtype`` attribute and the same will be
        done with the param ``stocklike`` and the internal attribute
        ``_stocklike``

      - stocklike (def: False):  Indicates if the instrument is Stock-like or
        Futures-like (see the ``commtype`` discussion above)

      - percabs (def: False): when ``commtype`` is set to COMM_PERC, whether
        the parameter ``commission`` has to be understood as XX% or 0.XX

        If this param is True: 0.XX
        If this param is False: XX%

    Attributes:

      - _stocklike: Final value to use for Stock-like/Futures-like behavior
      - _commtype: Final value to use for PERC vs FIXED commissions

      This two are used internally instead of the declared params to enable the
      compatibility check described above for the legacy ``CommissionInfo``
      object
    '''

    COMM_PERC, COMM_FIXED = range(2)

    params = (
        ('commission', 0.0), ('mult', 1.0), ('margin', None),
        ('commtype', None),
        ('stocklike', False),
        ('percabs', False),
    )

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apachecn/AiLearning

用户定义的佣金

确定佣金方案

如何将此应用于平台

实例

解释pseudoexec

CommInfoBase 文档字符串和参数

解释`pseudoexec`