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提高佣金：股票与期货

原文： https://www.backtrader.com/blog/posts/2015-07-31-commission-schemes-updated/commission-schemes-updated/

通过发布 backtrader 使用示例，我了解了缺少的内容。首先：

  • 多核优化

  • 佣金：股票与期货

后者告诉我：

  • 经纪人在计算损益方面做了正确的事情，并向呼叫策略提供了正确的订单通知

  • 该策略无法访问operations（又名trades），这是订单打开和关闭一个头寸的结果（后者显示一个 P&L 图）

  • 绘制的OperationP&L 图形由Observer收集，无法访问实际的commission scheme，因此为futures-like操作和stocks-like操作呈现相同的 P&L

显然，需要进行少量的内部返工以实现：

  • Operation对战略的通知

  • Operations显示右侧 P&L 图形

broker已经拥有了所有需要的信息，并且已经将大部分信息填充到order中，而order正被通知给创建它的strategy。唯一需要做的决定是broker是否会在订单中加入额外的信息位，或者它是否可以计算operations本身。

由于策略已经得到了orders并且将operations保留在列表中似乎很自然，broker只是在订单部分/全部关闭位置时添加实际的 P&L，将计算责任留给strategy。

反过来，这将Operations Observer的实际作用简化为观察新关闭的Operation并记录它。它应该一直扮演的角色。

下面的代码已被修改，不再计算损益数字，只需关注notify_operation中通知的数字。

现在的图表反映了现实的损益数字（T0 和 T1 都是现实的）

旧的期货记录：

2006-03-09, BUY CREATE, 3757.59
2006-03-10, BUY EXECUTED, Price: 3754.13, Cost: 2000.00, Comm 2.00
2006-04-11, SELL CREATE, 3788.81
2006-04-12, SELL EXECUTED, Price: 3786.93, Cost: 2000.00, Comm 2.00
2006-04-12, OPERATION PROFIT, GROSS 328.00, NET 324.00
2006-04-20, BUY CREATE, 3860.00
2006-04-21, BUY EXECUTED, Price: 3863.57, Cost: 2000.00, Comm 2.00
2006-04-28, SELL CREATE, 3839.90
2006-05-02, SELL EXECUTED, Price: 3839.24, Cost: 2000.00, Comm 2.00
2006-05-02, OPERATION PROFIT, GROSS -243.30, NET -247.30

期货的新记录：

2006-03-09, BUY CREATE, 3757.59
2006-03-10, BUY EXECUTED, Price: 3754.13, Cost: 2000.00, Comm 2.00
2006-04-11, SELL CREATE, 3788.81
2006-04-12, SELL EXECUTED, Price: 3786.93, Cost: 2000.00, Comm 2.00
2006-04-12, OPERATION PROFIT, GROSS 328.00, NET 324.00
2006-04-20, BUY CREATE, 3860.00
2006-04-21, BUY EXECUTED, Price: 3863.57, Cost: 2000.00, Comm 2.00
2006-04-28, SELL CREATE, 3839.90
2006-05-02, SELL EXECUTED, Price: 3839.24, Cost: 2000.00, Comm 2.00
2006-05-02, OPERATION PROFIT, GROSS -243.30, NET -247.30
2006-05-02, BUY CREATE, 3862.24

旧的股票记录：

2006-03-09, BUY CREATE, 3757.59
2006-03-10, BUY EXECUTED, Price: 3754.13, Cost: 3754.13, Comm 18.77
2006-04-11, SELL CREATE, 3788.81
2006-04-12, SELL EXECUTED, Price: 3786.93, Cost: 3786.93, Comm 18.93
2006-04-12, OPERATION PROFIT, GROSS 32.80, NET -4.91
2006-04-20, BUY CREATE, 3860.00
2006-04-21, BUY EXECUTED, Price: 3863.57, Cost: 3863.57, Comm 19.32
2006-04-28, SELL CREATE, 3839.90
2006-05-02, SELL EXECUTED, Price: 3839.24, Cost: 3839.24, Comm 19.20
2006-05-02, OPERATION PROFIT, GROSS -24.33, NET -62.84

股票的新记录：

2006-03-09, BUY CREATE, 3757.59
2006-03-10, BUY EXECUTED, Price: 3754.13, Cost: 3754.13, Comm 18.77
2006-04-11, SELL CREATE, 3788.81
2006-04-12, SELL EXECUTED, Price: 3786.93, Cost: 3786.93, Comm 18.93
2006-04-12, OPERATION PROFIT, GROSS 32.80, NET -4.91
2006-04-20, BUY CREATE, 3860.00
2006-04-21, BUY EXECUTED, Price: 3863.57, Cost: 3863.57, Comm 19.32
2006-04-28, SELL CREATE, 3839.90
2006-05-02, SELL EXECUTED, Price: 3839.24, Cost: 3839.24, Comm 19.20
2006-05-02, OPERATION PROFIT, GROSS -24.33, NET -62.84
2006-05-02, BUY CREATE, 3862.24

和图表（只有新的）。futures-like操作和stock-like操作之间的差异现在可以清楚地看到，而不仅仅是cash和value的演变。

期货佣金

!image

股票佣金

!image

代码

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import backtrader as bt
import backtrader.feeds as btfeeds
import backtrader.indicators as btind

futures_like = True

if futures_like:
    commission, margin, mult = 2.0, 2000.0, 10.0
else:
    commission, margin, mult = 0.005, None, 1

class SMACrossOver(bt.Strategy):
    def log(self, txt, dt=None):
        ''' Logging function fot this strategy'''
        dt = dt or self.datas[0].datetime.date(0)
        print('%s, %s' % (dt.isoformat(), txt))

    def notify(self, order):
        if order.status in [order.Submitted, order.Accepted]:
            # Buy/Sell order submitted/accepted to/by broker - Nothing to do
            return

        # Check if an order has been completed
        # Attention: broker could reject order if not enougth cash
        if order.status in [order.Completed, order.Canceled, order.Margin]:
            if order.isbuy():
                self.log(
                    'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                    (order.executed.price,
                     order.executed.value,
                     order.executed.comm))
            else:  # Sell
                self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                         (order.executed.price,
                          order.executed.value,
                          order.executed.comm))

    def notify_trade(self, trade):
        if trade.isclosed:
            self.log('TRADE PROFIT, GROSS %.2f, NET %.2f' %
                     (trade.pnl, trade.pnlcomm))

    def __init__(self):
        sma = btind.SMA(self.data)
        # > 0 crossing up / < 0 crossing down
        self.buysell_sig = btind.CrossOver(self.data, sma)

    def next(self):
        if self.buysell_sig > 0:
            self.log('BUY CREATE, %.2f' % self.data.close[0])
            self.buy()  # keep order ref to avoid 2nd orders

        elif self.position and self.buysell_sig < 0:
            self.log('SELL CREATE, %.2f' % self.data.close[0])
            self.sell()

if __name__ == '__main__':
    # Create a cerebro entity
    cerebro = bt.Cerebro()

    # Add a strategy
    cerebro.addstrategy(SMACrossOver)

    # Create a Data Feed
    datapath = ('../../datas/2006-day-001.txt')
    data = bt.feeds.BacktraderCSVData(dataname=datapath)

    # Add the Data Feed to Cerebro
    cerebro.adddata(data)

    # set commission scheme -- CHANGE HERE TO PLAY
    cerebro.broker.setcommission(
        commission=commission, margin=margin, mult=mult)

    # Run over everything
    cerebro.run()

    # Plot the result
    cerebro.plot()
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