class ICFutures(Asset):
lag = 0
exchange = 'CFFEX'
commission = PerValue(buyCost=_test_cost, sellCost=_test_cost)
multiplier = 200
margin = 0.
settle = 0.
minimum = 1
short = True
class IHFutures(Asset):
u"""
中金所上证50指数期货
"""
lag = 0
exchange = 'CFFEX'
commission = PerValue(buyCost=_test_cost, sellCost=_test_cost)
multiplier = 300
margin = 0.
settle = 0.
minimum = 1
short = True
class XSHEMutualFund(Asset):
u"""
深圳证券交易所公募基金E
"""
lag = 1
exchange = "XSH"
commission = PerValue(buyCost=0.0, sellCost=0.001)
multiplier = 1.
margin = 0.
settle = 1.
minimum = 100
short = False
class EXIndex(Asset):
u"""
交易所指数
"""
lag = 0
exchange = "SE"
commission = PerValue(buyCost=0.0, sellCost=0.0)
multiplier = 1.
margin = 0.
settle = 1.
minimum = 1
short = True
class XSHEStock(Asset):
u"""
深圳证券交易所股票
"""
lag = 1
exchange = "XSHE"
commission = PerValue(buyCost=0.0, sellCost=0.001)
multiplier = 1.
margin = 0.
settle = 1.
minimum = 100
short = False
class IFFutures(Asset):
u"""
中金所沪深300股指期货
"""
lag = 0
exchange = 'CFFEX'
commission = PerValue(buyCost=_test_cost, sellCost=_test_cost)
multiplier = 300
margin = 0.
settle = 0.
minimum = 1
short = True
price_limit = 0.1
class RBFutures(Asset):
u"""
上期所螺纹钢合约
"""
lag = 0
exchange = 'XSGE'
commission = PerValue(buyCost=future_cost, sellCost=future_cost)
multiplier = 1
margin = 0.
settle = 0.
minimum = 1
short = True
price_limit = 0.1
class TFutures(Asset):
u"""
中金所10年期国债期货
"""
lag = 0
exchange = 'CCFX'
commission = PerValue(buyCost=future_cost, sellCost=future_cost)
multiplier = 1
margin = 0.
settle = 0.
minimum = 1
short = True
price_limit = 0.1
class XSHGMutualFund(Asset):
u"""
上海证券交易所公募基金
"""
lag = 1
exchange = "XSHG"
commission = PerValue(buyCost=0.0, sellCost=0.001)
multiplier = 1.
margin = 0.
settle = 1.
minimum = 100
short = False
price_limit = 0.1
class XSHGStock(Asset):
u"""
上海证券交易所股票
"""
lag = 1
exchange = "XSHG"
commission = PerValue(buyCost=0.001, sellCost=0.002)
multiplier = 1.
margin = 1.
settle = 1.
minimum = 100
short = False
price_limit = 0.1
class EXIndex(Asset):
u"""
交易所指数
"""
lag = 0
exchange = "ZICN"
commission = PerValue(buyCost=index_cost, sellCost=index_cost)
multiplier = 1.
margin = 1.
settle = 1.
minimum = 1
short = True
price_limit = 0.1
# -*- coding: utf-8 -*-
u"""
Created on 2015-9-25
@author: cheng.li
"""
from AlgoTrading.Assets.base import Asset
from AlgoTrading.Finance.Commission import PerValue
XSHGStock = Asset(lag=1,
exchange='XSHG',
commission=PerValue(buyCost=0.0, sellCost=0.001),
multiplier=1.,
margin=0.,
settle=1.,
minimum=100,
short=False)
XSHEStock = Asset(lag=1,
exchange='XSHE',
commission=PerValue(buyCost=0.0, sellCost=0.001),
multiplier=1.,
margin=0.,
settle=1.,
minimum=100,
short=False)
# -*- coding: utf-8 -*-
u"""
Created on 2015-11-13
@author: cheng.li
"""
from AlgoTrading.Assets.base import Asset
from AlgoTrading.Finance.Commission import PerValue
_test_cost = 0.0
IFFutures = Asset(lag=0,
exchange='CFFEX',
commission=PerValue(buyCost=_test_cost, sellCost=_test_cost),
multiplier=6,
margin=0.,
settle=0.,
minimum=1,
short=True)
IHFutures = Asset(lag=0,
exchange='CFFEX',
commission=PerValue(buyCost=_test_cost, sellCost=_test_cost),
multiplier=8,
margin=0.,
settle=0.,
minimum=1,
short=True)
ICFutures = Asset(lag=0,
