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License: Apache License 2.0
Java Future trader CTP FEMAS XTP
License: Apache License 2.0
希望能建立<合约详情数据库>,用于复杂回测(期货主力合约回测,期权回测等)
参考:
CTP合约信息API
https://www.vnpy.com/forum/topic/4358
TdApi.reqQryInstrument()函数,返回的部分字段(顺序有调整):
{
//-----------------------------------以下是<合约详情>,固定的----可以写入数据库中!
'InstrumentID': 'rb2010',
'ExchangeID': 'SHFE',
'InstrumentName': '螺纹钢2010',
'ExchangeInstID': 'rb2010',
'ProductID': 'rb',
'ProductClass': '1',
'UnderlyingInstrID': '',
'StrikePrice': 0.0,
'OptionsType': '\x00',
'UnderlyingMultiple': 0.0,
'VolumeMultiple': 10,
'PriceTick': 1.0,
'DeliveryYear': 2020,
'DeliveryMonth': 10,
'CreateDate': '20190912',
'OpenDate': '20191016',
'ExpireDate': '20201015',
'StartDelivDate': '20201016',
'EndDelivDate': '20201022',
//-----------------------------------以下是状态量,变化的----也可以入库,但分成多条记录入库!
'IsTrading': 1,
'InstLifePhase': '1',
'MaxMarketOrderVolume': 30,
'MinMarketOrderVolume': 1,
'MaxLimitOrderVolume': 500,
'MinLimitOrderVolume': 1,
'LongMarginRatio': 0.1,
'ShortMarginRatio': 0.1,
'MaxMarginSideAlgorithm': '1',
'PositionType': '2',
'PositionDateType': '1',
'CombinationType': '0'
}
希望能增加 mac 支持
同时希望在打 jar 包的时候,把 java source code 打进去,方便 debug
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;...)
你打算怎么支持XTP?
如题
希望能支持期权数据(商品的,ETF50的),谢谢!
支持期货指数数据,eg:通达信的IFL9/IHL9/ICL9
支持在期货指数数据上进行策略运算,在主力合约上下单!!!
谢谢
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