修复Commission的bug

This commit is contained in:
msincenselee 2017-07-23 20:22:18 +08:00
parent 5081dbe2cb
commit 9b743056e1

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@ -1231,6 +1231,8 @@ class BacktestingEngine(object):
tick.bidVolume1 = int(float(row['bidVolume1']))
tick.askPrice1 = float(row['askPrice1']) # 叫卖价(价格高)
tick.askVolume1 = int(float(row['askVolume1']))
# 排除涨停/跌停的数据
if (tick.bidPrice1 == float('1.79769E308') and tick.bidVolume1 == 0) \
@ -3385,9 +3387,9 @@ class TradingResult(object):
self.turnover = (self.entryPrice + self.exitPrice) * size * abs(volume) # 成交金额
if fixcommission:
self.commission = fixcommission * self.volume
self.commission = fixcommission * abs(self.volume)
else:
self.commission = self.turnover * rate # 手续费成本
self.commission = abs(self.turnover * rate) # 手续费成本
self.slippage = slippage * 2 * size * abs(volume) # 滑点成本
self.pnl = ((self.exitPrice - self.entryPrice) * volume * size
- self.commission - self.slippage) # 净盈亏