计算策略盈亏情况

基于收盘价、当日持仓量、合约规模、滑点、手续费率等计算总盈亏与净盈亏，并且其计算结果以DataFrame格式输出，完成基于逐日盯市盈亏统计。

下面展示盈亏情况的计算过程

  • 浮动盈亏 = 持仓量 （当日收盘价 - 昨日收盘价） 合约规模

  • 实际盈亏 = 持仓变化量 （当时收盘价 - 开仓成交价） 合约规模

  • 总盈亏 = 浮动盈亏 + 实际盈亏

  • 净盈亏 = 总盈亏 - 总手续费 - 总滑点

  1.     def calculate_pnl(
  2.         self,
  3.         pre_close: float,
  4.         start_pos: float,
  5.         size: int,
  6.         rate: float,
  7.         slippage: float,
  8.     ):
  9.         """"""
  10.         self.pre_close = pre_close
  11.  
  12.         # Holding pnl is the pnl from holding position at day start
  13.         self.start_pos = start_pos
  14.         self.end_pos = start_pos
  15.         self.holding_pnl = self.start_pos * \
  16.             (self.close_price - self.pre_close) * size
  17.  
  18.         # Trading pnl is the pnl from new trade during the day
  19.         self.trade_count = len(self.trades)
  20.  
  21.         for trade in self.trades:
  22.             if trade.direction == Direction.LONG:
  23.                 pos_change = trade.volume
  24.             else:
  25.                 pos_change = -trade.volume
  26.  
  27.             turnover = trade.price * trade.volume * size
  28.  
  29.             self.trading_pnl += pos_change * \
  30.                 (self.close_price - trade.price) * size
  31.             self.end_pos += pos_change
  32.             self.turnover += turnover
  33.             self.commission += turnover * rate
  34.             self.slippage += trade.volume * size * slippage
  35.  
  36.         # Net pnl takes account of commission and slippage cost
  37.         self.total_pnl = self.trading_pnl + self.holding_pnl
  38.         self.net_pnl = self.total_pnl - self.commission - self.slippage