8.4 Commissions: Credit

CommInfoBase 通过拓展 interest 和 interest_long 这两个参数， 使得为空单或者多空单的设置融资成本成为可能。

Parameters

• interest (def: 0.0)

If this is non-zero, this is the yearly interest charged for holding a short selling position. This is mostly meant for stock short-selling

The default formula applied: days * price * size * (interest / 365)

It must be specified in absolute terms: 0.05 -> 5%

• interest_long (def: False)

Some products like ETFs get charged on interest for short and long positions. If ths is True and interest is non-zero the interest will be charged on both directions

Overriding the formula

def _get_credit_interest(self, size, price, days, dt0, dt1):
    '''
    This method returns  the cost in terms of credit interest charged by
    the broker.

    In the case of ``size > 0`` this method will only be called if the
    parameter to the class ``interest_long`` is ``True``

    The formulat for the calculation of the credit interest rate is:

      The formula: ``days * price * abs(size) * (interest / 365)``


    Params:
      - ``data``: data feed for which interest is charged

      - ``size``: current position size. > 0 for long positions and < 0 for
        short positions (this parameter will not be ``0``)

      - ``price``: current position price

      - ``days``: number of days elapsed since last credit calculation
        (this is (dt0 - dt1).days)

      - ``dt0``: (datetime.datetime) current datetime

      - ``dt1``: (datetime.datetime) datetime of previous calculation

    ``dt0`` and ``dt1`` are not used in the default implementation and are
    provided as extra input for overridden methods
    '''

Example :

import backtrader as bt

class MyCommissionInfo(bt.CommInfo):

   def _get_credit_interest(self, size, price, days, dt0, dt1):
       return 1.0 * abs(size) * price * (self.p.interest / 365.0)

In this case, in the formula:

• days has been replaced by 1.0

Because if weekends/bank holidays do not count, the next calculation will always happen 1 trading da after the previous calculation