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josephchenhk
关于Portfolio里做空和做多的account_balance.cash计算疑惑
代码如下：
def update(self, deal: Deal):
security = deal.security
lot_size = security.lot_size
price = deal.filled_avg_price
quantity = deal.filled_quantity
direction = deal.direction
offset = deal.offset
filled_time = deal.updated_time
fee = self.market.fees(deal).total_fees
# update balance
self.account_balance.cash -= fee
if direction == Direction.LONG:
self.account_balance.cash -= price * quantity * lot_size
if offset == Offset.CLOSE: # pay interest when closing short
short_position = self.position.holdings[security][Direction.SHORT]
short_interest = (
short_position.holding_price
* short_position.quantity
* (filled_time - short_position.update_time).days / 365
* self.market.SHORT_INTEREST_RATE
)
self.account_balance.cash -= short_interest
elif direction == Direction.SHORT:
self.account_balance.cash += price * quantity * lot_size
1.股票： direction=LONG开仓下是cash会减少，direction=SHORT卖出account_balance.cash余额增加，这是没有问题的。 2.期货： direction=LONG下如果offset=CLOSE为什么cash也用减法并且还有一个account_balance.cash -= short_interest。 direction=SHORT下如果offset=OPEN为什么cash还用加法呢（self.account_balance.cash += price * quantity * lot_size）。
问题是股票我能理解，买入和卖出的金额，但是期货的做多和做空，金额的变化不太理解。希望作者能帮忙解惑期权期货Portfolio里的update逻辑怎么解释。
代码如下：
def update(self, deal: Deal): security = deal.security lot_size = security.lot_size price = deal.filled_avg_price quantity = deal.filled_quantity direction = deal.direction offset = deal.offset filled_time = deal.updated_time fee = self.market.fees(deal).total_fees # update balance self.account_balance.cash -= fee if direction == Direction.LONG: self.account_balance.cash -= price * quantity * lot_size if offset == Offset.CLOSE: # pay interest when closing short short_position = self.position.holdings[security][Direction.SHORT] short_interest = ( short_position.holding_price * short_position.quantity * (filled_time - short_position.update_time).days / 365 * self.market.SHORT_INTEREST_RATE ) self.account_balance.cash -= short_interest elif direction == Direction.SHORT: self.account_balance.cash += price * quantity * lot_size1.股票： direction=LONG开仓下是cash会减少，direction=SHORT卖出account_balance.cash余额增加，这是没有问题的。 2.期货： direction=LONG下如果offset=CLOSE为什么cash也用减法并且还有一个account_balance.cash -= short_interest。 direction=SHORT下如果offset=OPEN为什么cash还用加法呢（self.account_balance.cash += price * quantity * lot_size）。
问题是股票我能理解，买入和卖出的金额，但是期货的做多和做空，金额的变化不太理解。希望作者能帮忙解惑期权期货Portfolio里的update逻辑怎么解释。
期貨short interest是零，股票做空有成本，short interest不為零。
代码如下：
def update(self, deal: Deal): security = deal.security lot_size = security.lot_size price = deal.filled_avg_price quantity = deal.filled_quantity direction = deal.direction offset = deal.offset filled_time = deal.updated_time fee = self.market.fees(deal).total_fees # update balance self.account_balance.cash -= fee if direction == Direction.LONG: self.account_balance.cash -= price * quantity * lot_size if offset == Offset.CLOSE: # pay interest when closing short short_position = self.position.holdings[security][Direction.SHORT] short_interest = ( short_position.holding_price * short_position.quantity * (filled_time - short_position.update_time).days / 365 * self.market.SHORT_INTEREST_RATE ) self.account_balance.cash -= short_interest elif direction == Direction.SHORT: self.account_balance.cash += price * quantity * lot_size1.股票： direction=LONG开仓下是cash会减少，direction=SHORT卖出account_balance.cash余额增加，这是没有问题的。 2.期货： direction=LONG下如果offset=CLOSE为什么cash也用减法并且还有一个account_balance.cash -= short_interest。 direction=SHORT下如果offset=OPEN为什么cash还用加法呢（self.account_balance.cash += price * quantity * lot_size）。 问题是股票我能理解，买入和卖出的金额，但是期货的做多和做空，金额的变化不太理解。希望作者能帮忙解惑期权期货Portfolio里的update逻辑怎么解释。
期貨short interest是零，股票做空有成本，short interest不為零。
作者你好，我理解期货做空，direction=SHORT，offset=OPEN，cash应该做减法，为什么Portfolio里计算cash做加法呢。