本地手续费配置（标准×2），持仓/交易记录/复盘/统计展示扣费后盈亏
Co-authored-by: Cursor <cursoragent@cursor.com>
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dekun
+278
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"""期货手续费：本地费率表 + 开平合计估算（模拟盘参考）。"""
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import json
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import os
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import re
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import sqlite3
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from datetime import datetime
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from typing import Optional
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from contract_specs import get_contract_spec
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DB_PATH = os.path.join(os.path.dirname(os.path.abspath(__file__)), "futures.db")
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DATA_DIR = os.path.join(os.path.dirname(os.path.abspath(__file__)), "data")
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DEFAULT_JSON = os.path.join(DATA_DIR, "fee_rates.json")
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# 无配置时的兜底（已为交易所标准约 2 倍）
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DEFAULT_FEE = {
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"open_fixed": 2.0,
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"open_ratio": 0.0,
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"close_yesterday_fixed": 2.0,
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"close_yesterday_ratio": 0.0,
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"close_today_fixed": 4.0,
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"close_today_ratio": 0.0,
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}
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_INDEX_PRODUCTS = {"if", "ih", "ic", "im"}
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def product_from_code(ths_code: str) -> str:
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code = (ths_code or "").strip()
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m = re.match(r"^([A-Za-z]+)", code)
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return m.group(1).lower() if m else ""
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def _get_db():
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conn = sqlite3.connect(DB_PATH)
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conn.row_factory = sqlite3.Row
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return conn
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def get_fee_multiplier() -> float:
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conn = _get_db()
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row = conn.execute(
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"SELECT value FROM settings WHERE key='fee_multiplier'"
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).fetchone()
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conn.close()
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if row and row["value"]:
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try:
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return max(0.0, float(row["value"]))
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except ValueError:
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pass
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return 2.0
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def get_fee_spec(ths_code: str) -> dict:
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product = product_from_code(ths_code)
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if not product:
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spec = get_contract_spec(ths_code)
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return {**DEFAULT_FEE, "mult": spec["mult"], "product": "", "exchange": ""}
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conn = _get_db()
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row = conn.execute(
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"SELECT * FROM fee_rates WHERE product=?", (product,)
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).fetchone()
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conn.close()
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mult = get_contract_spec(ths_code)["mult"]
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if row:
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return {
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"product": product,
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"exchange": row["exchange"] or "",
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"mult": int(row["mult"] or mult),
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"open_fixed": float(row["open_fixed"] or 0),
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"open_ratio": float(row["open_ratio"] or 0),
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"close_yesterday_fixed": float(row["close_yesterday_fixed"] or 0),
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"close_yesterday_ratio": float(row["close_yesterday_ratio"] or 0),
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"close_today_fixed": float(row["close_today_fixed"] or 0),
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"close_today_ratio": float(row["close_today_ratio"] or 0),
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}
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if product in _INDEX_PRODUCTS:
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return {
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"product": product,
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"exchange": "CFFEX",
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"mult": mult,
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"open_fixed": 0.0,
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"open_ratio": 0.000092,
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"close_yesterday_fixed": 0.0,
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"close_yesterday_ratio": 0.000092,
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"close_today_fixed": 0.0,
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"close_today_ratio": 0.000276,
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}
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return {
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"product": product,
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"exchange": "",
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"mult": mult,
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**DEFAULT_FEE,
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}
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def calc_side_fee(
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price: float,
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lots: float,
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mult: int,
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fixed: float,
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ratio: float,
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) -> float:
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lots = lots or 1.0
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fixed = fixed or 0.0
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ratio = ratio or 0.0
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return fixed * lots + ratio * price * mult * lots
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def is_same_day(open_time: str, close_time: str) -> bool:
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if not open_time or not close_time:
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return True
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o = open_time.strip().replace(" ", "T")[:10]
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c = close_time.strip().replace(" ", "T")[:10]
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return o == c
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def calc_round_trip_fee(
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ths_code: str,
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entry_price: float,
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close_price: float,
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lots: float,
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open_time: str = "",
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close_time: str = "",
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) -> float:
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if not entry_price or not close_price:
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return 0.0
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spec = get_fee_spec(ths_code)
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mult = spec["mult"]
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lots = lots or 1.0
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open_fee = calc_side_fee(
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entry_price, lots, mult,
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spec["open_fixed"], spec["open_ratio"],
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)
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if is_same_day(open_time, close_time):
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close_fee = calc_side_fee(
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close_price, lots, mult,
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spec["close_today_fixed"], spec["close_today_ratio"],
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)
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else:
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close_fee = calc_side_fee(
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close_price, lots, mult,
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spec["close_yesterday_fixed"], spec["close_yesterday_ratio"],
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)
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return round(open_fee + close_fee, 2)
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def calc_fee_breakdown(
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ths_code: str,
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entry_price: float,
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close_price: float,
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lots: float,
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open_time: str = "",
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close_time: str = "",
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) -> dict:
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spec = get_fee_spec(ths_code)
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mult = spec["mult"]
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lots = lots or 1.0
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open_fee = calc_side_fee(
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entry_price, lots, mult, spec["open_fixed"], spec["open_ratio"],
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)
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same_day = is_same_day(open_time, close_time)
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if same_day:
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close_fee = calc_side_fee(
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close_price, lots, mult,
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spec["close_today_fixed"], spec["close_today_ratio"],
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)
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close_type = "平今"
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else:
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close_fee = calc_side_fee(
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close_price, lots, mult,
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spec["close_yesterday_fixed"], spec["close_yesterday_ratio"],
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)
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close_type = "平昨"
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total = round(open_fee + close_fee, 2)
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return {
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"open_fee": round(open_fee, 2),
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"close_fee": round(close_fee, 2),
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"close_type": close_type,
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"total_fee": total,
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"same_day": same_day,
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}
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def load_fee_rates_from_json(path: Optional[str] = None) -> int:
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path = path or DEFAULT_JSON
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if not os.path.isfile(path):
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return 0
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with open(path, "r", encoding="utf-8") as f:
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data = json.load(f)
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conn = _get_db()
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now = datetime.now().isoformat(timespec="seconds")
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count = 0
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for product, item in data.items():
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if not isinstance(item, dict):
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continue
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conn.execute(
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"""INSERT INTO fee_rates
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(product, exchange, mult,
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open_fixed, open_ratio,
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close_yesterday_fixed, close_yesterday_ratio,
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close_today_fixed, close_today_ratio, updated_at)
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VALUES (?,?,?,?,?,?,?,?,?,?)
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ON CONFLICT(product) DO UPDATE SET
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exchange=excluded.exchange, mult=excluded.mult,
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open_fixed=excluded.open_fixed, open_ratio=excluded.open_ratio,
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close_yesterday_fixed=excluded.close_yesterday_fixed,
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close_yesterday_ratio=excluded.close_yesterday_ratio,
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close_today_fixed=excluded.close_today_fixed,
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close_today_ratio=excluded.close_today_ratio,
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updated_at=excluded.updated_at""",
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(
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product.lower(),
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item.get("exchange", ""),
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int(item.get("mult") or get_contract_spec(product)["mult"]),
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float(item.get("open_fixed") or 0),
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float(item.get("open_ratio") or 0),
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float(item.get("close_yesterday_fixed") or 0),
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float(item.get("close_yesterday_ratio") or 0),
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float(item.get("close_today_fixed") or 0),
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float(item.get("close_today_ratio") or 0),
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now,
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),
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)
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count += 1
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conn.commit()
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conn.close()
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return count
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def list_all_fee_rates() -> list:
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conn = _get_db()
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rows = conn.execute(
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"SELECT * FROM fee_rates ORDER BY product"
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).fetchall()
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conn.close()
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return [dict(r) for r in rows]
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def upsert_fee_rate(product: str, fields: dict) -> None:
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product = product.lower().strip()
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conn = _get_db()
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now = datetime.now().isoformat(timespec="seconds")
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conn.execute(
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"""INSERT INTO fee_rates
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(product, exchange, mult,
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open_fixed, open_ratio,
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close_yesterday_fixed, close_yesterday_ratio,
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close_today_fixed, close_today_ratio, updated_at)
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VALUES (?,?,?,?,?,?,?,?,?,?)
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ON CONFLICT(product) DO UPDATE SET
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exchange=excluded.exchange, mult=excluded.mult,
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open_fixed=excluded.open_fixed, open_ratio=excluded.open_ratio,
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close_yesterday_fixed=excluded.close_yesterday_fixed,
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close_yesterday_ratio=excluded.close_yesterday_ratio,
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close_today_fixed=excluded.close_today_fixed,
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close_today_ratio=excluded.close_today_ratio,
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updated_at=excluded.updated_at""",
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(
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product,
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fields.get("exchange", ""),
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int(fields.get("mult") or 10),
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float(fields.get("open_fixed") or 0),
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float(fields.get("open_ratio") or 0),
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float(fields.get("close_yesterday_fixed") or 0),
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float(fields.get("close_yesterday_ratio") or 0),
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float(fields.get("close_today_fixed") or 0),
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float(fields.get("close_today_ratio") or 0),
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now,
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),
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)
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conn.commit()
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conn.close()
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