FuturesOrderMixin

class swordfish.plugins.backtest.FuturesOrderMixin

final submit_futures_order(code, exchange, time, order_type, order_price, stop_price, quantity, direct, order_validity, /, label=None, account_type=AccountType.DEFAULT)

Submits a futures order.

Parameters:

• code (str) – A STRING scalar representing the futures symbol.

• exchange (str) – A STRING scalar representing the exchange code.

• time (Timestamp) – A TIMESTAMP scalar indicating the order timestamp.

• order_type (int) –

  An INT scalar specifying the order type. Possible values are:

  • 0: Market order, submitted at the limit up or limit down price, following the time priority rule.

  • 1: Market stop-loss order.

  • 2: Market take-profit order.

  • 3: Limit stop-loss order.

  • 4: Limit take-profit order.

  • 5: Limit order (default).

• order_price (float) – A FLOAT scalar representing the order price.

• stop_price (float) – A FLOAT scalar representing the stop-loss or take-profit price.

• quantity (int) – An INT scalar representing the order quantity.

• direct (int) –

  An INT scalar specifying the trade direction. Possible values are:

  • 1: Buy open

  • 2: Sell open

  • 3: Sell close

  • 4: Buy close

  • 5: Option exercise

• order_validity (int) –

  An INT scalar indicating the order validity type. Possible values are:

  • 0: Good for day (default).

  • 1: Fill or kill (FOK) — execute immediately in full or cancel.

  • 2: Fill and kill (FAK) — execute immediately and cancel any remaining quantity.

• label (str, optional) – A STRING scalar used to tag or categorize the order.

• account_type (AccountType, optional) –

  The account type. Possible values are:

  • SPOT: Cash account

  • STOCK: Stock account

  • FUTURES: Futures account

  • OPTION: Options account

property futures_total_portfolios

Query the daily futures profit and loss.

Returns:

Return a table with the following structure:

Field Name	Description
tradeDate	Date
margin	Margin Occupied
floatingPnl	Floating PnL
realizedPnl	Realized Cumulative PnL
totalPnl	Total PnL
cash	Available Cash
totalEquity	Total Equity
marginRatio	Margin Occupancy Ratio
pnl	Daily PnL
netValue	Unit Net Value
totalReturn	Cumulative Return as of Date
ratio	Daily Return

Return type:

Table