41 lines
1.3 KiB
Python
41 lines
1.3 KiB
Python
"""get_spreads.py — 从 MT5 实时获取各品种点差（用于回测成本）"""
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import sys; sys.path.insert(0,'.')
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import MetaTrader5 as mt5
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from config import Config
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mt5.initialize()
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print("=== 实时点差 ===")
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spreads = {}
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for sym in Config.SYMBOLS:
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tick = mt5.symbol_info_tick(sym)
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info = mt5.symbol_info(sym)
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if tick and info:
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spread_pts = tick.ask - tick.bid
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# 转换为对数收益率单位：spread / mid_price
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mid = (tick.ask + tick.bid) / 2
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spread_pct = spread_pts / mid
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point = info.point
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spread_points = round(spread_pts / point)
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spreads[sym] = {
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"bid": tick.bid, "ask": tick.ask,
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"spread_price": spread_pts,
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"spread_points": spread_points,
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"spread_pct": spread_pct,
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"digits": info.digits,
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}
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print(f" {sym:12s}: bid={tick.bid:.5f} ask={tick.ask:.5f} "
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f"spread={spread_pts:.5f} ({spread_points}pts) "
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f"log_spread={spread_pct:.6f}")
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else:
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print(f" {sym:12s}: 无法获取 tick 数据")
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mt5.shutdown()
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# 各品种点差的对数收益率（单边）用于回测 cost_rate
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print()
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print("=== 回测 cost_rate 建议（log spread / 2，单边）===")
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for sym, d in spreads.items():
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cost = d["spread_pct"] / 2
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print(f" {sym:12s}: cost_rate = {cost:.6f}")
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