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xiaochuan
38 lines
881 B
Python
38 lines
881 B
Python
# fx_backtest/core/events.py
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import os
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import sys
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sys.path.append(os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
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from dataclasses import dataclass
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from datetime import datetime
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from typing import Literal, Optional
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@dataclass(frozen=True)
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class TickEvent:
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ts: datetime
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symbol: str
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bid: float
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ask: float
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@dataclass(frozen=True)
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class SignalEvent:
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ts: datetime
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symbol: str
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direction: Literal["LONG", "SHORT", "EXIT"]
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size: float # 单位：合约单位/手，随你定义
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@dataclass(frozen=True)
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class OrderEvent:
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ts: datetime
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symbol: str
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side: Literal["BUY", "SELL"]
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size: float
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price: Optional[float] = None # 市价可为 None；限价时填价格
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@dataclass(frozen=True)
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class FillEvent:
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ts: datetime
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symbol: str
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side: Literal["BUY", "SELL"]
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size: float
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price: float
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commission: float |