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回测系统中,下买单exchange.Buy(x, y),会冻结资金x * y * (1 + 买入手续费率),成交后会得到y货物。但实盘中币安、OKEX交易所,在下单时都仅会冻结资金x * y,成交后得到的货物是y * (1 - 买入手续费率)。
回测系统和交易所实际所采取的手续费策略不一样,导致我在回测和实盘时需要写不同的逻辑,很不方便。更糟糕的是实盘的逻辑无法在回测系统正常执行(有时会因为下单资金不够而自动报错退出),逼着我使用没有测试过的代码上实盘,很没有安全感。
希望fmz能修改一下回测系统的手续费收取方式,或者提供不同的手续费收取策略供我们选择。
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