AccountingforFutureTrading

用于期货交易的会计账簿系统

期货交易账户的会计恒等式

字符说明：

$Asset:总资产，净值。也称为“客户总权益”$
$Frozen\quad Funds:冻结资金$
$Liquid\quad Funds:流动资金$
$Margin:保证金$
$capital\quad gains:资本利得，通过多头低买高卖和空头高卖低买获得$
$Idle\quad Funds:闲置资金$
$Interest\quad Revenue:闲置资金产生的活期存款水平的利息$
$margin_i:第i笔开仓冻结的保证金$
$margin_{i^*}:目前持仓中开仓时间最早的保证金$
$margin_{i^{**}}:目前持仓中开仓时间最晚的保证金$
$Capital\quad Gains\quad From\quad Long:多头方向的资本利得$
$Capital\quad Gains\quad From\quad Short:空头方向的资本利得$
$value_{i,0}:第i笔开仓所锚定的合约在时刻0的价值$
$capital\quad gains\quad from\quad long_{i,\tau}:第i笔开仓，如果是多头方向，在时刻\tau 的资本利得$
$capital\quad gains\quad from\quad short_{i,\tau}:第i笔开仓，如果是空头方向，在时刻\tau 的资本利得$

会计恒等式   Accounting Equation in Future Trading

$$Frozen\quad Funds+Liquid\quad Funds = Margin+Idle\quad Funds \tag{1}$$

$$Asset = Frozen\quad Funds+Liquid\quad Funds \tag{2}$$

$$Margin = \Sigma_{i=i^{*}}^{i^{**}}margin_i\tag{3}$$

$$capital\quad gains\quad from\quad long_{i,\tau} = value_{i,\tau} -value_{i,0}\tag{4}$$

$$capital\quad gains\quad from\quad short_{i,\tau} = -(value_{i,\tau} -value_{i,0}\tag{5})$$

$$Idle\quad Fund_i = Idle\quad Fund_{i-1}*(1+0.007/365)+Capital\quad Gains_i\tag{6}$$

四大科目下都有哪些账户？  Which  Accounts  Fall  under  the  Four  Major  Categories?

$frozen\quad for\quad future\in Frozen\quad Funds$
$cash\in Liquid\quad Funds$
$margin_i \in Margin$
$capital\quad gains\in Idle\quad Funds$

沿用复式记账的规则 Double-Entry Accounting

1.会计恒等式左边的科目增加记为借Debit，减少记为贷Credit；右边的科目增加记为贷Credit，减少记为借Debit。 2.有借必有贷，借贷必相等。

Python代码实现示例：

import pandas as pd

class AccountingSystemforFutureTrading:
    def __init__(self):
        self.FrozenFunds = {}
        self.LiquidFunds = {}
        self.Margin = {}
        self.IdleFunds = {}
        self.new_row = {}
    def create_account(self, account_type, account_name):
        if account_type == 'FrozenFunds':
            self.FrozenFunds[account_name] = pd.DataFrame({'Date':[],'Debit':[],'Credit':[],'Balence':[],'Notes':[]})
        elif account_type == 'LiquidFunds':
            self.LiquidFunds[account_name] = pd.DataFrame({'Date':[],'Debit':[],'Credit':[],'Balence':[],'Notes':[]})
        elif account_type == 'Margin':
            self.Margin[account_name] = pd.DataFrame({'Date':[],'Debit':[],'Credit':[],'Balence':[],'Notes':[]})
        elif account_type == 'IdleFunds':
            self.IdleFunds[account_name] = pd.DataFrame({'Date':[],'Debit':[],'Credit':[],'Balence':[],'Notes':[]})

    def debit(self, account_type, account_name, amount,date,notes=None):
        if account_type == 'FrozenFunds':
            self.new_row = {'Date':date,'Debit':amount,'Credit':0,'Balence':amount,'Notes':notes}
            self.FrozenFunds[account_name]=self.FrozenFunds[account_name].append(self.new_row, ignore_index=True)
        elif account_type == 'LiquidFunds':
            self.new_row = {'Date':date,'Debit':amount,'Credit':0,'Balence':amount,'Notes':notes}
            self.LiquidFunds[account_name]=self.LiquidFunds[account_name].append(self.new_row, ignore_index=True)
        elif account_type == 'Margin':
            self.new_row = {'Date':date,'Debit':amount,'Credit':0,'Balence':-amount,'Notes':notes}
            self.Margin[account_name]=self.Margin[account_name].append(self.new_row, ignore_index=True)
        elif account_type == 'IdleFunds':
            self.new_row = {'Date':date,'Debit':amount,'Credit':0,'Balence':-amount,'Notes':notes}
            self.IdleFunds[account_name]=self.IdleFunds[account_name].append(self.new_row, ignore_index=True)

    def credit(self, account_type, account_name, amount,date,notes=None):
        if account_type == 'FrozenFunds':
            self.new_row = {'Date':date,'Debit':0,'Credit':amount,'Balence':-amount,'Notes':notes}
            self.FrozenFunds[account_name]=self.FrozenFunds[account_name].append(self.new_row, ignore_index=True)
        elif account_type == 'LiquidFunds':
            self.new_row = {'Date':date,'Debit':0,'Credit':amount,'Balence':-amount,'Notes':notes}
            self.LiquidFunds[account_name]=self.LiquidFunds[account_name].append(self.new_row, ignore_index=True)
        elif account_type == 'Margin':
            self.new_row = {'Date':date,'Debit':0,'Credit':amount,'Balence':amount,'Notes':notes}
            self.Margin[account_name]=self.Margin[account_name].append(self.new_row, ignore_index=True)
        elif account_type == 'IdleFunds':
            self.new_row = {'Date':date,'Debit':0,'Credit':amount,'Balence':amount,'Notes':notes}
            self.IdleFunds[account_name]=self.IdleFunds[account_name].append(self.new_row, ignore_index=True)

    def get_balance(self, account_type, account_name):
        if account_type == 'FrozenFunds':
            return self.FrozenFunds[account_name].loc[0:,'Balence'].sum()
        elif account_type == 'LiquidFunds':
            return self.LiquidFunds[account_name].loc[0:,'Balence'].sum()
        elif account_type == 'Margin':
            return self.Margin[account_name].loc[0:,'Balence'].sum()
        elif account_type == 'IdleFunds':
            return self.IdleFunds[account_name].loc[0:,'Balence'].sum()

开始添加交易！

初始化账户

accountkeeper = AccountingSystemforFutureTrading()
accountkeeper.create_account(FrozenFunds,frozenforfuture)
accountkeeper.create_account(LiquidFunds,cash)
accountkeeper.create_account(IdleFunds,idlefunds)
# 初始化账户，给现金账户注资
accountkeeper.debit(LiquidFunds,cash,100)
accountkeeper.credit(IdleFunds,idlefunds,100)

第一次开仓

accountkeeper.creat_account(Margin,margin_1)
accountkeeper.debit(FrozenFunds,frozenforfuture,0.005*2*200*102/100)#保证金率*手数*一张合约的面值*合约价格/100
accountkeeper.credit(Margin,margin_1,0.005*2*200*102/100)

资本利得计账示例

金额增加记贷方Credit，金额减少记借方Debit\ 对于多头，$capital\quad gains\quad from\quad long_{i,\tau} = value_{i,\tau} -value_{i,0}$\ 对于空头，$capital\quad gains\quad from\quad short_{i,\tau} = -(value_{i,\tau} -value_{i,0})$\ Balence[k]=sum(Credit[0:k+1])-sum(Debit[0:k+1])

Position_Long_1

Date	Debit	Credit	Balence	Notes
2020-07-05	0	value_{i,1}-value_{i,0}	sum(Credit)-sum(Debit)	开仓后第一个交易日收益为正
2020-07-05	Balence[0]	0	0	每个仓位每日结算后余额应该是0

cash

Date	Debit	Credit	Balence	Notes
2020-07-05	Position_Long_1.loc[0,'Credit']	Position_Long_1.loc[0,'Debit']	sum(Debit)-sum(Credit)	借记Cash，如果赚钱的话

idlefunds

Date	Debit	Credit	Balence	Notes
2020-07-05	Position_Long_1.loc[1,'Credit']	Position_Long_1.loc[1,'Debit']	sum(Credit)-sum(Debit)	idlefunds对于每一个仓位每日结算后多退少补

闲置资金账户示例

idlefunds

Date	Debit	Credit	Balence	Notes
2020-07-05	0	initial cash	sum(Credit)-sum(Debit)	首日接收注资
2020-07-05	Position_Long_1.loc[1,'Credit']	Position_Long_1.loc[1,'Debit']	sum(Credit)-sum(Debit)	idlefunds对于每一个仓位每日结算后多退少补