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Merge pull request #1161 from raycool/raycool-dev

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套利交易逻辑对冲函数逻辑被动腿错误
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vn.py 2018-10-12 09:08:39 +08:00 committed by GitHub
commit 051f00f051
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1 changed files with 2 additions and 1 deletions
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vnpy/trader/app/algoTrading/algo/arbitrageAlgo.py
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@ -7,6 +7,7 @@ from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT,
OFFSET_OPEN, OFFSET_CLOSE, OFFSET_OPEN, OFFSET_CLOSE,
STATUS_ALLTRADED, STATUS_CANCELLED, STATUS_ALLTRADED, STATUS_CANCELLED,
STATUS_REJECTED) STATUS_REJECTED)
from vnpy.trader.uiQt import QtGui from vnpy.trader.uiQt import QtGui
from vnpy.trader.app.algoTrading.algoTemplate import AlgoTemplate from vnpy.trader.app.algoTrading.algoTemplate import AlgoTemplate
@ -157,7 +158,7 @@ class ArbitrageAlgo(AlgoTemplate):
tick.bidPrice5, tick.bidPrice5,
volume) volume)
elif self.netPos < 0: elif self.netPos < 0:
self.passiveOrderID = self.buy(self.activeVtSymbol, self.passiveOrderID = self.buy(self.passiveVtSymbol,
tick.askPrice5, tick.askPrice5,
volume) volume)