From 07e0e0709a172eb349c5a417eb0681927664c884 Mon Sep 17 00:00:00 2001
From: "vn.py" <xiaoyou.chen@foxmail.com>
Date: Tue, 22 Oct 2019 15:45:27 +0800
Subject: [PATCH] [Mod] support inverse contract with size not equal to 1 (like
 HBDM)

---
 vnpy/app/spread_trading/base.py     | 23 ++++++++++++++++++-----
 vnpy/app/spread_trading/engine.py   |  8 +++++++-
 vnpy/app/spread_trading/template.py | 10 +++++++---
 3 files changed, 32 insertions(+), 9 deletions(-)

diff --git a/vnpy/app/spread_trading/base.py b/vnpy/app/spread_trading/base.py
index d9589817..9717b740 100644
--- a/vnpy/app/spread_trading/base.py
+++ b/vnpy/app/spread_trading/base.py
@@ -35,6 +35,9 @@ class LegData:
         # Tick data buf
         self.tick: TickData = None
 
+        # Contract size
+        self.size: float = 0
+
     def update_tick(self, tick: TickData):
         """"""
         self.bid_price = tick.bid_price_1
@@ -160,9 +163,9 @@ class SpreadData:
                 leg_ask_volume = leg.ask_volume
             else:
                 leg_bid_volume = calculate_inverse_volume(
-                    leg.bid_volume, leg.bid_price)
+                    leg.bid_volume, leg.bid_price, leg.size)
                 leg_ask_volume = calculate_inverse_volume(
-                    leg.ask_volume, leg.ask_price)
+                    leg.ask_volume, leg.ask_price, leg.size)
 
             if trading_multiplier > 0:
                 adjusted_bid_volume = floor(
@@ -202,7 +205,8 @@ class SpreadData:
             if not inverse_contract:
                 net_pos = leg.net_pos
             else:
-                net_pos = calculate_inverse_volume(leg.net_pos, leg.last_price)
+                net_pos = calculate_inverse_volume(
+                    leg.net_pos, leg.last_price, leg.size)
 
             adjusted_net_pos = net_pos / trading_multiplier
 
@@ -273,9 +277,18 @@ class SpreadData:
         inverse_contract = self.inverse_contracts[vt_symbol]
         return inverse_contract
 
+    def get_leg_size(self, vt_symbol: str) -> float:
+        """"""
+        leg = self.legs[vt_symbol]
+        return leg.size
 
-def calculate_inverse_volume(original_volume: float, price: float) -> float:
+
+def calculate_inverse_volume(
+    original_volume: float,
+    price: float,
+    size: float,
+) -> float:
     """"""
     if not price:
         return 0
-    return original_volume / price
+    return original_volume * size / price
diff --git a/vnpy/app/spread_trading/engine.py b/vnpy/app/spread_trading/engine.py
index 15c58c75..325552ee 100644
--- a/vnpy/app/spread_trading/engine.py
+++ b/vnpy/app/spread_trading/engine.py
@@ -194,8 +194,12 @@ class SpreadDataEngine:
     def process_contract_event(self, event: Event) -> None:
         """"""
         contract = event.data
+        leg = self.legs.get(contract.vt_symbol, None)
+
+        if leg:
+            # Update contract size data
+            leg.size = contract.size
 
-        if contract.vt_symbol in self.legs:
             req = SubscribeRequest(
                 contract.symbol, contract.exchange
             )
@@ -222,6 +226,8 @@ class SpreadDataEngine:
             # Subscribe market data
             contract = self.main_engine.get_contract(vt_symbol)
             if contract:
+                leg.size = contract.size
+
                 req = SubscribeRequest(
                     contract.symbol,
                     contract.exchange
diff --git a/vnpy/app/spread_trading/template.py b/vnpy/app/spread_trading/template.py
index faf4fa02..c88ef10a 100644
--- a/vnpy/app/spread_trading/template.py
+++ b/vnpy/app/spread_trading/template.py
@@ -121,9 +121,12 @@ class SpreadAlgoTemplate:
         # record coin trading volume as leg trading volume,
         # not contract volume!
         if self.spread.is_inverse(trade.vt_symbol):
+            size = self.spread.get_leg_size(trade.vt_symbol)
+
             trade_volume = calculate_inverse_volume(
                 trade.volume,
-                trade.price
+                trade.price,
+                size
             )
         else:
             trade_volume = trade.volume
@@ -189,9 +192,10 @@ class SpreadAlgoTemplate:
     ):
         """"""
         # For inverse contract:
-        # contract trading volume = coin trading volume * trading price
+        # calculate contract trading volume from coin trading volume
         if self.spread.is_inverse(vt_symbol):
-            volume = volume * price
+            size = self.spread.get_leg_size(vt_symbol)
+            volume = volume * price / size
 
         vt_orderids = self.algo_engine.send_order(
             self,