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[Mod] add offset of SpreadAlgoTemplate to determine which price to use for inverse contract volume calculation

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This commit is contained in:
vn.py 2019-11-01 15:19:41 +08:00
parent d8d2506e7a
commit 08de86dede
4 changed files with 43 additions and 12 deletions
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8
vnpy/app/spread_trading/algo.py
View File

@ -1,6 +1,6 @@
from typing import Any
from vnpy.trader.constant import Direction
from vnpy.trader.constant import Direction, Offset
from vnpy.trader.object import (TickData, OrderData, TradeData)
from .template import SpreadAlgoTemplate
@ -17,6 +17,7 @@ class SpreadTakerAlgo(SpreadAlgoTemplate):
algoid: str,
spread: SpreadData,
direction: Direction,
offset: Offset,
price: float,
volume: float,
payup: int,
@ -25,8 +26,9 @@ class SpreadTakerAlgo(SpreadAlgoTemplate):
):
""""""
super().__init__(
algo_engine, algoid, spread, direction,
price, volume, payup, interval, lock
algo_engine, algoid, spread,
direction, offset, price, volume,
payup, interval, lock
)
self.cancel_interval: int = 2

4
vnpy/app/spread_trading/engine.py
View File

@ -425,6 +425,7 @@ class SpreadAlgoEngine:
self,
spread_name: str,
direction: Direction,
offset: Offset,
price: float,
volume: float,
payup: int,
@ -448,6 +449,7 @@ class SpreadAlgoEngine:
algoid,
spread,
direction,
offset,
price,
volume,
payup,
@ -905,6 +907,7 @@ class SpreadStrategyEngine:
strategy: SpreadStrategyTemplate,
spread_name: str,
direction: Direction,
offset: Offset,
price: float,
volume: float,
payup: int,
@ -915,6 +918,7 @@ class SpreadStrategyEngine:
algoid = self.spread_engine.start_algo(
spread_name,
direction,
offset,
price,
volume,
payup,

31
vnpy/app/spread_trading/template.py
View File

@ -23,11 +23,12 @@ class SpreadAlgoTemplate:
algoid: str,
spread: SpreadData,
direction: Direction,
offset: Offset,
price: float,
volume: float,
payup: int,
interval: int,
lock: bool
lock: bool,
):
""""""
self.algo_engine = algo_engine
@ -36,6 +37,7 @@ class SpreadAlgoTemplate:
self.spread: SpreadData = spread
self.spread_name: str = spread.name
self.offset: Offset = offset
self.direction: Direction = direction
self.price: float = price
self.volume: float = volume
@ -195,7 +197,12 @@ class SpreadAlgoTemplate:
# calculate contract trading volume from coin trading volume
if self.spread.is_inverse(vt_symbol):
size = self.spread.get_leg_size(vt_symbol)
volume = volume * price / size
if self.offset == Offset.CLOSE:
leg = self.spread.legs[vt_symbol]
volume = volume * leg.net_pos_price / size
else:
volume = volume * price / size
vt_orderids = self.algo_engine.send_order(
self,
@ -454,7 +461,8 @@ class SpreadStrategyTemplate:
volume: float,
payup: int,
interval: int,
lock: bool
lock: bool,
offset: Offset
) -> str:
""""""
if not self.trading:
@ -464,6 +472,7 @@ class SpreadStrategyTemplate:
self,
self.spread_name,
direction,
offset,
price,
volume,
payup,
@ -481,10 +490,14 @@ class SpreadStrategyTemplate:
volume: float,
payup: int,
interval: int,
lock: bool = False
lock: bool = False,
offset: Offset = Offset.NONE
) -> str:
""""""
return self.start_algo(Direction.LONG, price, volume, payup, interval, lock)
return self.start_algo(
Direction.LONG, price, volume,
payup, interval, lock, offset
)
def start_short_algo(
self,
@ -492,10 +505,14 @@ class SpreadStrategyTemplate:
volume: float,
payup: int,
interval: int,
lock: bool = False
lock: bool = False,
offset: Offset = Offset.NONE
) -> str:
""""""
return self.start_algo(Direction.SHORT, price, volume, payup, interval, lock)
return self.start_algo(
Direction.SHORT, price, volume,
payup, interval, lock, offset
)
def stop_algo(self, algoid: str):
""""""

12
vnpy/app/spread_trading/ui/widget.py
View File

@ -4,7 +4,7 @@ Widget for spread trading.
from vnpy.event import EventEngine, Event
from vnpy.trader.engine import MainEngine
from vnpy.trader.constant import Direction
from vnpy.trader.constant import Direction, Offset
from vnpy.trader.ui import QtWidgets, QtCore, QtGui
from vnpy.trader.ui.widget import (
BaseMonitor, BaseCell,
@ -169,6 +169,7 @@ class SpreadAlgoMonitor(BaseMonitor):
"algoid": {"display": "算法", "cell": BaseCell, "update": False},
"spread_name": {"display": "价差", "cell": BaseCell, "update": False},
"direction": {"display": "方向", "cell": DirectionCell, "update": False},
"offset": {"display": "开平", "cell": EnumCell, "update": False},
"price": {"display": "价格", "cell": BaseCell, "update": False},
"payup": {"display": "超价", "cell": BaseCell, "update": False},
"volume": {"display": "数量", "cell": BaseCell, "update": False},
@ -226,6 +227,11 @@ class SpreadAlgoWidget(QtWidgets.QFrame):
[Direction.LONG.value, Direction.SHORT.value]
)
self.offset_combo = QtWidgets.QComboBox()
self.offset_combo.addItem(
[Offset.NONE.value, Offset.OPEN.value, Offset.CLOSE.value]
)
float_validator = QtGui.QDoubleValidator()
self.price_line = QtWidgets.QLineEdit()
@ -273,6 +279,7 @@ class SpreadAlgoWidget(QtWidgets.QFrame):
form = QtWidgets.QFormLayout()
form.addRow("价差", self.name_line)
form.addRow("方向", self.direction_combo)
form.addRow("开平", self.offset_combo)
form.addRow("价格", self.price_line)
form.addRow("数量", self.volume_line)
form.addRow("超价", self.payup_line)
@ -298,6 +305,7 @@ class SpreadAlgoWidget(QtWidgets.QFrame):
""""""
name = self.name_line.text()
direction = Direction(self.direction_combo.currentText())
offset = Offset(self.offset_combo.currentText())
price = float(self.price_line.text())
volume = float(self.volume_line.text())
payup = int(self.payup_line.text())
@ -310,7 +318,7 @@ class SpreadAlgoWidget(QtWidgets.QFrame):
lock = False
self.spread_engine.start_algo(
name, direction, price, volume, payup, interval, lock
name, direction, offset, price, volume, payup, interval, lock
)
def add_spread(self):