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

vnpy/app/spread_trading/algo.py

@@ -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,
+            algo_engine, algoid, spread,
-            price, volume, payup, interval, lock
+            direction, offset, price, volume,
+            payup, interval, lock
         )
 
         self.cancel_interval: int = 2

vnpy/app/spread_trading/engine.py

@@ -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,

vnpy/app/spread_trading/template.py

@@ -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):
         """"""

vnpy/app/spread_trading/ui/widget.py

@@ -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):