senset/vnpy
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

[Mod]修改convertOrderReq实现锁仓交易模式下的开仓自动转换平昨逻辑

Browse Source
This commit is contained in:
vn.py 2017-09-20 14:26:16 +08:00
parent 09cba762b8
commit 239f335900
1 changed files with 10 additions and 8 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

18
vnpy/trader/vtEngine.py
View File

@ -778,16 +778,16 @@ class PositionDetail(object):
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def convertOrderReq(self, req): def convertOrderReq(self, req):
"""转换委托请求""" """转换委托请求"""
# 开仓无需转换
if req.offset is OFFSET_OPEN:
return [req]
# 普通模式无需转换 # 普通模式无需转换
elif self.mode is self.MODE_NORMAL: if self.mode is self.MODE_NORMAL:
return [req] return [req]
# 上期所模式拆分今昨，优先平今 # 上期所模式拆分今昨，优先平今
elif self.mode is self.MODE_SHFE: elif self.mode is self.MODE_SHFE:
# 开仓无需转换
if req.offset is OFFSET_OPEN:
return [req]
# 多头 # 多头
if req.direction is DIRECTION_LONG: if req.direction is DIRECTION_LONG:
posAvailable = self.shortPos - self.shortPosFrozen posAvailable = self.shortPos - self.shortPosFrozen
@ -829,18 +829,20 @@ class PositionDetail(object):
td = self.longTd td = self.longTd
ydAvailable = self.longYd - self.longYdFrozen ydAvailable = self.longYd - self.longYdFrozen
# 如果有今仓，则只能锁仓 # 这里针对开仓和平仓委托均使用一套逻辑
# 如果有今仓，则只能开仓（或锁仓）
if td: if td:
req.offset = OFFSET_OPEN req.offset = OFFSET_OPEN
return [req] return [req]
# 如果平仓量小于昨可用，全部平昨 # 如果平仓量小于昨可用，全部平昨
elif req.volume <= ydAvailable: elif req.volume <= ydAvailable:
req.offset = OFFSET_CLOSEYESTERDAY req.offset = OFFSET_CLOSE # OFFSET_CLOSE在上期所等于平昨
return [req] return [req]
# 平仓量大于昨可用，平仓再反向开仓 # 平仓量大于昨可用，平仓再反向开仓
else: else:
reqClose = copy(req) reqClose = copy(req)
reqClose.offset = OFFSET_CLOSEYESTERDAY reqClose.offset = OFFSET_CLOSE
reqClose.volume = ydAvailable reqClose.volume = ydAvailable
reqOpen = copy(req) reqOpen = copy(req)