From 276c0e02fbc754ce1b4f6ee4dfddf1cbef33fca2 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Tue, 19 Sep 2017 23:06:53 +0800 Subject: [PATCH] =?UTF-8?q?[Add]=E5=A2=9E=E5=8A=A0=E5=A7=94=E6=89=98?= =?UTF-8?q?=E8=87=AA=E5=8A=A8=E8=BD=AC=E6=8D=A2=E5=8A=9F=E8=83=BD?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/vtEngine.py | 104 +++++++++++++++++++++++++++++++++++++++- 1 file changed, 102 insertions(+), 2 deletions(-) diff --git a/vnpy/trader/vtEngine.py b/vnpy/trader/vtEngine.py index 370cd330..43fb3d60 100644 --- a/vnpy/trader/vtEngine.py +++ b/vnpy/trader/vtEngine.py @@ -5,6 +5,7 @@ import shelve import logging from collections import OrderedDict from datetime import datetime +from copy import copy from pymongo import MongoClient, ASCENDING from pymongo.errors import ConnectionFailure @@ -132,7 +133,9 @@ class MainEngine(object): gateway = self.getGateway(gatewayName) if gateway: - return gateway.sendOrder(orderReq) + vtOrderID = gateway.sendOrder(orderReq) + self.dataEngine.updateOrderReq(orderReq, vtOrderID) # 更新发出的委托请求到数据引擎中 + return vtOrderID else: return '' @@ -323,6 +326,11 @@ class MainEngine(object): # 注册事件监听 self.eventEngine.register(EVENT_LOG, self.logEngine.processLogEvent) + #---------------------------------------------------------------------- + def convertOrderReq(self, req): + """转换委托请求""" + return self.dataEngine.convertOrderReq(req) + ######################################################################## class DataEngine(object): @@ -465,6 +473,16 @@ class DataEngine(object): """委托请求更新""" detail = self.getPositionDetail(req.vtSymbol) detail.updateOrderReq(req, vtOrderID) + + #---------------------------------------------------------------------- + def convertOrderReq(self, req): + """根据规则转换委托请求""" + detail = self.detailDict.get(req.vtSymbol, None) + if not detail: + return [req] + else: + return detail.convertOrderReq(req) + ######################################################################## @@ -569,6 +587,10 @@ class LogEngine(object): class PositionDetail(object): """本地维护的持仓信息""" WORKING_STATUS = [STATUS_UNKNOWN, STATUS_NOTTRADED, STATUS_PARTTRADED] + + MODE_NORMAL = 'normal' # 普通模式 + MODE_SHFE = 'shfe' # 上期所今昨分别平仓 + MODE_TDPENALTY = 'tdpenalty' # 平今惩罚 #---------------------------------------------------------------------- def __init__(self, vtSymbol): @@ -589,6 +611,8 @@ class PositionDetail(object): self.shortYdFrozen = EMPTY_INT self.shortTdFrozen = EMPTY_INT + self.mode = self.MODE_NORMAL + self.workingOrderDict = {} #---------------------------------------------------------------------- @@ -750,4 +774,80 @@ class PositionDetail(object): print 'long frozen, total:%s, td:%s, yd:%s' %(self.longPosFrozen, self.longTdFrozen, self.longYdFrozen) print 'short, total:%s, td:%s, yd:%s' %(self.shortPos, self.shortTd, self.shortYd) print 'short frozen, total:%s, td:%s, yd:%s' %(self.shortPosFrozen, self.shortTdFrozen, self.shortYdFrozen) - \ No newline at end of file + + #---------------------------------------------------------------------- + def convertOrderReq(self, req): + """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 + elif self.mode is self.MODE_NORMAL: + return [req] + + # 上期所模式拆分今昨，优先平今 + elif self.mode is self.MODE_SHFE: + # 多头 + if req.direction is DIRECTION_LONG: + posAvailable = self.shortPos - self.shortPosFrozen + tdAvailable = self.shortTd- self.shortTdFrozen + ydAvailable = self.shortYd - self.shortYdFrozen + # 空头 + else: + posAvailable = self.longPos - self.longPosFrozen + tdAvailable = self.longTd - self.longTdFrozen + ydAvailable = self.longYd - self.longYdFrozen + + # 平仓量超过总可用，拒绝，返回空列表 + if req.volume > posAvailable: + return [] + # 平仓量小于今可用，全部平今 + elif req.volume <= tdAvailable: + req.offset = OFFSET_CLOSETODAY + return [req] + # 平仓量大于今可用，平今再平昨 + else: + reqTd = copy(req) + reqTd.offset = OFFSET_CLOSETODAY + reqTd.volume = tdAvailable + + reqYd = copy(req) + reqYd.offset = OFFSET_CLOSEYESTERDAY + reqYd.volume = req.volume - tdAvailable + + return [reqTd, reqYd] + + # 平今惩罚模式，没有今仓则平昨，否则锁仓 + elif self.mode is self.MODE_TDPENALTY: + # 多头 + if req.direction is DIRECTION_LONG: + td = self.shortTd + ydAvailable = self.shortYd - self.shortYdFrozen + # 空头 + else: + td = self.longTd + ydAvailable = self.longYd - self.longYdFrozen + + # 如果有今仓，则只能锁仓 + if td: + req.offset = OFFSET_OPEN + return [req] + # 如果平仓量小于昨可用，全部平昨 + elif req.volume <= ydAvailable: + req.offset = OFFSET_CLOSEYESTERDAY + return [req] + # 平仓量大于昨可用，平仓再反向开仓 + else: + reqClose = copy(req) + reqClose.offset = OFFSET_CLOSEYESTERDAY + reqClose.volume = ydAvailable + + reqOpen = copy(req) + reqOpen.offset = OFFSET_OPEN + reqOpen.volume = req.volume - ydAvailable + + return [reqClose, reqOpen] + + # 其他情况则直接返回空 + return [] \ No newline at end of file