[Mod]add offset converter function to cta strategy app
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vn.py
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873a8080ab
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297
vnpy/app/cta_strategy/converter.py
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297
vnpy/app/cta_strategy/converter.py
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""""""
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from copy import copy
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from functools import lru_cache
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from vnpy.trader.engine import MainEngine
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from vnpy.trader.object import (
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ContractData,
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OrderData,
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TradeData,
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PositionData,
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OrderRequest
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)
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from vnpy.trader.constant import (Direction, Offset, Exchange)
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class OffsetConverter:
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""""""
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def __init__(self, main_engine: MainEngine):
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""""""
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self.main_engine = main_engine
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self.holdings = {}
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def update_position(self, position: PositionData):
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""""""
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if not self.is_convert_required(position.vt_symbol):
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return
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holding = self.get_position_holding(position.vt_symbol)
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holding.update_position(position)
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def update_trade(self, trade: TradeData):
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""""""
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if not self.is_convert_required(trade.vt_symbol):
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return
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holding = self.get_position_holding(trade.vt_symbol)
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holding.update_trade(trade)
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def update_order(self, order: OrderData):
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""""""
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if not self.is_convert_required(order.vt_symbol):
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return
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holding = self.get_position_holding(order.vt_symbol)
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holding.update_order(order)
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def update_order_request(self, req: OrderRequest):
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""""""
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if not self.is_convert_required(req.vt_symbol):
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return
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holding = self.get_position_holding(req.vt_symbol)
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holding.update_order_request(req)
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def get_position_holding(self, vt_symbol: str):
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""""""
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holding = self.holdings.get(vt_symbol, None)
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if not holding:
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contract = self.main_engine.get_contract(vt_symbol)
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holding = PositionHolding(contract)
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self.holdings[vt_symbol] = holding
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return holding
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def convert_order_request(self, req: OrderRequest, lock: bool):
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""""""
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if not self.is_convert_required(req.vt_symbol):
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return [req]
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holding = self.get_position_holding(req.vt_symbol)
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if lock:
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return holding.convert_order_request_lock(req)
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elif req.exchange == Exchange.SHFE:
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return holding.convert_order_request_shfe(req)
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else:
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return [req]
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@lru_cache
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def is_convert_required(self, vt_symbol: str):
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"""
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Check if the contract needs offset convert.
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"""
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contract = self.main_engine.get(vt_symbol)
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# Only contracts with long-short position mode requires convert
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if not contract.net_position:
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return True
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else:
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return False
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class PositionHolding:
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""""""
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def __init__(self, contract: ContractData):
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""""""
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self.vt_symbol = contract.vt_symbol
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self.exchange = contract.exchange
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self.active_orders = {}
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self.long_pos = 0
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self.long_yd = 0
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self.long_td = 0
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self.short_pos = 0
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self.short_yd = 0
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self.short_td = 0
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self.long_pos_frozen = 0
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self.long_yd_frozen = 0
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self.long_td_frozen = 0
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self.short_pos_frozen = 0
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self.short_yd_frozen = 0
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self.short_td_frozen = 0
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def update_position(self, position: PositionData):
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""""""
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if position.direction == Direction.LONG:
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self.long_pos = position.volume
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self.long_yd = position.yd_volume
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self.long_td = self.long_pos - self.long_yd
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else:
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self.short_pos = position.volume
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self.short_yd = position.yd_volume
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self.short_td = self.short_pos - self.short_yd
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def update_order(self, order: OrderData):
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""""""
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if order.is_active():
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self.active_orders[order.vt_orderid] = order
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else:
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if order.vt_orderid in self.active_orders:
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self.active_orders.pop(order.vt_orderid)
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self.calculate_frozen()
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def update_order_request(self, req: OrderRequest, vt_orderid: str):
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""""""
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gateway_name, orderid = vt_orderid.split(".")
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order = req.create_order_data(orderid, gateway_name)
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self.update_order(order)
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def update_trade(self, trade: TradeData):
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""""""
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if trade.direction == Direction.LONG:
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if trade.offset == Offset.OPEN:
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self.long_td += trade.volume
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elif trade.offset == Offset.CLOSETODAY:
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self.short_td -= trade.volume
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elif trade.offset == Offset.CLOSEYESTERDAY:
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self.short_yd -= trade.volume
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elif trade.offset == Offset.CLOSE:
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if trade.exchange == Exchange.SHFE:
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self.short_yd -= trade.volume
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else:
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self.short_td -= trade.volume
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if self.short_td < 0:
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self.short_yd += self.short_td
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self.short_td = 0
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else:
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if trade.offset == Offset.OPEN:
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self.short_td += trade.volume
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elif trade.offset == Offset.CLOSETODAY:
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self.long_td -= trade.volume
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elif trade.offset == Offset.CLOSEYESTERDAY:
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self.long_yd -= trade.volume
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elif trade.offset == Offset.CLOSE:
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if trade.exchange == Exchange.SHFE:
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self.long_yd -= trade.volume
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else:
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self.long_td -= trade.volume
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if self.long_td < 0:
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self.long_yd += self.long_td
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self.long_td = 0
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self.long_pos = self.long_td + self.long_yd
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self.short_pos = self.short_td + self.short_yd
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def calculate_frozen(self):
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""""""
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self.long_pos_frozen = 0
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self.long_yd_frozen = 0
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self.long_td_frozen = 0
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self.short_pos_frozen = 0
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self.short_yd_frozen = 0
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self.short_td_frozen = 0
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for order in self.active_orders.values():
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# Ignore position open orders
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if order.offset == Offset.OPEN:
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continue
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frozen = order.volume - order.traded
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if order.direction == Direction.LONG:
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if order.offset == Offset.CLOSETODAY:
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self.short_td_frozen += frozen
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elif order.offset == Offset.CLOSEYESTERDAY:
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self.short_yd_frozen += frozen
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elif order.offset == Offset.CLOSE:
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self.short_td_frozen += frozen
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if self.short_td_frozen > self.short_td:
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self.short_yd_frozen += (self.short_td_frozen
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- self.short_td)
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self.short_td_frozen = self.short_td
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elif order.direction == Direction.SHORT:
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if order.offset == Offset.CLOSETODAY:
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self.long_td_frozen += frozen
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elif order.offset == Offset.CLOSEYESTERDAY:
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self.long_yd_frozen += frozen
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elif order.offset == Offset.CLOSE:
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self.long_td_frozen += frozen
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if self.long_td_frozen > self.short_td:
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self.long_yd_frozen += (self.long_td_frozen
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- self.long_td)
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self.long_td_frozen = self.long_td
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self.long_pos_frozen = self.long_td_frozen + self.long_yd_frozen
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self.short_pos_frozen = self.short_td_frozen + self.short_yd_frozen
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def convert_order_request_shfe(self, req: OrderRequest):
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""""""
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if req.offset == Offset.OPEN:
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return [req]
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if req.direction == Direction.LONG:
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pos_available = self.short_pos - self.short_pos_frozen
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td_available = self.short_td - self.short_td_frozen
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else:
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pos_available = self.long_pos - self.long_pos_frozen
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td_available = self.long_td - self.long_td_frozen
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if req.volume > pos_available:
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return [req]
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elif req.volume <= td_available:
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req_td = copy(req)
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req_td.offset = Offset.CLOSETODAY
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return [req_td]
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else:
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req_list = []
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if td_available > 0:
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req_td = copy(req)
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req_td.offset = Offset.CLOSETODAY
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req_td.volume = td_available
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req_list.append(req_td)
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req_yd = copy(req)
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req_yd.offset = Offset.CLOSEYESTERDAY
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req_yd.volume = req.volume - td_available
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req_list.append(req_yd)
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return req_list
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def convert_order_request_lock(self, req: OrderRequest):
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""""""
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if req.direction == Direction.LONG:
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td_volume = self.short_td
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yd_available = self.short_yd - self.short_yd_frozen
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else:
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td_volume = self.long_td
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yd_available = self.long_yd - self.long_yd_frozen
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# If there is td_volume, we can only lock position
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if td_volume:
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req_open = copy(req)
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req_open.offset = Offset.OPEN
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return [req_open]
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# If no td_volume, we close opposite yd position first
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# then open new position
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else:
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open_volume = max(0, yd_available - req.volume)
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req_list = []
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if yd_available:
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req_yd = copy(req)
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if self.exchange == Exchange.SHFE:
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req_yd.offset = Offset.CLOSEYESTERDAY
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else:
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req_yd.offset = Offset.CLOSE
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req_list.append(req_yd)
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if open_volume:
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req_open = copy(req)
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req_open.offset = Offset.OPEN
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req_open.volume = open_volume
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req_list.append(req_open)
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return req_list
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