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[Fix]close #1507

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vn.py 2019-03-22 11:51:32 +08:00
parent 20b5ef4e9b
commit 38f00a24ed
1 changed files with 7 additions and 2 deletions
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9
vnpy/gateway/ctp/ctp_gateway.py
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@ -486,6 +486,11 @@ class CtpTdApi(TdApi):
) )
self.positions[key] = position self.positions[key] = position
# Get contract size, return if size value not collected
size = symbol_size_map.get(position.symbol, None)
if not size:
return
# For SHFE position data update # For SHFE position data update
if position.exchange == Exchange.SHFE: if position.exchange == Exchange.SHFE:
if data["YdPosition"] and not data["TodayPosition"]: if data["YdPosition"] and not data["TodayPosition"]:
@ -495,7 +500,7 @@ class CtpTdApi(TdApi):
position.yd_volume = data["Position"] - data["TodayPosition"] position.yd_volume = data["Position"] - data["TodayPosition"]
# Calculate previous position cost # Calculate previous position cost
cost = position.price * position.volume cost = position.price * position.volume * size
# Update new position volume # Update new position volume
position.volume += data["Position"] position.volume += data["Position"]
@ -504,7 +509,7 @@ class CtpTdApi(TdApi):
# Calculate average position price # Calculate average position price
if position.volume: if position.volume:
cost += data["PositionCost"] cost += data["PositionCost"]
position.price = cost / position.volume position.price = cost / (position.volume * size)
# Get frozen volume # Get frozen volume
if position.direction == Direction.LONG: if position.direction == Direction.LONG: