[Add]初步完成OptionMaster中的数据缓存结构
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vn.py
parent
6e30b59ea3
commit
42a28e419f
@ -19,7 +19,7 @@ class OmInstrument(VtTickData):
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"""交易合约对象"""
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#----------------------------------------------------------------------
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def __init__(self, contract):
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def __init__(self, contract, detail):
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"""Constructor"""
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super(OmInstrument, self).__init__()
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@ -35,9 +35,9 @@ class OmInstrument(VtTickData):
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self.midPrice = EMPTY_FLOAT
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# 持仓数据
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self.longPos = EMPTY_INT
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self.shortPos = EMPTY_INT
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self.netPos = EMPTY_INT
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self.longPos = detail.longPos
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self.shortPos = detail.shortPos
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self.netPos = self.longPos - self.shortPos
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#----------------------------------------------------------------------
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def newTick(self, tick):
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@ -74,17 +74,7 @@ class OmInstrument(VtTickData):
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self.longPos -= trade.volume
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self.calculateNetPos()
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#----------------------------------------------------------------------
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def newPos(self, pos):
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"""持仓更新"""
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if pos.direction is DIRECTION_LONG:
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self.longPos = pos.position
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else:
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self.shortPos = pos.position
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return self.calculateNetPos()
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#----------------------------------------------------------------------
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def calculateNetPos(self):
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"""计算净持仓"""
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@ -133,41 +123,12 @@ class OmUnderlying(OmInstrument):
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super(OmUnderlying, self).newTrade(trade)
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self.calculatePosGreeks()
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#----------------------------------------------------------------------
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def newPos(self, pos):
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"""持仓更新"""
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netPosChanged = super(OmUnderlying, self).newPos(pos)
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if netPosChanged:
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self.calculatePosGreeks()
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#----------------------------------------------------------------------
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def calculatePosGreeks(self):
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"""计算持仓希腊值"""
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self.posDelta = self.theoDelta * self.netPos
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########################################################################
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class OmEquity(OmUnderlying):
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"""股票"""
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#----------------------------------------------------------------------
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def __init__(self, contract, chainList):
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"""Constructor"""
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super(OmEquity, self).__init__(contract, chainList)
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########################################################################
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class OmFutures(OmUnderlying):
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"""期货"""
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#----------------------------------------------------------------------
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def __init__(self, contract, chainList):
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"""Constructor"""
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super(OmFutures, self).__init__(contract, chainList)
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self.expiryDate = contract.expiryDate
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########################################################################
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class OmOption(OmInstrument):
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"""期权"""
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@ -213,7 +174,10 @@ class OmOption(OmInstrument):
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self.posDelta = EMPTY_FLOAT # 持仓的希腊值（乘以了持仓）
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self.posGamma = EMPTY_FLOAT
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self.posTheta = EMPTY_FLOAT
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self.posVega = EMPTY_FLOAT
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self.posVega = EMPTY_FLOAT
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# 期权链
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self.chain = None
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#----------------------------------------------------------------------
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def calculateImpv(self):
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@ -269,13 +233,6 @@ class OmOption(OmInstrument):
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"""成交更新"""
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super(OmOption, self).newTrade(trade)
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self.calculatePosGreeks()
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#----------------------------------------------------------------------
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def newPos(self, pos):
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"""持仓更新"""
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netPosChanged = super(OmOption, self).newPos(pos)
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if netPosChanged:
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self.calculatePosGreeks()
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########################################################################
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@ -288,9 +245,19 @@ class OmChain(object):
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self.symbol = symbol
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# 原始容器
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self.callDict = OrderedDict((option.symbol, option) for option in callList)
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self.putDict = OrderedDict((option.symbol, option) for option in putList)
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self.optionDict = OrderedDict((option.symbol, option) for option in (callList+putList))
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self.callDict = OrderedDict()
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self.putDict = OrderedDict()
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self.optionDict = OrderedDict()
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for option in callList:
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option.chain = self
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self.callDict[option.symbol] = option
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self.optionDict[option.symbol] = option
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for option in putList:
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option.chain = self
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self.putDict[option.symbol] = option
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self.optionDict[option.symbol] = option
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# 持仓数据
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self.longPos = EMPTY_INT
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@ -316,7 +283,7 @@ class OmChain(object):
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self.posVega = 0
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# 遍历汇总
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for option in self.optionList:
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for option in self.optionDict.values():
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self.longPos += option.longPos
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self.shortPos += option.shortPos
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@ -337,7 +304,7 @@ class OmChain(object):
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#----------------------------------------------------------------------
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def newUnderlyingTick(self):
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"""期货行情更新"""
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for option in self.optionList:
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for option in self.optionDict.values():
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option.newUnderlyingTick()
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self.calculatePosGreeks()
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@ -346,18 +313,30 @@ class OmChain(object):
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def newTrade(self, trade):
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"""期权成交更新"""
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option = self.optionDict[trade.symbol]
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# 缓存旧数据
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oldLongPos = option.longPos
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oldShortPos = option.shortPos
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oldPosValue = option.posValue
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oldPosDelta = option.posDelta
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oldPosGamma = option.posGamma
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oldPosTheta = option.posTheta
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oldPosVega = option.posVega
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# 更新到期权s中
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option.newTrade(trade)
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self.calculatePosGreeks()
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#----------------------------------------------------------------------
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def newPos(self, pos):
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"""期权持仓更新"""
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option = self.optionDict[pos.symbol]
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option.newPos(pos)
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# 计算持仓希腊值
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self.longPos = self.longPos - oldLongPos + option.longPos
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self.shortPos = self.shortPos - oldShortPos+ option.shortPos
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self.netPos = self.longPos - self.shortPos
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self.calculatePosGreeks()
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self.posValue = self.posValue - oldPosValue + option.posValue
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self.posDelta = self.posDelta - oldPosDelta + option.posDelta
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self.posGamma = self.posGamma - oldPosGamma + option.posGamma
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self.posTheta = self.posTheta - oldPosTheta + option.posTheta
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self.posVega = self.posVega - oldPosVega + option.posVega
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########################################################################
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@ -365,57 +344,33 @@ class OmPortfolio(object):
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"""持仓组合"""
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#----------------------------------------------------------------------
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def __init__(self, name):
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def __init__(self, name, underlyingList, chainList):
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"""Constructor"""
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self.name = name
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# 原始容器
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self.futuresDict = OrderedDict()
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self.equityDict = OrderedDict()
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self.chainDict = OrderedDict()
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# 初始化生成的容器
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self.underlyingDict = OrderedDict()
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self.underlyingList = []
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self.chainList = []
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self.contractDict = {}
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self.optionChainDict = {} # option symbol: chain object
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self.optionDict = {} # option symbol: option object
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self.optionList = []
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self.chainDict = OrderedDict()
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self.optionDict = {}
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for underlying in underlyingList:
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self.underlyingDict[underlying.symbol] = underlying
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for chain in chainList:
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self.chainDict[chain.symbol] = chain
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self.optionDict.update(chain.callDict)
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self.optionDict.update(chain.putDict)
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# 持仓数据
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self.longPos = EMPTY_INT
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self.shortPos = EMPTY_INT
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self.netPos = EMPTY_INT
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self.posValue = EMPTY_FLOAT
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self.posDelta = EMPTY_FLOAT
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self.posGamma = EMPTY_FLOAT
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self.posTheta = EMPTY_FLOAT
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self.posVega = EMPTY_FLOAT
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#----------------------------------------------------------------------
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def init(self, futuresDict, equityDict, chainDict):
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"""初始化数据结构"""
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self.futuresDict = futuresDict
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self.equityDict = equityDict
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self.chainDict = chainDict
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self.underlyingDict.update(self.futuresDict)
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self.underlyingDict.update(self.equityDict)
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self.underlyingList = self.underlyingDict.values()
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self.chainList = chainDict.values()
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self.contractDict.update(self.futuresDict)
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self.contractDict.update(self.equityDict)
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for chain in self.chainList:
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self.contractDict.update(chain.callDict)
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self.contractDict.update(chain.putDict)
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for option in chain.optionList:
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self.optionChainDict[option.symbol] = chain
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self.optionDict[option.symbol] = option
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self.optionList.append(option)
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#----------------------------------------------------------------------
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def calculatePosGreeks(self):
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@ -423,6 +378,8 @@ class OmPortfolio(object):
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self.longPos = 0
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self.shortPos = 0
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self.netPos = 0
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self.posValue = 0
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self.posDelta = 0
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self.posGamma = 0
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self.posTheta = 0
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@ -435,6 +392,7 @@ class OmPortfolio(object):
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self.longPos += chain.longPos
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self.shortPos += chain.shortPos
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self.posValue += chain.posValue
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self.posDelta += chain.posDelta
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self.posGamma += chain.posGamma
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self.posTheta += chain.posTheta
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@ -445,34 +403,27 @@ class OmPortfolio(object):
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#----------------------------------------------------------------------
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def newTick(self, tick):
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"""行情推送"""
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if tick.symbol in self.optionChainDict:
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chain = self.optionChainDict[tick.symbol]
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symbol = tick.symbol
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if symbol in self.optionDict:
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chain = self.optionDict[symbol].chain
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chain.newTick(tick)
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elif tick.symbol in self.underlyingDict:
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underlying = self.underlyingDict[tick.symbol]
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self.calculatePosGreeks()
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elif symbol in self.underlyingDict:
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underlying = self.underlyingDict[symbol]
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underlying.newTick(tick)
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self.calculatePosGreeks()
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#----------------------------------------------------------------------
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def newTrade(self, trade):
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"""成交推送"""
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if trade.symbol in self.optionChainDict:
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chain = self.optionChainDict[trade.symbol]
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symbol = trade.symbol
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if symbol in self.optionDict:
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chain = self.optionDict[symbol].chain
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chain.newTrade(trade)
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else:
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underlying = self.underlyingDict[trade.symbol]
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self.calculatePosGreeks()
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elif symbol in self.underlyingDict:
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underlying = self.underlyingDict[symbol]
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underlying.newTrade(trade)
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self.calculatePosGreeks()
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#----------------------------------------------------------------------
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def newPos(self, pos):
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"""持仓推送"""
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if pos.symbol in self.optionChainDict:
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chain = self.optionChainDict[pos.symbol]
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chain.newPos(pos)
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elif pos.symbol in self.underlyingDict:
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underlying = self.underlyingDict[pos.symbol]
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underlying.newPos(pos)
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self.calculatePosGreeks()
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self.calculatePosGreeks()
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