diff --git a/vnpy/trader/app/optionMaster/omBase.py b/vnpy/trader/app/optionMaster/omBase.py index f0154e2d..6ccdfd8f 100644 --- a/vnpy/trader/app/optionMaster/omBase.py +++ b/vnpy/trader/app/optionMaster/omBase.py @@ -19,7 +19,7 @@ class OmInstrument(VtTickData): """交易合约对象""" #---------------------------------------------------------------------- - def __init__(self, contract): + def __init__(self, contract, detail): """Constructor""" super(OmInstrument, self).__init__() @@ -35,9 +35,9 @@ class OmInstrument(VtTickData): self.midPrice = EMPTY_FLOAT # 持仓数据 - self.longPos = EMPTY_INT - self.shortPos = EMPTY_INT - self.netPos = EMPTY_INT + self.longPos = detail.longPos + self.shortPos = detail.shortPos + self.netPos = self.longPos - self.shortPos #---------------------------------------------------------------------- def newTick(self, tick): @@ -74,17 +74,7 @@ class OmInstrument(VtTickData): self.longPos -= trade.volume self.calculateNetPos() - - #---------------------------------------------------------------------- - def newPos(self, pos): - """持仓更新""" - if pos.direction is DIRECTION_LONG: - self.longPos = pos.position - else: - self.shortPos = pos.position - - return self.calculateNetPos() - + #---------------------------------------------------------------------- def calculateNetPos(self): """计算净持仓""" @@ -133,41 +123,12 @@ class OmUnderlying(OmInstrument): super(OmUnderlying, self).newTrade(trade) self.calculatePosGreeks() - #---------------------------------------------------------------------- - def newPos(self, pos): - """持仓更新""" - netPosChanged = super(OmUnderlying, self).newPos(pos) - if netPosChanged: - self.calculatePosGreeks() - #---------------------------------------------------------------------- def calculatePosGreeks(self): """计算持仓希腊值""" self.posDelta = self.theoDelta * self.netPos -######################################################################## -class OmEquity(OmUnderlying): - """股票""" - - #---------------------------------------------------------------------- - def __init__(self, contract, chainList): - """Constructor""" - super(OmEquity, self).__init__(contract, chainList) - - -######################################################################## -class OmFutures(OmUnderlying): - """期货""" - - #---------------------------------------------------------------------- - def __init__(self, contract, chainList): - """Constructor""" - super(OmFutures, self).__init__(contract, chainList) - - self.expiryDate = contract.expiryDate - - ######################################################################## class OmOption(OmInstrument): """期权""" @@ -213,7 +174,10 @@ class OmOption(OmInstrument): self.posDelta = EMPTY_FLOAT # 持仓的希腊值（乘以了持仓） self.posGamma = EMPTY_FLOAT self.posTheta = EMPTY_FLOAT - self.posVega = EMPTY_FLOAT + self.posVega = EMPTY_FLOAT + + # 期权链 + self.chain = None #---------------------------------------------------------------------- def calculateImpv(self): @@ -269,13 +233,6 @@ class OmOption(OmInstrument): """成交更新""" super(OmOption, self).newTrade(trade) self.calculatePosGreeks() - - #---------------------------------------------------------------------- - def newPos(self, pos): - """持仓更新""" - netPosChanged = super(OmOption, self).newPos(pos) - if netPosChanged: - self.calculatePosGreeks() ######################################################################## @@ -288,9 +245,19 @@ class OmChain(object): self.symbol = symbol # 原始容器 - self.callDict = OrderedDict((option.symbol, option) for option in callList) - self.putDict = OrderedDict((option.symbol, option) for option in putList) - self.optionDict = OrderedDict((option.symbol, option) for option in (callList+putList)) + self.callDict = OrderedDict() + self.putDict = OrderedDict() + self.optionDict = OrderedDict() + + for option in callList: + option.chain = self + self.callDict[option.symbol] = option + self.optionDict[option.symbol] = option + + for option in putList: + option.chain = self + self.putDict[option.symbol] = option + self.optionDict[option.symbol] = option # 持仓数据 self.longPos = EMPTY_INT @@ -316,7 +283,7 @@ class OmChain(object): self.posVega = 0 # 遍历汇总 - for option in self.optionList: + for option in self.optionDict.values(): self.longPos += option.longPos self.shortPos += option.shortPos @@ -337,7 +304,7 @@ class OmChain(object): #---------------------------------------------------------------------- def newUnderlyingTick(self): """期货行情更新""" - for option in self.optionList: + for option in self.optionDict.values(): option.newUnderlyingTick() self.calculatePosGreeks() @@ -346,18 +313,30 @@ class OmChain(object): def newTrade(self, trade): """期权成交更新""" option = self.optionDict[trade.symbol] + + # 缓存旧数据 + oldLongPos = option.longPos + oldShortPos = option.shortPos + + oldPosValue = option.posValue + oldPosDelta = option.posDelta + oldPosGamma = option.posGamma + oldPosTheta = option.posTheta + oldPosVega = option.posVega + + # 更新到期权s中 option.newTrade(trade) - self.calculatePosGreeks() - - #---------------------------------------------------------------------- - def newPos(self, pos): - """期权持仓更新""" - option = self.optionDict[pos.symbol] - option.newPos(pos) + # 计算持仓希腊值 + self.longPos = self.longPos - oldLongPos + option.longPos + self.shortPos = self.shortPos - oldShortPos+ option.shortPos + self.netPos = self.longPos - self.shortPos - self.calculatePosGreeks() - + self.posValue = self.posValue - oldPosValue + option.posValue + self.posDelta = self.posDelta - oldPosDelta + option.posDelta + self.posGamma = self.posGamma - oldPosGamma + option.posGamma + self.posTheta = self.posTheta - oldPosTheta + option.posTheta + self.posVega = self.posVega - oldPosVega + option.posVega ######################################################################## @@ -365,57 +344,33 @@ class OmPortfolio(object): """持仓组合""" #---------------------------------------------------------------------- - def __init__(self, name): + def __init__(self, name, underlyingList, chainList): """Constructor""" self.name = name # 原始容器 - self.futuresDict = OrderedDict() - self.equityDict = OrderedDict() - self.chainDict = OrderedDict() - - # 初始化生成的容器 self.underlyingDict = OrderedDict() - self.underlyingList = [] - self.chainList = [] - self.contractDict = {} - self.optionChainDict = {} # option symbol: chain object - self.optionDict = {} # option symbol: option object - self.optionList = [] + self.chainDict = OrderedDict() + self.optionDict = {} + + for underlying in underlyingList: + self.underlyingDict[underlying.symbol] = underlying + + for chain in chainList: + self.chainDict[chain.symbol] = chain + self.optionDict.update(chain.callDict) + self.optionDict.update(chain.putDict) # 持仓数据 self.longPos = EMPTY_INT self.shortPos = EMPTY_INT self.netPos = EMPTY_INT + self.posValue = EMPTY_FLOAT self.posDelta = EMPTY_FLOAT self.posGamma = EMPTY_FLOAT self.posTheta = EMPTY_FLOAT self.posVega = EMPTY_FLOAT - - #---------------------------------------------------------------------- - def init(self, futuresDict, equityDict, chainDict): - """初始化数据结构""" - self.futuresDict = futuresDict - self.equityDict = equityDict - self.chainDict = chainDict - - self.underlyingDict.update(self.futuresDict) - self.underlyingDict.update(self.equityDict) - self.underlyingList = self.underlyingDict.values() - self.chainList = chainDict.values() - - self.contractDict.update(self.futuresDict) - self.contractDict.update(self.equityDict) - - for chain in self.chainList: - self.contractDict.update(chain.callDict) - self.contractDict.update(chain.putDict) - - for option in chain.optionList: - self.optionChainDict[option.symbol] = chain - self.optionDict[option.symbol] = option - self.optionList.append(option) #---------------------------------------------------------------------- def calculatePosGreeks(self): @@ -423,6 +378,8 @@ class OmPortfolio(object): self.longPos = 0 self.shortPos = 0 self.netPos = 0 + + self.posValue = 0 self.posDelta = 0 self.posGamma = 0 self.posTheta = 0 @@ -435,6 +392,7 @@ class OmPortfolio(object): self.longPos += chain.longPos self.shortPos += chain.shortPos + self.posValue += chain.posValue self.posDelta += chain.posDelta self.posGamma += chain.posGamma self.posTheta += chain.posTheta @@ -445,34 +403,27 @@ class OmPortfolio(object): #---------------------------------------------------------------------- def newTick(self, tick): """行情推送""" - if tick.symbol in self.optionChainDict: - chain = self.optionChainDict[tick.symbol] + symbol = tick.symbol + + if symbol in self.optionDict: + chain = self.optionDict[symbol].chain chain.newTick(tick) - elif tick.symbol in self.underlyingDict: - underlying = self.underlyingDict[tick.symbol] + self.calculatePosGreeks() + elif symbol in self.underlyingDict: + underlying = self.underlyingDict[symbol] underlying.newTick(tick) self.calculatePosGreeks() #---------------------------------------------------------------------- def newTrade(self, trade): """成交推送""" - if trade.symbol in self.optionChainDict: - chain = self.optionChainDict[trade.symbol] + symbol = trade.symbol + + if symbol in self.optionDict: + chain = self.optionDict[symbol].chain chain.newTrade(trade) - else: - underlying = self.underlyingDict[trade.symbol] + self.calculatePosGreeks() + elif symbol in self.underlyingDict: + underlying = self.underlyingDict[symbol] underlying.newTrade(trade) - self.calculatePosGreeks() - - #---------------------------------------------------------------------- - def newPos(self, pos): - """持仓推送""" - if pos.symbol in self.optionChainDict: - chain = self.optionChainDict[pos.symbol] - chain.newPos(pos) - elif pos.symbol in self.underlyingDict: - underlying = self.underlyingDict[pos.symbol] - underlying.newPos(pos) - self.calculatePosGreeks() - - \ No newline at end of file + self.calculatePosGreeks() \ No newline at end of file