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[Mod] record coin (not contract) traded volume for inverse contract

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This commit is contained in:
vn.py 2019-10-22 15:24:11 +08:00
parent 7a72d5f63f
commit 44bd65b502
1 changed files with 14 additions and 3 deletions
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17
vnpy/app/spread_trading/template.py
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@ -117,10 +117,21 @@ class SpreadAlgoTemplate:
def update_trade(self, trade: TradeData):
""""""
if trade.direction == Direction.LONG:
self.leg_traded[trade.vt_symbol] += trade.volume
# For inverse contract:
# record coin trading volume as leg trading volume,
# not contract volume!
if self.spread.is_inverse(trade.vt_symbol):
trade_volume = calculate_inverse_volume(
trade.volume,
trade.price
)
else:
self.leg_traded[trade.vt_symbol] -= trade.volume
trade_volume = trade.volume
if trade.direction == Direction.LONG:
self.leg_traded[trade.vt_symbol] += trade_volume
else:
self.leg_traded[trade.vt_symbol] -= trade_volume
msg = "委托成交，{}，{}，{}@{}".format(
trade.vt_symbol,