[Add]增加PositionDetail中的持仓均价和持仓盈亏计算

vnpy/trader/vtEngine.py

@@ -1,5 +1,7 @@
 # encoding: UTF-8
 
+from __future__ import division
+
 import os
 import shelve
 import logging
@@ -491,7 +493,8 @@ class DataEngine(object):
         if vtSymbol in self.detailDict:
             detail = self.detailDict[vtSymbol]
         else:
-            detail = PositionDetail(vtSymbol)
+            contract = self.getContract(vtSymbol)
+            detail = PositionDetail(vtSymbol, contract)
             self.detailDict[vtSymbol] = detail
             
             # 设置持仓细节的委托转换模式
@@ -647,9 +650,19 @@ class PositionDetail(object):
     MODE_TDPENALTY = 'tdpenalty'    # 平今惩罚
 
     #----------------------------------------------------------------------
-    def __init__(self, vtSymbol):
+    def __init__(self, vtSymbol, contract=None):
         """Constructor"""
         self.vtSymbol = vtSymbol
+        self.symbol = EMPTY_STRING
+        self.exchange = EMPTY_STRING
+        self.name = EMPTY_UNICODE    
+        self.size = 1
+        
+        if contract:
+            self.symbol = contract.symbol
+            self.exchange = contract.exchange
+            self.name = contract.name
+            self.size = contract.size
         
         self.longPos = EMPTY_INT
         self.longYd = EMPTY_INT
@@ -657,6 +670,8 @@ class PositionDetail(object):
         self.longPosFrozen = EMPTY_INT
         self.longYdFrozen = EMPTY_INT
         self.longTdFrozen = EMPTY_INT
+        self.longPnl = EMPTY_FLOAT
+        self.longPrice = EMPTY_FLOAT
         
         self.shortPos = EMPTY_INT
         self.shortYd = EMPTY_INT
@@ -664,6 +679,10 @@ class PositionDetail(object):
         self.shortPosFrozen = EMPTY_INT
         self.shortYdFrozen = EMPTY_INT
         self.shortTdFrozen = EMPTY_INT
+        self.shortPnl = EMPTY_FLOAT
+        self.shortPrice = EMPTY_FLOAT
+        
+        self.lastPrice = EMPTY_FLOAT
         
         self.mode = self.MODE_NORMAL
         self.exchange = EMPTY_STRING
@@ -720,8 +739,10 @@ class PositionDetail(object):
                         self.longYd += self.longTd
                         self.longTd = 0
                     
-        # 汇总今昨
+        # 汇总
+        self.calculatePrice(trade)
         self.calculatePosition()
+        self.calculatePnl()
     
     #----------------------------------------------------------------------
     def updateOrder(self, order):
@@ -745,10 +766,14 @@ class PositionDetail(object):
             self.longPos = pos.position
             self.longYd = pos.ydPosition
             self.longTd = self.longPos - self.longYd
+            self.longPnl = pos.positionProfit
+            self.longPrice = pos.price
         elif pos.direction is DIRECTION_SHORT:
             self.shortPos = pos.position
             self.shortYd = pos.ydPosition
             self.shortTd = self.shortPos - self.shortYd
+            self.shortPnl = pos.positionProfit
+            self.shortPrice = pos.price
             
         #self.output()
     
@@ -772,6 +797,34 @@ class PositionDetail(object):
         
         # 计算冻结量
         self.calculateFrozen()
+        
+    #----------------------------------------------------------------------
+    def updateTick(self, tick):
+        """行情更新"""
+        self.lastPrice = tick.lastPrice
+        self.calculatePnl()
+        
+    #----------------------------------------------------------------------
+    def calculatePnl(self):
+        """计算持仓盈亏"""
+        self.longPnl = self.longPos * (self.lastPrice - self.longPrice) * self.size
+        self.shortPnl = self.shortPos * (self.shortPrice - self.lastPrice) * self.size
+        
+    #----------------------------------------------------------------------
+    def calculatePrice(self, trade):
+        """计算持仓均价（基于成交数据）"""
+        # 只有开仓会影响持仓均价
+        if trade.offset == OFFSET_OPEN:
+            if trade.direction == DIRECTION_LONG:
+                cost = self.longPrice * self.longPos
+                cost += trade.volume * trade.price
+                newPos = self.longPos + trade.volume
+                self.longPrice = cost / newPos
+            else:
+                cost = self.shortPrice * self.shortPos
+                cost += trade.volume * trade.price
+                newPos = self.shortPos + trade.volume
+                self.shortPrice = cost / newPos
     
     #----------------------------------------------------------------------
     def calculatePosition(self):