From 47b256ea90e135edfc3ff05dacfd340cbb1bcb8b Mon Sep 17 00:00:00 2001
From: "vn.py" <xiaoyou.chen@foxmail.com>
Date: Thu, 7 Nov 2019 10:41:35 +0800
Subject: [PATCH] [Mod] round float number position to desired decimals for
 inverse contracts

---
 vnpy/app/spread_trading/algo.py     |  9 +++++++++
 vnpy/app/spread_trading/base.py     |  2 ++
 vnpy/app/spread_trading/template.py | 16 ++++++++++++----
 3 files changed, 23 insertions(+), 4 deletions(-)

diff --git a/vnpy/app/spread_trading/algo.py b/vnpy/app/spread_trading/algo.py
index db0aec8f..53f1ba41 100644
--- a/vnpy/app/spread_trading/algo.py
+++ b/vnpy/app/spread_trading/algo.py
@@ -2,6 +2,7 @@ from typing import Any
 
 from vnpy.trader.constant import Direction, Offset
 from vnpy.trader.object import (TickData, OrderData, TradeData)
+from vnpy.trader.utility import round_to
 
 from .template import SpreadAlgoTemplate
 from .base import SpreadData
@@ -111,19 +112,27 @@ class SpreadTakerAlgo(SpreadAlgoTemplate):
         # Calcualte spread volume to hedge
         active_leg = self.spread.active_leg
         active_traded = self.leg_traded[active_leg.vt_symbol]
+        active_traded = round_to(active_traded, self.spread.min_volume)
 
         hedge_volume = self.spread.calculate_spread_volume(
             active_leg.vt_symbol,
             active_traded
         )
 
+        self.write_log(
+            f"active {active_leg.vt_symbol} traded: {active_traded} hedge_volume: {hedge_volume}")
+
         # Calculate passive leg target volume and do hedge
         for leg in self.spread.passive_legs:
             passive_traded = self.leg_traded[leg.vt_symbol]
+            passive_traded = round_to(passive_traded, self.spread.min_volume)
+
             passive_target = self.spread.calculate_leg_volume(
                 leg.vt_symbol,
                 hedge_volume
             )
+            self.write_log(
+                f"hedge {leg.vt_symbol} traded: {passive_traded} target: {passive_target}")
 
             leg_order_volume = passive_target - passive_traded
             if leg_order_volume:
diff --git a/vnpy/app/spread_trading/base.py b/vnpy/app/spread_trading/base.py
index 3e3b5805..4c330b24 100644
--- a/vnpy/app/spread_trading/base.py
+++ b/vnpy/app/spread_trading/base.py
@@ -39,11 +39,13 @@ class LegData:
         # Contract data
         self.size: float = 0
         self.net_position: bool = False
+        self.min_volume: float = 0
 
     def update_contract(self, contract: ContractData):
         """"""
         self.size = contract.size
         self.net_position = contract.net_position
+        self.min_volume = contract.min_volume
 
     def update_tick(self, tick: TickData):
         """"""
diff --git a/vnpy/app/spread_trading/template.py b/vnpy/app/spread_trading/template.py
index c912be6c..0d8838f3 100644
--- a/vnpy/app/spread_trading/template.py
+++ b/vnpy/app/spread_trading/template.py
@@ -1,12 +1,11 @@
 
 from collections import defaultdict
 from typing import Dict, List, Set
-from math import floor, ceil
 from copy import copy
 
 from vnpy.trader.object import TickData, TradeData, OrderData, ContractData
 from vnpy.trader.constant import Direction, Status, Offset
-from vnpy.trader.utility import virtual
+from vnpy.trader.utility import virtual, floor_to, ceil_to, round_to
 
 from .base import SpreadData, calculate_inverse_volume
 
@@ -204,6 +203,10 @@ class SpreadAlgoTemplate:
             else:
                 volume = volume * price / size
 
+        # Round order volume to min_volume of contract
+        leg = self.spread.legs[vt_symbol]
+        volume = round_to(volume, leg.min_volume)
+
         vt_orderids = self.algo_engine.send_order(
             self,
             vt_symbol,
@@ -241,12 +244,17 @@ class SpreadAlgoTemplate:
             leg_traded = self.leg_traded[leg.vt_symbol]
             trading_multiplier = self.spread.trading_multipliers[
                 leg.vt_symbol]
+
             adjusted_leg_traded = leg_traded / trading_multiplier
+            adjusted_leg_traded = round_to(
+                adjusted_leg_traded, self.spread.min_volume)
 
             if adjusted_leg_traded > 0:
-                adjusted_leg_traded = floor(adjusted_leg_traded)
+                adjusted_leg_traded = floor_to(
+                    adjusted_leg_traded, self.spread.min_volume)
             else:
-                adjusted_leg_traded = ceil(adjusted_leg_traded)
+                adjusted_leg_traded = ceil_to(
+                    adjusted_leg_traded, self.spread.min_volume)
 
             if not n:
                 self.traded = adjusted_leg_traded