[Add]添加DataEngine中维护的本地持仓细节数据
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vn.py
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@ -17,6 +17,7 @@ from vnpy.trader.language import text
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from vnpy.trader.vtFunction import getTempPath
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########################################################################
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class MainEngine(object):
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"""主引擎"""
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@ -328,6 +329,8 @@ class DataEngine(object):
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"""数据引擎"""
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contractFileName = 'ContractData.vt'
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contractFilePath = getTempPath(contractFileName)
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FINISHED_STATUS = [STATUS_ALLTRADED, STATUS_REJECTED, STATUS_CANCELLED]
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#----------------------------------------------------------------------
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def __init__(self, eventEngine):
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@ -343,19 +346,66 @@ class DataEngine(object):
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# 保存活动委托数据的字典（即可撤销）
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self.workingOrderDict = {}
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# 持仓细节字典, vtSymbol:PositionDetail
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self.detailDict = {}
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# 读取保存在硬盘的合约数据
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self.loadContracts()
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# 注册事件监听
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self.registerEvent()
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#----------------------------------------------------------------------
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def updateContract(self, event):
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"""更新合约数据"""
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def registerEvent(self):
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"""注册事件监听"""
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self.eventEngine.register(EVENT_CONTRACT, self.processContractEvent)
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self.eventEngine.register(EVENT_ORDER, self.processOrderEvent)
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self.eventEngine.register(EVENT_TRADE, self.processTradeEvent)
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self.eventEngine.register(EVENT_POSITION, self.processPositionEvent)
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#----------------------------------------------------------------------
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def processContractEvent(self, event):
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"""处理合约事件"""
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contract = event.dict_['data']
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self.contractDict[contract.vtSymbol] = contract
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self.contractDict[contract.symbol] = contract # 使用常规代码（不包括交易所）可能导致重复
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#----------------------------------------------------------------------
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def processOrderEvent(self, event):
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"""处理委托事件"""
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order = event.dict_['data']
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self.orderDict[order.vtOrderID] = order
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# 如果订单的状态是全部成交或者撤销，则需要从workingOrderDict中移除
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if order.status in self.FINISHED_STATUS:
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if order.vtOrderID in self.workingOrderDict:
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del self.workingOrderDict[order.vtOrderID]
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# 否则则更新字典中的数据
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else:
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self.workingOrderDict[order.vtOrderID] = order
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# 更新到持仓细节中
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detail = self.getPositionDetail(order.vtSymbol)
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detail.updateOrder(order)
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#----------------------------------------------------------------------
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def processTradeEvent(self, event):
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"""处理成交事件"""
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trade = event.dict_['data']
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# 更新到持仓细节中
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detail = self.getPositionDetail(trade.vtSymbol)
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detail.updateTrade(trade)
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#----------------------------------------------------------------------
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def processPositionEvent(self, event):
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"""处理持仓事件"""
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pos = event.dict_['data']
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# 更新到持仓细节中
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detail = self.getPositionDetail(pos.vtSymbol)
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detail.updatePosition(pos)
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#----------------------------------------------------------------------
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def getContract(self, vtSymbol):
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"""查询合约对象"""
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@ -386,20 +436,6 @@ class DataEngine(object):
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self.contractDict[key] = value
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f.close()
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#----------------------------------------------------------------------
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def updateOrder(self, event):
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"""更新委托数据"""
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order = event.dict_['data']
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self.orderDict[order.vtOrderID] = order
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# 如果订单的状态是全部成交或者撤销，则需要从workingOrderDict中移除
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if order.status in [STATUS_ALLTRADED, STATUS_REJECTED, STATUS_CANCELLED]:
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if order.vtOrderID in self.workingOrderDict:
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del self.workingOrderDict[order.vtOrderID]
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# 否则则更新字典中的数据
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else:
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self.workingOrderDict[order.vtOrderID] = order
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#----------------------------------------------------------------------
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def getOrder(self, vtOrderID):
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"""查询委托"""
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@ -414,11 +450,24 @@ class DataEngine(object):
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return self.workingOrderDict.values()
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#----------------------------------------------------------------------
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def registerEvent(self):
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"""注册事件监听"""
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self.eventEngine.register(EVENT_CONTRACT, self.updateContract)
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self.eventEngine.register(EVENT_ORDER, self.updateOrder)
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def getPositionDetail(self, vtSymbol):
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"""查询持仓细节"""
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if vtSymbol in self.detailDict:
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detail = self.detailDict[vtSymbol]
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else:
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detail = EmsPosition(vtSymbol)
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self.detailDict[vtSymbol] = detail
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return detail
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#----------------------------------------------------------------------
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def updateOrderReq(self, req, vtOrderID):
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"""委托请求更新"""
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detail = self.getPositionDetail(req.vtSymbol)
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detail.updateOrderReq(req, vtOrderID)
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########################################################################
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class LogEngine(object):
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@ -518,3 +567,189 @@ class LogEngine(object):
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function(log.logContent)
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########################################################################
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class PositionDetail(object):
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"""本地维护的持仓信息"""
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WORKING_STATUS = [STATUS_UNKNOWN, STATUS_NOTTRADED, STATUS_PARTTRADED]
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#----------------------------------------------------------------------
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def __init__(self, vtSymbol):
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"""Constructor"""
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self.vtSymbol = vtSymbol
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self.longPos = EMPTY_INT
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self.longYd = EMPTY_INT
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self.longTd = EMPTY_INT
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self.longPosFrozen = EMPTY_INT
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self.longYdFrozen = EMPTY_INT
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self.longTdFrozen = EMPTY_INT
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self.shortPos = EMPTY_INT
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self.shortYd = EMPTY_INT
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self.shortTd = EMPTY_INT
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self.shortPosFrozen = EMPTY_INT
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self.shortYdFrozen = EMPTY_INT
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self.shortTdFrozen = EMPTY_INT
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self.workingOrderDict = {}
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#----------------------------------------------------------------------
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def updateTrade(self, trade):
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"""成交更新"""
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# 多头
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if trade.direction is DIRECTION_LONG:
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# 开仓
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if trade.offset is OFFSET_OPEN:
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self.longTd += trade.volume
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# 平今
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elif trade.offset is OFFSET_CLOSETODAY:
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self.shortTd -= trade.volume
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# 平昨
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elif trade.offset is OFFSET_CLOSEYESTERDAY:
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self.shortYd -= trade.volume
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# 平仓（非上期所，优先平今）
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elif trade.offset is OFFSET_CLOSE:
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self.shortTd -= trade.volume
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if self.shortTd < 0:
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self.shortYd += self.shortTd
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self.shortTd = 0
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# 空头
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elif trade.direction is DIRECTION_SHORT:
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# 开仓
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if trade.offset is OFFSET_OPEN:
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self.shortTd += trade.volume
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# 平今
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elif trade.offset is OFFSET_CLOSETODAY:
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self.longTd -= trade.volume
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# 平昨
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elif trade.offset is OFFSET_CLOSEYESTERDAY:
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self.longYd -= trade.volume
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# 平仓
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elif trade.offset is OFFSET_CLOSE:
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self.longTd -= trade.volume
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if self.longTd < 0:
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self.longYd += self.longTd
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self.longTd = 0
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# 汇总今昨
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self.calculatePosition()
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#----------------------------------------------------------------------
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def updateOrder(self, order):
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"""委托更新"""
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# 将活动委托缓存下来
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if order.status in self.WORKING_STATUS:
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self.workingOrderDict[order.vtOrderID] = order
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# 移除缓存中已经完成的委托
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else:
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if order.vtOrderID in self.workingOrderDict:
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del self.workingOrderDict[order.vtOrderID]
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# 计算冻结
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self.calculateFrozen()
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#----------------------------------------------------------------------
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def updatePosition(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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self.longYd = pos.ydPosition
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self.longTd = self.longPos - self.longYd
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elif pos.direction is DIRECTION_SHORT:
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self.shortPos = pos.position
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self.shortYd = pos.ydPosition
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self.shortTd = self.shortPos - self.shortYd
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#----------------------------------------------------------------------
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def updateOrderReq(self, req, vtOrderID):
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"""发单更新"""
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# 基于请求生成委托对象
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order = VtOrderData()
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order.vtSymbol = req.vtSymbol
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order.symbol = req.symbol
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order.exchange = req.exchange
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order.offset = req.offset
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order.direction = req.direction
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order.totalVolume = req.volume
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order.status = STATUS_UNKNOWN
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# 缓存到字典中
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self.workingOrderDict[vtOrderID] = req
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# 计算冻结量
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self.calculateFrozen()
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#----------------------------------------------------------------------
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def calculatePosition(self):
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"""计算持仓情况"""
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self.longPos = self.longTd + self.longYd
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self.shortPos = self.shortTd + self.shortYd
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self.output()
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#----------------------------------------------------------------------
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def calculateFrozen(self):
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"""计算冻结情况"""
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# 清空冻结数据
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self.longPosFrozen = EMPTY_INT
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self.longYdFrozen = EMPTY_INT
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self.longTdFrozen = EMPTY_INT
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self.shortPosFrozen = EMPTY_INT
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self.shortYdFrozen = EMPTY_INT
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self.shortTdFrozen = EMPTY_INT
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# 遍历统计
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for order in self.workingOrderDict.values():
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# 计算剩余冻结量
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frozenVolume = order.totalVolume - order.tradedVolume
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# 多头委托
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if order.direction is DIRECTION_LONG:
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# 平今
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if order.offset is OFFSET_CLOSETODAY:
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self.shortTdFrozen += frozenVolume
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# 平昨
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elif order.offset is OFFSET_CLOSEYESTERDAY:
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self.shortYdFrozen += frozenVolume
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# 平仓
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elif order.offset is OFFSET_CLOSE:
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self.shortTdFrozen += frozenVolume
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if self.shortTdFrozen > self.shortTd:
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self.shortYdFrozen += (self.shortTdFrozen - self.shortTd)
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self.shortTdFrozen = self.shortTd
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# 空头委托
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elif order.direction is DIRECTION_SHORT:
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# 平今
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if order.offset is OFFSET_CLOSETODAY:
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self.longTdFrozen += frozenVolume
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# 平昨
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elif order.offset is OFFSET_CLOSEYESTERDAY:
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self.longYdFrozen += frozenVolume
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# 平仓
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elif order.offset is OFFSET_CLOSE:
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self.longTdFrozen += frozenVolume
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if self.longTdFrozen > self.longTd:
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self.longYdFrozen += (self.longTdFrozen - self.longTd)
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self.longTdFrozen = self.longTd
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# 汇总今昨冻结
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self.longPosFrozen = self.longYdFrozen + self.longTdFrozen
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self.shortPosFrozen = self.shortYdFrozen + self.shortTdFrozen
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self.output()
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#----------------------------------------------------------------------
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def output(self):
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""""""
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print self.vtSymbol, '-'*30
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print 'long, total:%s, td:%s, yd:%s' %(self.longPos, self.longTd, self.longYd)
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print 'long frozen, total:%s, td:%s, yd:%s' %(self.longPosFrozen, self.longTdFrozen, self.longYdFrozen)
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print 'short, total:%s, td:%s, yd:%s' %(self.shortPos, self.shortTd, self.shortYd)
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print 'short frozen, total:%s, td:%s, yd:%s' %(self.shortPosFrozen, self.shortTdFrozen, self.shortYdFrozen)
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