[Add]富途接口配置中增加host和ip

vnpy/trader/app/optionMaster/omBase.py

@@ -1,10 +1,18 @@
 # encoding: UTF-8
 
+from copy import copy
 from collections import OrderedDict
 
 from vnpy.trader.vtConstant import *
 from vnpy.trader.vtObject import VtTickData
 
+from .omFunction import getTimeToMaturity
+
+
+# 常量定义
+CALL = 1
+PUT = -1
+
 
 ########################################################################
 class OmInstrument(VtTickData):
@@ -75,12 +83,21 @@ class OmInstrument(VtTickData):
         else:
             self.shortPos = pos.position
             
-        self.calculateNetPos()
+        return self.calculateNetPos()
         
     #----------------------------------------------------------------------
     def calculateNetPos(self):
         """计算净持仓"""
-        self.netPos = self.longPos - self.shortPos    
+        newNetPos = self.longPos - self.shortPos
+        
+        # 检查净持仓是否发生变化
+        if newNetPos != self.netPos:
+            netPosChanged = True
+            self.netPos = newNetPos
+        else:
+            netPosChanged = False
+            
+        return netPosChanged
 
 
 ########################################################################
@@ -119,17 +136,10 @@ class OmUnderlying(OmInstrument):
     #----------------------------------------------------------------------
     def newPos(self, pos):
         """持仓更新"""
-        super(OmUnderlying, self).newPos(pos)
+        netPosChanged = super(OmUnderlying, self).newPos(pos)
+        if netPosChanged:
             self.calculatePosGreeks()
     
-    #----------------------------------------------------------------------
-    def init(self, contract, chainList):
-        """初始化"""
-        super(OmUnderlying, self).init(contract)
-        
-        self.chainList = chainList
-        self.chainDict = OrderedDict([(chain.symbol, chain) for chain in chainList])
-        
     #----------------------------------------------------------------------
     def calculatePosGreeks(self):
         """计算持仓希腊值"""
@@ -155,7 +165,314 @@ class OmFutures(OmUnderlying):
         """Constructor"""
         super(OmFutures, self).__init__(contract, chainList)
         
+        self.expiryDate = contract.expiryDate
+
+
+########################################################################
+class OmOption(OmInstrument):
+    """期权"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, contract, underlying, model, r):
+        """Constructor"""
+        super(OmOption, self).__init__(contract)
+        
+        # 期权属性
+        self.underlying = underlying    # 标的物对象
+        self.k = contract.strikePrice   # 行权价
+        self.r = r                      # 利率
+        
+        if contract.optionType == OPTION_CALL:
+            self.cp = CALL              # 期权类型        
+        else:
+            self.cp = PUT
+            
+        self.expiryDate = contract.expiryDate       # 到期日（字符串）
+        self.t = getTimeToMaturity(self.expiryDate) # 剩余时间
+    
+        # 波动率属性
+        self.bidImpv = EMPTY_FLOAT
+        self.askImpv = EMPTY_FLOAT
+        self.midImpv = EMPTY_FLOAT
+    
+        # 定价公式
+        self.calculatePrice = model.calculatePrice
+        self.calculateGreeks = model.calculateGreeks
+        self.calculateImpv = model.calculateImpv
+    
+        # 模型定价
+        self.pricingImpv = EMPTY_FLOAT
+    
+        self.theoPrice = EMPTY_FLOAT    # 理论价
+        self.theoDelta = EMPTY_FLOAT    # 合约的希腊值（乘以了合约大小）
+        self.theoGamma = EMPTY_FLOAT
+        self.theoTheta = EMPTY_FLOAT
+        self.theoVega = EMPTY_FLOAT
+    
+        self.posValue = EMPTY_FLOAT     # 持仓市值
+        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        
+        
+    #----------------------------------------------------------------------
+    def calculateImpv(self):
+        """计算隐含波动率"""
+        underlyingPrice = self.underlying.midPrice
+        if not underlyingPrice:
+            return        
+        
+        self.askImpv = self.calculateImpv(self.askPrice1, underlyingPrice, self.k,
+                                          self.r, self.t, self.cp)
+        self.bidImpv = self.calculateImpv(self.bidPrice1, underlyingPrice, self.k,
+                                          self.r, self.t, self.cp)        
+        self.midImpv = (self.askImpv + self.bidImpv) / 2
+    
+    #----------------------------------------------------------------------
+    def calculateTheoGreeks(self):
+        """计算理论希腊值"""
+        underlyingPrice = self.underlying.midPrice
+        if not underlyingPrice or not self.pricingImpv:
+            return
+        
+        self.theoPrice, self.theoDelta, self.theoGamma, self.theoTheta, self.theoVega = self.calculateGreeks(underlyingPrice, 
+                                                                                                             self.k, 
+                                                                                                             self.r, 
+                                                                                                             self.t, 
+                                                                                                             self.pricingImpv, 
+                                                                                                             self.cp)
+        
+    #----------------------------------------------------------------------
+    def calculatePosGreeks(self):
+        """计算持仓希腊值"""
+        self.posValue = self.theoPrice * self.netPos
+        self.posDelta = self.theoDelta * self.netPos
+        self.posGamma = self.theoGamma * self.netPos
+        self.posTheta = self.theoTheta * self.netPos
+        self.posVega = self.theoVega * self.netPos                
+    
+    #----------------------------------------------------------------------
+    def newTick(self, tick):
+        """行情更新"""
+        super(OmOption, self).newTick(tick)
+        self.calculateImpv()
+    
+    #----------------------------------------------------------------------
+    def newUnderlyingTick(self):
+        """标的行情更新"""
+        self.calculateImpv()
+        self.calculateTheoGreeks()
+        self.calculatePosGreeks()
+        
+    #----------------------------------------------------------------------
+    def newTrade(self, trade):
+        """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()    
+
+
+########################################################################
+class OmChain(object):
+    """期权链"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, symbol, callList, putList):
+        """Constructor"""
+        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))
+        
+        # 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 calculatePosGreeks(self):
+        """计算持仓希腊值"""
+        # 清空数据
+        self.longPos = 0
+        self.shortPos = 0
+        self.netPos = 0
+        self.posDelta = 0
+        self.posGamma = 0
+        self.posTheta = 0
+        self.posVega = 0
+        
+        # 遍历汇总
+        for option in self.optionList:
+            self.longPos += option.longPos
+            self.shortPos += option.shortPos
+            
+            self.posValue += option.posValue
+            self.posDelta += option.posDelta
+            self.posGamma += option.posGamma
+            self.posTheta += option.posTheta
+            self.posVega += option.posVega
+        
+        self.netPos = self.longPos - self.shortPos    
+    
+    #----------------------------------------------------------------------
+    def newTick(self, tick):
+        """期权行情更新"""
+        option = self.optionDict[tick.symbol]
+        option.newTick(tick)
+    
+    #----------------------------------------------------------------------
+    def newUnderlyingTick(self):
+        """期货行情更新"""
+        for option in self.optionList:
+            option.newUnderlyingTick()
+            
+        self.calculatePosGreeks()
+        
+    #----------------------------------------------------------------------
+    def newTrade(self, trade):
+        """期权成交更新"""
+        option = self.optionDict[trade.symbol]
+        option.newTrade(trade)
+        
+        self.calculatePosGreeks()
+    
+    #----------------------------------------------------------------------
+    def newPos(self, pos):
+        """期权持仓更新"""
+        option = self.optionDict[pos.symbol]
+        option.newPos(pos)
+        
+        self.calculatePosGreeks()
 
 
 
+########################################################################
+class OmPortfolio(object):
+    """持仓组合"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, name):
+        """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 = []
+        
+        # 持仓数据
+        self.longPos = EMPTY_INT
+        self.shortPos = EMPTY_INT
+        self.netPos = EMPTY_INT
+        
+        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):
+        """计算持仓希腊值"""
+        self.longPos = 0
+        self.shortPos = 0
+        self.netPos = 0
+        self.posDelta = 0
+        self.posGamma = 0
+        self.posTheta = 0
+        self.posVega = 0
+        
+        for underlying in self.underlyingList:
+            self.posDelta += underlying.posDelta
+        
+        for chain in self.chainList:
+            self.longPos += chain.longPos
+            self.shortPos += chain.shortPos
+            
+            self.posDelta += chain.posDelta
+            self.posGamma += chain.posGamma
+            self.posTheta += chain.posTheta
+            self.posVega += chain.posVega
+        
+        self.netPos = self.longPos - self.shortPos        
+    
+    #----------------------------------------------------------------------
+    def newTick(self, tick):
+        """行情推送"""
+        if tick.symbol in self.optionChainDict:
+            chain = self.optionChainDict[tick.symbol]
+            chain.newTick(tick)
+        elif tick.symbol in self.underlyingDict:
+            underlying = self.underlyingDict[tick.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]
+            chain.newTrade(trade)
+        else:
+            underlying = self.underlyingDict[trade.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()
+    
     

vnpy/trader/app/optionMaster/omFunction.py

@@ -0,0 +1,9 @@
+# encoding: UTF-8
+
+
+#----------------------------------------------------------------------
+def getTimeToMaturity(expiryDate):
+    """计算期权剩余到期时间"""
+    t = 0
+    return t
+    

vnpy/trader/gateway/futuGateway/Futu_connect.json

@@ -1,4 +1,6 @@
 {
+	"host": "127.0.0.1",
+	"port": 11111,
 	"market": "HK",
     "password": "123123",
     "env": 1

vnpy/trader/gateway/futuGateway/futuGateway.py

@@ -62,6 +62,8 @@ class FutuGateway(VtGateway):
         self.quoteCtx = None
         self.tradeCtx = None
         
+        self.host = ''
+        self.ip = 0
         self.market = ''
         self.password = ''
         self.env = 1        # 默认仿真交易
@@ -95,6 +97,19 @@ class FutuGateway(VtGateway):
     #----------------------------------------------------------------------
     def connect(self):
         """连接"""
+        # 载入配置
+        try:
+            f = open(self.filePath)
+            setting = json.load(f)
+            self.host = setting['host']
+            self.port = setting['port']
+            self.market = setting['market']
+            self.password = setting['password']
+            self.env = setting['env']
+        except:
+            self.writeLog(u'载入配置文件出错')
+            return
+        
         self.connectQuote()
         self.connectTrade()
         
@@ -119,7 +134,7 @@ class FutuGateway(VtGateway):
     #----------------------------------------------------------------------
     def connectQuote(self):
         """连接行情功能"""
-        self.quoteCtx = ft.OpenQuoteContext()
+        self.quoteCtx = ft.OpenQuoteContext(self.host, self.port)
         
         # 继承实现处理器类
         class QuoteHandler(StockQuoteHandlerBase):
@@ -156,24 +171,13 @@ class FutuGateway(VtGateway):
     #----------------------------------------------------------------------
     def connectTrade(self):
         """连接交易功能"""
-        # 载入配置
-        try:
-            f = open(self.filePath)
-            setting = json.load(f)
-            self.market = setting['market']
-            self.password = setting['password']
-            self.env = setting['env']
-        except:
-            self.writeLog(u'载入配置文件出错')
-            return
-        
         # 连接交易接口
         if self.market == 'US':
-            self.tradeCtx = ft.OpenUSTradeContext()
+            self.tradeCtx = ft.OpenUSTradeContext(self.host, self.port)
             OrderHandlerBase = USTradeOrderHandlerBase
             DealHandlerBase = USTradeDealHandlerBase
         else:
-            self.tradeCtx = ft.OpenHKTradeContext()
+            self.tradeCtx = ft.OpenHKTradeContext(self.host, self.port)
             OrderHandlerBase = HKTradeOrderHandlerBase
             DealHandlerBase = HKTradeDealHandlerBase