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[Mod]添加对OFFSET_CLOSE在不同交易所的区别判断

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vn.py 2017-10-17 16:57:35 +08:00
parent f3eea4a1c0
commit 711265c70a
1 changed files with 21 additions and 12 deletions
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29
vnpy/trader/vtEngine.py
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@ -654,14 +654,18 @@ class PositionDetail(object):
# 平昨 # 平昨
elif trade.offset is OFFSET_CLOSEYESTERDAY: elif trade.offset is OFFSET_CLOSEYESTERDAY:
self.shortYd -= trade.volume self.shortYd -= trade.volume
# 平仓（非上期所，优先平今） # 平仓
elif trade.offset is OFFSET_CLOSE: elif trade.offset is OFFSET_CLOSE:
self.shortTd -= trade.volume # 上期所等同于平昨
if self.exchange is EXCHANGE_SHFE:
if self.shortTd < 0: self.shortYd -= trade.volume
self.shortYd += self.shortTd # 非上期所，优先平今
self.shortTd = 0 else:
self.shortTd -= trade.volume
if self.shortTd < 0:
self.shortYd += self.shortTd
self.shortTd = 0
# 空头 # 空头
elif trade.direction is DIRECTION_SHORT: elif trade.direction is DIRECTION_SHORT:
# 开仓 # 开仓
@ -675,11 +679,16 @@ class PositionDetail(object):
self.longYd -= trade.volume self.longYd -= trade.volume
# 平仓 # 平仓
elif trade.offset is OFFSET_CLOSE: elif trade.offset is OFFSET_CLOSE:
self.longTd -= trade.volume # 上期所等同于平昨
if self.exchange is EXCHANGE_SHFE:
self.longYd -= trade.volume
# 非上期所，优先平今
else:
self.longTd -= trade.volume
if self.longTd < 0: if self.longTd < 0:
self.longYd += self.longTd self.longYd += self.longTd
self.longTd = 0 self.longTd = 0
# 汇总今昨 # 汇总今昨
self.calculatePosition() self.calculatePosition()