[Add]添加希腊值监控组件

examples/OptionMaster/data/TRADE_MARKET_110100001088sop.dat

@@ -1 +1 @@
-HqLpRXdyn/k8CK6bQvjTlg==
+4kpJoMUXCPNmN66luTh0Lg==

vnpy/pricing/black.py

@@ -79,7 +79,7 @@ def calculateTheta(f, k, r, t, v, cp):
 #----------------------------------------------------------------------
 def calculateVega(f, k, r, t, v, cp):
     """计算Vega值"""
-    vega = calculateVega(f, k, r, t, v, cp) / 100
+    vega = calculateOriginalVega(f, k, r, t, v, cp) / 100
     return vega
 
 #----------------------------------------------------------------------

vnpy/trader/app/optionMaster/omBase.py

@@ -145,7 +145,7 @@ class OmUnderlying(OmInstrument):
     #----------------------------------------------------------------------
     def calculatePosGreeks(self):
         """计算持仓希腊值"""
-        self.posDelta = self.theoDelta * self.netPos    
+        self.posDelta = self.theoDelta * self.netPos * self.size
 
 
 ########################################################################
@@ -210,6 +210,8 @@ class OmOption(OmInstrument):
         self.bidImpv = self.calculateImpv(self.bidPrice1, underlyingPrice, self.k,
                                           self.r, self.t, self.cp)        
         self.midImpv = (self.askImpv + self.bidImpv) / 2
+        
+        self.pricingImpv = self.midImpv
     
     #----------------------------------------------------------------------
     def calculateTheoGreeks(self):
@@ -228,11 +230,11 @@ class OmOption(OmInstrument):
     #----------------------------------------------------------------------
     def calculatePosGreeks(self):
         """计算持仓希腊值"""
-        self.posValue = self.theoPrice * self.netPos
+        self.posValue = self.theoPrice * self.netPos * self.size
-        self.posDelta = self.theoDelta * self.netPos
+        self.posDelta = self.theoDelta * self.netPos * self.size
-        self.posGamma = self.theoGamma * self.netPos
+        self.posGamma = self.theoGamma * self.netPos * self.size
-        self.posTheta = self.theoTheta * self.netPos
+        self.posTheta = self.theoTheta * self.netPos * self.size	
-        self.posVega = self.theoVega * self.netPos                
+        self.posVega = self.theoVega * self.netPos * self.size              
     
     #----------------------------------------------------------------------
     def newTick(self, tick):

vnpy/trader/app/optionMaster/uiOmGreeksMonitor.py

@@ -0,0 +1,294 @@
+# encoding: UTF-8
+
+from vnpy.event import Event
+from vnpy.trader.vtEvent import EVENT_TIMER
+
+from .uiOmBase import *
+
+
+########################################################################
+class GreeksMonitor(QtWidgets.QTableWidget):
+    """希腊值监控"""
+    headers = [
+        u'代码',
+        u'多仓',
+        u'空仓',
+        u'净仓',
+        u'Delta',
+        u'Gamma',
+        u'Theta',
+        u'Vega',
+        u'持仓Delta',
+        u'持仓Gamma',
+        u'持仓Theta',
+        u'持仓Vega'
+    ]    
+    
+    signal = QtCore.pyqtSignal(type(Event()))
+
+    #----------------------------------------------------------------------
+    def __init__(self, omEngine, parent=None):
+        """Constructor"""
+        super(GreeksMonitor, self).__init__()
+        
+        self.portfolio = omEngine.portfolio
+        self.eventEngine = omEngine.eventEngine
+        
+        self.cellDict = {}      # key:symbol, value:cell dict
+        self.updateTrigger = 2
+        self.updateCount = 0
+        
+        self.initUi()
+        self.initCells()
+        self.registerEvent()
+        
+    #----------------------------------------------------------------------
+    def initUi(self):
+        """初始化界面"""
+        portfolio = self.portfolio
+        
+        self.setWindowTitle(u'希腊值监控')
+        
+        # 计算所需行数
+        totalRow = 1                                
+        totalRow += len(portfolio.underlyingDict) + 1
+        totalRow += len(portfolio.chainDict) + 1
+            
+        for chain in portfolio.chainDict.values():
+            totalRow += len(chain.optionDict) + 1
+    
+        # 初始化表格
+        self.setColumnCount(len(self.headers))
+        self.setHorizontalHeaderLabels(self.headers)
+        self.setRowCount(totalRow)
+        self.verticalHeader().setVisible(False)
+        self.setEditTriggers(self.NoEditTriggers)
+        
+        for i in range(self.columnCount()):
+            self.horizontalHeader().setResizeMode(i, QtWidgets.QHeaderView.Stretch)
+        self.horizontalHeader().setResizeMode(0, QtWidgets.QHeaderView.ResizeToContents)
+        
+    #----------------------------------------------------------------------
+    def initCells(self):
+        """初始化单元格"""
+        portfolio = self.portfolio
+        row = 0
+        
+        # 组合
+        cellSymbol = OmCell(portfolio.name, COLOR_SYMBOL, COLOR_BLACK)
+        cellLongPos = OmCell(0, COLOR_POS, COLOR_BLACK)
+        cellShortPos = OmCell(0, COLOR_POS, COLOR_BLACK)
+        cellNetPos = OmCell(0, COLOR_POS, COLOR_BLACK)
+        cellPosDelta = OmCell(0, COLOR_STRIKE)
+        cellPosGamma = OmCell(0, COLOR_STRIKE)
+        cellPosTheta = OmCell(0, COLOR_STRIKE)
+        cellPosVega = OmCell(0, COLOR_STRIKE)
+        
+        self.setItem(row, 0, cellSymbol)
+        self.setItem(row, 1, cellLongPos)
+        self.setItem(row, 2, cellShortPos)
+        self.setItem(row, 3, cellNetPos)
+        self.setItem(row, 8, cellPosDelta)
+        self.setItem(row, 9, cellPosGamma)
+        self.setItem(row, 10, cellPosTheta)
+        self.setItem(row, 11, cellPosVega)
+        
+        d = {}
+        d['longPos'] = cellLongPos
+        d['shortPos'] = cellShortPos
+        d['netPos'] = cellNetPos
+        d['posDelta'] = cellPosDelta
+        d['posGamma'] = cellPosGamma
+        d['posTheta'] = cellPosTheta
+        d['posVega'] = cellPosVega
+        self.cellDict[portfolio.name] = d
+        
+        row += 1
+        
+        # 标的
+        row += 1    # 空行
+        
+        for underlying in portfolio.underlyingDict.values():
+            cellSymbol = OmCell(underlying.symbol, COLOR_SYMBOL, COLOR_BLACK)
+            cellLongPos = OmCell(0, COLOR_POS, COLOR_BLACK)
+            cellShortPos = OmCell(0, COLOR_POS, COLOR_BLACK)
+            cellNetPos = OmCell(0, COLOR_POS, COLOR_BLACK)
+            cellTheoDelta = OmCell('%.3f' %underlying.theoDelta)
+            cellPosDelta = OmCell(0, COLOR_STRIKE)
+            
+            self.setItem(row, 0, cellSymbol)
+            self.setItem(row, 1, cellLongPos)
+            self.setItem(row, 2, cellShortPos)
+            self.setItem(row, 3, cellNetPos)
+            self.setItem(row, 4, cellTheoDelta)
+            self.setItem(row, 8, cellPosDelta)
+            
+            d = {}
+            d['longPos'] = cellLongPos
+            d['shortPos'] = cellShortPos
+            d['netPos'] = cellNetPos
+            d['theoDelta'] = cellTheoDelta
+            d['posDelta'] = cellPosDelta
+            self.cellDict[underlying.symbol] = d
+            
+            row += 1
+
+        # 期权链
+        row += 1
+        
+        for chain in portfolio.chainDict.values():
+            cellSymbol = OmCell(chain.symbol, COLOR_SYMBOL, COLOR_BLACK)
+            cellLongPos = OmCell(0, COLOR_POS, COLOR_BLACK)
+            cellShortPos = OmCell(0, COLOR_POS, COLOR_BLACK)
+            cellNetPos = OmCell(0, COLOR_POS, COLOR_BLACK)
+            cellTheoDelta = OmCell(0)
+            cellTheoGamma = OmCell(0)
+            cellTheoTheta = OmCell(0)
+            cellTheoVega = OmCell(0)
+            cellPosDelta = OmCell(0, COLOR_STRIKE)
+            cellPosGamma = OmCell(0, COLOR_STRIKE)
+            cellPosTheta = OmCell(0, COLOR_STRIKE)
+            cellPosVega = OmCell(0, COLOR_STRIKE)
+        
+            self.setItem(row, 0, cellSymbol)
+            self.setItem(row, 1, cellLongPos)
+            self.setItem(row, 2, cellShortPos)
+            self.setItem(row, 3, cellNetPos)
+            self.setItem(row, 4, cellTheoDelta)
+            self.setItem(row, 5, cellTheoGamma)
+            self.setItem(row, 6, cellTheoTheta)
+            self.setItem(row, 7, cellTheoVega)
+            self.setItem(row, 8, cellPosDelta)
+            self.setItem(row, 9, cellPosGamma)
+            self.setItem(row, 10, cellPosTheta)
+            self.setItem(row, 11, cellPosVega)
+        
+            d = {}
+            d['longPos'] = cellLongPos
+            d['shortPos'] = cellShortPos
+            d['netPos'] = cellNetPos
+            d['theoDelta'] = cellTheoDelta
+            d['theoGamma'] = cellTheoGamma
+            d['theoTheta'] = cellTheoTheta
+            d['theoVega'] = cellTheoVega
+            d['posDelta'] = cellPosDelta
+            d['posGamma'] = cellPosGamma
+            d['posTheta'] = cellPosTheta
+            d['posVega'] = cellPosVega
+            self.cellDict[chain.symbol + '_chain'] = d           
+            
+            row += 1
+            
+        # 期权
+        for chain in portfolio.chainDict.values():
+            row += 1
+            
+            for option in chain.optionDict.values():
+                cellSymbol = OmCell(option.symbol, COLOR_SYMBOL, COLOR_BLACK)
+                cellLongPos = OmCell(0, COLOR_POS, COLOR_BLACK)
+                cellShortPos = OmCell(0, COLOR_POS, COLOR_BLACK)
+                cellNetPos = OmCell(0, COLOR_POS, COLOR_BLACK)
+                cellTheoDelta = OmCell(0)
+                cellTheoGamma = OmCell(0)
+                cellTheoTheta = OmCell(0)
+                cellTheoVega = OmCell(0)
+                cellPosDelta = OmCell(0, COLOR_STRIKE)
+                cellPosGamma = OmCell(0, COLOR_STRIKE)
+                cellPosTheta = OmCell(0, COLOR_STRIKE)
+                cellPosVega = OmCell(0, COLOR_STRIKE)
+            
+                self.setItem(row, 0, cellSymbol)
+                self.setItem(row, 1, cellLongPos)
+                self.setItem(row, 2, cellShortPos)
+                self.setItem(row, 3, cellNetPos)
+                self.setItem(row, 4, cellTheoDelta)
+                self.setItem(row, 5, cellTheoGamma)
+                self.setItem(row, 6, cellTheoTheta)
+                self.setItem(row, 7, cellTheoVega)
+                self.setItem(row, 8, cellPosDelta)
+                self.setItem(row, 9, cellPosGamma)
+                self.setItem(row, 10, cellPosTheta)
+                self.setItem(row, 11, cellPosVega)
+            
+                d = {}
+                d['longPos'] = cellLongPos
+                d['shortPos'] = cellShortPos
+                d['netPos'] = cellNetPos
+                d['theoDelta'] = cellTheoDelta
+                d['theoGamma'] = cellTheoGamma
+                d['theoTheta'] = cellTheoTheta
+                d['theoVega'] = cellTheoVega
+                d['posDelta'] = cellPosDelta
+                d['posGamma'] = cellPosGamma
+                d['posTheta'] = cellPosTheta
+                d['posVega'] = cellPosVega
+                self.cellDict[option.symbol] = d           
+                
+                row += 1            
+    
+    #----------------------------------------------------------------------
+    def registerEvent(self):
+        """注册事件监听"""
+        self.signal.connect(self.updateTable)
+        self.eventEngine.register(EVENT_TIMER, self.signal.emit)
+    
+    #----------------------------------------------------------------------
+    def processTimerEvent(self, event):
+        """处理定时事件"""
+        self.updateCount += 1
+        
+        if self.updateCount >= self.updateTrigger:
+            self.updateCount = 0
+            self.updateTable()
+    
+    #----------------------------------------------------------------------
+    def updateTable(self):
+        """更新表格"""
+        # 更新组合
+        portfolio = self.portfolio
+        
+        d = self.cellDict[portfolio.name]
+        d['longPos'].setText(str(portfolio.longPos))
+        d['shortPos'].setText(str(portfolio.shortPos))
+        d['netPos'].setText(str(portfolio.netPos))
+        d['posDelta'].setText('%.1f' %portfolio.posDelta)
+        d['posGamma'].setText('%.1f' %portfolio.posGamma)
+        d['posTheta'].setText('%.1f' %portfolio.posTheta)
+        d['posVega'].setText('%.1f' %portfolio.posVega)
+        
+        # 更新标的
+        for underlying in portfolio.underlyingDict.values():
+            d = self.cellDict[underlying.symbol]
+            d['longPos'].setText(str(underlying.longPos))
+            d['shortPos'].setText(str(underlying.shortPos))
+            d['netPos'].setText(str(underlying.netPos))
+            d['posDelta'].setText('%.1f' %underlying.posDelta)
+        
+        # 更新期权链
+        for chain in portfolio.chainDict.values():
+            d = self.cellDict[chain.symbol + '_chain']
+            d['longPos'].setText(str(chain.longPos))
+            d['shortPos'].setText(str(chain.shortPos))
+            d['netPos'].setText(str(chain.netPos))            
+            d['posDelta'].setText('%.1f' %chain.posDelta)
+            d['posGamma'].setText('%.1f' %chain.posGamma)
+            d['posTheta'].setText('%.1f' %chain.posTheta)
+            d['posVega'].setText('%.1f' %chain.posVega)
+        
+        # 更新期权
+        for chain in portfolio.chainDict.values():
+            for option in chain.optionDict.values():
+                d = self.cellDict[option.symbol]
+                d['longPos'].setText(str(option.longPos))
+                d['shortPos'].setText(str(option.shortPos))
+                d['netPos'].setText(str(option.netPos))
+                d['theoDelta'].setText('%.3f' %option.theoDelta)
+                d['theoGamma'].setText('%.3f' %option.theoGamma)
+                d['theoTheta'].setText('%.3f' %option.theoTheta)
+                d['theoVega'].setText('%.3f' %option.theoVega)
+                d['posDelta'].setText('%.1f' %option.posDelta)
+                d['posGamma'].setText('%.1f' %option.posGamma)
+                d['posTheta'].setText('%.1f' %option.posTheta)
+                d['posVega'].setText('%.1f' %option.posVega)
+    
+    

vnpy/trader/app/optionMaster/uiOmWidget.py

@@ -6,10 +6,11 @@ import os
 from datetime import datetime
 
 from vnpy.event import Event
-from vnpy.trader.uiQt import QtWidgets, QtCore
 
 from .omBase import EVENT_OM_LOG
+from .uiOmBase import QtWidgets, QtCore
 from .uiOmManualTrader import ManualTrader
+from .uiOmGreeksMonitor import GreeksMonitor
 
 
 ########################################################################
@@ -55,6 +56,9 @@ class OmManager(QtWidgets.QWidget):
         self.buttonManualTrader = QtWidgets.QPushButton(u'手动交易')
         self.buttonManualTrader.clicked.connect(self.openManualTrader)
         
+        self.buttonGreeksMonitor = QtWidgets.QPushButton(u'希腊值监控')
+        self.buttonGreeksMonitor.clicked.connect(self.openGreeksMonitor)
+        
         self.logMonitor = QtWidgets.QTextEdit()
         self.logMonitor.setReadOnly(True)
         
@@ -62,6 +66,7 @@ class OmManager(QtWidgets.QWidget):
         hbox.addWidget(self.comboSettingFile)
         hbox.addWidget(self.buttonInit)
         hbox.addWidget(self.buttonManualTrader)
+        hbox.addWidget(self.buttonGreeksMonitor)
         hbox.addStretch()
         
         hbox2 = QtWidgets.QHBoxLayout()
@@ -110,6 +115,15 @@ class OmManager(QtWidgets.QWidget):
         except KeyError:
             self.widgetDict['manualTrader'] = ManualTrader(self.omEngine)
             self.widgetDict['manualTrader'].showMaximized()
+            
+    #----------------------------------------------------------------------
+    def openGreeksMonitor(self):
+        """打开希腊值监控组件"""
+        try:
+            self.widgetDict['greeksMonitor'].showMaximized()
+        except KeyError:
+            self.widgetDict['greeksMonitor'] = GreeksMonitor(self.omEngine)
+            self.widgetDict['greeksMonitor'].showMaximized()    
 
     #----------------------------------------------------------------------
     def close(self):